<PAGE>
- --------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL
REPORT
SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
---------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Schedules of Investments
The U.S. Large Company Portfolio.................................. 1
The Enhanced U.S. Large Company Portfolio......................... 1
The U.S. Large Cap Value Portfolio................................ 1
The Tax-Managed U.S. Marketwide Value Portfolio................... 1
The Tax-Managed U.S. 5-10 Value Portfolio......................... 2
The U.S. 6-10 Value Portfolio..................................... 14
The U.S. 6-10 Small Company Portfolio............................. 14
The Tax-Managed U.S. 6-10 Small Company Portfolio................. 15
The U.S. 9-10 Small Company Portfolio............................. 35
The DFA Real Estate Securities Portfolio.......................... 36
The Large Cap International Portfolio............................. 38
The Tax-Managed DFA International Value Portfolio................. 47
The International Small Company Portfolio......................... 52
The Japanese Small Company Portfolio.............................. 52
The Pacific Rim Small Company Portfolio........................... 52
The United Kingdom Small Company Portfolio........................ 53
The Continental Small Company Portfolio........................... 53
The DFA International Small Cap Value Portfolio................... 54
The Emerging Markets Portfolio.................................... 74
The Emerging Markets Small Cap Portfolio.......................... 74
The DFA One-Year Fixed Income Portfolio........................... 74
The DFA Two-Year Global Fixed Income Portfolio.................... 74
The DFA Five-Year Government Portfolio............................ 75
The DFA Five-Year Global Fixed Income Portfolio................... 76
The DFA Intermediate Government Fixed Income Portfolio............ 78
Statements of Assets and Liabilities.................................. 79
Statements of Operations.............................................. 82
Statements of Changes in Net Assets................................... 88
Financial Highlights.................................................. 95
Notes to Financial Statements......................................... 108
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Statement of Assets and Liabilities................................... 117
Statement of Operations............................................... 118
Statements of Changes in Net Assets................................... 119
Financial Highlights.................................................. 120
Notes to Financial Statements......................................... 121
</TABLE>
ii
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Schedules of Investments
The U.S. Large Company Series..................................... 123
The Enhanced U.S. Large Company Series............................ 128
The U.S. Large Cap Value Series................................... 130
The Tax-Managed U.S. Marketwide Value Series...................... 133
The U.S. 4-10 Value Series........................................ 138
The U.S. 6-10 Value Series........................................ 144
The U.S. 6-10 Small Company Series................................ 162
The U.S. 9-10 Small Company Series................................ 194
The DFA International Value Series................................ 218
The Japanese Small Company Series................................. 226
The Pacific Rim Small Company Series.............................. 233
The United Kingdom Small Company Series........................... 244
The Continental Small Company Series.............................. 251
The Emerging Markets Series....................................... 261
The Emerging Markets Small Cap Series............................. 269
The DFA One-Year Fixed Income Series.............................. 278
The DFA Two-Year Global Fixed Income Series....................... 280
Statements of Assets and Liabilities.................................. 282
Statements of Operations.............................................. 284
Statements of Changes in Net Assets................................... 287
Financial Highlights.................................................. 291
Notes to Financial Statements......................................... 298
</TABLE>
iii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment Trust Company............ $ 726,563,233
----------------
Total Investments (100%) (Cost $454,327,149)++......................................... $ 726,563,233
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $458,924,340.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- --------------
<S> <C> <C>
Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company... 6,055,647 $ 77,330,612
--------------
Total Investments (100%) (Cost $67,265,103) ++......................................... $ 77,330,612
--------------
--------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $68,261,282.
THE U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ------------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company.......... 62,280,056 $ 1,235,636,308
------------------
Total Investments (100%) (Cost $882,075,726) ++........................................ $ 1,235,636,308
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $893,851,776.
THE TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
--------------
<S> <C> <C>
Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust
Company.................................................................................. $ 54,302,486
--------------
Total Investments (100%) (Cost $48,211,198) ++......................................... $ 54,302,486
--------------
--------------
</TABLE>
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++Approximates cost for federal income tax purposes.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
1
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (95.0%)
*3-D Systems Corp..................................... 10,600 $ 59,956
AAR Corp.............................................. 40,000 790,000
*ABC Rail Products Corp............................... 14,800 215,987
*ACX Technologies, Inc................................ 32,000 398,000
*ADE Corp............................................. 12,200 118,569
*AEP Industries, Inc.................................. 5,800 219,312
*ARV Assisted Living, Inc............................. 19,000 73,625
ASB Financial Corp.................................... 1,300 14,950
#Aames Financial Corp................................. 27,900 40,106
Abington Bancorp, Inc................................. 2,600 37,456
*Abraxas Petroleum Corp............................... 6,500 13,812
*Accel International Corp............................. 6,800 13,812
*Acceptance Insurance Companies, Inc.................. 18,000 282,375
Aceto Corp............................................ 6,500 76,375
*Acme Electric Corp................................... 4,000 21,750
*Acorn Products, Inc.................................. 6,000 31,875
*Active Voice Corp.................................... 4,300 59,125
Adams Resources & Energy, Inc......................... 2,200 17,050
*Adaptive Broadband Corp.............................. 6,500 102,781
*Adept Technology, Inc................................ 10,200 74,269
*Adflex Solutions, Inc................................ 10,700 24,409
*Advance Lighting Technologies, Inc................... 16,500 118,336
*Advanced Communications Group, Inc................... 20,500 206,281
*#Advanced Health Corp................................ 10,100 46,239
*Advanced Magnetics, Inc.............................. 8,100 31,387
*Advanced Neuromodulation Systems, Inc................ 6,700 45,644
*Advanced Radio Telecom Corp.......................... 19,000 213,750
#Advanta Corp. Class A................................ 10,400 180,375
Advanta Corp. Class B Non-Voting...................... 14,000 196,437
*Advocat, Inc......................................... 5,400 11,137
*Aehr Test Systems.................................... 5,400 21,431
*Aftermarket Technology Corp.......................... 17,900 195,781
Agco Corp............................................. 64,000 744,000
*Agribrands International, Inc........................ 9,300 324,919
*Air Methods Corp..................................... 5,900 12,722
*Airgas, Inc.......................................... 64,200 734,287
*Airnet Systems, Inc.................................. 10,900 115,131
Alamo Group, Inc...................................... 4,500 41,344
*Alaska Air Group, Inc................................ 1,000 41,500
Albemarle Corp........................................ 4,800 107,700
*Aldila, Inc.......................................... 14,000 27,562
Alexander & Baldwin, Inc.............................. 69,600 1,574,700
Alico, Inc............................................ 5,700 91,912
*Align-Rite International, Inc........................ 4,600 59,800
Allen Organ Co. Class B............................... 400 14,400
*Allen Telecom, Inc................................... 26,300 274,506
Alliance Bancorp...................................... 10,600 258,706
*Alliance Pharmaceuticals Corp........................ 9,800 28,787
*Alliance Semiconductor Corp.......................... 39,400 188,381
*Allied Holdings, Inc................................. 6,300 44,887
Allied Products Corp.................................. 14,100 73,144
*Allied Research Corp................................. 5,600 39,550
*#Allin Communications Corp........................... 7,100 19,081
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Allou Health & Beauty Care, Inc. Class A............ 4,300 $ 30,369
*Alphanet Solutions, Inc.............................. 6,500 25,797
*Ambassadors, Inc..................................... 3,000 42,750
Amcast Industrial Corp................................ 9,300 156,356
Amcol International Corp.............................. 17,100 242,606
*Amerco, Inc.......................................... 20,700 512,325
*America West Holdings Corp. Class B.................. 32,700 637,650
American Annuity Group, Inc........................... 9,600 225,600
American Biltrite, Inc................................ 3,400 69,700
American Business Products, Inc....................... 9,900 157,781
*American Coin Merchandising, Inc..................... 800 5,750
*American Freightways Corp............................ 28,600 501,394
*American Homepatient, Inc............................ 13,500 26,789
*American Indemnity Financial Corp.................... 1,500 20,672
*American Oncology Resources, Inc..................... 30,100 305,703
*American Pacific Corp................................ 10,000 81,250
*American Physicians Services Group, Inc.............. 3,300 11,859
*American Precision Industries, Inc................... 3,500 39,594
*American Software, Inc. Class A...................... 18,500 53,766
*American Technical Ceramics Corp..................... 3,200 21,800
Americana Bancorp, Inc................................ 2,800 44,362
*Amerihost Properties, Inc............................ 5,900 22,402
*AmeriLink Corp....................................... 1,200 17,550
*Ameripath, Inc....................................... 19,400 176,116
*Ameristar Casinos, Inc............................... 9,400 33,194
Ameron, Inc........................................... 3,800 163,637
Amerus Life Holdings, Inc. Class A.................... 26,200 676,287
Ampco-Pittsburgh Corp................................. 11,400 142,500
Amplicon, Inc......................................... 1,100 15,056
*Amrep Corp........................................... 8,800 50,325
*Amresco, Inc......................................... 44,800 305,200
Amwest Insurance Group, Inc........................... 1,650 16,912
*Anadigics, Inc....................................... 10,600 263,012
Angelica Corp......................................... 7,200 121,950
*Anicom, Inc.......................................... 23,800 219,406
*Apple Orthodontix, Inc............................... 13,500 27,000
*Applied Digital Access, Inc.......................... 10,200 42,872
*Applied Extrusion Technologies, Inc.................. 13,500 102,937
*Applied Films Corp................................... 3,000 11,062
*Applied Graphics Technologies, Inc................... 20,000 216,875
Applied Industrial Technologies, Inc.................. 22,500 381,094
*#Applied Magnetics Corp.............................. 17,600 52,800
*Applied Microsystems Corp............................ 5,400 16,453
*Applied Signal Technologies, Inc..................... 7,200 64,800
*Aquila Biopharmaceuticals, Inc....................... 2,200 4,194
*#Arcadia Financial, Ltd.............................. 44,300 329,481
Arch Coal, Inc........................................ 36,600 535,275
Arctic Cat, Inc....................................... 17,700 148,237
Argonaut Group, Inc................................... 22,400 600,600
*#Ariel Corp.......................................... 7,800 23,887
*Ark Restaurants Corp................................. 2,800 28,350
*Arkansas Best Corp................................... 23,500 210,031
*Armco, Inc........................................... 88,000 566,500
Arnold Industries, Inc................................ 15,700 260,031
</TABLE>
2
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Arqule, Inc.......................................... 11,600 $ 52,200
*Asahi/America, Inc................................... 2,400 17,550
Asarco, Inc........................................... 41,200 661,775
*Ascent Entertainment Group, Inc...................... 22,400 256,200
*Asche Transportation Services, Inc................... 3,700 14,916
*Ashworth, Inc........................................ 13,800 67,706
Astro-Med, Inc........................................ 5,400 35,775
Atalanta Sosnoff Capital Corp......................... 3,800 37,525
*Atchison Casting Corp................................ 7,000 77,000
*Atlantic American Corp............................... 17,200 74,712
*Atrion Corp.......................................... 2,500 24,062
*Audiovox Corp. Class A............................... 20,200 175,487
*Ault, Inc............................................ 3,700 35,844
*Auspex Systems, Inc.................................. 23,400 255,206
Avado Brands, Inc..................................... 27,500 249,648
*Avteam, Inc. Class A................................. 10,500 75,141
*Axsys Technologies, Inc.............................. 3,500 43,531
*Aztar Corp........................................... 51,100 344,925
Aztec Manufacturing Co................................ 3,200 32,200
BHA Group Holdings, Inc. Class A...................... 6,400 62,400
*BI, Inc.............................................. 7,200 66,150
*BJ Services, Co...................................... 12,000 330,750
BMC Industries, Inc................................... 22,100 222,381
*BTU International, Inc............................... 8,100 33,412
*BWAY Corp............................................ 7,400 105,450
Bairnco Corp.......................................... 10,100 70,069
Baker (J.), Inc....................................... 16,800 121,800
*Baldwin Technology, Inc. Class A..................... 14,100 51,112
*BancTec, Inc......................................... 17,600 283,800
Bandag, Inc........................................... 8,900 306,494
Bandag, Inc........................................... 13,000 372,125
*Bank Plus Corp....................................... 19,000 99,156
*Bank United Financial Corp. Class A.................. 19,900 179,411
BankAtlantic Bancorp, Inc. Class B.................... 10,300 82,078
Banta Corp............................................ 13,400 328,300
*Barrett Resources Corp............................... 7,100 240,069
*Barry (R.G.) Corp.................................... 10,200 82,237
*Basin Exploration, Inc............................... 10,700 179,559
Bassett Furniture Industries, Inc..................... 12,700 302,022
Battle Mountain Gold Co............................... 64,000 156,000
Bay View Capital Corp................................. 25,200 453,600
*Baycorp Holdings, Ltd................................ 3,200 11,400
*Bayou Steel Corp. Class A............................ 9,800 35,525
*Beazer Homes USA, Inc................................ 6,000 133,500
*Belco Oil & Gas Corp................................. 33,200 263,525
*Bell Industries, Inc................................. 9,600 98,400
*Bell Microproducts, Inc.............................. 9,000 63,703
*Bellwether Exploration Co............................ 21,800 100,825
*Benton Oil & Gas Co.................................. 26,800 93,800
*Bergen Brunswig Corp. Class A........................ 20,597 453,134
Berkley (W.R.) Corp................................... 13,100 334,050
*Berlitz International, Inc........................... 7,600 161,975
*Beverly Enterprises.................................. 105,000 761,250
*Bio Vascular, Inc.................................... 9,300 25,720
*Bioanalytical Systems, Inc........................... 1,600 6,400
*Bionx Implants, Inc.................................. 15,000 68,906
*Bio-Rad Laboratories, Inc. Class A................... 8,900 250,869
*BioReliance Corp..................................... 7,000 46,594
*Biosource International, Inc......................... 8,600 41,925
Birmingham Steel Corp................................. 28,200 144,525
*Black Hawk Gaming & Development, Inc................. 3,600 30,712
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Blair Corp............................................ 8,100 $ 139,219
Blimpie International................................. 11,100 29,137
Block Drug Co., Inc. Class A.......................... 14,800 549,450
*Bluegreen Corp....................................... 21,100 118,687
*Boca Research, Inc................................... 8,100 71,761
*Boise Cascade Office Products Corp................... 3,600 42,975
*Bolle, Inc........................................... 2,500 7,266
*Bombay Co., Inc...................................... 44,700 273,787
*Bon-Ton Stores, Inc.................................. 14,400 91,800
*Boston Biomedical, Inc............................... 2,800 10,675
Bostonfed Bancorp, Inc................................ 4,400 79,200
Bowl America, Inc. Class A............................ 3,200 22,400
Bowne & Co., Inc...................................... 13,200 221,100
*Boyd Gaming Corp..................................... 54,800 325,375
*Bridgeport Macs, Inc................................. 5,300 48,031
*Brite Voice Systems, Inc............................. 8,000 104,000
*Broadway & Seymour, Inc.............................. 11,000 63,594
*Brooks Automation, Inc............................... 6,200 113,537
*Brown & Sharpe Manufacturing Co. Class A............. 15,400 84,700
*Brown (Tom), Inc..................................... 31,100 403,328
Brown Shoe Company, Inc............................... 12,500 237,500
*Brunswick Technologies, Inc.......................... 6,100 37,172
Brush Wellman, Inc.................................... 19,100 323,506
*Budget Group, Inc.................................... 32,500 434,687
*Buffets, Inc......................................... 25,300 265,650
*Building Materials Holding Corp...................... 19,800 231,412
Burlington Coat Factory Warehouse Corp................ 37,800 637,875
*Burlington Industries, Inc........................... 54,500 534,781
Bush Industries, Inc. Class A......................... 15,850 234,778
*Business Resource Group.............................. 4,100 13,709
Butler Manufacturing Co............................... 7,000 196,875
*C.P. Clare Corp...................................... 13,500 49,359
*CEM Corp............................................. 2,900 22,928
*CFM Technologies, Inc................................ 7,500 68,437
*CHS Electronics, Inc................................. 10,000 44,375
*CMC Industries, Inc.................................. 7,400 47,869
*CNS Income........................................... 15,800 52,831
CPAC, Inc............................................. 6,300 48,628
*CSP, Inc............................................. 4,290 29,360
*CSS Industries, Inc.................................. 1,000 27,000
Cadmus Communications Corp............................ 9,300 119,156
Calgon Carbon Corp.................................... 37,800 214,987
*California Coastal Comm, Inc......................... 6,500 41,641
*California Micro Devices Corp........................ 8,600 19,081
*Callon Petroleum Co.................................. 8,100 87,075
Cal-Maine Foods, Inc.................................. 11,100 60,356
*Cameron Ashley Building Products, Inc................ 8,500 102,000
Cameron Financial Corp................................ 1,700 22,525
*Cannondale Corp...................................... 8,900 79,544
*Capital Pacific Holdings, Inc........................ 14,600 47,450
Capital Re Corp....................................... 32,200 525,262
Capitol Transamerica Corp............................. 5,700 85,678
*Carbide/Graphite Group, Inc.......................... 12,300 159,516
*#Caribiner International, Inc........................ 31,300 168,237
*Carmike Cinemas, Inc. Class A........................ 11,600 203,725
Carpenter Technology Corp............................. 24,700 703,950
*Carrington Laboratories, Inc......................... 9,600 28,500
*Carson, Inc.......................................... 9,000 31,500
Cascade Corp.......................................... 7,750 104,625
</TABLE>
3
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Casino Data Systems.................................. 17,600 $ 65,450
*Castle & Cooke, Inc.................................. 17,700 276,562
Castle (A.M.) & Co.................................... 12,500 192,187
*Castle Dental Centers, Inc........................... 5,000 33,437
Castle Energy Corp.................................... 1,900 35,387
*Catalina Lighting, Inc............................... 8,600 38,700
*Catherines Stores Corp............................... 8,700 95,700
Cato Corp. Class A.................................... 26,700 351,272
Cavalier Homes, Inc................................... 12,900 116,906
*Cavanaughs Hospitality Corp.......................... 23,500 224,719
*Celadon Group, Inc................................... 5,100 50,681
*Celeritek, Inc....................................... 6,700 36,012
*Centigram Communications Corp........................ 8,600 83,581
Central Bancorp, Inc.................................. 2,300 44,562
*Central Garden & Pet Co.............................. 33,000 448,594
*Central Sprinkler Corp............................... 2,500 42,578
Centris Group, Inc.................................... 13,400 129,812
Century Aluminum Co................................... 25,100 162,366
*Ceradyne, Inc........................................ 8,400 34,125
*Charming Shoppes, Inc................................ 125,700 634,392
*Chart House Enterprises, Inc......................... 10,900 59,950
Chartwell Re Corp..................................... 12,400 194,525
*Chase Industries, Inc................................ 8,400 70,350
*Check Technology Corp................................ 4,900 11,025
*Checkpoint System, Inc............................... 29,400 268,275
Chemed Corp........................................... 6,400 207,600
*Cherry Corp. Class A................................. 3,000 40,500
*Cherry Corp. Class B................................. 1,900 25,947
Chesapeake Corp....................................... 14,000 504,875
Chesapeake Utilities Corp............................. 4,000 72,000
*Chic by His, Inc..................................... 11,800 36,875
Chicago Rivet & Machine Co............................ 400 7,650
*Children's Comprehensive Services, Inc............... 200 1,219
Chiquita Brands International, Inc.................... 68,700 553,894
*#Chock Full O' Nuts Corp............................. 12,900 134,644
*Chyron Corp.......................................... 30,000 61,875
*Cidco, Inc........................................... 16,800 103,950
*Ciprico, Inc......................................... 6,500 56,672
Circle International, Inc............................. 8,300 170,150
*Circuit City Stores, Inc. - Carmax Group............. 21,300 102,506
*Citadel Holding Corp................................. 5,700 28,856
*Citation Corp........................................ 17,200 229,512
Cleveland Cliffs, Inc................................. 11,100 410,700
*Clintrials Research, Inc............................. 21,800 91,969
*Coast Dental Services, Inc........................... 7,000 49,437
Coastal Bancorp, Inc.................................. 7,200 115,650
*Coastcast Corp....................................... 8,100 97,200
*Cobra Electronic Corp................................ 7,200 29,250
*#Coeur d'Alene Mines Corp. ID........................ 21,000 87,937
*Coherent, Inc........................................ 36,700 594,081
*Coho Energy, Inc..................................... 23,100 14,437
*Coinmach Laundry Corp................................ 12,100 148,981
Collagen Corp......................................... 2,700 36,956
Columbus McKinnon Corp................................ 7,000 174,781
*Comdial Corp......................................... 8,100 56,953
*Commerce Group, Inc.................................. 22,500 521,719
Commercial Metals Co.................................. 14,200 332,812
Commonwealth Bancorp, Inc............................. 14,800 240,037
Commonwealth Industries, Inc.......................... 15,100 163,741
Communications Systems, Inc........................... 3,400 44,837
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Community Financial Group, Inc........................ 2,100 $ 29,925
*Compass International Services Corp.................. 6,500 42,859
*Compucom Systems, Inc................................ 45,200 182,212
*CompUSA, Inc......................................... 40,000 322,500
*Comshare, Inc........................................ 9,100 30,997
*Comstock Resources, Inc.............................. 29,100 118,219
*Concord Camera Corp.................................. 9,800 50,837
*Concord Fabrics, Inc. Class A........................ 1,700 7,437
*Concord Fabrics, Inc. Class B........................ 500 2,219
*Condor Technology Solutions, Inc..................... 8,500 90,844
*Cone Mills Corp. NC.................................. 30,500 188,719
*Conso Products Co.................................... 7,400 43,706
*Consolidated Freightways Corp........................ 20,800 276,900
*#Consumer Portfolio Services, Inc.................... 20,900 40,494
*#ContiFinancial Corp................................. 45,200 322,050
Cooker Restaurant Corp................................ 7,400 46,250
*Coram Healthcare Corp................................ 24,000 55,500
*Corporate Express, Inc............................... 92,500 605,586
*Corrpro Companies, Inc............................... 5,100 50,681
*Cort Business Services Corp.......................... 20,000 483,750
Courier Corp.......................................... 1,500 34,312
*Covenant Transport, Inc. Class A..................... 8,200 98,144
*Coventry Health Care, Inc............................ 15,000 199,687
Covest Bancshares, Inc................................ 3,500 47,906
*Craig Corp........................................... 4,300 32,519
*#Credit Acceptance Corp.............................. 37,300 222,634
Cross (A.T.) Co. Class A.............................. 15,900 99,375
Cross Timbers Oil Co.................................. 26,200 283,287
*Crown Central Petroleum Corp. Class A................ 4,100 33,312
*Crown Central Petroleum Corp. Class B................ 4,800 39,600
Crown Crafts, Inc..................................... 7,900 39,994
*Crown Vantage, Inc................................... 10,800 28,350
Cubic Corp............................................ 8,100 195,412
Culp, Inc............................................. 12,300 101,475
*Cyberoptics Corp..................................... 5,000 63,125
*Cybex International, Inc............................. 8,200 45,100
*Cylink Corp.......................................... 25,100 99,223
*Cypress Semiconductor Corp........................... 27,000 300,375
Cyprus Amax Minerals Co., Inc......................... 53,800 675,862
*Cyrk, Inc............................................ 18,500 123,141
*Cytel Corp........................................... 3,200 5,700
*Cytrx Corp........................................... 1,000 2,609
*#DRS Technologies, Inc............................... 4,800 42,300
*DSP Technology, Inc.................................. 200 1,787
*DVI, Inc............................................. 19,000 295,687
Dain Rauscher Corp.................................... 11,400 593,512
*Damark International, Inc. Class A................... 7,600 74,812
Dames & Moore, Inc.................................... 21,900 344,925
*Dan River, Inc. (GA) Class A......................... 17,000 156,187
Daniel Industries, Inc................................ 15,800 331,800
*Darling International, Inc........................... 1,000 1,875
*Data I/O Corp........................................ 5,900 6,730
*Data Systems & Software, Inc......................... 6,800 20,825
*DataTRAK International, Inc.......................... 5,800 27,550
*Dataware Technologies, Inc........................... 2,500 7,187
*Datron Systems, Inc.................................. 2,800 17,062
*Datum, Inc........................................... 6,500 54,437
*Dawson Geophysical Co................................ 7,400 79,087
*Deckers Outdoor Corp................................. 8,400 28,612
*Del Global Technologies Corp......................... 6,100 54,900
</TABLE>
4
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Delta Financial Corp................................ 15,200 $ 102,600
Delta Natural Gas Co., Inc............................ 1,900 32,537
Delta Woodside Industries, Inc........................ 28,900 204,106
Deltic Timber Corp.................................... 1,300 32,337
*Denali, Inc.......................................... 3,000 23,437
*Designs, Inc......................................... 3,000 5,906
*Detection Systems, Inc............................... 6,000 52,875
Detroit Diesel Corp................................... 23,000 570,687
Devon Energy Corp..................................... 12,000 417,000
*Diagnostic Health Services, Inc...................... 9,100 9,242
*Diamond Home Services, Inc........................... 10,200 47,812
*#Diamond Multimedia Systems, Inc..................... 35,400 156,534
*Digi International, Inc.............................. 22,700 188,694
*Digital Link Corp.................................... 10,200 75,066
Dime Community Bancorp, Inc........................... 4,000 88,625
*Diodes, Inc.......................................... 4,600 21,275
*Discount Auto Parts, Inc............................. 15,400 381,150
*Diversified Corporate Resources, Inc................. 2,000 12,000
Dixie Group, Inc...................................... 10,600 96,062
*Dominion Homes, Inc.................................. 5,600 44,100
*Donna Karan International, Inc....................... 16,500 169,125
Donnelly Corp. Class A................................ 5,600 91,700
Downey Financial Corp................................. 24,400 536,800
*Dress Barn, Inc...................................... 21,200 312,037
*Drug Emporium, Inc................................... 12,700 128,587
*Drypers Corp......................................... 13,000 42,656
*Duckwall-Alco Stores, Inc............................ 5,000 51,875
*Dunn Computer Corp................................... 6,000 12,656
*Dura Automotive Systems, Inc......................... 3,385 100,281
*Durakon Industries, Inc.............................. 5,000 62,500
Dyersburg Corp........................................ 16,000 22,000
*Dynamics Research Corp............................... 8,800 44,550
*E-Z-Em, Inc. Class A................................. 3,600 18,225
*ECC International Corp............................... 8,200 25,625
*EFTC Corp............................................ 22,100 136,053
*EIS International, Inc............................... 13,900 46,478
EMC Insurance Group, Inc.............................. 11,300 129,244
*EMS Technologies, Inc................................ 8,800 119,350
*ESCO Electronics Corp. Trust Receipts................ 14,700 177,319
Eagle Bancshares, Inc................................. 5,700 107,409
*Eagle Food Centers, Inc.............................. 10,100 24,619
*Eagle Geophysical, Inc............................... 11,579 38,539
Earthgrains Co........................................ 23,900 560,156
Easco, Inc............................................ 11,300 84,044
*Echelon International Corp........................... 600 13,800
Ecology & Environment, Inc. Class A................... 2,000 14,000
*Edelbrock Corp....................................... 4,100 63,422
*Educational Insights, Inc............................ 2,800 5,425
*Ekco Group, Inc...................................... 23,500 111,625
*Elantec Semiconductor, Inc........................... 6,500 61,852
*Elcom International, Inc............................. 3,900 22,242
*Electro Rent Corp.................................... 3,000 37,781
*Electroglas, Inc..................................... 17,200 245,100
Ellett Brothers, Inc.................................. 4,500 24,820
*Emcon................................................ 10,400 68,250
Empire Federal Bancorp, Inc........................... 1,800 20,812
*#Encad, Inc.......................................... 11,700 69,652
Energen Corp.......................................... 12,000 229,500
Enesco Group, Inc..................................... 3,300 75,694
Engle Homes, Inc...................................... 11,300 153,609
<CAPTION>
SHARES VALUE+
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Enhance Financial Services Group, Inc................. 41,600 $ 813,800
*Enserch Exploration Corp............................. 40,400 275,225
*Equity Marketing, Inc................................ 4,400 45,925
Eskimo Pie Corp....................................... 2,800 24,062
Espey Manufacturing & Electronics Corp................ 400 4,900
*Esterline Technologies Corp.......................... 3,600 53,775
Ethyl Corp............................................ 12,000 60,000
*Evans & Sutherland Computer Corp..................... 9,000 142,031
*Exabyte Corp......................................... 21,700 120,028
*Exar Corp............................................ 8,600 180,062
Exide Corp............................................ 19,500 304,687
*Extended Stay America, Inc........................... 48,000 510,000
*Extended Systems, Inc................................ 6,500 30,570
Ezcorp, Inc. Class A Non-Voting....................... 10,000 74,062
FBL Financial Group, Inc. Class A..................... 25,500 511,594
*FEI Co............................................... 17,900 148,794
FFLC Bancorp.......................................... 2,900 52,744
FSF Financial Corp.................................... 1,100 15,606
*FSI International, Inc............................... 20,100 163,312
*FTI Consulting, Inc.................................. 4,000 17,000
Fab Industries, Inc................................... 4,400 68,750
*Fairchild Corp. Class A.............................. 32,033 478,493
Falcon Products, Inc.................................. 7,200 77,850
*#Family Golf Centers, Inc............................ 21,200 191,794
*Fansteel, Inc........................................ 6,800 38,250
*Farm Family Holdings, Inc............................ 3,500 120,750
Farrel Corp........................................... 6,000 13,500
*Featherlite Manufacturing, Inc....................... 1,000 6,531
*Ferrofluidics Corp................................... 5,700 23,067
*Fibermark, Inc....................................... 7,100 101,619
Fidelity Bancorp, Inc. Delaware....................... 2,200 51,287
*Filenes Basement Corp................................ 25,100 41,572
*Finish Line, Inc. Class A............................ 16,000 196,000
*Finishmaster, Inc.................................... 9,000 50,625
*First Alliance Corp.................................. 4,500 12,867
First Bell Bancorp, Inc............................... 3,500 68,031
First Citizens Bancshares, Inc. NC.................... 4,000 326,625
First Defiance Financial Corp......................... 6,900 81,937
First Essex Bancorp................................... 8,800 146,850
First Federal Bancshares of Arkansas, Inc............. 4,600 85,387
*First Investors Financial Services Group, Inc........ 5,000 30,937
First Keystone Financial, Inc......................... 900 11,756
First Mariner Bank Corp............................... 3,700 43,475
First Northern Capital Corp........................... 9,000 98,156
*First Republic Bank.................................. 8,000 209,000
First Savings Bancorp, Inc. North Carolina............ 3,700 72,844
First Washington Bancorp, Inc......................... 10,200 205,275
Firstbank Corp........................................ 2,000 29,312
*FirstFed Financial Corp. DE.......................... 16,800 317,100
Firstspartan Financial Corp........................... 4,000 115,000
*Fischer Imaging Corp................................. 5,700 9,708
Flag Financial Corp................................... 2,500 24,844
*Flander Corp......................................... 30,100 113,816
Fleming Companies, Inc................................ 39,300 405,281
Flexsteel Industries, Inc............................. 7,100 97,181
*Florida Panthers Holdings, Inc. Class A.............. 38,400 417,600
</TABLE>
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*Florsheim Group, Inc................................. 8,100 $ 60,244
Flushing Financial Corp............................... 10,200 151,087
*Foodarama Supermarkets, Inc.......................... 800 22,300
*#Forcenergy, Inc..................................... 21,700 23,395
*Forest Oil Corp...................................... 35,300 372,856
*Foster (L.B.) Co. Class A............................ 12,000 66,750
Foster Wheeler Corp................................... 43,500 598,125
*Four Media Co........................................ 5,800 38,787
Frankfort First Bancorp, Inc.......................... 200 2,981
Franklin Bank National Associaton Southfield, MI...... 3,600 39,150
*Franklin Covey Co.................................... 19,300 188,175
*Franklin Electronic Publishers, Inc.................. 7,100 37,275
Freds, Inc. Class A................................... 11,800 154,137
Frequency Electronics, Inc............................ 9,200 79,925
*Fresh Choice, Inc.................................... 2,700 6,328
*Fresh Foods, Inc..................................... 4,700 30,403
*#Friedman Billings Ramsey Group, Inc. Class A........ 14,900 155,519
Friedman Industries, Inc.............................. 9,115 37,599
Friedmans, Inc. Class A............................... 12,400 112,375
Frisch's Restaurants, Inc............................. 7,100 72,775
*Fritz Companies, Inc................................. 14,000 152,250
Frontier Insurance Group, Inc......................... 33,100 568,906
Frozen Food Express Industries, Inc................... 16,200 113,400
*Fruit of The Loom, Inc. Class A...................... 10,000 103,125
*G-III Apparel Group, Ltd............................. 7,800 16,697
GA Financial, Inc..................................... 6,500 96,687
*GC Companies, Inc.................................... 7,100 256,487
*GP Strategies Corp................................... 12,600 126,000
*GZA Geoenvironmental Technologies, Inc............... 1,600 7,100
*Gadzooks, Inc........................................ 10,600 101,694
Gainsco, Inc.......................................... 25,000 114,062
*Galey & Lord, Inc.................................... 13,100 54,037
*Galileo Corp......................................... 12,100 65,794
*GameTech International, Inc.......................... 3,100 12,884
Garan, Inc............................................ 5,300 152,375
*Garden Ridge Corp.................................... 17,500 106,641
*Gasonics International, Inc.......................... 1,400 17,019
*Gehl Co.............................................. 6,500 133,859
*General Communications, Inc. Class A................. 54,100 268,809
General Housewares Corp............................... 3,600 45,000
*General Surgical Innovations, Inc.................... 13,400 51,925
*Genesis Health Ventures, Inc......................... 31,600 140,225
*Genicom Corp......................................... 13,800 25,444
*Genome Therapeutics Corp............................. 8,000 26,250
*Gensym Corp.......................................... 7,700 29,597
*Getty Petroleum Marketing, Inc....................... 16,700 52,187
Giant Industries, Inc................................. 13,000 137,312
Gibraltar Steel Corp.................................. 2,000 43,750
*Gibson Greetings, Inc................................ 15,300 111,881
Glatfelter (P.H.) Co.................................. 42,100 560,456
Gleason Corp.......................................... 11,500 192,625
*Glenayre Technologies, Inc........................... 58,200 209,156
*Globe Business Resources, Inc........................ 2,400 28,200
Golden Enterprises, Inc............................... 2,800 10,937
*Golden State Bancorp, Inc............................ 6,200 152,287
*Good Guys, Inc....................................... 17,100 53,705
*Gottschalks, Inc..................................... 15,000 123,750
<CAPTION>
SHARES VALUE+
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*Government Technology Services, Inc.................. 8,700 $ 33,441
*Gradco Systems, Inc.................................. 9,400 23,206
*Graham Corp.......................................... 1,900 16,744
*Graham-Field Health Products, Inc.................... 37,500 84,375
Grand Premier Financial, Inc.......................... 2,900 34,347
*Greenbriar Corp...................................... 4,700 9,694
Greenbrier Companies, Inc............................. 13,100 121,994
*Grey Wolf, Inc....................................... 21,000 43,312
*Griffin Land & Nurseries, Inc. Class A............... 1,900 21,375
*Griffon Corp......................................... 27,900 223,200
Guarantee Life Companies, Inc......................... 8,300 164,444
*Guaranty Federal Bancshares, Inc..................... 4,300 50,122
*Guest Supply, Inc.................................... 5,800 61,262
Guilford Mills, Inc................................... 22,200 222,000
*Gulf Island Fabrication, Inc......................... 9,500 103,016
*Gulfmark Offshore, Inc............................... 6,800 110,925
*Gundle/SLT Environmental, Inc........................ 15,700 62,800
*Gymboree Corp........................................ 5,000 61,094
*HCIA, Inc............................................ 11,500 98,828
HF Financial Corp..................................... 3,800 56,525
HMN Financial, Inc.................................... 5,000 63,125
*HPSC, Inc............................................ 3,600 33,975
*HS Resources, Inc.................................... 22,700 272,400
Haggar Corp........................................... 7,000 88,812
#Halifax Corp......................................... 2,000 8,000
*Hallmark Capital Corp................................ 2,200 26,125
*Halter Marine Group, Inc............................. 31,700 233,787
*Hampton Industries, Inc.............................. 6,600 29,287
Hancock Fabrics, Inc.................................. 6,000 34,125
*Handleman Co......................................... 12,000 141,750
Harbor Florida Bancshares, Inc........................ 8,500 101,734
*Harding Lawson Associates Group, Inc................. 5,800 48,937
Hardinge Brothers, Inc................................ 11,400 198,431
Harleysville Group, Inc............................... 26,800 519,250
Harman International Industries, Inc.................. 13,400 594,625
Harnischfeger Industries, Inc......................... 63,000 452,812
*Hartmarx Corp........................................ 41,700 205,894
*Harvey Entertainment Co.............................. 4,300 27,412
*Hastings Entertainment, Inc.......................... 5,000 57,187
*Hauser, Inc.......................................... 9,000 22,219
Haven Bancorp, Inc.................................... 9,000 126,000
*Hawaiian Airlines, Inc............................... 36,900 101,475
*Hawker Pacific Aerospace............................. 6,000 16,125
*Hawthorne Financial Corp............................. 4,500 71,016
*Headway Corporate Resources, Inc..................... 11,600 53,287
*Health Management Systems, Inc....................... 15,000 85,312
*Health Risk Management, Inc.......................... 4,100 42,281
*Healthcare Services Group, Inc....................... 11,600 106,575
Healthplan Services Corp.............................. 21,900 194,362
Heilig-Meyers Co...................................... 57,850 401,334
*Heist (C.H.) Corp.................................... 1,100 7,287
*Hello Direct, Inc.................................... 2,300 26,091
*Helmerich & Payne, Inc............................... 18,700 435,944
Heritage Financial Corp............................... 7,500 61,641
*Hexcel Corp.......................................... 15,900 169,931
*Hi-Tech Pharmacal, Inc............................... 4,200 17,587
*High Plains Corp..................................... 4,800 10,050
*Highlands Insurance Group, Inc....................... 12,200 130,387
*Hirsch International Corp. Class A................... 8,100 17,972
*Holiday RV Superstores, Inc.......................... 500 1,797
</TABLE>
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<TABLE>
<CAPTION>
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Holly Corp............................................ 3,300 $ 42,075
*Hollywood Park, Inc.................................. 22,700 327,731
*Hologic, Inc......................................... 12,500 95,312
*Home Products International, Inc..................... 7,300 61,366
*#Homebase, Inc....................................... 36,300 206,456
*Homestead Village, Inc............................... 36,700 107,806
Horizon Financial Corp................................ 6,800 93,712
*Hospitality Worldwide Services, Inc.................. 9,500 33,250
*Houston Exploration Co............................... 24,500 460,906
*Hovnanian Enterprises, Inc. Class A.................. 16,800 136,500
*Hub Group, Inc. Class A.............................. 6,300 175,219
Hughes Supply, Inc.................................... 23,100 622,256
Hunt (J.B.) Transport Services, Inc................... 25,000 423,437
Hunt Corp............................................. 15,100 151,944
Huntco, Inc. Class A.................................. 6,300 18,112
*Hurco Companies, Inc................................. 6,600 42,487
*Hypercom Corp........................................ 33,600 237,300
*Hyseq, Inc........................................... 10,500 34,781
*ICT Group, Inc....................................... 10,400 53,625
*IDT Corp............................................. 12,000 265,125
*IEC Electronics Corp................................. 9,000 32,625
*IFR Systems, Inc..................................... 9,800 38,587
*II-VI, Inc........................................... 8,200 74,056
IMCO Recycling, Inc................................... 14,200 237,850
*IRI International Corp............................... 12,500 62,500
ISB Financial Corp. LA................................ 7,000 149,187
*ITEQ, Inc............................................ 25,200 52,762
*ITLA Capital Corp.................................... 6,700 108,037
*IVI Checkmate Corp................................... 10,000 29,531
*Ikos Systems, Inc.................................... 3,600 31,275
*Imation Corp......................................... 50,300 1,182,050
*Imperial Credit Industries, Inc...................... 36,300 301,744
Imperial Sugar Co..................................... 21,500 130,344
*In Focus Systems, Inc................................ 15,400 162,181
*Inacom Corp.......................................... 17,340 191,824
*Industrial Distribution Group, Inc................... 10,100 68,175
*Information Management Associates, Inc............... 12,000 39,750
*Information Resources, Inc........................... 26,800 228,637
Ingles Market, Inc. Class A........................... 10,900 131,822
*Inprise Corp......................................... 10,000 36,250
*Input/Output, Inc.................................... 48,300 410,550
*Inso Corp............................................ 13,900 94,911
Insteel Industries, Inc............................... 10,000 86,250
*Insurance Auto Auctions, Inc......................... 13,500 175,500
*Integrated Device Technology, Inc.................... 26,400 208,725
*Integrated Measurement System, Inc................... 8,900 99,012
*Integrated Orthopedics, Inc.......................... 2,500 2,812
*Integrated Silicon Solution, Inc..................... 18,600 49,406
Interface, Inc. Class A............................... 48,800 381,250
*Intergraph Corp...................................... 59,500 474,141
*Interim Services, Inc................................ 35,300 769,981
*Intermagnetics General Corp.......................... 11,800 92,187
International Aluminum Corp........................... 1,700 47,387
International Multifoods Corp......................... 1,900 41,800
*International Rectifier Corp......................... 78,000 848,250
International Shipholding Corp........................ 6,400 89,200
*International Speciality Products, Inc............... 200 1,875
*International Total Services, Inc.................... 5,500 20,969
*Interphase Corp...................................... 5,900 84,812
Interpool, Inc........................................ 14,900 187,181
*Intertan, Inc........................................ 15,200 234,650
<CAPTION>
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<S> <C> <C>
*Ionics, Inc.......................................... 13,400 $ 419,587
*Iridex Corp.......................................... 6,200 26,350
Isco, Inc............................................. 4,500 25,312
*Isle of Capri Casinos, Inc........................... 23,700 167,011
*Isolyser Co., Inc.................................... 8,300 29,439
*#Itron, Inc.......................................... 14,400 119,250
*J. Alexander's Corp.................................. 5,200 21,450
*JDA Software Group, Inc.............................. 17,100 152,831
*JLK Direct Distribution, Inc. Class A................ 5,000 55,000
JSB Financial, Inc.................................... 9,200 471,500
*Jackpot Enterprises, Inc............................. 7,800 64,837
Jacksonville Bancorp, Inc............................. 2,200 34,925
*Jaco Electronics, Inc................................ 3,400 12,962
*Jacobson Stores, Inc................................. 6,900 50,887
*Jan Bell Marketing, Inc.............................. 27,100 82,994
*Jason, Inc........................................... 16,200 136,687
*Jean Philippe Fragrances, Inc........................ 7,800 63,862
*Jevic Transportation, Inc............................ 5,100 52,116
*Johnson Worldwide Associates, Inc. Class A........... 8,200 73,287
*Johnston Industries, Inc............................. 12,800 28,800
*Johnstown American Industries, Inc................... 10,000 156,875
*Jos. A. Bank Clothiers, Inc.......................... 4,400 31,556
*#Just for Feet, Inc.................................. 32,100 243,759
Justin Industries, Inc................................ 27,300 362,578
K2, Inc............................................... 16,800 166,950
*KBK Capital Corp..................................... 3,800 24,700
KCS Energy, Inc....................................... 26,100 14,681
*KLLM Transport Services, Inc......................... 5,100 34,425
*KVH Industries, Inc.................................. 2,900 7,069
*Kaiser Aluminum Corp................................. 74,150 648,812
*Kaiser Ventures, Inc................................. 9,300 130,200
Kaman Corp. Class A................................... 20,600 274,237
*Kasper A.S.L., Ltd................................... 4,800 27,900
Katy Industries, Inc.................................. 7,700 126,569
Kellwood Co........................................... 20,300 482,125
*Kemet Corp........................................... 40,700 653,744
Kennametal, Inc....................................... 20,400 580,125
*Kent Electronics Corp................................ 24,600 321,337
Kentek Information Systems, Inc....................... 800 6,175
Kentucky First Bancorp, Inc........................... 400 4,800
*Kevco, Inc........................................... 3,700 23,125
Kewaunee Scientific Corp.............................. 2,500 24,062
*Key Energy Group, Inc................................ 17,900 57,056
*Key Production Co., Inc.............................. 11,400 96,900
*Key Technology, Inc.................................. 2,900 25,012
*Key Tronic Corp...................................... 11,500 61,453
*Keystone Consolidated Industries, Inc................ 9,600 70,200
*Kinark Corp.......................................... 6,200 13,950
*Kinnard Investment, Inc.............................. 5,200 21,044
*Kitty Hawk, Inc...................................... 16,400 129,663
Klamath First Bancorp, Inc............................ 8,700 136,481
*Komag, Inc........................................... 11,000 41,594
*Kulicke & Soffa Industries, Inc...................... 4,400 92,675
LNR Property Corp..................................... 27,400 548,000
LTV Corp.............................................. 117,200 717,850
*LTX Corp............................................. 15,300 136,744
*Ladd Furniture, Inc.................................. 7,300 149,650
*Lai Worldwide, Inc................................... 7,400 43,938
*Lam Research Corp.................................... 12,200 338,169
*Lamson & Sessions Co................................. 16,100 94,588
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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*Lancer Corp.......................................... 5,500 $ 42,969
Landamerica Financial Group, Inc...................... 12,800 367,200
*Landrys Seafood Restaurants, Inc..................... 32,100 296,925
*Layne Christensen Co................................. 10,600 70,888
*Lazare Kaplan International, Inc..................... 7,700 73,150
*Leapnet, Inc......................................... 11,900 29,378
*#Leasing Solutions, Inc.............................. 6,500 6,906
*Lechters, Inc........................................ 16,600 38,388
Liberty Corp.......................................... 11,500 594,406
Life USA Holdings, Inc................................ 22,700 453,291
Lillian Vernon Corp................................... 8,300 106,863
Lindberg Corp......................................... 6,900 81,075
*Loews Cineplex Entertainment Corp.................... 26,900 257,231
*#Logic Devices, Inc.................................. 5,300 18,384
*Lone Star Steakhouse Saloon.......................... 38,200 387,969
*Lone Star Technologies, Inc.......................... 20,200 314,363
Longview Fibre Co..................................... 59,900 812,394
*Louis Dreyfus Natural Gas Corp....................... 36,500 711,750
Lufkin Industries, Inc................................ 6,800 114,113
*Lumisy, Inc.......................................... 3,000 11,625
*Lunar Corp........................................... 9,200 76,188
*Lydall, Inc. DE...................................... 18,700 225,569
*Lynch Corp........................................... 400 31,100
M.A. Hanna Co......................................... 47,300 697,675
M/A/R/C, Inc.......................................... 2,000 29,938
MDC Holdings, Inc..................................... 13,900 274,525
*MEMC Electronic Materials, Inc....................... 38,000 313,500
#MFB Corp............................................. 1,400 30,013
*MFRI, Inc............................................ 3,900 17,672
MI Schottenstein Homes, Inc........................... 8,100 156,938
MMI Companies, Inc.................................... 19,500 336,375
*MRV Communications, Inc.............................. 23,300 272,319
*MS Carriers, Inc..................................... 8,900 283,131
*Magellan Health Services, Inc........................ 14,500 116,906
*Magnetek, Inc........................................ 29,700 300,713
*Magnum Hunter Resources, Inc......................... 21,100 76,488
*Main Street & Main, Inc.............................. 9,300 33,131
*Mallon Resources Corp................................ 1,500 13,125
*Manchester Equipment Co., Inc........................ 7,500 24,375
*Manugistic Group, Inc................................ 16,000 144,500
Marcus Corp........................................... 16,700 209,794
*Marine Drilling Companies, Inc....................... 27,000 388,125
*Marine Transport Corp................................ 4,000 17,125
Maritrans, Inc........................................ 14,400 82,800
Mark IV Industries, Inc............................... 39,900 738,150
*Marlton Technologies, Inc............................ 6,800 31,875
Marsh Supermarkets, Inc. Class A...................... 3,100 46,113
Marsh Supermarkets, Inc. Class B...................... 4,400 55,000
*Marshall Industries.................................. 16,000 282,000
Massbank Corp. Reading, MA............................ 3,300 123,750
*Material Sciences Corp............................... 25,100 279,238
*Matlack Systems, Inc................................. 10,500 54,469
*Matrix Pharmaceutical, Inc........................... 19,700 92,652
*Matrix Service Co.................................... 11,500 45,281
*Maverick Tube Corp................................... 13,900 180,266
*Max & Ermas Restaurants, Inc......................... 1,400 10,150
*Maxco, Inc........................................... 2,700 18,056
*Maxicare Health Plans, Inc........................... 4,900 24,347
*Maxim Group, Inc..................................... 10,300 92,700
*Maxxam, Inc.......................................... 6,400 392,000
*Maxxim Medical, Inc.................................. 12,400 196,850
*Maynard Oil Co....................................... 5,800 56,550
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*McNaughton Apparel Group, Inc........................ 7,200 $ 43,650
*McWhorter Technologies, Inc.......................... 11,000 152,625
*#Meadow Valley Corp.................................. 2,400 11,100
Meadowbrook Insurance Group, Inc...................... 10,200 137,700
*Medaphis Corp........................................ 19,800 98,381
Medford Bancorp, Inc.................................. 12,400 204,600
*Media 100, Inc....................................... 7,500 50,391
*Medical Action Industries, Inc....................... 1,200 3,563
*Medical Alliance, Inc................................ 6,700 18,006
*#Medical Resources, Inc.............................. 7,300 15,284
*Medirisk, Inc........................................ 5,700 58,959
*Medstone International, Inc.......................... 4,600 33,494
Merchants Group, Inc.................................. 2,200 48,125
*Meridian Data, Inc................................... 8,300 62,769
Meridian Insurance Group, Inc......................... 5,800 96,063
*Meridian Medical Technology, Inc..................... 2,000 12,063
*Meridian Resource Corp............................... 19,900 106,963
*Merix Corp........................................... 5,700 34,200
*#Metal Management, Inc............................... 36,100 66,559
*Metals USA, Inc...................................... 43,800 503,700
*Metatec Corp. Class A................................ 7,200 32,175
*Metrocall, Inc....................................... 39,500 115,414
*Metromedia International Group, Inc.................. 34,000 282,625
*Michael Anthony Jewelers, Inc........................ 8,600 33,863
Michael Foods, Inc.................................... 1,400 32,813
*Michaels Stores, Inc................................. 45,600 1,222,650
*#Micrion Corp........................................ 2,100 25,200
*Micro Linear Corp.................................... 13,600 49,088
*Micro Warehouse, Inc................................. 6,200 96,294
*Microcide Pharmaceuticals, Inc....................... 11,500 48,336
*Microsemi Corp....................................... 7,500 72,891
*Microtest, Inc....................................... 7,900 20,984
*Microtouch Systems, Inc.............................. 7,300 107,219
*Middleby Corp........................................ 12,500 60,547
Midland Co............................................ 3,700 90,650
*Midway Airlines Corp................................. 5,000 51,563
*Midwest Grain Products, Inc.......................... 8,800 81,950
Mikasa, Inc........................................... 15,300 170,213
*Mikohn Gaming Corp................................... 12,700 48,419
Milacron, Inc......................................... 1,200 25,575
*Miller Industries, Inc............................... 52,200 251,213
Mississippi Chemical Corp............................. 24,500 235,813
*Mitcham Industries, Inc.............................. 8,300 35,405
Mitchell Energy & Development Corp. Class A........... 19,600 313,600
Mitchell Energy & Development Corp. Class B........... 23,000 370,875
Mobile America Corp................................... 6,700 25,753
*Monarch Dental Corp.................................. 11,100 39,891
Monarch Machine Tool Co............................... 4,500 39,656
*Monro Muffler Brake, Inc............................. 7,600 64,363
Monterey Bay Bancorp, Inc............................. 2,900 42,050
*Moore Medical Corp................................... 2,600 27,463
Moore Products Co..................................... 2,000 46,750
*Morgan Products, Ltd................................. 12,400 46,113
*Mosaix, Inc.......................................... 18,300 192,150
*Motor Car Parts & Accessories, Inc................... 7,500 43,359
*Motor Club of America................................ 500 6,328
*Movie Gallery, Inc................................... 16,100 99,116
*Mutual Savings Bank FSB Bay City, MI................. 4,100 52,916
*Mylex Corp........................................... 18,700 98,759
</TABLE>
8
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CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*N & F Worldwide Corp................................. 12,800 $ 99,200
*NABI, Inc............................................ 41,800 118,869
NAC RE Corp........................................... 14,100 769,331
NCH Corp.............................................. 6,000 329,250
*NCS Healthcare, Inc.................................. 11,300 153,963
NN Ball & Roller, Inc................................. 2,300 12,938
*NPS Pharmaceuticals, Inc............................. 1,300 9,100
*NS Group, Inc........................................ 20,400 145,350
Nacco Industries, Inc. Class A........................ 7,200 537,300
Nash Finch Co......................................... 11,400 106,163
*Nashua Corp.......................................... 6,000 68,250
*Nastech Pharmaceutical Co., Inc...................... 7,100 18,859
*Nathans Famous, Inc.................................. 4,400 16,638
*National City Bancorp................................ 9,000 180,000
*National Discount Brokers Group, Inc................. 1,400 65,100
*National Home Health Care Corp....................... 2,000 8,688
National Presto Industries, Inc....................... 9,600 358,200
*National Processing, Inc............................. 7,600 45,600
*National Record Mart, Inc............................ 3,000 22,594
National Steel Corp. Class B.......................... 21,200 161,650
National Technical Systems, Inc....................... 2,000 9,000
*National Techteam, Inc............................... 16,300 87,103
*Natural Alternatives International, Inc.............. 6,800 24,438
*Natural Microsystems Corp............................ 9,100 55,738
*Natural Wonders, Inc................................. 7,200 26,775
Nelson (Thomas), Inc.................................. 6,600 64,763
*Netmanage, Inc....................................... 49,500 130,711
*Network Computing Devices, Inc....................... 12,900 61,275
*Network Equipment Technologies, Inc.................. 22,000 228,250
*Neurocrine Biosciences, Inc.......................... 15,500 84,281
*New Brunswick Scientific Co., Inc.................... 5,060 47,438
*New Mexico & Arizona Land Co......................... 6,450 48,375
*Newcor, Inc.......................................... 3,900 18,525
Newmil Bancorp, Inc................................... 3,000 30,188
*Newpark Resources, Inc............................... 34,400 309,600
*#Niagara Corp........................................ 9,600 68,700
*Nine West Group...................................... 30,700 851,925
*Nitinol Medical Technologies, Inc.................... 10,200 31,875
*Norstan, Inc......................................... 9,800 110,556
North Central Bancshares, Inc......................... 3,500 62,344
*North Face, Inc...................................... 11,300 101,347
Northeast Bancorp..................................... 2,200 23,100
Northland Cranberries, Inc. Class A................... 17,300 156,241
*Northwest Pipe Co.................................... 6,400 110,000
*Novacare, Inc........................................ 31,200 66,300
*Novametrix Medical Systems, Inc...................... 2,500 10,781
*Nu Horizons Electronics Corp......................... 8,900 55,069
*Nuevo Energy Co...................................... 20,900 318,725
*Numerex Corp. Class A................................ 9,400 34,956
O'Sullivan Corp....................................... 14,700 130,463
*O'Sullivan Industries Holdings, Inc.................. 19,700 327,513
*O.I. Corp............................................ 4,000 19,125
*ODS Networks, Inc.................................... 14,800 50,875
*OMNI Energy Services Corp............................ 13,300 58,188
*OSI Pharmaceutical, Inc.............................. 15,600 85,800
*OSI Systems, Inc..................................... 8,600 46,225
*Oak Technology, Inc.................................. 38,800 135,194
Oakwood Homes Corp.................................... 27,500 343,750
*Objective Systems Integrators, Inc................... 39,000 111,516
Ocean Financial Corp.................................. 14,500 254,203
*Oceaneering International, Inc....................... 19,000 293,313
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ocwen Financial Corp................................. 56,200 $ 488,238
*Offshore Logistics, Inc.............................. 20,800 234,650
Oglebay Norton Co..................................... 3,800 92,863
*Old Dominion Freight Lines, Inc...................... 7,500 88,125
*Olin Corp............................................ 22,000 291,500
Olsten Corp........................................... 62,800 557,350
*Olympic Steel, Inc................................... 12,800 98,400
*Omega Health System, Inc............................. 8,400 63,788
*Omega Protein Corp................................... 7,000 42,875
*On Command Corp...................................... 3,100 43,303
*One Price Clothing Stores, Inc....................... 10,900 44,792
*Ontrack Data International, Inc...................... 7,500 34,922
*Onyx Acceptance Corp................................. 7,400 58,506
*Opta Food Ingredients, Inc........................... 13,300 43,433
*Opti, Inc............................................ 11,100 70,416
*Option Care, Inc..................................... 1,400 3,281
*Orange Co., Inc...................................... 9,900 50,738
Oregon Steel Mills, Inc............................... 24,700 338,081
Oregon Trail Financial Corp........................... 4,000 51,875
Orion Capital Corp.................................... 32,300 942,756
*Oroamerica, Inc...................................... 7,600 58,188
*Ortel Corp........................................... 8,700 93,525
*Orthologic Corp...................................... 25,900 69,202
Oshkosh Truck Corp. Class B........................... 1,000 39,563
*Oshman's Sporting Goods, Inc......................... 5,300 13,913
*Osmonics, Inc........................................ 13,700 160,975
*Outsource International, Inc......................... 9,000 40,359
Owosso Corp........................................... 6,900 36,225
Oxford Industries, Inc................................ 6,600 183,150
*P-Com, Inc........................................... 26,800 118,506
*PAM Transportation Services, Inc..................... 5,200 47,125
*PC Service Source, Inc............................... 5,000 19,063
*PLM International, Inc............................... 9,800 58,800
*PMR Corp............................................. 5,500 21,484
*PPT Vision, Inc...................................... 6,500 30,875
PXRE Corp............................................. 12,000 223,500
*Pameco Corp.......................................... 5,000 39,063
Pamrapo Bancorp, Inc.................................. 3,900 89,944
*Panera Bread CO...................................... 12,300 86,100
*Par Technology Corp.................................. 10,400 67,600
Park Electrochemical Corp............................. 4,500 107,719
*Parker Drilling Co................................... 83,900 262,188
*Park-Ohio Holdings Corp.............................. 11,500 186,156
*Parlex Corp.......................................... 3,700 51,338
*Parlux Fragrances, Inc............................... 13,400 27,219
#Patina Oil & Gas Corp................................ 16,800 86,100
Patrick Industries, Inc............................... 5,700 74,100
*Patterson Energy, Inc................................ 29,200 242,269
*Paul Harris Stores, Inc.............................. 12,800 82,800
Paula Financial, Inc.................................. 5,500 47,266
*#Paul-Son Gaming Corp................................ 2,200 13,269
*Paxson Communications Corp........................... 60,000 776,250
*Paymentech, Inc...................................... 22,800 571,425
Peerless Manufacturing Co............................. 1,200 12,788
Penford Corp.......................................... 6,800 89,463
Penn Virginia Corp.................................... 8,300 160,813
Penn-America Group, Inc............................... 8,500 93,500
Pennfed Financial Services, Inc....................... 8,400 122,325
*Pennzenergy Co....................................... 10,000 154,375
*Pentacon, Inc........................................ 5,000 24,688
Peoples Bancor........................................ 42,300 440,184
#Pep Boys - Manny, Moe & Jack......................... 44,600 841,825
</TABLE>
9
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Perceptron, Inc...................................... 7,500 $ 37,969
*Perini Corp.......................................... 4,800 24,000
*Periphonics Corp..................................... 3,000 32,063
*Perrigo Co........................................... 12,400 113,538
*Personnel Group of America, Inc...................... 29,200 332,150
*Petco Animal Supplies, Inc........................... 29,000 408,719
*Petrocorp, Inc....................................... 5,800 34,800
*Petroleum Development Corp........................... 14,700 66,839
*Phar-Mor, Inc........................................ 17,000 81,281
*Phillips (R.H.), Inc................................. 2,100 6,891
Phillips-Van Heusen Corp.............................. 30,400 266,000
*Phoenix International, Ltd........................... 7,200 45,225
Phoenix Investment Partners, Ltd...................... 6,500 63,781
*Phoenix Technologies, Ltd............................ 14,800 160,950
*Phycor, Inc.......................................... 71,200 499,513
*Phymatrix Corp....................................... 16,100 26,414
*Physician Reliance Network, Inc...................... 33,800 315,819
Piccadilly Cafeterias, Inc............................ 9,700 103,063
*Pico Holdings, Inc................................... 6,860 138,915
*Picturetel Corp...................................... 29,900 264,428
*Piercing Pagoda, Inc................................. 1,600 19,600
Pillowtex Corp........................................ 14,300 232,375
Pioneer Natural Resources Co.......................... 55,200 600,300
Pioneer Standard Electronics, Inc..................... 31,600 309,088
Pitt-Des Moines, Inc.................................. 8,200 207,050
Pittston Co. Burlington Group......................... 23,200 250,850
*Planar Systems, Inc.................................. 12,800 103,200
*#Planet Hollywood, Inc............................... 131,000 114,625
*Plasma-Therm, Inc.................................... 8,200 25,113
*Play By Play Toys and Novelties, Inc................. 7,000 36,750
*Players International, Inc........................... 38,300 250,147
Pocahontas Bancorp, Inc............................... 6,000 43,125
*Polymedica Industries, Inc........................... 7,000 60,594
*Polymer Group, Inc................................... 34,000 416,500
*Pool Energy Services Co.............................. 18,850 315,148
Pope & Talbot, Inc.................................... 16,100 161,000
*Powerhouse Technologies, Inc......................... 1,100 20,316
*Praegitzer Industries, Inc........................... 3,600 19,575
*Precision Response, Corp............................. 9,500 55,813
*Premiumwear, Inc..................................... 1,800 10,013
Presidential Life Corp................................ 36,700 673,216
*Price Communications Corp............................ 42,468 605,169
*Pride International, Inc............................. 56,500 589,719
*Primark Corp......................................... 19,200 519,600
*Prime Hospitality Corp............................... 58,500 610,594
*Prime Medical Services, Inc.......................... 19,300 144,147
*Printronix, Inc...................................... 4,300 60,738
*ProMedCo Management Company.......................... 33,800 138,369
*Protection One, Inc.................................. 25,500 140,250
*Protocol Systems, Inc................................ 10,000 95,313
*Provident Financial Holdings, Inc.................... 5,200 96,688
Pulaski Furniture Corp................................ 2,300 48,013
*Pulte Corp........................................... 9,000 214,313
*QEP Co., Inc......................................... 2,000 15,250
*QMS, Inc............................................. 12,800 56,800
*Qad, Inc............................................. 10,100 35,034
*Quaker Fabric Corp................................... 15,400 77,481
*Quality Dining, Inc.................................. 15,100 46,244
*Quality Systems, Inc................................. 5,800 33,713
Quanex Corp........................................... 13,800 360,525
*Quest Diagnostics, Inc............................... 30,800 787,325
Quipp, Inc............................................ 900 12,375
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Quorum Health Group, Inc............................. 6,400 $ 80,200
*R & B, Inc........................................... 8,200 69,700
*RCM Technologies, Inc................................ 3,500 50,641
*RDO Equipment Co. Class A............................ 6,100 56,425
RLI Corp.............................................. 9,600 357,000
*RMH Teleservices, Inc................................ 1,800 5,344
RPC, Inc.............................................. 14,600 131,400
*#RTI International Metals, Inc....................... 21,800 290,213
*RTW, Inc............................................. 7,100 45,263
*Radiance Medical Systems, Inc........................ 11,100 31,219
*Railtex, Inc......................................... 13,500 187,313
*Rainforest Cafe, Inc................................. 23,300 125,966
#Range Resources Corp................................. 47,900 230,519
Raven Industries, Inc................................. 4,500 72,000
*Raytel Med Corp...................................... 7,400 38,156
*Reading Entertainment, Inc........................... 5,900 46,647
*#Recoton Corp........................................ 18,300 182,714
*Red Roof Inns, Inc................................... 32,700 588,600
*Redhook Ale Brewery, Inc............................. 7,200 28,575
*Refac Technology Development Corp.................... 4,500 31,500
*Reliability, Inc..................................... 7,100 29,066
Reliance Bancorp, Inc................................. 9,800 274,094
*Reliance Group Holdings, Inc......................... 100,000 993,750
Reliance Steel and Aluminum Co........................ 10,400 370,500
*Remington Oil & Gas Corp............................. 1,200 4,988
*Rental Service Corp.................................. 15,600 372,450
*#Reptron Electronics, Inc............................ 6,700 27,847
*Republic Bankshares, Inc............................. 9,800 188,038
*Republic First Bancorp, Inc.......................... 4,900 37,363
*Research Partners International, Inc................. 6,300 23,428
Resource America, Inc................................. 15,700 226,178
Resource Bancshares Mortgage Group, Inc............... 29,100 302,822
*Response Oncology, Inc............................... 14,400 46,350
*Rex Stores Corp...................................... 6,400 132,000
Richardson Electronics, Ltd........................... 7,300 48,134
*Riddell Sports, Inc.................................. 8,000 24,000
Riggs National Corp................................... 27,500 456,328
Riverview Bancorp, Inc................................ 5,100 60,881
*Roadhouse Grill, Inc................................. 10,100 67,859
Roadway Express, Inc.................................. 5,200 100,425
Roanoke Electric Steel Corp........................... 8,800 140,800
*Robinson Nugent, Inc................................. 3,900 15,234
*Robotic Vision Systems, Inc.......................... 21,000 60,047
*Rock Bottom Restaurants, Inc......................... 12,800 115,000
*Rock of Ages Co...................................... 3,700 39,544
*Rockshox, Inc........................................ 11,700 11,700
Rock-Tenn Co. Class A................................. 26,300 397,788
*Rocky Shoes & Boots, Inc............................. 5,000 33,594
*Rofin-Sinar Technologies, Inc........................ 8,600 70,681
Rollins Truck Leasing Corp............................ 56,500 614,438
*Rottlund, Inc........................................ 2,000 10,000
Rouge Industries, Inc. Class A........................ 14,300 125,125
*Rowan Companies, Inc................................. 62,500 1,054,688
*Royal Appliance Manufacturing Co..................... 2,000 9,000
*Rural/Metro Corp..................................... 14,300 106,356
Russ Berrie & Co., Inc................................ 8,100 208,069
Russell Corp.......................................... 40,200 942,188
Ryland Group, Inc..................................... 17,400 483,938
*S&K Famous Brands, Inc............................... 6,000 57,938
*S3, Inc.............................................. 5,200 34,938
SCPIE Holdings, Inc................................... 11,600 330,600
</TABLE>
10
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SED International Holdings, Inc...................... 9,200 $ 23,288
*SEMX Corp............................................ 5,800 17,581
SJW Corp.............................................. 2,500 163,750
*SMC Corp............................................. 6,500 33,719
*SOS Staffing Services, Inc........................... 11,500 69,719
*SPR, Inc............................................. 1,500 10,078
*STM Wireless, Inc. Class A........................... 8,400 22,575
*Safety 1st, Inc...................................... 5,700 30,281
*Safety Components International, Inc................. 4,500 23,344
*San Filippo (John B.) & Son, Inc..................... 6,500 22,547
Sanderson Farms, Inc.................................. 1,000 13,313
*Santa Fe Snyder Corp................................. 61,400 521,900
*Saucony, Inc. Class A................................ 2,100 37,209
*Saucony, Inc. Class B................................ 3,000 50,813
*Savoir Technology Group, Inc......................... 6,000 58,125
*Scan-Optics, Inc..................................... 8,800 29,425
*Scheid Vineyards, Inc................................ 3,100 16,372
*Schieb (Earl), Inc................................... 3,400 15,938
*Schlotzskys, Inc..................................... 9,700 101,244
Schnitzer Steel Industries, Inc. Class A.............. 5,100 77,138
*Schuler Homes, Inc................................... 24,100 174,725
Schulman (A.), Inc.................................... 2,600 43,388
Scope Industries, Inc................................. 400 28,000
Scotsman Industries, Inc.............................. 10,600 217,963
*Seacor Smit, Inc..................................... 14,000 694,750
*Seattle Filmworks, Inc............................... 12,000 38,625
*Segue Software, Inc.................................. 8,000 50,750
*Seibels Bruce Group, Inc............................. 8,700 42,413
*Seitel, Inc.......................................... 19,900 314,669
Selas Corp. of America................................ 6,300 37,013
Selective Insurance Group, Inc........................ 31,600 592,500
*Semitool, Inc........................................ 11,700 99,816
*Sensormatic Electronics Corp......................... 67,600 904,150
*Sequa Corp. Class A.................................. 8,900 515,088
*Sequent Computer Systems, Inc........................ 42,800 559,075
*Service Experts, Inc................................. 16,000 297,000
*Shaw Group, Inc...................................... 11,100 144,994
Shelby Williams Industries, Inc....................... 2,000 32,750
*#Sheldahl, Inc....................................... 10,400 62,725
*Shells Seafood Restaurants, Inc...................... 1,700 7,491
*Shiloh Industries, Inc............................... 10,400 129,025
*Sierra Health Services, Inc.......................... 6,000 91,500
Sifco Industries, Inc................................. 5,100 45,263
*Sight Resource Corp.................................. 7,100 27,734
*Signature Eyewear, Inc............................... 2,500 9,688
*Silicon Storage Technology, Inc...................... 11,400 55,931
*Silicon Valley Group, Inc............................ 34,900 482,056
*Silverleaf Resorts, Inc.............................. 7,300 56,575
*Simione Central Holdings, Inc........................ 6,800 18,169
*Simon Transportation Services, Inc................... 6,400 37,200
Simpson Industries, Inc............................... 21,800 219,363
*Simula, Inc.......................................... 8,200 44,075
*Sitel Corp........................................... 48,100 132,275
*SkyePharma P.L.C. ADR................................ 488 4,224
Smart & Final Food, Inc............................... 21,500 205,594
*Smartflex Systems, Inc............................... 6,000 25,875
Smith (A.O.) Corp..................................... 12,600 307,125
Smith (A.O.) Corp. Convertible Class A................ 5,600 135,800
*Softech, Inc......................................... 5,900 13,644
*#Software Spectrum, Inc.............................. 3,700 50,066
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sola International, Inc.............................. 24,700 $ 412,181
*Sound Advice, Inc.................................... 900 2,798
South Jersey Industries, Inc.......................... 10,700 299,600
*Southern Energy Homes, Inc........................... 12,500 57,813
*Southwall Technologies, Inc.......................... 7,000 22,203
Southwestern Energy Co................................ 23,900 225,556
*Spacehab, Inc........................................ 9,000 49,219
*Spacelabs Medical, Inc............................... 8,700 135,394
Spartan Motors, Inc................................... 15,000 86,719
*Sparton Corp......................................... 9,300 57,544
*Spectran Corp........................................ 8,400 77,306
*Spectrian Corp....................................... 11,200 141,400
*Spectrum Control, Inc................................ 10,000 61,875
*SpeedFam-IPEC, Inc................................... 25,367 331,356
*Speizman Industries, Inc............................. 2,600 8,450
*Spiegel, Inc. Class A Non-Voting..................... 9,000 66,094
*Sport Chalet, Inc.................................... 2,600 15,275
*Sport Supply Group, Inc.............................. 1,000 10,500
*#Sport-Haley, Inc.................................... 3,700 16,072
*Sports Authority, Inc................................ 36,000 180,000
*Sportsman's Guide, Inc............................... 3,000 15,047
Springs Industries, Inc. Class A...................... 9,500 376,438
St. Mary Land & Exploration Co........................ 10,400 206,050
*Staffmark, Inc....................................... 8,200 89,431
Standard Commercial Corp.............................. 15,300 97,538
*Standard Management Corp............................. 7,300 47,222
*Standard Microsystems Corp........................... 18,600 145,313
Standard Pacific Corp. DE............................. 33,300 437,063
Standard Products Co.................................. 19,800 441,788
*Star Buffet, Inc..................................... 2,900 17,581
Starrett (L.S.) Co. Class A........................... 6,700 182,156
*#Starter Corp........................................ 15,000 18,750
Steel Technologies, Inc............................... 13,700 122,872
Stephan Co............................................ 4,000 19,500
*Sterling Financial Corp. WA.......................... 7,300 109,956
Stewart & Stevenson Services, Inc..................... 24,800 275,125
Stewart Information Services Corp..................... 12,200 237,138
Stifel Financial Corp................................. 6,510 62,252
Stone & Webster, Inc.................................. 12,000 294,000
*Strategic Distribution, Inc.......................... 37,500 87,305
*Stratus Properties, Inc.............................. 12,100 56,719
*Suburban Lodges of America, Inc...................... 16,300 109,516
*Success Bancshares, Inc.............................. 2,400 26,100
*Successories, Inc.................................... 10,100 31,563
*#Sun Healthcare Group, Inc........................... 10,000 11,250
*#Sunbeam Corp........................................ 56,300 397,619
*Sunrise Medical, Inc................................. 19,500 162,094
*Sunrise Resources, Inc............................... 7,000 28,656
Superior Surgical Manufacturing Co., Inc.............. 7,700 103,950
*Suprema Specialties, Inc............................. 4,000 24,625
*Supreme International Corp........................... 6,900 74,391
*Surety Capital Corp.................................. 3,700 5,550
*Swift Energy Corp.................................... 15,800 204,413
*Swiss Army Brands, Inc............................... 9,400 77,844
*Sybron Chemicals, Inc................................ 2,200 42,763
*Sylvan, Inc.......................................... 4,600 52,325
*Symmetricom, Inc..................................... 17,200 108,575
*Symons International Group, Inc...................... 8,900 42,553
*Syms Corp............................................ 18,400 146,050
Synalloy Corp. DE..................................... 6,700 55,275
*Synbiotics Corp...................................... 8,200 31,263
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Synthetic Industries, Inc............................ 6,900 $ 155,034
*TBC Corp............................................. 25,400 180,181
*TCSI Corp............................................ 21,400 55,841
*TEAM America Corp.................................... 500 2,359
TF Financial Corp..................................... 1,100 22,550
*#TII Industries, Inc................................. 6,400 11,600
*TRC Companies, Inc................................... 6,600 33,413
*TRM Copy Centers Corp................................ 6,600 40,838
Tab Products Co. DE................................... 6,100 39,650
*Tandy Crafts, Inc.................................... 14,600 49,275
Team, Inc............................................. 4,800 16,200
*Tech Data Corp....................................... 10,600 389,881
*Tech-Sym Corp........................................ 7,700 168,919
*Tecumseh Products Co. Class B........................ 1,000 59,938
*Tegal Corp........................................... 12,700 44,053
Tektronix, Inc........................................ 9,700 224,919
*Telcom Semiconductor, Inc............................ 8,500 48,609
Telxon Corp........................................... 16,000 167,500
Terra Industries, Inc................................. 72,000 283,500
*Tesoro Petroleum Corp................................ 37,000 437,063
*Tesseract Group, Inc................................. 8,500 28,953
*Tetra Technologies, Inc.............................. 16,200 137,700
Texas Industries, Inc................................. 24,300 883,913
*Thermedics, Inc...................................... 21,300 183,713
*#Thermo Bioanalysis Corp............................. 11,100 202,575
*Thermo Ecotek Corp................................... 1,000 10,625
*Thermo Optek Corp.................................... 3,450 35,363
*Thermo Sentron, Inc.................................. 9,100 120,575
*Thermo Terratech, Inc................................ 7,800 44,850
Thermoretec Corp...................................... 5,200 21,450
*Thermospectra Corp................................... 1,900 29,331
*Thermotrex Corp...................................... 15,700 128,544
Thomaston Mills, Inc.................................. 1,900 5,759
*#Thorn Apple Valley, Inc............................. 6,000 10,125
Titan International, Inc.............................. 19,900 186,563
#Titanium Metals Corp................................. 40,800 285,600
*Today's Man, Inc..................................... 4,900 6,278
*Todd Shipyards Corp.................................. 9,100 48,913
Toro Co............................................... 3,600 120,825
*Total Entertainment Restaurant Corp.................. 1,000 3,125
*Tower Air, Inc....................................... 18,400 47,150
*Trailer Bridge, Inc.................................. 6,000 15,281
*Trak Auto Corp....................................... 4,700 40,538
*Transact Technologies, Inc........................... 5,500 25,094
*Transcoastal Marine Services, Inc.................... 10,200 44,306
*Transfinancial Holdings, Inc......................... 4,700 21,150
*Transmation, Inc..................................... 7,000 25,156
*Transmedia Network, Inc.............................. 11,100 41,625
Transpro, Inc......................................... 5,000 26,563
Transtechnology Corp.................................. 8,400 163,800
*Transworld Healthcare, Inc........................... 17,100 67,331
*#Travel Ports of America, Inc........................ 6,100 25,639
Tremont Corp. DE...................................... 6,000 117,000
*Trend-Lines, Inc. Class A............................ 7,100 16,419
*Trex Medical Corp.................................... 26,800 172,525
*Trico Marine Services, Inc........................... 20,500 146,703
*Trident Microsystems, Inc............................ 12,600 85,838
Trigen Energy Corp.................................... 9,800 159,863
Trion, Inc............................................ 6,200 26,156
*Tripos, Inc.......................................... 2,500 19,688
*Triumph Group........................................ 10,700 327,688
*#Trump Hotels & Casino Resorts, Inc.................. 26,600 141,313
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Tuboscope Vetco International, Inc................... 40,700 $ 544,363
Twin Disc, Inc........................................ 3,700 70,300
*U.S. Office Products, Co............................. 34,800 181,069
*U.S. Vision, Inc..................................... 3,100 15,452
*US Xpress Enterprises, Inc. Class A.................. 11,700 140,400
*UTI Energy Corp...................................... 14,400 207,000
*Ugly Duckling Corp................................... 15,500 116,734
*Ultimate Electronics, Inc............................ 5,100 73,472
*Ultrak, Inc.......................................... 14,300 93,397
*Ultralife Batteries, Inc............................. 10,900 49,391
*Ultratech Stepper, Inc............................... 14,600 190,713
*#Unapix Entertainment, Inc........................... 4,600 13,800
Unico American Corp................................... 4,300 45,956
Unifirst Corp......................................... 10,200 183,600
*Unimark Group, Inc................................... 10,200 36,178
*Uni-Marts, Inc....................................... 8,200 16,400
*Union Acceptance Corp. Class A....................... 3,700 25,438
*Unique Casual Restaurants, Inc....................... 11,000 43,313
Unisource Worldwide, Inc.............................. 60,200 707,350
*Unit Corp............................................ 28,500 169,219
#United Companies Financial Corp...................... 25,800 2,838
United Industrial Corp................................ 14,700 169,050
*#United Retail Group, Inc............................ 12,700 183,356
*United States Energy Corp............................ 4,600 17,969
*United States Home Corp.............................. 16,000 552,000
United Wisconsin Services, Inc........................ 12,700 87,313
*Universal American Financial Corp.................... 6,600 23,100
*Universal Stainless & Alloy Products, Inc............ 4,900 29,400
*Uno Restaurant Corp.................................. 8,200 64,063
*Unova, Inc........................................... 81,000 1,174,500
*Urocor, Inc.......................................... 13,500 74,250
*Urologix, Inc........................................ 14,900 45,166
*Utilx Corp........................................... 6,900 22,425
*VLSI Technology, Inc................................. 40,600 848,794
*VTEL Corp............................................ 27,500 135,781
*VWR Scientific Products Corp......................... 17,800 508,413
Valero Energy Corp.................................... 90,000 1,805,625
*Value City Department Stores, Inc.................... 23,200 221,850
*Valuevision International, Inc. Class A.............. 15,900 242,475
*Vans, Inc............................................ 12,100 131,588
*#Vari L Co., Inc..................................... 6,500 49,156
*Variflex, Inc........................................ 4,800 23,100
*Venator Group, Inc................................... 105,700 1,156,094
*Verilink Corp........................................ 13,800 45,281
*Veritas DGC, Inc..................................... 21,500 392,375
*Vertex Communications Corp........................... 4,700 69,619
Vesta Insurance Group, Inc............................ 15,500 78,469
*Vestcom Int'l, Inc................................... 10,600 61,613
*Veterinary Centers of America, Inc................... 9,500 132,406
*Viasoft, Inc......................................... 16,900 66,016
*#Vicon Industries, Inc............................... 3,500 32,156
*Vicorp Restaurants, Inc.............................. 7,700 126,088
*Video Display Corp................................... 3,700 17,459
Vintage Petroleum, Inc................................ 65,800 740,250
*Vishay Intertechnology, Inc.......................... 39,700 826,256
*Vivid Technologies, Inc.............................. 9,500 28,797
*Volt Information Sciences, Inc....................... 2,500 43,125
Vulcan International Corp............................. 400 14,800
WFS Financial, Inc.................................... 20,400 239,700
*WHX Corp............................................. 16,500 123,750
*WLR Foods, Inc....................................... 17,100 130,922
</TABLE>
12
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*WPI Group, Inc....................................... 7,200 $ 28,350
Wabash National Corp.................................. 20,300 386,969
#Wackenhut Corp. Class A.............................. 2,800 64,400
Wackenhut Corp. Class B Non-Voting.................... 2,600 49,888
*Walker Interactive Systems, Inc...................... 17,400 59,269
*Wall Data, Inc....................................... 7,500 75,703
*Warrantech Corp...................................... 21,500 72,898
*Washington Homes, Inc................................ 9,400 74,025
Washington Savings Bank FSB Waldorf, MD............... 1,600 6,400
*Waterlink, Inc....................................... 14,600 59,313
Watkins-Johnson Co.................................... 6,700 165,825
Watts Industries, Inc. Class A........................ 23,200 392,950
Webb (Del) Corp....................................... 16,600 373,500
*Webco Industries, Inc................................ 2,800 15,050
*Weirton Steel Corp................................... 12,500 29,688
Wellman, Inc.......................................... 35,100 478,238
*West Marine, Inc..................................... 13,500 172,969
Westcorp, Inc......................................... 30,200 281,238
Westerfed Financial Corp.............................. 5,400 90,956
Western Ohio Financial Corp........................... 1,600 41,000
*Weston (Roy F.), Inc. Class A........................ 6,900 20,484
*Williams Clayton Energy, Inc......................... 8,300 54,209
*Wilshire Oil Co. of Texas............................ 11,000 45,375
*Windmere Corp........................................ 34,400 451,500
Wiser Oil Co.......................................... 10,200 33,150
Wolohan Lumber Co..................................... 5,600 69,650
*Wolverine Tube, Inc.................................. 16,800 400,050
Wolverine World Wide, Inc............................. 6,500 87,750
*Woodward Governor Co................................. 2,900 72,409
*Workgroup Technology Corp............................ 8,000 14,750
*World Color Press, Inc............................... 23,000 586,500
World Fuel Services Corp.............................. 7,700 99,619
*Worldtex, Inc........................................ 17,100 45,956
*Wyman-Gordon Co...................................... 15,700 303,206
*Xetel Corp........................................... 8,800 24,750
*Xtra Corp............................................ 15,900 707,550
Yankee Energy Systems, Inc............................ 11,480 362,338
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Yellow Corp.......................................... 26,600 $ 452,200
York Financial Corp................................... 9,900 150,975
*York Research Corp................................... 5,900 37,059
*Zaring National Corp................................. 1,800 15,075
*Zemex Corp........................................... 10,200 63,750
Zenith National Insurance Corp........................ 19,900 452,725
*Zing Technologies, Inc............................... 2,000 16,375
*#Zoltek Companies, Inc............................... 15,900 123,722
*Zygo Corp............................................ 8,100 64,294
*Zymetx, Inc.......................................... 1,600 3,300
------------
TOTAL COMMON STOCKS
(Cost $185,958,254).................................. 205,315,849
------------
RIGHTS/WARRANTS -- (0.0%)
*Skyepharma P.L.C. Contingent Payment Rights
(Cost $0)........................................... 4,600 0
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (5.0%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $11,393,394) to be
repurchased at $10,763,499.
(Cost $10,758,000)............................... $ 10,758 10,758,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $196,716,254)++................................ $216,073,849
------------
------------
- --------------------
+ 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>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 VALUE PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ------------------
<S> <C> <C>
Investment in The U.S. 6-10 Value Series of The DFA Investment Trust Company............. 153,814,482 $ 2,628,689,491
------------------
Total Investments (100%) (Cost $2,303,810,910) ++.................................... $ 2,628,689,491
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $2,355,335,716.
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ----------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company..... 31,095,857 $ 352,005,103
----------------
Total Investments (100%) (Cost $298,540,339) ++...................................... $ 352,005,103
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $310,782,416.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
14
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.1%)
*1-800 CONTACTS, Inc.................................. 100 $ 2,219
*3-D Systems Corp..................................... 400 2,262
*3D0 Co............................................... 1,800 9,394
*3Dfx Interactive, Inc................................ 600 11,587
*4Front Software International, Inc................... 700 7,044
*#7Th Level, Inc...................................... 2,100 12,403
*#800-Jr Cigar, Inc................................... 500 4,578
*8X8, Inc............................................. 1,200 5,587
*AAON, Inc............................................ 600 6,356
AAR Corp.............................................. 2,700 53,325
ABC Bancorp........................................... 700 9,800
*ABC Rail Products Corp............................... 600 8,756
ABM Industries, Inc................................... 2,100 57,356
*#ABR Information Services, Inc....................... 1,900 48,034
*ACT Manufacturing, Inc............................... 600 8,512
*ACT Networks, Inc.................................... 600 12,112
*ACX Technologies, Inc................................ 2,800 34,825
*ADE Corp............................................. 1,300 12,634
*AEP Industries, Inc.................................. 500 18,906
*AFC Cable Systems, Inc............................... 800 27,450
*AG Services America, Inc............................. 500 8,875
*AMC Entertainment, Inc............................... 900 15,300
*AMX Corp............................................. 500 5,328
*APAC Teleservices, Inc............................... 3,200 11,900
*ARIS Corp............................................ 1,100 9,453
*ARV Assisted Living, Inc............................. 500 1,937
*ATMI, Inc............................................ 2,200 48,262
*ATS Medical, Inc..................................... 1,800 13,837
*AVT Corporation...................................... 1,300 43,469
#Aames Financial Corp................................. 1,200 1,725
*Aavid Thermal Technologies, Inc...................... 600 12,000
*Abacus Direct Corp................................... 600 43,969
*Abiomed, Inc......................................... 600 9,637
*#Acacia Research Corp................................ 700 3,566
*Accel International Corp............................. 500 1,016
*Accelr8 Technology Corp.............................. 500 1,359
*Acceptance Insurance Companies, Inc.................. 600 9,412
*Acclaim Entertainment, Inc........................... 5,400 34,847
*Ace Cash Express, Inc................................ 500 7,375
*Ace Comm Corp........................................ 600 2,306
Aceto Corp............................................ 400 4,700
Ackerley Group, Inc................................... 2,100 39,637
*Acme Electric Corp................................... 500 2,719
*Acorn Products, Inc.................................. 400 2,125
*Actel Corp........................................... 2,100 27,037
*#Action Performance Companies, Inc................... 1,100 41,869
*Active Voice Corp.................................... 300 4,125
*Activision, Inc...................................... 2,200 29,494
*#Actrade International, Ltd.......................... 600 7,856
*Acuson Corp.......................................... 2,700 41,850
*Adac Laboratories.................................... 2,000 15,937
*#Adam Software, Inc.................................. 300 4,912
*Adaptive Broadband Corp.............................. 1,500 23,719
*Adept Technology, Inc................................ 600 4,369
*Adflex Solutions, Inc................................ 600 1,369
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Administaff, Inc..................................... 900 $ 14,400
*Advance Lighting Technologies, Inc................... 1,300 9,323
*Advance Paradigm, Inc................................ 700 33,819
*Advanced Communications Group, Inc................... 2,000 20,125
*Advanced Communications Systems, Inc................. 400 4,850
*Advanced Digital Information Corp.................... 1,000 27,094
*Advanced Energy Industries, Inc...................... 1,700 42,181
*Advanced Fibre Communications........................ 4,600 47,869
*#Advanced Health Corp................................ 700 3,205
*Advanced Magnetics, Inc.............................. 400 1,550
Advanced Marketing Services, Inc...................... 500 7,844
*Advanced Neuromodulation Systems, Inc................ 500 3,406
*Advanced Polymer Systems, Inc........................ 2,000 10,062
*Advanced Radio Telecom Corp.......................... 2,700 30,375
*Advanced Technical Products, Inc..................... 100 1,325
*#Advanced Tissue Sciences, Inc....................... 4,100 15,759
#Advanta Corp. Class A................................ 700 12,141
Advanta Corp. Class B Non-Voting...................... 1,500 21,047
*Advantage Learning Systems, Inc...................... 300 6,637
*Advantica Restaurant Group, Inc...................... 4,300 19,820
*Advent Software, Inc................................. 500 34,844
Advest Group, Inc..................................... 600 12,525
*Advo, Inc............................................ 2,200 43,587
*#Aerial Communications, Inc.......................... 3,200 35,000
*Aeroflex, Inc........................................ 1,800 26,212
*Aetrium, Inc......................................... 600 4,669
*Affinity Technology Group, Inc....................... 1,500 2,695
*Affymetrix, Inc...................................... 1,500 52,594
*Aftermarket Technology Corp.......................... 1,400 15,312
*Ag-Chem Equipment Co., Inc........................... 600 6,825
Agco Corp............................................. 3,900 45,337
*#Agribiotech, Inc.................................... 4,200 26,972
*Agribrands International, Inc........................ 500 17,469
Air Express International Corp........................ 2,200 55,275
*Airgas, Inc.......................................... 4,600 52,612
*Airnet Systems, Inc.................................. 800 8,450
*Airtran Holdings, Inc................................ 6,500 30,672
*Akorn, Inc........................................... 1,400 6,519
*Aksys, Ltd........................................... 1,500 7,383
Alabama National Bancorporation....................... 700 16,866
Alamo Group, Inc...................................... 1,000 9,187
*Alaris Medical, Inc.................................. 5,900 29,223
*Albany International Corp. Class A................... 1,300 30,469
*Aldila, Inc.......................................... 600 1,181
*Alexion Pharmaceuticals, Inc......................... 700 6,737
*#Algos Pharmaceutical Corp........................... 1,700 37,719
Alico, Inc............................................ 500 8,062
*Align-Rite International, Inc........................ 200 2,600
*Alkermes, Inc........................................ 2,500 61,562
*Allen Telecom, Inc................................... 1,800 18,787
Alliance Bancorp...................................... 1,100 26,847
*Alliance Gaming Corp................................. 600 2,419
*Alliance Pharmaceuticals Corp........................ 3,300 9,694
*Alliance Semiconductor Corp.......................... 4,100 19,603
</TABLE>
15
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Allied Products Corp.................................. 500 $ 2,594
*Allied Research Corp................................. 500 3,531
*Allou Health & Beauty Care, Inc. Class A............. 500 3,531
*Alpha Industries, Inc................................ 1,050 36,586
*Alpha Microsystems, Inc.............................. 1,200 9,037
*Alphanet Solutions, Inc.............................. 400 1,587
*Alpine Group, Inc.................................... 1,600 25,800
*Alternative Resources Corp........................... 1,000 7,656
*#Alterra Healthcare Corp............................. 2,200 26,950
*Alydaar Software Corp................................ 1,800 6,750
*#Alyn Corp........................................... 700 1,586
Ambanc Holding Co., Inc............................... 300 5,222
*Ambassadors, Inc..................................... 500 7,125
Amcast Industrial Corp................................ 600 10,087
Amcol International Corp.............................. 2,700 38,306
Amcore Financial, Inc................................. 2,800 59,150
*Amerco, Inc.......................................... 900 22,275
*America Services Group, Inc.......................... 200 2,387
American Business Products, Inc....................... 1,500 23,906
*American Classic Voyages Co.......................... 1,400 24,587
*American Coin Merchandising, Inc..................... 600 4,312
*American Freightways Corp............................ 2,100 36,816
*American Healthcorp, Inc............................. 500 4,094
American Heritage Life Investment Corp................ 1,800 41,850
*American Homepatient, Inc............................ 600 1,191
*American Homestar Corp............................... 1,200 8,775
*American Italian Pasta CO............................ 1,100 30,250
*#American Mobile Satellite Corp...................... 1,300 18,403
*American Oncology Resources, Inc..................... 3,300 33,516
*American Pacific Corp................................ 500 4,062
*American Precision Industries, Inc................... 500 5,656
*American Retirement Corp............................. 1,700 28,794
*American Science & Engineering, Inc.................. 500 4,562
*American Software, Inc. Class A...................... 1,800 5,231
American States Water Company......................... 600 16,012
*American Superconductor Corp......................... 1,500 19,031
*American Wagering, Inc............................... 500 2,906
American Woodmark Corp................................ 500 18,687
*Amerihost Properties, Inc............................ 300 1,139
*AmeriLink Corp....................................... 300 4,387
*Ameripath, Inc....................................... 1,100 9,986
*Ames Department Stores, Inc.......................... 1,500 61,453
Ametek, Inc........................................... 200 4,587
*Ampex Corp. Class A.................................. 5,000 22,187
*Amphenol Corp........................................ 1,200 45,150
Amplicon, Inc......................................... 600 8,212
*Amresco, Inc......................................... 4,800 32,700
*Amtran, Inc.......................................... 1,200 28,200
*Anadigics, Inc....................................... 1,500 37,219
Analogic Corp......................................... 500 16,297
*Analogy, Inc......................................... 600 1,744
Analysts International Corp........................... 1,500 23,906
*#Analytical Surveys, Inc............................. 300 7,275
Anchor Bancorp Wisconsin, Inc......................... 1,800 29,869
Andersons, Inc........................................ 700 9,056
Andover Bancorp, Inc. DE.............................. 300 8,887
*Andrea Electronics Corp.............................. 1,300 9,019
*Anesta Corp.......................................... 600 10,687
*Anicom, Inc.......................................... 2,500 23,047
*Anika Therapeutics, Inc.............................. 600 3,216
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Anixter International, Inc........................... 2,700 $ 47,756
*Ansoft Corp.......................................... 700 5,512
*Ansys, Inc........................................... 1,600 14,500
*Antec Corp........................................... 2,300 67,347
*Apex PC Solutions, Inc............................... 2,000 35,875
*#Aphton Corp......................................... 1,100 12,512
Apogee Enterprises, Inc............................... 2,800 33,687
*Apple Orthodontix, Inc............................... 700 1,400
Applebees International, Inc.......................... 1,200 35,437
*Applied Cellular Technology, Inc..................... 2,200 4,984
*Applied Digital Access, Inc.......................... 800 3,362
*Applied Extrusion Technologies, Inc.................. 700 5,337
*Applied Graphics Technologies, Inc................... 2,200 23,856
Applied Industrial Technologies, Inc.................. 2,200 37,262
*Applied Innovation, Inc.............................. 1,000 3,906
*#Applied Magnetics Corp.............................. 4,200 12,600
*Applied Microsystems Corp............................ 700 2,133
*Applied Science & Technology, Inc.................... 1,100 15,709
*Applied Signal Technologies, Inc..................... 500 4,500
*Applix, Inc.......................................... 1,100 5,981
*Apria Healthcare Group, Inc.......................... 2,200 45,375
*Aquila Biopharmaceuticals, Inc....................... 500 953
*Aradigm Corp......................................... 500 3,469
*#Arcadia Financial, Ltd.............................. 3,900 29,006
Arch Coal, Inc........................................ 3,300 48,262
Arctic Cat, Inc....................................... 2,100 17,587
*Ardent Software, Inc................................. 1,878 37,795
Area Bancshares Corp.................................. 1,700 41,384
Argonaut Group, Inc................................... 2,400 64,350
*Argosy Gaming Corp................................... 2,800 22,400
*Arguss Holdings, Inc................................. 500 8,922
*Ariel Corp........................................... 1,000 3,062
*Ark Restaurants Corp................................. 200 2,025
*Arkansas Best Corp................................... 2,000 17,875
Arm Financial Group, Inc. Class A..................... 2,000 30,000
*Armco, Inc........................................... 7,900 50,856
*Armor Holdings, Inc.................................. 1,700 17,744
Arnold Industries, Inc................................ 2,500 41,406
*Aronex Pharmaceuticals, Inc.......................... 2,200 9,831
*Arqule, Inc.......................................... 1,300 5,850
Arrow Financial Corp.................................. 300 8,025
Arrow International, Inc.............................. 1,100 28,084
*Artecon, Inc......................................... 1,100 2,234
*Artesyn Technologies, Inc............................ 2,500 52,656
*Arthrocare Corp...................................... 600 11,850
*Artisan Components, Inc.............................. 900 6,553
*Artisoft, Inc........................................ 1,000 4,266
*Artra Group, Inc..................................... 500 5,094
*Asahi/America, Inc................................... 200 1,462
Asarco, Inc........................................... 1,800 28,912
*Ascent Entertainment Group, Inc...................... 2,100 24,019
*Ascent Pediatrics, Inc............................... 500 1,211
*Asche Transportation Services, Inc................... 300 1,209
*Ashworth, Inc........................................ 1,100 5,397
*Aspect Development, Inc.............................. 3,100 43,981
*Aspect Telecommunications Corp....................... 4,900 41,344
*Aspen Technology, Inc................................ 2,500 26,172
*Assisted Living Concepts, Inc........................ 1,000 2,937
*Astea International, Inc............................. 1,000 2,969
*Astec Industries, Inc................................ 1,200 44,625
Astro-Med, Inc........................................ 500 3,312
*Astronics Corp....................................... 300 2,662
</TABLE>
16
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*AstroPower, Inc...................................... 900 $ 11,784
*#Asymetrix Learning Systems, Inc..................... 500 2,062
*Asyst Technologies, Inc.............................. 700 13,737
*Atlantic American Corp............................... 1,900 8,253
*Atlantic Bank and Trust Co........................... 200 4,162
*Atlantic Coast Airlines, Inc......................... 1,900 33,309
*Atlantic Data Services, Inc.......................... 1,000 3,984
*Atrix Labs, Inc...................................... 700 5,819
*Atwood Oceanics, Inc................................. 1,400 40,600
*Audiovox Corp. Class A............................... 500 4,344
*Ault, Inc............................................ 300 2,906
*Aurora Biosciences Corp.............................. 1,700 9,616
*Auspex Systems, Inc.................................. 2,600 28,356
Authentic Fitness Corp................................ 2,300 37,806
Autocam Corp.......................................... 400 4,675
*Automobile Protection Corp........................... 800 8,225
*Autote Corp. Class A................................. 1,800 4,612
Avado Brands, Inc..................................... 3,400 30,866
*Avant Corp........................................... 3,300 40,116
*Avi Biopharma, Inc................................... 1,300 4,509
*Aviall, Inc.......................................... 1,800 28,237
*Aviation Sales Co.................................... 1,300 50,050
*Avid Technology, Inc................................. 2,500 41,016
*Avigen, Inc.......................................... 1,000 6,187
*Avondale Industries, Inc............................. 200 7,300
*Avteam, Inc. Class A................................. 1,100 7,872
*Aware, Inc........................................... 1,300 67,153
*Axent Technologies, Inc.............................. 2,500 31,016
*Axys Pharmaceuticals, Inc............................ 2,000 7,187
*Aztar Corp........................................... 4,500 30,375
BEI Technologies, Inc................................. 500 4,984
BHA Group Holdings, Inc. Class A...................... 500 4,875
*BI, Inc.............................................. 500 4,594
BMC Industries, Inc................................... 2,700 27,169
*BOK Financial Corp................................... 1,400 35,219
BSB Bancorp, Inc...................................... 300 7,631
BT Financial Corp..................................... 1,300 34,937
*BTG, Inc............................................. 500 3,594
*Bacou USA, Inc....................................... 1,100 17,944
Bairnco Corp.......................................... 500 3,469
Baker (J.), Inc....................................... 700 5,075
*Balance Bar Co....................................... 1,000 5,656
*Baldwin Technology, Inc. Class A..................... 600 2,175
*Ballantyne Omaha, Inc................................ 945 7,324
*Bally Total Fitness Holding Corp..................... 2,300 58,794
Bancfirst Ohio Corp................................... 500 12,344
*BancTec, Inc......................................... 1,300 20,962
Bandag, Inc........................................... 700 24,106
Bandag, Inc........................................... 700 20,037
*Bangor Hydro-Electric Co............................. 500 7,062
Bank of Granite Corp.................................. 600 14,287
*Bank Plus Corp....................................... 1,900 9,916
*Bank United Financial Corp. Class A.................. 1,100 9,917
BankAtlantic Bancorp, Inc. Class B.................... 1,000 7,969
BankNorth Group, Inc. DE.............................. 1,500 40,078
Banta Corp............................................ 2,900 71,050
*Banyan System, Inc................................... 2,000 22,125
Barnes Group, Inc..................................... 2,000 46,125
*Barnett, Inc......................................... 1,600 14,600
*Barra, Inc........................................... 1,400 33,906
*Barrett Business Services, Inc....................... 500 4,250
*Barringer Technologies, Inc.......................... 500 2,766
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Barry (R.G.) Corp.................................... 600 $ 4,837
*Basin Exploration, Inc............................... 1,400 23,494
Bassett Furniture Industries, Inc..................... 1,300 30,916
Battle Mountain Gold Co............................... 8,300 20,231
Bay View Capital Corp................................. 1,900 34,200
*Bayou Steel Corp. Class A............................ 700 2,537
*Be Aerospace, Inc.................................... 2,400 43,050
Beauticontrol Cosmetics, Inc.......................... 300 1,444
*Beazer Homes USA, Inc................................ 600 13,350
*Belco Oil & Gas Corp................................. 2,600 20,637
Belden, Inc........................................... 2,400 56,550
*Bell Industries, Inc................................. 600 6,150
*Bell Microproducts, Inc.............................. 600 4,247
*Bellwether Exploration Co............................ 1,400 6,475
*Ben & Jerry's Homemade, Inc. Class A................. 300 8,447
*Benchmark Electronics, Inc........................... 800 24,000
*Bentley Pharmaceuticals, Inc......................... 800 2,400
*Benton Oil & Gas Co.................................. 2,700 9,450
*Bergen Brunswig Corp. Class A........................ 1,595 35,090
Berry Petroleum Corp. Class A......................... 1,400 19,950
*Beverly Enterprises.................................. 5,000 36,250
*Big Flower Holdings, Inc............................. 2,000 62,250
*Billing Information Concepts Corp.................... 3,700 46,366
Bindley Western Industries, Inc....................... 1,400 42,175
*Bio Technology General Corp.......................... 5,200 36,725
*Bio Vascular, Inc.................................... 600 1,659
*Bioanalytical Systems, Inc........................... 300 1,200
*Biocryst Pharmaceuticals, Inc........................ 1,500 12,094
*Bionx Implants, Inc.................................. 500 2,297
*Bio-Rad Laboratories, Inc. Class A................... 600 16,912
*BioReliance Corp..................................... 500 3,328
*Biosite Diagnostics, Inc............................. 1,300 12,959
*Biosource International, Inc......................... 500 2,437
*Biospecifics Technologies Corp....................... 500 1,594
*#Biospherics, Inc.................................... 600 4,622
Birmingham Steel Corp................................. 3,000 15,375
*Black Box Corp....................................... 1,100 50,256
Black Hills Corp...................................... 900 20,700
Blair Corp............................................ 600 10,312
Blanch (E.W.) Holdings, Inc........................... 300 19,200
Blimpie International................................. 900 2,362
*Blonder Tongue Laboratories, Inc..................... 500 3,312
*Bluegreen Corp....................................... 2,300 12,937
*Boca Research, Inc................................... 600 5,316
*Bolder Technologies Corp............................. 600 5,344
*Bolle, Inc........................................... 400 1,162
*Bolt Technology Corp................................. 500 3,187
*Bombay Co., Inc...................................... 1,500 9,187
*Bon-Ton Stores, Inc.................................. 800 5,100
*#Books-a-Million, Inc................................ 1,800 14,850
*Borg-Warner Security Corp............................ 2,400 39,150
Boston Acoustics, Inc................................. 300 5,475
*Boston Biomedical, Inc............................... 500 1,906
Bowne & Co., Inc...................................... 2,400 40,200
*Boyd Gaming Corp..................................... 6,200 36,812
Brady (W.H.) Co. Class A.............................. 2,100 52,631
*Brauns Fashions Corp................................. 300 3,319
*#Breed Technologies, Inc............................. 3,700 12,256
Brenton Banks, Inc.................................... 880 15,125
*Bridgeport Macs, Inc................................. 300 2,719
*Bridgestreet Accomodations, Inc...................... 500 1,750
</TABLE>
17
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Brightpoint, Inc..................................... 5,300 $ 30,061
*Brilliant Digital Entertainment, Inc................. 600 4,050
*Brite Voice Systems, Inc............................. 1,200 15,600
Broad National Bancorporation......................... 200 4,837
*#Broadband Technologies, Inc......................... 900 2,011
*Broadway & Seymour, Inc.............................. 600 3,469
*Brookdale Living Communities......................... 800 11,275
#Brooke Group, Ltd.................................... 2,100 50,925
Brookline Bancorp, Inc................................ 2,900 33,894
*Brooks Automation, Inc............................... 700 12,819
*Brookstone, Inc...................................... 500 7,516
*Brooktrout Technology, Inc........................... 700 13,103
*Brown & Sharpe Manufacturing Co. Class A............. 800 4,400
*Brown (Tom), Inc..................................... 1,500 19,453
Brown and Brown, Inc.................................. 1,300 46,394
Brown Shoe Company, Inc............................... 1,800 34,200
*Brunswick Technologies, Inc.......................... 500 3,047
Brush Wellman, Inc.................................... 1,600 27,100
*Buckeye Technology, Inc.............................. 1,800 29,362
*Buckle, Inc.......................................... 2,200 60,912
*Budget Group, Inc.................................... 3,400 45,475
*Buffets, Inc......................................... 4,400 46,200
*Building Materials Holding Corp...................... 1,100 12,856
*Bull Run Corp. GA.................................... 900 3,628
Burlington Coat Factory Warehouse Corp................ 1,700 28,687
*Burlington Industries, Inc........................... 5,800 56,912
*Bush Boake Allen, Inc................................ 800 23,050
Bush Industries, Inc. Class A......................... 700 10,369
*Butler International, Inc............................ 500 9,984
Butler Manufacturing Co............................... 400 11,250
C & D Technologies, Inc............................... 800 21,850
*C-COR Electronics, Inc............................... 500 11,922
*C-Phone Corp......................................... 500 1,102
*C.P. Clare Corp...................................... 600 2,194
*C3, Inc.............................................. 500 7,656
*CB Richard Ellis Services, Inc....................... 1,400 27,125
CCBT Bancorp, Inc..................................... 900 14,737
*CCC Information Services Group, Inc.................. 1,500 18,797
*CD Radio, Inc........................................ 2,300 51,750
*CDI Corp............................................. 1,900 61,512
*#CDNOW/N2K, Inc...................................... 3,000 53,719
*CEM Corp............................................. 200 1,581
*CFI Proservices, Inc................................. 300 3,806
*CFM Technologies, Inc................................ 300 2,737
CFSB Bancorp, Inc..................................... 550 13,887
CFW Communications Co................................. 1,300 32,053
*CHS Electronics, Inc................................. 2,800 12,425
*CMC Industries, Inc.................................. 500 3,234
CMP Media Group, Inc.................................. 1,300 26,325
*CMP Media, Inc. Class A.............................. 500 19,453
CNA Surety Corp....................................... 1,800 26,100
*CNS Income........................................... 1,100 3,678
CPAC, Inc............................................. 300 2,316
CPI Corp.............................................. 600 18,900
*CSS Industries, Inc.................................. 1,000 27,000
*CTC Communications Corp. Class 1..................... 700 14,306
CTG Resources, Inc.................................... 600 15,337
CTS Corp.............................................. 100 5,600
*CUNO, Inc............................................ 1,100 20,281
CVB Financial Corp.................................... 1,700 39,844
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cable Design Techologies Corp........................ 2,800 $ 39,550
Cabot Oil & Gas Corp. Class A......................... 1,600 28,600
*Caci International, Inc. Class A..................... 700 12,994
*Cadiz, Inc........................................... 3,400 34,637
Cadmus Communications Corp............................ 500 6,406
*Caere Corp........................................... 1,200 14,250
Calgon Carbon Corp.................................... 3,900 22,181
*California Amplifier, Inc............................ 1,200 5,025
*California Coastal Comm, Inc......................... 700 4,484
*California Micro Devices Corp........................ 600 1,331
California Water Service Group........................ 500 13,000
*Callon Petroleum Co.................................. 500 5,375
Cal-Maine Foods, Inc.................................. 800 4,350
Cambrex Corp.......................................... 1,000 22,500
*Cambridge Heart, Inc................................. 700 4,659
*Cameron Ashley Building Products, Inc................ 900 10,800
Cameron Financial Corp................................ 100 1,325
*Candela Laser Corp................................... 500 7,531
*Candies, Inc......................................... 1,700 5,206
*Cannondale Corp...................................... 500 4,469
*Cantel Industries, Inc. Class B...................... 200 1,112
*Capital Pacific Holdings, Inc........................ 1,400 4,550
Capital Re Corp....................................... 2,100 34,256
*Capital Senior Living Corp........................... 1,600 17,400
Capitol Bancorp, Ltd.................................. 300 5,128
Capitol Transamerica Corp............................. 700 10,522
Caraustar Industries, Inc............................. 1,300 34,166
*Carbide/Graphite Group, Inc.......................... 500 6,484
*Cardiac Pathways Corp................................ 600 637
*#Cardima, Inc........................................ 1,600 4,150
*Career Education Corp................................ 500 17,406
*Carematrix, Inc...................................... 900 13,359
*#Caribiner International, Inc........................ 2,400 12,900
*Carmike Cinemas, Inc. Class A........................ 600 10,537
Carolina First Corp................................... 2,200 60,294
Carpenter Technology Corp............................. 1,100 31,350
*Carriage Services, Inc. Class A...................... 1,200 20,475
*Carrington Laboratories, Inc......................... 600 1,781
*Carson, Inc.......................................... 200 700
Carter-Wallace, Inc................................... 3,300 59,606
Cascade Corp.......................................... 800 10,800
Cascade Natural Gas Corp.............................. 700 11,769
*Casella Waste Systems, Inc.
Class A............................................. 1,300 25,634
Cash America International, Inc....................... 1,600 20,300
*Casino Data Systems.................................. 900 3,347
*Castle & Cooke, Inc.................................. 900 14,062
Castle (A.M.) & Co.................................... 1,400 21,525
*Castle Dental Centers, Inc........................... 400 2,675
*Catalyst International, Inc.......................... 500 8,406
*Catalytica, Inc...................................... 1,800 21,487
*Cathay Bancorp, Inc.................................. 600 21,187
*Catherines Stores Corp............................... 500 5,500
Cato Corp. Class A.................................... 2,200 28,944
Cavalier Homes, Inc................................... 2,000 18,125
*Cavanaughs Hospitality Corp.......................... 1,000 9,562
*Celeritek, Inc....................................... 500 2,687
*Celestial Seasonings, Inc............................ 500 9,719
*#Celgene Corp........................................ 1,700 27,944
*#Cell Genesys, Inc................................... 2,900 13,956
*Cellegy Pharmaceuticals, Inc......................... 1,000 4,906
</TABLE>
18
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Cellnet Data Systems, Inc........................... 4,300 $ 37,894
*Cellstar Corp........................................ 4,900 38,128
Cenit Bancorp, Inc.................................... 200 4,087
*Centennial Bancorp................................... 930 10,869
*Centennial Healthcare Corp........................... 500 2,766
*Centigram Communications Corp........................ 500 4,859
Central Bancorp, Inc.................................. 100 1,937
*Central Garden & Pet Co.............................. 1,900 25,828
Central Hudson Gas & Electric Corp.................... 1,100 46,406
Central Vermont Public Service Corp................... 700 8,356
Centris Group, Inc.................................... 900 8,719
Century Aluminum Co................................... 1,300 8,409
*Cephalon, Inc........................................ 1,900 25,828
*Ceradyne, Inc........................................ 400 1,625
*Cerner Corp.......................................... 1,900 38,059
*Cerprobe Corp........................................ 400 3,725
*Charming Shoppes, Inc................................ 7,900 39,870
*Chart House Enterprises, Inc......................... 800 4,400
Chart Industries, Inc................................. 2,400 25,350
Chartwell Re Corp..................................... 300 4,706
*Chase Industries, Inc................................ 600 5,025
*Chattem, Inc......................................... 600 21,825
*Chaus (Bernard), Inc................................. 1,100 2,681
*Checkpoint System, Inc............................... 3,000 27,375
*Cheesecake Factory, Inc.............................. 2,000 55,250
Chemed Corp........................................... 1,100 35,681
*Chemfab Corp......................................... 500 9,812
Chemfirst, Inc........................................ 1,400 33,337
Chemical Financial Corp............................... 1,400 42,700
Chesapeake Energy Corp................................ 5,000 10,625
*Chic by His, Inc..................................... 400 1,250
*Chicos Fas, Inc...................................... 500 11,312
*Children's Comprehensive Services, Inc............... 500 3,047
*Childtime Learning Centers, Inc...................... 500 6,250
Chiquita Brands International, Inc.................... 6,600 53,212
*Chirex, Inc.......................................... 800 24,125
#Chittenden Corp...................................... 600 17,475
*#Chock Full O' Nuts Corp............................. 1,100 11,481
*Cholestech Corp...................................... 500 1,187
*Chronimed, Inc....................................... 800 5,675
Church & Dwight Co., Inc.............................. 1,300 55,494
*Chyron Corp.......................................... 3,700 7,631
*Cidco, Inc........................................... 1,200 7,425
*Cima Laboratories, Inc............................... 600 1,950
*Ciprico, Inc......................................... 500 4,359
Circle International, Inc............................. 1,700 34,850
*Circuit City Stores, Inc. - Carmax Group............. 1,400 6,737
*Cirrus Logic, Inc.................................... 6,100 46,322
*Citadel Holding Corp................................. 700 3,544
*Citation Corp........................................ 1,800 24,019
*#Citizens, Inc. Class A.............................. 2,000 11,375
City Holding Co....................................... 800 21,900
Clarcor, Inc.......................................... 2,400 44,100
*Clarify, Inc......................................... 2,200 71,294
Cleveland Cliffs, Inc................................. 700 25,900
*Clintrials Research, Inc............................. 1,800 7,594
*#Closure Medical Corp................................ 900 27,928
*#Coach USA........................................... 1,700 49,512
Coachmen Industries, Inc.............................. 1,700 37,400
*Coast Dental Services, Inc........................... 500 3,531
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Coastal Bancorp, Inc.................................. 500 $ 8,031
*Coastcast Corp....................................... 800 9,600
*Cobra Electronic Corp................................ 300 1,219
*#Coeur d'Alene Mines Corp. ID........................ 2,200 9,212
*Cogeneration Corporation of America.................. 300 3,675
*Coherent, Inc........................................ 1,500 24,281
Cohu, Inc............................................. 600 17,887
*Coinmach Laundry Corp................................ 500 6,156
*Coinstar, Inc........................................ 1,500 32,578
*Coldwater Creek, Inc................................. 500 9,937
*Cole (Kenneth) Productions, Inc. Class A............. 500 15,000
*Cole National Corp. Class A.......................... 1,500 13,781
Collagen Corp......................................... 600 8,212
*Collagenex Pharmaceuticals, Inc...................... 500 4,805
Collins & Aikman Corp................................. 6,200 34,487
Collins Industries, Inc............................... 200 1,169
*Colorado MEDtech, Inc................................ 700 9,866
*Columbia Banking System, Inc......................... 735 12,311
*Columbia Laboratories, Inc........................... 2,900 25,375
*Columbia Sportswear Co............................... 1,300 19,175
Columbus McKinnon Corp................................ 600 14,981
*Comarco, Inc......................................... 200 3,969
*Comdial Corp......................................... 600 4,219
*Comforce Corp........................................ 1,600 5,400
Commercial Intertech Corp............................. 600 9,075
Commercial Metals Co.................................. 600 14,062
Commonwealth Bancorp, Inc............................. 1,400 22,706
Commonwealth Industries, Inc.......................... 1,600 17,350
Communications Systems, Inc........................... 600 7,912
Community Bank System, Inc............................ 500 11,750
Community Financial Group, Inc........................ 100 1,425
Community Trust Bancorp, Inc.......................... 550 12,616
*Comnet Cellular, Inc................................. 1,500 30,000
*Compass International Services Corp.................. 1,400 9,231
*Competitive Technologies, Inc........................ 600 4,425
*Complete Business Solutions, Inc..................... 1,800 43,594
*Comptek Research, Inc................................ 500 4,375
*Compucom Systems, Inc................................ 4,800 19,350
*CompUSA, Inc......................................... 5,400 43,537
*Computer Horizons Corp............................... 3,100 56,769
*#Computer Learning Centers, Inc...................... 1,700 8,341
*Computer Motion, Inc................................. 400 3,550
*Computer Network Technology Corp..................... 2,300 57,787
Computer Task Group, Inc.............................. 600 9,975
*Comshare, Inc........................................ 600 2,044
*Comstock Resources, Inc.............................. 2,400 9,750
*Concentra Managed Care, Inc.......................... 3,100 45,337
*Concentric Network Corp.............................. 1,500 48,516
*Concord Camera Corp.................................. 700 3,631
*Concord Communications, Inc.......................... 700 31,325
*Concurrent Computer Corp............................. 4,800 28,125
*Condor Technology Solutions, Inc..................... 1,200 12,825
*Cone Mills Corp. NC.................................. 2,500 15,469
*Conmed Corp.......................................... 1,500 50,953
*Connect, Inc......................................... 1,500 5,508
Connecticut Energy Corp............................... 700 26,294
Connecticut Water Services, Inc....................... 200 4,800
*Connitics Corp....................................... 1,100 7,700
*Conso Products Co.................................... 500 2,953
*Consolidated Delivery and Logistics, Inc............. 300 1,237
</TABLE>
19
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Consolidated Freightways Corp........................ 1,400 $ 18,637
*Consolidated Products, Inc........................... 1,700 31,450
*#Consumer Portfolio Services, Inc.................... 1,000 1,937
*#ContiFinancial Corp................................. 4,700 33,487
*#Converse, Inc....................................... 1,700 7,331
*Cooper Companies, Inc................................ 1,000 22,687
*Copart, Inc.......................................... 2,700 48,600
*Copley Pharmaceutical, Inc........................... 1,000 9,719
*Cor Therapeutics, Inc................................ 2,400 33,900
*Coram Healthcare Corp................................ 1,000 2,312
*Core Materials Corp.................................. 1,000 3,375
*Core, Inc............................................ 500 4,172
*Corixa Corp.......................................... 1,400 18,200
*Cornell Corrections, Inc............................. 600 11,625
*Corporate Express, Inc............................... 6,000 39,281
*Correctional Services Corp........................... 500 4,281
*Corrpro Companies, Inc............................... 800 7,950
*Corsair Communications, Inc.......................... 1,700 7,783
*Cort Business Services Corp.......................... 1,300 31,444
Corus Bankshares, Inc................................. 600 19,125
*Corvas International, Inc............................ 1,000 2,016
*Cost Plus, Inc....................................... 1,300 48,587
*Costilla Energy, Inc................................. 600 197
*Cotelligent Group, Inc............................... 1,500 20,062
*Counsel Corp......................................... 2,200 14,437
*Covenant Transport, Inc. Class A..................... 500 5,984
*Coventry Health Care, Inc............................ 3,800 50,587
*Covol Technologies, Inc.............................. 400 1,700
Craftmade International, Inc.......................... 500 6,719
*Craig (Jenny), Inc................................... 1,300 4,550
Crawford & Co. Class A................................ 1,400 18,025
Crawford & Co. Class B................................ 1,200 16,500
*#Creative Biomolecules, Inc.......................... 3,500 11,211
*Creative Computers, Inc.............................. 700 21,066
*Credence Systems Corp................................ 2,000 59,125
*#Credit Acceptance Corp.............................. 3,300 19,697
*#Cree Research, Inc.................................. 800 44,025
Cross (A.T.) Co. Class A.............................. 1,000 6,250
Cross Timbers Oil Co.................................. 2,200 23,787
*Crossman Communities, Inc............................ 1,200 31,312
*Crown Central Petroleum Corp. Class A................ 500 4,062
Crown Crafts, Inc..................................... 600 3,037
*Crown Vantage, Inc................................... 1,000 2,625
*Cryolife, Inc........................................ 800 9,900
Cubic Corp............................................ 700 16,887
*Cubist Pharmaceuticals, Inc.......................... 1,700 5,392
Culp, Inc............................................. 300 2,475
*CuraGen Corp......................................... 1,000 5,656
*Curative Health Services, Inc........................ 800 5,425
Curtiss-Wright Corp................................... 700 26,862
*#CustomTracks Corp................................... 800 47,900
*Cutter & Buck, Inc................................... 600 17,737
*#Cybercash, Inc...................................... 2,000 27,875
*Cyberonics, Inc...................................... 1,700 19,497
*Cyberoptics Corp..................................... 200 2,525
*Cybex Corp........................................... 1,300 29,778
*#Cygnus, Inc......................................... 2,300 26,378
*Cylink Corp.......................................... 2,900 11,464
*Cymer, Inc........................................... 2,700 49,359
*Cypros Pharmaceutical Corp........................... 1,000 2,250
*Cyrk, Inc............................................ 1,000 6,656
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cytrx Corp........................................... 800 $ 2,087
*Cytyc Corp........................................... 1,800 37,125
*DBT Online, Inc...................................... 900 32,400
*DII Group, Inc....................................... 1,600 52,450
*DM Management Co..................................... 600 9,656
*DSET Corp............................................ 600 7,387
*DSP Communications, Inc.............................. 2,500 76,875
*DSP Group, Inc....................................... 1,100 29,184
*DVI, Inc............................................. 1,400 21,787
Dain Rauscher Corp.................................... 400 20,825
*Daisytek International Corp.......................... 700 11,156
*Dal-Tile International, Inc.......................... 5,400 52,987
*Damark International, Inc. Class A................... 300 2,953
Dames & Moore, Inc.................................... 1,800 28,350
Daniel Industries, Inc................................ 700 14,700
*#Daou Systems, Inc................................... 1,400 8,575
*Darling International, Inc........................... 600 1,125
*Data Broadcasting Corp............................... 3,500 44,734
*#Data Dimensions, Inc................................ 1,400 5,512
*Data General Corp.................................... 3,300 43,312
*Data Processing Resources Corp....................... 1,400 21,219
*#Data Race, Inc...................................... 1,100 5,019
*#Data Transmission Network Corp...................... 800 18,500
*Datascope Corp....................................... 1,500 37,594
*Datastream Systems, Inc.............................. 1,500 18,141
*DataTRAK International, Inc.......................... 600 2,850
*Dataware Technologies, Inc........................... 600 1,725
*Datron Systems, Inc.................................. 100 609
*Datum, Inc........................................... 300 2,512
*Dave and Busters, Inc................................ 1,000 26,750
Davel Communications, Inc............................. 500 3,062
*Davox Corp........................................... 1,000 8,375
*Dawson Geophysical Co................................ 300 3,206
*Day Runner, Inc...................................... 800 9,825
Deb Shops, Inc........................................ 900 13,669
*#DecisionOne Holdings Corp........................... 200 616
*Deckers Outdoor Corp................................. 900 3,066
*Decora Industries, Inc............................... 500 3,219
*Del Global Technologies Corp......................... 500 4,500
*#Delia's, Inc........................................ 1,400 18,462
*#Delta Financial Corp................................ 1,500 10,125
Delta Woodside Industries, Inc........................ 2,400 16,950
*Deltek Systems, Inc.................................. 1,800 16,537
Deltic Timber Corp.................................... 1,300 32,337
*Denali, Inc.......................................... 100 781
*Dendrite International, Inc.......................... 1,500 49,125
*Department 56, Inc................................... 1,800 59,737
*DepoMed, Inc......................................... 500 1,562
*Detection Systems, Inc............................... 300 2,644
Detroit Diesel Corp................................... 2,500 62,031
*Diacrin, Inc......................................... 500 2,891
Diagnostic Products Corp.............................. 1,400 31,850
*Dialogic Corp........................................ 1,600 54,350
*Diametrics Medical, Inc.............................. 2,300 15,848
*Diamond Home Services, Inc........................... 600 2,812
*#Diamond Multimedia Systems, Inc..................... 3,500 15,477
*Diamond Technology Partners, Class A................. 600 14,287
*Dianon Systems, Inc.................................. 700 6,453
*Diatide, Inc......................................... 400 1,425
*Digene Corp.......................................... 900 10,659
*Digi International, Inc.............................. 900 7,481
</TABLE>
20
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Digital Generation Systems, Inc...................... 2,400 $ 14,250
*Digital Lightwave, Inc............................... 2,700 16,369
*Digital Link Corp.................................... 600 4,416
*Digital Microwave Corp............................... 4,000 50,250
Dime Community Bancorp, Inc........................... 500 11,078
Dimon, Inc............................................ 4,500 23,625
*Discount Auto Parts, Inc............................. 1,700 42,075
Dixie Group, Inc...................................... 700 6,344
*#Documentum, Inc..................................... 1,700 23,800
*Dominion Homes, Inc.................................. 300 2,362
*Donna Karan International, Inc....................... 2,200 22,550
Donnelly Corp. Class A................................ 600 9,825
Downey Financial Corp................................. 2,800 61,600
*Dress Barn, Inc...................................... 2,000 29,437
*Drew Industries, Inc................................. 700 8,969
*Drexler Technology Corp.............................. 1,000 9,281
Dreyer's Grand Ice Cream, Inc......................... 2,700 44,803
*Dril-Quip, Inc....................................... 900 23,231
*Drug Emporium, Inc................................... 900 9,112
*DuPont Photomasks, Inc............................... 1,000 38,937
*DualStar Technologies Corp........................... 900 5,527
*Duane Reade, Inc..................................... 900 28,687
*Duckwall-Alco Stores, Inc............................ 300 3,112
*Ducommun, Inc........................................ 700 8,006
*Dura Automotive Systems, Inc......................... 774 22,930
*Dura Pharmaceuticals, Inc............................ 4,400 45,512
*#Duramed Pharmaceuticals, Inc........................ 1,800 26,437
Dyersburg Corp........................................ 500 687
*Dynamic Materials Corp............................... 200 975
*Dynamics Research Corp............................... 500 2,531
E'town Corp........................................... 300 12,844
*E. Spire Communications, Inc......................... 5,000 57,031
*E4L, Inc............................................. 3,100 19,375
*ECC International Corp............................... 500 1,562
*EFTC Corp............................................ 1,600 9,850
*EIS International, Inc............................... 1,100 3,678
EMC Insurance Group, Inc.............................. 700 8,006
*EMCORE Corp.......................................... 800 17,650
*EMS Technologies, Inc................................ 600 8,137
*ESCO Electronics Corp. Trust Receipts................ 1,200 14,475
*Eagle Food Centers, Inc.............................. 700 1,706
*Eagle Geophysical, Inc............................... 690 2,297
*Eagle Point Software Corp............................ 200 1,300
*Eagle USA Airfreight, Inc............................ 1,200 56,625
Easco, Inc............................................ 500 3,719
Eastern Utilities Associates.......................... 1,300 37,537
*#Eclipse Surgical Technologies, Inc.................. 2,700 24,131
*Eco Soil Systems, Inc................................ 1,700 8,659
*Edify Corp........................................... 1,800 21,487
Edo Corp.............................................. 700 4,812
*Education Management Corp............................ 2,900 51,928
*#Egghead, Inc........................................ 3,000 33,094
*Ekco Group, Inc...................................... 2,000 9,500
*El Paso Electric Co.................................. 3,500 29,969
*Elantec Semiconductor, Inc........................... 600 5,709
*Elcom International, Inc............................. 1,800 10,266
Elcor Corp............................................ 800 32,300
*Elcotel, Inc......................................... 700 1,509
*Electric Fuel Corp................................... 600 1,144
*Electro Rent Corp.................................... 2,400 30,225
*Electro Scientific Industries, Inc................... 500 18,797
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Electroglas, Inc..................................... 2,000 $ 28,500
*Electronic Processing, Inc........................... 200 1,875
Ellett Brothers, Inc.................................. 200 1,103
*Embrex, Inc.......................................... 500 3,406
*Emcon................................................ 600 3,937
*Emcor Group, Inc..................................... 800 18,075
*Emisphere Technologies, Inc.......................... 1,200 11,175
*Empi, Inc............................................ 600 14,737
Empire District Electric Co........................... 1,100 28,462
Empire Federal Bancorp, Inc........................... 100 1,156
*Emulex Corp.......................................... 300 23,662
*En Pointe Technologies, Inc.......................... 300 2,044
*#Enamelon, Inc....................................... 700 2,308
*#Encad, Inc.......................................... 800 4,762
*#Encore Med Corp..................................... 400 1,125
*Encore Wire Corp..................................... 700 6,759
*Endocardial Solutions, Inc........................... 600 5,362
*Endosonics Corp...................................... 1,100 7,562
Energen Corp.......................................... 3,000 57,375
*Energy Biosystems Corp............................... 700 1,925
*Energy Conversion Devices, Inc....................... 1,300 11,334
Enesco Group, Inc..................................... 800 18,350
Engineered Support Systems, Inc....................... 700 9,428
*#Engineering Animation, Inc.......................... 700 15,881
Engle Homes, Inc...................................... 700 9,516
Ennis Business Forms, Inc............................. 1,600 13,800
*Enserch Exploration Corp............................. 4,200 28,612
*#Entremed, Inc....................................... 800 20,775
*Environmental Elements Corp.......................... 300 1,069
*Enzo Biochem, Inc.................................... 2,500 26,875
*Enzon, Inc........................................... 2,300 33,350
*Epicor Software Corp................................. 2,600 18,444
*Epitope, Inc......................................... 1,400 8,356
*#Epl Technologies, Inc............................... 1,200 4,519
*Equinox Systems, Inc................................. 300 2,616
Eskimo Pie Corp....................................... 200 1,719
*Ess Technology, Inc.................................. 4,100 32,031
*Esterline Technologies Corp.......................... 1,700 25,394
*Etec Systems, Inc.................................... 2,100 56,372
Ethyl Corp............................................ 7,800 39,000
*Evans & Sutherland Computer Corp..................... 600 9,469
*Evergreen Resources, Inc............................. 700 15,509
*Exabyte Corp......................................... 2,300 12,722
*Exactech, Inc........................................ 100 1,119
*Exar Corp............................................ 600 12,562
*#Excalibur Technologies Corp......................... 900 12,712
*Excel Technology, Inc................................ 400 4,937
*Executive Telecard, Ltd.............................. 1,800 5,794
*Executone Information Systems, Inc................... 4,900 27,027
Exide Corp............................................ 1,400 21,875
*Exogen, Inc.......................................... 800 1,850
*Extended Systems, Inc................................ 200 941
Ezcorp, Inc. Class A Non-Voting....................... 500 3,703
F & M Bancorp (MD).................................... 200 6,325
F & M National Corp................................... 1,100 32,931
FCNB Corp............................................. 500 9,703
*FEI Co............................................... 1,800 14,962
FFY Financial Corp.................................... 400 7,350
*FLIR Systems, Inc.................................... 800 10,775
FNB Rochester Corp.................................... 200 6,581
*FPIC Insurance Group, Inc............................ 600 26,962
*FSI International, Inc............................... 1,500 12,187
</TABLE>
21
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*FTI Consulting, Inc.................................. 500 $ 2,125
*FYI, Inc............................................. 800 22,150
Factset Research Systems, Inc......................... 100 4,325
Fair, Isaac & Co., Inc................................ 1,400 45,850
*Fairchild Corp. Class A.............................. 1,357 20,270
*Fairfield Communities, Inc........................... 3,000 47,625
Falcon Products, Inc.................................. 600 6,487
*#Family Golf Centers, Inc............................ 2,600 23,522
*Farr Co.............................................. 600 6,450
*Faxsav, Inc.......................................... 1,400 8,094
Fedders Corp.......................................... 1,100 6,256
*Fibermark, Inc....................................... 500 7,156
Fidelity Bancorp, Inc. Delaware....................... 100 2,331
Fidelity National Financial, Inc...................... 3,200 54,200
*Filenes Basement Corp................................ 800 1,325
*Filenet Corp......................................... 2,000 19,687
*Financial Federal Corp............................... 1,500 33,562
*Finish Line, Inc. Class A............................ 1,900 23,275
*First Alliance Corp.................................. 300 858
*First Cash, Inc...................................... 500 5,172
First Charter Corp.................................... 800 19,375
First Commonwealth Financial Corp..................... 1,100 24,750
First Essex Bancorp................................... 500 8,344
First Federal Capital Corp............................ 700 10,194
First Financial Holdings, Inc......................... 900 17,100
First Indiana Corp.................................... 800 15,300
First Liberty Financial Corp.......................... 1,400 40,337
First Mariner Bank Corp............................... 200 2,350
First Merchants Corp.................................. 700 16,537
First Mutual Savings Bank............................. 220 2,599
First Northern Capital Corp........................... 900 9,816
*First Republic Bank.................................. 600 15,675
First Savings Bancorp, Inc. North Carolina............ 200 3,937
*First Sierra Financial, Inc.......................... 900 19,884
First Source Corp..................................... 550 17,652
First Washington Bancorp, Inc......................... 700 14,087
First Western Bancorp, Inc............................ 400 13,962
First Years, Inc...................................... 100 1,628
Firstbank Corp........................................ 100 1,466
*FirstFed Financial Corp. DE.......................... 1,400 26,425
*Flagstar Bancorp, Inc................................ 700 16,406
*Flander Corp......................................... 1,700 6,428
Fleming Companies, Inc................................ 3,800 39,187
Flexsteel Industries, Inc............................. 300 4,106
*Florida Panthers Holdings, Inc. Class A.............. 2,300 25,012
Florida Rock Industries, Inc.......................... 1,200 47,850
*Florsheim Group, Inc................................. 500 3,719
*Flow International Corp.............................. 1,000 10,031
Flowserve Corp........................................ 2,500 51,250
Flushing Financial Corp............................... 600 8,887
*Foilmark, Inc........................................ 800 1,775
Foothill Independent Bancorp.......................... 600 8,100
*Footstar, Inc........................................ 1,600 62,100
*#Forcenergy, Inc..................................... 1,600 1,725
Foremost Corp. of America............................. 2,700 59,906
*Forest Oil Corp...................................... 2,600 27,462
*Forrester Resh, Inc.................................. 600 19,275
*Forte Software, Inc.................................. 2,000 11,312
*Forward Air Corp., Inc............................... 600 16,369
*Fossil, Inc.......................................... 1,400 58,756
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Foster (L.B.) Co. Class A............................ 700 $ 3,894
Foster Wheeler Corp................................... 2,600 35,750
*Four Media Co........................................ 900 6,019
*Fourth Shift Corp.................................... 700 2,516
*Franklin Covey Co.................................... 2,000 19,500
*Franklin Electronic Publishers, Inc.................. 500 2,625
Freds, Inc. Class A................................... 800 10,450
Freedom Securities Corp............................... 700 12,162
*#French Fragrances, Inc.............................. 900 6,848
Frequency Electronics, Inc............................ 500 4,344
*Fresh America Corp................................... 300 4,256
*Friede Goldman International......................... 2,300 39,100
*#Friedman Billings Ramsey Group, Inc. Class A........ 1,300 13,569
Friedmans, Inc. Class A............................... 900 8,156
Frisch's Restaurants, Inc............................. 600 6,150
*Fritz Companies, Inc................................. 2,400 26,100
Frontier Insurance Group, Inc......................... 2,400 41,250
*Frontier Oil Corp.................................... 2,800 14,175
Frozen Food Express Industries, Inc................... 1,100 7,700
*#Fuisz Technologies, Ltd............................. 1,400 5,425
Fuller (H.B.) Co...................................... 900 57,431
*Funco, Inc........................................... 300 6,544
Furon Co.............................................. 1,200 21,900
*Fusion Medical Technologies, Inc..................... 500 3,891
*G-III Apparel Group, Ltd............................. 300 642
GA Financial, Inc..................................... 500 7,437
GBC Bancorp........................................... 900 16,425
*#GK Intelligent Systems, Inc......................... 1,400 875
*GP Strategies Corp................................... 500 5,000
*GRC International, Inc............................... 700 5,425
*GT Interactive Software Corp......................... 4,700 18,653
*GTS Duratek, Inc..................................... 1,400 8,706
*Gadzooks, Inc........................................ 600 5,756
Gainsco, Inc.......................................... 1,400 6,387
*Galey & Lord, Inc.................................... 800 3,300
*GameTech International, Inc.......................... 700 2,909
*Garden Fresh Restaurant Corp......................... 300 5,522
*Garden Ridge Corp.................................... 1,200 7,312
*#Gardenburger, Inc................................... 600 4,912
*Gardner Denver Machinery, Inc........................ 1,000 17,125
*Gasonics International, Inc.......................... 900 10,941
*Gaylord Container Corp. Class A...................... 3,200 26,800
*Geerling & Wade, Inc................................. 200 1,137
*Gehl Co.............................................. 500 10,297
*#Geltex Pharmaceuticals, Inc......................... 1,100 18,700
Gencor Industries, Inc................................ 500 3,156
*Genelabs Technologies, Inc........................... 1,100 2,045
General Binding Corp.................................. 900 18,506
General Cable Corp.................................... 1,900 28,856
General Chemical Group, Inc........................... 700 2,975
*General Cigar Holdings, Inc. Class A................. 800 6,400
*General Communications, Inc. Class A................. 2,900 14,409
*#General Datacomm Industries, Inc.................... 1,700 4,675
*#General Magic, Inc.................................. 2,000 7,437
*General Semiconductor, Inc........................... 2,600 20,150
*General Surgical Innovations, Inc.................... 900 3,487
*Genesco, Inc......................................... 1,700 22,737
*Genesis Health Ventures, Inc......................... 2,300 10,206
*Genesys Telecommunications Laboratories, Inc......... 1,200 27,675
</TABLE>
22
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Genlyte Group, Inc................................... 500 $ 10,734
*Genome Therapeutics Corp............................. 1,700 5,578
*Genrad, Inc.......................................... 1,900 34,675
*Gensia Sicor, Inc.................................... 5,100 22,631
*Gensym Corp.......................................... 300 1,153
*Gentek, Inc.......................................... 700 9,100
*Genzyme Transgenics Corp............................. 900 4,106
Geon Co............................................... 1,500 45,187
Georgia Gulf Corp..................................... 2,000 29,875
*Geoworks............................................. 1,000 2,406
*Gerber Childrenswear, Inc............................ 500 3,375
Gerber Scientific, Inc................................ 1,500 35,062
*Geron Corp........................................... 700 8,356
*Getty Petroleum Marketing, Inc....................... 900 2,812
Getty Realty Corp. (Holding Co.)...................... 700 9,581
*Giant Cement Holding, Inc............................ 500 11,078
Giant Industries, Inc................................. 500 5,281
Gibraltar Steel Corp.................................. 600 13,125
*Gibson Greetings, Inc................................ 1,000 7,312
*Gilman & Ciocia, Inc................................. 300 2,953
Glatfelter (P.H.) Co.................................. 2,100 27,956
Gleason Corp.......................................... 700 11,725
*Glenayre Technologies, Inc........................... 4,000 14,375
*Gliatech, Inc........................................ 600 15,450
*Global Payment Technologies, Inc..................... 500 6,156
*Globe Business Resources, Inc........................ 100 1,175
Gold Banc Corp........................................ 700 9,559
Golden Enterprises, Inc............................... 200 781
*Good Guys, Inc....................................... 900 2,827
*Goodys Family Clothing............................... 2,200 24,062
Gorman-Rupp Co........................................ 600 9,712
*Gottschalks, Inc..................................... 800 6,600
*Government Technology Services, Inc.................. 600 2,306
Graco, Inc............................................ 1,300 42,494
*Gradall Industries, Inc.............................. 600 11,831
*Graham-Field Health Products, Inc.................... 900 2,025
Grand Premier Financial, Inc.......................... 900 10,659
Granite Construction, Inc............................. 1,800 50,512
Granite State Bankshares, Inc......................... 300 6,581
*Great Plains Software................................ 900 33,891
Greater Bay Bancorp................................... 600 19,237
Greenbrier Companies, Inc............................. 900 8,381
*Grey Wolf, Inc....................................... 3,000 6,187
*Griffon Corp......................................... 2,000 16,000
*Grow Biz International, Inc.......................... 300 2,494
*Grubb & Ellis Co..................................... 1,200 7,650
Guarantee Life Companies, Inc......................... 100 1,981
*Guaranty Federal Bancshares, Inc..................... 300 3,497
*Guess, Inc........................................... 2,100 22,837
Guilford Mills, Inc................................... 1,500 15,000
*Guilford Pharmaceuticals, Inc........................ 1,300 13,975
*Gulf Island Fabrication, Inc......................... 800 8,675
*Gulfmark Offshore, Inc............................... 500 8,156
*#Gumtech International, Inc.......................... 700 7,044
*Gymboree Corp........................................ 1,600 19,550
*HCIA, Inc............................................ 800 6,875
HF Financial Corp..................................... 500 7,437
*HIE, Inc............................................. 2,500 5,781
HMN Financial, Inc.................................... 100 1,262
*HMT Technology Corp.................................. 2,800 11,331
*HNC Software, Inc.................................... 1,300 34,856
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#HORIZON Pharmacies, Inc............................. 600 $ 3,600
*HS Resources, Inc.................................... 1,200 14,400
*HTE, Inc............................................. 800 3,725
*Ha-Lo Industries, Inc................................ 3,400 41,012
Hach Co............................................... 400 7,025
*Hadco Corp........................................... 900 27,956
*Haemonetics Corp..................................... 1,700 32,300
Haggar Corp........................................... 600 7,612
*Hagler Bailly, Inc................................... 1,100 8,989
*Hain Food Group, Inc................................. 900 17,606
*Hall Kinion Associates, Inc.......................... 600 4,387
*Halter Marine Group, Inc............................. 1,900 14,012
*Hambrecht & Quist Group, Inc......................... 300 10,781
*Hamilton Bancorp, Inc................................ 400 9,112
Hancock Fabrics, Inc.................................. 1,300 7,394
*Handleman Co......................................... 2,100 24,806
*Hanger Orthopedic Group, Inc......................... 1,200 19,650
*Hanover Direct, Inc.................................. 12,600 32,287
*Harbinger Corp....................................... 2,700 29,953
Harbor Florida Bancshares, Inc........................ 1,600 19,150
*Harding Lawson Associates Group, Inc................. 500 4,219
Hardinge Brothers, Inc................................ 600 10,444
*Harken Energy Corp................................... 1,000 1,937
Harland (John H.) Co.................................. 1,600 28,600
Harleysville Group, Inc............................... 1,900 36,812
Harleysville National Corp. PA........................ 300 10,509
Harman International Industries, Inc.................. 100 4,437
Harmon Industries, Inc................................ 700 14,569
*Harmonic Lightwaves, Inc............................. 800 39,450
Harnischfeger Industries, Inc......................... 2,500 17,969
Harris Financial, Inc................................. 700 7,875
*Hastings Entertainment, Inc.......................... 400 4,575
*#Hauppauge Digital, Inc.............................. 200 4,762
*Hauser, Inc.......................................... 700 1,728
Haven Bancorp, Inc.................................... 600 8,400
*Hawaiian Airlines, Inc............................... 3,300 9,075
*Hawker Pacific Aerospace............................. 200 537
Hawkins Chemical, Inc................................. 600 5,344
*Hawthorne Financial Corp............................. 300 4,734
*Hayes Lemmerz International, Inc..................... 500 16,500
*Headway Corporate Resources, Inc..................... 500 2,297
*Health Management Systems, Inc....................... 1,100 6,256
*Healthcare Recoveries, Inc........................... 700 2,898
*Healthcare Services Group, Inc....................... 600 5,512
Healthplan Services Corp.............................. 900 7,987
*Heartland Express, Inc............................... 1,900 29,153
*Heartport, Inc....................................... 1,600 5,100
*Hecla Mining Co...................................... 3,600 8,775
Heilig-Meyers Co...................................... 3,900 27,056
Helix Technology Corp................................. 1,400 23,844
*Hello Direct, Inc.................................... 300 3,403
*#Hemispherx Biopharma, Inc........................... 1,800 13,387
Henry Jack & Associates, Inc.......................... 1,200 42,862
Herbalife International, Inc. Class A................. 500 5,641
Heritage Financial Corp............................... 600 4,931
*Heska Corp........................................... 1,900 7,362
*Hexcel Corp.......................................... 2,400 25,650
*Hi-Shear Technology Corp............................. 200 1,037
*Hi-Tech Pharmacal, Inc............................... 200 837
*#Hibbett Sporting Goods, Inc......................... 500 12,406
*Highlands Insurance Group, Inc....................... 600 6,412
</TABLE>
23
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hilb Rogal Hamilton Co................................ 600 $ 12,225
*Holiday RV Superstores, Inc.......................... 600 2,156
*Hollywood Park, Inc.................................. 1,800 25,987
*Hologic, Inc......................................... 900 6,862
*Holophane Corp....................................... 500 13,687
*Holt's Cigar Holdings, Inc........................... 200 912
*Home Products International, Inc..................... 400 3,362
*#Homebase, Inc....................................... 2,500 14,219
Hooper Holmes, Inc.................................... 1,800 32,625
Horizon Financial Corp................................ 400 5,512
*Hospitality Worldwide Services, Inc.................. 800 2,800
*Host Marriott Services Corp.......................... 2,200 17,187
*Hot Topic, Inc....................................... 200 4,844
*Houston Exploration Co............................... 1,000 18,812
*Hovnanian Enterprises, Inc. Class A.................. 900 7,312
*Hub Group, Inc. Class A.............................. 400 11,125
Huffy Corp............................................ 600 8,062
Hughes Supply, Inc.................................... 1,600 43,100
Hunt (J.B.) Transport Services, Inc................... 1,800 30,487
Hunt Corp............................................. 700 7,044
*Hurco Companies, Inc................................. 300 1,931
*Hutchinson Technology, Inc........................... 1,200 27,862
*Hypercom Corp........................................ 2,300 16,244
*Hyperion Solutions Corp.............................. 2,000 31,187
*Hyseq, Inc........................................... 800 2,650
*I-Stat Corp.......................................... 1,100 10,037
*IA Corp. I........................................... 600 1,191
*ICU Medical, Inc..................................... 500 8,969
*IDT Corp............................................. 1,500 33,141
*IDX Systems Corp..................................... 1,700 40,641
*IEC Electronics Corp................................. 400 1,450
*IFR Systems, Inc..................................... 500 1,969
*#IGEN, Inc........................................... 500 14,406
*IHOP Corp............................................ 1,200 28,725
*II-VI, Inc........................................... 300 2,709
IMCO Recycling, Inc................................... 500 8,375
*IMR Global Corp...................................... 1,500 31,500
ISB Financial Corp. LA................................ 300 6,394
*ISOCOR............................................... 600 3,731
*IT Group, Inc ....................................... 1,500 25,219
*ITEQ, Inc............................................ 800 1,675
*ITI Technologies, Inc................................ 300 7,275
*ITLA Capital Corp.................................... 500 8,063
*ITT Educational Services, Inc........................ 2,600 61,913
*IVI Checkmate Corp................................... 1,800 5,316
*Ibis Technology Corp................................. 300 5,953
*Identix, Inc......................................... 1,600 16,100
*Ikos Systems, Inc.................................... 500 4,344
*Il Fornaio (America) Corp............................ 300 4,022
*Image Entertainment, Inc............................. 1,600 12,750
*Imation Corp......................................... 1,000 23,500
*Imclone Systems, Inc................................. 1,600 31,450
*Immucor, Inc......................................... 500 6,156
*#Immune Response Corp. DE............................ 1,500 9,469
*#Immunogen, Inc...................................... 1,700 3,984
*#Immunomedics, Inc................................... 1,500 3,609
*Impath, Inc.......................................... 300 8,231
*Impco Technologies, Inc.............................. 600 5,325
*Imperial Bancorp..................................... 2,700 51,975
*Imperial Credit Industries, Inc...................... 2,500 20,781
Imperial Sugar Co..................................... 1,000 6,062
*In Focus Systems, Inc................................ 1,400 14,744
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Inacom Corp.......................................... 1,900 $ 21,019
*Incyte Pharmaceuticals, Inc.......................... 1,400 36,356
Independent Bank Corp. MA............................. 1,000 14,469
#Independent Bank East................................ 500 8,563
*Individual Investor Group, Inc....................... 900 6,272
Industrial Bancorp, Inc............................... 200 4,150
*Industrial Holdings, Inc............................. 800 5,825
*Inference Corp. Class A.............................. 300 1,434
*Infinium Software, Inc............................... 800 4,525
*Infocure Corp........................................ 300 11,081
*#Infonautics Corp. Class A........................... 600 3,713
*Information Management Associates, Inc............... 300 994
*Information Resource Engineering, Inc................ 300 7,153
*Information Resources, Inc........................... 1,800 15,356
*Infousa, Inc. Class B................................ 1,600 9,875
Ingles Market, Inc. Class A........................... 600 7,256
*Inhale Therapeutic Systems........................... 1,000 26,469
Innovex, Inc.......................................... 1,000 13,500
*#Inprise Corp........................................ 3,100 11,238
*Input/Output, Inc.................................... 1,500 12,750
*Insight Enterprises, Inc............................. 1,600 40,600
*Insituform Technologies, Inc.
Class A............................................. 1,300 21,653
*Inso Corp............................................ 1,000 6,828
*Inspire Insurance Solutions, Inc..................... 1,200 20,963
Insteel Industries, Inc............................... 500 4,313
Instron Corp.......................................... 500 9,938
*Insurance Auto Auctions, Inc......................... 600 7,800
*Integra Lifesciences Corp............................ 1,600 8,000
*IntegraMed America, Inc.............................. 500 2,000
*Integrated Device Technology, Inc.................... 5,300 41,903
*Integrated Electrical Services, Inc.................. 600 9,038
*Integrated Health Services, Inc...................... 500 2,938
*Integrated Measurement System, Inc................... 500 5,563
*Integrated Sensor Solutions, Inc..................... 800 6,388
*Integrated Silicon Solution, Inc..................... 1,300 3,453
*Integrated Systems, Inc.............................. 1,500 18,656
*Intellidata Technologies Corp........................ 2,200 8,147
*#Intelligroup, Inc................................... 800 5,425
*Interactive Flight Technologies, Inc. Class A........ 200 838
*Interdigital Communications Corp..................... 3,200 14,800
Interface, Inc. Class A............................... 1,900 14,844
*Intergraph Corp...................................... 3,200 25,500
*Interleaf, Inc....................................... 400 2,300
*Interlink Electronics................................ 500 3,523
*Interlinq Software Corp.............................. 300 2,395
*Intermagnetics General Corp.......................... 800 6,250
Intermet Corp......................................... 1,000 13,969
*International FiberCom, Inc.......................... 1,900 13,953
*International Microcomputer Software, Inc............ 300 1,913
International Multifoods Corp......................... 1,200 26,400
*International Rectifier Corp......................... 3,300 35,888
*International Speciality Products, Inc............... 2,500 23,438
*International Telecommunication Data Systems, Inc.... 1,100 14,094
*International Total Services, Inc.................... 300 1,144
*Interneuron Pharmaceuticals, Inc..................... 2,700 7,847
*Interphase Corp...................................... 500 7,188
</TABLE>
24
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Interpool, Inc........................................ 1,400 $ 17,588
*Interpore International.............................. 1,100 4,761
*Interstate National Dealers Services, Inc............ 200 1,438
*Intertan, Inc........................................ 800 12,350
Inter-Tel, Inc........................................ 1,800 26,719
*Intervoice, Inc...................................... 1,800 19,969
*Intervu, Inc......................................... 400 13,825
Interwest Bancorp..................................... 1,000 20,281
*#Intevac, Inc........................................ 800 3,600
Investors Financial Services Corp..................... 700 24,653
*Invision Technologies, Inc........................... 800 4,325
*Invivo Corp.......................................... 200 2,450
*Ionics, Inc.......................................... 1,000 31,313
Irwin Financial Corp.................................. 600 13,763
*Irwin Naturals/4Health, Inc.......................... 1,800 4,219
*#Isis Pharmaceuticals, Inc........................... 1,700 17,106
*Isle of Capri Casinos, Inc........................... 1,600 11,275
*Isolyser Co., Inc.................................... 2,000 7,094
*#Itron, Inc.......................................... 1,000 8,281
*Ivex Packaging Corp.................................. 1,000 19,250
*J & J Snack Foods Corp............................... 600 12,375
*JDA Software Group, Inc.............................. 1,500 13,406
JLG Industries, Inc................................... 1,000 19,313
*JPM Co............................................... 400 4,125
*JWGenesis Financial Corp............................. 300 4,894
*Jackpot Enterprises, Inc............................. 600 4,988
*Jakks Pacific, Inc................................... 700 19,359
*Jan Bell Marketing, Inc.............................. 1,800 5,513
*Jason, Inc........................................... 1,300 10,969
*Javelin Systems, Inc................................. 400 5,175
*Jean Philippe Fragrances, Inc........................ 600 4,913
*Jefferies Group, Inc................................. 1,400 34,388
*Johnson Worldwide Associates, Inc. Class A........... 300 2,681
*Johnston Industries, Inc............................. 700 1,575
*Johnstown American Industries, Inc................... 600 9,413
Juno Lighting, Inc.................................... 1,200 27,525
*#Just for Feet, Inc.................................. 3,100 23,541
Justin Industries, Inc................................ 1,700 22,578
*K & G Men's Center, Inc.............................. 700 7,853
K Swiss, Inc. Class A................................. 300 17,250
*#K-Tel International, Inc............................ 1,000 6,219
*K-V Pharmaceutical Co. Class A....................... 600 10,088
K2, Inc............................................... 1,100 10,931
KCS Energy, Inc....................................... 1,900 1,069
*KTI, Inc............................................. 600 6,281
*Kaiser Aluminum Corp................................. 4,000 35,000
*Kaiser Ventures, Inc................................. 700 9,800
Kaman Corp. Class A................................... 1,500 19,969
*Kaneb Services, Inc.................................. 2,200 9,763
*Kasper A.S.L., Ltd................................... 500 2,906
*Kellstrom Industries, Inc............................ 800 14,450
Kellwood Co........................................... 600 14,250
*Kemet Corp........................................... 2,500 40,156
*Kendle International, Inc............................ 500 6,828
Kennametal, Inc....................................... 900 25,594
*Kennedy-Wilson, Inc.................................. 500 4,547
*Kensey Nash Corp..................................... 400 3,950
*Kent Electronics Corp................................ 1,800 23,513
*#Keravision, Inc..................................... 800 7,950
*Kevco, Inc........................................... 300 1,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Key Energy Group, Inc................................ 1,800 $ 5,738
*Key Production Co., Inc.............................. 700 5,950
*Key Tronic Corp...................................... 500 2,672
*Keystone Automotive Industries, Inc.................. 1,100 17,703
*Keystone Consolidated Industries, Inc................ 500 3,656
*Kinnard Investment, Inc.............................. 300 1,214
*Kirby Corp........................................... 1,000 18,875
*Kitty Hawk, Inc...................................... 1,100 8,697
Klamath First Bancorp, Inc............................ 600 9,413
*Knight Transportation, Inc........................... 1,000 19,813
*Kofax Image Products, Inc............................ 500 4,453
Kollmorgen Corp....................................... 700 8,794
*Komag, Inc........................................... 3,300 12,478
*Kopin Corp........................................... 800 15,750
*Kronos, Inc.......................................... 750 27,797
*Kulicke & Soffa Industries, Inc...................... 1,500 31,594
*LCC International, Inc. Class A...................... 500 2,375
*LLEX Oncology, Inc................................... 800 7,950
LNR Property Corp..................................... 1,500 30,000
LSB Industries, Inc................................... 700 1,313
LSI Industries, Inc................................... 600 13,275
LTV Corp.............................................. 5,000 30,625
*LTX Corp............................................. 2,300 20,556
*La Jolla Pharmceutical Co............................ 1,300 1,402
*LaBarge, Inc......................................... 500 1,063
Labone, Inc........................................... 900 10,856
*Ladd Furniture, Inc.................................. 500 10,250
*Lai Worldwide, Inc................................... 500 2,969
Lakeview Financial Corp............................... 200 4,031
*Lamson & Sessions Co................................. 500 2,938
Lance, Inc............................................ 1,900 27,728
*Lancer Corp.......................................... 600 4,688
*Landec Corp.......................................... 700 2,603
*Landrys Seafood Restaurants, Inc..................... 2,000 18,500
*Landstar Systems, Inc................................ 700 26,381
*#LaserSight Corporation.............................. 700 12,097
*Lason, Inc........................................... 600 23,119
Lawson Products, Inc.................................. 700 17,413
Lawter International, Inc............................. 2,100 25,594
*Layne Christensen Co................................. 600 4,013
*Lazare Kaplan International, Inc..................... 500 4,750
*Leapnet, Inc......................................... 900 2,222
*Learning Tree International, Inc..................... 1,400 14,788
*#Leasing Solutions, Inc.............................. 500 531
*Lechters, Inc........................................ 1,100 2,544
*Lecroy Corp.......................................... 800 13,900
Lesco, Inc............................................ 500 8,875
*#Level 8 Systems, Inc................................ 500 4,391
Libbey, Inc........................................... 800 23,950
*Liberty Bancorp, Inc................................. 200 1,669
*Life Financial Corp.................................. 700 2,778
Life USA Holdings, Inc................................ 1,600 31,950
*Lifecell Corp........................................ 600 2,494
*Lifecore Biomedical, Inc............................. 800 8,875
*Ligand Pharmaceuticals, Inc.
Class B............................................. 2,100 21,459
*Lightbridge, Inc..................................... 1,000 10,094
Lillian Vernon Corp................................... 600 7,725
Lilly Industry, Inc. Class A.......................... 1,500 28,594
Lindsay Manufacturer Co............................... 400 7,050
*Liposome Co., Inc.................................... 1,900 27,134
</TABLE>
25
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Litchfield Financial Corp............................. 300 $ 4,922
*Lithia Motors, Inc. Class A.......................... 300 5,681
*Littlefuse, Inc...................................... 1,300 26,041
*Lodgenet Entertainment Corp.......................... 800 9,950
*Loews Cineplex Entertainment Corp.................... 1,800 17,213
*Logic Devices, Inc................................... 300 1,041
*Logility, Inc........................................ 1,000 4,969
*Lojack Corp.......................................... 1,200 9,338
Lone Star Industries, Inc............................. 1,200 42,750
*Lone Star Steakhouse Saloon.......................... 2,000 20,313
*Lone Star Technologies, Inc.......................... 1,500 23,344
*Long Beach Financial Corp............................ 1,500 21,422
Longview Fibre Co..................................... 3,400 46,113
*Loronix Information Systems, Inc..................... 200 1,988
*Louis Dreyfus Natural Gas Corp....................... 1,200 23,400
Luby's Cafeterias, Inc................................ 900 15,300
Lufkin Industries, Inc................................ 300 5,034
*Lumisy, Inc.......................................... 600 2,325
*Lunar Corp........................................... 600 4,969
*Lydall, Inc. DE...................................... 1,000 12,063
*Lynx Therapeutics, Inc............................... 400 4,863
M.A. Hanna Co......................................... 2,200 32,450
*#M.H. Meyerson & Co., Inc............................ 300 2,344
MAF Bancorp, Inc...................................... 1,400 32,156
*MAI Systems Corp..................................... 500 1,906
*MAXIMUS, Inc......................................... 1,200 35,700
MDC Holdings, Inc..................................... 900 17,775
*MEMC Electronic Materials, Inc....................... 1,200 9,900
#MFB Corp............................................. 100 2,144
*MGI Pharma, Inc...................................... 600 6,300
MI Schottenstein Homes, Inc........................... 600 11,625
MMI Companies, Inc.................................... 600 10,350
MOCON, Inc............................................ 300 1,725
*MRV Communications, Inc.............................. 1,700 19,869
*MS Carriers, Inc..................................... 800 25,450
MTS Systems Corp...................................... 1,300 15,275
*Mac-Gray Corp........................................ 500 4,469
*Mackie Designs, Inc.................................. 300 1,500
*MacNeal-Schwendler Corp.............................. 900 5,175
*Madden (Steven), Ltd................................. 500 5,359
*Made2Manage Systems, Inc............................. 200 2,069
Madison Gas & Electric Co............................. 1,000 21,094
*Magainin Pharmaceuticals, Inc........................ 1,400 2,231
*#Magellan Health Services, Inc....................... 2,100 16,931
*Magnetek, Inc........................................ 2,100 21,263
*Magnum Hunter Resources, Inc......................... 2,100 7,613
*Mail-Well, Inc....................................... 3,200 47,400
*Main Street & Main, Inc.............................. 600 2,138
*Mallon Resources Corp................................ 500 4,375
*Manchester Equipment Co., Inc........................ 400 1,300
*Manhattan Associates, Inc............................ 1,700 15,247
Manitowoc Co., Inc.................................... 600 20,400
*Manugistic Group, Inc................................ 1,700 15,353
*Mapics, Inc.......................................... 800 7,550
*Mapinfo Corp......................................... 300 5,663
Marcus Corp........................................... 500 6,281
*Marine Drilling Companies, Inc....................... 3,400 48,875
*Marine Transport Corp................................ 2,000 8,563
*Mariner Post-Acute Network, Inc...................... 4,600 10,350
Maritrans, Inc........................................ 1,100 6,325
*Market Facts, Inc.................................... 400 12,513
*Marlton Technologies, Inc............................ 500 2,344
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Marsh Supermarkets, Inc. Class B...................... 200 $ 2,500
*Marshall Industries.................................. 200 3,525
*#Martek Biosciences Corp............................. 1,000 10,563
*Marvel Enterprises, Inc.............................. 2,300 20,413
Massbank Corp. Reading, MA............................ 100 3,750
*Mastec, Inc.......................................... 1,800 43,650
*Matria Healthcare, Inc............................... 2,400 14,250
*Matrix Pharmaceutical, Inc........................... 1,400 6,584
*Matrix Service Co.................................... 500 1,969
Matthews International Corp.
Class A............................................. 300 8,738
*Mattson Technology, Inc.............................. 1,000 7,188
*Maverick Tube Corp................................... 1,000 12,969
*Maxicare Health Plans, Inc........................... 1,800 8,944
*Maxim Group, Inc..................................... 900 8,100
*#Maxim Pharmaceuticals, Inc.......................... 600 6,075
*Maxwell Technologies, Inc............................ 300 6,788
*Maxxim Medical, Inc.................................. 700 11,113
*Maynard Oil Co....................................... 200 1,950
*Mazel Stores, Inc.................................... 600 5,700
McGrath Rent Corp..................................... 600 11,325
*McMoran Exploration Co............................... 600 10,838
*McNaughton Apparel Group, Inc........................ 500 3,031
*McWhorter Technologies, Inc.......................... 400 5,550
*Meade Instruments Corp............................... 500 6,688
*#Meadow Valley Corp.................................. 200 925
*Mechanical Dynamics, Inc............................. 300 1,913
*Mecon, Inc........................................... 300 2,475
*Medaphis Corp........................................ 5,000 24,844
*Medarex, Inc......................................... 3,100 12,884
*Medco Research, Inc.................................. 700 16,450
Medford Bancorp, Inc.................................. 600 9,900
*Media 100, Inc....................................... 500 3,359
*Media Arts Group, Inc................................ 700 4,856
*Medical Action Industries, Inc....................... 600 1,781
*Medical Manager Corp................................. 1,400 69,213
*Medicalcontrol, Inc.................................. 200 1,688
*Medirisk, Inc........................................ 100 1,034
*Medstone International, Inc.......................... 200 1,456
*Melita International Corp............................ 1,100 15,984
Mentor Corp. MN....................................... 1,200 19,125
*Mentor Graphics Corp................................. 4,300 54,153
Merchants Bancshares, Inc............................. 200 4,638
*Meridian Data, Inc................................... 800 6,050
Meridian Diagnostics, Inc............................. 900 6,975
*Meridian Resource Corp............................... 2,300 12,363
*Merit Medical Systems, Inc........................... 700 4,091
*Merix Corp........................................... 300 1,800
Merrill Corp.......................................... 1,100 16,603
*Mesa Air Group, Inc.................................. 1,800 11,869
*Mesa Labs, Inc....................................... 200 931
*Mesaba Holdings, Inc................................. 600 8,906
*Messagemedia, Inc.................................... 2,000 17,813
*Meta Group, Inc...................................... 800 11,025
*Metacreations Corp................................... 1,400 8,269
*#Metal Management, Inc............................... 2,600 4,794
*Metals USA, Inc...................................... 4,500 51,750
Methode Electronics, Inc. Class A..................... 1,800 33,019
*#Metricom, Inc....................................... 1,200 11,850
*Metro One Telecommunications, Inc.................... 700 10,609
*Metrocall, Inc....................................... 2,700 7,889
*Metrologic Instruments, Inc.......................... 500 6,000
</TABLE>
26
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Metromedia International Group, Inc.................. 3,500 $ 29,094
Michael Foods, Inc.................................... 1,400 32,813
*Michaels Stores, Inc................................. 900 24,131
*Micro Warehouse, Inc................................. 2,100 32,616
*Microcide Pharmaceuticals, Inc....................... 700 2,942
*Micrografx, Inc...................................... 800 5,325
*Micros Systems, Inc.................................. 1,000 31,375
*Microsemi Corp....................................... 800 7,775
*Microtest, Inc....................................... 300 797
*Micro-Therapeutics, Inc.............................. 300 2,569
*Microtouch Systems, Inc.............................. 500 7,344
*Microwave Power Dynamics, Inc........................ 700 10,588
Mid America Banccorp.................................. 700 16,975
*Mid Atlantic Medical Services, Inc................... 3,200 33,200
Midas, Inc............................................ 1,100 34,444
*Middleby Corp........................................ 700 3,391
*Midway Airlines Corp................................. 900 9,281
*Midway Games, Inc.................................... 1,500 15,938
*Midwest Express Holdings, Inc........................ 900 26,944
*Midwest Grain Products, Inc.......................... 600 5,588
Mikasa, Inc........................................... 500 5,563
*Mikohn Gaming Corp................................... 700 2,669
*Miller Industries, Inc............................... 3,300 15,881
Minntech Corp......................................... 300 4,153
*#Miravant Medical Technologies....................... 900 6,778
Mississippi Chemical Corp............................. 1,700 16,363
*Mitcham Industries, Inc.............................. 600 2,559
Mitchell Energy & Development Corp. Class A........... 1,500 24,000
Mobile America Corp................................... 500 1,922
*Mobile Mini, Inc..................................... 500 6,563
*Mobius Management Systems, Inc....................... 700 5,950
*#Modacad, Inc........................................ 300 2,934
*Modtech Holdings, Inc................................ 510 4,590
*Molecular Biosystems, Inc............................ 1,200 3,000
*Monaco Coach Corp.................................... 600 18,000
*Monarch Dental Corp.................................. 1,700 6,109
*Mondavi (Robert) Corp. Class A....................... 500 16,891
*Monro Muffler Brake, Inc............................. 400 3,388
*Monterey Pasta Co.................................... 600 1,519
*Moog, Inc. Class A................................... 300 8,231
Morgan Keegan, Inc.................................... 2,100 38,719
*Morgan Products, Ltd................................. 700 2,603
Morrison Health Care, Inc............................. 500 9,781
*Morrison Knudsen Corp................................ 3,300 32,794
*Mosaix, Inc.......................................... 700 7,284
*#Mossimo, Inc........................................ 1,100 10,038
*Mother's Work, Inc................................... 200 2,238
*Motivepower Industries, Inc.......................... 1,800 30,488
*Motor Car Parts & Accessories, Inc................... 200 1,156
Movado Group, Inc..................................... 500 12,063
*Movie Gallery, Inc................................... 900 5,541
*#Multiple Zones International, Inc................... 900 7,988
*Musicland Stores Corp................................ 2,300 20,413
*Mutual Savings Bank FSB Bay City, MI................. 200 2,581
Myers Industries, Inc................................. 1,200 27,450
*Mylex Corp........................................... 1,300 6,866
*Myriad Genetics, Inc................................. 500 5,156
*Mysoftware Co........................................ 200 3,369
*NABI, Inc............................................ 2,300 6,541
NBT Bancorp........................................... 500 10,375
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*NBTY, Inc............................................ 4,400 $ 27,706
NCH Corp.............................................. 200 10,975
*NCI Building Systems, Inc............................ 1,200 30,300
*NCS Healthcare, Inc.................................. 800 10,900
*NFO Worldwide, Inc................................... 1,400 19,863
NL Industries, Inc.................................... 2,100 22,313
NN Ball & Roller, Inc................................. 1,500 8,438
*NPC International, Inc............................... 1,600 27,900
*NPS Pharmaceuticals, Inc............................. 800 5,600
*NS Group, Inc........................................ 1,500 10,688
NUI Corp.............................................. 700 17,413
*Nanometrics, Inc..................................... 700 4,856
*#Napro Biotherapeutics, Inc.......................... 1,500 3,164
Nash Finch Co......................................... 700 6,519
*Nastech Pharmaceutical Co., Inc...................... 300 797
*Nathans Famous, Inc.................................. 200 756
*National Beverage Corp............................... 1,500 12,375
*National City Bancorp................................ 300 6,000
*National Dentex Corp................................. 200 3,138
*National Discount Brokers Group, Inc................. 900 41,850
*National Home Health Care Corp....................... 500 2,172
National Penn Bancshares, Inc......................... 800 18,125
National Presto Industries, Inc....................... 500 18,656
*National Record Mart, Inc............................ 200 1,506
*National RV Holdings, Inc............................ 700 17,981
National Steel Corp. Class B.......................... 1,400 10,675
National Technical Systems, Inc....................... 500 2,250
*National Techteam, Inc............................... 700 3,741
*Natural Alternatives International, Inc.............. 300 1,078
*Natural Microsystems Corp............................ 700 4,288
*Natural Wonders, Inc................................. 400 1,488
Natures Sunshine Products, Inc........................ 900 11,194
*Nautica Enterprises, Inc............................. 2,400 38,850
*#Navarre Corp........................................ 1,600 19,400
*Navigant International, Inc.......................... 1,300 10,542
*Neff Corp. Class A................................... 500 6,594
Nelson (Thomas), Inc.................................. 500 4,906
*Neopath, Inc......................................... 900 3,572
*Neose Technologies, Inc.............................. 400 4,388
*#Neotherapeutics, Inc................................ 300 3,844
*Netopia, Inc......................................... 600 16,838
*Netrix Corp.......................................... 1,100 3,644
*Netspeak Corp........................................ 800 8,350
*Network Computing Devices, Inc....................... 1,600 7,600
*Network Equipment Technologies, Inc.................. 1,400 14,525
*#Network Peripherals, Inc............................ 800 11,575
*Neurocrine Biosciences, Inc.......................... 1,200 6,525
*Neurogen Corp........................................ 900 11,194
*New Century Financial Corp........................... 500 7,297
New England Business Services, Inc.................... 600 16,313
*New Horizons Worldwide, Inc.......................... 300 6,019
*New Mexico & Arizona Land Co......................... 500 3,750
*Newpark Resources, Inc............................... 4,100 36,900
#Newport Corp......................................... 600 9,113
*Newsedge Corp........................................ 1,100 9,316
*Nexstar Pharmaceuticals, Inc......................... 1,900 32,953
*#Niagara Corp........................................ 500 3,578
*Nichols Research Corp................................ 900 18,338
*Nine West Group...................................... 1,000 27,750
*Nitinol Medical Technologies, Inc.................... 1,000 3,125
*Nobel Learning Communities, Inc...................... 600 3,300
</TABLE>
27
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Nobility Homes....................................... 200 $ 1,769
*Noodle Kidoodle, Inc................................. 500 3,234
Norrell Corp.......................................... 1,800 33,413
*Norstan, Inc......................................... 700 7,897
*Nortek, Inc.......................................... 800 24,500
*North American Scientific, Inc....................... 1,000 7,313
*North Face, Inc...................................... 500 4,484
*Northfield Laboratories, Inc......................... 900 10,856
Northland Cranberries, Inc. Class A................... 1,800 16,256
Northwest Bancorp, Inc................................ 2,500 23,672
Northwest Natural Gas Co.............................. 1,600 38,400
*Northwest Pipe Co.................................... 600 10,313
Northwestern Corp..................................... 700 18,375
*Novadigm, Inc........................................ 1,100 8,284
*Novametrix Medical Systems, Inc...................... 600 2,588
*Novavax, Inc......................................... 900 3,769
*Noven Pharmaceuticals, Inc........................... 1,400 8,575
*Nstor Technology..................................... 1,700 5,100
*Nu Horizons Electronics Corp......................... 600 3,713
*Nuevo Energy Co...................................... 1,300 19,825
*Number Nine Visual Technology Corp................... 700 1,772
*Numerex Corp. Class A................................ 600 2,231
*O'Charleys, Inc...................................... 1,500 19,594
O'Sullivan Corp....................................... 1,100 9,763
*O'Sullivan Industries Holdings, Inc.................. 500 8,313
*OAO Technology Solutions, Inc........................ 1,100 4,469
*ODS Networks, Inc.................................... 1,200 4,125
OEA, Inc.............................................. 1,300 13,081
*OEC Medical Systems, Inc............................. 800 19,100
*OMNI Energy Services Corp............................ 1,000 4,375
*OSI Pharmaceutical, Inc.............................. 1,500 8,250
*OSI Systems, Inc..................................... 1,000 5,375
*Oak Industries, Inc.................................. 1,100 53,006
*Oak Technology, Inc.................................. 2,600 9,059
*Oakley, Inc.......................................... 3,600 29,250
Oakwood Homes Corp.................................... 2,800 35,000
*Object Design, Inc................................... 1,800 6,469
*Objective Systems Integrators, Inc................... 1,400 4,003
*Ocean Energy, Inc.................................... 1,900 18,763
Ocean Financial Corp.................................. 1,000 17,531
*Oceaneering International, Inc....................... 1,400 21,613
*Ocular Sciences, Inc................................. 900 27,534
*Ocwen Financial Corp................................. 4,000 34,750
*Odwalla, Inc......................................... 300 2,419
*Offshore Logistics, Inc.............................. 1,400 15,794
*Old Dominion Freight Lines, Inc...................... 400 4,700
*Olin Corp............................................ 2,000 26,500
Olsten Corp........................................... 3,400 30,175
*Olympic Steel, Inc................................... 1,000 7,688
Omega Financial Corp.................................. 600 21,075
*Omega Health System, Inc............................. 800 6,075
*#Omnipoint Corp...................................... 3,400 59,181
*Omtool, Ltd.......................................... 1,300 4,956
*On Assignment, Inc................................... 700 18,113
*On Command Corp...................................... 1,500 20,953
*On Technology Corp................................... 600 909
*On-Point Technology Systems, Inc..................... 900 2,616
*One Price Clothing Stores, Inc....................... 700 2,877
Oneida, Ltd........................................... 1,000 25,688
*#Onsale, Inc......................................... 800 15,525
*Ontrack Data International, Inc...................... 500 2,328
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Onyx Acceptance Corp................................. 300 $ 2,372
*Onyx Pharmacueticals, Inc............................ 700 5,644
*Open Market, Inc..................................... 2,300 28,606
*Open Plan Systems, Inc............................... 200 556
*Openroute Networks, Inc.............................. 600 2,156
*Opta Food Ingredients, Inc........................... 700 2,286
*Optek Technology, Inc................................ 300 7,556
*Opti, Inc............................................ 700 4,441
*#Optical Cable Corp.................................. 1,500 16,594
Optical Coating Laboratory, Inc....................... 800 51,950
*Optika Imaging Systems, Inc.......................... 700 4,288
*Orange Co., Inc...................................... 500 2,563
*Orcad, Inc........................................... 600 4,969
Oregon Steel Mills, Inc............................... 1,700 23,269
*#Organogenesis, Inc.................................. 1,900 21,019
*Oroamerica, Inc...................................... 300 2,297
*Orphan Medical, Inc.................................. 300 2,053
*Ortel Corp........................................... 800 8,600
*Orthodontic Centers of America, Inc.................. 2,900 34,981
*Orthologic Corp...................................... 2,300 6,145
Oshkosh B'Gosh, Inc. Class A.......................... 800 15,800
Oshkosh Truck Corp. Class B........................... 500 19,781
*#Osicom Technologies, Inc............................ 900 8,325
*Osmonics, Inc........................................ 900 10,575
*Osteotech, Inc....................................... 700 24,806
Ottawa Financial Corp................................. 200 4,500
Otter Tail Power Co................................... 400 15,625
*Outsource International, Inc......................... 400 1,794
*Overland Data........................................ 500 3,156
Owens & Minor, Inc.................................... 2,100 22,838
Owosso Corp........................................... 300 1,575
Oxford Industries, Inc................................ 600 16,650
*P-Com, Inc........................................... 4,200 18,572
*PAM Transportation Services, Inc..................... 400 3,625
*PC Quote, Inc........................................ 700 5,906
*PLM International, Inc............................... 500 3,000
*PMR Corp............................................. 500 1,953
*PRI Automation, Inc.................................. 1,000 24,500
*PSC, Inc............................................. 800 8,000
*PSW Technologies, Inc................................ 500 1,617
PXRE Corp............................................. 900 16,763
*Pacific Gateway Exchange, Inc........................ 1,200 47,213
*Pacific Sunwear of California, Inc................... 1,400 52,588
*Pagasus Systems, Inc................................. 600 20,869
*Paging Network, Inc.................................. 6,700 22,194
*Pairgain Technologies, Inc........................... 4,600 56,781
*Palm Harbor Homes, Inc............................... 1,000 21,438
*Pameco Corp.......................................... 1,000 7,813
*Panera Bread CO...................................... 700 4,900
*Parexel International Corp........................... 1,600 38,250
Park Electrochemical Corp............................. 700 16,756
*Parker Drilling Co................................... 5,400 16,875
*#Parkervision, Inc................................... 300 9,225
*Park-Ohio Holdings Corp.............................. 700 11,331
*Pathogenesis Corp.................................... 700 9,909
#Patina Oil & Gas Corp................................ 1,400 7,175
Patrick Industries, Inc............................... 300 3,900
*Patterson Energy, Inc................................ 2,100 17,423
*Paul Harris Stores, Inc.............................. 700 4,528
Paula Financial, Inc.................................. 300 2,578
*Paxar Corp........................................... 3,100 28,094
*Paxson Communications Corp........................... 2,400 31,050
</TABLE>
28
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Peapod, Inc......................................... 1,100 $ 9,866
*#Pediatrix Medical Group, Inc........................ 1,100 24,819
*Pegasus Communications Corp. Class A................. 700 33,031
*#Pegasystems, Inc.................................... 1,900 15,972
Penford Corp.......................................... 500 6,578
*Penn National Gaming, Inc............................ 600 5,606
*Penn Treaty American Corp............................ 500 12,594
Penn-America Group, Inc............................... 600 6,600
Pennfed Financial Services, Inc....................... 600 8,738
Pennsylvania Enterprises, Inc......................... 700 20,300
*Penske Motorsports, Inc.............................. 300 14,709
*Pentacon, Inc........................................ 400 1,975
*Penton Media, Inc.................................... 1,400 28,088
Peoples Bancor........................................ 2,000 20,813
Peoples Bancshares, Inc. Massachusetts................ 200 3,888
*Perceptron, Inc...................................... 400 2,025
*Performance Food Group Co............................ 800 19,125
*Performance Technologies, Inc........................ 500 7,344
*Perfumania, Inc...................................... 500 1,734
*Pericom Semiconductor Corp........................... 500 4,172
*Perini Corp.......................................... 500 2,500
*Periphonics Corp..................................... 900 9,619
*Perrigo Co........................................... 3,700 33,878
*Personnel Group of America, Inc...................... 2,100 23,888
*Pervasive Software, Inc.............................. 600 10,144
*Petco Animal Supplies, Inc........................... 1,400 19,731
*Petroglyph Energy, Inc............................... 500 1,359
*Petroleum Development Corp........................... 1,600 7,275
*Pharmaceutical Products Development Service Co....... 900 23,906
*Pharmaceutical Resources, Inc........................ 1,500 11,531
*Pharmacopeia, Inc.................................... 1,200 10,613
*Pharmacyclics........................................ 800 14,850
*Pharmanetics, Inc.................................... 400 1,800
*Pharmchem Laboratories, Inc.......................... 300 778
*Phar-Mor, Inc........................................ 800 3,825
*#Philadelphia Consolidated Holding Corp.............. 800 19,075
Philadelphia Suburban Corp............................ 1,800 39,600
*Phillips (R.H.), Inc................................. 300 984
Phillips-Van Heusen Corp.............................. 1,900 16,625
*Phoenix International, Ltd........................... 1,000 6,281
Phoenix Investment Partners, Ltd...................... 2,200 21,588
*Phoenix Technologies, Ltd............................ 1,700 18,488
*Photon Dynamics, Inc................................. 500 4,445
*Photronics, Inc...................................... 1,600 31,700
*Phycor, Inc.......................................... 4,300 30,167
*Physician Reliance Network, Inc...................... 3,100 28,966
Piccadilly Cafeterias, Inc............................ 700 7,438
*Pico Holdings, Inc................................... 300 6,075
*Picturetel Corp...................................... 2,500 22,109
*Pierce Leahy Corp.................................... 700 17,369
*Piercing Pagoda, Inc................................. 600 7,350
Pilgrim Pride Corp.................................... 2,800 57,925
Pillowtex Corp........................................ 900 14,625
*Pinnacle Systems, Inc................................ 700 36,006
Pioneer Group, Inc.................................... 1,700 29,750
Pioneer Natural Resources Co.......................... 3,000 32,625
Pioneer Standard Electronics, Inc..................... 1,700 16,628
Pitt-Des Moines, Inc.................................. 300 7,575
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pittston Co. Burlington Group......................... 1,300 $ 14,056
*Plains Resources, Inc................................ 1,100 18,906
*Planar Systems, Inc.................................. 1,100 8,869
*#Planet Hollywood, Inc............................... 6,500 5,688
*Plasma-Therm, Inc.................................... 600 1,838
*Play By Play Toys and Novelties, Inc................. 500 2,625
*Playboy Enterprises, Inc. Class B.................... 1,000 29,125
*Players International, Inc........................... 2,100 13,716
*Plexus Corp.......................................... 1,000 30,625
Pocahontas Bancorp, Inc............................... 300 2,156
#Pogo Producing Co.................................... 2,600 47,613
*Polycom, Inc......................................... 1,900 48,569
*Polymedica Industries, Inc........................... 600 5,194
*Polyvision Corp...................................... 600 1,763
*Pomeroy Computer Resource, Inc....................... 700 9,975
Pope & Talbot, Inc.................................... 900 9,000
*#Possis Medical, Inc................................. 800 8,725
*Powerhouse Technologies, Inc......................... 700 12,928
*Power-One, Inc....................................... 200 3,269
*Powertel, Inc........................................ 1,600 39,700
*Powerwave Technologies, Inc.......................... 1,100 25,369
*Praegitzer Industries, Inc........................... 800 4,350
*Precision Response, Corp............................. 1,100 6,463
Premier Bancshares, Inc............................... 800 16,650
*Premiere Technologies, Inc........................... 3,000 46,125
*Premisys Communications, Inc......................... 1,600 13,850
*Pre-Paid Legal Services, Inc......................... 1,400 37,188
Presidential Life Corp................................ 2,100 38,522
*Presstek, Inc........................................ 2,100 14,766
*#Preview Travel, Inc................................. 1,000 17,313
*Price Communications Corp............................ 1,875 26,719
*Pride International, Inc............................. 3,000 31,313
*Primark Corp......................................... 1,100 29,769
Prime Bancorp, Inc.................................... 800 21,550
*Prime Hospitality Corp............................... 3,100 32,356
*Prime Medical Services, Inc.......................... 1,200 8,963
*Primus Telecommunications Group, Inc................. 1,800 29,981
*Printrak International, Inc.......................... 700 4,681
*Printronix, Inc...................................... 300 4,238
*Procom Technology, Inc............................... 700 3,041
*Programmers Paradise, Inc............................ 500 5,469
Progress Financial Corp............................... 300 5,006
*Progress Software Corp............................... 1,100 28,738
*Project Software & Development, Inc.................. 600 17,100
*ProMedCo Management Company.......................... 1,400 5,731
*Prophet 21, Inc...................................... 100 894
*Protection One, Inc.................................. 5,000 27,500
*Protein Design Labs, Inc............................. 1,200 23,475
*Protocol Systems, Inc................................ 800 7,625
*Provant, Inc......................................... 3,000 47,250
*#Provident American Corp............................. 400 10,375
Provident Bankshares Corp............................. 1,680 38,955
*Provident Financial Holdings, Inc.................... 200 3,719
*Proxim, Inc.......................................... 700 26,775
*#Proxymed, Inc....................................... 1,200 16,163
Psychemedics Corp..................................... 700 3,413
Public Service Co. of New Mexico...................... 2,700 56,025
Public Service Co. of North Carolina.................. 600 17,400
*Pulsepoint Communications Corp....................... 200 1,081
*Puma Technology, Inc................................. 1,100 5,569
*#Pure World, Inc..................................... 550 2,372
</TABLE>
29
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*QMS, Inc............................................. 700 $ 3,106
*QRS Corp............................................. 600 44,550
*Qad, Inc............................................. 2,100 7,284
*Quaker Fabric Corp................................... 800 4,025
*Quality Dining, Inc.................................. 800 2,450
*Quality Systems, Inc................................. 300 1,744
Quanex Corp........................................... 200 5,225
*Quest Diagnostics, Inc............................... 1,900 48,569
*Quest Educational Corporation........................ 400 4,488
*Quidel Corp.......................................... 700 1,619
*#Quigley Corp........................................ 900 4,458
*Quintel Entertainment, Inc........................... 500 820
Quipp, Inc............................................ 100 1,375
Quixote Corp.......................................... 400 5,250
*R H Donnelley Corp................................... 2,000 38,000
*RCM Technologies, Inc................................ 700 10,128
*RF Monolithics, Inc.................................. 300 2,072
RLI Corp.............................................. 700 26,031
RPC, Inc.............................................. 1,100 9,900
*#RTI International Metals, Inc....................... 1,500 19,969
*RTW, Inc............................................. 600 3,825
*Racing Champions Corp................................ 1,000 17,250
*Radiance Medical Systems, Inc........................ 1,000 2,813
*Radiant Systems, Inc................................. 1,100 13,784
*Ragen Mackenzie Group, Inc........................... 900 9,450
*Railamerica, Inc..................................... 600 5,813
*Railtex, Inc......................................... 300 4,163
*Rainbow Technologies, Inc............................ 800 7,975
*Rainforest Cafe, Inc................................. 1,700 9,191
*Ralcorp Holdings, Inc................................ 2,100 39,638
Ramapo Financial Corp................................. 400 4,925
#Range Resources Corp................................. 1,900 9,144
*Rare Hospitality International, Inc.................. 500 11,438
*#Rare Medium Corp.................................... 1,800 21,375
*Rawlings Sporting Goods, Inc......................... 500 4,984
*Raytel Med Corp...................................... 400 2,063
*Read-Rite Corp....................................... 2,400 15,750
*#Recoton Corp........................................ 800 7,988
*Red Roof Inns, Inc................................... 1,600 28,800
*#Redhook Ale Brewery, Inc............................ 400 1,588
Regal Beloit Corp..................................... 1,400 32,550
*Regeneron Pharmaceuticals, Inc....................... 1,400 9,953
*Rehabcare Group, Inc................................. 100 2,150
*Rehabilicare, Inc.................................... 700 2,144
Reliance Bancorp, Inc................................. 300 8,391
Reliance Steel and Aluminum Co........................ 600 21,375
*Remec, Inc........................................... 1,500 19,453
*Remedy Corp.......................................... 1,900 36,278
*Renaissance Worldwide, Inc........................... 3,600 25,875
*Renex Corp........................................... 500 2,344
*Rent-A-Center, Inc................................... 1,600 41,250
*Rental Service Corp.................................. 1,600 38,200
*Rentrak Corp......................................... 500 1,984
*Rent-Way, Inc........................................ 1,100 27,638
*Repligen Corp........................................ 400 1,150
Republic Bancorp, Inc................................. 2,228 28,616
*Republic Bankshares, Inc............................. 300 5,756
*Republic First Bancorp, Inc.......................... 600 4,575
Republic Group, Inc................................... 800 14,300
Republic Security Financial Corp...................... 3,000 25,031
*#Res-Care, Inc....................................... 1,300 27,138
*Resound Corp......................................... 1,300 9,973
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Resource America, Inc................................. 1,400 $ 20,169
Resource Bancshares Mortgage Group, Inc............... 1,500 15,609
*Respironics, Inc..................................... 2,100 33,863
*Restrac, Inc......................................... 700 3,369
*Rex Stores Corp...................................... 500 10,313
*Ribozyme Pharmaceuticals............................. 500 2,586
*Richfood Holdings, Inc............................... 2,900 37,156
*Riddell Sports, Inc.................................. 500 1,500
Riggs National Corp................................... 2,000 33,188
*Right Management Consultants, Inc.................... 300 4,988
*Rimage Corp.......................................... 200 2,556
Rivianna Foods, Inc................................... 600 12,075
*Roadhouse Grill, Inc................................. 100 672
Roadway Express, Inc.................................. 1,300 25,106
Roanoke Electric Steel Corp........................... 700 11,200
Robbins & Myers, Inc.................................. 700 16,713
*Roberts Pharmaceutical Corp.......................... 1,600 30,400
*Robertson-Ceco Corp.................................. 500 5,500
*#Robotic Vision Systems, Inc......................... 700 2,002
*Rock Bottom Restaurants, Inc......................... 500 4,492
Rock-Tenn Co. Class A................................. 1,200 18,150
*Rocky Shoes & Boots, Inc............................. 300 2,016
*Rofin-Sinar Technologies, Inc........................ 600 4,931
*Rogers Corp.......................................... 500 14,250
*Rogue Wave Software, Inc............................. 500 4,375
*Rohn Industries, Inc................................. 1,400 2,056
Rollins Truck Leasing Corp............................ 2,900 31,538
Rollins, Inc.......................................... 2,000 33,625
*Romac International, Inc............................. 2,200 31,694
Rouge Industries, Inc. Class A........................ 700 6,125
Rowe Furniture Corp................................... 800 8,500
*Royal Appliance Manufacturing Co..................... 1,300 5,850
Ruby Tuesday, Inc..................................... 1,600 29,700
*Rural Cellular Corp. Class A......................... 300 4,894
*Rural/Metro Corp..................................... 700 5,206
*Rush Enterprises, Inc................................ 500 7,969
Russ Berrie & Co., Inc................................ 1,100 28,256
*Rwd Technologies, Inc................................ 1,100 17,600
*Ryans Family Steak Houses, Inc....................... 2,600 30,063
Ryland Group, Inc..................................... 1,000 27,813
*S3, Inc.............................................. 3,100 20,828
*SAGA Systems, Inc.................................... 1,000 11,750
*SBE, Inc............................................. 100 525
*SBS Technologies, Inc................................ 200 3,700
*SCC Communications Corp.............................. 200 781
*SCP Pool Corp........................................ 800 15,200
SCPIE Holdings, Inc................................... 500 14,250
*SED International Holdings, Inc...................... 500 1,266
SEMCO Energy, Inc..................................... 500 7,063
*SMC Corp............................................. 300 1,556
*SPR, Inc............................................. 200 1,344
*SPSS, Inc............................................ 500 11,766
*STAR Telecommunications, Inc......................... 2,900 25,919
*STM Wireless, Inc. Class A........................... 1,000 2,688
*#Sabratek Corp....................................... 600 13,650
*Safeskin Corp........................................ 2,400 30,000
*Safety 1st, Inc...................................... 500 2,656
*Saga Communications, Inc. Class A.................... 600 11,925
*Salton/Maxim Housewares, Inc......................... 500 21,375
*Samsonite Corp....................................... 500 3,156
*San Filippo (John B.) & Son, Inc..................... 500 1,734
</TABLE>
30
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Sanchez Computer Associates, Inc.................... 800 $ 54,850
Sanderson Farms, Inc.................................. 900 11,981
*Sandisk Corp......................................... 1,300 40,625
*Sangstat Medical Corp................................ 1,000 13,844
*Santa Cruz Operation, Inc............................ 2,400 14,175
*Santa Fe Snyder Corp................................. 2,350 19,975
*Satcon Technology Corp............................... 500 3,844
*Savoir Technology Group, Inc......................... 500 4,844
*Sawtek, Inc.......................................... 1,400 55,650
*Sbarro, Inc.......................................... 600 16,350
*ScanSource, Inc...................................... 300 6,281
Schawk, Inc. Class A.................................. 500 5,969
*#Schick Technologies, Inc............................ 500 2,203
*Schlotzskys, Inc..................................... 500 5,219
*Schmitt Industries, Inc.............................. 500 1,438
Schulman (A.), Inc.................................... 1,000 16,688
Schweitzer-Maudoit Int'l, Inc......................... 500 7,656
*Scientific Games Holdings Corp....................... 700 12,556
*Scios-Nova, Inc...................................... 2,500 9,023
Scotsman Industries, Inc.............................. 500 10,281
*Scott Technologies, Inc.............................. 400 7,563
*Seachange International, Inc......................... 500 4,875
*Seacor Smit, Inc..................................... 500 24,813
*Seattle Filmworks, Inc............................... 1,100 3,541
*Secure Computing Corp................................ 700 2,636
*Seeq Technology, Inc. DE............................. 1,600 4,775
*Segue Software, Inc.................................. 400 2,538
*Seibels Bruce Group, Inc............................. 400 1,950
*Seitel, Inc.......................................... 1,400 22,138
Selective Insurance Group, Inc........................ 1,400 26,250
*#Selfcare, Inc....................................... 500 1,500
*Semitool, Inc........................................ 700 5,972
*Semtech Corp......................................... 300 12,563
*Sensory Science Corp................................. 500 1,438
*Sequent Computer Systems, Inc........................ 2,200 28,738
*Service Experts, Inc................................. 2,000 37,125
*Sharper Image Corp................................... 400 3,625
*Shaw Group, Inc...................................... 500 6,531
*Sheffield Medical Technologies, Inc.................. 1,600 4,500
*Shells Seafood Restaurants, Inc...................... 300 1,322
*Shoe Carnival, Inc................................... 500 8,094
*#Shop At Home, Inc................................... 1,700 14,928
*Shorewood Packaging Corp............................. 1,100 18,838
*Shuffle Master, Inc.................................. 700 4,856
*Sierra Health Services, Inc.......................... 800 12,200
Sierrawest Bancorp.................................... 200 6,256
*Sight Resource Corp.................................. 200 781
*Sigma Designs, Inc................................... 700 4,572
*Signature Eyewear, Inc............................... 200 775
*Silgan Holdings, Inc................................. 600 12,113
*Silicon Storage Technology, Inc...................... 1,200 5,888
*Silicon Valley Bancshares............................ 1,200 22,988
*Silicon Valley Group, Inc............................ 1,600 22,100
*Silverleaf Resorts, Inc.............................. 600 4,650
*Simon Transportation Services, Inc................... 300 1,744
Simpson Industries, Inc............................... 1,300 13,081
*Simula, Inc.......................................... 900 4,838
*Sipex Corp........................................... 500 8,094
*Sirena Apparel Group, Inc............................ 300 1,284
*Sitel Corp........................................... 3,200 8,800
*SkyePharma P.L.C. ADR................................ 116 1,004
*#SkyMall, Inc........................................ 400 4,338
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Skywest, Inc.......................................... 1,200 $ 27,825
Smart & Final Food, Inc............................... 900 8,606
*Smart Modular Technologies, Inc...................... 2,300 34,859
Smith (A.O.) Corp..................................... 1,500 36,563
Smucker (J.M.) Co. Class A............................ 600 12,413
Smucker (J.M.) Co. Class B............................ 600 10,500
*Sodak Gaming, Inc.................................... 900 8,269
*Sola International, Inc.............................. 1,000 16,688
*Sonic Corp........................................... 1,100 30,284
*Sonic Solutions...................................... 500 2,453
*Sonus Pharmaceuticals, Inc........................... 400 2,363
*Sound Advice, Inc.................................... 200 622
*#Source Media, Inc................................... 500 8,203
South Jersey Industries, Inc.......................... 500 14,000
*Southern Energy Homes, Inc........................... 1,100 5,088
*Southern Union Co.................................... 1,200 27,150
*Southwall Technologies, Inc.......................... 400 1,269
*Southwest Bancorporation of Texas, Inc............... 1,700 28,688
Southwest Water Co.................................... 200 2,950
Southwestern Energy Co................................ 1,200 11,325
*Spacehab, Inc........................................ 600 3,281
*Spacelabs Medical, Inc............................... 400 6,225
Spartan Motors, Inc................................... 400 2,313
*Sparton Corp......................................... 700 4,331
*Spatial Technology, Inc.............................. 800 3,000
*Specialty Equipment Co., Inc......................... 600 17,400
*#SpectraLink Corp.................................... 1,700 6,853
*Spectran Corp........................................ 400 3,681
*Spectranetics Corp................................... 1,000 2,594
*Spectra-Physics Laser, Inc........................... 100 803
*Spectrian Corp....................................... 400 5,050
*Spectrum Control, Inc................................ 500 3,094
*SpectRx, Inc......................................... 700 5,294
*SpeedFam-IPEC, Inc................................... 1,452 18,967
*Speizman Industries, Inc............................. 200 650
*Splash Technology Holdings, Inc...................... 700 5,556
*Sport Supply Group, Inc.............................. 500 5,250
*Sports Authority, Inc................................ 2,200 11,000
*Sportsman's Guide, Inc............................... 200 1,003
*Spyglass, Inc........................................ 600 11,569
St. Joseph Light & Power Co........................... 300 6,206
St. Mary Land & Exploration Co........................ 700 13,869
*Staar Surgical Co.................................... 1,000 11,875
*Staff Leasing, Inc................................... 700 7,984
*Staffmark, Inc....................................... 900 9,816
*Standard Management Corp............................. 200 1,294
*Standard Microsystems Corp........................... 600 4,688
Standard Motor Products, Inc. Class A................. 500 11,906
Standard Pacific Corp. DE............................. 1,500 19,688
Standard Products Co.................................. 500 11,156
Standex International Corp............................ 500 13,063
*Stanford Telecommunications, Inc..................... 500 11,656
*Star Buffet, Inc..................................... 200 1,213
*#Starter Corp........................................ 800 1,000
State Auto Financial Corp............................. 2,500 30,469
Steel Technologies, Inc............................... 600 5,381
*Stein Mart, Inc...................................... 2,300 21,131
*Steinway Musical Instruments, Inc.................... 600 13,988
Stepan Co............................................. 500 12,344
*Stericycle, Inc...................................... 600 7,838
</TABLE>
31
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sterigenics Intl, Inc................................ 400 $ 6,300
Sterling Bancorp...................................... 600 12,300
Sterling Bancshares................................... 1,200 15,075
*Sterling Vision, Inc................................. 700 2,734
Stewart & Stevenson Services, Inc..................... 1,400 15,531
Stewart Information Services Corp..................... 600 11,663
*Stimsonite Corp...................................... 400 4,013
Stone & Webster, Inc.................................. 700 17,150
*Stone Energy Corp.................................... 500 18,844
*Strattec Security Corp............................... 200 6,163
Strayer Ed, Inc....................................... 500 14,656
Stride Rite Corp...................................... 3,900 40,706
Sturm Ruger & Co., Inc................................ 1,900 21,256
*Suburban Lodges of America, Inc...................... 600 4,031
*Success Bancshares, Inc.............................. 100 1,088
*Successories, Inc.................................... 500 1,563
*#Sugen, Inc.......................................... 1,000 20,563
*Summit Design, Inc................................... 800 2,113
*#Sunbeam Corp........................................ 3,300 23,306
*Sungard Data Systems, Inc............................ 123 4,305
*Sunglass Hut International, Inc...................... 3,100 47,081
*Sunquest Information Systems, Inc.................... 1,100 14,506
*#Sunrise Assisted Living, Inc........................ 99 3,718
*Sunrise Medical, Inc................................. 700 5,819
*#Sunrise Technologies International, Inc............. 1,700 22,047
*Sunterra Corp........................................ 2,300 31,194
*Superconductor Technologies, Inc..................... 400 1,125
*Supergen, Inc........................................ 1,100 19,147
*Superior Consultant Holdings Corp.................... 200 7,475
*Superior Energy Services, Inc........................ 2,000 9,375
Superior Surgical Manufacturing Co., Inc.............. 500 6,750
Superior Telecom, Inc................................. 800 23,700
*Supertex, Inc........................................ 500 4,719
*Suprema Specialties, Inc............................. 200 1,231
*Supreme Industries, Inc.............................. 200 1,938
*Swift Energy Corp.................................... 800 10,350
*Swiss Army Brands, Inc............................... 700 5,797
*Sybase, Inc.......................................... 4,100 39,847
*Symmetricom, Inc..................................... 800 5,050
*Symons International Group, Inc...................... 500 2,391
*Syms Corp............................................ 200 1,588
Synalloy Corp. DE..................................... 300 2,475
*Synaptic Pharmaceutical Corp......................... 500 3,031
*Syncor International Corp. DE........................ 500 16,938
*#Syntel, Inc......................................... 1,800 19,463
*Synthetech, Inc...................................... 900 5,091
*System Software Associates, Inc...................... 1,400 2,822
*Systemax, Inc........................................ 2,300 31,338
*Systems & Computer Technology Corp................... 1,600 26,150
*TALK.com, Inc........................................ 2,000 20,688
*TBC Corp............................................. 1,100 7,803
TCBY Enterprises, Inc................................. 700 4,638
*TCSI Corp............................................ 700 1,827
*TESSCO Technologies, Inc............................. 200 4,325
TJ International, Inc................................. 500 13,563
*TRM Copy Centers Corp................................ 400 2,475
*#TRO Learning, Inc................................... 600 3,713
*#TSI International, Inc.............................. 900 19,856
TSI, Inc. MN.......................................... 600 6,338
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*TSR, Inc............................................. 300 $ 2,250
*Taco Cabana, Inc..................................... 500 5,297
*Take Two Interactive Software........................ 1,200 9,788
*Tandy Brand Accessories, Inc......................... 300 4,772
*Tandy Crafts, Inc.................................... 600 2,025
*Targeted Genetics Corp............................... 1,000 1,641
*Tarrant Apparel Group................................ 700 21,306
Tasty Baking Co....................................... 700 8,750
*#Tava Technologies, Inc.............................. 900 6,595
*Techne Corp.......................................... 1,200 30,150
*Technisource, Inc.................................... 200 1,188
Technitrol, Inc....................................... 500 14,875
*Technology Solutions Corp............................ 1,200 11,138
*Tegal Corp........................................... 500 1,734
Tejon Ranch Co........................................ 500 13,313
*Tekelec.............................................. 2,700 27,253
*Telcom Semiconductor, Inc............................ 1,300 7,434
*Telescape International, Inc......................... 300 2,334
*Teletech Holdings, Inc............................... 2,900 21,659
*Teltrend, Inc........................................ 300 5,681
Telxon Corp........................................... 1,000 10,469
*Tera Computer Co..................................... 800 4,025
*Terex Corp........................................... 600 18,563
Terra Industries, Inc................................. 3,800 14,963
*Tesoro Petroleum Corp................................ 1,600 18,900
*Tesseract Group, Inc................................. 500 1,703
*Tetra Tech, Inc...................................... 1,400 29,750
*Texas Biotechnology Corp............................. 2,400 9,450
Texas Industries, Inc................................. 1,100 40,013
*Texas Micro, Inc..................................... 700 4,441
Texas Regional Banchshares, Inc. Class A.............. 300 8,175
The Dexter Corp....................................... 1,500 58,125
*Theragenics Corp..................................... 1,200 9,000
*Thermedics, Inc...................................... 1,800 15,525
*Thermo Bioanalysis Corp.............................. 700 12,775
*Thermo Cardiosystems, Inc............................ 1,500 17,906
*Thermo Ecotek Corp................................... 1,000 10,625
*#Thermo Fibertek, Inc................................ 2,500 18,594
*Thermo Optek Corp.................................... 500 5,125
*Thermo Power Corp.................................... 500 5,781
*Thermo Sentron, Inc.................................. 800 10,600
*Thermolase Corp...................................... 1,200 2,850
*ThermoQuest Corp..................................... 2,500 31,875
*Thermotrex Corp...................................... 700 5,731
Thor Industries, Inc.................................. 500 13,156
*Thoratec Laboratories Corp........................... 800 6,600
*#Thrustmaster, Inc................................... 200 4,931
*Timberland Bancorp, Inc.............................. 400 4,588
Timberline Software Corp.............................. 400 6,750
*Titan Corp........................................... 2,200 17,463
Titan International, Inc.............................. 600 5,625
*Titan Pharmaceuticals, Inc........................... 500 1,500
#Titanium Metals Corp................................. 1,600 11,200
*Tokheim Corp......................................... 500 4,938
*Tollgrade Communications, Inc........................ 300 4,613
*Topps, Inc........................................... 2,800 17,763
Toro Co............................................... 500 16,781
*Total Entertainment Restaurant Corp.................. 500 1,563
*Toymax International, Inc............................ 300 1,613
*#Trans World Airlines, Inc........................... 3,500 18,156
*Trans World Entertainment Corp....................... 3,000 38,063
</TABLE>
32
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Transaction Network Services, Inc.................... 400 $ 10,650
*Transcoastal Marine Services, Inc.................... 500 2,172
*#Transkaryotic Therapies, Inc........................ 600 18,038
*Transmation, Inc..................................... 300 1,078
*Transmedia Network, Inc.............................. 100 375
*Transmontaigne Oil Co................................ 1,500 21,188
*Transportation Components, Inc....................... 1,300 4,225
*#Transtexas Gas Corp................................. 300 113
*Transworld Healthcare, Inc........................... 900 3,544
*Travel Services International, Inc................... 1,000 8,219
*Trendwest Resorts, Inc............................... 1,000 23,375
*Trex Medical Corp.................................... 1,600 10,300
*Triad Guaranty, Inc.................................. 500 7,594
Triangle Bancorp, Inc................................. 1,500 25,125
*#Triangle Pharmaceuticals, Inc....................... 1,200 22,163
*Triarc Companies, Inc. Class A....................... 1,000 20,375
Trico Bancshares...................................... 300 5,391
*Trico Marine Services, Inc........................... 800 5,725
*Trident Microsystems, Inc............................ 600 4,088
*Trimble Navigation, Ltd.............................. 700 8,772
*Trimeris, Inc........................................ 400 5,413
*Trinitec Systems, Inc. Class A....................... 500 7,125
Trion, Inc............................................ 400 1,688
*Tripos, Inc.......................................... 200 1,575
*Triquint Semiconductor, Inc.......................... 400 14,088
*Triumph Group........................................ 300 9,188
*Trump Hotels & Casino Resorts, Inc................... 2,200 11,688
Trust Co. of New Jersey............................... 600 13,425
*Tuboscope Vetco International, Inc................... 2,200 29,425
*Turner Corp.......................................... 500 8,688
*Twinlab Corp......................................... 1,600 14,650
*Tyler Technologies, Inc.............................. 1,700 10,200
U.S. Bancorp, Inc..................................... 800 12,450
*U.S. Bioscience, Inc................................. 1,600 12,900
*U.S. Home & Garden, Inc.............................. 1,000 5,125
*U.S. Office Products, Co............................. 2,400 12,488
*URS Corp............................................. 600 14,775
*US Can Corp.......................................... 500 8,938
*US LEC Corp.......................................... 600 11,719
*US Liquids, Inc...................................... 500 9,000
*US Xpress Enterprises, Inc. Class A.................. 500 6,000
*#USA Detergents, Inc................................. 1,400 7,219
*USA Floral Products, Inc............................. 1,000 7,188
*USData Corp.......................................... 600 2,138
*UTI Energy Corp...................................... 1,000 14,375
*Ugly Duckling Corp................................... 1,100 8,284
*Ultimate Electronics, Inc............................ 600 8,644
*Ultradata Corp....................................... 400 2,788
*Ultrak, Inc.......................................... 700 4,572
*Ultralife Batteries, Inc............................. 300 1,359
*Ultratech Stepper, Inc............................... 1,100 14,369
Unico American Corp................................... 300 3,206
Unifirst Corp......................................... 500 9,000
*Unify Corp........................................... 300 4,172
*Unilab Corp.......................................... 2,000 10,625
*Unimed Pharmaceuticals, Inc.......................... 400 3,688
*Union Acceptance Corp. Class A....................... 200 1,375
*Unique Casual Restaurants, Inc....................... 600 2,363
*Unique Mobility, Inc................................. 1,200 5,550
*Uniroyal Technology Corp............................. 600 5,681
*Unisource Energy Corp................................ 1,000 12,500
Unisource Worldwide, Inc.............................. 3,500 41,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Unit Corp............................................ 1,900 $ 11,281
#United Companies Financial Corp...................... 900 99
United Industrial Corp................................ 600 6,900
United National Bancorp............................... 800 18,175
*United Natural Foods, Inc............................ 500 13,469
*United Payors & United Providors, Inc................ 900 16,847
*#United Retail Group, Inc............................ 500 7,219
*United States Energy Corp............................ 400 1,563
*United States Home Corp.............................. 500 17,250
United Wisconsin Services, Inc........................ 1,100 7,563
*Unitrode Corp........................................ 1,300 27,056
*Universal Electronics, Inc........................... 300 7,444
Universal Forest Products, Inc........................ 600 10,838
*Universal Stainless & Alloy Products, Inc............ 300 1,800
*Urban Outfitters, Inc................................ 500 11,969
*Urologix, Inc........................................ 600 1,819
*V-ONE Corp........................................... 600 1,341
*VLSI Technology, Inc................................. 1,400 29,269
*VTEL Corp............................................ 2,200 10,863
*VWR Scientific Products Corp......................... 900 25,706
*#Valence Technology, Inc............................. 1,900 14,191
*#Valentis, Inc....................................... 1,300 5,606
Valmont Industries, Inc............................... 800 13,100
*Value City Department Stores, Inc.................... 1,000 9,563
*Valuevision International, Inc.
Class A............................................. 1,300 19,825
*Vans, Inc............................................ 700 7,613
*Vantive Corp......................................... 1,300 14,259
*Varco International, Inc............................. 3,200 29,200
*Varian Medical Systems, Inc.......................... 1,200 22,575
*Variflex, Inc........................................ 300 1,444
Varlen Corp........................................... 500 18,906
*Venator Group, Inc................................... 67,000 732,813
*Ventana Medical Systems, Inc......................... 400 7,988
*Veramark Technologies, Inc........................... 400 2,475
*Verilink Corp........................................ 700 2,297
*Veritas DGC, Inc..................................... 700 12,775
*Verity, Inc.......................................... 600 19,781
Vermont Financial Services Corp....................... 300 9,394
*Vertex Communications Corp........................... 300 4,444
*#Vertex Pharmaceuticals, Inc......................... 1,000 20,031
Vesta Insurance Group, Inc............................ 600 3,038
*Vestcom Int'l, Inc................................... 400 2,325
*Veterinary Centers of America, Inc................... 1,100 15,297
*Viasat, Inc.......................................... 400 4,488
*Viasoft, Inc......................................... 900 3,516
*Viatel, Inc.......................................... 700 31,413
*Vical, Inc........................................... 600 7,163
*#Vicon Industries, Inc............................... 300 2,756
*Vicor Corp........................................... 1,000 16,719
*Vicorp Restaurants, Inc.............................. 300 4,913
*Vidamed, Inc......................................... 1,800 4,331
*Vidioserver, Inc..................................... 500 6,547
Vintage Petroleum, Inc................................ 2,700 30,375
Virco Manufacturing Corp.............................. 500 9,625
*Vista Eyecare, Inc................................... 1,500 8,063
Vital Signs, Inc...................................... 400 7,675
*#Vitech America, Inc................................. 600 5,119
*Vivid Technologies, Inc.............................. 500 1,516
*#Vivus, Inc.......................................... 2,200 9,350
</TABLE>
33
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Vlasic Foods International, Inc...................... 2,300 $ 17,394
*Voice Control Systems, Inc........................... 1,200 4,594
*Volt Information Sciences, Inc....................... 600 10,350
*Vysis, Inc........................................... 400 1,456
WD-40 Co.............................................. 500 12,844
WFS Financial, Inc.................................... 1,500 17,625
*#WHX Corp............................................ 800 6,000
*WLR Foods, Inc....................................... 1,200 9,188
*WMS Industries, Inc.................................. 1,500 20,344
*WPI Group, Inc....................................... 300 1,181
Wabash National Corp.................................. 700 13,344
*Wackenhut Corrections Corp........................... 900 18,000
*Walker Interactive Systems, Inc...................... 1,300 4,428
*Wall Data, Inc....................................... 400 4,038
*Wall Street Deli, Inc................................ 100 406
*Walter Industries, Inc............................... 2,600 34,125
*Warrantech Corp...................................... 800 2,713
*Washington Homes, Inc................................ 700 5,513
*Waste Industries, Inc................................ 500 8,047
*Waterlink, Inc....................................... 1,000 4,063
Watsco, Inc. Class A.................................. 1,200 23,175
Watts Industries, Inc. Class A........................ 1,500 25,406
*Wave Technologies International, Inc................. 200 844
*Wavephore, Inc....................................... 1,800 11,925
Webb (Del) Corp....................................... 500 11,250
*Weirton Steel Corp................................... 2,900 6,888
Wellman, Inc.......................................... 1,600 21,800
Wesbanco, Inc......................................... 1,000 29,313
*Wesley Jessen Vision Care, Inc....................... 900 27,928
West Coast Bancorp.................................... 900 15,778
*West Marine, Inc..................................... 700 8,969
West Pharmaceutical Services, Inc..................... 600 20,588
*West Teleservices Corp............................... 3,200 24,000
*Westaff, Inc......................................... 500 3,344
Westcorp, Inc......................................... 1,200 11,175
*#Westell Technologies, Inc........................... 600 4,144
*Western Digital Corp................................. 3,600 28,350
Western Ohio Financial Corp........................... 100 2,563
*Western Water Co..................................... 400 1,375
*Wet Seal, Inc. Class A............................... 500 13,813
*White Cap Industries, Inc............................ 300 3,984
*White Pine Software, Inc............................. 500 2,109
*Whitman Education Group, Inc......................... 900 4,781
*Whittaker Corp....................................... 500 13,438
*Wickes Lumber Co..................................... 400 2,063
*Wild Oats Markets, Inc............................... 800 23,500
*Williams Clayton Energy, Inc......................... 600 3,919
*Wilmar Industries, Inc............................... 500 5,703
*Wilshire Oil Co. of Texas............................ 800 3,300
*Wilsons The Leather Experts, Inc..................... 500 6,203
*Wind River Systems, Inc.............................. 1,600 33,650
*Windmere Corp........................................ 900 11,813
Winnebago Industries, Inc............................. 700 11,550
Wolverine World Wide, Inc............................. 1,800 24,300
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Woodward Governor Co................................. 700 $ 17,478
*Workflow Management, Inc............................. 900 11,447
*World Acceptance Corp................................ 900 5,063
*World Access, Inc.................................... 1,600 18,250
World Fuel Services Corp.............................. 800 10,350
*Worldtalk Communications Corp........................ 200 694
Worthington Foods, Inc................................ 500 7,359
*Wyman-Gordon Co...................................... 1,800 34,763
Wynns International, Inc.............................. 600 10,838
X-Rite, Inc........................................... 1,500 10,547
*Xetel Corp........................................... 300 844
*Xircom, Inc.......................................... 1,000 25,125
*Xoma, Ltd............................................ 2,400 11,250
*Xtra Corp............................................ 600 26,700
Yankee Energy Systems, Inc............................ 600 18,938
Yardville National Bancorp............................ 200 2,488
*Yellow Corp.......................................... 1,300 22,100
York Financial Corp................................... 700 10,675
*York Research Corp................................... 700 4,397
*Young Broadcasting, Inc. Class A..................... 600 24,413
*Zamba Corporation.................................... 1,100 2,544
Zenith National Insurance Corp........................ 500 11,375
*Zoll Medical Corp.................................... 300 3,703
*#Zoltek Companies, Inc............................... 600 4,669
*Zoran Corp........................................... 400 4,025
*Zygo Corp............................................ 500 3,969
*Zymetx, Inc.......................................... 200 413
*#eFax.com, Inc....................................... 1,200 17,362
------------
TOTAL COMMON STOCKS
(Cost $32,532,356)................................... 35,415,890
------------
RIGHTS/WARRANTS -- (0.0%)
*Skyepharma P.L.C. Contingent Payment Rights.......... 1,100 0
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $333,900) to be
repurchased at $326,167.
$ 326 326,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $32,858,356)++..... $ 35,741,890
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates the cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ------------------
<S> <C> <C>
Investment in The U.S. 9-10 Small Company Series of The DFA Investment Trust Company..... 163,143,068 $ 1,406,293,245
------------------
Total Investments (100%) (Cost $1,188,201,670) ++.................................... $ 1,406,293,245
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $1,229,156,502.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
35
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (96.6%)
AMB Property Corp..................................... 85,600 $ 1,926,000
AMLI Residential Properties Trust..................... 17,600 397,100
Acadia Realty Trust................................... 23,800 129,412
Aegis Realty, Inc..................................... 7,500 75,000
Agree Realty Corp..................................... 4,600 81,937
*Alexander's, Inc..................................... 4,800 358,800
Alexandria Real Estate Equities, Inc.................. 14,500 458,562
American Industrial Properties........................ 12,500 153,906
American Real Estate Investment Corp.................. 6,200 91,450
American Realty Trust, Inc............................ 9,900 161,494
#Apartment Investment & Management Co. Class A........ 63,046 2,647,932
Archstone Communities Trust........................... 135,200 3,042,000
Arden Realty Group, Inc............................... 58,500 1,495,406
Asset Investors Corp.................................. 4,700 69,912
Associated Estates Realty Corp........................ 24,000 274,500
AvalonBay Communities, Inc............................ 60,111 2,126,427
BRE Properties, Inc. Class A.......................... 41,560 1,072,767
Banyan Strategic Realty Trust......................... 12,400 64,325
Bedford Property Investors, Inc....................... 21,650 374,816
Berkshire Realty Co................................... 34,400 393,450
Boddie-Noell Properties, Inc.......................... 5,800 63,800
Boston Properties, Inc................................ 61,800 2,220,937
Boykin Lodging Trust, Inc............................. 16,600 249,000
Bradley Real Estate, Inc.............................. 22,955 479,186
Brandywine Realty Trust............................... 36,900 717,244
Burnham Pacific Properties, Inc....................... 31,000 342,937
CBL & Associates Properties, Inc...................... 23,500 606,594
Cabot Industrial Trust................................ 25,000 537,500
Camden Property Trust................................. 42,624 1,169,496
Capital Automotive REIT............................... 20,900 273,006
Captec Net Lease Realty, Inc.......................... 9,200 124,487
Carramerica Realty Corp............................... 67,300 1,678,294
Centerpoint Properties Corp........................... 18,900 678,037
Centertrust Retail Properties, Inc.................... 23,100 275,756
Chateau Communities, Inc.............................. 27,176 820,375
Chelsea GCA Realty, Inc............................... 15,100 572,856
Colonial Properties Trust............................. 25,600 718,400
Commercial Net Lease Realty, Inc...................... 28,100 370,569
Continental Mortgage & Equity Trust................... 2,700 40,837
Cornerstone Properties, Inc........................... 122,000 2,020,625
Cornerstone Realty Income Trust, Inc.................. 36,900 385,144
Corporate Office Properties Trust..................... 15,800 126,400
Cousins Properties, Inc............................... 30,800 1,068,375
Crescent Real Estate Equities, Inc.................... 121,300 2,797,481
Crown American Realty Trust........................... 27,200 209,100
Developers Diversified Realty Corp.................... 59,600 983,400
Duke Realty Investments, Inc.......................... 81,300 1,880,062
Eastgroup Properties, Inc............................. 15,777 320,470
Entertainment Properties Trust........................ 13,400 252,087
Equity Inns, Inc...................................... 34,900 333,731
Equity Office Properties Trust........................ 251,762 7,112,276
Equity Residential Properties Corp.................... 111,478 5,343,977
Essex Property Trust.................................. 15,500 497,937
Federal Realty Investment Trust....................... 39,000 901,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Felcor Lodging Trust, Inc............................. 66,200 $ 1,501,912
First Industrial Realty Trust, Inc.................... 37,000 1,001,312
*First Union Real Estate Equity & Mortgage
Investments......................................... 41,160 208,372
First Washington Realty Trust, Inc.................... 8,300 180,525
Franchise Financial Corp.............................. 52,300 1,287,887
Franklin Select Realty Trust Class A.................. 12,100 77,894
Gables Residential Trust.............................. 25,200 604,800
General Growth Properties............................. 35,300 1,356,844
Glenborough Realty Trust, Inc......................... 30,800 564,025
Glimcher Realty Trust................................. 23,000 389,562
Golf Trust America, Inc............................... 7,400 180,375
Great Lakes Reit, Inc................................. 16,000 254,000
Grove Property Trust.................................. 8,400 108,150
*HMG Courtland Properties, Inc........................ 1,100 4,675
Highwood Properties, Inc.............................. 57,800 1,520,862
Home Properties of New York, Inc...................... 16,900 440,456
Hospitality Properties Trust.......................... 44,400 1,204,350
Humphrey Hospitality Trust............................ 4,300 36,819
IRT Property Co....................................... 32,300 312,906
*Income Opportunity Realty Investors, Inc............. 1,400 8,225
Innkeepers USA Trust.................................. 33,700 347,531
Irvine Apartment Communities, Inc..................... 24,500 826,875
JDN Realty Corp....................................... 31,150 681,406
JP Realty, Inc........................................ 17,300 353,569
Jameson Inns, Inc..................................... 9,600 87,450
Kilroy Realty Corp.................................... 26,300 650,925
Kimco Realty Corp..................................... 56,400 2,252,475
Koger Equity, Inc..................................... 25,800 430,537
Konover Property Trust, Inc........................... 29,900 207,431
Kranzco Realty Trust, Inc............................. 10,200 137,062
Lasalle Hotel Properties Trust........................ 14,300 201,094
Lexford Residential Trust............................. 9,100 160,956
Lexington Corporate Properties Trust.................. 16,800 196,350
Liberty Property Trust................................ 64,200 1,548,825
MGI Properties........................................ 13,400 373,525
Macerich Co........................................... 33,000 872,437
Mack-California Realty Corp........................... 56,700 1,835,663
Malan Realty Investors, Inc........................... 4,800 75,000
Manufactured Home Communities, Inc.................... 25,800 667,575
Meristar Hospitality Corp............................. 45,550 996,406
Mid-America Apartment Communities, Inc................ 18,400 418,600
Mid-Atlantic Realty Trust............................. 13,400 152,425
Mills Corp............................................ 23,400 516,263
Monmouth Real Estate Investment Corp. Class A......... 5,500 31,969
National Golf Properties, Inc......................... 12,200 314,913
New Plan Excel Realty Trust, Inc...................... 86,500 1,730,000
One Liberty Properties, Inc........................... 2,800 36,750
PS Business Parks, Inc................................ 22,100 549,738
Pacific Gulf Properties, Inc.......................... 18,800 418,300
Pan Pacific Retail Properties, Inc.................... 19,800 393,525
Parkway Properties, Inc............................... 9,450 312,441
Patriot American Hospitality, Inc..................... 227,804 1,181,733
</TABLE>
36
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pennsylvania Real Estate Investment Trust............. 12,900 $ 267,675
Philips International Realty Corp..................... 6,800 109,225
Post Properties, Inc.................................. 35,770 1,497,869
Prentiss Properties Trust............................. 36,800 869,400
Prime Group Realty Trust.............................. 14,100 227,363
Prime Retail, Inc..................................... 42,769 382,248
Prologis Trust........................................ 156,340 3,195,199
Property Capital Trust................................ 9,300 2,465
Public Storage, Inc................................... 125,292 3,656,960
RFS Hotel Investors, Inc.............................. 24,400 333,975
Ramco-Gershenson Properties Trust..................... 7,000 110,688
Realty Income Corp.................................... 25,100 600,831
#Reckson Associates Realty Corp....................... 37,500 970,313
Regency Realty Corp................................... 23,700 522,881
Roberts Realty Investment............................. 4,000 30,250
Rouse Co.............................................. 67,800 1,745,850
SL Green Realty Corp.................................. 22,700 493,725
Saul Centers, Inc..................................... 12,100 205,700
Shurgard Storage Centers, Inc. Class A................ 28,000 761,250
Simon Property Group, Inc............................. 164,648 4,815,954
Sizeler Property Investors, Inc....................... 8,200 72,263
Smith (Charles E.) Residential Realty, Inc............ 17,600 608,300
Sovran Self Storage, Inc.............................. 11,600 289,275
Spieker Properties, Inc............................... 57,700 2,362,094
*Starwood Hotels and Resorts Worldwide, Inc........... 71,050 2,326,888
Storage USA, Inc...................................... 27,100 904,463
Summit Properties, Inc................................ 27,600 536,475
Sun Communities, Inc.................................. 16,200 592,313
Sunstone Hotel Investors, Inc......................... 36,600 331,688
Tanger Factory Outlet Centers, Inc.................... 7,400 184,538
Tarragon Realty Investors, Inc........................ 6,107 68,895
Taubman Centers, Inc.................................. 51,600 706,275
Tower Realty Trust, Inc............................... 17,400 394,763
Town & Country Trust.................................. 14,700 248,063
Transcontinental Realty Investors, Inc................ 3,500 41,344
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Trinet Corporate Realty Trust, Inc.................... 24,200 $ 654,913
U.S. Restaurant Properties, Inc....................... 13,800 295,838
United Dominion Realty Trust, Inc..................... 101,182 1,119,326
United Mobile Homes, Inc.............................. 6,300 59,063
Urban Shopping Centers, Inc........................... 16,400 541,200
Urstadt Biddle Properties Class A..................... 5,000 42,188
Urstadt Biddle Properties, Inc........................ 5,000 38,750
#Vornado Realty Trust................................. 81,754 3,173,077
Walden Residential Properties, Inc.................... 20,800 414,700
Washington Real Estate Investment Trust............... 33,500 594,625
Weeks Corp............................................ 18,500 578,125
Weingarten Realty Investors........................... 25,900 1,087,800
Western Investment Real Estate Trust.................. 16,700 200,400
Westfield America, Inc................................ 68,800 1,143,800
Winston Hotels, Inc................................... 15,800 151,088
------------
TOTAL COMMON STOCKS
(Cost $119,157,864).................................. 122,333,498
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.4%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $4,398,750) to be
repurchased at $4,332,213.
(Cost $4,330,000)................................ $ 4,330 4,330,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $123,487,864)++................................ $126,663,498
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $106,616,647.
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (22.5%)
COMMON STOCKS -- (22.5%)
Acom Co., Ltd......................................... 3,000 $ 214,782
Advantest Corp........................................ 1,970 156,367
Ajinomoto Co., Inc.................................... 13,000 139,017
All Nippon Airways Co., Ltd........................... 24,000 71,511
Alps Electric Co., Ltd................................ 2,000 43,039
Amada Co., Ltd........................................ 4,000 24,830
Aoyama Trading Co., Ltd............................... 900 27,264
Arabian Oil Co., Ltd.................................. 1,000 16,636
Asahi Bank, Ltd....................................... 60,000 285,549
Asahi Breweries, Ltd.................................. 10,000 127,214
Asahi Chemical Industry Co., Ltd...................... 31,000 168,316
Asahi Glass Co., Ltd.................................. 25,000 162,018
Ashikaga Bank, Ltd.................................... 12,000 23,142
Autobacs Seven Co., Ltd............................... 600 23,340
Bank of Tokyo-Mitsubishi, Ltd......................... 100,200 1,343,519
Bank of Yokohama, Ltd................................. 20,000 52,971
Bridgestone Corp...................................... 18,000 472,273
CSK Corp.............................................. 900 21,230
Canon, Inc............................................ 18,000 454,395
Casio Computer Co., Ltd............................... 3,000 20,535
Chiba Bank, Ltd....................................... 16,000 63,036
Chubu Electric Power Co., Ltd......................... 14,100 239,824
Chugai Pharmaceutical Co., Ltd........................ 5,000 56,448
Chugoku Electric Power Co., Ltd....................... 6,600 101,169
Citizen Watch Co., Ltd................................ 4,000 29,465
Credit Saison Co., Ltd................................ 2,900 58,806
Dai Nippon Ink & Chemicals, Inc....................... 16,000 54,958
Dai Nippon Printing Co., Ltd.......................... 15,000 224,963
Daicel Chemical Industries, Ltd....................... 7,000 22,538
Daiei, Inc............................................ 9,000 26,072
Dai-Ichi Pharmaceutical Co., Ltd...................... 6,000 96,342
Daikin Industries, Ltd................................ 5,000 45,108
Daimaru, Inc.......................................... 5,000 20,319
Daito Trust Construction Co., Ltd..................... 2,100 23,169
Daiwa Bank, Ltd....................................... 23,000 46,259
Daiwa House Industry Co., Ltd......................... 11,000 118,722
Daiwa Securities Co., Ltd............................. 26,000 137,295
Denso Corp............................................ 19,000 351,473
East Japan Railway Co................................. 86 498,262
Ebara Corp............................................ 5,000 56,489
Elsai Co., Ltd........................................ 6,000 111,985
Fanuc, Ltd............................................ 4,800 206,986
#Fuji Bank, Ltd....................................... 74,000 468,548
Fuji Photo Film Co., Ltd.............................. 11,000 393,312
Fujikura, Ltd......................................... 5,000 24,168
Fujita Kanko, Inc..................................... 2,000 20,179
Fujitsu, Ltd.......................................... 40,000 668,763
Furukawa Electric Co., Ltd............................ 13,000 51,324
Gunma Bank, Ltd....................................... 9,000 58,103
Hankyu Corp........................................... 18,000 74,342
Hankyu Department Stores, Inc......................... 3,000 19,889
Hanwa Co., Ltd........................................ 2,000 2,549
Higo Bank, Ltd........................................ 5,000 21,313
Hirose Electric Co., Ltd.............................. 800 68,730
Hitachi Zosen Corp.................................... 17,000 19,980
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hitachi, Ltd.......................................... 72,000 $ 529,780
Hokuriku Bank, Ltd.................................... 12,000 22,844
Honda Motor Co., Ltd.................................. 21,000 862,109
House Foods Corp...................................... 2,000 29,829
Hoya Corp............................................. 2,000 102,135
Inax Corp............................................. 3,000 20,411
Industrial Bank of Japan.............................. 56,120 397,141
Isetan Co., Ltd....................................... 3,000 26,817
Itochu Corp........................................... 29,000 66,007
Ito-Yokado Co., Ltd................................... 9,000 537,080
#Japan Air Lines Co., Ltd............................. 33,000 103,244
Japan Energy Corp..................................... 21,000 24,508
Joyo Bank, Ltd........................................ 17,000 68,946
Jusco Co., Ltd........................................ 7,000 132,677
Kajima Corp........................................... 17,000 51,217
Kamigumi Co., Ltd..................................... 5,000 23,672
Kandenko Co., Ltd..................................... 3,000 18,772
Kanebo, Ltd........................................... 11,000 17,207
Kaneka Corp........................................... 6,000 52,442
Kansai Electric Power Co., Inc........................ 21,100 433,980
Kao Corp.............................................. 13,000 357,226
Kawasaki Heavy Industries, Ltd........................ 24,000 54,229
Kawasaki Kisen Kaisha, Ltd............................ 11,000 24,491
Kawasaki Steel Corp................................... 70,000 125,145
Keihin Electric Express Railway Co., Ltd.............. 7,000 22,827
Kikkoman Corp......................................... 3,000 21,975
Kinden Corp........................................... 4,000 44,695
Kinki Nippon Railway Co., Ltd......................... 33,000 164,973
Kirin Brewery Co., Ltd................................ 22,000 252,922
Kissei Pharmaceutical Co., Ltd........................ 1,000 21,106
Kobe Steel, Ltd....................................... 42,000 35,805
Kokuyo Co., Ltd....................................... 2,000 29,465
Komatsu, Ltd.......................................... 19,000 112,912
Komori Corp........................................... 1,000 17,092
Konami Co., Ltd....................................... 1,050 35,197
Konica Corp........................................... 5,000 19,533
Koyo Seiko Co......................................... 4,000 24,863
Kubota Corp........................................... 25,000 72,836
Kuraray Co., Ltd...................................... 7,000 76,246
Kurita Water Industries, Ltd.......................... 2,000 31,783
Kyocera Corp.......................................... 3,800 199,404
Kyowa Hakko Kogyo Co., Ltd............................ 8,000 43,370
Kyushu Electric Power Co., Inc........................ 8,500 130,504
Lion Corp............................................. 5,000 21,230
Makita Corp........................................... 2,000 21,784
Marubeni Corp......................................... 30,000 62,324
Marui Co., Ltd........................................ 7,000 105,272
Matsushita Communication Industrial Co., Ltd.......... 1,000 64,228
Matsushita Electric Industrial Co., Ltd............... 44,000 797,550
Matsushita Electric Works, Ltd........................ 14,000 140,209
Meiji Milk Products Co., Ltd.......................... 6,000 19,318
Meiji Seika Kaisha, Ltd. Tokyo........................ 6,000 32,975
Minebea Co., Ltd...................................... 7,000 69,641
Mitsubishi Chemical Corp.............................. 39,000 110,718
Mitsubishi Corp....................................... 33,000 200,753
</TABLE>
38
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mitsubishi Electric Corp............................. 43,000 $ 137,022
Mitsubishi Estate Co., Ltd............................ 28,000 266,512
Mitsubishi Gas Chemical Co., Inc...................... 8,000 22,513
Mitsubishi Heavy Industries, Ltd...................... 72,000 281,278
Mitsubishi Logistics Corp............................. 2,000 22,860
Mitsubishi Materials Corp............................. 24,000 47,674
Mitsubishi Rayon Co. Ltd.............................. 8,000 20,990
Mitsubishi Trust & Banking Corp....................... 28,000 253,534
Mitsui & Co., Ltd..................................... 34,000 217,530
*Mitsui Engineering and Shipbuilding Co., Ltd......... 17,000 19,277
Mitsui Fudosan Co., Ltd............................... 17,000 141,971
Mitsui Marine & Fire Insurance Co., Ltd............... 16,000 80,516
Mitsui Mining and Smelting Co., Ltd................... 10,000 47,426
*Mitsui O.S.K. Lines, Ltd............................. 19,000 42,774
Mitsui Trust & Banking Co., Ltd....................... 41,000 62,101
*Mitsukoshi, Ltd...................................... 8,000 28,009
Mori Seiki Co., Ltd................................... 2,000 23,672
Murata Manufacturing Co., Ltd......................... 5,000 268,995
Mycal Corp............................................ 4,000 22,215
NEC Corp.............................................. 34,000 377,090
NGK Insulators, Ltd................................... 7,000 68,714
NGK Spark Plug Co., Ltd............................... 3,000 31,758
NKK Corp.............................................. 63,000 49,015
NSK, Ltd.............................................. 11,000 52,715
NTN Corp.............................................. 7,000 21,437
Nagoya Railroad Co., Ltd.............................. 14,000 46,698
Namco, Ltd............................................ 1,000 24,375
Nichido Fire and Marine Insurance Co., Ltd............ 6,000 30,591
Nikko Securities Co., Ltd............................. 24,000 104,883
Nikon Corp............................................ 8,000 105,281
Nintendo Co., Ltd., Kyoto............................. 1,000 117,530
Nippon COMSYS Corp.................................... 2,000 29,300
*Nippon Credit Bank, Ltd.............................. 26,000 0
Nippon Express Co., Ltd............................... 23,000 131,352
Nippon Fire and Marine Insurance Co., Ltd............. 7,000 23,349
Nippon Meat Packers, Inc., Osaka...................... 4,000 53,004
Nippon Mitsubishi Oil Company......................... 22,000 88,677
Nippon Paper Industries Co., Ltd...................... 19,000 93,569
Nippon Sheet Glass Co., Ltd........................... 8,000 26,353
Nippon Shinpan Co., Ltd............................... 6,000 19,070
Nippon Shokubai Co., Ltd.............................. 4,000 23,605
Nippon Steel Corp..................................... 147,000 309,038
Nippon Telegraph & Telephone Corp..................... 692 3,379,241
*Nippon Yusen KK...................................... 24,000 97,335
Nishimatsu Construction Co., Ltd...................... 4,000 22,049
*Nissan Motor Co., Ltd................................ 54,000 237,775
Nisshinbo Industries, Inc............................. 5,000 19,864
Nissin Food Products Co., Ltd......................... 2,000 44,364
Nitto Denko Corp...................................... 3,000 60,214
Nomura Securities Co., Ltd............................ 42,000 419,235
Obayashi Corp......................................... 13,000 61,438
Odakyu Electric Railway Co., Ltd...................... 13,000 44,330
Oji Paper Co., Ltd.................................... 19,000 110,081
Okumura Corp.......................................... 5,000 19,740
Olympus Optical Co., Ltd.............................. 4,000 49,661
Omron Corp............................................ 4,000 54,627
Onward Kashiyama Co., Ltd............................. 2,000 23,175
Orient Corp........................................... 7,000 19,930
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Orix Corp............................................. 1,300 $ 103,294
Osaka Gas Co., Ltd.................................... 54,000 175,203
Pioneer Electronic.................................... 2,000 33,190
Q.P. Corp............................................. 3,000 21,826
Ricoh Co., Ltd., Tokyo................................ 5,000 55,454
Rohm Co., Ltd......................................... 2,000 258,235
SMC Corp.............................................. 1,200 109,452
Sakura Bank, Ltd...................................... 82,000 278,265
Sanden Corp........................................... 3,000 22,819
Sankyo Co., Ltd....................................... 10,000 235,474
Sanrio Co., Ltd....................................... 1,000 22,761
Sanwa Shutter Corp.................................... 4,000 18,606
Sanyo Electric........................................ 41,000 147,616
Sapporo Breweries, Ltd................................ 5,000 22,265
Secom Co., Ltd........................................ 2,000 190,366
#Sega Enterprises, Ltd................................ 1,500 24,781
Seibu Railway Co., Ltd................................ 8,000 173,481
Seino Transportation Co., Ltd......................... 3,000 18,374
*Seiyu, Ltd........................................... 4,000 23,837
Sekisui Chemical Co., Ltd............................. 12,000 74,292
Sekisui House, Ltd.................................... 14,000 152,028
Seven-Eleven Japan Co., Ltd........................... 7,000 607,764
Seventy-seven (77) Bank, Ltd.......................... 6,000 52,392
Sharp Corp. Osaka..................................... 24,000 266,578
Shikoku Electric Power Co., Inc....................... 4,200 62,399
Shimachu Co., Ltd..................................... 1,000 22,720
Shimano, Inc.......................................... 3,000 73,374
Shimizu Corp.......................................... 17,000 60,081
Shin-Etsu Chemical Co., Ltd........................... 8,000 248,303
Shionogi & Co., Ltd................................... 6,000 49,412
Shiseido Co., Ltd..................................... 9,000 133,339
Shizuoka Bank, Ltd.................................... 16,000 167,919
Showa Denko KK........................................ 21,000 25,724
Skylark Co., Ltd...................................... 2,000 37,577
Snow Brand Milk Products Co., Ltd..................... 5,000 24,582
Sony Corp............................................. 8,800 827,413
Sumitomo Bank, Ltd.................................... 67,000 811,298
Sumitomo Chemical Co., Ltd............................ 35,000 147,740
Sumitomo Corp......................................... 22,000 151,498
Sumitomo Electric Industries, Ltd..................... 15,000 168,101
Sumitomo Forestry Co., Ltd............................ 3,000 23,465
*Sumitomo Heavy Industries, Ltd....................... 9,000 20,857
Sumitomo Marine & Fire Insurance Co., Ltd............. 13,000 84,787
Sumitomo Metal Industries, Ltd. Osaka................. 73,000 96,069
Sumitomo Metal Mining Co., Ltd........................ 12,000 49,065
Sumitomo Osaka Cement Co., Ltd........................ 8,000 14,633
TDK Corp.............................................. 1,000 85,913
Taisei Corp........................................... 15,000 33,893
Taisho Pharmaceutical Co., Ltd........................ 7,000 224,218
Taiyo Yuden Co., Ltd.................................. 2,000 28,323
Takara Shuzo Co., Ltd................................. 4,000 27,479
Takara Standard Co., Ltd.............................. 3,000 19,219
Takashimaya Co., Ltd.................................. 4,000 36,418
Takeda Chemical Industries, Ltd....................... 19,000 844,479
Teijin, Ltd........................................... 16,000 61,712
Tobu Railway Co., Ltd................................. 15,000 42,956
Toho Co., Ltd......................................... 400 55,852
Tohuku Electric Power Co., Inc........................ 10,800 167,605
Tokai Bank, Ltd....................................... 48,000 280,483
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tokio Marine & Fire Insurance Co., Ltd................ 33,000 $ 360,536
Tokyo Broadcasting System, Inc........................ 2,000 25,377
Tokyo Electric Power Co., Ltd......................... 29,200 636,832
Tokyo Electron, Ltd................................... 3,000 165,618
Tokyo Gas Co., Ltd.................................... 61,000 154,999
Tokyo Style Co., Ltd.................................. 2,000 22,016
Tokyu Corp............................................ 17,000 44,181
Toppan Printing Co., Ltd.............................. 14,000 157,010
Toray Industries, Inc................................. 30,000 145,754
Toshiba Corp.......................................... 61,000 377,148
Tosoh Corp............................................ 12,000 23,837
Tostem Corp........................................... 4,000 76,974
Toto, Ltd............................................. 6,000 46,234
Toyo Seikan Kaisha, Ltd............................... 4,300 81,679
Toyo Trust & Banking Co., Ltd......................... 12,000 34,762
Toyobo Co., Ltd....................................... 14,000 21,205
Toyoda Automatic Loom Works, Ltd...................... 6,000 107,019
Toyota Motor Corp..................................... 82,000 2,239,695
UNY Co., Ltd.......................................... 4,000 60,089
Ube Industries, Ltd................................... 16,000 30,194
Uni-Charm Corp........................................ 1,000 41,880
Wacoal Corp........................................... 2,000 21,553
Yamaguchi Bank........................................ 3,000 27,735
Yamaha Corp........................................... 4,000 41,218
Yamanouchi Pharmaceutical Co., Ltd.................... 7,000 241,599
Yamato Transport Co., Ltd............................. 8,000 131,700
Yamazaki Baking Co., Ltd.............................. 4,000 50,654
*Yasuda Trust & Banking Co., Ltd...................... 36,000 43,503
Yokogawa Electric Corp................................ 4,000 19,798
------------
TOTAL COMMON STOCKS
(Cost $38,273,954)................................... 37,639,645
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $1,116)....................................... 1,147
------------
TOTAL -- JAPAN
(Cost $38,275,070)................................... 37,640,792
------------
UNITED KINGDOM -- (21.4%)
COMMON STOCKS -- (21.4%)
Abbey National P.L.C.................................. 31,400 649,072
Allied Zurich P.L.C................................... 33,499 427,286
Anglian Water P.L.C................................... 4,893 54,179
Arjo Wiggins Appleton P.L.C........................... 13,400 38,221
*Associated British Foods P.L.C....................... 16,720 127,196
BAA P.L.C............................................. 22,083 237,263
BBA Group P.L.C....................................... 9,067 64,073
BG P.L.C.............................................. 87,753 482,665
BOC Group P.L.C....................................... 10,850 185,684
BPB P.L.C............................................. 10,400 49,162
Barclays P.L.C........................................ 33,973 1,030,524
Barratt Developments P.L.C............................ 4,000 20,607
Bass P.L.C............................................ 16,428 242,448
Berkeley Group P.L.C.................................. 2,300 25,246
Blue Circle Industries P.L.C.......................... 17,000 105,354
Boots Co., P.L.C...................................... 20,298 265,410
Bowthorpe P.L.C....................................... 3,000 23,363
British Aerospace P.L.C............................... 38,022 250,866
British Airways P.L.C................................. 22,000 157,934
British American Tobacco P.L.C........................ 31,499 288,208
British Land Co. P.L.C................................ 11,000 96,946
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
British Petroleum Co., P.L.C.......................... 215,796 $ 3,862,515
British Sky Broadcasting Group P.L.C.................. 36,000 342,083
British Steel P.L.C................................... 36,200 76,860
British Telecommunications P.L.C...................... 143,553 2,394,620
Bunzl P.L.C........................................... 7,000 33,034
*Burmah Castrol P.L.C................................. 3,333 56,826
CGU P.L.C............................................. 27,644 403,989
Cable and Wireless P.L.C.............................. 53,494 660,039
Cadbury Schweppes P.L.C............................... 44,828 304,033
Caradon P.L.C......................................... 9,000 21,128
Carlton Communications P.L.C.......................... 13,000 103,636
*Centrica P.L.C....................................... 84,600 171,488
Cobham P.L.C.......................................... 1,540 22,826
Compass Group P.L.C................................... 14,000 141,893
De la Rue P.L.C....................................... 5,000 24,156
Diageo P.L.C.......................................... 85,074 894,963
EMI Group P.L.C....................................... 14,688 103,677
Electrocomponents P.L.C............................... 9,000 72,757
FKI P.L.C............................................. 8,000 24,549
GKN P.L.C............................................. 15,142 252,949
General Electric Co. P.L.C............................ 57,881 549,075
Glaxo Wellcome P.L.C.................................. 80,648 2,264,130
Granada Group P.L.C................................... 19,459 398,497
Great Portland Estates P.L.C.......................... 6,900 25,264
Great Universal Stores P.L.C.......................... 21,200 226,248
HSBC Holdings P.L.C................................... 33,593 1,122,350
HSBC Holdings P.L.C................................... 17,305 578,442
Halifax P.L.C......................................... 54,000 697,433
Hammerson P.L.C....................................... 4,500 32,918
Hanson P.L.C.......................................... 13,900 125,957
Hilton Group P.L.C.................................... 33,700 147,693
Hyder P.L.C........................................... 2,000 24,084
IMI P.L.C............................................. 5,000 19,910
Imperial Chemical Industries P.L.C.................... 15,800 174,188
Invensys P.L.C........................................ 81,882 373,288
Johnson Matthey P.L.C................................. 3,000 26,199
Kingfisher P.L.C...................................... 29,313 368,491
Land Securities P.L.C................................. 12,000 171,522
Lasmo P.L.C........................................... 20,600 43,573
Legal and General Group P.L.C......................... 108,000 315,402
Lex Service P.L.C..................................... 2,500 22,494
Lloyds TSB Group P.L.C................................ 129,283 1,709,106
Lonmin P.L.C.......................................... 3,400 27,295
MEPC P.L.C............................................ 7,000 56,982
Marks & Spencer P.L.C................................. 62,011 391,506
Meyer International P.L.C............................. 3,000 22,185
Misys P.L.C........................................... 12,010 100,362
National Grid Group P.L.C............................. 31,000 210,621
National Power P.L.C.................................. 27,502 214,288
Next P.L.C............................................ 6,850 79,635
Ocean Group P.L.C..................................... 3,123 47,041
Pearson P.L.C......................................... 13,000 247,893
Peninsular & Oriental Steam Navigation Co............. 13,000 189,982
Pilkington P.L.C...................................... 19,900 23,278
Provident Financial P.L.C............................. 4,000 59,353
Prudential Corp. P.L.C................................ 45,499 600,398
RMC Group P.L.C....................................... 4,000 53,392
Racal Electronics P.L.C............................... 6,400 38,509
Railtrack Group P.L.C................................. 11,000 225,443
Rank Group P.L.C...................................... 16,000 57,302
</TABLE>
40
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Reed International P.L.C.............................. 24,000 $ 174,983
Rentokill Initial P.L.C............................... 61,000 247,056
Reuters Holdings Group P.L.C.......................... 29,640 410,598
Rexam P.L.C........................................... 7,000 27,594
Rio Tinto P.L.C....................................... 26,161 383,574
Rolls-Royce P.L.C..................................... 32,706 137,572
*Royal & Sun Alliance Insurance Group P.L.C........... 30,361 248,370
Royal Bank of Scotland Group P.L.C.................... 18,862 400,779
Rugby Group P.L.C..................................... 13,000 23,539
Safeway P.L.C......................................... 24,954 103,265
Sainsbury (J.) P.L.C.................................. 42,517 258,552
Schroders P.L.C....................................... 5,000 104,077
Scottish & Newcastle P.L.C............................ 13,200 153,245
Scottish Hydro-Electric P.L.C......................... 18,000 170,464
Scottish Power P.L.C.................................. 25,000 215,524
Slough Estates P.L.C.................................. 9,100 53,734
Smithkline Beecham P.L.C.............................. 124,390 1,622,496
Smiths Industries P.L.C............................... 5,042 73,199
St. James Place Capital P.L.C......................... 5,000 18,788
Stagecoach Holdings P.L.C............................. 29,053 95,903
TI Group P.L.C........................................ 10,000 77,076
Tarmac P.L.C.......................................... 21,916 41,791
Tate & Lyle P.L.C..................................... 9,700 63,728
Taylor Woodrow P.L.C.................................. 8,600 24,668
Tesco P.L.C........................................... 147,695 430,144
Thames Water P.L.C.................................... 7,480 118,662
Unigate P.L.C......................................... 2,800 19,069
*Unilever P.L.C....................................... 61,428 540,396
United Biscuits Holdings P.L.C........................ 5,600 17,790
United Utilities P.L.C................................ 11,700 141,268
Vodafone Group P.L.C.................................. 67,898 1,293,637
Williams P.L.C........................................ 15,000 87,792
Wimpey (George) P.L.C................................. 8,100 20,637
Wolseley P.L.C........................................ 12,000 93,693
Zeneca Group P.L.C.................................... 25,300 1,005,822
------------
TOTAL COMMON STOCKS
(Cost $23,178,111)................................... 35,750,942
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $54).......................................... 54
------------
TOTAL -- UNITED KINGDOM
(Cost $23,178,165)................................... 35,750,996
------------
GERMANY -- (9.3%)
COMMON STOCKS -- (9.3%)
AMB Aachener & Muenchener Beteiligungs AG............. 700 74,656
AXA Colonia Konzern AG................................ 450 42,347
Aachener und Muenchener Beteiligungs AG............... 200 21,226
Adidas-Salomon AG..................................... 900 87,047
Allianz AG............................................ 4,900 1,330,569
#BASF AG.............................................. 15,000 573,255
Bayer AG.............................................. 14,600 558,732
#Bayerische Motorenwerke AG BMW, Muenchen............. 625 397,332
Bayerische Vereinsbank AG............................. 8,000 427,445
Beiersdorf AG......................................... 1,600 104,059
Commerzbank AG........................................ 8,490 237,022
Continental AG........................................ 2,000 46,132
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#DaimlerChrysler AG, Stuttgart........................ 20,052 $ 1,698,501
Degussa-Huels AG...................................... 2,700 107,279
#Deutsche Bank AG..................................... 11,788 614,680
Deutsche Lufthansa AG................................. 7,650 164,378
#Deutsche Telekom AG.................................. 55,100 2,206,581
Douglas Holding AG.................................... 400 17,148
Dresdner Bank AG, Frankfurt........................... 10,380 373,358
Heidelberger Zement AG, Heidelberg.................... 700 55,041
Hochtief AG........................................... 1,510 66,313
Hoechst AG............................................ 12,000 528,869
Karstadt AG........................................... 150 62,423
Linde AG.............................................. 100 57,090
MAN AG................................................ 2,050 60,018
Mannesmann AG......................................... 7,830 1,043,858
Merck KGAA............................................ 600 20,672
Metro AG.............................................. 6,040 376,403
*Muenchener Rueckversicherungs-Gesellschaft AG Em
99.................................................. 1,400 234,948
Munchener Rueckversicherungs.......................... 1,700 288,850
Preussag AG........................................... 3,036 152,375
RWE AG................................................ 13,250 591,580
RWE AG................................................ 800 23,422
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung).................................. 1,200 410,297
SGL Carbon AG......................................... 400 28,022
Schering AG........................................... 1,200 129,237
Siemens AG............................................ 11,750 791,213
*Thyssen Krupp AG..................................... 10,300 201,395
#Veba AG.............................................. 12,000 681,319
Viag AG............................................... 546 247,772
Volkswagen AG......................................... 5,920 364,591
------------
TOTAL -- GERMANY
(Cost $11,056,746)................................... 15,497,455
------------
FRANCE -- (8.9%)
COMMON STOCKS -- (8.9%)
AXA-UAP............................................... 7,692 888,732
Accor SA.............................................. 708 174,116
Air Liquide........................................... 1,787 269,812
*Air Liquide Prime Fidelite........................... 2,076 308,858
Alcatel Alsthom Cie Generale d'Electricite SA......... 5,100 607,917
#Banque Nationale de Paris............................ 4,576 386,604
Banque Paribas........................................ 2,350 255,547
Bouygues.............................................. 500 132,583
Canal Plus SA......................................... 583 169,161
Cap Gemini SA......................................... 1,500 216,598
Carrefour............................................. 5,400 710,303
*Casino Guichard Perrachon............................ 1,600 152,241
Cie Generale d'Optique Essilor International SA....... 200 70,265
Club Mediterranee SA.................................. 300 26,977
*Coflexip SA.......................................... 300 24,530
*Compagnie Francaise d'Etudes et de Construction
Technip SA.......................................... 300 32,623
Dassault Systemes SA.................................. 2,200 72,392
Elf Aquitaine......................................... 5,827 845,676
*Eridania Beghin-Say SA............................... 400 58,261
*France Telecom SA.................................... 22,100 1,698,436
*GTM Entrepose........................................ 200 20,076
Generale des Establissements Michelin SA Series B..... 2,709 119,760
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Groupe Danone......................................... 2,346 $ 647,592
*Imetal............................................... 200 25,513
L'Oreal............................................... 1,540 929,913
LVMH (Louis Vuitton Moet Hennessy).................... 2,016 563,033
*LaFarge SA........................................... 2,044 184,656
*Lagardere SCA........................................ 2,300 90,064
Legrand SA............................................ 400 83,649
Lyonnais des Eaux SA.................................. 3,104 515,721
Pathe SA.............................................. 300 27,322
*Pechiney SA Series A................................. 1,655 64,305
Pernod-Ricard......................................... 1,260 84,318
Peugeot SA............................................ 950 141,053
Pinault Printemps Redoute SA.......................... 1,000 170,748
*Primagaz (Cie des Gazde Petrole)..................... 300 27,133
*Promodes............................................. 400 261,821
Rhone-Poulenc SA Series A............................. 7,865 374,179
SEB SA................................................ 300 24,075
*SEFIMEG (Societe Francaise d'Investissements
Immobiliers de Gestion)............................. 300 19,574
SEITA (Societe Nationale d'Exploitation Industrielle
des Tabacs et Allumettas)........................... 800 48,642
*Saint-Gobain......................................... 1,984 312,211
Sanofi Synthelabo..................................... 9,656 407,895
Schneider SA.......................................... 3,029 180,528
*Sidel SA............................................. 600 83,440
Simco SA.............................................. 300 25,894
#Societe Generale Paris............................... 1,782 324,583
Sodexho Alliance SA................................... 700 113,815
Ste Bic............................................... 800 46,049
*Thomson-CSF.......................................... 3,224 104,030
*Total SA............................................. 6,085 741,235
Usinor................................................ 5,100 69,644
*Valeo SA............................................. 1,600 130,994
Vivendi SA............................................ 10,122 751,440
Zodiac SA............................................. 100 20,703
------------
TOTAL COMMON STOCKS
(Cost $9,760,361).................................... 14,837,240
------------
RIGHTS/WARRANTS -- (0.0%)
*Vivendi SA Rights 06/30/99
(Cost $0)........................................... 10,122 10,478
------------
TOTAL -- FRANCE
(Cost $9,760,361).................................... 14,847,718
------------
SWITZERLAND -- (6.6%)
COMMON STOCKS -- (6.6%)
ABB AG, Baden......................................... 223 316,161
Adecco SA............................................. 450 235,998
Alusuisse Lonza Group AG.............................. 140 164,027
Credit Suisse Holding, Zuerich (Namen)................ 6,485 1,127,989
Financiere Richemont AG............................... 106 171,433
Fischer (Georg) AG, Schaffhausen (Namen).............. 70 22,881
Holderbank Financiere Glarus AG, Glarus............... 170 202,635
Kuoni Reisen Holding AG............................... 6 22,172
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nestle SA, Cham et Vevey.............................. 943 $ 1,699,038
Novartis AG, Basel.................................... 1,739 2,529,405
Roche Holding AG, Basel............................... 79 1,371,519
SGS Societe Generale de Surveillance Holding SA....... 30 30,364
Sairgroup, Zuerich.................................... 210 47,416
Schindler Holding AG, Hergiswil....................... 36 58,955
Schneizerische Rueckversicherangs-Gesellschaft........ 352 669,330
Sulzer AG, Winterthur................................. 60 35,168
Swatch Group AG....................................... 60 39,776
Swatch Group AG (Namen)............................... 350 52,493
United Bank of Switzerland............................ 5,167 1,499,028
Zurich Allied AG...................................... 1,130 666,045
------------
TOTAL COMMON STOCKS
(Cost $6,578,451).................................... 10,961,833
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $3,737)....................................... 3,855
------------
TOTAL -- SWITZERLAND
(Cost $6,582,188).................................... 10,965,688
------------
NETHERLANDS -- (5.9%)
COMMON STOCKS -- (5.9%)
ABN Amro Holding NV................................... 34,675 770,451
AKZO Nobel NV......................................... 6,400 266,338
Aegon NV.............................................. 1,913 155,019
Asr Verzekeringsgroep NV.............................. 400 27,625
Buhrmann NV........................................... 1,241 20,762
Elsevier NV........................................... 15,800 200,726
Getronics NV.......................................... 1,827 70,682
Heineken NV........................................... 7,450 415,196
*IHC Caland NV........................................ 600 23,683
Ing Groep NV.......................................... 22,432 1,202,075
KLM (Koninklijke Luchtvaart Mij NV)................... 1,400 40,695
Koninklijke Ahold NV.................................. 14,900 521,137
Koninklijke Hoogovens NV.............................. 726 28,163
Koninklijke KPN NV.................................... 11,300 547,052
Koninklijke Philips Electronics....................... 8,200 705,211
Oce NV................................................ 1,517 41,875
Royal Dutch Petroleum Co., Den Haag................... 53,200 2,970,451
TNT Post Groep NV..................................... 11,300 284,751
*Unilever NV.......................................... 17,142 1,142,645
Wolters Kluwer NV..................................... 10,100 407,113
------------
TOTAL COMMON STOCKS
(Cost $6,594,883).................................... 9,841,650
------------
RIGHTS/WARRANTS -- (0.0%)
*Asr Verzekerings Groep NV Rights 06/02/99............ 400 0
*Getronics NV Rights Open Pay Date.................... 132 0
*Ing Groep NV Rights 06/07/99......................... 22,432 0
*Koninklijke KPN NV Rights Open Pay Date.............. 10,700 0
*Koninklijke Ahold Rights Open Pay Date............... 14,900 0
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*TNT Post Groep NV Rights Open Pay Date............... 10,600 $ 0
*Unilever NV Rights 06/04/99.......................... 19,200 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $6,594,883).................................... 9,841,650
------------
ITALY -- (4.4%)
COMMON STOCKS -- (4.4%)
*Alitalia Linee Aeree Italiane SpA Series A........... 20,000 58,763
Alleanza Assicurazioni SpA............................ 13,612 153,003
Alleanza Assicurazioni SpA (Risp)..................... 124 900
Assicurazioni Generali SpA, Trieste................... 21,404 763,166
Banca Commerciale Italiana SpA........................ 34,000 244,944
Banca di Roma......................................... 66,500 97,346
*Banca Intesa SpA..................................... 2,000 10,222
#Banco Ambrosiano Veneto SpA.......................... 44,000 224,513
Benetton Group SpA.................................... 25,500 49,993
Bulgari SpA........................................... 4,000 24,216
*Campart SpA.......................................... 38,769 26,309
Credito Italiano...................................... 79,000 372,540
#ENI SpA.............................................. 132,000 826,742
Edison SpA............................................ 10,000 87,831
#Fiat SpA............................................. 75,900 245,228
HPI SpA (Holding di Partecipazioni Industriale)....... 18,000 11,556
INA (Istituto Nazionale delle Assicurazioni SpA)...... 66,000 152,513
ITALGAS SpA, Torino................................... 11,000 47,272
Ifil Finanziaria Partecipazioni SpA, Torino........... 9,000 30,678
*Ing C.Olivetti & C SpA, Ivrea........................ 47,500 148,503
Italcementi Fabbriche Riunite Cemento SpA, Bergamo.... 1,500 17,096
La Fondiara Assicurazioni SpA......................... 4,200 22,529
Mediaset SpA.......................................... 19,000 154,363
Mediobanca SpA........................................ 9,000 102,574
Mondadori (Arnoldo) Editore SpA....................... 1,500 26,114
#Montedison SpA....................................... 73,260 65,188
Parmalat Finanziaria SpA.............................. 15,000 20,311
Pirelli SpA........................................... 30,000 84,381
RAS SpA (Riunione Adriatica di Sicurta)............... 7,465 72,669
RAS SpA (Riunione Adriatica di Sicurta) (Risp)........ 371 3,076
Rinascente per l'Esercizio di Grande Magazzini SpA.... 3,000 25,346
SAI SpA (Sta Assicuratrice Industriale SpA)........... 2,000 22,481
#San Paolo-Imi SpA.................................... 32,607 441,520
Seat Pagine Gialle SpA................................ 86,000 117,349
Sirti SpA............................................. 4,000 19,950
*Telecom Italia Mobile SpA............................ 134,740 794,594
Telecom Italia SpA, Torino............................ 176,965 1,828,158
Unione Immobiliare SpA................................ 61,000 28,829
------------
TOTAL -- ITALY
(Cost $4,003,196).................................... 7,422,766
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SPAIN -- (2.9%)
COMMON STOCKS -- (2.9%)
*Acerinox SA.......................................... 800 $ 23,003
Argentaria Caja Postal y Banco Hipotecario SA......... 10,200 229,196
Autopistas Concesionaria Espanola SA.................. 4,700 60,103
*Azucarera Ebro Agricolas SA.......................... 900 14,097
Banco Bilbao Vizcaya SA............................... 46,500 672,426
Banco de Santander SA................................. 38,492 804,952
Banco Popular Espanol SA, Madrid...................... 2,000 146,594
Corporacion Financieri Alba SA Series B............... 200 30,114
*Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 900 18,699
*ENDESA SA, Madrid.................................... 20,700 441,756
Fomento de Construcciones y Contratas SA.............. 1,300 74,897
Grupo Dragados........................................ 800 27,730
Iberdrola SA.......................................... 19,500 280,150
*Metrovacesa SA....................................... 700 15,788
Repsol SA............................................. 19,500 353,960
SDG SA, Barcelona..................................... 3,300 256,718
Sociedad General de Aguas de Barcelona SA............. 900 47,899
Tabacalera SA......................................... 4,100 80,167
*Telefonica de Espana SA.............................. 23,406 1,125,293
*Telefonica de Espana SA.............................. 452 21,567
Union Electrica Fenosa SA............................. 6,600 86,401
*Vallehermoso SA...................................... 1,900 18,615
Zardoya-Otis SA....................................... 700 18,876
------------
TOTAL -- SPAIN
(Cost $3,278,302).................................... 4,849,001
------------
AUSTRALIA -- (2.9%)
COMMON STOCKS -- (2.9%)
AMP, Ltd.............................................. 23,200 253,015
Amcor, Ltd............................................ 12,538 66,811
Australia & New Zealand Banking Group, Ltd............ 32,506 236,357
Boral, Ltd............................................ 25,476 41,642
Brambles Industries, Ltd.............................. 4,891 130,697
Broken Hill Proprietary Co., Ltd...................... 44,554 458,165
CSL, Ltd.............................................. 2,475 20,713
CSR, Ltd.............................................. 16,243 43,702
Coca-Cola Amatil, Ltd................................. 17,160 73,275
Coles Myer, Ltd....................................... 22,009 115,307
Colonial, Ltd......................................... 19,800 70,813
Commonwealth Bank of Australia........................ 11,759 189,364
Fosters Brewing Group, Ltd............................ 34,148 96,898
GIO Australia Holdings, Ltd........................... 9,878 25,188
Goodman Fielder, Ltd.................................. 16,834 16,510
Hardie (James) Industries, Ltd........................ 8,791 21,554
Leighton Holdings, Ltd................................ 5,652 21,618
Lend Lease Corp., Ltd................................. 10,118 128,392
MIM Holdings.......................................... 51,524 27,961
Mayne Nickless, Ltd................................... 6,569 22,978
National Australia Bank, Ltd.......................... 38,795 629,360
News Corp., Ltd....................................... 37,715 288,313
News Corp., Ltd....................................... 19,644 162,602
Normandy Mining, Ltd.................................. 22,112 16,048
</TABLE>
43
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
North, Ltd............................................ 12,604 $ 22,909
Orica, Ltd............................................ 4,516 25,009
Pacific Dunlop, Ltd................................... 19,238 34,376
Pioneer International, Ltd............................ 11,314 26,335
QBE Insurance Group, Ltd.............................. 6,417 25,174
Rio Tinto, Ltd........................................ 12,819 180,200
Santos, Ltd........................................... 7,866 24,429
Smith (Howard), Ltd................................... 3,188 25,013
Southcorp, Ltd........................................ 13,451 54,131
Suncorp-Metway Limited................................ 3,841 22,301
Tabcorp Holdings, Ltd................................. 6,574 45,819
Telstra Corp., Ltd.................................... 92,500 458,430
The Australian Gas Light Company...................... 7,026 44,560
WMC, Ltd.............................................. 30,370 112,786
*Wesfarmers, Ltd...................................... 5,621 52,849
Westpac Banking Corp.................................. 51,286 351,752
Woodside Petroleum, Ltd............................... 6,666 41,623
Woolworths, Ltd....................................... 21,500 71,833
------------
TOTAL COMMON STOCKS
(Cost $3,847,782).................................... 4,776,812
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $215)......................................... 225
------------
TOTAL -- AUSTRALIA
(Cost $3,847,997).................................... 4,777,037
------------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.6%)
AGA AB Series A....................................... 2,900 37,208
AGA AB Series B....................................... 4,500 57,212
Asea AB Series A...................................... 14,400 196,516
Asea AB Series B...................................... 5,000 67,943
Astrazeneca P.L.C..................................... 18,161 715,990
Atlas Copco AB Series A............................... 2,000 50,156
Atlas Copco AB Series B............................... 900 22,045
*Boliden, Ltd......................................... 859 1,934
Drott Series B........................................ 2,400 20,575
Electrolux AB Series B................................ 7,900 153,423
Fastighets AB Balder.................................. 420 4,409
Foreningssparbanken AB Series A....................... 7,000 143,701
Hennes & Mauritz AB Series B.......................... 15,200 342,177
Mandamus AB........................................... 225 1,260
*Netcom AB Series B................................... 1,400 42,702
Om Gruppen AB......................................... 1,500 18,983
SSAB Swedish Steel Series A........................... 1,700 19,234
Sandvik AB Series A................................... 3,200 69,985
Sandvik AB Series B................................... 1,300 28,431
Securitas AB Series B................................. 5,700 81,444
Skandia Insurance AB.................................. 10,200 175,486
Skandinaviska Enskilda Banken Series A................ 12,100 146,781
Skanska AB............................................ 2,400 83,981
Svenska Cellulosa AB Series B......................... 3,900 90,980
Svenska Handelsbanken Series A........................ 5,000 181,085
Svenska Kullagerfabriken AB Series B.................. 1,300 20,395
Swedish Match AB (Frueher Svenska Taendsticks AB)..... 8,800 32,128
Sydkraft AB Series C.................................. 2,400 42,691
Telefon AB L.M. Ericsson Series A..................... 3,000 82,932
Telefon AB L.M. Ericsson Series B..................... 42,300 1,132,331
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Trelleborg AB Series B................................ 2,200 $ 19,631
Volvo AB Series A..................................... 2,200 55,556
Volvo AB Series B..................................... 6,600 167,823
Wm-Data AB Series B................................... 1,100 38,492
------------
TOTAL COMMON STOCKS
(Cost $3,493,753).................................... 4,345,620
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $29,979)...................................... 29,184
------------
RIGHTS/WARRANTS -- (0.0%)
*AGA AB Series A Rights 06/29/99...................... 2,900 957
*AGA AB Series B Rights 06/29/99...................... 4,500 1,506
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 2,463
------------
TOTAL -- SWEDEN
(Cost $3,523,732).................................... 4,377,267
------------
HONG KONG -- (2.6%)
COMMON STOCKS -- (2.6%)
Bank of East Asia, Ltd................................ 32,000 70,153
CLP Holdings, Ltd..................................... 58,000 279,735
Cathay Pacific Airways, Ltd........................... 80,000 121,736
Cheung Kong Holdings, Ltd............................. 54,000 438,714
Citic Pacific, Ltd.................................... 24,000 62,364
Hang Lung Development Co., Ltd........................ 21,000 24,373
Hang Seng Bank, Ltd................................... 45,500 487,008
Henderson Land Development Co., Ltd................... 18,000 90,760
Hong Kong & Shanghai Hotels, Ltd...................... 27,500 20,214
Hong Kong and China Gas Co., Ltd...................... 111,600 157,589
Hong Kong Electric Holdings, Ltd...................... 31,679 99,272
Hong Kong Telecommunications, Ltd..................... 284,258 656,164
Hutchison Whampoa, Ltd................................ 92,000 768,200
Hysan Development Co., Ltd............................ 18,413 27,188
Johnson Electric Holdings, Ltd........................ 18,500 68,231
New World Development Co., Ltd........................ 46,558 113,776
Shangri-la Asia, Ltd.................................. 32,000 34,251
Sino Land Co., Ltd.................................... 74,000 39,841
South China Morning Post (Holdings), Ltd.............. 40,000 19,859
Sung Hungkai Properties, Ltd.......................... 56,506 451,786
Swire Pacific, Ltd. Series A.......................... 27,000 128,829
Television Broadcasts, Ltd............................ 7,000 28,887
Wharf Holdings, Ltd................................... 54,000 137,533
Wing Lung Bank, Ltd................................... 5,500 19,930
------------
TOTAL COMMON STOCKS
(Cost $4,117,786).................................... 4,346,393
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $9,126)....................................... 9,126
------------
TOTAL -- HONG KONG
(Cost $4,126,912).................................... 4,355,519
------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Kemira Oyj............................................ 3,200 19,708
Kesko Oyj............................................. 1,300 17,263
Merita Oyj, Helsinki.................................. 19,100 113,436
Metra Oyj Series B.................................... 1,200 26,789
#Nokia Oyj............................................ 28,611 2,040,267
</TABLE>
44
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Outokumpu Oyj Series A................................ 3,100 $ 32,025
Pohjola Group Insurance Corp. Series A................ 500 23,003
Pohjola Group Insurance Corp. Series B................ 400 18,821
Sampo Insurance Co., Ltd.............................. 1,500 45,484
Stockmann Oy AB....................................... 600 13,488
Upm-Kymmene Oyj....................................... 6,900 202,733
------------
TOTAL -- FINLAND
(Cost $1,926,663).................................... 2,553,017
------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
Barco NV.............................................. 200 31,368
Cimenteries CBR Cementsedrijoen....................... 400 36,513
*D'Ieteren SA......................................... 110 49,457
Electrabel SA......................................... 1,300 400,855
Etablissement Delhaize Freres & Cie le Lion SA
Molenbeek-Saint-Jean................................ 1,000 86,158
*Fortis AG............................................ 931 5,266
Fortis AG Series B.................................... 17,379 558,778
*Fortis AG VVPR....................................... 8,379 88
Ing Groep NV.......................................... 1,211 65,844
KBC Bancassurance Holding SA.......................... 5,200 316,987
Petrofina SA, Bruxelles............................... 500 270,290
Solvay SA............................................. 2,000 133,734
Tractebel (Cie Reunies Electrobel et Tractionel SA)... 2,100 278,425
*UCB SA............................................... 2,500 107,933
------------
TOTAL COMMON STOCKS
(Cost $1,999,582).................................... 2,341,696
------------
RIGHTS/WARRANTS -- (0.0%)
*Ing Groep NV Warrants 03/15/01
(Cost $0)........................................... 200 4,057
------------
TOTAL -- BELGIUM
(Cost $1,999,582).................................... 2,345,753
------------
SINGAPORE -- (1.0%)
COMMON STOCKS -- (1.0%)
Cerebos Pacific, Ltd.................................. 10,000 22,728
City Developments, Ltd................................ 26,000 155,271
Creative Technology Co., Ltd.......................... 3,000 40,354
Cycle & Carriage, Ltd................................. 7,000 38,963
DBS Land, Ltd......................................... 30,000 53,226
Fraser & Neave, Ltd................................... 10,000 39,426
Keppel Bank of Singapore, Ltd......................... 35,750 78,351
Keppel Corp., Ltd..................................... 25,000 71,316
Keppel Land, Ltd...................................... 22,000 37,374
Parkway Holdings, Ltd................................. 10,000 21,453
*Sembcorp Industries, Ltd............................. 52,000 69,344
Singapore Land, Ltd................................... 11,000 30,231
Singapore Press Holdings, Ltd......................... 10,000 136,253
Singapore Technologies Engineering, Ltd............... 84,000 91,562
Singapore Telecommunications, Ltd..................... 452,000 762,624
United Industrial Corp., Ltd.......................... 32,000 19,852
Wing Tai Holdings, Ltd................................ 19,000 21,371
------------
TOTAL COMMON STOCKS
(Cost $1,744,300).................................... 1,689,699
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $2,327)....................................... $ 2,309
------------
TOTAL -- SINGAPORE
(Cost $1,746,627).................................... 1,692,008
------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Bang & Olufsen Holding A.S. Series B.................. 290 18,996
Carlsberg A.S. Series A............................... 680 30,623
Carlsberg A.S. Series B............................... 1,530 70,521
Dampskibsselskabet AF 1912 A.S........................ 23 193,909
Dampskibsselskabet Svendborg A.S...................... 16 192,521
Danisco A.S........................................... 1,380 66,420
Den Danske Bank A.S................................... 1,170 125,797
Fls Industries........................................ 890 21,293
GN Great Nordic, Ltd.................................. 590 19,762
ISS International Service System A.S.................. 440 22,168
Kapital Holdings A.S.................................. 670 25,081
Novo Nordisk A.S. Series B............................ 1,470 150,192
Tele Danmark A.S. Series B............................ 2,590 265,352
Unidanmark A.S. Series A.............................. 1,070 75,291
------------
TOTAL COMMON STOCKS
(Cost $1,439,435).................................... 1,277,926
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $7,525)....................................... 7,413
------------
TOTAL -- DENMARK
(Cost $1,446,960).................................... 1,285,339
------------
EMU -- (0.4%)
INVESTMENT IN CURRENCY -- (0.4%)
*Euro Currency
(Cost $761,687)..................................... 752,357
------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A.............................. 1,100 16,457
Christiania Bank Og Kreditkasse....................... 12,700 51,366
Den Norske Bank ASA Series A.......................... 16,000 55,382
Elkem ASA............................................. 1,300 20,603
Kvaerner ASA.......................................... 600 9,928
Merkantildata ASA..................................... 2,200 21,339
Norsk Hydro ASA....................................... 6,200 244,084
Norske Skogindustrier ASA Series A.................... 900 31,381
Orkla ASA Series A.................................... 4,800 76,074
Petroleum Geo Services ASA............................ 2,200 35,565
Schibsted ASA......................................... 1,600 18,461
Storebrand ASA........................................ 6,900 46,367
Tomra Systems ASA..................................... 1,000 37,657
------------
TOTAL COMMON STOCKS
(Cost $771,835)...................................... 664,664
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $11,548)...................................... 11,347
------------
</TABLE>
45
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Kvaerner ASA Rights 06/09/99
(Cost $0)........................................... 600 $ 289
------------
TOTAL -- NORWAY
(Cost $783,383)...................................... 676,300
------------
IRELAND -- (0.4%)
COMMON STOCKS -- (0.4%)
Allied Irish Banks P.L.C.............................. 21,552 285,293
CRH P.L.C............................................. 9,076 101,163
DCC P.L.C............................................. 2,178 17,763
Greencore Group P.L.C................................. 4,792 17,537
Independent Newspapers P.L.C.......................... 5,854 30,299
Irish Permanent P.L.C................................. 5,235 67,054
Jefferson Smurfit Group P.L.C......................... 20,000 52,281
Kerry Group P.L.C..................................... 3,000 37,171
*Ryanair Holdings P.L.C............................... 3,398 30,200
Waterford Wedgwood P.L.C.............................. 18,396 19,235
------------
TOTAL -- IRELAND
(Cost $765,194)...................................... 657,996
------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Austrian Airlines/Oesterreichische Luftverkehrs....... 754 19,316
Bank Austria AG....................................... 3,488 179,072
Flughafen Wien AG..................................... 579 24,658
Mayr Melnhof Karton AG................................ 472 22,179
Oesterreichische Elektrizitaetswirtschafts AG......... 594 77,947
Omv AG................................................ 1,007 84,234
Va Technologie AG..................................... 435 36,615
Wienerberger Baustoft Industrie AG.................... 251 44,091
------------
TOTAL -- AUSTRIA
(Cost $558,382)...................................... 488,112
------------
PORTUGAL -- (0.2%)
COMMON STOCKS -- (0.2%)
BCP (Banco Comercial Portugues SA).................... 4,800 130,994
Banco Espirito Santo e Comercial de Lisboa............ 2,800 68,801
Cimpor Cimentos de Portugal SA........................ 1,800 48,069
Portugal Telecom SA................................... 3,400 154,290
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 900 32,127
------------
TOTAL -- PORTUGAL
(Cost $432,574)...................................... 434,281
------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
*Brierley Investments, Ltd............................ 41,700 12,073
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Carter Holt Harvey, Ltd............................... 50,100 $ 57,482
Fletcher Challenge, Ltd............................... 9,700 23,351
Lion Nathan, Ltd...................................... 8,500 20,416
Telecom Corporation of New Zealand, Ltd............... 50,600 218,657
------------
TOTAL COMMON STOCKS
(Cost $357,321)...................................... 331,979
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $43).......................................... 45
------------
TOTAL -- NEW ZEALAND
(Cost $357,364)...................................... 332,024
------------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
Kuala Lumpur Kepong Berhad............................ 14,000 16,358
Malayan Banking Berhad................................ 24,000 53,558
Malaysian International Shipping Corp. (Foreign)...... 20,000 28,000
Nestle (Malaysia) Berhad.............................. 4,000 14,063
Resorts World Berhad.................................. 21,000 32,716
Rothmans of Pall Mall Malaysia Berhad................. 5,000 29,474
Sime Darby Berhad (Malaysia).......................... 46,000 48,227
------------
TOTAL -- MALAYSIA
(Cost $182,692)...................................... 222,396
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.3%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $5,692,500) to be
repurchased at $5,606,864.
(Cost $5,604,000)................................... $ 5,604 5,604,000
------------
TOTAL INVESTMENTS -- (100.0%)(Cost $130,792,660)++..... $167,369,472
------------
------------
- --------------------
+ 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.
46
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (20.3%)
COMMON STOCKS -- (15.7%)
Aggregate Industries P.L.C............................ 16,000 $ 20,126
Antofagasta Holdings P.L.C............................ 2,000 8,685
Arcadia Group P.L.C................................... 2,000 7,740
Arjo Wiggins Appleton P.L.C........................... 12,000 34,228
*Associated British Foods P.L.C....................... 10,920 83,073
Associated British Ports Holdings P.L.C............... 4,700 20,786
BAA P.L.C............................................. 15,000 161,162
BPB P.L.C............................................. 6,800 32,144
Barratt Developments P.L.C............................ 2,000 10,304
Beazer Group P.L.C.................................... 3,000 9,302
Berkeley Group P.L.C.................................. 1,670 18,331
Britannic P.L.C....................................... 2,500 39,539
British Airways P.L.C................................. 15,000 107,682
British Land Co. P.L.C................................ 6,800 59,930
British Steel P.L.C................................... 26,300 55,840
British Vita P.L.C.................................... 2,300 9,122
Brixton Estate P.L.C.................................. 2,500 9,534
Burford Holdings P.L.C................................ 4,000 6,954
Capital Shopping Centres P.L.C........................ 5,000 30,967
Chelsfield P.L.C...................................... 2,000 9,999
Cookson Group P.L.C................................... 9,000 26,103
Glynwed International P.L.C........................... 2,000 6,233
Hammerson P.L.C....................................... 4,100 29,992
Inchcape P.L.C........................................ 7,000 16,264
Lasmo P.L.C........................................... 13,900 29,401
Lex Service P.L.C..................................... 1,200 10,797
Lonmin P.L.C.......................................... 1,300 10,437
Marks & Spencer P.L.C................................. 41,300 260,747
Millennium and Copthorne Hotels P.L.C................. 2,000 18,332
Mirror Group P.L.C.................................... 6,000 22,161
Morrison (Wm.) Supermarkets P.L.C..................... 10,000 26,600
Norwich Union P.L.C................................... 27,000 191,448
Peninsular & Oriental Steam Navigation Co............. 9,000 131,526
Pilkington P.L.C...................................... 15,700 18,365
Pillar Property Investments P.L.C..................... 2,000 10,608
RMC Group P.L.C....................................... 3,000 40,044
Rank Group P.L.C...................................... 10,000 35,814
Rexam P.L.C........................................... 5,000 19,710
Rio Tinto P.L.C....................................... 15,200 222,863
*Royal & Sun Alliance Insurance Group P.L.C........... 20,400 166,878
Safeway P.L.C......................................... 14,700 60,832
Sainsbury (J.) P.L.C.................................. 27,600 167,840
Scottish & Newcastle P.L.C............................ 8,900 103,324
Slough Estates P.L.C.................................. 5,900 34,839
Storehouse P.L.C...................................... 4,000 7,563
Tarmac P.L.C.......................................... 10,300 19,641
Tate & Lyle P.L.C..................................... 6,000 39,419
Taylor Woodrow P.L.C.................................. 5,800 16,636
Thistle Hotels P.L.C.................................. 5,000 14,422
Unigate P.L.C......................................... 3,200 21,793
United Assurance Group P.L.C.......................... 4,000 26,280
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
United Biscuits Holdings P.L.C........................ 6,200 $ 19,696
Whitbread P.L.C....................................... 7,000 124,619
Wilson Bowden P.L.C................................... 1,000 11,618
Wimpey (George) P.L.C................................. 3,800 9,682
------------
TOTAL COMMON STOCKS
(Cost $2,840,878).................................... 2,707,975
------------
INVESTMENT IN CURRENCY -- (4.6%)
*British Pound Sterling
(Cost $793,417)..................................... 795,562
------------
RIGHTS/WARRANTS -- (0.0%)
*Millenium and Copthorne Hotels P.L.C. Rights 06/06/99
(Cost $0)........................................... 650 1,021
------------
TOTAL -- UNITED KINGDOM
(Cost $3,634,295).................................... 3,504,558
------------
JAPAN -- (19.7%)
COMMON STOCKS -- (15.5%)
Aisin Seiki Co., Ltd.................................. 2,000 21,851
Amada Co., Ltd........................................ 2,000 12,415
Ashikaga Bank, Ltd.................................... 5,000 9,642
Bank of Iwate, Ltd.................................... 200 8,211
Bank of Nagoya, Ltd................................... 2,000 9,965
Bank of Yokohama, Ltd................................. 10,000 26,486
Best Denki Co., Ltd................................... 1,000 7,035
Canon Sales Co., Inc.................................. 1,000 15,593
Casio Computer Co., Ltd............................... 2,000 13,690
Chiyoda Fire and Marine Insurance Co., Ltd............ 3,000 10,776
Chugoku Bank, Ltd..................................... 2,000 25,691
Cosmo Oil Co., Ltd.................................... 4,000 7,184
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 3,000 10,255
Daicel Chemical Industries, Ltd....................... 3,000 9,659
Daishi Bank, Ltd...................................... 3,000 10,180
Daito Trust Construction Co., Ltd..................... 1,000 11,033
Daiwa Bank, Ltd....................................... 16,000 32,180
Daiwa House Industry Co., Ltd......................... 5,000 53,965
Daiwa Securities Co., Ltd............................. 13,000 68,648
Denki Kagaku Kogyo KK................................. 4,000 7,085
Dowa Fire & Marine Insurance Co., Ltd................. 2,000 7,135
Fukuoka City Bank, Ltd................................ 2,000 8,244
Fukuyama Transporting Co., Ltd........................ 2,000 10,164
General Sekiyu KK..................................... 3,000 9,560
Higo Bank, Ltd........................................ 2,000 8,525
Hitachi Cable, Ltd.................................... 2,000 9,469
Hitachi Metals, Ltd................................... 2,000 9,601
Hitachi, Ltd.......................................... 34,000 250,174
Hokkoku Bank, Ltd..................................... 2,000 7,780
Hokuriku Bank, Ltd.................................... 5,000 9,518
House Foods Corp...................................... 1,000 14,915
Hyakugo Bank, Ltd. (105th Bank)....................... 2,000 8,194
Hyakujishi Bank, Ltd.................................. 3,000 16,189
Inax Corp............................................. 2,000 13,607
Itochu Corp........................................... 12,000 27,313
</TABLE>
47
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Itoham Foods, Inc..................................... 2,000 $ 8,409
Izumiya Co., Ltd...................................... 1,000 8,856
Juroku Bank, Ltd...................................... 3,000 11,099
Kajima Corp........................................... 9,000 27,115
Kamigumi Co., Ltd..................................... 2,000 9,469
Kandenko Co., Ltd..................................... 2,000 12,515
Kinden Corp........................................... 2,000 22,347
Kobe Steel, Ltd....................................... 28,000 23,870
Kokuyo Co., Ltd....................................... 1,000 14,733
Konica Corp........................................... 2,000 7,813
Kyushu Matsushita Electric Co., Ltd................... 1,000 9,601
Makita Corp........................................... 1,000 10,892
Marubeni Corp......................................... 13,000 27,007
Maruichi Steel Tube, Ltd.............................. 1,000 13,797
Matsushita Electric Industrial Co., Ltd............... 21,000 380,649
Mitsubishi Gas Chemical Co., Inc...................... 3,000 8,442
Mitsubishi Heavy Industries, Ltd...................... 34,000 132,826
Mitsubishi Materials Corp............................. 11,000 21,851
Mitsui Trust & Banking Co., Ltd....................... 17,000 25,749
Mycal Corp............................................ 2,000 11,107
NKK Corp.............................................. 34,000 26,453
NTN Corp.............................................. 3,000 9,187
Nanto Bank, Ltd....................................... 2,000 9,932
National House Industrial Co., Ltd.................... 1,000 8,111
*New Japan Securities Co., Ltd........................ 4,000 7,151
Nippon Mitsubishi Oil Company......................... 9,000 36,277
Nippon Sheet Glass Co., Ltd........................... 4,000 13,177
Nippon Shinpan Co., Ltd............................... 2,000 6,357
Nippon Shokubai Co., Ltd.............................. 2,000 11,803
Nishimatsu Construction Co., Ltd...................... 2,000 11,025
Nishi-Nippon Bank, Ltd................................ 3,000 11,496
*Nissan Motor Co., Ltd................................ 25,000 110,081
Nisshin Steel Co., Ltd................................ 7,000 9,849
Nisshinbo Industries, Inc............................. 2,000 7,946
Nissho Iwai Corp...................................... 7,000 6,373
Okumura Corp.......................................... 2,000 7,896
Omron Corp............................................ 2,000 27,313
Pioneer Electronic.................................... 1,000 16,595
Q.P. Corp............................................. 1,000 7,275
Sakura Bank, Ltd...................................... 38,000 128,952
Sanwa Shutter Corp.................................... 2,000 9,303
Sanyo Electric........................................ 19,000 68,408
Sekisui Chemical Co., Ltd............................. 5,000 30,955
Sekisui House, Ltd.................................... 7,000 76,014
Shiga Bank, Ltd....................................... 2,000 9,055
Shimizu Corp.......................................... 8,000 28,273
Showa Shell Sekiyu KK................................. 3,000 16,909
Sumitomo Forestry Co., Ltd............................ 1,000 7,822
Sumitomo Metal Industries, Ltd. Osaka................. 33,000 43,428
Sumitomo Metal Mining Co., Ltd........................ 5,000 20,444
Sumitomo Osaka Cement Co., Ltd........................ 4,000 7,317
Sumitomo Realty & Development Co., Ltd................ 3,000 11,174
Sumitomo Trust & Banking Co., Ltd..................... 14,000 57,822
Taisei Corp........................................... 6,000 13,557
Takara Standard Co., Ltd.............................. 1,000 6,406
Tanabe Seiyaku Co., Ltd............................... 2,000 11,869
Toda Corp............................................. 2,000 9,932
Toho Bank, Ltd........................................ 2,000 6,804
Tokyo Steel Manufacturing Co., Ltd.................... 1,400 6,477
Tokyo Style Co., Ltd.................................. 1,000 11,008
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Toyo Seikan Kaisha, Ltd............................... 2,000 $ 37,990
Toyo Suisan Kaisha, Ltd............................... 1,000 8,757
Toyo Trust & Banking Co., Ltd......................... 8,000 23,175
Toyoda Machine Works, Ltd............................. 1,000 6,605
Victor Co. of Japan, Ltd.............................. 2,000 13,938
Wacoal Corp........................................... 1,000 10,776
Yamaguchi Bank........................................ 2,000 18,490
Yamaha Corp........................................... 2,000 20,609
*Yasuda Trust & Banking Co., Ltd...................... 13,000 15,709
Yokogawa Electric Corp................................ 2,000 9,899
Yokohama Rubber Co., Ltd.............................. 3,000 7,946
Zexel Corp............................................ 3,000 8,070
------------
TOTAL COMMON STOCKS
(Cost $2,791,587).................................... 2,678,269
------------
INVESTMENT IN CURRENCY -- (4.2%)
*Japanese Yen
(Cost $722,059)..................................... 730,904
------------
TOTAL -- JAPAN
(Cost $3,513,646).................................... 3,409,173
------------
EMU -- (12.0%)
INVESTMENT IN CURRENCY -- (12.0%)
*Euro Currency (Cost $2,090,228)...................... 2,072,707
------------
FRANCE -- (6.4%)
COMMON STOCKS -- (6.4%)
AGF (Assurances Generales de France SA)............... 1,800 89,475
Banque Nationale de Paris............................. 2,100 177,419
*Christian Dior SA.................................... 400 56,839
*Eridania Beghin-Say SA............................... 200 29,131
Esso SA............................................... 100 8,783
Euro Disney SCA....................................... 5,800 9,036
*GTM Entrepose........................................ 100 10,038
Generale des Establissements Michelin SA Series B..... 1,300 57,471
*Imetal............................................... 100 12,756
*LaFarge SA........................................... 1,000 90,341
*Pechiney SA Series A................................. 800 31,084
Pernod-Ricard......................................... 400 26,768
Peugeot SA............................................ 500 74,238
Rallye SA............................................. 200 11,627
SEB SA................................................ 100 8,025
*Saint-Gobain......................................... 900 141,628
Societe Generale Paris................................ 1,000 182,145
*Thomson-CSF.......................................... 1,400 45,174
Union Assurances Federales SA......................... 100 12,024
Usinor................................................ 2,400 32,774
------------
TOTAL -- FRANCE
(Cost $1,139,999).................................... 1,106,776
------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (4.9%)
Ascom Holding AG, Bern................................ 10 19,146
Baloise-Holding, Basel................................ 110 78,988
Ciba Spezialitaetenchemie Holding AG.................. 1,300 96,634
Financiere Richemont AG............................... 95 153,643
Helvetia Patria Holding, St. Gallen................... 30 23,334
Jelmoli Holding AG, Zuerich........................... 10 9,320
Oerlikon-Buehrle Holding AG, Zuerich.................. 200 28,848
Roche Holding AG, Basel............................... 12 208,332
</TABLE>
48
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sairgroup, Zuerich.................................... 190 $ 42,900
Saurer AG, Arbon...................................... 20 10,108
Schweizerische Lebensvericherungs und Rentenanstalt... 220 137,326
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 20 12,432
Sulzer AG, Winterthur................................. 60 35,168
------------
TOTAL COMMON STOCKS
(Cost $897,532)...................................... 856,179
------------
INVESTMENT IN CURRENCY -- (1.2%)
*Swiss Francs
(Cost $205,799)..................................... 205,795
------------
TOTAL -- SWITZERLAND
(Cost $1,103,331).................................... 1,061,974
------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
AGIV AG fuer Industrie & Verkehrswesen................ 400 8,490
BASF AG............................................... 2,800 107,008
BHF Bank AG........................................... 800 26,015
*BHW Holding AG, Berlin............................... 1,600 24,275
Bankgesellschaft Berlin AG............................ 1,700 24,885
Bayer AG.............................................. 3,200 124,804
Bilfinger & Berger Bau AG, Mannheim................... 300 7,466
Commerzbank AG........................................ 5,550 154,944
Continental AG........................................ 500 11,606
Deutsche Bank AG...................................... 5,900 307,653
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 400 34,714
Dresdner Bank AG, Frankfurt........................... 2,900 104,310
Fresenius Medical Care AG............................. 600 30,114
Heidelberger Zement AG, Heidelberg.................... 200 15,726
Hochtief AG........................................... 650 28,545
MAN AG................................................ 450 13,175
Merck KGAA............................................ 400 13,781
Vereins & Westbank AG................................. 600 16,562
------------
TOTAL -- GERMANY
(Cost $1,142,675).................................... 1,054,073
------------
NETHERLANDS -- (3.9%)
COMMON STOCKS -- (3.9%)
ABN Amro Holding NV................................... 6,300 139,981
Asr Verzekeringsgroep NV.............................. 100 6,906
Buhrmann NV........................................... 400 6,692
DSM NV................................................ 100 9,337
Ing Groep NV.......................................... 4,600 246,503
KLM (Koninklijke Luchtvaart Mij NV)................... 300 8,720
Koninklijke KPN NV.................................... 2,300 111,347
Koninklijke Philips Electronics....................... 1,600 137,602
Vendex NV (non-food).................................. 302 8,842
------------
TOTAL COMMON STOCKS
(Cost $707,239)...................................... 675,930
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Ing Groep NV Rights 06/07/99......................... 4,200 $ 0
*Koninklijke KPN NV Rights Open Pay Date.............. 1,000 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $707,239)...................................... 675,930
------------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Banca di Roma......................................... 57,500 84,172
*Banca Toscana........................................ 2,500 10,979
*Campart SpA.......................................... 30,000 20,358
*Cartiere Burgo SpA................................... 1,000 6,431
Fiat SpA.............................................. 44,000 142,161
INA (Istituto Nazionale delle Assicurazioni SpA)...... 44,000 101,675
Ifil Finanziaria Partecipazioni SpA, Torino........... 4,000 13,635
Italcementi Fabbriche Riunite Cemento SpA, Bergamo.... 2,000 22,794
Magneti Marelli SpA................................... 5,000 6,666
Montedison SpA........................................ 30,000 26,694
*Montedison SpA....................................... 25,000 22,245
RAS SpA (Riunione Adriatica di Sicurta)............... 5,000 48,673
Sirti SpA............................................. 2,500 12,469
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 500 6,744
Unione Immobiliare SpA................................ 56,000 26,466
------------
TOTAL -- ITALY
(Cost $590,029)...................................... 552,162
------------
SWEDEN -- (2.4%)
COMMON STOCKS -- (1.9%)
*Assidomaen AB........................................ 1,500 30,181
Gambro AB Series A.................................... 3,100 31,096
*Gambro AB Series B................................... 800 8,072
Mo Och Domsjoe AB Series B............................ 800 19,036
NCC AB Series B....................................... 900 9,395
SSAB Swedish Steel Series A........................... 700 7,920
Svedala Industri...................................... 600 9,763
Svenska Cellulosa AB Series B......................... 2,400 55,988
Svenska Kullagerfabriken AB Series A.................. 600 9,028
Svenska Kullagerfabriken AB Series B.................. 500 7,844
Trelleborg AB Series B................................ 900 8,031
Volvo AB Series A..................................... 1,700 42,930
Volvo AB Series B..................................... 3,700 94,082
------------
TOTAL COMMON STOCKS
(Cost $352,581)...................................... 333,366
------------
INVESTMENT IN CURRENCY -- (0.5%)
*Swedish Krona
(Cost $82,470)...................................... 82,601
------------
TOTAL -- SWEDEN
(Cost $435,051)...................................... 415,967
------------
</TABLE>
49
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
AUSTRALIA -- (2.4%)
COMMON STOCKS -- (1.9%)
Boral, Ltd............................................ 6,850 $ 11,197
CSR, Ltd.............................................. 9,942 26,749
Colonial, Ltd......................................... 7,700 27,538
Goodman Fielder, Ltd.................................. 7,723 7,574
MIM Holdings.......................................... 11,520 6,252
Mayne Nickless, Ltd................................... 2,131 7,454
Normandy Mining, Ltd.................................. 16,466 11,950
North, Ltd............................................ 4,641 8,436
Pacific Dunlop, Ltd................................... 6,256 11,179
Pasminco, Ltd......................................... 6,859 6,727
Pioneer International, Ltd............................ 5,046 11,745
Quantas Airways, Ltd.................................. 7,770 22,861
Rio Tinto, Ltd........................................ 5,736 80,632
Santos, Ltd........................................... 4,115 12,780
St. George Bank, Ltd.................................. 3,048 21,238
Suncorp-Metway Limited................................ 1,736 10,079
WMC, Ltd.............................................. 9,713 36,071
------------
TOTAL COMMON STOCKS
(Cost $340,043)...................................... 320,462
------------
INVESTMENT IN CURRENCY -- (0.5%)
*Australian Dollar
(Cost $93,420)...................................... 93,783
------------
TOTAL -- AUSTRALIA
(Cost $433,463)...................................... 414,245
------------
SPAIN -- (2.2%)
COMMON STOCKS -- (2.2%)
Aceralia Corporacion Siderurgica SA................... 1,600 18,704
Acerinox SA........................................... 700 20,128
Aumar (Autopistas del Mare Nostrum SA)................ 800 17,976
Autopistas Concesionaria Espanola SA.................. 3,300 42,200
Azucarera Ebro Agricolas SA........................... 400 6,265
Banco Pastor SA, La Coruna............................ 200 10,412
Compania Espanola de Petroleos SA, Madrid............. 1,100 34,678
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 800 16,621
*ENDESA SA, Madrid.................................... 8,400 179,263
Hidroelectrica del Cantabrico SA, Oviedo.............. 500 21,644
Vallehermoso SA....................................... 800 7,838
------------
TOTAL -- SPAIN
(Cost $390,805)...................................... 375,729
------------
HONG KONG -- (1.7%)
COMMON STOCKS -- (1.4%)
Amoy Properties, Ltd.................................. 25,500 21,046
Hang Lung Development Co., Ltd........................ 12,000 13,927
Hong Kong & Shanghai Hotels, Ltd...................... 10,000 7,351
Hysan Development Co., Ltd............................ 5,000 7,383
Kerry Properties, Ltd................................. 9,000 9,285
New World Development Co., Ltd........................ 17,000 41,544
Shangri-la Asia, Ltd.................................. 16,000 17,125
Sino Land Co., Ltd.................................... 20,000 10,768
Swire Pacific, Ltd. Series A.......................... 8,500 40,557
Tsim Sha Tsui Properties, Ltd......................... 12,000 7,815
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Wharf Holdings, Ltd................................... 21,000 $ 53,485
Wheelock and Co., Ltd................................. 13,000 14,753
------------
TOTAL COMMON STOCKS
(Cost $261,870)...................................... 245,039
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Hong Kong Dollars
(Cost $56,874)...................................... 56,873
------------
TOTAL -- HONG KONG
(Cost $318,744)...................................... 301,912
------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Cimenteries CBR Cementsedrijoen....................... 500 45,641
Solvay SA............................................. 1,800 120,360
*Tessenderlo Chemie................................... 500 21,032
Union Miniere SA...................................... 500 18,377
------------
TOTAL -- BELGIUM
(Cost $214,067)...................................... 205,410
------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Kemira Oyj............................................ 5,900 36,336
Kesko Oyj............................................. 2,700 35,854
Metsa-Serla Oyj Series B.............................. 6,300 48,417
Outokumpu Oyj Series A................................ 5,700 58,885
Rautaruukki Oy Series K............................... 2,100 12,955
Valmet Corp. -- (FIM)................................. 1,200 12,296
------------
TOTAL -- FINLAND
(Cost $224,375)...................................... 204,743
------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.6%)
Danisco A.S........................................... 430 20,696
Den Danske Bank A.S................................... 390 41,933
Fls Industries........................................ 290 6,938
Kapital Holdings A.S.................................. 433 16,209
Unidanmark A.S. Series A.............................. 260 18,295
------------
TOTAL COMMON STOCKS
(Cost $104,273)...................................... 104,071
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Danish Krone
(Cost $46,845)...................................... 46,827
------------
TOTAL -- DENMARK
(Cost $151,118)...................................... 150,898
------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.6%)
Fraser & Neave, Ltd................................... 6,000 23,656
Keppel Corp., Ltd..................................... 9,000 25,673
Keppel Land, Ltd...................................... 13,000 22,085
Singapore Land, Ltd................................... 4,000 10,993
United Industrial Corp., Ltd.......................... 16,000 9,926
------------
TOTAL COMMON STOCKS
(Cost $95,336)....................................... 92,333
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars
(Cost $20,398)...................................... 20,418
------------
TOTAL -- SINGAPORE
(Cost $115,734)...................................... 112,751
------------
</TABLE>
50
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
IRELAND -- (0.3%)
COMMON STOCKS -- (0.3%)
Independent Newspapers P.L.C.......................... 3,449 $ 17,851
Jefferson Smurfit Group P.L.C......................... 14,693 38,408
------------
TOTAL -- IRELAND
(Cost $55,775)....................................... 56,259
------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Espirito Santo e Comercial de Lisboa............ 500 12,286
Cimpor Cimentos de Portugal SA........................ 300 8,011
Portugal Telecom SA................................... 700 31,766
------------
TOTAL -- PORTUGAL
(Cost $50,548)....................................... 52,063
------------
NORWAY -- (0.2%)
COMMON STOCKS -- (0.2%)
Bergesen Dy ASA Series A.............................. 500 7,481
Christiania Bank Og Kreditkasse....................... 3,700 14,965
Den Norske Bank ASA Series A.......................... 4,000 13,846
Norske Skogindustrier ASA Series A.................... 200 6,973
------------
TOTAL COMMON STOCKS
(Cost $45,077)....................................... 43,265
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $186)......................................... 183
------------
TOTAL -- NORWAY
(Cost $45,263)....................................... 43,448
------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bank Austria AG....................................... 610 31,317
Voest-Alpine Stahl AG................................. 227 6,359
------------
TOTAL -- AUSTRIA
(Cost $41,132)....................................... 37,676
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd............................... 9,000 $ 10,325
Lion Nathan, Ltd...................................... 2,800 6,725
------------
TOTAL -- NEW ZEALAND
(Cost $20,185)....................................... 17,050
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (8.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $1,500,000) to be
repurchased at $1,474,753
(Cost $1,474,000)................................... $ 1,474 1,474,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,891,702)++................................. $ 17,299,504
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
51
<PAGE>
SCHEDULES OF INVESTMENTS
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company (24.4%)
(Cost $92,784,045)....................................................................... $ 53,377,657
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company
(20.3%) (Cost $63,633,618)............................................................... 44,581,979
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company
(19.4%) (Cost $40,505,706)............................................................... 42,457,918
Investment in The Continental Small Company Series of The DFA Investment Trust Company
(35.7%) (Cost $71,801,851)............................................................... 78,135,737
Temporary Cash Investments (0.2%)
Repurchase Agreement, PNC Capital Markets Inc.
4.60%, 06/01/99 (Collateralized by U.S. Treasury Note 6.75%, 04/30/00 valued at
$635,000) to be repurchased at $621,317 (Cost $621,000)................................ 621,000
----------------
Total Investments (100%) (Cost $269,346,220)++......................................... $ 219,174,291
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE JAPANESE SMALL COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company........ $ 134,961,919
----------------
Total Investments (100%) (Cost $276,999,378) ++........................................ $ 134,961,919
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $280,089,321.
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company..... $ 127,474,489
----------------
Total Investments (100%) (Cost $177,831,731) ++........................................ $ 127,474,489
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
52
<PAGE>
SCHEDULES OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
--------------
<S> <C> <C>
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company.... $ 89,342,339
--------------
Total Investments (100%) (Cost $78,039,241) ++........................................... $ 89,342,339
--------------
--------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Continental Small Company Series of The DFA Investment Trust Company..... $ 173,995,110
----------------
Total Investments (100%) (Cost $138,110,915) ++........................................ $ 173,995,110
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
53
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (26.0%)
COMMON STOCKS -- (26.0%)
Achilles Corp......................................... 75,000 $ 90,631
Aica Kogyo Co., Ltd................................... 75,000 314,724
Aichi Corp............................................ 63,200 163,205
Aichi Machine Industry Co., Ltd....................... 86,000 182,933
Aichi Steel Works, Ltd................................ 261,000 591,905
Aida Engineering, Ltd................................. 84,000 268,366
Akai Electric Co., Ltd................................ 95,000 96,714
Amada Metrecs Co., Ltd................................ 71,000 391,963
Amada Sonoike Co., Ltd................................ 133,000 384,183
*Amada Wasino Co., Ltd................................ 150,000 196,160
Ando Corp............................................. 177,000 347,202
#Aoki Corp............................................ 361,000 233,057
Aoki International Co., Ltd........................... 63,000 284,704
Arai-Gumi, Ltd........................................ 19,600 42,827
Araya Industrial Co., Ltd............................. 194,000 272,968
Asahi Kogyosha Co., Ltd............................... 114,000 345,340
Asahi Tec Corp........................................ 45,000 143,768
Asanuma Corp.......................................... 325,000 591,789
Ashimori Industry Co., Ltd............................ 44,000 91,045
#Asics Corp........................................... 384,000 422,711
Atsugi Nylon Industrial Co., Ltd...................... 352,000 407,879
Azel Corp., Tokyo..................................... 152,000 475,550
Bandai Co., Ltd....................................... 31,000 357,416
Bank of Okinawa, Ltd.................................. 36,700 838,371
*#Bank of Osaka, Ltd.................................. 223,000 367,298
#Bank of the Ryukyus, Ltd............................. 48,490 697,530
Brother Industries, Ltd............................... 349,000 1,028,340
Bunka Shutter Co., Ltd................................ 129,000 347,004
Cabin Co., Ltd........................................ 164,000 260,619
Calpis Co., Ltd....................................... 71,000 340,838
Central Finance Co., Ltd.............................. 387,000 768,747
Cesar Co.............................................. 41,000 106,895
#Chiba Kogyo Bank, Ltd................................ 48,500 710,520
Chisan Tokan Co., Ltd................................. 165,000 199,388
#Chiyoda Corp......................................... 191,000 366,760
Chuetsu Pulp and Paper Co., Ltd....................... 215,000 277,603
Chugoku Marine Paints, Ltd............................ 60,000 151,465
Chuo Spring Co., Ltd., Nagoya......................... 222,000 681,692
#Chuo Trust and Banking Co., Ltd...................... 299,000 1,809,046
Cleanup Corp.......................................... 68,000 401,291
D'urban, Inc.......................................... 39,000 65,850
Dai-Dan Co., Ltd...................................... 42,000 285,052
Daido Hoxan, Inc...................................... 124,000 369,475
Daido Steel Co., Ltd.................................. 562,000 897,749
Daido Steel Sheet Corp................................ 45,000 97,583
Daidoh, Ltd........................................... 91,000 233,488
*#Daiei OMC, Inc...................................... 264,000 378,017
Daiho Corp............................................ 83,000 169,682
Daiichi Cement Co., Ltd............................... 77,000 114,716
Dai-Ichi Hotel, Ltd., Tokyo........................... 121,000 155,231
Dai-Ichi Katei Denki Co., Ltd......................... 225,000 147,120
Dai-Ichi Kogyo Seiyaku Co., Ltd....................... 19,000 45,605
#Daiken Corp.......................................... 65,000 259,311
#Daikyo, Inc.......................................... 176,000 508,393
Daio Paper Corp....................................... 128,750 500,848
<CAPTION>
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Daisue Construction Co., Ltd.......................... 25,000 $ 22,554
#Daiwa Danchi Co., Ltd................................ 170,000 436,186
Daiwabo Co., Ltd...................................... 215,000 263,367
Danto Corp............................................ 10,000 49,081
Deodeo Corp........................................... 57,600 572,091
Descente, Ltd......................................... 202,000 421,321
Dijet Industrial Co., Ltd............................. 10,000 13,243
Eagle Industry Co., Ltd............................... 35,000 106,315
Exedy Corp............................................ 16,000 109,253
First Baking Co., Ltd................................. 70,000 191,773
#Fuji Denki Reiki Co., Ltd............................ 67,000 299,454
Fuji Kiko Co., Ltd.................................... 45,000 70,022
Fujii & Co., Ltd...................................... 9,000 10,056
Fujirebio, Inc........................................ 91,000 444,380
#Fujita Corp.......................................... 491,000 357,623
Fukuda Corp........................................... 80,000 274,789
Fukushima Bank, Ltd................................... 32,000 72,571
Furukawa Co., Ltd..................................... 87,000 121,693
Gakken Co., Ltd....................................... 127,000 182,900
Gastec Service, Inc................................... 98,000 429,896
Godo Steel, Ltd....................................... 206,000 223,357
Goldwin, Inc.......................................... 54,000 62,125
Graphtec Corp......................................... 99,000 162,241
Gun-Ei Chemical Industry Co., Ltd..................... 306,000 574,921
Gunze Sangyo, Inc., Tokyo............................. 222,000 295,828
Gunze, Ltd............................................ 315,000 758,691
*Hanshin Sogo Bank, Ltd............................... 198,000 375,286
Harima Chemicals, Inc................................. 83,000 322,877
#Hazama Corp.......................................... 305,000 244,868
Heiwado Co., Ltd...................................... 73,000 468,259
#Hibiya Engineering, Ltd.............................. 53,000 276,362
Hisaka Works, Ltd..................................... 106,000 438,669
Hitachi Koki Co., Ltd................................. 153,000 504,006
Hitachi Medical Corp.................................. 39,000 437,386
Hitachi Plant Engineering & Construction Co., Ltd..... 48,000 132,693
Hochiki Corp.......................................... 17,000 57,548
Hodogaya Chemical Co., Ltd............................ 32,000 55,620
Hokkai Can Co., Ltd., Tokyo........................... 125,000 341,417
#Hokkaido Bank, Ltd................................... 477,000 746,176
Hokkaido Gas Co., Ltd................................. 8,000 14,633
Hokko Chemical Industry Co., Ltd...................... 12,000 29,200
Hokuriku Electrical Construction Co., Ltd............. 81,000 241,351
Hokushin Co., Ltd..................................... 32,600 83,375
#Honen Corp........................................... 67,000 111,463
Ichikawa Co., Ltd..................................... 117,000 203,360
Ichiken Co., Ltd...................................... 45,000 74,491
Idec Izumi Corp....................................... 130,000 720,907
Ikegami Tsushinki Co., Ltd............................ 129,000 352,342
Inaba Denki Sangyo Co., Ltd........................... 9,000 95,348
Inabata and Co., Ltd., Osaka.......................... 178,000 586,360
Intec, Inc............................................ 32,000 327,098
Inui Steamship Co., Ltd............................... 32,000 31,783
Ishizuka Glass Co., Ltd............................... 119,000 229,490
#Itochu Fuel Corp..................................... 140,000 442,642
Itoki Crebio Corp..................................... 63,000 182,503
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Iwasaki Electric Co., Ltd............................. 60,000 $ 108,260
Iwatsu Electric Co., Ltd.............................. 76,000 102,533
Izumi Co., Ltd........................................ 82,000 548,386
#Izumiya Co., Ltd..................................... 151,000 1,337,278
#JGC Corp............................................. 226,000 576,130
JMS Co., Ltd.......................................... 135,000 469,293
Japan Oil Transportation Co., Ltd..................... 41,000 76,693
Japan Paperboard Industries Co., Ltd., Tokyo.......... 35,000 75,608
Japan Steel Works, Ltd................................ 237,000 286,393
Japan Transcity Corp.................................. 79,000 192,890
Japan Vilene Co., Ltd................................. 202,000 409,618
Joban Kosan Co., Ltd.................................. 87,000 154,817
#Joshin Denki Co., Ltd................................ 71,000 228,009
#Jujiya Co., Ltd...................................... 265,000 296,102
Juken Sangyo Co., Ltd................................. 38,000 127,694
Kaga Electronics Co., Ltd............................. 7,000 53,013
Kahma Co., Ltd........................................ 41,000 240,937
#Kamagai Gumi Co., Ltd................................ 878,000 922,910
Kamei Corp............................................ 65,000 349,694
Kanaden Corp.......................................... 11,000 52,351
Kanamoto Co., Ltd..................................... 10,000 60,834
#Kanematsu Electronics, Ltd........................... 87,000 483,173
Kansei Corp........................................... 89,000 241,616
#Kanto Auto Works, Ltd., Yokosuka..................... 220,000 1,230,922
#Kanto Bank, Ltd...................................... 30,700 369,965
Kanto Natural Gas Development Co., Ltd................ 198,000 1,016,057
Kasei (C.I.) Co., Ltd................................. 12,000 40,126
#Kasumi Co., Ltd...................................... 43,000 177,239
Kato Works Co., Ltd................................... 100,000 182,917
Katsumura Construction Co., Ltd....................... 24,000 38,934
Kawada Industries, Inc................................ 95,000 302,723
Kawashima Textile Manufacturers, Ltd.................. 306,000 435,623
Kawasho Corp.......................................... 425,000 545,233
Kawasho Gecoss Corp................................... 45,300 168,722
Kayaba Industry Co., Ltd.............................. 80,000 156,266
Keihin Co., Ltd....................................... 34,000 57,971
#Keiyo Co., Ltd....................................... 35,000 168,598
Kinki Sharyo Co., Ltd., Nagaokakyo.................... 52,000 83,927
Kinseki, Ltd.......................................... 67,000 338,826
Kinsho-Mataichi Corp.................................. 51,000 55,719
Kioritz Corp.......................................... 237,000 360,934
Kitagawa Iron Works Co., Ltd.......................... 41,000 67,530
Kitano Construction Corp.............................. 98,000 314,716
Kitz Corp............................................. 197,000 335,888
#Kiyo Bank, Ltd....................................... 375,000 987,005
Kokune Corp........................................... 99,000 123,730
Kokusai Kogyo Co., Ltd................................ 71,000 434,862
Komai Tekko, Inc...................................... 63,000 151,738
Komatsu Construction Co., Ltd......................... 16,000 26,486
Komatsu Forklift Co., Ltd............................. 111,000 192,932
Komatsu Zenoah Co..................................... 1,000 2,276
Kosei Securities Co., Ltd............................. 118,000 207,052
Krosaki Corp.......................................... 32,000 49,793
Kumiai Chemical Industry Co., Ltd., Tokyo............. 66,000 152,955
Kurabo Industries, Ltd................................ 337,000 396,077
Kurimoto, Ltd......................................... 171,000 438,752
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 39,000 223,051
<CAPTION>
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Kyosan Electric Manufacturing Co., Ltd................ 21,000 $ 49,015
Kyowa Leather Cloth Co., Ltd.......................... 75,000 281,203
Kyudenko Corp......................................... 107,000 676,610
#Kyushu Bank, Ltd..................................... 314,000 1,000,579
Life Corp............................................. 14,000 74,855
#MR Max Corp.......................................... 39,000 190,126
Maeda Corp............................................ 244,000 846,184
Maeda Road Construction Co., Ltd...................... 103,000 711,844
Magara Construction Co., Ltd.......................... 57,000 189,182
Marudai Food Co., Ltd................................. 170,000 361,612
Maruetsu, Inc......................................... 192,000 646,780
Marusan Securities Co., Ltd........................... 25,000 110,495
Maruzen Showa Unyu Co., Ltd........................... 143,000 284,059
Matsui Construction Co., Ltd.......................... 90,000 245,820
Matsuo Bridge Co., Ltd................................ 90,000 184,738
*Meiko National Securities Co., Ltd. Issue 99......... 62,000 102,632
Meito Sangyo Co., Ltd................................. 90,000 856,646
Mitsuba Corp.......................................... 72,000 269,955
Mitsubishi Cable Industries, Ltd...................... 67,000 108,136
Mitsubishi Paper Mills, Ltd........................... 419,000 690,126
*Mitsubishi Steel Manufacturing Co., Ltd.............. 185,000 179,151
Mitsui Construction Co., Ltd.......................... 199,000 189,414
Mitsui Home Co., Ltd.................................. 23,000 112,506
Mitsui Matsushima Co., Ltd............................ 55,000 147,947
*Mitsui Mining Co., Ltd............................... 129,000 158,020
Mitsui Wood Systems, Inc.............................. 37,000 72,579
Mitsuuroko Co., Ltd................................... 174,000 828,091
Miyazaki Bank, Ltd.................................... 127,260 442,387
Miyuki Keori Co., Ltd................................. 124,000 513,160
Mizuno Corp........................................... 176,000 538,984
Morita Corp........................................... 117,000 291,483
*Morozoff, Ltd., Osaka................................ 119,000 216,686
Mory Industries, Inc.................................. 56,000 107,068
*Mutoh Industries, Ltd................................ 147,000 186,153
Mutow Co., Ltd........................................ 89,000 478,811
Nabco, Ltd............................................ 107,000 187,750
Nagase & Co., Ltd..................................... 196,000 932,792
*Naigai Co., Ltd...................................... 140,000 158,749
Nakamuraya Co., Ltd................................... 8,000 22,645
*#Nakano Corp......................................... 157,000 207,913
#Nakayama Steel Works, Ltd............................ 151,000 289,952
Neturen Co., Ltd., Tokyo.............................. 73,000 206,034
*#New Japan Securities Co., Ltd....................... 558,000 997,583
Nichia Steel Works, Ltd............................... 156,200 814,484
Nichimen Corp......................................... 148,000 182,519
#Nichimo Co., Ltd..................................... 127,000 234,407
*Nichimo Corp......................................... 104,000 127,396
Nichireki Co., Ltd.................................... 32,000 158,384
Nihon Kohden Corp..................................... 82,000 244,330
Nihon Matai Co., Ltd.................................. 119,000 275,782
Nihon Nohyaku Co., Ltd................................ 90,000 233,157
#Nihon Parkerizing Co., Ltd........................... 228,000 632,180
Nihon Tokushu Toryo Co., Ltd.......................... 79,000 163,466
Niigata Chuo Bank, Ltd................................ 321,000 685,466
Nikko Co., Ltd., Akashi............................... 123,000 290,142
Nippon Beet Sugar Manufacturing Co., Ltd.............. 217,000 404,114
Nippon Chemical Industrial Co., Ltd................... 47,000 130,318
#Nippon Chemi-Con Corp................................ 119,000 432,387
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#Nippon Chemiphar Co., Ltd............................ 115,000 $ 352,177
Nippon Columbia Co., Ltd.............................. 35,000 66,628
Nippon Concrete Industries Co., Ltd................... 23,000 30,268
Nippon Conlux Co., Ltd................................ 78,000 432,544
*Nippon Conveyor Co., Ltd............................. 52,000 59,825
Nippon Denko Co., Ltd................................. 137,000 181,427
Nippon Densetsu Kogyo Co., Ltd........................ 86,000 293,263
Nippon Fine Chemical Co., Ltd......................... 9,000 34,266
Nippon Formula Feed Manufacturing Co., Ltd............ 35,000 40,556
Nippon Hodo Co., Ltd.................................. 151,000 796,118
Nippon Hume Pipe Co., Ltd............................. 95,000 185,565
Nippon Koei Co., Ltd., Tokyo.......................... 121,000 313,466
*Nippon Koshuha Steel Co., Ltd........................ 133,000 139,803
#Nippon Light Metal Co., Ltd.......................... 525,000 699,594
*Nippon Metal Industry Co., Ltd....................... 238,000 305,330
*Nippon Mitsubishi Oil Corp........................... 309,750 1,256,228
Nippon Paint Co., Ltd................................. 315,000 649,189
Nippon Piston Ring Co., Ltd........................... 8,000 11,256
Nippon Road Co., Ltd.................................. 125,000 287,618
Nippon Seisen Co., Ltd................................ 35,000 63,731
Nippon Shinpan Co., Ltd............................... 399,000 1,268,134
*Nippon Suisan Kaisha, Ltd............................ 104,000 154,080
Nippon Synthetic Chemical Industry Co., Ltd........... 133,000 247,682
Nippon Valqua Industries, Ltd......................... 153,000 235,540
*#Nippon Yakin Kogyo Co., Ltd......................... 237,000 168,697
Nissan Construction Co., Ltd.......................... 106,000 166,694
*Nissan Diesel Motor Co., Ltd......................... 179,000 266,678
Nissan Shatai Co., Ltd................................ 55,000 115,171
Nisshin Oil Mills, Ltd................................ 189,000 500,579
Nisshinbo Industries, Inc............................. 18,000 71,511
Nissin Electric Co., Ltd.............................. 152,000 303,195
Nittetsu Mining Co., Ltd.............................. 77,000 227,520
Nitto Construction Co., Ltd........................... 10,000 22,347
Nittoc Construction Co., Ltd.......................... 73,000 217,514
Noritz Corp........................................... 70,000 801,275
#Obayashi Road Corp................................... 152,000 490,647
Ohki Corp............................................. 168,000 328,158
*Ohkura Electric Co., Ltd............................. 12,000 20,460
#Okabe Co., Ltd....................................... 98,000 331,750
Okamura Corp.......................................... 43,000 104,635
#Okasan Securities Co., Ltd........................... 284,000 768,647
Oki Electric Cable Co., Ltd........................... 10,000 18,292
Okura Industrial Co., Ltd............................. 180,000 536,335
Ono Sokki Co., Ltd.................................... 9,000 28,903
Optec Dai-Ichi Denko Co., Ltd......................... 52,333 50,678
Oriental Construction Co., Ltd........................ 9,000 36,799
Osaki Electric Co., Ltd............................... 29,000 94,810
P.S.C. Corp........................................... 21,000 83,951
Pacific Industrial Co., Ltd........................... 187,000 544,810
#Parco Co., Ltd....................................... 77,000 379,838
#Pokka Corp........................................... 110,000 637,312
*Prima Meat Packers, Ltd.............................. 93,000 129,316
#Rengo Co., Ltd....................................... 252,000 1,132,561
*Rengo Co., Ltd. Issue 99............................. 61,600 272,260
*Renown Look, Inc..................................... 114,000 141,533
*Renown, Inc.......................................... 357,000 502,317
Rheon Automatic Machinery Co., Ltd.................... 93,000 345,613
Rhythm Watch Co., Ltd................................. 120,000 172,819
Ryoden Trading Co., Ltd............................... 85,000 271,561
S.T. Chemical Co., Ltd................................ 115,000 810,958
<CAPTION>
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SXL Corp.............................................. 108,000 $ 327,164
Sagami Co., Ltd....................................... 141,000 337,270
Sakai Chemical Industry Co., Ltd...................... 202,000 601,887
Sakai Heavy Industries, Ltd........................... 43,000 107,482
Sakurada Co., Ltd..................................... 36,000 37,543
San-Ai Oil Co., Ltd................................... 100,000 269,823
Sankei Building Co., Ltd.............................. 36,000 126,337
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 49,000 62,862
*Sankyo Aluminum Industry Co., Ltd.................... 328,000 393,643
Sankyo Seiko Co., Ltd................................. 75,000 193,677
Sanyo Industries, Ltd., Tokyo......................... 121,000 215,320
Sanyo Special Steel Co., Ltd.......................... 248,000 264,791
Sata Construction Co., Ltd., Gumma.................... 134,000 297,236
Sato Shoji Corp....................................... 49,000 146,002
*Seikitokyu Kogyo Co., Ltd............................ 211,000 218,300
Seiyo Food Systems, Inc............................... 74,000 290,316
Sekisui Jushi Co., Ltd................................ 35,000 153,824
*Sekisui Plastics Co., Ltd............................ 148,000 214,368
Senko Co., Ltd........................................ 150,000 360,040
Senshukai Co., Ltd.................................... 88,000 809,204
Shibuya Kogyo Co., Ltd................................ 61,000 456,919
Shin Nippon Air Technologies Co., Ltd................. 44,620 190,194
Shinagawa Fuel Co., Ltd............................... 86,000 313,193
Shinko Shoji Co., Ltd................................. 40,000 268,167
Shinmaywa Industries, Ltd............................. 154,000 370,915
*#Shokusan Jutaku Sogo Co., Ltd....................... 116,000 204,503
Showa Highpolymer Co., Ltd............................ 26,000 85,648
Showa Sangyo Co., Ltd................................. 146,000 285,185
Sintokogio, Ltd., Nagoya.............................. 113,000 350,728
Soda Nikka Co., Ltd................................... 82,000 154,743
*#Sogo Co., Ltd....................................... 52,000 84,787
*Sokkisha Co., Ltd.................................... 35,000 61,414
Sotetsu Rosen Co., Ltd................................ 2,000 9,038
Star Micronics Co., Ltd............................... 74,000 428,737
*Suminoe Textile Co., Ltd............................. 46,000 65,867
Sumitomo Densetsu Co., Ltd............................ 12,000 53,634
Sumitomo Osaka Cement Co., Ltd........................ 594,000 1,086,525
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 40,000 139,050
Sumitomo Seika Chemicals Co., Ltd..................... 10,000 25,658
Sun Wave Corp......................................... 70,000 188,297
SunTelephone Co., Ltd................................. 78,000 277,603
*#Suzutan Co., Ltd.................................... 156,000 284,059
TYK Corp.............................................. 36,000 80,748
Tabai Espec Corp...................................... 8,000 40,060
Tadano, Ltd........................................... 49,000 133,835
Taihei Dengyo Kaisha, Ltd............................. 58,000 185,780
Taihei Kogyo Co., Ltd................................. 101,000 238,247
Taiheiyo Cement Corp.................................. 508,800 1,360,225
*#Taiheiyo Securities Co., Ltd........................ 392,000 629,432
Taikisha, Ltd......................................... 13,000 97,053
*Taisei Prefab Construction Co., Ltd.................. 265,000 307,068
Taisei Rotec Corp..................................... 220,000 564,476
Taiyo Toyo Sanso Co., Ltd............................. 102,000 185,731
#Takada Kiko Co., Ltd................................. 73,000 356,481
*Taka-Q Co., Ltd...................................... 98,000 166,280
#Takara Co., Ltd...................................... 97,000 462,440
Takiron Co., Ltd...................................... 157,000 431,419
Tamura Corp........................................... 73,000 389,712
Tasaki Shinju Co., Ltd................................ 65,000 258,235
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Tatsuta Electric Wire & Cable Co., Ltd................ 55,000 $ 69,649
*Tayca Corp........................................... 169,000 369,277
#Teikoku Hormone Manufacturing Co., Ltd............... 76,000 710,809
Teikoku Tsushin Kogyo Co., Ltd........................ 63,000 177,810
#Tekken Corp.......................................... 204,000 312,365
Tenma Corp............................................ 32,000 429,068
Tetra Co., Ltd., Tokyo................................ 31,000 61,579
Titan Kogyo KK........................................ 86,000 185,780
Toa Doro Kogyo Co., Ltd............................... 76,000 155,372
*Toa Wool Spinning & Weaving Co., Ltd................. 185,000 292,460
*Tobu Store Co., Ltd.................................. 168,000 375,434
#Tochigi Bank, Ltd.................................... 86,000 437,759
Tochigi Fuji Industrial Co., Ltd...................... 125,000 289,687
#Toda Kogyo Corp...................................... 156,000 787,618
Toenec Corp........................................... 124,000 482,370
Tohto Suisan Co., Ltd................................. 135,000 217,886
Tokai Maruman Securities Co., Ltd..................... 100,000 322,794
#Tokai Rika Co., Ltd.................................. 68,000 491,342
*Tokai Senko KK, Nagoya............................... 118,000 222,678
Tokico, Ltd........................................... 160,000 225,128
Tokimec, Inc.......................................... 107,000 175,352
#Tokushu Paper Manufacturing Co., Ltd................. 42,000 233,951
Tokyo Denki Komusho Co., Ltd.......................... 82,000 302,019
*Tokyo Nissan Auto Sales Co., Ltd..................... 34,000 70,353
*Tokyo Securities Co., Ltd............................ 271,000 500,190
Tokyo Steel Manufacturing Co., Ltd.................... 12,300 56,909
#Tokyo Tatemono Co., Ltd.............................. 294,000 652,144
*Tokyo Tekko Co., Ltd................................. 170,000 154,776
*Tokyu Car Corp....................................... 175,000 205,678
*#Tokyu Construction Co., Ltd......................... 223,000 195,646
*Tokyu Department Store Co., Ltd...................... 329,000 359,444
*Tokyu Hotel Chain Co., Ltd........................... 81,000 116,653
*Tokyu Tourist Corp................................... 54,000 73,746
Toli Corp............................................. 49,000 109,907
Tomoe Corp............................................ 50,000 103,874
Tomoku Co., Ltd....................................... 99,000 208,947
Tonami Transportation Co., Ltd........................ 126,000 245,075
Topcon Corp........................................... 129,000 432,420
Topre Corp............................................ 92,000 337,328
Torishima Pump Manufacturing Co., Ltd., Osaka......... 93,000 421,818
Toshiba Engineering & Construction Co., Ltd........... 21,000 77,520
Toshiba Tungaloy Co., Ltd............................. 38,000 123,291
Tosho Printing Co., Ltd............................... 24,000 54,627
*Tostem Viva Corp..................................... 87,000 180,020
Totenko Co., Ltd...................................... 83,000 535,838
Totetsu Kogyo Co., Ltd................................ 117,000 261,463
*Totoku Electric Co., Ltd., Tokyo..................... 57,000 119,831
#Toyo Communication Equipment Co., Ltd................ 42,000 198,146
Toyo Construction Co., Ltd............................ 266,000 341,251
*Toyo Electric Co., Ltd............................... 14,000 17,381
Toyo Engineering Corp................................. 226,000 250,654
Toyo Ink Manufacturing Co., Ltd....................... 378,000 829,084
*Toyo Kanetsu KK...................................... 182,000 221,437
Toyo Radiator Co., Ltd................................ 93,000 221,685
*Toyo Securities Co., Ltd............................. 267,000 503,857
<CAPTION>
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Toyo Shutter Co., Ltd................................. 66,000 $ 145,853
Toyo Wharf & Warehouse Co., Ltd....................... 41,000 71,263
Toyota Tsusho Corp.................................... 20,000 59,758
Tsubaki Nakashima Co., Ltd............................ 28,000 187,022
*Tsudakoma Corp....................................... 118,000 224,632
*#Tsugami Corp........................................ 282,000 618,523
Tsumura & Co., Inc.................................... 44,000 153,319
Tsurumi Manufacturing Co., Ltd........................ 7,000 33,198
Tsutsunaka Plastic Industry Co., Ltd.................. 61,000 184,787
U-Shin, Ltd........................................... 9,000 35,383
Uchida Yoko Co., Ltd.................................. 101,000 353,609
Ueki Corp............................................. 113,000 191,731
Unisia Jecs Corp...................................... 130,000 216,272
Utoc Corp............................................. 22,000 27,678
Wakachiku Construction Co., Ltd....................... 167,000 317,911
Yahagi Construction Co., Ltd.......................... 130,000 419,632
Yamamura Glass Co., Ltd............................... 227,000 388,917
Yamatane Corp......................................... 105,000 182,503
*#Yamatane Securities Co., Ltd........................ 83,000 137,394
Yamato International, Inc............................. 72,000 107,267
Yodogawa Steel Works, Ltd............................. 8,000 33,571
Yokogawa Bridge Corp.................................. 66,000 208,128
Yokohama Reito Co., Ltd............................... 8,000 53,501
Yondenko Corp......................................... 139,650 544,406
Yorozu Corp........................................... 7,000 38,297
Yuasa Trading Co., Ltd................................ 57,000 79,730
Yurtec Corp........................................... 80,000 461,513
Zexel Corp............................................ 10,000 26,900
------------
TOTAL COMMON STOCKS
(Cost $202,823,021).................................. 129,428,060
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $10,520)...................................... 10,661
------------
TOTAL -- JAPAN
(Cost $202,833,541).................................. 129,438,721
------------
UNITED KINGDOM -- (18.1%)
COMMON STOCKS -- (18.0%)
600 Group P.L.C....................................... 155,890 183,603
*AAF Industries P.L.C................................. 20,000 23,876
*ABI Leisure Group P.L.C.............................. 65,000 0
AIM Group P.L.C....................................... 32,556 71,731
ASDA Property Holdings P.L.C.......................... 140,000 357,818
*ASW Holdings P.L.C................................... 1,067,640 282,281
Abbeycrest P.L.C...................................... 70,000 145,819
*Acatos & Hutcheson P.L.C............................. 100,404 239,724
Adam & Harvey Group P.L.C............................. 8,000 18,908
Adscene Group P.L.C................................... 103,067 361,691
Airflow Streamlines P.L.C............................. 19,305 42,071
Airsprung Furniture Group P.L.C....................... 80,900 139,358
*Albemarle Property Investment P.L.C.................. 600,000 28,843
Albright & Wilson P.L.C............................... 34,000 88,806
*Alexanders Holdings P.L.C............................ 71,000 19,341
Alexandra Workwear P.L.C.............................. 46,000 105,775
Allders P.L.C......................................... 156,842 294,050
Allied Leisure P.L.C.................................. 198,600 71,604
Allied London Properties P.L.C........................ 210,148 296,334
Allied Textile Companies P.L.C........................ 126,205 207,288
Alumasc Group P.L.C................................... 150,000 270,407
*Anglesey Mining P.L.C................................ 100,000 7,211
Anglo Eastern Plantations P.L.C....................... 57,195 41,701
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Anite Group P.L.C..................................... 800,000 $ 532,000
Antofagasta Holdings P.L.C............................ 20,000 86,851
Apollo Metals P.L.C................................... 31,764 56,752
Arcadia Group P.L.C................................... 37,000 143,183
Arlen P.L.C........................................... 200,000 96,145
Armitage Brothers P.L.C............................... 10,000 29,484
*Armour Trust P.L.C................................... 225,000 37,857
Ascot P.L.C........................................... 174,615 839,414
Ash & Lacy P.L.C...................................... 150,000 282,425
Ashtenne Holdings P.L.C............................... 50,000 128,193
Associated Nursing Services P.L.C..................... 85,000 188,644
Austin Reed Group P.L.C............................... 138,001 206,760
Avesco P.L.C.......................................... 38,571 180,784
Avon Rubber P.L.C..................................... 48,840 386,613
*Azlan Group P.L.C.................................... 185,000 234,192
BICC P.L.C............................................ 134,750 211,606
BLP Group P.L.C....................................... 35,000 51,878
BS P.L.C.............................................. 5,000 11,617
BWI P.L.C............................................. 94,870 153,541
Babcock International Group P.L.C..................... 300,000 521,584
Baggeridge Brick P.L.C................................ 96,100 167,081
Baird (William) P.L.C................................. 236,500 430,131
Bandt P.L.C........................................... 326,334 190,866
Banks (Sidney C.) P.L.C............................... 48,771 165,680
Barlows P.L.C......................................... 100,000 104,958
Barr (A.G.) P.L.C..................................... 7,500 53,000
Beattie (James) P.L.C................................. 85,000 240,402
Beazer Group P.L.C.................................... 31,000 96,121
Bellway P.L.C......................................... 50,000 284,027
Benson Group P.L.C.................................... 25,000 7,611
Bentalls P.L.C........................................ 111,883 126,394
Betacom P.L.C......................................... 86,077 71,034
Bett Brothers P.L.C................................... 71,892 192,961
Birkby P.L.C.......................................... 174,356 639,803
Birse Group P.L.C..................................... 529,277 67,849
Black Arrow Group P.L.C............................... 35,000 51,878
Blagden Industries P.L.C.............................. 181,983 265,366
Blockleys P.L.C....................................... 45,346 25,069
Body Shop International P.L.C......................... 125,000 230,346
Boot (Henry) & Sons P.L.C............................. 50,000 156,235
Bourne End Properties P.L.C........................... 289,475 176,266
Brasway P.L.C......................................... 108,399 20,844
Breedon P.L.C......................................... 16,000 33,715
Bridport-Gundry P.L.C................................. 17,500 28,323
Bristol United Press P.L.C............................ 61,511 492,829
Britannia Group P.L.C................................. 90,000 64,898
*British Biotech P.L.C................................ 640,896 164,316
British Fittings Group P.L.C.......................... 76,000 155,274
British Mohair Holdings P.L.C......................... 10,000 14,342
British Polythene Industries P.L.C.................... 13,120 79,890
British Steam Specialties Group P.L.C................. 47,000 365,269
British-Borneo Petroleum Syndicate P.L.C.............. 316,285 836,250
Brooke Industrial Holdings P.L.C...................... 25,000 31,047
Brooks Service Group P.L.C............................ 15,000 33,771
*Brown & Jackson P.L.C................................ 508,200 1,221,517
Brunel Holdings P.L.C................................. 200,000 17,626
Bryant Group P.L.C.................................... 570,475 1,320,925
Budgens P.L.C......................................... 252,148 240,406
Bullough P.L.C........................................ 235,000 316,316
Burford Holdings P.L.C................................ 115,000 199,941
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Burn Stewart Distillers P.L.C........................ 200,395 $ 54,590
Burndene Investments P.L.C............................ 229,402 136,011
Burtonwood Brewery P.L.C.............................. 37,080 105,763
CLS Holdings P.L.C.................................... 254,181 517,274
CNC Properties P.L.C.................................. 95,386 140,620
Caffyns P.L.C......................................... 2,500 14,221
*Cairn Energy P.L.C................................... 100,290 207,310
Cala P.L.C............................................ 175,000 556,637
Calderburn P.L.C...................................... 150,000 193,491
*Cambridge Antibody Technology Group P.L.C............ 7,000 24,004
Cape P.L.C............................................ 237,482 249,256
Capital & Regional Properties P.L.C................... 175,657 750,130
Capital Corp. P.L.C................................... 180,000 243,727
Carclo Engineering Group P.L.C........................ 144,314 320,282
Carr's Milling Industries P.L.C....................... 11,000 16,305
*Cathay International P.L.C........................... 920,000 70,025
*Channel Holdings P.L.C............................... 350,000 23,836
Chesterfield Properties P.L.C......................... 42,000 306,221
Chloride Group P.L.C.................................. 316,000 362,048
Church & Co. P.L.C.................................... 24,000 174,983
Churchill China P.L.C................................. 30,000 43,986
Clarkson (Horace) P.L.C............................... 75,061 89,006
Clinton Cards P.L.C................................... 107,415 438,913
*Clubhaus P.L.C....................................... 27,733 29,997
Coats Viyella P.L.C................................... 674,730 467,616
Colefax & Fowler Group P.L.C.......................... 96,000 137,679
Community Hospitals Group P.L.C....................... 67,000 528,755
Conrad Ritblat Group P.L.C............................ 75,825 317,122
Cook (D.C.) Holdings, Ltd............................. 200,000 56,084
Cornwell Parker P.L.C................................. 153,333 249,388
Cosalt P.L.C.......................................... 20,000 64,257
*Costain Group P.L.C.................................. 73,000 25,735
Country Gardens P.L.C................................. 7,000 30,117
Countryside Property P.L.C............................ 144,855 258,811
Courtaulds Textiles P.L.C............................. 202,150 445,400
Courts P.L.C.......................................... 141,633 788,666
Cpl Aromas P.L.C...................................... 15,000 16,465
Cradley Group Holdings P.L.C.......................... 38,466 21,265
*Creighton Naturally P.L.C............................ 100,000 18,828
Crest Nicholson P.L.C................................. 545,000 1,375,469
Crestacare P.L.C...................................... 427,000 171,057
Cropper (James) P.L.C................................. 14,000 32,529
Cussins Property Group P.L.C.......................... 25,000 34,051
*DRS Data Research Services P.L.C..................... 51,000 14,710
Daejan Holdings P.L.C................................. 34,500 675,836
*Dana Petroleum P.L.C., UK............................ 233,333 27,107
Dawson Group P.L.C.................................... 68,000 168,894
*Dawson International P.L.C........................... 606,389 194,337
Debenham Tewson & Chinnocks Holdings P.L.C............ 42,423 72,738
Delta P.L.C........................................... 216,000 508,797
Delyn Group P.L.C. ................................... 18,000 25,815
Dencora P.L.C......................................... 25,000 81,923
Denmans Electrical P.L.C.............................. 53,568 103,435
Derwent Valley Holdings P.L.C......................... 94,000 851,040
Development Securities P.L.C.......................... 70,000 297,808
Dewhirst Group P.L.C.................................. 42,000 58,552
Diploma P.L.C......................................... 286,078 783,888
Dixon Motors P.L.C.................................... 165,000 282,905
Dolphin Packaging P.L.C............................... 21,000 85,641
Domino Printing Sciences P.L.C........................ 88,000 761,465
</TABLE>
58
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
East Surrey Holdings P.L.C............................ 13,000 $ 54,682
Eldridge Pope & Co. P.L.C............................. 25,000 87,732
Eleco Holdings P.L.C.................................. 68,900 28,706
Electronic Data Processing P.L.C...................... 55,900 63,150
Elementis P.L.C....................................... 81,650 130,837
Emess P.L.C........................................... 200,000 72,108
English & Overseas Properties P.L.C................... 38,800 56,578
Ennstone P.L.C........................................ 88,000 76,852
Enterprise Inns P.L.C................................. 6,307 46,035
Epwin Group P.L.C..................................... 180,000 428,324
Estates & General P.L.C............................... 75,000 117,176
Eurocamp P.L.C........................................ 8,550 35,759
Eurocopy P.L.C........................................ 156,700 59,636
European Motor Holdings P.L.C......................... 271,675 282,968
Evans of Leeds P.L.C.................................. 238,000 478,624
*Exco P.L.C........................................... 341,000 142,070
FII Group P.L.C....................................... 104,900 44,545
Fenner P.L.C.......................................... 175,000 319,681
*Ferguson International Holdings P.L.C................ 88,836 78,293
Fife Indmar P.L.C..................................... 27,000 28,339
Fine Art Developments P.L.C........................... 295,000 673,613
Finelist Group P.L.C.................................. 150,000 479,521
Finlay (James) P.L.C.................................. 199,130 250,484
First Leisure Corp. P.L.C............................. 127,900 441,663
Firth Rixson P.L.C.................................... 100,000 118,578
Folkes Group P.L.C.................................... 15,000 18,628
Freeport Leisure P.L.C................................ 12,000 102,971
*French P.L.C......................................... 17,000 9,943
Friendly Hotels P.L.C................................. 37,061 81,954
Frogmore Estates P.L.C................................ 103,039 751,254
Frost Group P.L.C..................................... 196,000 131,910
Fuller, Smith & Turner P.L.C. Series A................ 2,000 17,546
Fulmar P.L.C.......................................... 32,500 41,663
*GBE International P.L.C.............................. 309,427 26,031
GEI International P.L.C............................... 156,716 61,525
Galliford P.L.C....................................... 160,000 53,200
Garton Engineering P.L.C.............................. 6,000 10,672
Gaskell P.L.C......................................... 40,000 71,788
Gerrard Group P.L.C................................... 75,010 566,127
Gleeson (M.J.) Group P.L.C............................ 18,829 249,671
Glenchewton P.L.C..................................... 100,000 82,925
Goodwin P.L.C......................................... 5,000 5,008
Gowrings P.L.C........................................ 15,000 29,805
Grainger Trust, Ltd................................... 42,000 255,745
Grampian Holdings P.L.C............................... 24,713 45,540
Grantchester Holdings P.L.C........................... 15,000 38,939
Greene King P.L.C..................................... 106,000 1,095,568
*Greenwich Resources P.L.C............................ 156,000 19,998
Greycoat P.L.C........................................ 232,000 953,562
H & C Furnishings P.L.C............................... 350,000 914,175
Haden Maclellan Holdings P.L.C........................ 36,000 34,612
Hall Engineering (Holdings) P.L.C..................... 281,000 756,466
Halstead (James) Group P.L.C.......................... 74,345 232,306
Hambro Countrywide P.L.C.............................. 94,783 230,859
*Hamlet Group P.L.C................................... 42,000 0
Hampden Group P.L.C................................... 25,000 22,233
*Hampton Trust P.L.C.................................. 200,491 56,222
Hanover International P.L.C........................... 25,000 50,276
Hardys & Hansons P.L.C................................ 96,200 364,569
*Hartstone Group P.L.C................................ 1,182,431 184,737
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hawtin P.L.C.......................................... 150,000 $ 58,889
Haynes Publishing Group P.L.C......................... 23,932 69,987
Hazlewood Foods P.L.C................................. 395,500 842,892
Headway P.L.C......................................... 25,000 19,029
Helical Bar P.L.C..................................... 34,500 277,798
Hemingway Properties P.L.C............................ 963,977 548,364
Hi-Tech Sports P.L.C.................................. 92,142 26,577
Hickson International P.L.C........................... 853,872 725,174
Highbury House Communications P.L.C................... 250,000 107,161
Highland Distilleries Co. P.L.C....................... 243,000 934,526
Hill & Smith Holdings P.L.C........................... 74,890 78,603
Hillsdown Holdings P.L.C.............................. 241,781 565,651
*Hollas Group P.L.C................................... 100,000 0
Holt (Joseph) P.L.C................................... 5,878 144,817
Hopkinsons Group P.L.C................................ 412,000 115,534
*Horace Small Apparel P.L.C........................... 48,000 65,378
House of Fraser P.L.C................................. 140,000 201,904
*Howard Holdings P.L.C................................ 100,000 108,163
Hunting P.L.C......................................... 37,015 83,632
*Huntingdon Life Sciences Group P.L.C................. 773,340 235,449
IAF Group P.L.C....................................... 66,500 98,568
Iceland Group P.L.C................................... 23,000 97,851
Ilion Group P.L.C..................................... 44,000 59,930
Independent Insurance Group P.L.C..................... 220,000 1,025,863
*Industrial Control Services Group P.L.C.............. 200,000 57,687
Inn Business Group.................................... 155,303 181,667
Intelek P.L.C......................................... 25,000 6,009
Inveresk P.L.C........................................ 124,500 109,725
Jacobs (John I.) P.L.C................................ 133,169 148,307
Jarvis Hotels P.L.C................................... 400,000 955,036
John David Sports P.L.C............................... 200,000 419,831
Johnson Group Cleaners P.L.C.......................... 37,000 164,527
Johnston Group P.L.C.................................. 21,000 115,253
Jones Stroud Holdings P.L.C........................... 30,504 87,495
Joseph (Leopold) Holdings P.L.C....................... 9,000 76,074
*Kalamazoo Computer Group P.L.C....................... 12,200 8,113
Kelsey Industries P.L.C............................... 3,000 15,263
*Kenwood Appliances P.L.C............................. 119,108 122,150
Kier Group P.L.C...................................... 11,792 42,515
Kunick P.L.C.......................................... 799,000 220,856
Laing (John) P.L.C.................................... 73,279 375,754
Laird Group P.L.C..................................... 92,400 384,223
Lambert Fenchurch P.L.C............................... 62,220 86,741
Lambert Howarth Group P.L.C........................... 15,073 55,552
Lamont Holdings P.L.C................................. 100,000 60,090
*Laura Ashley Holdings P.L.C.......................... 200,000 44,867
Leeds Group P.L.C..................................... 241,639 176,178
Leicester City P.L.C.................................. 100,000 64,898
*Liberty P.L.C........................................ 69,900 190,414
Lilleshall P.L.C...................................... 29,000 26,720
Linden P.L.C.......................................... 37,500 134,302
Linton Park P.L.C..................................... 30,500 158,839
Lionheart P.L.C....................................... 100,000 7,211
Locker (Thomas) Holdings P.L.C........................ 419,082 125,914
London Clubs International P.L.C...................... 291,000 666,811
London Forfeiting Co.................................. 66,200 56,753
London Industrial P.L.C............................... 30,822 276,581
London Merchant Securities P.L.C...................... 355,222 600,518
Lookers P.L.C......................................... 168,983 231,517
</TABLE>
59
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Lovell (Y.J.) Holdings P.L.C......................... 29,000 $ 6,157
Low & Bonar P.L.C..................................... 120,000 308,624
MFI Furniture Group P.L.C............................. 190,300 114,352
MS International P.L.C................................ 49,000 18,452
MacDonald Hotels P.L.C................................ 18,000 60,860
MacFarlane Group Clansman P.L.C....................... 50,000 65,298
*Mackie International Group P.L.C..................... 33,250 5,062
Mallett P.L.C......................................... 25,000 44,667
Mansfield Brewery P.L.C............................... 162,608 557,608
Marshalls P.L.C....................................... 225,001 659,795
Martin International Holdings P.L.C................... 226,800 88,131
Marylebone Warwick Balfour Group P.L.C................ 36,400 41,704
Matthews (Bernard) P.L.C.............................. 219,058 480,898
Mayborn Group P.L.C................................... 50,000 38,057
McAlpine (Alfred) P.L.C............................... 126,000 440,150
McCarthy & Stone P.L.C................................ 155,000 531,519
McKay Securities P.L.C................................ 94,000 237,237
McLeod Russell Holdings P.L.C......................... 15,000 19,109
Merchant Retail Group P.L.C........................... 153,000 119,520
Meristem P.L.C........................................ 66,000 28,026
*Merrydown P.L.C...................................... 94,172 49,043
Metrotect Industries P.L.C............................ 39,000 11,249
*Micro Focus Group P.L.C.............................. 87,500 220,131
Microgen Holdings P.L.C............................... 45,600 115,816
Mid-States P.L.C...................................... 50,000 21,232
Molins P.L.C.......................................... 57,750 122,614
Moorfield Estates P.L.C............................... 493,333 217,393
Morland & Co. P.L.C................................... 73,800 499,639
Mowlem (John) & Co. P.L.C............................. 446,215 1,029,628
Mucklow (A & J) Group P.L.C........................... 160,000 425,600
Nightfreight P.L.C.................................... 75,000 42,063
Norcor Holdings P.L.C................................. 33,000 23,796
Norcros P.L.C......................................... 437,000 577,709
Northamber P.L.C...................................... 9,000 18,604
OMI International P.L.C............................... 99,000 7,535
*Oliver Group P.L.C................................... 43,000 15,503
Owen (H.R.) P.L.C..................................... 70,000 186,200
Oxford Instruments P.L.C.............................. 17,162 58,439
*PGA European Tour Courses P.L.C...................... 80,000 38,458
PPL Therapeutics P.L.C................................ 13,000 21,144
Panther Securities P.L.C.............................. 40,000 86,210
Partners Holdings P.L.C............................... 80,000 38,458
Partridge Fine Arts P.L.C............................. 33,000 36,222
Paterson Zochonis P.L.C............................... 40,000 219,210
Peel Holdings P.L.C................................... 74,000 758,901
Pendragon P.L.C....................................... 30,000 81,002
*Peptide Therapeutics Group P.L.C..................... 180,000 271,128
Perry Group P.L.C..................................... 79,000 198,114
Persimmon P.L.C....................................... 212,237 828,121
Peterhouse Group P.L.C................................ 29,584 71,583
Photo-Me International P.L.C.......................... 27,500 323,887
Pifco Holdings P.L.C.................................. 19,500 51,245
Pillar Property Investments P.L.C..................... 60,428 320,509
Pittards P.L.C........................................ 39,000 23,435
*Pittencrieff Resources P.L.C......................... 204,394 73,693
*Plantation & General Investment P.L.C................ 64,601 41,924
Plysu P.L.C........................................... 111,942 265,478
Portmeirion Potteries (Holdings) P.L.C................ 16,044 42,420
*Powerscreen International P.L.C...................... 215,000 563,287
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Premier Consolidated Oilfields P.L.C................. 2,628,330 $ 810,745
*Premier Land P.L.C................................... 416,666 48,406
*Prestwick Holdings P.L.C............................. 70,000 15,143
Princedale Group P.L.C................................ 100,000 14,422
Property Partnerships P.L.C........................... 10,000 12,819
Prowting P.L.C........................................ 113,261 205,084
QS Holdings P.L.C..................................... 102,000 56,389
*Quadrant Group P.L.C................................. 5,900 5,625
*Quality Software Products Holdings P.L.C............. 11,000 90,336
Queensborough Holdings P.L.C.......................... 187,000 52,439
Quick Group P.L.C..................................... 189,217 250,143
Quintain Estates & Development P.L.C.................. 89,107 233,455
RCO Holdings P.L.C.................................... 20,000 64,577
RJB Mining P.L.C...................................... 500,000 408,615
Radamec Group P.L.C................................... 20,000 13,620
Raglan Property P.L.C................................. 313,895 134,549
Ransom (William) & Son P.L.C.......................... 75,000 54,682
Rea Brothers Group P.L.C.............................. 87,906 76,065
Readicut International P.L.C.......................... 356,249 191,237
Reg Vardy P.L.C....................................... 101,000 473,392
Regal Hotel Group P.L.C............................... 1,100,000 458,289
Renold P.L.C.......................................... 19,000 55,564
*Richards P.L.C....................................... 62,000 9,438
Richardsons Westgarth P.L.C........................... 41,017 25,633
Roseby's P.L.C........................................ 45,000 114,652
Rowe Evans Investments P.L.C.......................... 95,900 92,203
Royal Doulton P.L.C................................... 98,000 201,791
Ruberoid P.L.C........................................ 204,100 353,216
Rugby Estates P.L.C................................... 32,000 82,813
Russell (Alexander) P.L.C............................. 40,000 94,542
S & U P.L.C........................................... 7,000 33,819
SEP Industrial Holdings P.L.C......................... 370,000 60,771
Safeland P.L.C........................................ 100,000 50,476
*Safestore P.L.C...................................... 26,923 20,492
Salvesen (Christian) P.L.C............................ 74,500 120,573
Sanderson Bramall Motor Group P.L.C................... 8,720 35,841
Saville (J.) Gordon Group P.L.C....................... 337,302 402,670
Savills P.L.C......................................... 21,000 49,971
Scapa Group P.L.C..................................... 66,000 141,188
Scottish Metropolitan Property P.L.C.................. 407,167 606,777
Seacon Holdings P.L.C................................. 50,000 24,837
Seton Healthcare Group P.L.C.......................... 12,776 162,039
Shaftesbury P.L.C..................................... 150,000 570,859
Shani Group P.L.C..................................... 30,000 20,431
Sharpe & Fisher P.L.C................................. 64,804 213,396
*Sheffield United P.L.C............................... 88,000 23,267
Sherwood Group P.L.C.................................. 202,000 64,737
*ShopRite Group P.L.C................................. 146,000 52,639
Silentnight Holdings P.L.C............................ 30,000 108,163
Simon Engineering P.L.C............................... 175,847 171,885
Sinclair (William) Holdings P.L.C..................... 40,000 73,390
Sirdar P.L.C.......................................... 119,721 122,779
*Sketchley P.L.C...................................... 109,000 75,978
Smart (J.) & Co. (Contractors) P.L.C.................. 8,000 33,330
Smith (David S.) Holdings P.L.C....................... 34,000 71,371
Smith (James) Estates P.L.C........................... 95,000 210,837
Spring Ram Corp. P.L.C................................ 1,346,888 215,827
St. Ives P.L.C........................................ 9,377 81,740
St. Modwen Properties P.L.C........................... 214,000 272,618
</TABLE>
60
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Stadium Group P.L.C................................... 1,591 $ 2,562
Stanley Leisure Organisation P.L.C.................... 152,932 612,649
Stat-Plus Group P.L.C................................. 25,300 60,406
Staveley Industries P.L.C............................. 35,000 37,857
Stirling Group P.L.C.................................. 214,889 65,425
*Stoddard Sekers International P.L.C.................. 98,000 9,030
Storehouse P.L.C...................................... 20,000 37,817
Stratagem Group P.L.C................................. 47,000 65,899
Stylo P.L.C........................................... 16,588 9,436
Swallowfield P.L.C.................................... 25,000 28,443
Swan Hill Group P.L.C................................. 87,000 93,404
Syltone P.L.C......................................... 29,000 52,279
TI Group P.L.C........................................ 39,000 24,998
TT Group P.L.C........................................ 46,000 138,945
*Tadpole Technology P.L.C............................. 53,280 16,435
*Tandem Group P.L.C................................... 472,000 28,363
Tay Homes P.L.C....................................... 103,937 187,368
Telemetrix P.L.C...................................... 170,214 231,840
Tex Holdings P.L.C.................................... 11,000 7,756
The Cardiff Property P.L.C............................ 4,000 20,030
Thorpe (F.W.) P.L.C................................... 15,000 28,002
Tie Rack P.L.C........................................ 75,000 51,678
Tilbury Douglas P.L.C................................. 10,809 48,757
Time Products P.L.C................................... 81,758 131,010
Tinsley (Eliza) Group P.L.C........................... 27,781 37,394
Tomkinsons P.L.C...................................... 10,000 30,446
Tops Estates P.L.C.................................... 82,557 180,576
Tottenham Hotspur P.L.C............................... 70,000 70,666
Town Centre Securities (New) P.L.C.................... 227,419 242,338
Transport Development Group P.L.C..................... 285,056 929,540
Transtec P.L.C........................................ 60,000 27,882
*Tring International Group P.L.C...................... 60,000 6,249
Try Group P.L.C....................................... 91,160 44,553
UCM Group P.L.C....................................... 46,000 66,340
UK Land............................................... 16,000 30,382
Ugland International Holdings P.L.C................... 146,666 219,743
*Union P.L.C.......................................... 100,000 33,651
*United Carriers Group P.L.C.......................... 60,000 24,517
United Industries P.L.C............................... 81,822 100,301
*Utility Cable P.L.C.................................. 200,000 0
*Vanguard Medica Group P.L.C.......................... 10,000 42,464
Vardon P.L.C.......................................... 110,000 312,871
Vaux Group P.L.C...................................... 177,391 822,913
*Vert (Jacques) P.L.C................................. 45,000 12,619
Vibroplant P.L.C...................................... 185,000 177,868
Vickers P.L.C......................................... 32,900 84,087
Viglen Technology P.L.C............................... 137,200 74,749
*Villiers Group P.L.C................................. 167,000 33,450
Vtr P.L.C............................................. 13,000 14,582
*Wace Group P.L.C..................................... 253,807 359,932
Walker Greenbank P.L.C................................ 94,910 67,678
Ward Holdings P.L.C................................... 206,900 114,381
Warner Estate Holdings P.L.C.......................... 99,000 376,767
Warnford Investments P.L.C............................ 12,000 63,455
Wassall P.L.C......................................... 43,000 149,176
Waterman Partnership Holdings P.L.C................... 25,000 28,643
Wates City of London Properties P.L.C................. 381,099 580,143
Watson & Philip P.L.C................................. 200,000 283,627
Wembley P.L.C......................................... 53,000 302,767
Westbury P.L.C........................................ 162,482 755,052
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Whitecroft P.L.C...................................... 70,000 $ 68,984
Wilson (Connolly) Holdings P.L.C...................... 415,400 968,508
Wintrust P.L.C........................................ 24,000 147,101
Wolverhampton & Dudley Breweries P.L.C................ 137,050 1,263,857
Wyevale Garden Centres P.L.C.......................... 50,000 352,931
Yorklyde P.L.C........................................ 14,000 18,732
Yorkshire Group P.L.C................................. 117,096 212,028
Young & Co's Brewery P.L.C. Class A................... 5,000 64,096
Young (H.) Holdings P.L.C............................. 38,666 46,159
------------
TOTAL COMMON STOCKS
(Cost $90,283,138)................................... 89,760,695
------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $397,031)..................................... 398,418
------------
FACE
AMOUNT@
------------
(000)
BONDS -- (0.0%)
Viglen Technology P.L.C. 6.375%, 09/01/00
(Cost $95).......................................... 0 209
------------
TOTAL -- UNITED KINGDOM
(Cost $90,680,264)................................... 90,159,322
------------
SHARES
------------
FRANCE -- (6.6%)
COMMON STOCKS -- (6.6%)
Agricole de la Crau................................... 204 17,064
Airfeu SA............................................. 3,141 119,219
Alain Manoukian SA.................................... 9,565 307,039
Arbel SA.............................................. 1,583 6,042
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 100 13,384
Bains de Mer et du Cercle des Etrangers a Monaco...... 6,329 1,140,223
Bazar de l'Hotel de Ville SA.......................... 9,361 1,101,144
Burelle SA............................................ 10,986 654,763
CEE (Continentale d'Equipements Electriques).......... 2,215 55,585
*CPR (Cie Parisienne de Reescompte)................... 17,123 805,679
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 6,010 377,047
*Cambodge............................................. 340 171,532
*Cascades SA.......................................... 22,612 70,221
*Christian Dalloz SA.................................. 1,500 84,694
Cie Francaise des Ferrailles.......................... 9,710 368,041
Cofigeo (Cie Financiere Geo).......................... 205 31,917
Conflandey SA......................................... 1,939 72,582
Continentale d'Entreprises SA......................... 19,198 680,495
DMC (Dollfus Mieg et Cie)............................. 38,146 229,343
Desquenne et Giral SA................................. 4,761 83,085
Didot-Bottin.......................................... 602 105,119
Dietrich et Cie....................................... 38,762 2,338,576
ECIA (Equipements et Composants pour l'Industrie
Automobile)......................................... 3,300 386,457
*Emin Leydier Emballages SA........................... 900 42,724
Exacompta Clairefontaine SA........................... 1,233 110,874
*Explosifs et de Produits Chimiques................... 312 51,544
Fimalac SA............................................ 10,590 1,181,490
</TABLE>
61
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fonderies Franco Belge................................ 913 $ 82,958
Forges Stephanoises SA................................ 300 29,957
France-Africaine de Recherches Petrolieres
Francarep........................................... 280 13,467
Gantois Series A...................................... 465 68,653
Gascogne SA........................................... 10,334 866,587
Gautier France SA..................................... 2,227 106,765
Gel 2000 SA........................................... 4,629 7,744
Generale de Geophysique SA............................ 2,900 133,723
Gevelot............................................... 1,200 97,869
Groupe Guillin SA..................................... 480 10,389
Groupe Zannier SA..................................... 26,650 599,108
Guerbet SA............................................ 15,148 292,069
ICBT Groupe SA........................................ 8,110 89,887
*IMS International Metal Service SA................... 10,400 99,826
Immobanque............................................ 9,394 1,066,719
*Immobiliere Complexes Commerciaux SA................. 6,452 215,678
*Immobiliere et Hoteliere SA.......................... 27,700 52,134
*Jet Multimedia SA.................................... 109 12,560
Legris Industries SA.................................. 8,500 351,063
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 12,163 1,495,607
Maire (Henri)......................................... 1,252 19,362
Marie Brizard & Roger International SA................ 2,745 221,005
Matussiere et Forest SA............................... 7,020 54,317
Metaleurop SA......................................... 43,410 281,417
Michel Thierry SA..................................... 3,269 447,429
Mors.................................................. 37,132 25,625
NAF NAF SA............................................ 36,191 334,520
Nord-Est SA........................................... 22,587 644,513
Nordon & Cie.......................................... 1,600 115,435
PSB Industries SA..................................... 1,838 156,533
Papiers Peints (Societe Francaise des)................ 70 8,271
*Paul Predault SA..................................... 6,400 143,943
*Pier Import Europe SA................................ 18,642 163,735
Plastic Omnium........................................ 8,895 864,500
Primisteres Reynoird SA............................... 5,349 194,635
*Radiall SA........................................... 200 12,464
Robertet SA........................................... 200 26,872
*Rochette............................................. 138,121 395,713
Rougier SA............................................ 2,715 150,458
Rouleau-Guichard SA................................... 2,495 86,873
Rue Imperiale de Lyon................................. 2,519 2,923,618
SDR de Bretagne SA.................................... 3,200 29,779
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................. 4,015 104,113
Sabeton............................................... 1,846 203,057
*Saupiquet............................................ 2,210 131,022
Sechilienne........................................... 100 21,550
Securidev SA.......................................... 16,908 176,792
*Selectibanque SA..................................... 46,567 474,736
*Signaux et d'Equipements Electroniques SA............ 13,500 762,249
Signaux Girod SA...................................... 5,407 121,553
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,483 523,335
Skis Rossignol SA..................................... 7,216 105,632
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Smoby SA.............................................. 1,600 $ 88,500
Societe des Immeubles de France....................... 146,528 2,604,588
Societe Financiere Immobail SA........................ 9,997 429,617
*Sommer-Allibert SA................................... 4,200 118,572
Sucriere de Pithiviers-le-Vieil....................... 270 88,082
Sylea SA.............................................. 4,300 261,674
Teisseire France SA................................... 6,492 149,338
Tivoly SA............................................. 1,904 33,944
Trouvay et Cauvin SA.................................. 9,481 114,897
*Union du Credit Bail Immobiliere Unibail............. 3,962 538,552
VM Materiaux SA....................................... 1,636 68,083
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 43,572 1,530,792
Via Banque............................................ 21,658 616,193
Vilmorin et Cie SA.................................... 70 5,416
------------
TOTAL COMMON STOCKS
(Cost $34,556,012)................................... 32,871,950
------------
RIGHTS/WARRANTS -- (0.0%)
*Alain Manoukian Warrants SA 06/30/01................. 1,367 1,758
*#Continental d'Enterprises SA Warrants 10/31/01...... 22,587 36,607
*Union du Credit Bail Immobiliere Unibail Warrants
09/01/99............................................ 3,962 11,600
------------
TOTAL RIGHTS/WARRANTS
(Cost $51,225)....................................... 49,965
------------
TOTAL -- FRANCE
(Cost $34,607,237)................................... 32,921,915
------------
GERMANY -- (5.6%)
COMMON STOCKS -- (5.6%)
Aigner (Etienne) AG................................... 68 9,634
Andreae-Noris Zahn AG, Anzag.......................... 3,000 78,421
Anterra Vermoegensverwaltungs AG...................... 3,920 295,113
BDAG Balcke-Duerr AG.................................. 2,420 303,645
Bayerische Handelsbank AG............................. 38,220 1,086,999
Beta Systems Software AG.............................. 3,300 51,758
Bien-Haus AG.......................................... 200 43,916
Bilfinger & Berger Bau AG, Mannheim................... 32,800 811,100
Biotest AG............................................ 3,600 47,052
Bremer Woll-Kaemmerei AG.............................. 5,310 185,998
Brueder Mannesmann AG................................. 2,700 26,255
Campina AG............................................ 1,846 108,091
Cewe Color Holding AG................................. 500 110,835
#DSL Holdings AG...................................... 118,500 1,883,352
*Deutsche Verkehrs-Bank AG............................ 1,908 171,572
*Deutsche Verkehrs-Bank AG Em 99...................... 238 20,655
Dierig Holding AG..................................... 1,250 139,850
Duerr Beteiligungs AG................................. 5,900 146,824
Dyckerhoff & Widmann AG............................... 12,224 1,150,338
Escada AG............................................. 5,709 746,173
Eurobike AG........................................... 5,000 63,259
Fag Kugelfischer Georg Schaeffer AG................... 78,350 704,542
Flender (A. Friedrich) AG............................. 9,832 1,089,726
Fuchs Petrolub AG Oel & Chemie........................ 1,100 83,962
Heilit & Woerner Bau AG............................... 8,542 625,212
Herlitz AG............................................ 13,643 449,355
Holzmann (Philipp) AG................................. 6,200 958,155
</TABLE>
62
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hucke AG.............................................. 5,765 $ 54,553
Hutschenreuther AG.................................... 8,591 94,320
Iwka AG............................................... 20,300 413,904
KSB AG................................................ 750 118,415
Kali und Salz Beteiligungs AG......................... 4,500 599,918
Kaufring AG........................................... 12,600 355,716
Km-Europa Metal AG.................................... 11,700 642,266
Leica Camera AG....................................... 4,000 46,843
Leonische Drahtwerke AG............................... 540 181,811
Loesch Umweltschutz AG................................ 5,000 34,244
Mauser Waldeck AG..................................... 1,151 108,315
Mvs Miete Vertrieb Service AG......................... 642 2,417
Norddeutsche Steingutfabrik AG........................ 715 9,121
Nuernberger Hypothekenbank AG......................... 16,340 563,814
Orenstein & Koppel AG................................. 13,550 188,434
Otto Reichelt AG...................................... 36,354 323,103
Pfaff (G.M.) AG....................................... 24,270 46,186
Phoenix AG, Hamburg................................... 18,540 298,538
*Plettac AG........................................... 2,100 115,278
Praktiker Bau und Heimwerkermaerkt AG................. 30,000 244,673
Rheinboden Hypothekenbank AG.......................... 3,900 791,108
Rheinmetall Berlin AG................................. 60,000 1,179,447
Salamander AG, Kornwesteim............................ 12,999 2,065,965
Salzgitter AG......................................... 56,700 420,931
Schmalbach-Lubeca AG.................................. 3,480 509,421
Scor Deutschland Rueckversicherungs AG................ 615 75,237
Sinn AG............................................... 1,001 163,278
Stern-Brauerei Carl Funke AG.......................... 300 16,939
Stoehr & Co. AG....................................... 44,310 254,820
Strabag AG............................................ 15,450 888,507
Sueddeutsche Bodencreditbank AG....................... 45,740 1,492,177
Triton-Belco AG, Hamburg.............................. 2,977 63,812
*Tucher Braeu AG...................................... 1,047 45,980
Varta AG.............................................. 5,611 730,431
Voegele (Joseph) AG................................... 1,559 228,215
Walter Bau AG......................................... 4,427 490,665
Weru AG............................................... 950 258,265
Westag & Getalit AG................................... 1,980 349,882
Wuerttembergische Metallwarenfabrik AG................ 64,620 1,121,617
Zanders Feinpapiere AG................................ 10,902 740,950
------------
TOTAL COMMON STOCKS
(Cost $32,400,369)................................... 27,721,308
------------
RIGHTS/WARRANTS -- (0.0%)
*Triton-Belco AG Rights 04/14/99
(Cost $0)........................................... 2,977 1,307
------------
TOTAL -- GERMANY
(Cost $32,400,369)................................... 27,722,615
------------
SINGAPORE -- (5.3%)
COMMON STOCKS -- (5.3%)
*Alliance Technology & Development, Ltd............... 3,000 704
Apollo Enterprises, Ltd............................... 240,000 144,718
Bonvests Holdings, Ltd................................ 614,000 345,318
*CK Tang, Ltd......................................... 306,000 127,742
Carnaudmetalbox Asia, Ltd............................. 163,000 222,093
Chevalier Singapore Holdings, Ltd..................... 200,000 56,820
SHARES VALUE+
------------ ------------
Chuan Hup Holdings, Ltd............................... 516,000 $ 344,054
Cosco Investment (Singapore), Ltd..................... 223,000 146,104
#First Capital Corp., Ltd............................. 745,000 984,850
Focal Finance, Ltd.................................... 101,000 131,174
*General Magnetics, Ltd............................... 187,000 56,380
Haw Par Brothers International, Ltd................... 411,000 643,405
Hind Hotels International, Ltd........................ 147,000 214,781
Hong Kok Corp., Ltd................................... 366,000 335,287
Hotel Grand Central, Ltd.............................. 327,700 179,551
Hotel Plaza, Ltd...................................... 892,000 364,614
Hotel Properties, Ltd................................. 1,075,000 828,970
Hour Glass, Ltd....................................... 210,000 91,319
Hwa Hong Corp., Ltd................................... 402,000 538,415
Hwa Tat Lee, Ltd...................................... 330,000 69,837
*IPC Corp., Ltd....................................... 3,248,000 273,063
Insurance Corp. of Singapore, Ltd..................... 112,000 202,606
Intraco, Ltd.......................................... 215,000 188,232
Isetan (Singapore), Ltd............................... 76,000 119,856
Jack Chia-MPH, Ltd.................................... 332,000 152,070
Jurong Engineering, Ltd............................... 91,000 138,764
Keppel Land, Ltd...................................... 1,291,000 2,193,172
Keppel Marine Industries, Ltd......................... 409,000 545,419
Keppel Tatlee Finance, Ltd............................ 160,000 140,080
LC Development, Ltd................................... 292,000 109,200
Lee Kim Tah Holdings, Ltd............................. 72,000 35,484
Liang Court Holdings, Ltd............................. 1,236,600 681,133
Lim Kah Ngam, Ltd..................................... 386,000 145,472
*Low Keng Huat Singapore, Ltd......................... 232,000 60,531
Metro Holdings, Ltd................................... 274,800 403,103
*Neptune Orient Lines, Ltd............................ 1,830,000 1,517,281
Orchard Parade Holdings, Ltd.......................... 766,000 555,159
*Osprey Maritime, Ltd................................. 886,000 398,120
Pacific Carriers, Ltd................................. 669,000 372,371
Pan Malayan Holdings, Ltd............................. 181,000 151,119
Prima, Ltd............................................ 83,000 188,644
Republic Hotels and Resorts, Ltd...................... 552,000 460,872
#Resources Development Corp., Ltd..................... 216,000 200,379
SNP Corp., Ltd........................................ 72,500 32,788
*SPP, Ltd............................................. 55,000 12,596
*Scotts Holdings, Ltd................................. 531,000 252,457
Shangri-la Hotel, Ltd................................. 423,200 947,135
Singapore Land, Ltd................................... 245,000 673,323
Singapura Building Society, Ltd....................... 84,000 61,366
*Singatronics, Ltd.................................... 433,000 110,464
Ssangyong Cement (Singapore), Ltd..................... 9,000 12,002
Straits Trading Co., Ltd.............................. 701,000 877,911
Tibs Holdings, Ltd.................................... 203,000 409,595
Times Publishing, Ltd................................. 271,000 524,801
Tuan Sing Holdings, Ltd............................... 2,931,000 628,777
United Engineers, Ltd................................. 404,000 405,234
United Industrial Corp., Ltd.......................... 3,541,000 2,196,790
United Overseas Finance, Ltd.......................... 129,000 123,411
United Overseas Land, Ltd............................. 1,535,000 1,637,590
*Van der Horst, Ltd................................... 232,000 71,292
Vickers Ballas Holdings, Ltd.......................... 543,000 402,985
WBL Corp., Ltd........................................ 297,000 334,070
Wing Tai Holdings, Ltd................................ 1,639,000 1,843,570
------------
TOTAL COMMON STOCKS
(Cost $25,837,580)................................... 26,616,423
------------
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PREFERRED STOCKS -- (0.0%)
*First Capital Corp., Ltd. 7% Non-Redeemable
Convertible
(Cost $103,603)..................................... 174,000 $ 231,027
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $17,933)...................................... 17,873
------------
TOTAL -- SINGAPORE
(Cost $25,959,116)................................... 26,865,323
------------
HONG KONG -- (4.5%)
COMMON STOCKS -- (4.5%)
ALCO Holdings, Ltd.................................... 710,000 54,936
Acme Landis Holdings, Ltd............................. 130,000 5,616
Allied Group, Ltd..................................... 5,364,000 380,451
Allied Properties (Hong Kong), Ltd.................... 6,468,000 333,639
Applied International Holdings, Ltd................... 1,150,000 45,232
*Asia Commercial Holdings, Ltd........................ 35,960 2,458
*Asia Securities International, Ltd................... 2,326,000 119,982
Asia Standard International Group, Ltd................ 3,658,000 443,423
Associated International Hotels, Ltd.................. 758,000 273,699
Beauforte Investors Corp., Ltd........................ 44,000 51,067
*Burlingame International Co., Ltd.................... 675,000 12,186
Burwill Holdings, Ltd................................. 350,000 24,824
*CCT Telecom Holdings, Ltd............................ 752,000 158,071
CDL Hotels International, Ltd......................... 2,489,041 1,059,236
CNT Group, Ltd........................................ 1,428,000 59,849
*Capetronic International Holdings, Ltd............... 107,000 54,849
Century City International Holdings, Ltd.............. 2,863,067 132,917
Champion Technology Holdings, Ltd..................... 6,437,837 406,802
Chen Hsong Holdings, Ltd.............................. 322,000 52,736
Cheuk Nang Properties (Holdings), Ltd................. 318,000 50,851
Cheung Wah Development Co., Ltd....................... 898,000 15,054
*Chevalier Construction Holdings, Ltd................. 194,857 4,975
Chevalier Development International, Ltd.............. 625,852 62,953
Chevalier International Holdings, Ltd................. 1,507,404 134,130
*China Aerospace International Holdings, Ltd.......... 873,000 86,687
China Foods Holdings, Ltd............................. 1,032,000 232,897
*China Investments Holdings, Ltd...................... 989,000 15,815
China Overseas Land & Investment, Ltd................. 2,708,000 307,311
China Travel International Investment, Ltd............ 1,722,000 204,300
Chinese Estates Holdings, Ltd......................... 2,675,131 441,572
Chinney Investments, Ltd.............................. 752,000 63,034
Chow Sang Sang Holdings International, Ltd............ 738,000 167,500
*Chuang's China Investments, Inc...................... 4,420,000 55,289
Chuang's Consortium International, Ltd................ 3,051,760 161,354
*City Chiu Chow (Holdings), Ltd....................... 298,000 10,376
*Companion Building Material (Holdings), Ltd.......... 2,206,000 34,422
Continental Holdings, Ltd............................. 382,000 16,256
Continental Mariner Investment Co., Ltd............... 268,000 33,869
SHARES VALUE+
------------ ------------
*Crocodile Garments, Ltd.............................. 986,000 $ 29,372
*Culturecom Holdings, Ltd............................. 1,326,000 54,719
*Dransfield Holdings, Ltd............................. 1,952,000 22,152
Dynamic Holdings, Ltd................................. 482,000 74,589
*Easyknit International Holdings, Ltd................. 200,150 9,808
*Emperor (China Concept) Investments, Ltd............. 2,790,000 30,942
*Emporer International Holdings, Ltd.................. 812,000 90,054
*Fairwood Holdings, Ltd............................... 675,000 14,014
*Fairyoung Holdings, Ltd.............................. 330,000 34,896
*Far East Consortium International, Ltd............... 1,758,041 156,432
*Far East Holdings International, Ltd................. 408,000 24,729
Fountain Set Holdings, Ltd............................ 1,350,000 153,202
*Four Seas Travel International, Ltd.................. 236,000 22,521
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 670,000 7,949
*G-Prop Holdings, Ltd................................. 53,435 4,479
Golden Resources Development International, Ltd....... 722,000 38,640
Goldlion Holdings, Ltd................................ 1,092,000 98,575
Grande Holdings, Ltd.................................. 506,000 184,338
Great Eagle Holdings, Ltd............................. 698,910 1,117,609
Great Wall Electronic International, Ltd.............. 2,278,566 98,436
Guangzhou Investment Co., Ltd......................... 3,038,000 262,488
Harbour Centre Development, Ltd....................... 590,000 403,250
Harbour Ring International Holdings, Ltd.............. 3,430,000 212,316
Henderson China Holdings, Ltd......................... 438,000 184,983
High Fashion International, Ltd....................... 800,000 79,438
Hon Kwok Land Investment Co., Ltd..................... 1,096,000 101,763
Hong Kong & Shanghai Hotels, Ltd...................... 1,789,124 1,315,110
Hong Kong Ferry (Holdings) Co., Ltd................... 349,000 441,061
*Hong Kong Parkview Group, Ltd........................ 648,000 162,951
Hop Hing Holdings, Ltd................................ 604,000 38,945
Hopewell Holdings, Ltd................................ 1,208,800 662,506
*Hualing Holdings, Ltd................................ 784,000 17,895
*Huey Tai International, Ltd.......................... 2,920,260 158,168
*Hwa Kay Thai Holdings, Ltd........................... 323,560 7,385
Innovative International (Holdings), Ltd.............. 539,439 26,435
*Jinhui Holdings Co., Ltd............................. 978,000 36,575
*Joyce Boutique Holdings, Ltd......................... 808,000 22,090
*K Wah International Holdings, Ltd.................... 871,672 61,825
*KTP Holdings, Ltd.................................... 758,000 38,122
*Kader Holdings Co., Ltd.............................. 857,000 41,996
Keck Seng Investments (Hong Kong), Ltd................ 380,000 51,454
Kee-Shing Holdings Co., Ltd........................... 256,000 27,401
King Fook Holdings, Ltd............................... 338,000 15,038
*Kong Tai International Holdings Co., Ltd............. 5,175,000 39,374
*Kumagai Gumi Hong Kong, Ltd.......................... 424,000 196,841
*Kwong Sang Hong International, Ltd................... 1,060,000 116,191
Lai Sun Development Co., Ltd.......................... 2,698,800 219,259
Lai Sun Garment (International), Ltd.................. 2,700,000 191,502
Lai Sun Hotels International, Ltd..................... 1,532,000 65,196
*Lam Soon (Hong Kong), Ltd............................ 203,250 42,985
*Lam Soon Food Industries, Ltd........................ 156,000 33,797
Lane Crawford International, Ltd. Series A............ 63,000 90,586
Leefung-Asco Printers Holdings, Ltd................... 128,000 22,284
</TABLE>
64
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Linkful International Holdings, Ltd.................. 582,000 $ 7,730
Lippo, Ltd............................................ 751,000 150,113
Liu Chong Hing Investment, Ltd........................ 626,000 435,928
*Luks Industrial Co., Ltd............................. 3,069,000 52,638
*Magnificent Estates, Ltd............................. 5,014,600 58,200
*Mansion Holdings, Ltd................................ 113,200 1,007
*Megga (S.) International Holdings, Ltd............... 1,399,200 15,337
Melbourne Enterprises, Ltd............................ 41,000 203,031
Melco International Development, Ltd.................. 170,000 18,196
Min Xin Holdings, Ltd................................. 432,000 41,782
Miramar Hotel & Investment Co., Ltd................... 600,000 766,008
*Mountbatten Corp..................................... 1,120,539 0
*Mountbatten Corp..................................... 2,597,548 0
*Mui Hong Kong, Ltd................................... 2,050,000 24,586
Nam Hing Holdings, Ltd................................ 538,000 16,373
Nanyang Holdings, Ltd................................. 80,850 68,292
National Electronics Holdings, Ltd.................... 1,106,000 32,804
*Nph International Holdings, Ltd...................... 408,000 8,313
#Onfem Holdings, Ltd.................................. 684,000 32,196
Orient Power Holdings, Ltd............................ 441,000 34,122
*Oriental Metals Holdings Co., Ltd.................... 796,000 20,838
Pacific Concord Holding, Ltd.......................... 2,956,000 377,387
*Pacific Plywood Holdings, Ltd........................ 1,854,000 30,125
Paul Y. Properties Group, Ltd......................... 11,308 11,447
Pokfulam Development Co., Ltd......................... 244,000 88,104
*Poly Investments Holdings, Ltd....................... 1,428,000 50,642
Prestige Properties Holdings, Ltd..................... 1,166,000 63,153
Process Automation Holdings, Ltd...................... 400,000 30,950
*QPL International Holdings, Ltd...................... 651,000 135,162
*RJP Electronics, Ltd................................. 1,350,000 22,284
Realty Development Corp., Ltd. Series A............... 213,000 376,311
Regal Hotels International Holdings, Ltd.............. 4,988,179 591,802
*Rhine Holdings, Ltd.................................. 260,000 2,179
*Rivera Holdings, Ltd................................. 1,912,000 19,725
Ryoden Development, Ltd............................... 2,410,000 198,904
*S.A.S.Dragon Holdings, Ltd........................... 94,400 7,548
SIS International Holdings, Ltd....................... 326,000 34,473
San Miguel Brewery Hong Kong, Ltd..................... 812,400 108,956
Sea Holdings, Ltd..................................... 1,208,000 346,612
*Seapower Resources International, Ltd................ 2,785,000 104,153
*Semi-Tech (Global) Co., Ltd.......................... 1,950,339 94,317
Shaw Brothers Hong Kong, Ltd.......................... 158,000 110,027
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,177,000 125,980
*Shenzhen International Holdings, Ltd................. 2,862,500 39,498
*Shougang Concord Century Holdings, Ltd............... 1,000,000 36,108
*Shougang Concord International Enterprises Co.,
Ltd................................................. 2,196,000 99,117
*Shun Ho Construction (Holdings), Ltd................. 814,380 32,556
*Shun Ho Resources Holdings, Ltd...................... 510,000 17,757
*Shun Shing Holdings, Ltd............................. 726,000 51,493
Shun Tak Holdings, Ltd................................ 1,924,000 601,677
Silver Grant International Industries, Ltd............ 748,000 65,593
Sincere Co., Ltd...................................... 872,000 94,459
*Sing Tao Holdings, Ltd............................... 410,000 68,734
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Singamas Container Holdings, Ltd..................... 360,000 $ 13,463
*Sino Foundations Holdings, Ltd....................... 618,000 20,322
South China Brokerage Co., Ltd........................ 4,418,000 54,695
South China Holdings, Ltd............................. 846,000 110,189
South China Industries, Ltd........................... 1,182,000 60,971
*South Sea Development Co., Ltd....................... 967,000 49,257
*Star Telecom International Holdings, Ltd............. 764,000 133,007
Starlight International Holdings, Ltd................. 708,000 41,999
*Stelux Holdings International, Ltd................... 1,862,552 63,650
Sun Fook Kong Holdings, Ltd........................... 1,018,000 101,085
Sun Hung Kai & Co., Ltd............................... 1,488,000 188,051
*Swank International Manufacturing Co., Ltd........... 226,000 24,481
Tai Cheung Holdings, Ltd.............................. 1,377,000 372,907
Tai Sang Land Development, Ltd........................ 640,900 185,960
*Tak Sing Alliance Holdings, Ltd...................... 1,299,335 41,890
*Tak Wing Investment Holdings, Ltd.................... 370,000 20,279
Tan Chong International Limited....................... 2,943,000 512,355
Tern Properties Co., Ltd.............................. 168,000 31,414
Tian An China Investments Co., Ltd.................... 2,287,000 63,704
Tian Teck Land, Ltd................................... 800,000 109,356
*Top Form International, Ltd.......................... 494,000 9,556
*Tse Sui Luen Jewellry (International), Ltd........... 395,830 17,866
*Tung Fong Hung Holdings, Ltd......................... 138,840 10,922
Tungtex (Holdings) Co., Ltd........................... 558,000 69,080
Tysan Holdings, Ltd................................... 614,000 25,733
*UDL Holdings, Ltd.................................... 1,504,000 17,262
*USI Holdings, Ltd.................................... 671,999 86,659
*Wah Nam Group, Ltd................................... 630,000 3,331
*Winfoong International, Ltd.......................... 1,525,000 57,031
*Wing Fai International, Ltd.......................... 342,000 9,570
*Wing On Co. International, Ltd....................... 588,000 244,542
Wing Shan International, Ltd.......................... 1,130,000 99,091
Winsor Industrial Corp., Ltd.......................... 394,500 54,944
*Winsor Properties Holdings, Ltd...................... 55,000 19,859
*Wo Kee Hong (Holdings), Ltd.......................... 2,722,400 34,405
Wong's Kong King International (Holdings), Ltd........ 874,000 29,868
World Houseware (Holdings), Ltd....................... 609,639 27,909
*Yaohan International Holdings, Ltd................... 1,660,000 8,349
*Yau Lee Holdings, Ltd................................ 2,631,000 34,607
*Yoshiya International Corp., Ltd..................... 720,000 27,855
Yugang International, Ltd............................. 1,258,000 30,823
------------
TOTAL COMMON STOCKS
(Cost $32,231,147)................................... 22,568,308
------------
RIGHTS/WARRANTS -- (0.0%)
*Champion Technology Holdings, Ltd. Warrants
06/30/00............................................ 426,800 18,438
*Chinese Estates Holdings, Ltd. Warrants 11/24/00..... 267,513 15,869
*Chinese Estates Holdings, Ltd. Warrants 11/24/00..... 267,513 13,454
*Far East Consortium International, Ltd. Warrants
10/31/99............................................ 132,604 171
*Four Seas Travel International, Ltd. Warrants
12/08/00............................................ 47,200 1,181
*Grande Holdings, Ltd. Warrants 10/15/00.............. 89,600 2,658
</TABLE>
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<TABLE>
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<S> <C> <C>
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 120,800 $ 1,340
*KTP Holdings, Ltd. Warrants 09/30/99................. 23,000 30
*Mansion Holdings, Ltd. Warrants 07/28/01............. 113,200 511
*Paul y Properties Group, Ltd. Warrants 01/17/00...... 2,261 1,837
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 55,489
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $41,096)...................................... 41,082
------------
TOTAL -- HONG KONG
(Cost $32,272,243)................................... 22,664,879
------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.7%)
A.P. Eagers, Ltd...................................... 16,699 45,857
#Adelaide Brighton, Ltd............................... 449,901 270,624
*Aerodata Holdings, Ltd............................... 52,987 4,157
*An Feng Kingstream Steel, Ltd........................ 81,521 5,277
*Anzoil NL............................................ 38,461 4,526
Ashton Mining, Ltd.................................... 448,960 208,414
Asia Pacific Specialty Chemicals, Ltd................. 94,300 64,739
Atkins Carlyle, Ltd................................... 45,288 100,972
*Aurora Gold, Ltd..................................... 45,000 26,480
Ausdrill, Ltd......................................... 138,312 42,503
Australian Hospital Care, Ltd......................... 179,800 111,680
Australian Oil & Gas Corp., Ltd....................... 71,875 72,840
*Australian Resources, Ltd............................ 352,493 53,008
Avatar Industries, Ltd................................ 253,698 84,596
BT Hotel Group BHT.................................... 325,000 161,495
*Beach Petroleum NL................................... 824,454 16,171
Bridgestone Australia, Ltd............................ 26,822 56,557
*CIM Resources, Ltd................................... 325,177 14,670
Caltex Australia, Ltd................................. 307,800 759,911
*Cambridge Gulf Exploration NL........................ 93,366 4,823
Capral Aluminium, Ltd................................. 435,676 632,381
*#Centaur Mining & Exploration, Ltd................... 620,579 125,783
Centennial Coal, Ltd.................................. 57,778 29,844
Central Equity, Ltd................................... 155,382 184,899
Centro Properties, Ltd................................ 182,735 320,198
*Climax Mining, Ltd................................... 139,697 15,527
Consolidated Paper Industries, Ltd.................... 14,094 22,116
*Consolidated Rutile, Ltd............................. 437,974 178,974
*Coplex Resources NL.................................. 351,512 20,684
Coventry Group, Ltd................................... 66,628 211,717
Crane (G.E) Holdings, Ltd............................. 53,355 294,777
*Crevet, Ltd.......................................... 46,997 12,291
*Croesus Mining NL.................................... 154,735 38,950
*Crown, Ltd........................................... 1,439,216 818,667
*Cudgen RZ, Ltd....................................... 47,724 20,282
*Cumnock Coal, Ltd.................................... 40,710 5,257
*Denehurst, Ltd....................................... 78,163 3,731
*Devex, Ltd........................................... 141,218 29,085
Dome Resources NL..................................... 195,839 29,450
*Dominion Mining, Ltd................................. 116,119 29,609
ERG, Ltd.............................................. 296,242 503,596
*Eagers (A.P.), Ltd. Issue 99......................... 4,174 11,216
#Email, Ltd........................................... 415,207 797,859
*Emporer Mines, Ltd................................... 135,024 41,493
SHARES VALUE+
------------ ------------
*Energy Equity Corp., Ltd............................. 393,461 $ 72,031
Energy Resources of Australia, Ltd. Series A.......... 200,366 229,258
Finemore Holdings, Ltd................................ 48,477 68,145
Forrester Parker Group, Ltd........................... 169,862 124,387
GUD Holdings, Ltd..................................... 17,778 24,177
Gazal Corp., Ltd...................................... 89,069 93,759
*General Gold Resources NL............................ 169,056 5,416
*Gold Mines of Australia, Ltd......................... 39,934 1,906
Goldfields, Ltd....................................... 473,424 290,964
Gowing Bros., Ltd..................................... 77,744 94,037
Grand Hotel Group..................................... 70,000 69,567
Green's Foods, Ltd.................................... 81,301 31,894
HIH Insurance, Ltd.................................... 99,049 110,741
Hancock and Gore, Ltd................................. 57,923 53,020
Healthscope, Ltd...................................... 127,219 35,767
Henry Walker Group, Ltd............................... 125,880 169,545
*Holyman, Ltd......................................... 92,339 22,640
Homestake Mining Co................................... 68,662 534,226
*Hudson Conway, Ltd................................... 89,183 341,114
Hudson Timber & Hardware, Ltd......................... 74,375 36,471
Iama, Ltd............................................. 174,262 267,752
*Intag International, Ltd............................. 93,568 1,835
Ipoh, Ltd............................................. 208,463 258,422
Ipswich and West Moreton Building Society, Ltd........ 23,034 43,976
Jones (David), Ltd.................................... 118,100 117,370
Jupiters, Ltd......................................... 596,821 1,404,781
*Kidston Gold Mines, Ltd.............................. 198,750 54,578
*Lachlan Resources NL................................. 217,903 7,480
*MRI Holdings, Ltd.................................... 87,075 27,612
MacMahon Holdings, Ltd................................ 305,720 67,962
Magellan Petroleum Australia, Ltd..................... 29,537 28,968
*Meekatharra Minerals, Ltd............................ 184,462 20,503
Metalcorp, Ltd........................................ 30,160 26,818
#Mirvac, Ltd.......................................... 275,038 399,036
*New Hampton Goldfields NL............................ 145,700 19,052
*Newcrest Mining, Ltd................................. 474,531 884,242
Normandy Mt. Leyshon, Ltd............................. 123,978 144,287
Novus Petroleum, Ltd.................................. 41,840 43,223
*Orbital Engine Corp., Ltd............................ 165,000 40,995
PMP Communications, Ltd............................... 724,135 1,510,331
Pacific Hydro, Ltd.................................... 84,291 62,276
Parbury, Ltd.......................................... 30,916 6,165
*Payce Consolidated, Ltd.............................. 74,466 38,950
*Peptide Technology, Ltd.............................. 153,432 51,162
*Perilya Mines NL..................................... 167,228 25,148
Permanent Trustee Co., Ltd............................ 18,736 150,063
*Petroz NL............................................ 74,200 24,257
Pirelli Cables Australia, Ltd......................... 168,560 85,963
Portman Mining, Ltd................................... 152,897 77,975
QCT Resources, Ltd.................................... 472,579 241,008
*RGC Unsecured, Ltd................................... 388,221 0
Reinsurance Australia Corp., Ltd...................... 74,880 52,875
Resolute, Ltd......................................... 445,413 267,925
Ridley Corp., Ltd..................................... 88,750 56,866
Schaffer Corp., Ltd................................... 14,106 23,149
Sea World Property Trust.............................. 61,000 35,097
*Solution 6 Holdings, Ltd............................. 6,950 13,814
Southern Cross Broadcasting (Australia), Ltd.......... 46,625 256,071
Spicers Paper, Ltd.................................... 245,591 311,513
</TABLE>
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<S> <C> <C>
*St. Barbara Mines, Ltd............................... 329,338 $ 15,073
*Star Mining Corp. NL................................. 302,691 792
Tassal, Ltd........................................... 41,201 35,558
*Techniche, Ltd....................................... 34,687 23,133
Thakral Holdings Group................................ 824,280 317,972
*Thakral Holdings Group............................... 36,324 13,775
Ticor, Ltd............................................ 482,210 182,863
*Titan Resources NL................................... 125,121 9,817
Tourism Assets Holdings, Ltd.......................... 116,568 48,016
*Union Gold Mining Co. NL............................. 118,986 46,678
Village Roadshow, Ltd................................. 109,348 193,035
Visions Systems, Ltd.................................. 16,915 76,863
Walker Corp., Ltd..................................... 499,888 225,519
Wesfi, Ltd............................................ 77,830 72,260
Western Metals, Ltd................................... 98,340 28,291
Westralian Sands, Ltd................................. 389,396 814,711
White (Joe) Maltings, Ltd............................. 38,847 79,245
Wide Bay Capricorn Building Society, Ltd.............. 27,551 65,749
Yates (Arthur) and Co. Property, Ltd.................. 344,230 225,066
------------
TOTAL COMMON STOCKS
(Cost $23,359,416)................................... 18,520,667
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $305,560)..................................... 305,344
------------
RIGHTS/WARRANTS -- (0.0%)
*Adelaide Brighton, Ltd. Rights 06/25/99.............. 134,970 15,884
*Beach Petroleum NL Warrants 03/31/04................. 274,818 1,437
*Eagers (A.P.), Ltd. Warrants 01/31/03................ 4,174 0
*General Gold Resources NL Warrants 06/30/02.......... 33,811 354
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 17,675
------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A (Cost $8,642)..... 5,158 7,757
------------
TOTAL -- AUSTRALIA
(Cost $23,673,618)................................... 18,851,443
------------
ITALY -- (3.7%)
COMMON STOCKS -- (3.7%)
*Ansaldo Trasporti SpA................................ 497,000 654,782
*Banca Nazionale dell'Agricoltura SpA................. 1,857,500 4,855,549
#Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 172,500 559,140
*Brioschi Finanziaria SpA, Milano..................... 100,000 18,507
*CEMENTIR (Cementarie del Tirreno SpA), Roma.......... 1,680,000 1,654,740
Caltagirone SpA....................................... 1,145,000 1,113,417
Cementeria di Augusta SpA............................. 142,500 257,024
#Cia Assicuratrice Unipol SpA......................... 215,464 939,464
Comau SpA............................................. 295,500 997,998
*#FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)........ 527,000 1,234,321
Finarte Casa d'Aste SpA (Milano)...................... 135,000 252,672
SHARES VALUE+
------------ ------------
*Finarte Partecipazioni Pro Arte SpA.................. 277,050 $ 157,589
*Fincasa 44 SpA....................................... 175,000 40,439
Gabetti Holding SpA................................... 175,000 239,706
*Grassetto SpA........................................ 110,000 0
*Impregilo SpA........................................ 655,000 494,479
#Ipi SpA.............................................. 447,500 793,108
Linificio & Canapificio Nazionale SpA................. 185,000 79,309
Maffei SpA............................................ 90,500 114,499
Marangoni SpA, Rovereto............................... 68,000 216,148
Montefibre SpA, Milano................................ 262,464 147,646
*Necchi SpA........................................... 62,500 22,677
*Premafin Finanziaria SpA............................. 1,092,000 694,218
*Premaimm SpA......................................... 523,000 224,210
Riva Finanziaria SpA.................................. 86,000 265,271
*SISA (Societa Imballaggi Speciali Asti SpA).......... 175,000 125,342
SMI STA Metallurgica Italiana SpA..................... 290,000 151,917
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 640,000 378,092
*Stayer SpA........................................... 117,500 127,159
Vianini Industria SpA................................. 315,000 260,200
Vianini Lavori SpA.................................... 448,250 838,963
Zucchi (Vincenzo) SpA................................. 74,000 544,721
------------
TOTAL -- ITALY
(Cost $11,341,031)................................... 18,453,307
------------
NETHERLANDS -- (3.3%)
COMMON STOCKS -- (3.3%)
ACF Holding NV (Certificate).......................... 53,200 801,021
Bam Groep NV.......................................... 17,307 1,049,589
Begemann Groep NV..................................... 44,600 496,654
*Begemann Groep NV Series B........................... 44,600 123,581
Cindu International NV................................ 3,580 123,154
Econosto NV........................................... 23,124 269,592
Gamma Holding NV...................................... 55,716 2,505,059
Gemeenschappeljk Bezit Crown van Gelder NV............ 40,320 583,902
Hollandsche Beton Groep NV............................ 31,372 403,475
Kas-Associatie NV..................................... 16,350 956,505
Koninklijke Ten Cate NV............................... 39,230 1,400,808
Landre & Glinderman NV................................ 3,434 118,491
MacIntosh NV.......................................... 63,909 1,737,420
NKF Holding NV........................................ 38,465 1,260,877
Nagron Nationaal Grondbezit NV........................ 2,218 54,964
Nedlloyd Groep NV, Rotterdam.......................... 35,000 834,396
Norit NV.............................................. 78,571 591,513
Polynorm NV........................................... 13,226 804,861
Roto Smeets de Boer NV................................ 20,100 671,485
Sphinx NV............................................. 36,562 353,624
*Textielgroep Twenthe NV.............................. 1,200 104,017
*Tulip Computers NV................................... 38,643 163,642
Ubbink NV............................................. 900 30,114
*Van Dorp Groep NV.................................... 11,630 192,147
Vredestein NV......................................... 64,470 660,622
------------
TOTAL COMMON STOCKS
(Cost $18,111,573)................................... 16,291,513
------------
RIGHTS/WARRANTS -- (0.0%)
*Begemann Groep NV Rights 06/02/99.................... 44,600 0
*Hollandsche Beton Groep NV Rights 06/02/99........... 31,372 0
</TABLE>
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<S> <C> <C>
*Kas-Associate NV Rights Open Pay Date................ 16,350 $ 0
*Norit Rights NV Rights 06/21/99...................... 78,571 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $18,111,573)................................... 16,291,513
------------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
*BAMI SA (Inmobiliara de Construcciones y Terrenos)... 43,440 195,312
Banco de Valencia..................................... 3,700 31,569
Banco Guipuzcoano SA.................................. 76,988 998,192
*Banco Pastor SA, La Coruna........................... 17,000 885,035
Banco Zaragozano SA................................... 51,800 1,596,171
Bodegas y Bebedas SA.................................. 23,836 256,708
Elecnor SA............................................ 5,770 187,028
#Empresa Nacional de Celulosa SA...................... 54,900 972,997
Energia e Industrias Aragonesas SA.................... 5,300 30,313
*Ercros SA............................................ 21,800 19,375
*#Europistas Concesionaria Espanola SA................ 232,238 1,473,980
*Fabricacion de Automoviles Renault de Espana SA...... 12,690 504,214
*#Filo SA............................................. 65,600 124,837
*Filo SA Class A Issue 99............................. 69,458 132,179
GESA (Gas y Electricidad SA).......................... 17,400 1,367,249
*Grupo Fosforera SA................................... 12,060 17,583
*Inbesos SA........................................... 16,000 57,216
*Inmobiliaria Urbis SA................................ 144,300 2,055,005
*Nueva Montana Quijano SA Series B.................... 122,740 92,403
Omsa Alimentacion SA.................................. 38,675 287,117
Papelera de Navarra SA................................ 7,851 172,391
*Pescanova SA......................................... 24,900 259,836
*Reno de Medici SpA................................... 303,261 729,313
#Tableros de Fibras SA Series B....................... 57,730 706,851
Tavex Algodonera SA................................... 17,800 173,090
Transportes Ferroviarios Especiales Tranfesa.......... 25,580 334,334
Unipapel SA........................................... 34,058 425,556
Uralita SA............................................ 63,500 586,279
VT Holding A.S........................................ 7,839 71,720
------------
TOTAL COMMON STOCKS
(Cost $9,924,790).................................... 14,743,853
------------
RIGHTS/WARRANTS -- (0.0%)
*Tableros de Fibras SA Rights 06/24/99
(Cost $0)........................................... 57,730 4,829
------------
TOTAL -- SPAIN
(Cost $9,924,790).................................... 14,748,682
------------
SWITZERLAND -- (2.9%)
COMMON STOCKS -- (2.8%)
Attisholz Holding AG, Attisholz....................... 1,670 1,000,774
Banque Cantonale de Geneve............................ 130 24,489
Banque Privee Edmond de Rothschild SA, Geneve......... 105 534,121
Bobst SA, Prilly...................................... 20 24,679
Bucher Holding AG, Niederweningen..................... 2,125 1,848,093
Calida Holding AG..................................... 400 88,216
Canon (Schweiz) AG, Dietlikon......................... 9,900 586,451
SHARES VALUE+
------------ ------------
Carlo Gavazzi Holding AG, Baar Series B............... 230 $ 144,172
Cie Financiere Tradition.............................. 750 46,766
Coop Bank, Basel...................................... 370 275,643
Daetwyler Holding AG, Atldorf......................... 940 1,446,837
Financiere Michelin, Granges-Paccot................... 210 95,108
Forbo Holding AG, Eglisau............................. 270 110,762
Galenica Holding AG, Bern Series B.................... 3,115 1,515,044
Golay-Buchel Holding SA, Lausanne..................... 125 105,019
Industrieholding Cham AG, Cham........................ 325 238,919
Keramik Holding AG Laufen, Laufen..................... 1,540 449,811
Kuehne & Nagel International AG, Schindellegi......... 700 505,405
Maag Holding AG, Zuerich.............................. 1,900 422,768
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 60 116,178
Sihl Zuercher Papierfabriek an der Sihl, Zuerich...... 50 10,830
UMS Schweizerische Metallwerke Holding AG, Bern....... 3,200 264,649
Unigestion Holding, Geneve............................ 9,200 404,587
Valiant Holding....................................... 160 69,838
Vaudoise Assurances Holding, Lausanne................. 189 459,000
Vaudoise d'Electricite SA, Morges..................... 95 183,636
WMH Walter Meier Holding AG, Staefa................... 260 225,266
Zehnder Holding AG.................................... 50 24,253
Zellweger Luwa AG, Uster.............................. 590 399,651
Zschokke Holding SA, Geneve........................... 1,950 533,728
*Zueblin Holding AG................................... 330 2,989
*Zueblin Holdings AG Em 99............................ 110 996
Zuercher Ziegeleien Holding, Zuerich.................. 2,000 1,627,799
------------
TOTAL COMMON STOCKS
(Cost $12,939,514)................................... 13,786,477
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs
(Cost $449,306)..................................... 448,589
------------
RIGHTS/WARRANTS -- (0.0%)
*Carlo Gavazzi Holding AG Warrants 06/30/99
(Cost $0)........................................... 1,150 528
------------
TOTAL -- SWITZERLAND
(Cost $13,388,820)................................... 14,235,594
------------
SWEDEN -- (2.8%)
COMMON STOCKS -- (2.7%)
Alma Industri & Handel AB Series B.................... 8,000 149,300
*Althin Medical AB Series B........................... 23,800 130,474
Anders Dioes AB....................................... 5,500 31,306
Angpannefoereningen AB Series B....................... 7,650 100,384
*Argonaut AB Series A................................. 62,600 43,810
*Argonaut AB Series B................................. 571,480 399,947
Avesta Sheffield AB................................... 214,800 859,367
B & N Bylock & Nordsjoefrakt AB Series B.............. 99,200 174,719
BPA AB Series A....................................... 64,900 227,857
BPA AB Series B....................................... 84,000 274,339
Beijer AB Series B.................................... 8,000 99,845
Berg (C.F.) & Co. AB Series B......................... 19,200 41,431
Bong Ljungdahl AB..................................... 15,200 132,084
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Boras Waefveri AB Series B............................ 15,900 $ 86,238
#Capona AB............................................ 74,742 296,411
Castellum AB.......................................... 16,500 148,192
Catena AB Series A.................................... 3,300 30,986
Celsius Industrier AB Series B........................ 42,900 535,416
Cloetta AB Series B................................... 1,700 21,415
Concordia Maritime AB Series B........................ 136,100 190,498
Diligentia AB......................................... 108,370 821,624
Esselte AB Series A................................... 2,000 30,327
Esselte AB Series B................................... 3,600 55,428
Evidentia Fastigheter AB Series A..................... 40,410 226,246
Evidentia Fastigheter AB Series B..................... 3,900 21,835
FFNS Gruppen AB Series B.............................. 47,050 345,741
*Fagerlid Industrier AB............................... 51,750 90,542
Fastighets AB Tornet.................................. 17,750 242,234
Fastighits AB Celtica................................. 11,000 61,586
*Firefly AB........................................... 5,800 5,074
Geveko AB Series B.................................... 19,900 236,757
Gorthon Lines AB Series B............................. 69,300 239,263
Gunnebo AB............................................ 4,800 41,991
ICB Shipping AB Series B.............................. 135,200 835,801
*Intelligent Micro Systems Data AB.................... 7,500 32,368
*JP Bank Series A..................................... 48,100 193,560
*JP Bank Series B..................................... 23,100 94,304
Jacobson and Widmark AB............................... 31,000 227,799
*Kjessler & Mannerstrale AB........................... 20,200 117,807
*Klippans Finpappersbruk AB........................... 30,800 91,610
Ljungberg Gruppen AB Series B......................... 2,100 20,331
*Meda AB Series A..................................... 12,700 112,582
Monark Stiga AB....................................... 8,900 34,257
Munksjo AB............................................ 14,300 108,418
*NH Nordiska Holding AB............................... 86,500 90,805
Naerkes Elektriska AB Series B........................ 26,100 182,659
Norrporten Fastighets AB.............................. 2,200 31,563
PEAB AB Series B...................................... 19,500 49,811
Pandox Hotelfastigheter AB............................ 4,900 36,293
Perstorp AB Series B.................................. 7,600 86,431
#Piren AB............................................. 97,647 620,734
Platzer Bygg AB Series B.............................. 236,100 278,143
#Prifast AB........................................... 74,742 636,412
Rottneros Bruk AB..................................... 1,191,000 826,569
*Scandiaconsult AB.................................... 31,700 225,548
Scribona AB Series A.................................. 6,200 18,079
Scribona AB Series B.................................. 5,000 14,405
Spendrups Bryggeri AB Series B........................ 47,200 198,196
Stena Line AB Series B................................ 303,500 361,085
Sweco AB Series B..................................... 47,050 175,614
*Wallenstam Byggnads AB Series B...................... 79,600 389,953
Westergyllen AB Series B.............................. 6,800 89,627
#Wihlborg & Son AB Series B........................... 560,350 633,989
------------
TOTAL COMMON STOCKS
(Cost $16,619,492)................................... 13,207,420
------------
FACE
AMOUNT@
------------
(000)
BONDS -- (0.1%)
Wihlborgs Fastigheter AB 5.83% Notes 12/02/02
(Cost $452,917)..................................... 57 642,453
------------
SHARES VALUE+
------------ ------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $226,342)..................................... $ 223,962
------------
RIGHTS/WARRANTS -- (0.0%)
*Humlegarden Fastigheter Series B Rights 06/08/99..... 47,050 15,970
*Wihlborgs Fastigheter AB Warrants 12/20/02........... 169,740 17,027
------------
TOTAL RIGHTS/WARRANTS
(Cost $85,873)....................................... 32,997
------------
TOTAL -- SWEDEN
(Cost $17,384,624)................................... 14,106,832
------------
MALAYSIA -- (2.7%)
COMMON STOCKS -- (2.7%)
*A&M Realty Berhad.................................... 135,000 31,547
AMMB Holdings Berhad.................................. 79,400 121,189
*Advance Synergy Berhad............................... 523,000 94,691
Affin Holdings Berhad................................. 114,000 72,480
Aluminum Co. of Malaysia.............................. 175,000 60,053
Amalgamated Containers Berhad......................... 67,000 13,188
Amsteel Corp. Berhad.................................. 252,000 34,749
Ancom Berhad.......................................... 171,000 60,840
Angkasa Marketing Berhad.............................. 206,000 37,730
*Anson Perdana Berhad................................. 122,000 29,537
Antah Holding Berhad.................................. 275,000 64,842
*Aokam Perdana Berhad................................. 10,333 40,137
*Arab Malaysia Corp. Berhad........................... 113,000 30,213
Arab Malaysia Finance Berhad.......................... 91,000 60,922
Asas Dunia Berhad..................................... 77,000 22,208
*Asia Pacific Land Berhad............................. 1,101,000 134,438
*Austral Amalgamated Berhad........................... 256,000 22,905
Austral Enterprises Berhad............................ 224,000 188,632
Bandar Raya Developments Berhad....................... 605,000 193,600
Batu Kawan Berhad..................................... 358,000 331,621
*Berjaya Industrial Berhad............................ 130,000 12,589
*Bimb Holdings Berhad................................. 163,800 84,141
*Bolton Properties Berhad............................. 79,000 48,065
Boustead Holdings Berhad.............................. 441,000 308,236
Cahya Mata Sarawak Berhad............................. 123,000 66,808
Cement Industries of Malaysia Berhad.................. 204,000 121,541
Chin Teck Plantations Berhad.......................... 55,000 74,105
Chocolate Products (Malaysia) Berhad.................. 540,000 66,505
Choo Bee Metal Industries Berhad...................... 128,000 31,259
Cold Storage (Malaysia) Berhad........................ 125,000 57,895
Commerce Asset Holding Berhad......................... 156,000 264,379
DNP Holdings Berhad................................... 487,000 108,678
*Damansara Realty Berhad.............................. 1,136,000 136,320
Datuk Keramik Holdings Berhad......................... 309,000 67,655
Diethelm Holdings (Malaysia) Berhad................... 101,000 24,453
Diversified Resources Berhad.......................... 53,000 27,560
*Eastern & Oriental Berhad............................ 143,000 54,189
Eastern Pacific Industrial Corp. Berhad............... 125,000 54,211
*Econstates Berhad.................................... 193,000 49,977
*FACB Berhad.......................................... 969,000 108,120
FCW Holdings Berhad................................... 182,000 45,979
*Faber Group Berhad................................... 65,000 8,484
Far East Holdings Berhad.............................. 78,000 45,651
</TABLE>
69
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Federal Flour Mills Berhad............................ 274,000 $ 214,585
Fima Corp. Berhad..................................... 4,000 2,147
Gadek (Malaysia) Berhad............................... 43,000 30,598
*General Corp. Berhad................................. 521,000 82,263
*George Kent (Malaysia) Berhad........................ 108,000 21,600
George Town Holdings Berhad........................... 171,000 43,920
Goh Ban Huat Berhad................................... 72,000 19,099
Gold Coin (Malaysia) Berhad........................... 47,000 47,891
*Granite Industries Berhad............................ 345,000 72,632
*Gula Perak Berhad.................................... 357,000 70,273
Guthrie Ropel Berhad.................................. 196,000 152,674
*HLG Capital Berhad................................... 49,000 20,838
*Ho Hup Construction Co. Berhad....................... 77,000 47,497
Hong Leong Industries Berhad.......................... 217,000 177,255
IGB Corp. Berhad...................................... 583,000 218,472
*Idris Hydraulic (Malaysia) Berhad.................... 87,000 12,180
*Innovest Berhad...................................... 126,000 20,691
*Insas Berhad......................................... 794,000 140,413
Integrated Logistics Berhad........................... 107,000 29,284
*Intria Berhad........................................ 311,500 40,659
Island & Peninsular Berhad............................ 242,000 165,069
*Jasa Megah Industries Berhad......................... 226,000 42,821
Jeram Kuantan (Malaysia) Berhad....................... 42,000 7,029
Johan Holdings Berhad................................. 121,000 18,341
*KIG Glass Industrial Berhad.......................... 218,000 34,192
*Kamunting Corp. Berhad............................... 1,648,000 270,619
Kanzen Berhad......................................... 83,000 23,065
Keck Seng (Malaysia) Berhad........................... 373,000 131,924
*Kelanamas Industries Berhad.......................... 162,000 19,952
*Kemayan Corp. Berhad................................. 454,000 41,577
Kim Hin Industry Berhad............................... 131,000 41,368
Kuala Sidim Berhad.................................... 203,000 215,821
*Kumpulan Emas Berhad................................. 652,000 115,301
*Kym Holdings Berhad.................................. 51,000 14,495
*Land - General Berhad................................ 649,000 153,027
Landmarks Berhad...................................... 595,000 130,274
*Larut Consolidated Berhad............................ 291,000 67,389
*Leader Universal Holdings Berhad..................... 636,000 170,046
*Leong Hup Holdings Berhad............................ 230,000 54,716
*Lien Hoe Corp. Berhad................................ 80,000 9,937
*Lim Kim Hai Holdings Berhad.......................... 36,000 7,200
Lion Corp. Berhad..................................... 226,800 64,459
Lion Land Berhad...................................... 237,304 37,469
*MBF Holdings Berhad.................................. 1,521,000 65,643
*MBF Land Berhad...................................... 884,000 93,053
MMC Engineering Group Berhad.......................... 25,000 10,789
MUI Properties Berhad................................. 1,017,400 128,514
MWE Holdings Berhad................................... 228,000 45,120
Malayan Flour Mills Berhad............................ 137,000 41,244
Malayawata Steel Berhad............................... 306,000 77,305
Malaysia Building Society Berhad...................... 343,000 106,149
Malaysia Industrial Development Finance Berhad........ 197,000 73,823
Malaysia Mining Corp. Berhad.......................... 1,531,000 599,507
Malaysian Airlines System............................. 154,000 151,730
Malaysian Helicopter Services Berhad.................. 1,070,000 252,295
Malaysian Mosaics Berhad.............................. 108,000 35,242
*Malaysian Plantations Berhad......................... 497,000 149,623
Maruichi Malaysia Steel Tube Berhad................... 101,000 71,444
Mechmar Corp. Berhad.................................. 67,000 12,695
*Mega First Corp. Berhad.............................. 358,000 45,221
Metrojaya Berhad...................................... 152,000 42,560
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Metroplex Berhad...................................... 1,210,000 $ 193,600
*Minho (Malaysia) Berhad.............................. 153,000 31,566
Muda Holdings Berhad.................................. 223,000 47,886
Mulpha International Berhad........................... 1,291,250 180,775
*NCK Corp. Berhad..................................... 25,000 8,105
Nam Fatt Berhad....................................... 143,000 52,082
New Straits Times Press (Malaysia) Berhad............. 40,000 58,526
OSK Holdings.......................................... 58,000 35,411
*Olympia Industries Berhad............................ 203,000 33,976
Oriental Holdings Berhad.............................. 197,200 361,187
PJ Development Holdings Berhad........................ 103,000 20,600
Palmco Holdings Berhad................................ 229,000 63,156
Pan Pacific Asia Berhad............................... 165,000 70,863
*Panglobal Berhad..................................... 180,000 26,147
Paramount Corp. Berhad................................ 100,000 27,368
Peladang Kimia Berhad................................. 107,000 42,800
Perlis Plantations Berhad............................. 380,000 374,400
Pernas International Holdings Berhad.................. 834,000 214,206
Perusahaan Otomobil Nasional Berhad................... 173,000 335,074
Pilecon Engineering Berhad............................ 257,000 61,139
Prime Utilities Berhad................................ 56,000 45,272
*Promet Berhad........................................ 201,000 12,272
Public Finance Berhad................................. 66,000 48,632
Putera Capital Berhad................................. 77,000 28,531
Road Builders (Malaysia) Holdings Berhad.............. 35,000 47,526
SCB Developments Berhad............................... 215,000 107,274
SP Settia Berhad...................................... 35,000 31,537
Sarawak Enterprise Corp. Berhad....................... 293,000 107,331
Scientex, Inc. Berhad................................. 3,000 1,415
Selangor Dredging Berhad.............................. 356,000 44,968
Selangor Properties Berhad............................ 532,000 221,760
Shangri-la Hotels (Malaysia) Berhad................... 682,000 206,754
Siah Brothers Corp. Berhad............................ 52,000 12,261
*Silverstone Berhad................................... 66,920 0
*South East Asia Lumber, Inc. Berhad.................. 12,000 3,309
*South Malaysia Industries Berhad..................... 240,000 29,305
Southern Acids (Malaysia) Berhad...................... 24,000 7,983
Ta Enterprise Berhad.................................. 941,000 311,025
*Taiping Consolidated Berhad.......................... 332,000 14,678
Talam Corp. Berhad.................................... 191,000 45,438
Tan & Tan Developments Berhad......................... 496,000 167,074
Tan Chong Motor Holdings Berhad....................... 134,000 50,779
*Time Engineering Berhad.............................. 149,000 31,996
*Tongkah Holdings Berhad.............................. 205,000 63,442
Tradewinds (Malaysia) Berhad.......................... 289,000 142,979
Tronoh Mines Malaysia Berhad.......................... 62,000 80,274
UMW Holdings Berhad................................... 249,000 348,600
Utusan Melayu (Malaysia) Berhad....................... 95,000 26,600
*Wembley Industries Holdings Berhad................... 128,000 0
*Westmont Industries Berhad........................... 361,000 67,640
*Wing Tiek Holdings Berhad............................ 86,000 16,114
Worldwide Holdings Berhad............................. 156,000 52,876
------------
TOTAL -- MALAYSIA
(Cost $35,960,265)................................... 13,429,853
------------
NORWAY -- (2.0%)
COMMON STOCKS -- (2.0%)
*Askia Invest ASA..................................... 93,000 20,635
Awilco ASA Series A................................... 22,700 37,416
</TABLE>
70
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bergensbanken ASA..................................... 24,056 $ 362,958
Bonheur ASA........................................... 3,655 99,635
Braathens S.A.F.E. ASA................................ 86,300 317,318
Broevig Offshore ASA.................................. 6,600 25,104
C. Tybring-Gjedde ASA................................. 19,000 72,270
Choice Hotel Scandinavia ASA.......................... 13,000 32,965
Color Line ASA........................................ 110,300 338,436
Dyno Industrier ASA................................... 68,522 1,164,182
Elkem ASA............................................. 132,052 2,092,864
Farstad Shipping ASA.................................. 14,900 39,673
Fesil ASA............................................. 19,257 103,768
*Ganger Rolf ASA...................................... 3,000 78,737
Gresvig ASA........................................... 13,300 107,924
Hafslund ASA.......................................... 45,500 271,141
Helicopter Services Group ASA......................... 54,652 329,144
Kenor ASA............................................. 24,000 10,346
Kvaerner ASA.......................................... 13,300 220,064
#Kverneland ASA....................................... 21,732 537,304
Leif Hoegh & Co. ASA.................................. 80,400 1,111,139
Moelven Industrier ASA................................ 179,016 172,501
Nera ASA.............................................. 157,700 373,903
Nomadic Shipping ASA.................................. 33,021 18,840
Nordlandsbanken ASA................................... 16,808 443,267
Nydalens Compagnie ASA Series A....................... 10,112 58,336
Ocean Rig ASA......................................... 115,800 41,257
Raufoss Ammunisjonfabrikker ASA....................... 3,100 23,976
Sagatex AS............................................ 18,200 70,381
Sas Norge ASA Series B................................ 7,700 73,221
*Sensonor ASA......................................... 57,632 159,296
Smedvig ASA........................................... 30,600 345,301
Storli ASA Series A................................... 52,474 625,400
Ugland Nordic Shipping ASA............................ 4,000 31,444
Veidekke ASA.......................................... 3,000 43,933
Waterfront Shipping ASA............................... 240 3,226
Wilhelmsen (Wilhelm), Ltd. ASA........................ 3,850 104,951
------------
TOTAL COMMON STOCKS
(Cost $11,807,548)................................... 9,962,256
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $269,757)..................................... 270,437
------------
TOTAL -- NORWAY
(Cost $12,077,305)................................... 10,232,693
------------
DENMARK -- (1.9%)
COMMON STOCKS -- (1.9%)
Aalborg Portland Holding A.S. Series A................ 22,780 426,380
Aalborg Portland Holding A.S. Series B................ 5,950 111,368
Aarhus Oliefabrik A.S. Aeries A....................... 6,770 176,259
Albani Bryggerierne Series B.......................... 1,140 78,613
Alm Brand A.S. Series B............................... 28,044 513,068
Amagerbanken A.S...................................... 3,842 140,580
Ambu International A.S. Series B...................... 608 32,515
Amtssparekassen Fyn A.S............................... 4,181 190,641
Andersen & Martini Series B........................... 500 18,858
Bording (F.E.) A.S. Series B.......................... 475 22,060
Broedrene Hartmann A.S. Series B...................... 1,312 178,178
Chemitalic A.S........................................ 2,230 24,793
Cubic Modulsystem A.S. Series B....................... 400 26,194
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Dalhoff, Larsen & Hornemann A.S. Series B............. 1,813 $ 52,305
Dampskibsselsk et Torm A.S............................ 3,657 128,273
Dampskibsselskabet Norden A.S......................... 937 50,109
Dansk Data Elektronik A.S............................. 1,190 30,815
Denka Holding A.S..................................... 400 30,680
Djursland Bank........................................ 473 29,622
East Asiatic Co., Ltd................................. 46,252 468,657
Egnsbank Fyn Aktieselskab............................. 300 29,554
Egnsbank Han Herred................................... 2,545 66,260
Egnsbank Nord A.S..................................... 708 56,794
Ejendamsselskabet Norden A.S.......................... 2,643 117,165
Fih A.S. Series B..................................... 33,364 647,961
Foras Holding A.S. Series B........................... 2,979 113,195
Forsikringsselskabet Codan A.S........................ 1,880 193,669
Forstaedernes Bank.................................... 4,715 80,953
Fredgaard Radio A.S................................... 2,177 129,902
Haandvaerkerbanken I Naestved......................... 519 35,059
*Haandvaerkerbanken I Naewstved Issue 99.............. 103 7,030
Hedegaard (Peder P.) A.S.............................. 1,406 48,478
Henriksen Og Henriksen Holding A.S. Series B.......... 500 29,202
Hoejgaard Holding A.S. Series A....................... 2,076 187,408
Hoejgaard Holding A.S. Series B....................... 1,415 129,438
Hoffman & Sonner A.S. Series B........................ 1,261 42,591
Junckers (F.) Industrier A.S.......................... 3,475 102,699
Kompan A.S............................................ 310 20,941
Korn-Og Foderstof Kompagnet A.S....................... 26,230 535,252
Lan & Spar Bank A.S................................... 5,706 170,239
Lauritzen (J.) Holding Series B....................... 5,218 536,067
Lokalbanken I Nordsjaelland A.S....................... 690 51,466
Midtbank A.S.......................................... 5,700 169,258
Migatronic Series B................................... 1,294 33,690
Moens Bank A.S........................................ 424 17,901
Morso Bank............................................ 240 18,577
Naestved Diskontobanken............................... 651 56,802
Nordvestbank.......................................... 1,059 84,722
Norresundby Bank...................................... 439 55,603
*Obtec A.S............................................ 510 27,417
Ove Arkil Series B.................................... 680 54,548
Per Aarsleff A.S. Series B............................ 610 24,981
*Rederiet Knud I. Larsen A.S.......................... 3,619 255
Ringkjoebing Bank..................................... 344 57,804
Ringkjoebing Landbobank............................... 513 116,956
Salling Bank.......................................... 500 20,406
Sanistal A.S. Series B................................ 920 32,368
*Scanbox Danmark A.S. Series B........................ 3,400 57,706
Skaelskor Bank........................................ 540 28,498
Skjern Bank A.S....................................... 306 20,240
Spaencom A.S.......................................... 300 18,154
Spar Nord Holding..................................... 11,919 417,668
Sparbank Vest A.S..................................... 2,374 162,271
Sparekassen Faaborg A.S............................... 1,634 128,775
Sydbank A.S........................................... 15,770 610,318
The Bank of Greenland A.S., Nuuk...................... 3,430 96,059
Thrigetitan A.S. Series A............................. 100 7,037
Topdanmark A.S........................................ 2,460 399,861
Torsana A.S. Series B................................. 200 15,480
Totalbanken A.S....................................... 600 30,820
Vestfyns Bank......................................... 500 19,702
Vestjysk Bank......................................... 1,576 83,172
</TABLE>
71
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vt Holdings Shares A.................................. 420 $ 15,072
Vt Holdings Shares B.................................. 3,780 140,971
Wessel & Vett Magasin du Nord A.S. Series C........... 6,498 330,034
------------
TOTAL COMMON STOCKS
(Cost $12,731,825)................................... 9,414,417
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $134,645)..................................... 135,126
------------
TOTAL -- DENMARK
(Cost $12,866,470)................................... 9,549,543
------------
FINLAND -- (1.4%)
COMMON STOCKS -- (1.4%)
Amer Group P.L.C...................................... 80,600 1,209,362
Bank of Aland, Ltd.................................... 5,700 98,340
*Benefon Oy........................................... 19,000 110,260
*Efore Oy............................................. 4,700 26,095
Finnair Oyj........................................... 142,300 729,072
Finvest Oyj........................................... 120,395 214,006
Hk Ruokatalo Oy Series A.............................. 16,100 48,651
Honkarakenne Oy Series B.............................. 15,900 91,439
Ilkka-Yhtyma Oyj...................................... 2,400 47,705
Interavanti Oy........................................ 45,000 43,288
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B.... 11,601 75,207
#Kone Oy Series B..................................... 9,000 1,171,605
Laennen Tehtaat Oy.................................... 12,500 158,802
Lemminkainen Oy....................................... 23,600 219,620
Metsaemarkka Oyj Series B............................. 1,300 9,107
#Okobank Class A...................................... 61,140 552,982
Olvi Oyj Series A..................................... 7,500 145,078
Oy Leo-Longlife, Ltd. Series A........................ 7,800 64,430
#Partek Oyj........................................... 74,600 842,427
Polar Real Estate Corp. Series K...................... 302,400 101,182
Raute Oy Series A..................................... 11,200 93,687
Santasalo-Jot Oy...................................... 17,300 94,063
*Silja Oy AB Series A................................. 76,800 175,060
Tamfelt Oyj........................................... 4,300 103,411
Tulikivi Oy........................................... 5,900 100,248
Yit-Yhtymae Oyj....................................... 29,800 280,432
------------
TOTAL -- FINLAND
(Cost $7,931,404).................................... 6,805,559
------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
Banque Belgo-Zairoise Belgolaise SA................... 83 15,621
Belge des Betons...................................... 626 276,875
CFE (Compagnie Francois d'Entreprises)................ 2,996 548,213
CMB (Cie Martime Belge)............................... 15,400 660,198
Cofinimmo SA.......................................... 6,105 702,179
Floridienne NV........................................ 1,900 104,101
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA)..................................... 1,800 467
Ibel (Nouvelle)....................................... 2,869 193,491
Immobel (Cie Immobiliere de Belgique SA).............. 17,260 1,118,928
*Ipso-Ilg SA.......................................... 3,600 210,418
*Papeteries de Catala SA.............................. 450 73,872
*Plantations Nord-Sumatra SA.......................... 221 25,280
SHARES VALUE+
------------ ------------
#Quick Restaurants SA................................. 6,700 $ 203,162
*#Recticel SA......................................... 58,686 730,215
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 275 33,470
Sapec SA.............................................. 6,401 327,954
Spector Photo Group SA................................ 3,000 97,242
Ter Beke NV........................................... 1,600 100,379
Uco Textiles NV....................................... 2,000 197,620
------------
TOTAL -- BELGIUM
(Cost $6,126,133).................................... 5,619,685
------------
NEW ZEALAND -- (0.9%)
COMMON STOCKS -- (0.9%)
*AFFCO Holdings, Ltd.................................. 353,900 41,743
CDL Hotels NZ, Ltd.................................... 723,600 131,903
CDL Investments NZ, Ltd............................... 271,900 36,444
Cavalier Corp., Ltd................................... 53,900 98,253
Ceramco Corp., Ltd.................................... 72,600 52,547
DB Group, Ltd......................................... 208,700 262,947
Donaghys, Ltd......................................... 52,800 35,385
Eastern Equities Corp., Ltd........................... 71,200 17,178
*Evergreen Forests, Ltd............................... 227,300 54,839
Independent Newspapers, Ltd. (Auckland)............... 267,047 987,905
LWR Industries, Ltd................................... 40,000 23,376
New Zealand Oil & Gas, Ltd............................ 273,900 49,929
*Northland Port Corp. (New Zealand), Ltd.............. 71,700 47,667
*Otter Gold Mines, Ltd................................ 110,906 53,515
PDL Holdings, Ltd..................................... 28,100 72,314
Progessive Enterprises, Ltd........................... 143,025 180,201
*Richina Pacific, Ltd................................. 149,426 52,074
Sanford, Ltd.......................................... 214,000 523,187
Shortland Properties, Ltd............................. 543,600 171,953
St. Lukes Group, Ltd.................................. 357,594 371,938
Steel & Tube Holdings, Ltd............................ 132,200 116,948
Tasman Agriculture, Ltd............................... 233,400 97,605
Taylors Group, Ltd.................................... 42,000 25,896
*Tourism Holdings, Ltd................................ 97,814 114,323
Trans Tasman Properties, Ltd.......................... 750,040 152,808
Tranz Rail Holdings, Ltd.............................. 249,900 454,197
Wrightson, Ltd........................................ 222,300 40,522
------------
TOTAL COMMON STOCKS
(Cost $3,936,290).................................... 4,267,597
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $3,899)..................... 3,773
------------
TOTAL -- NEW ZEALAND
(Cost $3,940,189).................................... 4,271,370
------------
AUSTRIA -- (0.7%)
COMMON STOCKS -- (0.7%)
ATB Austria Antriebstechnik AG........................ 4,110 28,793
Austria Mikro Systeme International AG................ 4,110 144,395
BBAG Oesterreichische Brau-Beteiligungs............... 12,836 538,871
Bau Holding AG........................................ 12,325 398,857
Bohler Uddeholm AG.................................... 16,330 799,613
#Brau Union Goess-Reinighaus AG....................... 14,850 730,560
Flughafen Wien AG..................................... 21,269 905,797
General Partners Inmobilienbesitz AG.................. 5,900 23,751
</TABLE>
72
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Linz Textil Holding AG................................ 100 $ 29,965
Rosenbauer International AG........................... 1,462 66,268
Vogel and Noot Waermetechnik AG....................... 4,658 57,471
------------
TOTAL -- AUSTRIA
(Cost $3,977,354).................................... 3,724,341
------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Abbey P.L.C........................................... 73,203 306,167
*Arcon International Resources P.L.C.................. 441,600 92,348
Ardagh P.L.C.......................................... 73,853 164,095
Arnotts P.L.C......................................... 33,464 267,676
Barlo Group P.L.C..................................... 321,598 292,551
Crean (James), Ltd.................................... 69,119 79,499
*Dunloe Ewart P.L.C................................... 38,000 15,844
Golden Vale P.L.C..................................... 298,325 336,886
Green Proper Co....................................... 170,579 989,893
IFG Group P.L.C....................................... 83,471 77,568
Jurys Hotel Group P.L.C............................... 83,726 735,375
Ryan Hotels P.L.C..................................... 119,317 106,045
Silvermines Group P.L.C............................... 148,874 70,049
------------
TOTAL -- IRELAND
(Cost $3,437,418).................................... 3,533,996
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
EMU -- (0.5%)
INVESTMENT IN CURRENCY -- (0.5%)
*Euro Currency (Cost $2,677,694)...................... $ 2,675,318
------------
TEMPORARY CASH INVESTMENTS -- (2.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $12,560,000) to be
repurchased at $12,374,321.
(Cost $12,368,000).................................. $ 12,368 12,368,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $613,939,458)++.... $498,670,504
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
@ Denominated in local currency
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
73
<PAGE>
THE EMERGING MARKETS PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust Company.............. $ 280,345,030
----------------
Total Investments (100%) (Cost $283,399,172) ++........................................ $ 280,345,030
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE EMERGING MARKETS SMALL CAP PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company.... $ 10,572,370
----------------
Total Investments (100%) (Cost $10,716,453) ++......................................... $ 10,572,370
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company....... 80,472,231 $ 804,722,311
----------------
Total Investments (100%) (Cost $798,871,672) ++.......................................... $ 804,722,311
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $803,396,491.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust
Company.................................................................................... 45,802,471 $ 472,681,499
----------------
Total Investments (100%) (Cost $460,161,309) ++.......................................... $ 472,681,499
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $462,319,926.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
74
<PAGE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (87.1%)
Federal Farm Credit Bank
4.710%, 06/11/99................................... $ 2,000 $ 1,997,400
4.700%, 07/09/99................................... 15,000 14,925,108
5.570%, 03/23/01................................... 5,950 5,942,562
5.250%, 05/01/02................................... 50,000 49,229,775
Federal Home Loan Bank
4.680%, 06/02/99................................... 4,000 3,999,494
4.710%, 06/11/99................................... 7,135 7,125,705
4.700%, 06/15/99................................... 2,255 2,250,887
4.720%, 06/16/99................................... 1,305 1,302,450
4.670%, 06/18/99................................... 2,000 1,995,570
4.715%, 06/18/99................................... 15,000 14,966,778
4.760%, 07/02/99................................... 2,000 1,991,923
4.710%, 07/09/99................................... 6,500 6,467,821
4.740%, 08/13/99................................... 3,000 2,971,165
5.375%, 03/02/01................................... 30,000 29,866,266
5.625%, 03/19/01................................... 15,000 14,994,792
5.125%, 04/17/01................................... 28,000 27,739,706
------------
TOTAL AGENCY OBLIGATIONS
(Cost $188,353,797).................................. 187,767,402
------------
U.S. TREASURY OBLIGATIONS -- (11.7%)
U.S. Treasury Notes
5.625%, 11/30/00
(Cost $25,116,240)............................... 25,000 25,108,250
------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $2,634,100) to be
repurchased at $2,592,324.
(Cost $2,591,000)................................ 2,591 2,591,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $216,061,037)++................................ $215,466,652
------------
------------
- --------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income purposes.
</TABLE>
See accompanying Notes to Financial Statements.
75
<PAGE>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (32.8%)
BONDS -- (25.6%)
Abbey National Treasury
4.875%, 02/24/03................................... 11,000 $ 12,082,540
Amoco Canada
7.250%, 09/17/02................................... 4,800 4,956,000
Associates Corp. of North America Medium Term Notes
6.625%, 05/15/01................................... 9,700 9,905,640
Bayerische Landesbank Medium Term Notes
6.850%, 07/19/01................................... 10,000 10,190,000
Canadian Government Bond Medium Term Notes
6.280%, 04/04/01................................... 8,500 8,582,450
Credit Locale de France Holding SA Medium Term Notes
7.125%, 02/18/02................................... 4,900 5,012,700
France Telecom SA Medium Term Notes
6.875%, 10/01/01................................... 9,232 9,398,176
General Electric Capital Corp. Medium Term Notes
5.440%, 01/14/02................................... 5,000 4,993,500
5.510%, 03/01/02................................... 6,700 6,698,970
Glaxo K.K. Medium Term Notes
7.000%, 05/02/02................................... 11,385 11,669,625
Helaba International Finance Medium Term Notes
6.875%, 04/29/02................................... 10,820 11,041,810
LB Baden-Wuertemberg Medium Term Notes
7.875%, 10/15/01................................... 10,000 10,425,000
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 4,800 4,762,560
------------
TOTAL BONDS
(Cost $110,441,809).................................. 109,718,971
------------
COMMERCIAL PAPER -- (7.2%)
BellSouth Capital Funding C.P.
4.800%, 07/26/99................................... 7,000 6,948,346
Corporate Asset Funding Corp. C.P.
4.840%, 07/07/99................................... 12,000 11,942,040
Kittyhawk Funding Corp. C.P.
4.860%, 07/26/99................................... 3,000 2,977,710
Smithkline Beecham Corp. C.P.
4.830%, 06/04/99................................... 6,000 5,997,575
Teco Finance, Inc. C.P.
4.810%, 06/07/99................................... 3,000 2,997,550
------------
TOTAL COMMERCIAL PAPER
(Cost $30,863,492)................................... 30,863,221
------------
TOTAL -- UNITED STATES
(Cost $141,305,301).................................. 140,582,192
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
JAPAN -- (19.2%)
BONDS -- (19.2%)
Asian Development Bank
5.000%, 02/05/03................................... 1,600,000 $ 15,439,825
Export-Import Bank Japan
4.625%, 07/23/03................................... 9,850 10,731,822
Credit Local de France SA
6.000%, 10/31/01................................... 400,000 3,774,209
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 868,000 7,702,223
Eksportfinans ASA
2.650%, 07/10/02................................... 360,000 3,198,940
European Investment Bank
4.625%, 02/26/03................................... 1,500,000 14,363,100
Inter-American Development Bank
2.250%, 02/05/02................................... 1,358,000 11,845,687
Nordic Investment Bank
2.600%, 06/28/02................................... 60,000 532,114
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03................................... 1,580,000 15,110,824
------------
TOTAL -- JAPAN
(Cost $81,988,998)................................... 82,698,744
------------
FRANCE -- (15.8%)
BONDS -- (15.8%)
Belgium (Kingdom of)
6.875%, 05/30/02................................... 35,000 6,159,299
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 7,500 8,351,568
Caisse Nationale d'Autoroutes
5.500%, 02/14/02................................... 74,200 12,531,383
Credit Local de France SA Euro Medium Term Notes
6.000%, 07/01/02................................... 20,000 3,427,146
France (Government of) BTAN
5.500%, 10/12/01................................... 5,793 6,412,843
4.750%, 03/12/02................................... 4,573 4,998,213
KFW International Finance, Inc.
8.750%, 06/26/02................................... 33,800 6,236,370
Societe Nationale de Chemins de Fer Francais
7.750%, 03/01/02................................... 67,800 12,082,746
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02................................... 15,500 2,654,061
Toyota Motor Credit Corp. Euro Medium Term Notes
6.250%, 04/11/02................................... 30,000 5,149,805
------------
TOTAL -- FRANCE
(Cost $70,829,327)................................... 68,003,434
------------
</TABLE>
76
<PAGE>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
GERMANY -- (9.0%)
BONDS -- (9.0%)
Deutsche Bahn Finance BV
6.875%, 07/19/02................................... 7,100 $ 4,192,398
Germany (Federal Republic of)
8.000%, 07/22/02................................... 6,136 7,323,110
Japan Finance Corp. for Small Business
4.500%, 08/07/02................................... 17,400 9,585,961
Landwirtschaftliche Rentenbank
5.000%, 07/30/02................................... 9,000 5,061,703
Tokyo Electric Power Co., Inc.
4.750%, 06/16/02................................... 15,000 8,339,942
7.625%, 11/06/02................................... 7,000 4,228,778
------------
TOTAL -- GERMANY
(Cost $41,398,928)................................... 38,731,892
------------
AUSTRALIA -- (8.3%)
BONDS -- (8.3%)
Airservices Australia
7.375%, 11/15/01................................... 2,750 1,859,513
Alberta (Province of)
7.000%, 03/20/02................................... 5,500 3,689,537
KFW International Finance, Inc.
7.375%, 05/09/01................................... 6,000 4,048,488
Mobil Australia Finance Co., Inc.
6.625%, 03/15/01................................... 2,000 1,330,404
New South Wales Treasury Corp.
8.000%, 12/01/01................................... 7,000 4,825,756
8.750%, 04/18/02................................... 2,000 1,403,763
Queensland Treasury Corp.
8.000%, 08/14/01................................... 14,700 10,115,825
State Bank of New South Wales
11.750%, 08/16/01.................................. 3,800 2,786,408
10.750%, 03/12/02.................................. 2,000 1,464,569
9.250%, 02/18/03................................... 3,800 2,732,991
State Bank of South Australia
11.000%, 04/10/02.................................. 2,000 1,476,338
------------
TOTAL -- AUSTRALIA
(Cost $37,318,297)................................... 35,733,592
------------
SWEDEN -- (6.4%)
BONDS -- (6.4%)
Eksportfinans ASA
7.500%, 08/16/01................................... 39,000 4,896,989
Nordic Investment Bank, Helsinki
7.500%, 02/28/01................................... 47,100 5,845,383
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Sweden (Kingdom of)
5.000%, 01/15/04................................... 94,000 $ 11,474,071
Toyota Motor Credit
7.500%, 08/06/01................................... 43,000 5,376,674
------------
TOTAL -- SWEDEN
(Cost $29,242,912)................................... 27,593,117
------------
CANADA -- (3.3%)
BONDS -- (3.3%)
Canada Mortgage and Housing
6.250%, 01/02/02................................... 14,600 10,104,999
Toyota Credit Canada, Inc.
7.375%, 12/31/01................................... 5,603 3,955,050
------------
TOTAL -- CANADA
(Cost $14,600,918)................................... 14,060,049
------------
DENMARK -- (3.1%)
BONDS -- (3.1%)
Kingdom of Denmark
8.000%, 05/15/03
(Cost $13,743,435)............................... 82,000 13,351,779
------------
NETHERLANDS -- (1.2%)
BONDS -- (1.2%)
Netherlands (Kingdom of)
5.750%, 09/15/02
(Cost $5,314,052)................................ 4,538 5,124,353
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $75)....................................... 73
------------
TEMPORARY CASH
INVESTMENTS -- (0.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $4,120,000) to be
repurchased at $4,057,073.
(Cost $4,055,000)................................... 4,055 4,055,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $439,797,243)++................................ $429,934,225
------------
------------
- --------------------
+ 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.
77
<PAGE>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (59.4%)
Farm Credit System Financial Assistance Corp.
9.375%, 07/21/03................................... $ 2,000 $ 2,225,000
8.800%, 06/10/05................................... 1,000 1,133,750
Federal Farm Credit Bank
7.030%, 06/24/03................................... 2,000 2,074,664
6.400%, 10/09/07................................... 2,500 2,520,636
6.000%, 01/07/08................................... 5,000 4,907,683
6.450%, 10/07/09................................... 2,000 2,022,350
7.160%, 05/19/10................................... 3,000 3,192,216
6.135%, 12/13/10................................... 4,000 3,935,125
6.740%, 04/11/11................................... 1,000 1,029,531
6.260%, 12/02/11................................... 2,000 1,976,147
6.280%, 11/26/12................................... 1,000 989,254
6.060%, 05/28/13................................... 3,600 3,481,488
Federal Home Loan Bank
5.440%, 10/15/03................................... 8,550 8,361,178
7.445%, 03/29/05................................... 3,000 3,187,506
5.935%, 04/22/05................................... 2,000 1,980,804
6.010%, 05/20/05................................... 11,000 10,923,733
5.265%, 11/25/05................................... 6,000 5,725,666
6.440%, 11/28/05................................... 1,350 1,370,686
6.900%, 02/07/07................................... 9,000 9,351,556
6.370%, 09/26/07................................... 7,425 7,471,726
6.200%, 10/10/07................................... 2,000 1,990,805
5.895%, 01/14/08................................... 2,100 2,046,636
6.030%, 01/30/08................................... 2,000 1,966,772
5.905%, 03/27/08................................... 4,000 3,899,154
6.185%, 05/06/08................................... 1,000 993,524
6.045%, 05/22/08................................... 1,000 984,040
5.945%, 07/28/08................................... 6,000 5,861,014
5.550%, 11/17/08................................... 5,000 4,742,425
5.545%, 02/17/09................................... 3,000 2,838,900
Federal Home Loan Mortgage Corp.
7.350%, 03/22/05................................... 2,000 2,115,484
6.130%, 02/27/06................................... 1,000 997,161
7.100%, 04/10/07................................... 2,000 2,105,346
6.480%, 12/05/11................................... 2,000 2,013,611
Federal National Mortgage Association
6.050%, 06/30/03................................... 3,000 3,007,324
5.450%, 10/10/03................................... 2,000 1,956,700
6.480%, 06/28/04................................... 2,000 2,033,493
7.400%, 07/01/04................................... 1,000 1,057,355
7.875%, 02/24/05................................... 2,000 2,165,227
7.375%, 03/28/05................................... 1,000 1,059,094
6.220%, 03/13/06................................... 3,070 3,076,364
6.890%, 04/25/06................................... 1,525 1,584,954
6.570%, 08/22/07................................... 2,000 2,037,852
6.470%, 09/25/12................................... 3,410 3,431,198
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Student Loan Marketing Association
5.850%, 06/01/07................................... $ 1,000 $ 973,892
Tennessee Valley Authority
6.375%, 06/15/05................................... 5,000 5,031,250
6.000%, 03/15/13................................... 5,000 4,818,000
------------
TOTAL AGENCY OBLIGATIONS
(Cost $146,009,882).................................. 142,648,274
------------
U.S. TREASURY OBLIGATIONS -- (39.1%)
U.S. Treasury Bonds
11.125%, 08/15/03.................................. 2,000 2,395,064
11.875%, 11/15/03.................................. 3,000 3,709,613
12.375%, 05/15/04.................................. 6,000 7,685,387
13.750%, 08/15/04.................................. 6,000 8,122,117
11.625%, 11/15/04.................................. 7,000 8,893,426
12.000%, 05/15/05.................................. 10,000 13,100,762
10.750%, 08/15/05.................................. 8,000 10,023,730
9.375%, 02/15/06................................... 11,000 13,157,631
U.S. Treasury Notes
7.250%, 05/15/04................................... 3,000 3,193,577
7.000%, 07/15/06................................... 7,000 7,475,146
6.625%, 05/15/07................................... 2,000 2,101,311
6.125%, 08/15/07................................... 5,000 5,097,981
5.625%, 05/15/08................................... 9,000 8,909,955
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $94,601,264)................................... 93,865,700
------------
TEMPORARY CASH INVESTMENTS -- (1.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $3,725,900) to be
repurchased at $3,668,874.
(Cost $3,667,000)................................ 3,667 3,667,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $244,278,146)++................................ $240,180,974
------------
------------
- --------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
78
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE TAX-MANAGED
LARGE U.S. LARGE LARGE CAP U.S. MARKETWIDE
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ -----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.............................. $ 726,563 $ 77,331 $ 1,235,636 $ 54,302
Receivables
Investment Securities Sold.................... -- 32 1,128 --
Fund Shares Sold.............................. 1,138 69 905 567
Prepaid Expenses and Other Assets................. 56 25 55 4
------------ -------------- ------------ -----------------
Total Assets.............................. 727,757 77,457 1,237,724 54,873
------------ -------------- ------------ -----------------
LIABILITIES:
Payable for Investment Securities Purchased....... 318 -- -- 567
Payable for Fund Shares Redeemed.................. 820 101 2,033 --
Accrued Expenses and Other Liabilities............ 53 17 177 2
------------ -------------- ------------ -----------------
Total Liabilities......................... 1,191 118 2,210 569
------------ -------------- ------------ -----------------
NET ASSETS........................................ $ 726,566 $ 77,339 $ 1,235,514 $ 54,304
------------ -------------- ------------ -----------------
------------ -------------- ------------ -----------------
SHARES OUTSTANDING $.01 PAR VALUE................. 18,848,184 5,356,697 55,351,315 4,622,934
------------ -------------- ------------ -----------------
------------ -------------- ------------ -----------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.... $ 38.55 $ 14.44 $ 22.32 $ 11.75
------------ -------------- ------------ -----------------
------------ -------------- ------------ -----------------
PUBLIC OFFERING PRICE PER SHARE................... $ 38.55 $ 14.44 $ 22.32 $ 11.75
------------ -------------- ------------ -----------------
------------ -------------- ------------ -----------------
Investments at Cost............................... $ 454,327 $ 67,265 $ 882,076 $ 48,211
------------ -------------- ------------ -----------------
------------ -------------- ------------ -----------------
</TABLE>
<TABLE>
<CAPTION>
THE TAX-MANAGED THE U.S. THE U.S. THE TAX-MANAGED
U.S. 5-10 6-10 6-10 SMALL U.S. 6-10
VALUE VALUE COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ------------- ------------ -----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value......................... $ 216,074 $ 2,628,689 $ 352,005 $ 35,742
Collateral for Securities Loaned............. 6,463 -- -- 2,201
Receivables
Dividends and Interest................... 182 -- -- 23
Investment Securities Sold............... 548 1,360 -- 31
Fund Shares Sold......................... 307 1,189 666 191
Prepaid Expenses and Other Assets............ 3 109 25 2
----------------- ------------- ------------ -----------------
Total Assets......................... 223,577 2,631,347 352,696 38,190
----------------- ------------- ------------ -----------------
LIABILITIES:
Payable for Securities Loaned................ 6,463 -- -- 2,201
Payable for Securities Purchased............. 7,864 -- 479 127
Payable for Fund Shares Redeemed............. 1 2,549 187 --
Accrued Expenses and Other Liabilities....... 126 699 127 18
----------------- ------------- ------------ -----------------
Total Liabilities.................... 14,454 3,248 793 2,346
----------------- ------------- ------------ -----------------
NET ASSETS................................... $ 209,123 $ 2,628,099 $ 351,903 $ 35,844
----------------- ------------- ------------ -----------------
----------------- ------------- ------------ -----------------
SHARES OUTSTANDING $.01 PAR VALUE............ 18,365,206 138,372,916 26,073,844 3,193,163
----------------- ------------- ------------ -----------------
----------------- ------------- ------------ -----------------
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE...................................... $ 11.39 $ 18.99 $ 13.50 $ 11.23
----------------- ------------- ------------ -----------------
----------------- ------------- ------------ -----------------
PUBLIC OFFERING PRICE PER SHARE.............. $ 11.39 $ 18.99 $ 13.50 $ 11.23
----------------- ------------- ------------ -----------------
----------------- ------------- ------------ -----------------
Investments at Cost.......................... $ 196,716 $ 2,303,811 $ 298,540 $ 32,858
----------------- ------------- ------------ -----------------
----------------- ------------- ------------ -----------------
</TABLE>
See accompanying Notes to Financial Statements.
79
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE DFA THE THE TAX- MANAGED
9-10 SMALL REAL ESTATE LARGE CAP DFA INTERNATIONAL
COMPANY SECURITIES INTERNATIONAL VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ----------- ------------ -----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................... $ 1,406,293 $ 126,663 $ 167,369 $ 17,300
Collateral for Securities Loaned................... -- 5,348 8,069 --
Cash............................................... -- -- 16 15
Receivables
Dividends, Interest and Tax Reclaims........... -- 250 920 53
Investment Securities Sold..................... 573 -- 155 --
Fund Shares Sold............................... 384 203 219 153
Prepaid Expenses and Other Assets.................. 65 9 27 1
------------- ----------- ------------ -----------------
Total Assets............................... 1,407,315 132,473 176,775 17,522
------------- ----------- ------------ -----------------
LIABILITIES:
Payable for Securities Loaned...................... -- 5,348 8,069 --
Payable for Investment Securities Purchased........ -- 3,215 700 4,945
Payable for Fund Shares Redeemed................... 957 166 38 --
Accrued Expenses and Other Liabilities............. 1,301 55 63 23
------------- ----------- ------------ -----------------
Total Liabilities.......................... 2,258 8,784 8,870 4,968
------------- ----------- ------------ -----------------
NET ASSETS......................................... $ 1,405,057 $ 123,689 $ 167,905 $ 12,554
------------- ----------- ------------ -----------------
------------- ----------- ------------ -----------------
SHARES OUTSTANDING $.01 PAR VALUE.................. 124,690,942 9,387,924 10,146,363 1,319,481
------------- ----------- ------------ -----------------
------------- ----------- ------------ -----------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE..... $ 11.27 $ 13.18 $ 16.55 $ 9.51
------------- ----------- ------------ -----------------
------------- ----------- ------------ -----------------
PUBLIC OFFERING PRICE PER SHARE.................... $ 11.27 $ 13.18 $ 16.55 $ 9.51
------------- ----------- ------------ -----------------
------------- ----------- ------------ -----------------
Investments at Cost................................ $ 1,188,202 $ 123,488 $ 130,793 $ 17,892
------------- ----------- ------------ -----------------
------------- ----------- ------------ -----------------
</TABLE>
<TABLE>
<CAPTION>
THE INTERNATIONAL THE JAPANESE THE PACIFIC RIM THE UNITED
SMALL SMALL SMALL KINGDOM SMALL
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------- -------------- ---------------- ---------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value....................... $ 219,174 $ 134,962 $ 127,474 $ 89,342
Receivables
Dividends, Interest and Tax Reclaims... 1 -- -- --
Investment Securities Sold............. -- 140 118 111
Fund Shares Sold....................... 138 3 -- --
Prepaid Expenses and Other Assets.......... 34 8 11 7
----------------- -------------- ---------------- ---------------
Total Assets....................... 219,347 135,113 127,603 89,460
----------------- -------------- ---------------- ---------------
LIABILITIES:
Payable for Fund Shares Redeemed........... 82 143 118 111
Accrued Expenses and Other Liabilities..... 81 63 51 40
----------------- -------------- ---------------- ---------------
Total Liabilities.................. 163 206 169 151
----------------- -------------- ---------------- ---------------
NET ASSETS................................. $ 219,184 $ 134,907 $ 127,434 $ 89,309
----------------- -------------- ---------------- ---------------
----------------- -------------- ---------------- ---------------
SHARES OUTSTANDING $.01 PAR VALUE.......... 26,048,041 13,176,638 15,617,949 4,182,847
----------------- -------------- ---------------- ---------------
----------------- -------------- ---------------- ---------------
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE.................................... $ 8.41 $ 10.24 $ 8.16 $ 21.35
----------------- -------------- ---------------- ---------------
----------------- -------------- ---------------- ---------------
PUBLIC OFFERING PRICE PER SHARE............ $ 8.47 $ 10.29 $ 8.24 $ 21.35
----------------- -------------- ---------------- ---------------
----------------- -------------- ---------------- ---------------
Investments at Cost........................ $ 269,346 $ 276,999 $ 177,832 $ 78,039
----------------- -------------- ---------------- ---------------
----------------- -------------- ---------------- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
80
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
THE DFA
THE CONTINENTAL INTERNATIONAL THE THE EMERGING
SMALL SMALL CAP EMERGING MARKETS
COMPANY VALUE MARKETS SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ------------ ------------ --------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.................................. $ 173,995 $ 498,671 $ 280,345 $ 10,572
Collateral for Securities Loaned...................... -- 40,889 -- --
Cash.................................................. -- 16 -- --
Receivables
Dividends, Interest and Tax Reclaims.............. -- 2,860 -- --
Investment Securities Sold........................ 182 3,287 789 118
Fund Shares Sold.................................. -- 358 140 49
Prepaid Expenses and Other Assets..................... 9 -- 5 56
---------------- ------------ ------------ --------------
Total Assets.................................. 174,186 546,081 281,279 10,795
---------------- ------------ ------------ --------------
LIABILITIES:
Payable for Securities Loaned......................... -- 40,889 -- --
Payable for Investment Securities Purchased........... -- 6,957 -- --
Payable for Fund Shares Redeemed...................... 182 508 929 167
Accrued Expenses and Other Liabilities................ 80 418 111 13
---------------- ------------ ------------ --------------
Total Liabilities............................. 262 48,772 1,040 180
---------------- ------------ ------------ --------------
NET ASSETS............................................ $ 173,924 $ 497,309 $ 280,239 $ 10,615
---------------- ------------ ------------ --------------
---------------- ------------ ------------ --------------
SHARES OUTSTANDING $.01 PAR VALUE..................... 12,125,264 61,890,111 26,706,003 893,185
---------------- ------------ ------------ --------------
---------------- ------------ ------------ --------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........ $ 14.34 $ 8.04 $ 10.49 $ 11.88
---------------- ------------ ------------ --------------
---------------- ------------ ------------ --------------
PUBLIC OFFERING PRICE PER SHARE....................... $ 14.48 $ 8.09 $ 10.54 $ 12.00
---------------- ------------ ------------ --------------
---------------- ------------ ------------ --------------
Investments at Cost................................... $ 138,111 $ 613,939 $ 283,399 $ 10,716
---------------- ------------ ------------ --------------
---------------- ------------ ------------ --------------
</TABLE>
<TABLE>
<CAPTION>
THE DFA THE DFA
THE DFA TWO-YEAR THE DFA THE DFA INTERMEDIATE
ONE-YEAR GLOBAL FIXED FIVE-YEAR FIVE-YEAR GOVERNMENT
FIXED INCOME INCOME GOVERNMENT GLOBAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------ -------------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments at Value...................... $ 804,722 $ 472,681 $ 215,467 $ 429,934 $ 240,181
Receivables
Investment Securities Sold............ 1,498 1,494 -- 11,477 --
Interest.............................. -- -- 1,730 8,781 3,331
Fund Shares Sold...................... 558 331 359 355 75
Prepaid Expenses and Other Assets......... 8 33 11 49 27
Unrealized Gain on Forward Currency
Contracts............................... -- -- -- 1,078 --
------------- ------------- ------------ -------------------- -------------
Total Assets...................... 806,786 474,539 217,567 451,674 243,614
------------- ------------- ------------ -------------------- -------------
LIABILITIES:
Payable for Investment Securities
Purchased............................... 4 -- -- 11,216 --
Payable for Fund Shares Redeemed.......... 2,056 1,825 419 835 17
Accrued Expenses and Other Liabilities.... 96 48 64 155 58
------------- ------------- ------------ -------------------- -------------
Total Liabilities................. 2,156 1,873 483 12,206 75
------------- ------------- ------------ -------------------- -------------
NET ASSETS................................ $ 804,630 $ 472,666 $ 217,084 $ 439,468 $ 243,539
------------- ------------- ------------ -------------------- -------------
------------- ------------- ------------ -------------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE......... 78,916,392 45,791,316 21,190,658 41,321,129 21,889,994
------------- ------------- ------------ -------------------- -------------
------------- ------------- ------------ -------------------- -------------
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE................................... $ 10.20 $ 10.32 $ 10.24 $ 10.64 $ 11.13
------------- ------------- ------------ -------------------- -------------
------------- ------------- ------------ -------------------- -------------
PUBLIC OFFERING PRICE PER SHARE........... $ 10.20 $ 10.32 $ 10.24 $ 10.64 $ 11.13
------------- ------------- ------------ -------------------- -------------
------------- ------------- ------------ -------------------- -------------
Investments at Cost....................... $ 798,872 $ 460,161 $ 216,061 $ 439,797 $ 244,278
------------- ------------- ------------ -------------------- -------------
------------- ------------- ------------ -------------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
81
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE ENHANCED THE U.S. THE TAX-MANAGED
THE U.S. LARGE U.S. LARGE LARGE CAP U.S. MARKETWIDE
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(1)
-------------- ------------ --------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company...................... -- $ 473 $ 5,278 --
Net Investment Income from The DFA Investment
Trust Company................................. $ 4,486 -- -- $ 248
-------------- ------------ --------- -------
Total Investment Income................... 4,486 473 5,278 248
-------------- ------------ --------- -------
EXPENSES
Administrative Services......................... 708 54 849 23
Accounting & Transfer Agent Fees................ 77 10 19 25
Legal Fees...................................... 4 1 8 --
Audit Fees...................................... 1 -- 1 1
Filing Fees..................................... 34 9 46 --
Shareholders' Reports........................... 8 1 18 2
Directors' Fees and Expenses.................... 2 1 6 --
Organizational Fees............................. -- -- -- 25
Other........................................... 1 3 2 1
-------------- ------------ --------- -------
Total Expenses............................ 835 79 949 77
Less: Expenses Waived........................... (536) -- -- --
-------------- ------------ --------- -------
Net Expenses.................................... 299 79 949 77
-------------- ------------ --------- -------
NET INVESTMENT INCOME........................... 4,187 394 4,329 171
-------------- ------------ --------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Capital Gain Distributions Received from
The DFA Investment Trust Company.............. -- 7,564 82,757 --
Net Realized Gain (Loss) on Investment
Securities.................................... 741 (120) (4,782) (186)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... 66,722 (116) 78,557 6,091
-------------- ------------ --------- -------
NET GAIN ON INVESTMENT SECURITIES............... 67,463 7,328 156,532 5,905
-------------- ------------ --------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $71,650 $7,722 $ 160,861 $6,076
-------------- ------------ --------- -------
-------------- ------------ --------- -------
</TABLE>
- --------------
(1) For the period December 14, 1998 (commencement of operations) to May 31,
1999.
See accompanying Notes to Financial Statements.
82
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE TAX-MANAGED
THE TAX-MANAGED 6-10 6-10 SMALL U.S. 6-10 SMALL
U.S. 5-10 VALUE VALUE COMPANY COMPANY
PORTFOLIO(1) PORTFOLIO PORTFOLIO PORTFOLIO(2)
--------------- --------- ---------- ----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends....................................... $ 638 -- -- $ 64
Interest........................................ 229 -- -- 49
Income from Securities Lending.................. 25 -- -- 7
Income Distributions Received from The DFA
Investment Trust Company...................... -- $ 2,150 $ 418 --
--------------- --------- ---------- -------
Total Investment Income................... 892 2,150 418 120
--------------- --------- ---------- -------
EXPENSES
Investment Advisory Services.................... 326 -- -- 48
Administrative Services......................... -- 3,572 512 --
Accounting & Transfer Agent Fees................ 34 15 13 8
Custodian's Fee................................. 9 -- -- 1
Legal Fees...................................... 10 22 3 3
Audit Fees...................................... 10 3 -- 3
Filing Fees..................................... 4 98 15 1
Shareholders' Reports........................... 10 43 8 3
Directors' Fees and Expenses.................... 6 14 2 2
Organizational Fees............................. 25 -- -- 25
Other........................................... 13 3 1 4
--------------- --------- ---------- -------
Total Expenses............................ 447 3,770 554 98
--------------- --------- ---------- -------
NET INVESTMENT INCOME (LOSS).................... 445 (1,620) (136) 22
--------------- --------- ---------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Capital Gain Distributions Received from
The DFA Investment Trust Company.............. -- 198,229 29,001 --
Net Realized Loss on Investment Securities...... (676) (47,077) (6,018) (4)
Change in Unrealized Appreciation of Investment
Securities.................................... 19,357 49,702 4,104 2,884
--------------- --------- ---------- -------
NET GAIN ON INVESTMENT SECURITIES............... 18,681 200,854 27,087 2,880
--------------- --------- ---------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $19,126 $ 199,234 $26,951 $2,902
--------------- --------- ---------- -------
--------------- --------- ---------- -------
</TABLE>
- --------------
(1) For the period December 11, 1998 (commencement of operations) to May 31,
1999.
(2) For the period December 15, 1998 (commencement of operations) to May 31,
1999.
See accompanying Notes to Financial Statements.
83
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE TAX-MANAGED
THE U.S. THE DFA THE DFA
9-10 SMALL REAL ESTATE LARGE CAP INTERNATIONAL
COMPANY SECURITIES INTERNATIONAL VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(1)
---------- ----------- ------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $162 and $7 respectively)................. -- $3,827 $1,607 $ 62
Interest........................................ -- 41 135 14
Income from Securities Lending.................. -- 2 28 --
Income Distributions Received from
The DFA Investment Trust Company.............. $ 1,353 -- -- --
---------- ----------- ------------- ------
Total Investment Income................... 1,353 3,870 1,770 76
---------- ----------- ------------- ------
EXPENSES
Investment Advisory Services.................... -- 163 178 5
Administrative Services......................... 2,671 -- -- --
Accounting & Transfer Agent Fees................ 10 58 91 1
Custodian's Fee................................. -- 7 70 17
Legal Fees...................................... 75 1 3 --
Audit Fees...................................... 2 6 5 --
Filing Fees..................................... 46 15 11 --
Shareholders' Reports........................... 67 2 3 --
Directors' Fees and Expenses.................... 10 1 1 --
Other........................................... 1 1 5 --
---------- ----------- ------------- ------
Total Expenses............................ 2,882 254 367 23
---------- ----------- ------------- ------
NET INVESTMENT INCOME (LOSS).................... (1,529) 3,616 1,403 53
---------- ----------- ------------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Capital Gain Distributions Received from
The DFA Investment Trust Company.............. 124,444 -- -- --
Net Realized Gain (Loss) on Investment
Securities.................................... (17,053) (2,031) 364 --
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. -- -- 67 (13)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (9,823) 6,092 1,671 (592)
Translation of Foreign Currency Denominated
Amounts..................................... -- -- (31) 12
---------- ----------- ------------- ------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. 97,568 4,061 2,071 (593)
---------- ----------- ------------- ------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........................ $96,039 $7,677 $3,474 $(540)
---------- ----------- ------------- ------
---------- ----------- ------------- ------
</TABLE>
- --------------
(1) For the period April 16, (commencement of operations) to May 31, 1999.
See accompanying Notes to Financial Statements.
84
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE JAPANESE THE UNITED
THE INTERNATIONAL SMALL THE PACIFIC RIM KINGDOM SMALL
SMALL COMPANY COMPANY SMALL COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ------------ --------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest........................................ $ 21 -- -- --
Net Investment Income from
The DFA Investment Trust Company.............. 2,897 $ 953 $ 1,287 $ 1,768
-------- ------------ --------------- -------------
Total Investment Income................... 2,918 953 1,287 1,768
-------- ------------ --------------- -------------
EXPENSES
Administrative Services......................... 501 255 190 174
Accounting & Transfer Agent Fees................ 16 19 19 19
Legal Fees...................................... 2 1 1 1
Audit Fees...................................... 1 -- -- --
Filing Fees..................................... 34 8 7 7
Shareholders' Reports........................... 5 3 2 2
Directors' Fees and Expenses.................... 2 1 1 1
Other........................................... 4 1 1 1
-------- ------------ --------------- -------------
Total Expenses............................ 565 288 221 205
Less: Expenses Waived........................... (4) -- -- --
-------- ------------ --------------- -------------
Net Expense..................................... 561 288 221 205
-------- ------------ --------------- -------------
NET INVESTMENT INCOME........................... 2,357 665 1,066 1,563
-------- ------------ --------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities.................................... 1,188 (5,422) (2,067) 6,269
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. 286 74 935 (23)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 14,284 21,874 29,720 8,271
Translation of Foreign Currency Denominated
Amounts..................................... (72) (39) 3 (3)
-------- ------------ --------------- -------------
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCY.... 15,686 16,487 28,591 14,514
-------- ------------ --------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $18,043 $17,152 $ 29,657 $16,077
-------- ------------ --------------- -------------
-------- ------------ --------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
85
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
INTERNATIONAL THE THE EMERGING
THE CONTINENTAL SMALL CAP EMERGING MARKETS
SMALL COMPANY VALUE MARKETS SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------- -------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$806, $0 and $0, respectively)................ -- $ 6,543 -- --
Interest........................................ -- 201 -- --
Income from Securities Lending.................. -- 198 -- --
Net Investment Income from
The DFA Investment Trust Company.............. $ 1,944 -- $ 2,622 $ 97
--------------- ------------- -------- ------------
Total Investment Income................... 1,944 6,942 2,622 97
--------------- ------------- -------- ------------
EXPENSES
Investment Advisory Services.................... -- 1,510 -- --
Administrative Services......................... 375 -- 484 17
Accounting & Transfer Agent Fees................ 19 238 34 19
Custodian's Fee................................. -- 105 -- --
Legal Fees...................................... 2 13 2 --
Audit Fees...................................... -- 26 -- --
Filing Fees..................................... 7 48 29 2
Shareholders' Reports........................... 5 27 8 1
Directors' Fees and Expenses.................... 1 3 1 --
Other........................................... 1 19 4 5
--------------- ------------- -------- ------------
Total Expenses............................ 410 1,989 562 44
--------------- ------------- -------- ------------
NET INVESTMENT INCOME........................... 1,534 4,953 2,060 53
--------------- ------------- -------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities...... 17,112 3,023 3,090 2,354
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. (108) 200 (149) (12)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (29,136) 42,783 60,415 185
Translation of Foreign Currency Denominated
Amounts..................................... (114) (80) (28) 1
--------------- ------------- -------- ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. (12,246) 45,926 63,328 2,528
--------------- ------------- -------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $(10,712) $50,879 $65,388 $2,581
--------------- ------------- -------- ------------
--------------- ------------- -------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
86
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA THE DFA
THE DFA TWO-YEAR THE DFA INTERMEDIATE
ONE-YEAR GLOBAL FIXED FIVE-YEAR THE DFA FIVE-YEAR GOVERNMENT
FIXED INCOME INCOME GOVERNMENT GLOBAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ---------- ------------------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest........................................ -- -- $5,188 $ 8,098 $ 6,789
Net Investment Income from
The DFA Investment Trust Company.............. $19,628 $ 6,570 -- -- --
------------ ------------ ---------- -------- ------------
Total Investment Income................... 19,628 6,570 5,188 8,098 6,789
------------ ------------ ---------- -------- ------------
EXPENSES
Investment Advisory Services.................... -- -- 210 511 181
Administrative Services......................... 396 226 -- -- --
Accounting & Transfer Agent Fees................ 14 10 46 190 49
Custodian's Fee................................. -- -- 9 22 10
Legal Fees...................................... 7 3 2 6 2
Audit Fees...................................... 1 1 12 15 8
Filing Fees..................................... 25 28 11 33 16
Shareholders' Reports........................... 15 9 4 5 3
Directors' Fees and Expenses.................... 5 3 1 2 1
Other........................................... 1 2 4 1 4
------------ ------------ ---------- -------- ------------
Total Expenses............................ 464 282 299 785 274
------------ ------------ ---------- -------- ------------
NET INVESTMENT INCOME........................... 19,164 6,288 4,889 7,313 6,515
------------ ------------ ---------- -------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Capital Gain Distributions Received from The DFA
Investment Trust Company...................... -- 603 -- -- --
Net Realized Gain (Loss) on Investment
Securities.................................... (109) (22) (3) 332 725
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- -- 15,287 --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (1,453) 4,970 (601) (12,447) (13,594)
Translation of Foreign Currency Denominated
Amounts..................................... -- -- -- 1,177 --
------------ ------------ ---------- -------- ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. (1,562) 5,551 (604) 4,349 (12,869)
------------ ------------ ---------- -------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $17,602 $11,839 $4,285 $ 11,662 $ (6,354)
------------ ------------ ---------- -------- ------------
------------ ------------ ---------- -------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
87
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE TAX-MANAGED
LARGE COMPANY U.S. LARGE COMPANY LARGE CAP VALUE U.S. MARKETWIDE
PORTFOLIO PORTFOLIO PORTFOLIO VALUE PORTFOLIO
----------------------- ---------------------- ------------------------ ---------------
YEAR YEAR DEC. 14, 1998
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS YEAR ENDED TO
ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30, MAY 31,
31, 1999 1998 31 1999 1998 31 1999 1998 1999
----------- --------- ----------- -------- ----------- ---------- ---------------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 4,187 $ 6,218 $ 394 $ 2,385 $ 4,329 $ 15,524 $ 171
Capital Gain Distributions
Received from The DFA
Investment Trust
Company................... -- -- 7,564 5,923 82,757 46,822 --
Net Realized Gain (Loss) on
Investment Securities..... 741 616 (120) (734) (4,782) (4,583) (186)
Change in Unrealized
Appreciation
(Depreciation) of
Investment Securities..... 66,722 85,494 (116) 3,627 78,557 39,784 6,091
----------- --------- ----------- -------- ----------- ---------- ---------------
Net Increase in Net Assets
Resulting from
Operations.............. 71,650 92,328 7,722 11,201 160,861 97,547 6,076
----------- --------- ----------- -------- ----------- ---------- ---------------
Distributions From:
Net Investment Income....... (3,528) (5,855) (306) (2,692) (8,586) (14,645) (24)
Net Realized Gains.......... (2,638) (834) (6,137) (4,915) (34,355) (36,941) --
----------- --------- ----------- -------- ----------- ---------- ---------------
Total Distributions....... (6,166) (6,689) (6,443) (7,607) (42,941) (51,586) (24)
----------- --------- ----------- -------- ----------- ---------- ---------------
Capital Share Transactions
(1):
Shares Issued............... 200,832 215,482 16,405 20,928 177,743 332,100 49,629
Shares Issued in Lieu of
Cash Distributions........ 5,972 5,414 6,443 5,780 41,120 40,279 24
Shares Redeemed............. (95,684) (100,110) (8,324) (16,408) (181,739) (177,873) (1,400)
----------- --------- ----------- -------- ----------- ---------- ---------------
Net Increase From Capital
Shares Transactions..... 111,120 120,786 14,524 10,300 37,124 194,506 48,252
----------- --------- ----------- -------- ----------- ---------- ---------------
Total Increase............ 176,604 206,425 15,803 13,894 155,044 240,467 54,304
NET ASSETS
Beginning of Period......... 549,962 343,537 61,536 47,642 1,080,470 840,003 --
----------- --------- ----------- -------- ----------- ---------- ---------------
End of Period............... $726,566 $ 549,962 $77,339 $ 61,536 $1,235,514 $1,080,470 $54,304
----------- --------- ----------- -------- ----------- ---------- ---------------
----------- --------- ----------- -------- ----------- ---------- ---------------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 5,307 6,823 1,149 1,587 8,581 16,676 4,764
Shares Issued in Lieu of
Cash Distributions....... 166 180 480 479 2,137 2,190 2
Shares Redeemed............ (2,511) (3,176) (585) (1,253) (8,818) (9,117) (143)
----------- --------- ----------- -------- ----------- ---------- ---------------
2,962 3,827 1,044 813 1,900 9,749 4,623
----------- --------- ----------- -------- ----------- ---------- ---------------
----------- --------- ----------- -------- ----------- ---------- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
88
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE TAX-
MANAGED
THE TAX-MANAGED THE U.S. THE U.S. 6-10 U.S. 6-10
U.S. 5-10 VALUE 6-10 VALUE SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------------------ ---------------------- -------------
DEC. 11, 1998 YEAR DEC. 15, 1998
TO SIX MONTHS YEAR ENDED SIX MONTHS ENDED TO
MAY 31, ENDED MAY NOV. 30, ENDED MAY NOV. 30, MAY 31,
1999 31 1999 1998 31, 1999 1998 1999
--------------- ----------- ---------- ----------- -------- -------------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income
(Loss).................... $ 445 $ (1,620) $ 12,919 $ (136) $ 1,625 $ 22
Capital Gain Distributions
Received from The DFA
Investment Trust
Company................... -- 198,229 189,783 29,001 25,514 --
Net Realized Loss on
Investment Securities..... (676) (47,077) (5,236) (6,018) (2,676) (4)
Change in Unrealized
Appreciation
(Depreciation) of
Investment Securities..... 19,357 49,702 (427,856) 4,104 (53,552) 2,884
--------------- ----------- ---------- ----------- -------- -------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 19,126 199,234 (230,390) 26,951 (29,089) 2,902
--------------- ----------- ---------- ----------- -------- -------------
Distributions From:
Net Investment Income....... -- (10,123) (9,211) (8,694) (1,600) --
Net Realized Gains.......... -- (176,392) (87,388) (22,465) (30,255) --
--------------- ----------- ---------- ----------- -------- -------------
Total Distributions....... -- (186,515) (96,599) (31,159) (31,855) --
--------------- ----------- ---------- ----------- -------- -------------
Capital Share Transactions
(1):
Shares Issued............... 199,372 439,312 817,555 71,686 136,597 33,903
Shares Issued in Lieu of
Cash Distributions........ -- 181,034 82,593 29,993 29,641 --
Shares Redeemed............. (9,375) (355,060) (321,719) (70,158) (118,696) (961)
--------------- ----------- ---------- ----------- -------- -------------
Net Increase From Capital
Shares Transactions..... 189,997 265,286 578,429 31,521 47,542 32,942
--------------- ----------- ---------- ----------- -------- -------------
Total Increase
(Decrease).............. 209,123 278,005 251,440 27,313 (13,402) 35,844
NET ASSETS
Beginning of Period......... -- 2,350,094 2,098,654 324,590 337,992 --
--------------- ----------- ---------- ----------- -------- -------------
End of Period............... $209,123 $2,628,099 $2,350,094 $351,903 $324,590 $35,844
--------------- ----------- ---------- ----------- -------- -------------
--------------- ----------- ---------- ----------- -------- -------------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 19,277 24,639 39,986 5,611 9,329 3,284
Shares Issued in Lieu of
Cash Distributions....... -- 10,537 4,021 2,438 2,014 --
Shares Redeemed............ (912) (19,941) (15,865) (5,547) (7,783) (91)
--------------- ----------- ---------- ----------- -------- -------------
18,365 15,235 28,142 2,502 3,560 3,193
--------------- ----------- ---------- ----------- -------- -------------
--------------- ----------- ---------- ----------- -------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
89
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE TAX-MANAGED
THE U.S. 9-10 THE DFA REAL ESTATE THE LARGE CAP DFA
SMALL COMPANY SECURITIES INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO VALUE PORTFOLIO
------------------------ ---------------------- ---------------------- ---------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR APRIL 16
ENDED ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31,
1999 1998 1999 1998 1999 1998 1999
----------- ---------- ----------- -------- ----------- -------- ---------------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income
(Loss).................... $ (1,529) $ 2,639 $ 3,616 $ 6,214 $ 1,403 $ 1,614 $ 53
Capital Gain Distributions
Received from The DFA
Investment Trust
Company................... 124,444 -- -- -- -- -- --
Net Realized Gain (Loss) on
Investment Securities..... (17,053) (28,940) (2,031) (391) 364 75 --
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- -- -- -- 67 12 (13)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ (9,823) (148,754) 6,092 (19,644) 1,671 13,019 (592)
Translation of Foreign
Currency Denominated
Amounts................. -- -- -- -- (31) 32 12
----------- ---------- ----------- -------- ----------- -------- ---------------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 96,039 (175,055) 7,677 (13,821) 3,474 14,752 (540)
----------- ---------- ----------- -------- ----------- -------- ---------------
Distributions From:
Net Investment Income....... (2,799) (2,802) (5,287) (4,644) (1,826) (1,509) --
Net Realized Gains.......... (16,080) (203,659) -- -- (1) -- --
----------- ---------- ----------- -------- ----------- -------- ---------------
Total Distributions..... (18,879) (206,461) (5,287) (4,644) (1,827) (1,509) --
----------- ---------- ----------- -------- ----------- -------- ---------------
Capital Share Transactions
(1):
Shares Issued............... 134,157 353,806 37,245 46,933 65,476 35,615 13,198
Shares Issued in Lieu of
Cash Distributions........ 18,041 177,758 5,012 3,540 1,827 1,509 --
Shares Redeemed............. (162,811) (320,965) (27,502) (20,536) (15,638) (22,997) (104)
----------- ---------- ----------- -------- ----------- -------- ---------------
Net Increase (Decrease)
From Capital Shares
Transactions.......... (10,613) 210,599 14,755 29,937 51,665 14,127 13,094
----------- ---------- ----------- -------- ----------- -------- ---------------
Total Increase
(Decrease)............ 66,547 (170,917) 17,145 11,472 53,312 27,370 12,554
NET ASSETS
Beginning of Period......... 1,338,510 1,509,427 106,544 95,072 114,593 87,223 --
----------- ---------- ----------- -------- ----------- -------- ---------------
End of Period............... $1,405,057 $1,338,510 $123,689 $106,544 $167,905 $114,593 $12,554
----------- ---------- ----------- -------- ----------- -------- ---------------
----------- ---------- ----------- -------- ----------- -------- ---------------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 12,642 30,328 3,046 3,339 3,935 2,321 1,330
Shares Issued in Lieu of
Cash Distributions....... 1,753 15,525 417 242 113 109 --
Shares Redeemed............ (15,440) (27,978) (2,269) (1,509) (939) (1,506) (10)
----------- ---------- ----------- -------- ----------- -------- ---------------
(1,045) 17,875 1,194 2,072 3,109 924 1,320
----------- ---------- ----------- -------- ----------- -------- ---------------
----------- ---------- ----------- -------- ----------- -------- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
90
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE INTERNATIONAL THE PACIFIC RIM
SMALL COMPANY THE JAPANESE SMALL SMALL COMPANY
PORTFOLIO COMPANY PORTFOLIO PORTFOLIO
----------------------- ----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1999 1998 1999 1998 1999 1998
------------ --------- ------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............................ $ 2,357 $ 5,017 $ 665 $ 972 $ 1,066 $ 3,209
Net Realized Gain (Loss) on Investment
Securities..................................... 1,188 101 (5,422) (8,019) (2,067) (950)
Net Realized Gain (Loss) on Foreign Currency
Transactions................................... 286 (177) 74 (151) 935 (133)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency..... 14,284 (4,354) 21,874 4,531 29,720 (28,633)
Translation of Foreign Currency Denominated
Amounts...................................... (72) 95 (39) 67 3 (1)
------------ --------- ------------ --------- ------------ ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. 18,043 682 17,152 (2,600) 29,657 (26,508)
------------ --------- ------------ --------- ------------ ---------
Distributions From:
Net Investment Income............................ (5,036) (2,942) (827) (1,284) (2,995) (3,671)
Net Realized Gains............................... -- -- -- -- -- (5,808)
------------ --------- ------------ --------- ------------ ---------
Total Distributions.......................... (5,036) (2,942) (827) (1,284) (2,995) (9,479)
------------ --------- ------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued.................................... 51,750 127,735 25,479 34,679 11,961 26,870
Shares Issued in Lieu of Cash Distributions...... 5,036 2,942 827 1,284 2,995 9,479
Shares Redeemed.................................. (124,601) (84,894) (27,438) (26,382) (3,514) (22,352)
------------ --------- ------------ --------- ------------ ---------
Net Increase (Decrease) From Capital Shares
Transactions............................... (67,815) 45,783 (1,132) 9,581 11,442 13,997
------------ --------- ------------ --------- ------------ ---------
Total Increase (Decrease).................... (54,808) 43,523 15,193 5,697 38,104 (21,990)
NET ASSETS
Beginning of Period.............................. 273,992 230,469 119,714 114,017 89,330 111,320
------------ --------- ------------ --------- ------------ ---------
End of Period.................................... $ 219,184 $ 273,992 $ 134,907 $ 119,714 $ 127,434 $ 89,330
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 6,619 16,168 2,694 3,866 2,048 3,947
Shares Issued in Lieu of Cash Distributions..... 671 410 94 169 487 1,218
Shares Redeemed................................. (16,271) (11,004) (2,763) (2,950) (545) (3,228)
------------ --------- ------------ --------- ------------ ---------
(8,981) 5,574 25 1,085 1,990 1,937
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements.
91
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED KINGDOM THE CONTINENTAL THE DFA INTERNATIONAL THE EMERGING
SMALL COMPANY SMALL COMPANY SMALL CAP VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- ---------------------- -------------------------
YEAR YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS YEAR ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1999 1998 31, 1999 1998 31, 1999 1998 31, 1999 1998
----------- -------- ----------- -------- ----------- -------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income......... $ 1,563 $ 3,110 $ 1,534 $ 2,999 $ 4,953 $ 8,857 $ 2,060 $ 2,526
Net Realized Gain (Loss) on
Investment Securities....... 6,269 10,986 17,112 20,674 3,023 9,582 3,090 (22,594)
Net Realized Gain (Loss) on
Foreign Currency
Transactions................ (23) (95) (108) (99) 200 (303) (149) (354)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency.......... 8,271 (24,506) (29,136) 20,213 42,783 (21,770) 60,415 (8,906)
Translation of Foreign
Currency Denominated
Amounts................... (3) (6) (114) 186 (80) 78 (28) 9
----------- -------- ----------- -------- ----------- -------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 16,077 (10,511) (10,712) 43,973 50,879 (3,556) 65,388 (29,319)
----------- -------- ----------- -------- ----------- -------- ----------- -----------
Distributions From:
Net Investment Income......... (2,932) (3,815) (3,288) (3,596) (8,619) (6,364) (2,457) (5,275)
Net Realized Gains............ (10,987) (12,752) (20,671) (16,007) (9,575) (14,868) -- (40)
----------- -------- ----------- -------- ----------- -------- ----------- -----------
Total Distributions....... (13,919) (16,567) (23,959) (19,603) (18,194) (21,232) (2,457) (5,315)
----------- -------- ----------- -------- ----------- -------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................. 17,054 2,757 31,685 8,192 68,017 157,631 43,105 126,740
Shares Issued in Lieu of Cash
Distributions............... 13,919 16,567 23,959 19,603 18,194 21,232 2,457 5,315
Shares Redeemed............... (23,053) (43,906) (46,887) (85,071) (72,388) (134,531) (53,481) 84,242
----------- -------- ----------- -------- ----------- -------- ----------- -----------
Net Increase (Decrease)
From Capital Shares
Transactions............ 7,920 (24,582) 8,757 (57,276) 13,823 44,332 (7,919) 47,813
----------- -------- ----------- -------- ----------- -------- ----------- -----------
Total Increase
(Decrease).............. 10,078 (51,660) (25,914) (32,906) 46,508 19,544 55,012 13,179
NET ASSETS
Beginning of Period........... 79,231 130,891 199,838 232,744 450,801 431,257 225,227 212,048
----------- -------- ----------- -------- ----------- -------- ----------- -----------
End of Period................. $ 89,309 $ 79,231 $173,924 $199,838 $497,309 $450,801 $280,239 $ 225,227
----------- -------- ----------- -------- ----------- -------- ----------- -----------
----------- -------- ----------- -------- ----------- -------- ----------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................ 846 108 2,252 469 9,275 20,265 4,894 14,812
Shares Issued in Lieu of Cash
Distributions.............. 779 663 1,618 1,342 2,591 3,002 304 599
Shares Redeemed.............. (1,106) (1,669) (3,214) (4,942) (9,787) (17,729) (6,100) (9,868)
----------- -------- ----------- -------- ----------- -------- ----------- -----------
519 (898) 656 (3,131) 2,079 5,538 (902) 5,543
----------- -------- ----------- -------- ----------- -------- ----------- -----------
----------- -------- ----------- -------- ----------- -------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
92
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA TWO-YEAR
THE EMERGING MARKETS THE DFA ONE-YEAR FIXED GLOBAL FIXED INCOME
SMALL CAP PORTFOLIO INCOME PORTFOLIO PORTFOLIO
------------------------- ------------------------ ------------------------
SIX MONTHS MARCH 5 SIX MONTHS YEAR SIX MONTHS YEAR
ENDED TO ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1999 1998 1999 1998 1999 1998
------------ ----------- ------------ ---------- ------------ ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 53 $ (5) $ 19,164 $ 42,219 $ 6,288 $ 25,217
Capital Gain Distributions Received from
The DFA Investment Trust Company.............. -- -- -- -- 603 897
Net Realized Gain (Loss) on Investment
Securities.................................... 2,354 181 (109) 354 (22) (1,915)
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. (12) (6) -- 77 -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 185 (329) (1,453) -- 4,970 2,141
Translation of Foreign Currency in Denominated
Amounts..................................... 1 -- -- -- -- --
------------ ----------- ------------ ---------- ------------ ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 2,581 (159) 17,602 42,650 11,839 26,340
------------ ----------- ------------ ---------- ------------ ----------
Distributions From:
Net Investment Income........................... (37) -- (19,238) (42,291) (6,778) (32,465)
Net Realized Gains.............................. (181) -- (529) (380) -- (816)
------------ ----------- ------------ ---------- ------------ ----------
Total Distributions......................... (218) -- (19,767) (42,671) (6,778) (33,281)
------------ ----------- ------------ ---------- ------------ ----------
Capital Share Transactions (1):
Shares Issued................................... 4,007 5,624 207,186 352,543 93,739 141,638
Shares Issued in Lieu of Cash Distributions..... 218 -- 17,794 32,442 6,672 16,434
Shares Redeemed................................. (994) (444) (170,695) (384,691) (73,691) (129,151)
------------ ----------- ------------ ---------- ------------ ----------
Net Increase From Capital Shares
Transactions.............................. 3,231 5,180 54,285 294 26,720 28,921
------------ ----------- ------------ ---------- ------------ ----------
Total Increase.............................. 5,594 5,021 52,120 273 31,781 21,980
NET ASSETS
Beginning of Period............................. 5,021 -- 752,510 752,237 440,885 418,905
------------ ----------- ------------ ---------- ------------ ----------
End of Period................................... $ 10,615 $ 5,021 $ 804,630 $ 752,510 $ 472,666 $ 440,885
------------ ----------- ------------ ---------- ------------ ----------
------------ ----------- ------------ ---------- ------------ ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 415 615 20,306 34,520 9,148 14,058
Shares Issued in Lieu of Cash Distributions.... 25 -- 1,750 3,187 656 1,653
Shares Redeemed................................ (99) (63) (13,736) (37,674) (7,196) (12,799)
------------ ----------- ------------ ---------- ------------ ----------
341 552 5,320 33 2,608 2,912
------------ ----------- ------------ ---------- ------------ ----------
------------ ----------- ------------ ---------- ------------ ----------
</TABLE>
See accompanying Notes to Financial Statements.
93
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR THE DFA INTERMEDIATE
THE DFA FIVE-YEAR GLOBAL FIXED INCOME GOVERNMENT FIXED INCOME
GOVERNMENT PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1999 1998 1999 1998 1999 1998
------------ --------- ------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 4,889 $ 10,938 $ 7,313 $ 11,692 $ 6,515 $ 9,240
Net Realized Gain (Loss) on Investment
Securities.................................... (3) 259 332 2,462 725 1,592
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- 15,287 7,244 -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (601) 96 (12,447) 8,878 (13,594) 6,122
Translation of Foreign Currency Denominated
Amounts..................................... -- -- 1,177 (5,046) -- --
------------ --------- ------------ --------- ------------ ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 4,285 11,293 11,662 25,230 (6,354) 16,954
------------ --------- ------------ --------- ------------ ---------
Distributions From:
Net Investment Income........................... (6,371) (11,268) (9,045) (25,763) (5,707) (8,667)
Net Realized Gains.............................. -- -- (2,442) (1,482) (1,590) (583)
------------ --------- ------------ --------- ------------ ---------
Total Distributions......................... (6,371) (11,268) (11,487) (27,245) (7,297) (9,250)
------------ --------- ------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued................................... 40,973 75,970 98,133 148,062 25,243 110,800
Shares Issued in Lieu of Cash Distributions..... 6,245 8,763 11,306 17,181 7,282 1,503
Shares Redeemed................................. (39,034) (78,149) (41,765) (41,687) (14,370) (17,527)
------------ --------- ------------ --------- ------------ ---------
Net Increase From Capital Shares
Transactions.............................. 8,184 6,584 67,674 123,556 18,155 94,776
------------ --------- ------------ --------- ------------ ---------
Total Increase.............................. 6,098 6,609 67,849 121,541 4,504 102,480
NET ASSETS
Beginning of Period............................. 210,986 204,377 371,619 250,078 239,035 136,555
------------ --------- ------------ --------- ------------ ---------
End of Period................................... $ 217,084 $ 210,986 $ 439,468 $ 371,619 $ 243,539 $ 239,035
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 4,018 7,436 9,284 14,232 2,219 9,587
Shares Issued in Lieu of Cash Distributions.... 621 870 1,080 1,691 634 134
Shares Redeemed................................ (3,834) (7,639) (3,940) (4,002) (1,260) (1,535)
------------ --------- ------------ --------- ------------ ---------
805 667 6,424 11,921 1,593 8,186
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements.
94
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 34.61 $ 28.48 $ 22.73 $ 18.12 $ 13.58 $ 13.91
----------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.30 0.43 0.42 0.41 0.35 0.37
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 4.09 6.20 5.89 4.52 4.57 (0.22)
----------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 4.39 6.63 6.31 4.93 4.92 0.15
- -----------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.28) (0.43) (0.43) (0.31) (0.36) (0.37)
Net Realized Gains.......... (0.17) (0.07) (0.13) (0.01) (0.02) (0.11)
----------- -------- -------- -------- -------- --------
Total Distributions....... (0.45) (0.50) (0.56) (0.32) (0.38) (0.48)
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 38.55 $ 34.61 $ 28.48 $ 22.73 $ 18.12 $ 13.58
- -----------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
Total Return.................. 12.57%# 23.56% 28.26% 27.49% 36.54% 1.04%
- -----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $726,566 $549,962 $343,537 $187,757 $97,111 $48,638
Ratio of Expenses to Average
Net Assets**................ 0.15%* 0.15% 0.15% 0.21% 0.24% 0.24%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)**................. 0.31%* 0.32% 0.35% 0.45% 0.46% 0.66%
Ratio of Net Investment Income
to Average Net Assets....... 1.28%* 1.39% 1.66% 2.10% 2.29% 2.75%
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)**... 1.11%* 1.21% 1.46% 1.85% 2.23% 2.64%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 5.01%* 9.31% 4.28% 14.09% 2.38% 8.52%
- -----------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY PORTFOLIO
--------------------------------------------
SIX MONTHS YEAR YEAR JULY 3,
ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
- ------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 14.27 $ 13.61 $ 11.83 $ 10.00
----------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.82 0.63 0.54 0.12
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.82 2.15 2.40 1.71
----------- -------- -------- --------
Total From Investment
Operations.............. 1.64 2.78 2.94 1.83
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.80) (0.72) (0.55) --
Net Realized Gains.......... (0.67) (1.40) (0.61) --
----------- -------- -------- --------
Total Distributions....... (1.47) (2.12) (1.16) --
- ------------------------------
Net Asset Value, End of
Period...................... $ 14.44 $ 14.27 $ 13.61 $ 11.83
- ------------------------------
- ------------------------------
Total Return.................. 12.31%# 23.73% 27.22% 18.30%#
- ------------------------------
Net Assets, End of Period
(thousands)................. $77,339 $61,536 $47,642 $29,236
Ratio of Expenses to Average
Net Assets**................ 0.42%* 0.45% 0.52% 0.65%*
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)**................. 0.42%* 0.46% 0.54% 0.65%*
Ratio of Net Investment Income
to Average Net Assets....... 1.10%* 4.54% 4.51% 3.44%*
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)**... 1.10%* 4.53% 4.49% 3.44%*
Portfolio Turnover Rate....... N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 72.31%* 86.98% 193.78% 211.07%*
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
95
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 20.21 $ 19.22 $ 15.98 $ 13.29 $ 9.91 $ 10.60
------------ ---------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.09 0.31 0.29 0.30 0.29 0.32
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.83 1.83 3.60 2.62 3.55 (0.68)
------------ ---------- -------- -------- -------- --------
Total From Investment
Operations.............. 2.92 2.14 3.89 2.92 3.84 (0.36)
- -------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.17) (0.31) (0.30) (0.23) (0.29) (0.33)
Net Realized Gains.......... (0.64) (0.84) (0.35) -- (0.17) --
------------ ---------- -------- -------- -------- --------
Total Distributions....... (0.81) (1.15) (0.65) (0.23) (0.46) (0.33)
- -------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 22.32 $ 20.21 $ 19.22 $ 15.98 $ 13.29 $ 9.91
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
Total Return.................. 15.12%# 11.69% 25.10% 22.20% 39.13% (3.27)%
- -------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $1,235,514 $1,080,470 $840,003 $541,149 $280,915 $197,566
Ratio of Expenses to Average
Net
Assets...................... 0.33%*(a) 0.33%(a) 0.35%(a) 0.36%(a) 0.42%(a) 0.44%(a)
Ratio of Net Investment Income
to Average Net Assets....... 0.77%* 1.57% 1.70% 2.17% 2.49% 3.50%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 37.54%* 24.70% 17.71% 20.12% 29.41% 39.33%
- -------------------------------------------------------------------------------------------------
<CAPTION>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE PORTFOLIO U.S. 5-10 VALUE PORTFOLIO
------------------------- -------------------------
DEC. 14, 1998 DEC. 11, 1998
TO TO
MAY 31, MAY 31,
1999 1999
- ------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.00 $ 10.00
-------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.04 0.02
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.72 1.37
-------- ----------
Total From Investment
Operations.............. 1.76 1.39
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.01) --
Net Realized Gains.......... -- --
-------- ----------
Total Distributions....... (0.01) --
- ------------------------------
Net Asset Value, End of
Period...................... $ 11.75 $ 11.39
- ------------------------------
- ------------------------------
Total Return.................. 17.58%# 13.90%#
- ------------------------------
Net Assets, End of Period
(thousands)................. $54,304 $209,123
Ratio of Expenses to Average
Net
Assets...................... 0.94%*(a)(b) 0.72%*(b)
Ratio of Net Investment Income
to Average Net Assets....... 1.66%*(b) 0.71%*(b)
Portfolio Turnover Rate....... N/A 6.75%*
Portfolio Turnover Rate of
Master Fund Series.......... 4.77%* N/A
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
(a) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
(b) Because of commencement of operations and related preliminary transaction costs including organization costs, these
ratios are not necessarily indicative of future ratios.
</TABLE>
See accompanying Notes to Financial Statements.
96
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE PORTFOLIO
----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period............ $ 19.09 $ 22.09 $ 17.00 $ 14.03 $ 11.13 $ 11.04
------------ ---------- ---------- ---------- -------- ---------
INCOME FROM
INVESTMENT
OPERATIONS
Net Investment
Income.......... 0.24 0.12 0.07 0.11 0.10 0.14
Net Gains (Losses)
on Securities
(Realized and
Unrealized)..... 1.19 (2.10) 5.49 2.93 3.06 0.10
------------ ---------- ---------- ---------- -------- ---------
Total From
Investment
Operations.... 1.43 (1.98) 5.56 3.04 3.16 0.24
- --------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment
Income.......... (0.33) (0.10) (0.11) (0.02) (0.10) (0.15)
Net Realized
Gains........... (1.20) (0.92) (0.36) (0.05) (0.16) --
------------ ---------- ---------- ---------- -------- ---------
Total
Distributions... (1.53) (1.02) (0.47) (0.07) (0.26) (0.15)
- --------------------------------------------------------------------------------------------
Net Asset Value, End
of Period......... $ 18.99 $ 19.09 $ 22.09 $ 17.00 $ 14.03 $ 11.13
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
Total Return........ 8.36%# (9.32)% 33.57% 21.70% 28.41% 2.19%
- --------------------------------------------------------------------------------------------
Net Assets, End of
Period
(thousands)....... $2,628,099 $2,350,094 $2,098,654 $1,207,298 $609,950 $344,148
Ratio of Expenses to
Average Net
Assets**.......... 0.58%* 0.58% 0.60% 0.61% 0.64% 0.66%
Ratio of Net
Investment Income
(Loss) to Average
Net Assets........ (0.14)%* 0.57% 0.37% 0.78% 0.85% 1.69%
Portfolio Turnover
Rate.............. N/A N/A N/A N/A N/A N/A
Portfolio Turnover
Rate of Master
Fund Series....... 27.01%* 22.51% 25.47% 14.91% 20.62% 8.22%
- --------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- --------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period............ $ 13.77 $ 16.89 $ 14.53 $ 12.64 $ 11.08 $ 11.43
----------- -------- -------- -------- -------- --------
INCOME FROM
INVESTMENT
OPERATIONS
Net Investment
Income.......... 0.31 0.08 0.09 0.11 0.09 0.09
Net Gains (Losses)
on Securities
(Realized and
Unrealized)..... 0.77 (1.55) 3.42 2.20 2.81 (0.07)
----------- -------- -------- -------- -------- --------
Total From
Investment
Operations.... 1.08 (1.47) 3.51 2.31 2.90 0.02
- --------------------
LESS DISTRIBUTIONS
Net Investment
Income.......... (0.38) (0.08) (0.12) (0.02) (0.14) (0.09)
Net Realized
Gains........... (0.97) (1.57) (1.03) (0.40) (1.20) (0.28)
----------- -------- -------- -------- -------- --------
Total
Distributions... (1.35) (1.65) (1.15) (0.42) (1.34) (0.37)
- --------------------
Net Asset Value, End
of Period......... $ 13.50 $ 13.77 $ 16.89 $ 14.53 $ 12.64 $ 11.08
- --------------------
- --------------------
Total Return........ 8.75%# (9.27)% 26.12% 18.73% 28.75% 0.22%
- --------------------
Net Assets, End of
Period
(thousands)....... $351,903 $324,590 $337,992 $234,194 $186,644 $112,137
Ratio of Expenses to
Average Net
Assets**.......... 0.44%* 0.43% 0.45% 0.48% 0.49% 0.53%
Ratio of Net
Investment Income
(Loss) to Average
Net Assets........ (0.09)%* 0.47% 0.48% 0.75% 0.83% 0.72%
Portfolio Turnover
Rate.............. N/A N/A N/A N/A N/A N/A
Portfolio Turnover
Rate of Master
Fund Series....... 26.79%* 29.15% 30.04% 32.38% 21.16% 27.65%
- --------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
97
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
TAX-MANAGED
U.S. 6-10
SMALL
COMPANY
---------- THE U.S. 9-10 SMALL COMPANY PORTFOLIO
DEC. 15, ---------------------------------------------------------------------------
1998 SIX MONTHS YEAR YEAR YEAR YEAR YEAR
TO ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.00 $ 10.65 $ 13.99 $ 12.14 $ 11.03 $ 8.49 $ 8.69
---------- ---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.01 (0.02) 0.02 0.03 0.03 0.05 0.01
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.22 0.79 (1.44) 3.01 1.85 2.61 0.40
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.............. 1.23 0.77 (1.42) 3.04 1.88 2.66 0.41
- ------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- (0.02) (0.03) (0.03) (0.01) (0.04) (0.03)
Net Realized Gains.......... -- (0.13) (1.89) (1.16) (0.76) (0.08) (0.58)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions....... -- (0.15) (1.92) (1.19) (0.77) (0.12) (0.61)
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 11.23 $ 11.27 $ 10.65 $ 13.99 $ 12.14 $ 11.03 $ 8.49
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
Total Return.................. 12.30%# 7.37%# (11.14)% 27.46% 18.05% 31.37% 5.06%
- ------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 35,844 $1,405,057 $1,338,510 $1,509,427 $1,181,804 $ 925,474 $ 659,221
Ratio of Expenses to Average
Net Assets.................. 1.08%*(a) 0.59%(b) 0.59%(b) 0.60% 0.61% 0.62% 0.65%
Ratio of Net Investment Income
(Loss) to Average Net
Assets...................... 0.24%*(a) (0.23)%* 0.18% 0.21% 0.22% 0.45% 0.16%
Portfolio Turnover Rate....... 2.79%* N/A N/A 27.81% 23.68% 24.65% 16.56%
Portfolio Turnover Rate of
Master Fund Series.......... N/A 21.31%* 26.44% N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
(a) Because of commencement of operations and related preliminary transaction costs, including organization costs, these
ratios are not necessarily indicative of future ratios.
(b) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
98
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED YEAR YEAR YEAR ENDED ENDED
MAY 31, ENDED NOV. ENDED NOV. ENDED NOV. NOV. 30, NOV. 30,
1999 30, 1998 30, 1997 30, 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period $ 13.00 $ 15.53 $ 12.65 $ 10.00 $ 9.28 $ 10.92
---------- ----------- ----------- ----------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.37 0.74 0.88 0.71 0.61 0.37
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.46 (2.52) 2.68 2.08 0.68 (1.65)
---------- ----------- ----------- ----------- --------- ---------
Total From Investment
Operations.............. 0.83 (1.78) 3.56 2.79 1.29 (1.28)
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.65) (0.75) (0.68) (0.14) (0.46) (0.28)
Net Realized Gains.......... -- -- -- -- -- --
Tax Return of Capital..... -- -- -- -- (0.11) (0.08)
---------- ----------- ----------- ----------- --------- ---------
Total Distributions....... (0.65) (0.75) (0.68) (0.14) (0.57) (0.36)
- ------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 13.18 $ 13.00 $ 15.53 $ 12.65 $ 10.00 $ 9.28
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
Total Return.................. 6.87%# (12.01)% 29.13% 28.24% 14.00% (11.76)%
- ------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 123,689 $ 106,544 $ 95,072 $ 64,390 $ 43,435 $ 30,456
Ratio of Expenses to Average
Net Assets.................. 0.47%* 0.46% 0.48% 0.71% 0.82% 0.90%
Ratio of Net Investment Income
to Average Net Assets....... 6.68%* 5.95% 5.73% 7.08% 6.76% 3.90%
Portfolio Turnover Rate....... 9.05%* 2.55% 30.73% 11.25% 0.66% 28.87%
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period $ 16.28 $ 14.27 $ 14.18 $ 12.60 $ 11.91 $ 11.26
----------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.16 0.23 0.23 0.21 0.15 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.37 2.03 0.15 1.39 0.95 1.11
----------- --------- --------- --------- --------- ---------
Total From Investment
Operations.............. 0.53 2.26 0.38 1.60 1.10 1.20
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.26) (0.25) (0.21) (0.02) (0.18) (0.09)
Net Realized Gains.......... -- -- (0.08) -- (0.23) (0.46)
Tax Return of Capital..... -- -- -- -- -- --
----------- --------- --------- --------- --------- ---------
Total Distributions....... (0.26) (0.25) (0.29) (0.02) (0.18) (0.09)
- ------------------------------
Net Asset Value, End of
Period...................... $ 16.55 $ 16.28 $ 14.27 $ 14.18 $ 12.60 $ 11.91
- ------------------------------
- ------------------------------
Total Return.................. 3.28%# 16.13% 2.80% 12.68% 9.37% 10.74%
- ------------------------------
Net Assets, End of Period
(thousands)................. $167,905 $ 114,593 $ 87,223 $ 79,322 $ 67,940 $ 55,635
Ratio of Expenses to Average
Net Assets.................. 0.52%* 0.47% 0.47% 0.58% 0.57% 0.66%
Ratio of Net Investment Income
to Average Net Assets....... 1.98%* 1.63% 1.69% 1.57% 1.84% 1.18%
Portfolio Turnover Rate....... 0.35%* 4.36% 2.31% 17.65% 24.44% 33.15%
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
99
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE TAX-
MANAGED
DFA
INTERNATIONAL
VALUE
PORTFOLIO
----------- THE INTERNATIONAL SMALL COMPANY PORTFOLIO
APRIL 16, ----------------------------------------------------------------
1999 SIX MONTHS YEAR YEAR OCT. 1,
TO ENDED ENDED ENDED TO
MAY 31, MAY 31, NOV. 30, NOV. 30, NOV. 30,
1999 1999 1998 1997 1996
- --------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.00 $ 7.82 $ 7.82 $ 9.96 $ 10.00
----------- ---------- ------------- ------------- -------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income......... 0.04 0.09 0.15 0.10 0.01
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.53) 0.65 (0.04) (2.22) (0.05)
----------- ---------- ------------- ------------- -------------
Total From Investment
Operations............... (0.49) 0.74 0.11 (2.12) (0.04)
- --------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... 0.00 (0.15) (0.11) (0.02) --
Net Realized Gains.......... -- -- -- -- --
----------- ---------- ------------- ------------- -------------
Total Distributions....... 0.00 (0.15) (0.11) (0.02) --
- --------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.51 $ 8.41 $ 7.82 $ 7.82 $ 9.96
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
Total Return.................. (4.90%)# 9.68%# 1.49% (21.35)% (0.40)%#
- --------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 12,554 $ 219,184 $ 273,992 $ 230,469 $ 104,118
Ratio of Expenses to Average
Net Assets**................ 3.15%*(a) 0.74%* 0.73% 0.75% 0.70%*
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)................... 3.15%*(a) 0.73%* 0.73% 0.75% 0.79%*
Ratio of Net Investment Income
to Average Net Assets....... 3.94%*(a) 1.89%* 1.62% 1.46% 0.54%*
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 3.94%*(a) 1.60%* 1.62% 1.46% 0.45%*
Portfolio Turnover Rate....... 0.00% N/A*** N/A*** N/A*** N/A***
- --------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
** For The International Small Company, the Expense Ratios represents the combined ratios for the respective portfolio and
its respective pro-rata share of its Master Fund Series for the period November 30, 1996 and subsequent periods.
*** Refer to the respective Master Fund Series
(a) Because of commencement of operations and related preliminary transaction costs, including organization costs, these
ratios are not necessarily indicative of future ratios.
</TABLE>
See accompanying Notes to Financial Statements.
100
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM SMALL
THE JAPANESE SMALL COMPANY PORTFOLIO COMPANY PORTFOLIO
---------------------------------------------------------------------- ------------------------
SIX SIX
MONTHS YEAR YEAR YEAR YEAR YEAR MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30,
1999 1998 1997 1996 1995 1994 1999 1998
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 9.10 $ 9.45 $ 21.03 $ 22.78 $ 25.06 $ 19.96 $ 6.55 $ 9.52
--------- --------- --------- --------- --------- ---------- --------- ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.01 0.07 0.09 0.07 0.06 0.05 0.07 0.25
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.19 (0.31) (10.45) (1.45) (1.65) 5.76 1.76 (2.40)
--------- --------- --------- --------- --------- ---------- --------- ------------
Total From Investment
Operations.............. 1.20 (0.24) (10.36) (1.38) (1.59) 5.81 1.83 (2.15)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.06) (0.11) (0.06) (0.01) (0.06) (0.04) (0.22) (0.32)
Net Realized Gains.......... -- -- (1.16) (0.36) (0.63) (0.67) -- (0.50)
--------- --------- --------- --------- --------- ---------- --------- ------------
Total Distributions....... (0.06) (0.11) (1.22) (0.37) (0.69) (0.71) (0.22) (0.82)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.24 $ 9.10 $ 9.45 $ 21.03 $ 22.78 $ 25.06 $ 8.16 $ 6.55
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
Total Return.................. 13.33%# (2.37)% (51.90)% (6.28)% (6.54)% 29.59% 29.06%# (23.98)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $134,907 $ 119,714 $ 114,017 $ 294,120 $ 371,113 $330,674 $127,434 $ 89,330
Ratio of Expenses to Average
Net Assets**................ 0.74%* 0.74% 0.73% 0.72% 0.74% 0.76% 0.80%* 0.84%
Ratio of Net Investment Income
to Average Net Assets....... 1.04%* 0.84% 0.50% 0.24% 0.25% 0.10% 2.25%* 3.51%
Portfolio Turnover Rate....... N/A N/A N/A 18.52%*(a) 7.79% 10.51% N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 5.58%* 8.14% 13.17% 1.67%*(b) N/A N/A 7.82%* 25.84%
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994
- ------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 16.63 $ 14.38 $ 15.98 $ 16.45
------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.32 0.27 0.34 0.23
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (6.22) 2.40 (1.33) 0.47
------------ ------------ ------------ ------------
Total From Investment
Operations.............. (5.90) 2.67 (0.99) 0.70
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.33) (0.02) (0.34) (0.23)
Net Realized Gains.......... (0.88) (0.40) (0.27) (0.94)
------------ ------------ ------------ ------------
Total Distributions....... (1.21) (0.42) (0.61) (1.17)
- ------------------------------
Net Asset Value, End of
Period...................... $ 9.52 $ 16.63 $ 14.38 $ 15.98
- ------------------------------
- ------------------------------
Total Return.................. (38.07)% 19.06% (6.27)% 4.26%
- ------------------------------
Net Assets, End of Period
(thousands)................. $ 111,320 $ 215,542 $ 193,137 $ 212,953
Ratio of Expenses to Average
Net Assets**................ 0.84% 0.84% 0.83% 0.95%
Ratio of Net Investment Income
to Average Net Assets....... 1.95% 1.70% 2.22% 1.47%
Portfolio Turnover Rate....... N/A 7.05%*(a) 5.95% 26.05%
Portfolio Turnover Rate of
Master Fund Series.......... 24.00% 8.04%(b) N/A N/A
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
(a) Portfolio turnover calculated for the period December 1, 1995 to August 9, 1996 (through the date on which the portfolio
transferred its investable assets to its corresponding Master Fund series in a tax-free exchange).
(b) Calculated for the period August 9 to November 30, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
101
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
31, 1999 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 21.63 $ 28.69 $ 28.47 $ 24.09 $ 23.20 $ 21.22
----------- ----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.36 0.87 0.81 0.72 0.84 0.48
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 3.21 (4.27) 1.46 5.31 1.12 2.03
----------- ----------- --------- --------- --------- ---------
Total From Investment
Operations............... 3.57 (3.40) 2.27 6.03 1.96 2.51
- ---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.81) (0.84) (0.73) (0.06) (0.76) (0.53)
Net Realized Gains.......... (3.04) (2.82) (1.32) (1.59) (0.31) --
----------- ----------- --------- --------- --------- ---------
Total Distributions....... (3.85) (3.66) (2.05) (1.65) (1.07) (0.53)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 21.35 $ 21.63 $ 28.69 $ 28.47 $ 24.09 $ 23.20
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
Total Return.................. 19.96%# (13.56)% 8.45% 26.76% 8.39% 11.85%
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 89,309 $ 79,231 $ 130,891 $ 166,789 $ 167,730 $ 214,113
Ratio of Expenses to Average
Net Assets**................ 0.74%* 0.72% 0.70% 0.73% 0.72% 0.74%
Ratio of Net Investment Income
to Average Net Assets....... 3.61%* 2.87% 2.40% 2.49% 2.51% 1.95%
Portfolio Turnover Rate....... N/A N/A N/A 3.72%*(a) 7.82% 10.75%
Portfolio Turnover Rate of
Master Fund Series.......... 5.92%* 11.26% 4.26% 4.55%*(b) N/A N/A
- ---------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series for the period ended
November 30, 1996 and subsequent periods.
(a) Portfolio turnover calculated for the period December 1, 1995 to August 9, 1996 (through the date on which the portfolio
transferred its investable assets to its corresponding Master Fund Series in a tax-free exchange).
(b) Calculated for the period August 9 to November 30, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
102
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 17.42 $ 15.94 $ 15.26 $ 14.13 $ 14.63 $ 12.62
----------- -------- -------- ------------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.12 0.28 0.29 0.30 0.29 0.18
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (1.09) 2.55 1.55 1.58 (0.48) 2.10
----------- -------- -------- ------------- -------- --------
Total From Investment
Operations.............. (0.97) 2.83 1.84 1.88 (0.19) 2.28
- ----------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.29) (0.25) (0.29) (0.02) (0.29) (0.19)
Net Realized Gains.......... (1.82) (1.10) (0.87) (0.73) (0.02) (0.07)
Tax Return of Capital....... -- -- -- -- -- (0.01)
----------- -------- -------- ------------- -------- --------
Total Distributions....... (2.11) (1.35) (1.16) (0.75) (0.31) (0.27)
- ----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 14.34 $ 17.42 $ 15.94 $ 15.26 $ 14.13 $ 14.63
- ----------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------
Total Return.................. (5.94)%# 19.42% 13.02% 13.96% (1.33)% 18.19%
- ----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $173,924 $199,838 $232,744 $ 299,325 $314,116 $340,992
Ratio of Expenses to Average
Net Assets**................ 0.72%* 0.70% 0.72% 0.73% 0.74% 0.77%
Ratio of Net Investment Income
to Average Net Assets....... 1.64%* 1.32% 1.41% 1.81% 1.69% 1.21%
Portfolio Turnover Rate....... N/A N/A N/A 3.67%*(a) 9.79% 10.22%
Portfolio Turnover Rate of
Master Fund Series.......... 4.16%* 0.74% 3.46% 6.69%*(b) N/A N/A
- ----------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERNATIONAL
SMALL CAP VALUE PORTFOLIO
----------------------------------------------------
SIX MONTHS YEAR YEAR YEAR DEC. 30,
ENDED ENDED ENDED ENDED 1994 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...................... $ 7.54 $ 7.95 $ 10.45 $ 9.68 $ 10.00
----------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.08 0.15 0.12 0.11 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.73 (0.16) (2.19) 0.66 (0.32)
----------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.81 (0.01) (2.07) 0.77 (0.27)
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.15) (0.12) (0.13) -- (0.04)
Net Realized Gains.......... (0.16) (0.28) (0.30) -- (0.01)
Tax Return of Capital....... -- -- -- -- --
----------- -------- -------- -------- --------
Total Distributions....... (0.31) (0.40) (0.43) -- (0.05)
- ------------------------------
Net Asset Value, End of
Period...................... $ 8.04 $ 7.54 $ 7.95 $ 10.45 $ 9.68
- ------------------------------
- ------------------------------
Total Return.................. 11.31%# 0.17% (20.60)% 8.01% (2.73)%#
- ------------------------------
Net Assets, End of Period
(thousands)................. $497,309 $450,801 $431,257 $375,488 $147,125
Ratio of Expenses to Average
Net Assets**................ 0.86%* 0.86% 0.90% 0.99% 1.23%*
Ratio of Net Investment Income
to Average Net Assets....... 2.14%* 1.85% 1.47% 1.38% 1.43%*
Portfolio Turnover Rate....... 12.59%* 18.71% 13.63% 14.52% 1.62%*
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A N/A N/A
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
# Non-annualized
* Annualized
** Represents the combined ratios for The Continental Small Company Portfolio and its pro-rata share of its Master Fund
Series for the period ended November 30, 1996 and subsequent periods.
(a) Portfolio turnover calculated for the period December 1, 1995 to August 9, 1996, (through the date on which the portfolio
transferred its investable assets to its corresponding Master Fund Series in a tax-free exchange).
(b) Items calculated for the period August 9 to November 30, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
103
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING MARKETS PORTFOLIO
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR APRIL 25
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 8.16 $ 9.61 $ 11.71 $ 10.35 $ 11.30 $ 10.00
----------- -------- -------- -------- -------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.06 0.13 0.12 0.09 0.06 (0.02)
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.36 (1.32) (2.13) 1.27 (0.96) 1.32
----------- -------- -------- -------- -------- ---------
Total From Investment
Operations.............. 2.42 (1.19) (2.01) 1.36 (0.90) 1.30
- ------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income......... (0.09) (0.26) (0.09) -- (0.05) --
Net Realized Gains.......... -- -- -- -- -- --
----------- -------- -------- -------- -------- ---------
Total Distributions....... (0.09) (0.26) (0.09) -- (0.05) --
- ------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.49 $ 8.16 $ 9.61 $ 11.71 $ 10.35 $ 11.30
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
Total Return.................. 30.04%# (12.57)% (17.27)% 13.18% (7.96)% 13.00%#
- ------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $280,239 $225,227 $212,048 $162,025 $49,337 $15,731
Ratio of Expenses to Average
Net Assets**................ 0.95%* 1.00% 0.99% 1.15% 1.58% 2.43%*
Ratio of Net Investment Income
to Average Net Assets....... 1.71%* 1.19% 1.19% 1.14% 0.98% (0.44)%*
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 17.44%* 9.76% 0.54% 0.37% 8.17% 1.28%*
- ------------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING MARKETS
SMALL CAP PORTFOLIO
----------------------
SIX MONTHS MARCH 5,
ENDED TO
MAY 31, NOV. 30,
1999 1998
- ------------------------------
(UNAUDITED)
<S> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 9.09 $10.00
----------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.08 (0.01)
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 3.08 (0.90)
----------- --------
Total From Investment
Operations.............. 3.16 (0.91)
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income......... (0.06) --
Net Realized Gains.......... (0.30) --
----------- --------
Total Distributions....... (0.36) --
- ------------------------------
Net Asset Value, End of
Period...................... $ 11.89 $ 9.09
- ------------------------------
- ------------------------------
Total Return.................. 36.08%# (9.10)%#
- ------------------------------
Net Assets, End of Period
(thousands)................. $10,615 $5,021
Ratio of Expenses to Average
Net Assets**................ 1.84%* 2.36%*
Ratio of Net Investment Income
to Average Net Assets....... 1.42%* (0.29)%*
Portfolio Turnover Rate....... N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 30.09%* 13.41%
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the year ended November 30, 1996 and subsequent periods.
</TABLE>
See accompanying Notes to Financial Statements.
104
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO (1)
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.22 $ 10.23 $ 10.24 $ 10.21 $ 10.05 $ 10.28
----------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.26 0.57 0.59 0.56 0.60 0.46
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.02) -- (0.01) 0.03 0.17 (0.21)
----------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.24 0.57 0.58 0.59 0.77 0.25
- ----------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.25) (0.57) (0.59) (0.56) (0.60) (0.46)
Net Realized Gains.......... (0.01) (0.01) -- -- (0.01) (0.02)
----------- -------- -------- -------- -------- --------
Total Distributions....... (0.26) (0.58) (0.59) (0.56) (0.61) (0.48)
- ----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.20 $ 10.22 $ 10.23 $ 10.24 $ 10.21 $ 10.05
- ----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
Total Return.................. 2.34%# 5.74% 5.84% 5.94% 7.80% 2.48%
- ----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $804,630 $752,510 $752,237 $854,521 $704,950 $592,226
Ratio of Expenses to Average
Net Assets**................ 0.21%* 0.21% 0.22% 0.21% 0.20% 0.21%
Ratio of Net Investment Income
to Average Net Assets....... 4.85%* 5.51% 5.79% 5.39% 5.86% 4.47%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 63.46%* 23.62% 82.84% 95.84% 81.31% 140.82%
- ----------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR GLOBAL
FIXED INCOME PORTFOLIO
------------------------------------------
SIX MONTHS YEAR YEAR FEB. 9,
ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
- ------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.21 $ 10.40 $ 10.37 $ 10.00
----------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.16 0.61 0.69 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.11 0.01 (0.12) 0.35
----------- -------- -------- --------
Total From Investment
Operations.............. 0.27 0.62 0.57 0.59
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.16) (0.79) (0.53) (0.22)
Net Realized Gains.......... -- (0.02) (0.01) --
----------- -------- -------- --------
Total Distributions....... (0.16) (0.81) (0.54) (0.22)
- ------------------------------
Net Asset Value, End of
Period...................... $ 10.32 $ 10.21 $ 10.40 $ 10.37
- ------------------------------
- ------------------------------
Total Return.................. 2.63%# 6.39% 5.66% 6.01%#
- ------------------------------
Net Assets, End of Period
(thousands)................. $472,666 $440,885 $418,905 $319,343
Ratio of Expenses to Average
Net Assets**................ 0.29%* 0.29% 0.34% 0.33%*
Ratio of Net Investment Income
to Average Net Assets....... 2.78%* 5.90% 6.70% 3.10%*
Portfolio Turnover Rate....... N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 44.46%* 112.93% 119.27% 87.07%*
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
(1) Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series for the period ended
November 30, 1994 and subsequent periods.
</TABLE>
See accompanying Notes to Financial Statements.
105
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........................ $ 10.35 $ 10.36 $ 10.42 $ 10.05 $ 9.75 $ 10.55
----------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... 0.23 0.54 0.59 0.65 0.59 0.48
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. (0.03) 0.01 (0.06) 0.09 0.30 (0.80)
----------- -------- -------- -------- -------- --------
Total From Investment Operations........................ 0.20 0.55 0.53 0.74 0.89 (0.32)
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.31) (0.56) (0.59) (0.37) (0.59) (0.48)
Net Realized Gains........................................ -- -- -- -- -- --
----------- -------- -------- -------- -------- --------
Total Distributions..................................... (0.31) (0.56) (0.59) (0.37) (0.59) (0.48)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.24 $ 10.35 $ 10.36 $ 10.42 $ 10.05 $ 9.75
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Total Return................................................ 2.03%# 5.50% 5.39% 7.51% 9.35% (3.13)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $217,084 $210,986 $204,377 $174,386 $300,921 $235,554
Ratio of Expenses to Average Net Assets..................... 0.29%* 0.29% 0.29% 0.30% 0.28% 0.31%
Ratio of Net Investment Income to Average Net Assets........ 4.67%* 5.18% 5.95% 5.63% 6.14% 5.08%
Portfolio Turnover Rate..................................... 0.00%* 6.93% 27.78% 211.97% 398.09% 52.39%
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........................ $ 10.65 $ 10.88 $ 11.04 $ 10.51 $ 9.81 $ 10.56
----------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... 0.39 0.45 0.48 0.50 0.39 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. (0.08) 0.42 0.33 0.61 1.08 (0.65)
----------- -------- -------- -------- -------- --------
Total From Investment Operations........................ 0.31 0.87 0.81 1.11 1.47 (0.30)
- ------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.25) (1.04) (0.88) (0.58) (0.77) (0.44)
Net Realized Gains........................................ (0.07) (0.06) (0.09) -- -- (0.01)
----------- -------- -------- -------- -------- --------
Total Distributions..................................... (0.32) (1.10) (0.97) (0.58) (0.77) (0.45)
- ------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.64 $ 10.65 $ 10.88 $ 11.04 $ 10.51 $ 9.81
- ------------------------------------------------------------
- ------------------------------------------------------------
Total Return................................................ 2.95%# 8.78% 7.87% 11.13% 15.23% (2.91)%
- ------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $439,468 $371,619 $250,078 $165,772 $208,166 $135,529
Ratio of Expenses to Average Net Assets..................... 0.39%* 0.41% 0.42% 0.46% 0.46% 0.49%
Ratio of Net Investment Income to Average Net Assets........ 3.59%* 3.87% 4.50% 4.88% 5.80% 5.75%
Portfolio Turnover Rate..................................... 69.05%* 74.36% 95.12% 97.78% 130.41% 113.55%
- ------------------------------------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
<TABLE>
<C> <S>
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
106
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 11.78 $ 11.28 $ 11.22 $ 11.24 $ 10.22 $ 11.59
---------- ---------- ---------- ------------ ------------- -------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.30 0.61 0.66 0.65 0.70 0.69
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.59) 0.59 0.06 (0.13) 1.11 (1.22)
---------- ---------- ---------- ------------ ------------- -------------
Total From Investment
Operations............... (0.29) 1.20 0.72 0.52 1.81 (0.53)
- ------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.28) (0.65) (0.66) (0.50) (0.70) (0.68)
Net Realized Gains.......... (0.08) (0.05) -- (0.04) (0.09) (0.16)
---------- ---------- ---------- ------------ ------------- -------------
Total Distributions....... (0.36) (0.70) (0.66) (0.54) (0.79) (0.84)
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 11.13 $ 11.78 $ 11.28 $ 11.22 $ 11.24 $ 10.22
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
Total Return.................. (2.59)%# 11.07% 6.75% 4.98% 18.04% (4.72)%
- ------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 243,539 $ 239,035 $ 136,555 $ 107,944 $ 78,087 $ 60,827
Ratio of Expenses to Average
Net Assets.................. 0.23%* 0.24% 0.25% 0.26% 0.27% 0.29%
Ratio of Net Investment Income
to Average Net Assets....... 5.43%* 5.77% 6.20% 6.22% 6.44% 6.45%
Portfolio Turnover Rate....... 13.91%* 23.79% 24.06% 30.84% 40.79% 27.15%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
<TABLE>
<C> <S>
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
107
<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 whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-five of the Fund's thirty-four portfolios (the "Portfolios") are included
in this report. Of the remaining nine portfolios, six portfolios are only
available through a select group of insurance products and are presented in a
separate report, two are presented in separate reports and the remaining
portfolio has not yet commenced operations.
Effective August 1, 1997, The U.S. Small Cap Value Portfolio changed its
name to The U.S. 6-10 Value Portfolio.
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company. This portfolio invests solely in
this series.
Effective December 8, 1998, The DFA Global Fixed Income Portfolio changed
its name to the DFA Five-Year Global Fixed Income Portfolio.
The following Portfolios (the "Feeder Funds") invest in a corresponding
series of The DFA Investment Trust Company (the "Master Funds"):
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 5/31/99
- ------------------------------------------------------------ ------------------------------------------------------ -------------
<S> <C> <C>
The U.S. Large Company Portfolio The U.S. Large Company Series 32%
The Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
The U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 65%
The Tax-Managed U.S. Marketwide The Tax-Managed U.S. Marketwide
Value Portfolio Value Series 76%
The U.S. 6-10 Value Portfolio The U.S. 6-10 Value Series 97%
The U.S. 6-10 Small Company Portfolio The U.S. 6-10 Small Company Series 64%
The U.S. 9-10 Small Company Portfolio The U.S. 9-10 Small Company Series 32%
The International Small Company Portfolio The Japanese Small Company Series 28%
The Pacific Rim Small Company Series 26%
The United Kingdom Small Company Series 32%
The Continental Small Company Series 31%
The Japanese Small Company Portfolio The Japanese Small Company Series 72%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 74%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 68%
The Continental Small Company Portfolio The Continental Small Company Series 69%
The Emerging Markets Portfolio The Emerging Markets Series 97%
The Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 32%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 88%
The DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
108
<PAGE>
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by The Tax-Managed U.S. 5-10 Value
Portfolio, The Tax-Managed U.S. 6-10 Small Company Portfolio and The DFA Real
Estate Securities Portfolio which are listed on a securities exchange and for
which market quotations are readily available are valued at the last quoted sale
price of the day, or if there is no such reported sale, at the mean between the
most recent bid and asked prices. Securities held by The Large Cap International
Portfolio, The Tax-Managed DFA International Value Portfolio and The DFA
International Small Cap Value Portfolio (the "International Equity Portfolios")
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available
are valued in good faith at fair value using methods determined by the Board of
Directors.
Securities held by The DFA Five-Year Government Portfolio, The DFA
Intermediate Government Fixed Income Portfolio and The DFA Five-Year Global
Fixed Income Portfolio (the "Fixed Income Portfolios"), are valued on the basis
of prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities. Securities for which quotations are
not readily available are valued in good faith at fair value using methods
determined by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The U.S. Large Company Portfolio, The Tax-Managed
U.S. Marketwide Value Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio,
The Continental Small Company Portfolio, The International Small Company
Portfolio, The Emerging Markets Portfolio and The Emerging Markets Small Cap
Portfolio, their investment reflects their proportionate interest in the net
assets of the corresponding Master Fund.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and The DFA Five-Year Global Fixed Income
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars at the mean price of such currency against U.S.
dollars last quoted by a major bank. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement. The DFA
Global Fixed Income Portfolio also enters into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates.
The International Equity Portfolios do not isolate the effect of fluctuation
in foreign exchange rates from the effect of fluctuations in the market prices
of securities whether realized or unrealized. However, The DFA Five-Year Global
Fixed Income Portfolio does isolate the effect of fluctuations in foreign
currency rates when determining the realized gain or loss upon the sale or
maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign exchange
gain or loss for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
109
<PAGE>
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and The DFA Five-Year Global Fixed Income
Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
The U.S. Large Company Portfolio, The Tax-Managed U.S. Marketwide Value
Portfolio, The Japanese Small Company Portfolio, The Pacific Rim Small Company
Portfolio, The United Kingdom Small Company Portfolio, The Continental Small
Company Portfolio, The International Small Company Portfolio, The Emerging
Markets Portfolio and The Emerging Markets Small Cap Portfolio each accrue their
respective share of income, net of expenses daily on their investment in their
corresponding Master Fund, which are treated as partnerships for federal income
tax purposes. All of the net investment income and realized and unrealized gains
and losses from the security transactions and foreign currency of the Master
Funds are allocated pro rata among its investors at the time of such
determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision of
services provided by others, providing information to shareholders and the Board
of Directors, and other administrative services.
For the six months ended May 31, 1999, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following effective
annual rates:
<TABLE>
<S> <C>
The Tax-Managed U.S. 5-10 Value Portfolio....................... .50 of 1%
The Tax-Managed U.S. 6-10 Small Company Portfolio............... .50 of 1%
The DFA Real Estate Securities Portfolio........................ .30 of 1%
The Large Cap International Portfolio........................... .25 of 1%
The Tax-Managed DFA International Value Portfolio............... .50 of 1%
The DFA International Small Cap Value Portfolio................. .65 of 1%
The DFA Five-Year Government Portfolio.......................... .20 of 1%
The DFA Five-Year Global Fixed Income Portfolio................. .25 of 1%
The DFA Intermediate Government Fixed Income Portfolio.......... .15 of 1%
</TABLE>
110
<PAGE>
For the six months ended May 31, 1999, the Feeder Funds computed daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<S> <C>
The U.S. Large Company Portfolio................................. .215 of 1%
The Enhanced U.S. Large Company Portfolio........................ .15 of 1%
The U.S. Large Cap Value Portfolio............................... .15 of 1%
The Tax-Managed U.S. Marketwide Value Portfolio.................. .15 of 1%
The U.S. 6-10 Value Portfolio.................................... .30 of 1%
The U.S. 6-10 Small Company Portfolio............................ .32 of 1%
The U.S. 9-10 Small Company Portfolio............................ .40 of 1%
The International Small Company Portfolio........................ .40 of 1%
The Japanese Small Company Portfolio............................. .40 of 1%
The Pacific Rim Small Company Portfolio.......................... .40 of 1%
The United Kingdom Small Company Portfolio....................... .40 of 1%
The Continental Small Company Portfolio.......................... .40 of 1%
The Emerging Markets Portfolio................................... .40 of 1%
The Emerging Markets Small Cap Portfolio......................... .45 of 1%
The DFA One-Year Fixed Income Portfolio.......................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio................... .10 of 1%
</TABLE>
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The U.S. Large
Company Portfolio to the extent necessary to keep the annual combined expenses
of the Portfolio and its respective Master Fund to not more than 0.15% of the
average daily net assets of the Portfolio. Prior to that date, the Advisor
agreed to waive its fees and reimburse the Portfolio to the extent necessary to
keep the annual combined expenses to not more than 0.24% of average daily net
assets. At May 31, 1999, approximately $960,000 of previously waived fees are
subject to future reimbursement to the Advisor over various periods not
exceeding May 31, 2000.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio and The Continental Small Company Portfolio to the extent
necessary to keep the direct annual expenses of each Portfolio to not more than
0.47% of the average daily net assets of the Portfolio.
The Advisor has agreed to waive its administrative service fee and/or assume
the direct expenses of The International Small Company Portfolio to the extent
necessary to keep the direct annual expenses of the Portfolio to not more than
0.45% of the average daily net assets of the Portfolio.
Effective August 1, 1997, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The Enhanced U.S.
Large Company Portfolio to the extent necessary to keep the annual combined
expenses of the portfolio and its respective Master Fund to not more than 0.45%
of the average daily net assets of the portfolio. At May 31, 1999 approximately
$3,400 of previously waived fees are subject to future reimbursement to the
Advisor over various periods not exceeding April 30, 2000.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
111
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1999, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- --------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The Tax-Managed U.S. 5-10 Value Portfolio..................... -- -- $ 190,674 $ 4,147
The Tax-Managed U.S. 6-10 Small Company Portfolio............. -- -- 32,774 251
The DFA Real Estate Securities Portfolio...................... -- -- 16,882 4,866
The Large Cap International Portfolio......................... -- -- 56,307 239
The DFA Tax-Managed International Value Portfolio............. -- -- 15,339 --
The DFA International Small Cap Value Portfolio............... -- -- 28,573 33,397
The DFA Five-Year Government Portfolio........................ $ 153,471 -- -- --
The DFA Five-Year Global Fixed Income Portfolio............... -- -- 87,577 83,640
The DFA Intermediate Government Fixed Income Portfolio........ 17,918 $ 9,869 16,435 6,352
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1999, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies for each
Portfolio were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Portfolio........................... $ 273,829 $(6,190) $ 267,639
The Enhanced U.S. Large Company Portfolio.................. 9,069 -- 9,069
The U.S. Large Cap Value Portfolio......................... 341,785 -- 341,785
The Tax-Managed U.S. Marketwide Value Portfolio............ 6,876 (785) 6,091
The Tax-Managed U.S. 5-10 Value Portfolio.................. 29,090 (9,732) 19,358
The U.S. 6-10 Value Portfolio.............................. 273,354 -- 273,354
The U.S. 6-10 Small Company Portfolio...................... 41,223 -- 41,223
The Tax-Managed U.S. 6-10 Small Company Portfolio.......... 4,836 (1,952) 2,884
The U.S. 9-10 Small Company Portfolio...................... 177,137 -- 177,137
The DFA Real Estate Securities Portfolio................... 27,802 (7,755) 20,047
The Large Cap International Portfolio...................... 46,872 (10,295) 36,577
The Tax-Managed DFA International Value Portfolio.......... 77 (669) (592)
The International Small Company Portfolio.................. 22,313 (72,485) (50,172)
The Japanese Small Company Portfolio....................... 24,224 (169,351) (145,127)
The Pacific Rim Small Company Portfolio.................... 28,092 (78,449) (50,357)
The United Kingdom Small Company Portfolio................. 30,085 (18,782) 11,303
The Continental Small Company Portfolio.................... 76,325 (40,441) 35,884
The DFA International Small Cap Value Portfolio............ 65,808 (181,077) (115,269)
The Emerging Markets Portfolio............................. 67,646 (70,700) (3,054)
The Emerging Markets Small Cap Portfolio................... 4 (148) (144)
The DFA One-Year Fixed Income Portfolio.................... 1,326 -- 1,326
The DFA Two-Year Global Fixed Income Portfolio............. 10,362 -- 10,362
The DFA Five-Year Government Portfolio..................... 25 (619) (594)
The DFA Five-Year Global Fixed Income Portfolio............ -- (9,863) (9,863)
The DFA Intermediate Government Fixed Income Portfolio..... 1,257 (5,354) (4,097)
</TABLE>
112
<PAGE>
At November 30, 1998, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
EXPIRES ON NOVEMBER 30,
-----------------------------
2002 2003 2004 2005 2006 TOTAL
---- ------ ---- ------ ------- -------
(AMOUNTS IN THOUSANDS)
-----------------------------
<S> <C> <C> <C> <C> <C> <C>
The U.S 9-10 Small Company Portfolio.............. -- -- -- -- $ 2,841 $ 2,841
The DFA Real Estate Securities Portfolio.......... $134 -- $381 -- 127 642
The International Small Company Portfolio......... -- -- -- $ 696 -- 696
The Japanese Small Company Portfolio.............. -- -- -- 1,532 7,918 9,450
The Pacific Rim Small Company Portfolio........... -- -- -- -- 924 924
The Emerging Markets Portfolio.................... -- -- -- -- 19,586 19,586
The DFA Five-Year Government Portfolio............ -- $7,871 887 -- -- 8,758
The DFA Two-Year Global Fixed Income Portfolio.... -- -- -- 5 -- 5
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
AT MAY 31, 1999 NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS,EXCEPT SHARE AMOUNTS)
(UNAUDITED)
UNREALIZED
APPRECIATION
UNDISTRIBUTED (DEPRECIATION) UNREALIZED
UNDISTRIBUTED NET REALIZED OF NET FOREIGN
NET UNDISTRIBUTED FOREIGN INVESTMENT EXCHANGE
PAID-IN INVESTMENT NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET
CAPITAL INCOME (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
---------- ------------- ------------- ------------- ---------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The U.S. Large Company
Portfolio............... $ 454,626 $ 2,045 $(2,326) -- $272,221 -- $ 726,566
The Enhanced U.S. Large
Company Portfolio....... 63,786 152 3,335 -- 10,066 -- 77,339
The U.S. Large Cap Value
Portfolio............... 811,390 (496) 71,059 -- 353,561 -- 1,235,514
The Tax-Managed U.S.
Marketwide Value
Portfolio............... 48,252 147 (186) -- 6,091 -- 54,304
The Tax-Managed U.S. 5-10
Value Portfolio......... 189,997 445 (676) -- 19,357 -- 209,123
The U.S. 6-10 Value
Portfolio............... 2,193,230 (3,162) 113,152 -- 324,879 -- 2,628,099
The U.S. 6-10 Small
Company Portfolio....... 289,494 (7,694) 16,639 -- 53,464 -- 351,903
The Tax-Managed U.S. 6-10
Small Company
Portfolio............... 32,942 22 (4) -- 2,884 -- 35,844
The U.S. 9-10 Small
Company Portfolio....... 1,127,760 2,726 56,479 -- 218,092 -- 1,405,057
The DFA Real Estate
Securities Portfolio.... 118,656 1,831 (2,673) -- 5,875 -- 123,689
The Large Cap
International
Portfolio............... 130,458 1,030 (222) $ 67 36,577 $ (5) 167,905
The Tax-Managed DFA
International Value
Portfolio............... 13,094 53 -- (13) (592) 12 12,554
The International Small
Company Portfolio....... 266,975 1,748 401 286 (50,172) (54) 219,184
The Japanese Small
Company Portfolio....... 293,645 636 (17,408) 74 (142,038) (2) 134,907
The Pacific Rim Small
Company Portfolio....... 179,396 24 (2,564) 935 (50,357) -- 127,434
The United Kingdom Small
Company Portfolio....... 65,617 1,641 10,773 (23) 11,303 (2) 89,309
The Continental Small
Company Portfolio....... 118,953 1,944 17,349 (108) 35,885 (99) 173,924
<CAPTION>
NUMBER OF SHARES
AUTHORIZED
------------------
<S> <C>
The U.S. Large Company
Portfolio............... 200,000,000
The Enhanced U.S. Large
Company Portfolio....... 100,000,000
The U.S. Large Cap Value
Portfolio............... 100,000,000
The Tax-Managed U.S.
Marketwide Value
Portfolio............... 100,000,000
The Tax-Managed U.S. 5-10
Value Portfolio......... 100,000,000
The U.S. 6-10 Value
Portfolio............... 200,000,000
The U.S. 6-10 Small
Company Portfolio....... 100,000,000
The Tax-Managed U.S. 6-10
Small Company
Portfolio............... 100,000,000
The U.S. 9-10 Small
Company Portfolio....... 300,000,000
The DFA Real Estate
Securities Portfolio.... 100,000,000
The Large Cap
International
Portfolio............... 150,000,000
The Tax-Managed DFA
International Value
Portfolio............... 100,000,000
The International Small
Company Portfolio....... 100,000,000
The Japanese Small
Company Portfolio....... 50,000,000
The Pacific Rim Small
Company Portfolio....... 50,000,000
The United Kingdom Small
Company Portfolio....... 20,000,000
The Continental Small
Company Portfolio....... 50,000,000
</TABLE>
113
<PAGE>
<TABLE>
<CAPTION>
AT MAY 31, 1999 NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS,EXCEPT SHARE AMOUNTS)
(UNAUDITED)
UNREALIZED
APPRECIATION
UNDISTRIBUTED (DEPRECIATION) UNREALIZED
UNDISTRIBUTED NET REALIZED OF NET FOREIGN
NET UNDISTRIBUTED FOREIGN INVESTMENT EXCHANGE
PAID-IN INVESTMENT NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET
CAPITAL INCOME (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
---------- ------------- ------------- ------------- ---------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The DFA International
Small Cap Value
Portfolio............... $ 604,747 $ 4,185 $ 3,481 $ 200 $(115,268) $ (36) $ 497,309
The Emerging Markets
Portfolio............... 303,301 (308) (19,520) (149) (3,054) (31) 280,239
The Emerging Markets
Small Cap Portfolio..... 8,411 5 2,354 (12) (144) 1 10,615
The DFA One-Year Fixed
Income Portfolio........ 803,507 (228) (4,500) -- 5,851 -- 804,630
The DFA Two-Year Global
Fixed Income
Portfolio............... 462,087 (407) (1,534) -- 12,520 -- 472,666
The DFA Five-Year
Government Portfolio.... 222,409 4,029 (8,759) -- (595) -- 217,084
The DFA Five-Year Global
Fixed Income
Portfolio............... 428,954 3,940 353 15,287 (9,863) 797 439,468
The DFA Intermediate
Government Fixed Income
Portfolio............... 243,511 3,403 720 -- (4,095) -- 243,539
<CAPTION>
NUMBER OF SHARES
AUTHORIZED
------------------
<S> <C>
The DFA International
Small Cap Value
Portfolio............... 100,000,000
The Emerging Markets
Portfolio............... 100,000,000
The Emerging Markets
Small Cap Portfolio..... 100,000,000
The DFA One-Year Fixed
Income Portfolio........ 140,000,000
The DFA Two-Year Global
Fixed Income
Portfolio............... 100,000,000
The DFA Five-Year
Government Portfolio.... 100,000,000
The DFA Five-Year Global
Fixed Income
Portfolio............... 100,000,000
The DFA Intermediate
Government Fixed Income
Portfolio............... 100,000,000
</TABLE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on May 28, 1999.
2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income
Portfolio may enter into forward foreign currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies. At
May 31, 1999, The DFA Five-Year Global Fixed Income Portfolio had entered into
the following contracts and the related net unrealized foreign exchange gain is
reflected in the accompanying financial statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT EXCHANGE GAIN
DATE CURRENCY SOLD CONTRACT AMOUNT MAY 31, 1999 (LOSS)
- ---------- -------------------------------------- ---------------- ---------------- --------------
<C> <C> <S> <C> <C> <C>
06/17/99 95,949,111 Danish Krone $ 13,865,996 $ 13,503,081 $ 362,915
06/18/99 56,010,826 Australian Dollars 36,267,497 36,621,308 (353,811)
06/21/99 8,844,102,189 Japanese Yen 71,871,145 73,200,635 (1,329,490)
06/22/99 132,780,783 Euro Dollars 140,629,542 138,836,846 1,792,696
06/23/99 21,368,212 Canadian Dollars 14,643,031 14,517,237 125,794
06/23/99 245,201,222 Swedish Krona 29,079,913 28,600,465 479,448
---------------- ---------------- --------------
$ 306,357,124 $ 305,279,572 $ 1,077,552
---------------- ---------------- --------------
---------------- ---------------- --------------
</TABLE>
114
<PAGE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Five-Year Global Fixed Income Portfolio will enter into forward
contracts only for hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the six months ended May 31, 1999, borrowings
under the line were as follows:
<TABLE>
<CAPTION>
MAXIMUM
AMOUNT
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED
AVERAGE AVERAGE DAYS EXPENSE DURING THE
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED PERIOD
------------- ------------ ----------- ------- ------------
<S> <C> <C> <C> <C> <C>
The DFA Real Estate Securities
Portfolio............................. 5.19% $254,806 12 $588 $702,500
The International Small Company
Portfolio............................. 5.25% 320,000 1 47 320,000
The United Kingdom Small
Company Portfolio..................... 5.29% 100,000 2 29 100,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31, 1999.
I. REIMBURSEMENT FEES:
Shares of The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The Continental Small Company Portfolio, The International
Small Company Portfolio, The Emerging Markets Portfolio, The Emerging Markets
Small Cap Portfolio and The DFA International Small Cap Value Portfolio are sold
at a public offering price which is equal to the current net asset value of such
shares plus a reimbursement fee. Reimbursement fees are recorded as an addition
to paid in capital and are used to defray the costs associated with investing
proceeds of the sale of shares to investors.
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio, The Continental
Small Company Portfolio and The Emerging Markets Small Cap Portfolio 1.00% of
the net asset value of their shares. The reimbursement fee for The DFA
International Small Cap Value Portfolio and The International Small Company
Portfolio is .675% of the net asset value of its shares.
115
<PAGE>
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for 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 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
DOMESTIC EQUITY PORTFOLIOS SECURITIES INDEMNIFICATION AGREEMENTS
- -------------------------------------------------- -------------- --------------- --------------
<S> <C> <C> <C>
The Tax-Managed U.S. 5-10 Value Portfolio......... $ 5,427,500 $ 6,463,200 $ 6,561,859
The Tax-Managed U.S. 6-10 Small Company
Portfolio....................................... 2,042,614 2,201,012 2,214,450
The DFA Real Estate Securities Portfolio.......... 5,204,457 5,347,860 5,380,511
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIOS
- --------------------------------------------------
<S> <C> <C> <C>
The Large Cap International Portfolio............. 7,739,696 8,069,176 8,300,419
The DFA International Small Cap Value Portfolio... 36,801,419 40,888,822 40,916,891
</TABLE>
K. SUBSEQUENT EVENT:
Effective June 1, 1999, the DFA Intermediate Government Fixed Income
Portfolio changed its advisory fee from .15 of 1% of average net assets to .10
of 1% of average net assets.
116
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(36,669,926 Shares, Cost $389,527)++ at Value......................................... $ 452,874
Receivable for Investment Securities Sold............................................... 267
Receivable for Fund Shares Sold......................................................... 267
Prepaid Expenses and Other Assets....................................................... 18
------------
Total Assets........................................................................ 453,426
------------
LIABILITIES:
Payable for Fund Shares Redeemed........................................................ 534
Accrued Expenses........................................................................ 97
------------
Total Liabilities................................................................... 631
------------
NET ASSETS.............................................................................. $ 452,795
------------
------------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000).............................................................. 37,056,772
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................ $ 12.22
------------
------------
NET ASSETS CONSIST OF:
Paid-In Capital......................................................................... $ 390,785
Accumulated Net Investment Loss......................................................... (333)
Accumulated Net Realized Loss........................................................... (1,004)
Unrealized Appreciation of Investment Securities........................................ 63,347
------------
Total Net Assets.................................................................... $ 452,795
------------
------------
</TABLE>
- --------------
++ The cost for federal income tax purposes is $395,296.
See accompanying Notes to Financial Statements.
117
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received From The DFA Investment Trust Company................. $ 1,746
---------
EXPENSES
Administrative Services............................................................. 448
Accounting & Transfer Agent Fees.................................................... 16
Legal Fees.......................................................................... 12
Audit Fees.......................................................................... 2
Filing Fees......................................................................... 25
Shareholders' Reports............................................................... 12
Directors' Fees and Expenses........................................................ 5
Organization Costs.................................................................. 2
Other............................................................................... --
---------
Total Expenses.................................................................. 522
---------
NET INVESTMENT INCOME............................................................... 1,224
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received From The DFA Investment Trust Company............... 966
Net Realized Loss on Investment Securities.............................................. (91)
Change in Unrealized Appreciation of Investment Securities.............................. 14,916
---------
NET GAIN ON INVESTMENT SECURITIES................................................... 15,791
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 17,015
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
118
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1999 1998
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................................ $ 1,224 $ 8,434
Capital Gain Distributions Received from The DFA Investment Trust
Company............................................................ 966 974
Net Realized Loss on Investment Securities........................... (91) (2,087)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities......................................................... 14,916 (38,017)
----------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations..................................................... 17,015 (45,338)
----------- ---------
Distributions From:
Net Investment Income................................................ (2,559) (8,141)
Net Realized Gains................................................... (1,571) (4,616)
----------- ---------
Total Distributions.............................................. (4,130) (12,757)
----------- ---------
Capital Share Transactions (1):
Shares Issued........................................................ 66,287 131,742
Shares Issued in Lieu of Cash Distributions.......................... 4,130 12,746
Shares Redeemed...................................................... (66,094) (111,599)
----------- ---------
Net Increase From Capital Share Transactions..................... 4,323 32,889
----------- ---------
Total Increase................................................... 17,208 65,470
NET ASSETS
Beginning of Period.................................................. 435,587 370,117
----------- ---------
End of Period........................................................ $ 452,795 $ 435,587
----------- ---------
----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................ 5,504 11,225
Shares Issued in Lieu of Cash Distributions.......................... 352 1,149
Shares Redeemed...................................................... (5,476) (9,535)
----------- ---------
380 2,839
----------- ---------
----------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
119
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 16
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period.............. $ 11.88 $ 10.94 $ 11.90 $ 10.55 $ 10.06 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment
Income............ 0.03 0.24 0.19 0.21 0.19 0.13
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 0.42 1.08 (0.65) 1.31 0.51 0.06
---------- ---------- ---------- ---------- ---------- ----------
Total from
Investment
Operations........ 0.45 1.32 (0.46) 1.52 0.70 0.19
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment
Income............ (0.07) (0.24) (0.21) (0.17) (0.19) (0.13)
Net Realized
Gains............. (0.04) (0.14) (0.29) -- (0.02) --
---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions..... (0.11) (0.38) (0.50) (0.17) (0.21) (0.13)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End
of Period........... $ 12.22 $ 11.88 $ 10.94 $ 11.90 $ 10.55 $ 10.06
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
Total Return.......... 3.85%# 12.29% (4.04)% 14.54% 6.95% 1.85%#
Net Assets, End of
Period
(thousands)......... $ 452,795 $ 435,587 $ 370,117 $ 316,708 $ 245,243 $ 227,795
Ratio of Expenses to
Average Net Assets
(1)................. 0.52%* 0.53% 0.56% 0.56% 0.65% 0.65%*
Ratio of Expenses to
Average Net Assets
(excluding waivers
and assumption of
expenses) (1)....... 0.52%* 0.53% 0.56% 0.57% 0.72% 0.72%*
Ratio of Net
Investment Income to
Average Net
Assets.............. 0.55%* 2.04% 1.72% 2.22% 1.79% 1.80%*
Ratio of Net
Investment Income to
Average Net Assets
(excluding waivers
and assumption of
expenses)........... 0.55%* 2.04% 1.72% 2.21% 1.71% 1.75%*
Portfolio Turnover
Rate................ N/A N/A N/A N/A N/A N/A
Portfolio Turnover
Rate of Master Fund
Series.............. 6.60%* 15.32% 22.55% 12.23% 9.75% 1.90%*
</TABLE>
- --------------
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
120
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers thirteen portfolios,
of which The DFA International Value Portfolio (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series") a corresponding series of The DFA Investment Trust
Company. At May 31, 1999, the Portfolio owned 27% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. FEDERAL INCOME TAXES: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Expenses directly attributable to the Portfolio or to the
Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31,1999, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and reimburse the Portfolio through
March 28, 1996 to the extent necessary to keep the annual combined expenses of
the Portfolio and its respective Master Fund to not more than 0.65% of average
daily net assets.
121
<PAGE>
D. INVESTMENTS:
At May 31, 1999, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation........................... $ 57,578
Gross Unrealized Depreciation........................... --
---------
Net..................................................... $ 57,578
---------
---------
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the year ended May 31, 1999.
122
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.5%)
*3COM Corp............................................ 75,000 $ 2,050,781
*#AES Corp............................................ 39,900 1,985,025
*AFLAC, Inc........................................... 55,700 2,840,700
*AMR Corp............................................. 38,000 2,472,375
AON Corp.............................................. 53,350 2,294,050
AT & T Corp........................................... 658,922 36,570,171
Abbott Laboratories................................... 317,800 14,360,587
Adobe Systems, Inc.................................... 12,700 940,991
*#Advanced Micro Devices, Inc......................... 30,300 560,550
Aetna, Inc............................................ 29,737 2,700,491
Air Products & Chemicals, Inc......................... 48,000 1,968,000
*Airtouch Communications, Inc......................... 119,560 12,015,780
Alberto-Culver Co. Class B............................ 11,900 314,606
#Albertson's Inc...................................... 51,500 2,755,250
Alcan Aluminum, Ltd................................... 47,800 1,338,400
Alcoa, Inc............................................ 77,000 4,235,000
Allegheny Teledyne, Inc............................... 41,135 840,697
Allergan, Inc......................................... 13,800 1,283,400
AlliedSignal, Inc..................................... 116,500 6,764,281
Allstate Corp......................................... 171,700 6,256,319
Alltel Corp........................................... 57,600 4,129,200
*#Alza Corp........................................... 20,900 745,869
AmSouth Bancorporation................................ 37,350 1,059,806
Amerada Hess Corp..................................... 19,000 1,138,812
Ameren Corp........................................... 28,700 1,174,906
*America Online, Inc.................................. 215,200 25,689,500
#American Electric Power Co., Inc..................... 40,000 1,735,000
American Express Co................................... 94,600 11,464,337
American General Corp................................. 52,900 3,822,025
*American Greetings Corp. Class A..................... 14,600 417,925
American Home Products Corp........................... 275,700 15,887,212
American International Group, Inc..................... 257,010 29,379,456
American Stores Co.................................... 57,500 1,897,500
Ameritech Corp........................................ 230,200 15,150,037
*Amgen, Inc........................................... 106,600 6,745,781
Anadarko Petroleum Corp............................... 26,400 990,000
*Andrew Corp.......................................... 17,393 269,048
Anheuser-Busch Companies, Inc......................... 99,900 7,298,944
Apache Corp........................................... 23,100 831,600
*#Apple Computer, Inc................................. 28,600 1,259,294
*Applied Materials, Inc............................... 77,200 4,248,412
Archer-Daniels Midland Co............................. 124,100 1,861,500
Armstrong World Industries, Inc....................... 8,400 489,300
Asarco, Inc........................................... 8,350 134,122
*Ascend Communications, Inc........................... 45,400 4,206,594
Ashland, Inc.......................................... 15,600 635,700
Associates First Capital Corp. Class A................ 152,610 6,257,010
Atlantic Richfield Co................................. 68,100 5,699,119
Autodesk, Inc......................................... 12,400 342,162
Automatic Data Processing, Inc........................ 129,200 5,321,425
*#Autozone, Inc....................................... 31,400 908,637
Avery Dennison Corp................................... 24,400 1,460,950
Avon Products, Inc.................................... 54,900 2,714,119
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
B B & T Corp.......................................... 65,000 $ 2,372,500
*#BMC Software, Inc................................... 49,300 2,435,728
Baker Hughes, Inc..................................... 68,310 2,126,149
Ball Corp............................................. 6,500 316,469
Bank of America Corp.................................. 362,400 23,442,750
Bank of New York Co., Inc............................. 159,500 5,702,125
Bank One Corp......................................... 246,330 13,933,041
BankBoston Corp....................................... 62,000 2,937,250
Bankers Trust New York Corp........................... 19,900 1,841,994
Bard (C.R.), Inc...................................... 11,200 511,700
#Barrick Gold Corp.................................... 78,100 1,347,225
Battle Mountain Gold Co............................... 48,100 117,244
Bausch & Lomb, Inc.................................... 11,800 901,225
Baxter International, Inc............................. 59,700 3,854,381
Bear Stearns Companies, Inc........................... 23,220 1,030,387
Becton Dickinson & Co................................. 52,200 2,022,750
#Bell Atlantic Corp................................... 324,938 17,790,355
Bellsouth Corp........................................ 408,400 19,271,375
Bemis Co., Inc........................................ 11,000 415,250
#Bestfoods, Inc....................................... 60,000 3,000,000
*Bethlehem Steel Corp................................. 27,200 226,100
Biomet, Inc........................................... 23,500 940,734
#Black & Decker Corp.................................. 18,400 1,047,650
#Block (H.&R.), Inc................................... 20,400 983,025
Boeing Co............................................. 196,200 8,289,450
Boise Cascade Corp.................................... 11,800 467,575
*Boston Scientific Corp............................... 82,200 3,118,462
Briggs & Stratton Corp................................ 4,900 306,250
Bristol Myers Squibb Co............................... 416,100 28,554,862
Brown-Forman Corp. Class B............................ 14,400 960,300
Browning-Ferris Industries, Inc....................... 33,000 1,369,500
Brunswick Corp........................................ 19,200 460,800
Burlington Northern Santa Fe Corp..................... 98,400 3,050,400
Burlington Resources, Inc............................. 37,000 1,588,687
*CBS Corp............................................. 147,800 6,170,650
CIGNA Corp............................................ 43,300 4,037,725
*#CMS Energy Corp..................................... 24,600 1,143,900
CSX Corp.............................................. 45,300 2,126,269
CVS Corp.............................................. 81,616 3,754,336
*#Cabletron Systems, Inc.............................. 36,000 535,500
Campbell Soup Co...................................... 93,100 4,108,037
Capital One Financial Corp............................ 13,900 2,094,556
Cardinal Health, Inc.................................. 57,000 3,441,375
Carnival Corp......................................... 128,500 5,268,500
Carolina Power & Light Co............................. 31,800 1,391,250
Case Corp............................................. 15,500 728,500
#Caterpillar, Inc..................................... 75,200 4,126,600
*Cendant Corp......................................... 160,800 2,964,750
#Centex Corp.......................................... 12,500 463,281
Central & South West Corp............................. 44,600 1,148,450
*CenturyTel, Inc...................................... 28,900 1,107,231
*Ceridian Corp........................................ 29,906 986,898
Champion International Corp........................... 20,100 1,030,125
Chase Manhattan Corp.................................. 176,900 12,825,250
Chevron Corp.......................................... 136,500 12,651,844
</TABLE>
123
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Chubb Corp........................................... 34,100 $ 2,389,131
Cincinnati Financial Corp............................. 35,100 1,446,778
Cinergy Corp.......................................... 33,293 1,136,124
Circuit City Stores, Inc. (Circuit City Group)........ 21,100 1,515,244
*Cisco Sytems, Inc.................................... 330,700 36,035,966
Citigroup, Inc........................................ 472,700 31,316,375
*Clear Channel Communications, Inc.................... 67,566 4,463,579
Clorox Co............................................. 24,500 2,472,969
Coastal Corp.......................................... 44,500 1,716,031
Coca-Cola Co.......................................... 516,100 35,256,081
#Coca-Cola Enterprises, Inc........................... 88,800 3,219,000
#Colgate-Palmolive Co................................. 61,500 6,142,312
Columbia Gas System, Inc.............................. 17,400 930,900
Columbia/HCA Healthcare Corp.......................... 135,282 3,187,582
Comcast Corp. Class A Special......................... 154,900 5,973,331
Comerica, Inc......................................... 32,550 1,967,241
Compaq Computer Corp.................................. 353,424 8,371,731
#Computer Associates International, Inc............... 112,600 5,327,387
*#Computer Sciences Corp.............................. 33,200 2,147,625
*Compuware Corp....................................... 77,100 2,392,509
#Conagra, Inc......................................... 102,500 2,671,406
Conseco, Inc.......................................... 66,988 2,047,321
#Consolidated Edison, Inc............................. 48,900 2,374,706
Consolidated Natural Gas Co........................... 20,000 1,188,750
*#Consolidated Stores Corp............................ 23,000 790,625
Constellation Energy Group............................ 31,250 974,609
Cooper Industries, Inc................................ 19,700 976,381
Cooper Tire & Rubber Co............................... 15,900 377,625
Coors (Adolph) Co. Class B............................ 7,700 365,750
#Corning, Inc......................................... 51,000 2,785,875
*Costco Companies, Inc................................ 45,903 3,329,402
Countrywide Credit Industries, Inc.................... 23,500 966,437
Crane Co.............................................. 14,400 432,900
Crown Cork & Seal Co., Inc............................ 25,700 806,337
#Cummins Engine Co., Inc.............................. 8,800 445,500
Cyprus Amax Minerals Co., Inc......................... 19,050 239,316
#DTE Energy Co........................................ 30,300 1,319,944
Dana Corp............................................. 34,642 1,788,393
#Danaher Corp......................................... 28,100 1,698,294
Darden Restaurants, Inc............................... 28,800 613,800
*Data General Corp.................................... 10,500 137,812
Dayton-Hudson Corp.................................... 92,400 5,821,200
#Deere & Co........................................... 49,900 1,899,319
*#Dell Computer Corp.................................. 532,800 18,331,650
*Delphi Automotive Systems Corp....................... 165,613 3,250,167
Delta Air Lines, Inc.................................. 29,700 1,704,037
Deluxe Corp........................................... 16,800 605,850
Dillards, Inc. Class A................................ 22,400 786,800
Disney (Walt) Co...................................... 430,600 12,541,225
Dollar General Corp................................... 46,218 1,227,686
#Dominion Resources, Inc. VA.......................... 41,000 1,770,687
Donnelley (R.R.) & Sons Co............................ 28,100 1,018,625
Dover Corp............................................ 46,800 1,763,775
Dow Chemical Co....................................... 46,100 5,601,150
Dow Jones & Co., Inc.................................. 19,700 1,034,250
DuPont (E.I.) de Nemours & Co......................... 235,800 15,430,162
Duke Power Co......................................... 75,941 4,580,192
#Dun & Bradstreet..................................... 34,600 1,211,000
E G & G, Inc.......................................... 9,400 279,062
*EMC Corp. MA......................................... 104,900 10,450,662
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Eastern Enterprises................................... 4,700 $ 163,031
Eastman Chemical Co................................... 16,550 837,844
Eastman Kodak Co...................................... 67,900 4,591,737
Eaton Corp............................................ 15,000 1,307,812
Ecolab, Inc........................................... 27,000 1,147,500
Edison International.................................. 73,700 2,026,750
Electronic Data Systems Corp.......................... 103,000 5,793,750
#Emerson Electric Co.................................. 91,800 5,863,725
Engelhard Corp........................................ 26,374 534,073
Enron Corp............................................ 73,700 5,260,337
#Entergy Corp......................................... 51,700 1,677,019
#Equifax, Inc......................................... 30,900 1,112,400
Exxon Corp............................................ 509,200 40,672,350
*FDX Corp............................................. 61,800 3,402,862
*FMC Corp............................................. 6,900 456,694
FPL Group, Inc........................................ 37,700 2,193,669
Fannie Mae............................................ 217,300 14,776,400
Federal Home Loan Mortgage Corp....................... 142,100 8,286,206
*Federated Department Stores, Inc..................... 44,000 2,398,000
#Fifth Third Bancorp.................................. 55,700 3,799,784
#First Data Corp...................................... 92,800 4,170,200
#First Union Corp..................................... 207,164 9,542,492
#Firstar Corp......................................... 144,500 4,163,406
FirstEnergy Corp...................................... 49,600 1,577,900
Fleet Financial Group, Inc............................ 118,928 4,890,914
Fleetwood Enterprises, Inc............................ 7,300 185,694
*Fluor Corp........................................... 15,800 588,550
Ford Motor Co......................................... 253,300 14,453,931
Fort James Corp....................................... 46,300 1,695,737
Fortune Brands, Inc................................... 35,800 1,463,325
Foster Wheeler Corp................................... 8,550 117,562
#Franklin Resources, Inc.............................. 53,000 2,305,500
Freeport McMoran Copper & Gold, Inc. Class B.......... 34,700 490,137
Frontier Corp......................................... 36,000 1,894,500
*Fruit of The Loom, Inc. Class A...................... 15,100 155,719
GPU, Inc.............................................. 26,700 1,163,119
GTE Corp.............................................. 201,900 12,732,319
#Gannett Co., Inc..................................... 59,000 4,262,750
Gap, Inc.............................................. 119,100 7,451,194
*#Gateway 2000, Inc................................... 32,600 1,982,487
General Dynamics Corp................................. 26,400 1,735,800
General Electric Co................................... 685,900 69,747,456
*General Instrument Corp.............................. 34,980 1,353,289
General Mills, Inc.................................... 32,000 2,572,000
General Motors Corp................................... 136,800 9,439,200
#Genuine Parts Co..................................... 37,675 1,269,177
Georgia-Pacific Corp.................................. 18,500 1,599,094
Gillette Co........................................... 232,500 11,857,500
Golden West Financial Corp............................ 12,000 1,138,500
#Goodrich (B.F.) Co................................... 15,600 631,800
Goodyear Tire & Rubber Co............................. 32,600 1,945,812
Grainger (W.W.), Inc.................................. 19,800 1,050,637
Great Atlantic & Pacific Tea Co., Inc................. 8,000 262,000
Great Lakes Chemical Corp............................. 12,400 560,325
#Guidant Corp......................................... 63,000 3,150,000
*#HCR Manor Care, Inc................................. 23,200 620,600
Halliburton Co........................................ 92,200 3,814,775
#Harcourt General, Inc................................ 14,823 729,106
Harnischfeger Industries, Inc......................... 9,876 70,984
*Harrahs Entertainment, Inc........................... 26,400 570,900
*Harris Corp.......................................... 16,500 623,906
</TABLE>
124
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hartford Financial Services Group, Inc................ 48,800 $ 3,086,600
Hasbro, Inc........................................... 40,998 1,173,568
*Healthsouth Corp..................................... 88,500 1,183,687
Heinz (H.J.) Co....................................... 75,800 3,662,087
*Helmerich & Payne, Inc............................... 10,300 240,119
Hercules, Inc......................................... 21,100 737,181
#Hershey Foods Corp................................... 29,900 1,622,075
#Hewlett-Packard Co................................... 212,300 20,022,544
Hilton Hotels Corp.................................... 54,500 749,375
#Home Depot, Inc...................................... 308,544 17,548,440
#Homestake Mining Co.................................. 54,400 425,000
#Honeywell, Inc....................................... 26,500 2,507,562
Household International, Inc.......................... 101,100 4,385,212
*Humana, Inc.......................................... 35,000 439,687
Huntington Bancshares, Inc............................ 44,230 1,534,228
IMS Health, Inc....................................... 66,800 1,644,950
#ITT Industries, Inc.................................. 19,000 717,250
Ikon Office Solutions, Inc............................ 30,900 430,669
#Illinois Tool Works, Inc............................. 52,200 4,006,350
Inco, Ltd............................................. 37,900 540,075
Ingersoll-Rand Co..................................... 34,400 2,190,850
Intel Corp............................................ 698,100 37,828,294
International Business Machines Corp.................. 386,400 44,943,150
#International Flavors & Fragrances, Inc.............. 22,300 917,087
International Paper Co................................ 85,792 4,289,600
Interpublic Group of Companies, Inc................... 29,150 2,208,112
Jefferson-Pilot Corp.................................. 22,075 1,494,202
Johnson & Johnson..................................... 281,600 26,083,200
Johnson Controls, Inc................................. 17,800 1,122,512
Jostens, Inc.......................................... 7,400 156,325
*K Mart Corp.......................................... 103,200 1,586,700
*KLA-Tencor Corp...................................... 18,300 833,222
*Kansas City Southern Industries, Inc................. 23,000 1,293,750
Kaufman & Broad Home Corp............................. 10,000 241,250
#Kellogg Co........................................... 84,800 2,941,500
#Kerr-McGee Corp...................................... 18,042 838,953
Keycorp............................................... 95,200 3,308,200
Kimberly Clark Corp................................... 113,600 6,666,900
*King World Productions, Inc.......................... 15,000 500,625
#Knight Ridder, Inc................................... 16,452 866,815
*Kohls Corp........................................... 33,200 2,263,825
*#Kroger Co........................................... 53,800 3,150,662
*LSI Logic Corp....................................... 29,600 1,097,050
Laidlaw, Inc.......................................... 69,100 483,700
Lehman Brothers Holdings, Inc......................... 23,800 1,300,075
Lilly (Eli) & Co...................................... 230,400 16,459,200
#Limited, Inc......................................... 47,400 2,316,675
Lincoln National Corp................................. 21,200 2,157,100
Liz Claiborne, Inc.................................... 13,500 486,000
Lockheed Martin Corp.................................. 82,114 3,320,485
Loews Corp............................................ 23,800 1,935,237
Longs Drug Stores Corp................................ 8,200 285,462
Louisiana-Pacific Corp................................ 22,800 461,700
Lowe's Companies, Inc................................. 77,600 4,030,350
#Lucent Technologies, Inc............................. 553,300 31,468,937
MBIA, Inc............................................. 20,900 1,427,731
MBNA Corp............................................. 167,745 4,633,956
*MCI Worldcom, Inc.................................... 384,001 33,156,086
#MGIC Investment Corp................................. 22,900 1,102,062
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mallinckrodt, Inc..................................... 14,900 $ 515,912
#Marriott International, Inc. Class A................. 50,800 1,933,575
Marsh & McLennan Companies, Inc....................... 54,000 3,928,500
#Masco Corp........................................... 71,100 2,030,794
Mattel, Inc........................................... 87,200 2,305,350
May Department Stores Co.............................. 73,250 3,172,641
#Maytag Corp.......................................... 18,800 1,326,575
McDermott International, Inc.......................... 12,400 317,750
McDonalds Corp........................................ 283,200 10,903,200
McGraw-Hill Companies, Inc............................ 41,400 2,147,625
McKesson HBOC, Inc.................................... 58,037 1,976,885
Mead Corp............................................. 21,400 799,825
*Mediaone Group....................................... 127,200 9,396,900
#Medtronic, Inc....................................... 122,100 8,669,100
Mellon Bank Corp...................................... 109,200 3,897,075
#Mercantile Bancorporation, Inc....................... 33,000 1,928,437
Merck & Co., Inc...................................... 498,600 33,655,500
Meredith Corp......................................... 10,900 380,819
Merrill Lynch & Co., Inc.............................. 74,500 6,258,000
*Meyer (Fred), Inc.................................... 32,500 1,903,281
*#Micron Technology, Inc.............................. 51,900 1,968,956
*Microsoft Corp....................................... 1,086,900 87,733,209
Milacron, Inc......................................... 8,000 170,500
#Millipore Corp....................................... 9,200 307,050
Minnesota Mining & Manufacturing Co................... 84,000 7,203,000
*#Mirage Resorts, Inc................................. 41,200 844,600
Mobil Corp............................................ 163,200 16,524,000
Monsanto Co........................................... 131,200 5,444,800
#Morgan (J.P.) & Co., Inc............................. 36,700 5,112,769
Morgan Stanley Dean Witter Discover & Co.............. 121,100 11,686,150
Morton International, Inc............................. 25,300 986,700
Motorola, Inc......................................... 125,800 10,417,812
Nacco Industries, Inc. Class A........................ 1,700 126,862
Nalco Chemical Co..................................... 13,700 458,950
National City Corp.................................... 68,367 4,525,041
*National Semiconductor Corp.......................... 35,000 678,125
National Service Industries, Inc...................... 8,600 316,588
*Navistar International Corp.......................... 13,800 681,375
New Century Energies, Inc............................. 24,000 970,500
New York Times Class A................................ 38,300 1,306,988
#Newell Rubbermaid, Inc............................... 58,633 2,374,637
Newmont Mining Corp................................... 34,958 622,689
*#Nextel Communications Corp. Class A................. 60,052 2,212,541
*Niagara Mohawk Holdings, Inc......................... 39,200 583,100
Nicor, Inc............................................ 10,000 376,250
Nike, Inc. Class B.................................... 59,300 3,613,594
#Nordstrom, Inc....................................... 29,700 1,056,206
Norfolk Southern Corp................................. 79,200 2,593,800
Nortel Networks Corp.................................. 138,960 10,422,000
Northern States Power Co. MN.......................... 32,000 834,000
Northern Trust Corp................................... 23,200 2,099,600
#Northrop Grumman Corp................................ 14,500 978,750
*Novell, Inc.......................................... 70,600 1,656,894
Nucor Corp............................................ 18,400 917,700
#Occidental Petroleum Corp............................ 72,500 1,531,563
#Omnicom Group, Inc................................... 35,400 2,478,000
Oneok, Inc............................................ 6,600 198,000
*#Oracle Systems Corp................................. 301,443 7,470,134
Owens Corning......................................... 11,400 448,875
</TABLE>
125
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Owens-Illinois, Inc.................................. 32,500 $ 991,250
PE Corp. - PE Biosystems Group........................ 10,400 1,161,550
#PECO Energy Co....................................... 46,800 2,290,275
#PG&E Corp. (Holding Co.)............................. 80,000 2,700,000
#PNC Bank Corp........................................ 63,150 3,615,338
PP&L Resources, Inc................................... 31,600 948,000
PPG Industries, Inc................................... 37,000 2,245,438
Paccar, Inc........................................... 16,320 922,080
PacifiCorp............................................ 62,300 1,133,081
#Pall Corp............................................ 26,000 521,625
*Parametric Technology Corp........................... 56,000 778,750
Parker-Hannifin Corp.................................. 22,725 992,798
Paychex, Inc.......................................... 51,300 1,522,969
Penney (J.C.) Co., Inc................................ 55,200 2,853,150
Peoples Energy Corp................................... 7,400 284,900
*#Peoplesoft, Inc..................................... 48,800 791,475
Pep Boys - Manny, Moe & Jack.......................... 11,000 207,625
Pepsico, Inc.......................................... 307,400 11,008,763
Pfizer, Inc........................................... 271,500 29,050,500
Pharmacia & Upjohn, Inc............................... 106,580 5,908,529
#Phelps Dodge Corp.................................... 12,100 626,931
Philip Morris Companies, Inc.......................... 509,500 19,647,594
Phillips Petroleum Co................................. 53,300 2,794,919
Pioneer Hi-Bred International, Inc.................... 50,001 1,875,038
Pitney Bowes, Inc..................................... 57,000 3,633,750
#Placer Dome, Inc..................................... 68,100 757,613
Polaroid Corp......................................... 9,200 194,350
Potlatch Corp......................................... 6,100 240,188
Praxair, Inc.......................................... 33,000 1,610,813
Procter & Gamble Co................................... 277,900 25,948,913
Progressive Corp...................................... 15,100 2,119,663
Provident Companies, Inc.............................. 28,400 1,109,375
Providian Financial Corp.............................. 29,500 2,830,156
#Public Service Enterprise Group, Inc................. 46,700 1,958,481
*Pulte Corp........................................... 9,000 214,313
Quaker Oats Co........................................ 28,600 1,889,388
RJR Nabisco Holdings Corp............................. 68,100 2,106,844
Ralston Purina Group.................................. 68,800 1,874,800
Raychem Corp.......................................... 16,200 562,950
#Raytheon Co. Class B................................. 70,400 4,791,600
*#Reebok International, Ltd........................... 11,800 234,525
Regions Financial Corp................................ 46,400 1,758,850
Reliant Energy, Inc................................... 59,600 1,817,800
Republic New York Corp................................ 22,400 1,521,800
Reynolds Metals Co.................................... 13,500 718,031
Rite Aid Corp......................................... 54,200 1,355,000
Rockwell International Corp........................... 39,700 2,190,944
#Rohm & Haas Co....................................... 35,200 1,412,400
*Rowan Companies, Inc................................. 17,600 297,000
#Royal Dutch Petroleum Co. Den Haag (N.Y. Registry)... 448,700 25,379,594
Russell Corp.......................................... 7,600 178,125
Ryder System, Inc..................................... 15,000 360,000
SBC Communications, Inc............................... 409,600 20,940,800
SLM Holdings Corp..................................... 34,700 1,440,050
Safeco Corp........................................... 28,500 1,253,109
*Safeway, Inc......................................... 101,800 4,733,700
*Saint Jude Medical, Inc.............................. 17,650 596,791
Saint Paul Companies, Inc............................. 49,242 1,751,169
Sara Lee Corp......................................... 190,800 4,579,200
Schering-Plough Corp.................................. 307,500 13,856,719
Schlumberger, Ltd..................................... 114,400 6,885,450
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Schwab (Charles) Corp................................. 83,825 $ 8,869,733
Scientific-Atlanta, Inc............................... 15,800 557,938
*#Seagate Technology, Inc............................. 51,000 1,539,563
#Seagram Co., Ltd..................................... 83,700 4,347,169
*Sealed Air Corp...................................... 17,392 1,080,478
#Sears, Roebuck & Co.................................. 80,100 3,829,781
#Sempra Energy........................................ 50,245 1,080,268
Service Corp. International........................... 57,300 1,099,444
#Shared Medical Systems Corp.......................... 5,600 368,200
Sherwin-Williams Co................................... 36,000 1,109,250
Sigma-Aldrich Corp.................................... 21,100 674,541
*Silicon Graphics, Inc................................ 39,300 486,338
Snap-On, Inc.......................................... 13,700 495,769
*#Solectron Corp...................................... 52,500 2,874,375
#Sonat, Inc........................................... 23,000 815,063
#Southern Co.......................................... 146,100 4,145,588
*SouthTrust Corp...................................... 34,600 1,348,319
Southwest Airlines Co................................. 70,500 2,260,406
Springs Industries, Inc. Class A...................... 3,750 148,594
Sprint Corp........................................... 93,500 10,542,125
*Sprint Corp. (PCS Group)............................. 92,100 4,144,500
#Stanley Works........................................ 18,600 605,663
*Staples, Inc......................................... 96,700 2,777,103
State Street Corp..................................... 33,800 2,577,250
Summit Bancorp........................................ 36,200 1,481,938
*Sun Microsystems..................................... 161,580 9,649,356
Sunoco, Inc........................................... 19,600 596,575
Suntrust Banks, Inc................................... 67,100 4,529,250
Supervalu, Inc........................................ 25,100 608,675
#Synovus Financial Corp............................... 56,050 1,128,006
Sysco Corp............................................ 69,600 2,066,250
TJX Companies, Inc.................................... 67,700 2,031,000
TRW, Inc.............................................. 25,000 1,251,563
Tandy Corp............................................ 20,630 1,701,975
Tektronix, Inc........................................ 9,850 228,397
*Tellabs, Inc......................................... 81,400 4,764,444
Temple-Inland, Inc.................................... 11,700 783,900
*Tenet Healthcare Corp................................ 64,900 1,590,050
*Tenneco, Inc......................................... 35,700 832,256
Texaco, Inc........................................... 112,100 7,342,550
Texas Instruments, Inc................................ 81,800 8,946,875
Texas Utilities Co.................................... 58,997 2,654,865
Textron, Inc.......................................... 33,300 2,965,781
*Thermo-Electron Corp................................. 33,300 636,863
#Thomas & Betts Corp.................................. 11,900 509,469
#Time Warner, Inc..................................... 257,000 17,492,063
Times Mirror Co. Class A.............................. 15,100 889,956
Timken Co............................................. 13,000 267,313
#Torchmark Corp....................................... 29,300 977,888
*Toys R Us, Inc....................................... 52,600 1,213,088
Transamerica Corp..................................... 26,100 1,915,088
Tribune Co............................................ 24,800 1,957,650
*Tricon Global Restaurants, Inc....................... 31,860 1,855,845
Tupperware Corp....................................... 12,100 269,225
Tyco International, Ltd............................... 170,768 14,920,854
U.S. Bancorp.......................................... 152,500 4,956,250
U.S. West, Inc........................................ 105,481 5,702,567
#UNUM Corp............................................ 29,000 1,560,563
*USAir Group, Inc..................................... 18,200 883,838
UST, Inc.............................................. 38,900 1,186,450
USX-Marathon Group, Inc............................... 64,300 1,924,981
USX-US Steel Group.................................... 18,520 498,883
</TABLE>
126
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Unicom Corp., Inc..................................... 45,600 $ 1,929,450
#Unilever NV.......................................... 119,678 7,816,505
#Union Carbide Corp................................... 27,900 1,431,619
Union Pacific Corp.................................... 51,900 2,961,544
Union Pacific Resources Group, Inc.................... 52,476 731,384
Union Planters Corp................................... 28,800 1,189,800
*Unisys Corp.......................................... 54,600 2,071,388
United Healthcare Corp................................ 39,100 2,277,575
United Technologies Corp.............................. 94,800 5,883,525
#Unocal Corp.......................................... 50,500 2,007,375
VF Corp............................................... 25,100 1,154,600
*Viacom, Inc. Class B................................. 145,400 5,597,900
*WR Grace & Co........................................ 15,400 274,313
Wachovia Corp......................................... 42,400 3,741,800
#Walgreen Co.......................................... 209,100 4,861,575
#Wal-Mart Stores, Inc................................. 931,000 39,683,875
Warner-Lambert Co..................................... 171,800 10,651,600
Washington Mutual, Inc................................ 124,190 4,742,506
#Waste Management, Inc................................ 125,147 6,617,148
*#Watson Pharmaceuticals, Inc......................... 20,000 766,250
Wells Fargo Company................................... 344,000 13,760,000
Wendy's International, Inc............................ 26,000 708,500
Westvaco Corp......................................... 21,050 601,241
Weyerhaeuser Co....................................... 41,700 2,588,006
Whirlpool Corp........................................ 15,900 1,025,550
Willamette Industries, Inc............................ 23,300 987,338
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Williams Companies, Inc.............................. 89,397 $ 4,631,882
Winn-Dixie Stores, Inc................................ 31,200 1,117,350
Worthington Industries, Inc........................... 19,400 249,169
#Wrigley (Wm.) Jr. Co................................. 24,300 2,115,619
Xerox Corp............................................ 137,200 7,708,925
------------
TOTAL COMMON STOCKS
(Cost $1,482,333,058)................................ 2,238,426,687
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $11,495,700) to be
repurchased at $11,323,785. (Cost $11,318,000)...... $ 11,318 11,318,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,493,651,058)++.............................. $2,249,744,687
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purpose is $1,505,779,375.
</TABLE>
See accompanying Notes to Financial Statements.
127
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (70.8%)
BONDS -- (35.6%)
Abbey National Treasury Services P.L.C.
5.750%, 03/06/01................................... 2,000 $ 1,993,000
Associates Corp. of North America Medium Term Notes
5.600%, 01/15/01................................... 2,000 1,999,600
Canada Mortgage and Housing Corp. Medium Term Notes
6.125%, 12/01/00................................... 1,000 1,002,300
Canadian Government Medium Term Notes
5.500%, 01/30/01................................... 2,800 2,788,800
Citicorp Corporate Bonds
5.625%, 02/15/01................................... 1,000 995,500
General Electric Capital Corp.
3.000%, 02/08/01................................... 2,600 2,725,925
Japanese Development Bank Medium Term Notes
8.375%, 02/15/01................................... 1,000 1,037,000
KFW International Finance, Inc.
5.750%, 12/01/00................................... 1,331 1,336,324
Natexis Banque Medium Term Notes
6.000%, 11/06/00................................... 2,000 2,006,200
Nederlandse Waterschapsbank N.V. Medium Term Notes
5.500%, 02/20/01................................... 2,800 2,782,500
Rabobank Nederland
6.000%, 03/12/01................................... 2,100 2,104,305
Societe Nationale des Chemins de fer Belgium Medium
Term Notes
8.250%, 02/02/00................................... 1,000 1,015,000
Statoil Den Norske Stats Oljeselskap AS
6.250%, 10/10/00................................... 2,000 2,009,400
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 2,900 2,877,380
------------
TOTAL BONDS
(Cost $26,513,121)................................... 26,673,234
------------
COMMERCIAL PAPER -- (19.3%)
BP America C.P.
4.920%, 06/01/99................................... 1,700 1,700,000
BellSouth Capital Funding C.P.
4.800%, 07/26/99................................... 2,000 1,985,242
Ciesco L.P. C.P.
4.780%, 07/09/99................................... 1,300 1,293,372
Coca-Cola Co. C.P.
4.750%, 06/08/99................................... 1,400 1,398,680
Govco, Inc. C.P.
4.830%, 06/25/99................................... 900 897,084
Kittyhawk Funding Corp. C.P.
4.810%, 06/17/99................................... 1,400 1,397,007
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Paccar Financial Corp. C.P.
4.820%, 06/18/99................................... 1,500 $ 1,496,593
Procter & Gamble Co. C.P.
4.770%, 06/24/99................................... 500 498,463
Shell Oil Co. C.P.
4.760%, 06/28/99................................... 2,800 2,789,899
Sigma Finance Corp. C.P.
4.880%, 06/01/99................................... 1,000 1,000,000
------------
TOTAL COMMERCIAL PAPER
(Cost $14,456,657)................................... 14,456,340
------------
VARIABLE RATE OBLIGATIONS -- (8.0%)
Chase Manhattan Corp.
***5.298%, 08/24/99................................ 1,000 1,000,000
Citicorp
***5.040%, 08/16/99................................ 1,000 1,000,000
FCC National Bank
***5.036%, 07/29/99................................ 2,000 2,000,000
Key Bank N.A.
***5.245%, 08/02/99................................ 2,000 1,999,800
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $6,000,266).................................... 5,999,800
------------
AGENCY OBLIGATIONS -- (7.9%)
Federal Home Loan Bank
**4.715%, 07/02/99................................. 4,000 3,983,845
Federal National Mortgage Association
5.440%, 05/21/01................................... 2,000 1,992,224
------------
TOTAL AGENCY OBLIGATIONS
(Cost $5,980,448).................................... 5,976,069
------------
TOTAL -- UNITED STATES
(Cost $53,083,492)................................... 53,105,443
------------
GERMANY -- (14.4%)
BONDS -- (14.4%)
Autobahnen und Schnellstrassenfinanzierungs AG Asfinag
7.125%, 12/22/99................................... 3,000 1,640,723
Baden-Wuerttemberg L-Finance NV
7.000%, 03/08/00................................... 3,000 1,652,752
Bank Nederlandse Gemeenten
6.250%, 08/10/00................................... 3,000 1,666,545
Denmark (Kingdom of)
6.125%, 07/06/00................................... 2,000 1,107,715
European Economic Community
6.500%, 03/10/00................................... 2,000 1,098,627
KFW International Finance, Inc.
7.500%, 01/24/00................................... 1,534 1,654,195
Landesbank Capital Markets P.L.C.
7.000%, 03/31/00................................... 1,500 829,183
</TABLE>
128
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Landwirtschaft Rentenbank
5.000%, 12/29/00................................... 2,081 $ 1,147,015
------------
TOTAL -- GERMANY
(Cost $11,092,023)................................... 10,796,755
------------
FRANCE -- (6.5%)
BONDS -- (6.5%)
Charbonnages de France
9.200%, 05/06/01................................... 2,322 2,706,425
Credit Local de France SA
8.900%, 05/28/00................................... 13,000 2,191,173
------------
TOTAL -- FRANCE
(Cost $5,035,830).................................... 4,897,598
------------
NETHERLANDS -- (3.9%)
BONDS -- (3.9%)
Baden-Wuerttemberg L-Finance NV
6.625%, 05/11/00................................... 2,000 982,167
Helaba International Finance P.L.C.
6.125%, 06/30/00................................... 4,000 1,963,386
------------
TOTAL -- NETHERLANDS
(Cost $3,014,149).................................... 2,945,553
------------
SWEDEN -- (3.3%)
BONDS -- (3.0%)
Swedish Government Bond
10.250%, 05/05/00
(Cost $2,365,100)................................ 18,000 2,231,805
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Swedish Krona (Cost $218,919)........................ 215,202
------------
TOTAL -- SWEDEN
(Cost $2,584,019).................................... 2,447,007
------------
AUSTRALIA -- (0.9%)
BONDS -- (0.9%)
ABN-AMRO Australia, Ltd.
7.500%, 03/08/00 (Cost $682,300)................... 1,000 663,960
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $41)......................... $ 42
------------
TOTAL -- AUSTRALIA
(Cost $682,341)...................................... 664,002
------------
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $19).............................. 19
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency (Cost $1).............................. 1
------------
CANADA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $1)........................... 1
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $139,725) to be
repurchased at $133,068.
(Cost $133,000)..................................... $ 133 133,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $75,491,875)++................................. $ 74,989,379
------------
------------
- --------------------
+ See Note B to Financial Statements.
@ Denominated in local currency.
*** Rates shown are the rates as of May 31, 1999, and maturities shown are the
next interest readjustment date.
* Non-Income Producing Securities
** Face amount of securities pledged as margin requirement for open futures
contracts.
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
129
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
AK Steel Holding Corp................................. 156,800 $ 3,763,200
*AMR Corp............................................. 565,000 36,760,312
AVX Corp.............................................. 177,100 3,619,481
*#Advanced Micro Devices, Inc......................... 485,900 8,989,150
Aetna, Inc............................................ 544,726 49,467,930
*Airgas, Inc.......................................... 28,800 329,400
*#Alaska Air Group, Inc............................... 38,100 1,581,150
Albemarle Corp........................................ 102,100 2,290,869
Alexander & Baldwin, Inc.............................. 164,000 3,710,500
*Allegheny Corp....................................... 16,822 3,044,782
Alliant Energy Corp................................... 177,100 5,346,206
Ambac, Inc............................................ 140,300 8,181,244
Amerada Hess Corp..................................... 246,100 14,750,619
*America West Holdings Corp. Class B.................. 108,800 2,121,600
American Annuity Group, Inc........................... 3,300 77,550
American Financial Group, Inc......................... 154,200 5,204,250
American General Corp................................. 426,007 30,779,006
*American Greetings Corp. Class A..................... 105,100 3,008,487
American National Insurance Co........................ 21,900 1,550,794
Amerus Life Holdings, Inc. Class A.................... 45,600 1,177,050
Apache Corp........................................... 270,600 9,741,600
Arch Coal, Inc........................................ 14,800 216,450
#Archer-Daniels Midland Co............................ 1,864,835 27,972,525
*Arrow Electronics, Inc............................... 372,600 6,473,925
Asarco, Inc........................................... 109,900 1,765,269
*Associated Group, Inc. Class A....................... 6,500 421,687
Atlantic Richfield Co................................. 221,200 18,511,675
Avnet, Inc............................................ 115,600 5,035,825
*BJ Services, Co...................................... 228,200 6,289,762
Baker Hughes, Inc..................................... 75,400 2,346,825
Bancwest Corp......................................... 98,600 3,746,800
Bankers Trust New York Corp........................... 211,700 19,595,481
Bear Stearns Companies, Inc........................... 304,958 13,532,511
Belo (A.H.) Corp. Class A............................. 287,600 6,345,175
Berkley (W.R.) Corp................................... 68,200 1,739,100
*Bethlehem Steel Corp................................. 444,400 3,694,075
*Beverly Enterprises.................................. 296,100 2,146,725
Black & Decker Corp................................... 143,800 8,187,612
Block Drug Co., Inc. Class A.......................... 37,588 1,395,454
Boise Cascade Corp.................................... 162,100 6,423,212
Borg Warner Automotive, Inc........................... 46,300 2,566,756
Bowater, Inc.......................................... 141,300 7,276,950
Brunswick Corp........................................ 273,500 6,564,000
Burlington Coat Factory Warehouse Corp................ 10,000 168,750
Burlington Northern Santa Fe Corp..................... 1,303,200 40,399,200
*CBRL Group, Inc...................................... 55,300 955,653
CIGNA Corp............................................ 112,424 10,483,538
*CNA Financial Corp................................... 501,800 21,796,937
#CSX Corp............................................. 591,800 27,777,612
*Cabletron Systems, Inc............................... 438,500 6,522,687
Capital Re Corp....................................... 26,600 433,912
Carpenter Technology Corp............................. 21,900 624,150
Case Corp............................................. 194,900 9,160,300
Champion International Corp........................... 264,100 13,535,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chesapeake Corp....................................... 15,100 $ 544,544
Chiquita Brands International, Inc.................... 240,200 1,936,612
*Chris-Craft Industries, Inc.......................... 70,872 3,268,971
#Cincinnati Financial Corp............................ 431,480 17,785,066
*Circus Circus Enterprises, Inc....................... 296,300 6,259,337
*Commerce Group, Inc.................................. 81,600 1,892,100
Comsat Corp. Series 1................................. 96,600 3,151,575
Consolidated Papers, Inc.............................. 196,100 5,441,775
Cooper Tire & Rubber Co............................... 95,100 2,258,625
*Corn Products International, Inc..................... 44,200 1,303,900
*Corporate Express, Inc............................... 33,200 217,356
Countrywide Credit Industries, Inc.................... 304,500 12,522,562
Crown Cork & Seal Co., Inc............................ 393,100 12,333,512
#Cummins Engine Co., Inc.............................. 113,800 5,761,125
*Cypress Semiconductor Corp........................... 184,700 2,054,787
#Cyprus Amax Minerals Co., Inc........................ 293,900 3,692,119
*Delphi Automotive Systems Corp....................... 1,096,830 21,525,305
*Delphi Financial Group, Inc. Class A................. 832 28,871
Devon Energy Corp..................................... 26,100 906,975
Dillards, Inc. Class A................................ 321,700 11,299,712
ENSCO International, Inc.............................. 362,400 6,432,600
Earthgrains Co........................................ 50,600 1,185,937
Enhance Financial Services Group, Inc................. 116,400 2,277,075
Enron Oil & Gas Corp.................................. 217,800 4,151,812
*Enserch Exploration Corp............................. 144,718 985,891
Everest Reinsurance Holdings, Inc..................... 211,300 6,946,487
*Extended Stay America, Inc........................... 355,300 3,775,062
FBL Financial Group, Inc. Class A..................... 15,100 302,944
*#Federated Department Stores, Inc.................... 621,400 33,866,300
Financial Security Assurance Holdings, Ltd............ 41,800 2,372,150
First Citizens Bancshares, Inc. NC.................... 10,300 841,059
Florida East Coast Industries, Inc.................... 62,500 2,187,500
*Fluor Corp........................................... 53,600 1,996,600
Ford Motor Co......................................... 2,037,700 116,276,256
Fortune Brands, Inc................................... 574,000 23,462,250
*Foundation Health Systems, Inc....................... 29,000 518,375
*Fruit of The Loom, Inc. Class A...................... 120,600 1,243,687
GATX Corp............................................. 84,400 3,275,775
General Motors Corp................................... 1,569,300 108,281,700
*General Motors Corp. Class H......................... 281,346 15,438,862
Georgia-Pacific Corp.................................. 222,500 19,232,344
*Golden State Bancorp, Inc............................ 144,900 3,559,106
Golden West Financial Corp............................ 90,800 8,614,650
#Goodrich (B.F.) Co................................... 95,400 3,863,700
Great Atlantic & Pacific Tea Co., Inc................. 126,700 4,149,425
Great Lakes Chemical Corp............................. 23,900 1,079,981
Greenpoint Financial Corp............................. 92,000 3,174,000
*Harris Corp.......................................... 23,300 881,031
*Healthsouth Corp..................................... 691,700 9,251,488
*Helmerich & Payne, Inc............................... 132,200 3,081,913
Hilton Hotels Corp.................................... 714,200 9,820,250
Hollinger International, Inc. Class A................. 147,100 2,041,013
Host Marriott Corp.................................... 311,300 3,900,978
*Humana, Inc.......................................... 371,400 4,665,713
*IBP, Inc............................................. 288,400 6,182,575
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#IMC Global, Inc...................................... 310,300 $ 6,496,906
*IVAX Corp............................................ 21,600 290,250
Ikon Office Solutions, Inc............................ 385,000 5,365,938
*Integrated Health Services, Inc...................... 87,100 511,713
*Interim Services, Inc................................ 119,900 2,615,319
#International Paper Co............................... 1,071,241 53,562,050
*International Speciality Products, Inc............... 252,000 2,362,500
*#K Mart Corp......................................... 1,417,400 21,792,525
Kerr-McGee Corp....................................... 127,800 5,942,700
*LSI Logic Corp....................................... 103,500 3,835,969
LTV Corp.............................................. 225,900 1,383,638
*#Lafarge Corp........................................ 158,300 5,293,156
*Lam Research Corp.................................... 113,900 3,157,166
Lehman Brothers Holdings, Inc......................... 304,200 16,616,925
Lennar Corp........................................... 1,900 42,988
Liberty Corp.......................................... 40,400 2,088,175
Liberty Financial Companies, Inc...................... 160,000 4,180,000
Lincoln National Corp................................. 223,050 22,695,338
Loews Corp............................................ 315,500 25,654,094
Longs Drug Stores Corp................................ 50,900 1,771,956
Louisiana-Pacific Corp................................ 298,100 6,036,525
*Lubrizol Corp........................................ 182,000 5,005,000
*#Lyondell Chemical Co................................ 184,500 3,517,031
*MGM Grand, Inc....................................... 30,971 1,300,782
Mallinckrodt, Inc..................................... 205,200 7,105,050
Mark IV Industries, Inc............................... 86,100 1,592,850
Mead Corp............................................. 281,000 10,502,375
Media General, Inc. Class A........................... 16,900 872,463
#Millennium Chemicals, Inc............................ 179,000 4,463,813
Mitchell Energy & Development Corp. Class A........... 68,500 1,096,000
Mitchell Energy & Development Corp. Class B........... 41,600 670,800
Murphy Oil Corp....................................... 31,700 1,555,281
NAC RE Corp........................................... 44,300 2,417,119
*#National Semiconductor Corp......................... 513,600 9,951,000
Noble Affiliates, Inc................................. 108,000 2,862,000
#Norfolk Southern Corp................................ 999,800 32,743,450
Occidental Petroleum Corp............................. 650,800 13,748,150
*Officemax, Inc....................................... 367,200 4,222,800
Ogden Corp............................................ 151,696 3,782,919
#Ohio Casualty Corp................................... 106,900 4,065,541
#Old Republic International Corp...................... 553,275 10,062,689
Olsten Corp........................................... 13,300 118,038
Orion Capital Corp.................................... 98,600 2,877,888
Overseas Shipholding Group, Inc....................... 37,500 468,750
*#Owens-Illinois, Inc................................. 265,100 8,085,550
PMI Group, Inc........................................ 63,400 3,708,900
Pacific Century Financial Corp........................ 124,500 2,490,000
*Pacificare Health Systems, Inc. Class B.............. 39,256 3,389,510
*Park Place Entertainment Corp........................ 586,400 6,157,200
Penney (J.C.) Co., Inc................................ 1,065,700 55,083,369
*Pennzenergy Co....................................... 55,600 858,325
Penzoil Quaker State Co............................... 55,600 771,450
#Pep Boys - Manny, Moe & Jack......................... 151,100 2,852,013
#Phelps Dodge Corp.................................... 168,800 8,745,950
#Pioneer Natural Resources Co......................... 401,900 4,370,663
Potlatch Corp......................................... 94,600 3,724,875
Provident Companies, Inc.............................. 550,808 21,515,938
*Pulte Corp........................................... 83,900 1,997,869
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Questar Corp.......................................... 167,000 $ 3,183,438
RJR Nabisco Holdings Corp............................. 887,680 27,462,600
Rayonier, Inc......................................... 83,000 3,869,875
*Reliance Group Holdings, Inc......................... 448,300 4,454,981
#Reynolds Metals Co................................... 177,900 9,462,056
*Rowan Companies, Inc................................. 302,300 5,101,313
#Russell Corp......................................... 137,400 3,220,313
#Ryder System, Inc.................................... 268,800 6,451,200
Ryerson Tull, Inc..................................... 64,592 1,485,616
Safeco Corp........................................... 368,300 16,193,691
Saint Paul Companies, Inc............................. 648,326 23,056,093
*Seagate Technology, Inc.............................. 64,100 1,935,019
#Service Corp. International.......................... 105,100 2,016,606
*Silicon Graphics, Inc................................ 456,700 5,651,663
*#Smurfit-Stone Container Corp........................ 235,026 5,067,748
*Spiegel, Inc. Class A Non-Voting..................... 1,600 11,750
Springs Industries, Inc. Class A...................... 7,700 305,113
*Sprint Corp. (PCS Group)............................. 5,850 263,250
St. Joe Corp.......................................... 78,400 2,141,300
*Starwood Hotels and Resorts Worldwide, Inc........... 96,000 3,144,000
*Tech Data Corp....................................... 31,500 1,158,609
Tecumseh Products Co. Class A......................... 58,300 3,833,225
*Tecumseh Products Co. Class B........................ 9,100 545,431
Tektronix, Inc........................................ 48,200 1,117,638
Telephone & Data Systems, Inc......................... 152,900 10,282,525
Temple-Inland, Inc.................................... 138,200 9,259,400
*Tenneco, Inc......................................... 615,100 14,339,519
Terra Industries, Inc................................. 61,400 241,763
*Thermo-Electron Corp................................. 455,800 8,717,175
Tidewater, Inc........................................ 138,000 3,527,625
Timken Co............................................. 177,800 3,656,013
*#Toys R Us, Inc...................................... 683,600 15,765,525
Transamerica Corp..................................... 462,800 33,957,950
Travelers Property Casualty Corp...................... 477,000 18,841,500
Tyson Foods, Inc. Class A............................. 6,600 151,800
*UMB Financial Corp................................... 38,100 1,616,869
USX-Marathon Group, Inc............................... 665,450 19,921,909
USX-US Steel Group.................................... 314,400 8,469,150
*Ultramar Diamond Shamrock Corp....................... 188,600 4,149,200
Union Pacific Corp.................................... 669,100 38,180,519
Union Pacific Resources Group, Inc.................... 773,900 10,786,231
Unisource Worldwide, Inc.............................. 120,100 1,411,175
*United States Cellular Corp.......................... 141,300 6,817,725
*Unitrin, Inc......................................... 223,800 7,846,988
*Unova, Inc........................................... 273,500 3,965,750
Valero Energy Corp.................................... 268,500 5,386,781
Valhi, Inc............................................ 91,000 1,074,938
*Venator Group, Inc................................... 494,500 5,408,594
*Viacom, Inc. Class A................................. 210,400 8,113,550
*Viacom, Inc. Class B................................. 670,000 25,795,000
*Vishay Intertechnology, Inc.......................... 162,764 3,387,526
*Wallace Computer Services, Inc....................... 31,000 711,063
Weis Markets, Inc..................................... 20,800 731,900
Wesco Financial Corp.................................. 12,540 4,072,365
Westvaco Corp......................................... 300,550 8,584,459
Weyerhaeuser Co....................................... 5,900 366,169
Whirlpool Corp........................................ 69,000 4,450,500
Willamette Industries, Inc............................ 298,600 12,653,175
*World Color Press, Inc............................... 54,100 1,379,550
</TABLE>
131
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Worthington Industries, Inc........................... 184,000 $ 2,363,250
*Xtra Corp............................................ 6,200 275,900
------------
TOTAL COMMON STOCKS
(Cost $1,514,542,045)................................ 1,891,344,947
------------
PREFERRED STOCKS -- (0.1%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable, Class A
(Cost $855,404)..................................... 12,040 1,029,796
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT
------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $18,004,100) to be
repurchased at $17,740,063.
(Cost $17,731,000).................................. $ 17,731 17,731,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,533,128,549)++.............................. $1,910,105,743
------------
------------
- --------------------
+ 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.
132
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (96.3%)
AAR Corp.............................................. 4,000 $ 79,000
*ACX Technologies, Inc................................ 3,600 44,775
AK Steel Holding Corp................................. 4,700 112,800
*AMR Corp............................................. 26,900 1,750,181
AVX Corp.............................................. 7,000 143,062
*Acceptance Insurance Companies, Inc.................. 1,100 17,256
*Advanced Micro Devices, Inc.......................... 15,900 294,150
#Advanta Corp. Class A................................ 1,000 17,344
Advanta Corp. Class B Non-Voting...................... 1,000 14,031
Aetna, Inc............................................ 16,800 1,525,650
Agco Corp............................................. 5,000 58,125
*Airgas, Inc.......................................... 7,400 84,637
*Alaska Air Group, Inc................................ 3,000 124,500
Albemarle Corp........................................ 3,600 80,775
Alexander & Baldwin, Inc.............................. 9,400 212,675
*Allegheny Corp....................................... 612 110,772
*Allen Telecom, Inc................................... 1,900 19,831
Alliance Bancorp...................................... 1,100 26,847
Alliant Energy Corp................................... 9,700 292,819
Amcol International Corp.............................. 1,900 26,956
Amerada Hess Corp..................................... 9,200 551,425
*Amerco, Inc.......................................... 3,000 74,250
*America West Holdings Corp. Class B.................. 2,575 50,212
American Annuity Group, Inc........................... 5,600 131,600
American Financial Group, Inc......................... 7,700 259,875
*American Freightways Corp............................ 1,800 31,556
*American Greetings Corp. Class A..................... 7,900 226,137
*American Oncology Resources, Inc..................... 3,000 30,469
Amerus Life Holdings, Inc. Class A.................... 3,000 77,437
*Amresco, Inc......................................... 4,100 27,931
*Anicom, Inc.......................................... 5,000 46,094
*Anixter International, Inc........................... 3,400 60,137
Apache Corp........................................... 9,800 352,800
*Applied Graphics Technologies, Inc................... 3,000 32,531
Applied Industrial Technologies, Inc.................. 2,700 45,731
*#Arcadia Financial, Ltd.............................. 4,700 34,956
Arch Coal, Inc........................................ 3,500 51,187
Archer-Daniels Midland Co............................. 70,900 1,063,500
Arctic Cat, Inc....................................... 3,000 25,125
Argonaut Group, Inc................................... 2,800 75,075
*Armco, Inc........................................... 10,800 69,525
Arnold Industries, Inc................................ 1,400 23,187
*Arrow Electronics, Inc............................... 11,300 196,337
Asarco, Inc........................................... 5,200 83,525
*Ascent Entertainment Group, Inc...................... 1,600 18,300
Avado Brands, Inc..................................... 3,500 31,773
Avnet, Inc............................................ 4,000 174,250
*Aztar Corp........................................... 5,400 36,450
*BJ Services, Co...................................... 6,500 179,156
Baldwin & Lyons, Inc. Class B......................... 900 18,816
*BancTec, Inc......................................... 1,600 25,800
Bandag, Inc........................................... 1,000 34,437
Bandag, Inc........................................... 1,200 34,350
BankAtlantic Bancorp, Inc. Class B.................... 1,000 7,969
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Banta Corp............................................ 3,000 $ 73,500
*Barrett Resources Corp............................... 3,000 101,437
Bassett Furniture Industries, Inc..................... 1,500 35,672
Battle Mountain Gold Co............................... 10,900 26,569
Bay View Capital Corp................................. 2,600 46,800
Bear Stearns Companies, Inc........................... 10,545 467,934
*Belco Oil & Gas Corp................................. 3,500 27,781
Belo (A.H.) Corp. Class A............................. 10,100 222,831
*Bergen Brunswig Corp. Class A........................ 2,365 52,030
Berkley (W.R.) Corp................................... 2,500 63,750
*Berlitz International, Inc........................... 1,000 21,312
*Bethlehem Steel Corp................................. 15,900 132,169
*Beverly Enterprises.................................. 8,800 63,800
*Bio-Rad Laboratories, Inc. Class A................... 1,000 28,187
Block Drug Co., Inc. Class A.......................... 1,200 44,550
Boise Cascade Corp.................................... 5,300 210,012
*Boise Cascade Office Products Corp................... 3,900 46,556
Bowater, Inc.......................................... 3,800 195,700
Bowne & Co., Inc...................................... 3,000 50,250
*Boyd Gaming Corp..................................... 4,500 26,719
*Brown (Tom), Inc..................................... 3,700 47,984
Brown Shoe Company, Inc............................... 1,300 24,700
Brunswick Corp........................................ 10,900 261,600
Brush Wellman, Inc.................................... 1,500 25,406
*Budget Group, Inc.................................... 3,100 41,462
*Buffets, Inc......................................... 3,900 40,950
Burlington Coat Factory Warehouse Corp................ 4,000 67,500
*Burlington Industries, Inc........................... 5,200 51,025
Burlington Northern Santa Fe Corp..................... 66,000 2,046,000
*CBRL Group, Inc...................................... 6,400 110,600
*CNA Financial Corp................................... 21,900 951,281
CSX Corp.............................................. 25,800 1,210,987
*Cabletron Systems, Inc............................... 17,300 257,337
Calgon Carbon Corp.................................... 4,100 23,319
Capital Re Corp....................................... 3,900 63,619
*#Caribiner International, Inc........................ 1,600 8,600
*Carmike Cinemas, Inc. Class A........................ 1,000 17,562
Carpenter Technology Corp............................. 2,700 76,950
Carter-Wallace, Inc................................... 2,400 43,350
Case Corp............................................. 8,600 404,200
*Castle & Cooke, Inc.................................. 2,300 35,937
Cato Corp. Class A.................................... 1,400 18,419
*Central Garden & Pet Co.............................. 3,700 50,297
Champion International Corp........................... 10,700 548,375
*Charming Shoppes, Inc................................ 11,600 58,544
Chartwell Re Corp..................................... 1,000 15,687
*Checkpoint System, Inc............................... 2,700 24,637
Chemed Corp........................................... 1,000 32,437
Chesapeake Corp....................................... 2,500 90,156
Chiquita Brands International, Inc.................... 8,800 70,950
*Chris-Craft Industries, Inc.......................... 2,957 136,392
Cincinnati Financial Corp............................. 19,800 816,131
Circle International, Inc............................. 1,200 24,600
*Circus Circus Enterprises, Inc....................... 8,400 177,450
*Citation Corp........................................ 1,200 16,012
Cleveland Cliffs, Inc................................. 1,000 37,000
</TABLE>
133
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Coherent, Inc........................................ 3,000 $ 48,562
Columbus McKinnon Corp................................ 1,000 24,969
*Commerce Group, Inc.................................. 3,800 88,112
Commercial Metals Co.................................. 1,400 32,812
Commonwealth Bancorp, Inc............................. 2,000 32,437
*Compucom Systems, Inc................................ 3,800 15,319
*CompUSA, Inc......................................... 9,600 77,400
*Consolidated Freightways Corp........................ 1,200 15,975
Consolidated Papers, Inc.............................. 8,000 222,000
*#ContiFinancial Corp................................. 5,900 42,037
*Corn Products International, Inc..................... 4,400 129,800
*Corporate Express, Inc............................... 10,800 70,706
*Cort Business Services Corp.......................... 1,000 24,187
Countrywide Credit Industries, Inc.................... 10,100 415,362
*Coventry Health Care, Inc............................ 5,000 66,562
*#Credit Acceptance Corp.............................. 4,600 27,456
Cross Timbers Oil Co.................................. 4,200 45,412
Crown Cork & Seal Co., Inc............................ 11,000 345,125
#Cummins Engine Co., Inc.............................. 4,700 237,937
*Cypress Semiconductor Corp........................... 9,100 101,237
Cyprus Amax Minerals Co., Inc......................... 11,100 139,444
*DVI, Inc............................................. 1,000 15,562
Dain Rauscher Corp.................................... 1,000 52,062
Daniel Industries, Inc................................ 1,000 21,000
*Delphi Automotive Systems Corp....................... 24,812 486,936
*Delphi Financial Group, Inc. Class A................. 1,632 56,610
Deltic Timber Corp.................................... 1,000 24,875
Detroit Diesel Corp................................... 1,700 42,181
Devon Energy Corp..................................... 2,400 83,400
Dillards, Inc. Class A................................ 11,800 414,475
Dime Community Bancorp, Inc........................... 1,000 22,156
Dimon, Inc............................................ 6,400 33,600
*Discount Auto Parts, Inc............................. 300 7,425
Downey Financial Corp................................. 2,500 55,000
*Dress Barn, Inc...................................... 1,500 22,078
*Dura Automotive Systems, Inc......................... 349 10,339
ENSCO International, Inc.............................. 12,800 227,200
*Eagle Geophysical, Inc............................... 115 385
Earthgrains Co........................................ 5,500 128,906
*Electro Rent Corp.................................... 800 10,075
*Electroglas, Inc..................................... 1,600 22,800
Energen Corp.......................................... 2,800 53,550
Enesco Group, Inc..................................... 3,000 68,812
Enhance Financial Services Group, Inc................. 4,600 89,987
Enron Oil & Gas Corp.................................. 11,800 224,937
*Enserch Exploration Corp............................. 3,200 21,800
*Esterline Technologies Corp.......................... 3,000 44,812
Ethyl Corp............................................ 8,800 44,000
*Evans & Sutherland Computer Corp..................... 1,000 15,781
Everest Reinsurance Holdings, Inc..................... 6,800 223,550
Exide Corp............................................ 1,600 25,000
*Extended Stay America, Inc........................... 11,400 121,125
FBL Financial Group, Inc. Class A..................... 3,000 60,187
*FSI International, Inc............................... 1,200 9,750
*Fairchild Corp. Class A.............................. 1,946 29,068
*Federated Department Stores, Inc..................... 21,500 1,171,750
*Finish Line, Inc. Class A............................ 1,000 12,250
First Citizens Bancshares, Inc. NC.................... 600 48,994
*First Republic Bank.................................. 1,000 26,125
First Washington Bancorp, Inc......................... 1,000 20,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*FirstFed Financial Corp. DE.......................... 3,000 $ 56,625
Fleming Companies, Inc................................ 4,400 45,375
Florida East Coast Industries, Inc.................... 3,900 136,500
*Florida Panthers Holdings, Inc. Class A.............. 3,700 40,237
*Fluor Corp........................................... 3,400 126,650
*Forest Oil Corp...................................... 3,100 32,744
Fortune Brands, Inc................................... 17,000 694,875
Foster Wheeler Corp................................... 4,300 59,125
*Foundation Health Systems, Inc....................... 10,500 187,687
*Franklin Covey Co.................................... 1,200 11,700
*Fritz Companies, Inc................................. 3,000 32,625
Frontier Insurance Group, Inc......................... 3,000 51,562
*Fruit of The Loom, Inc. Class A...................... 6,900 71,156
*Fund American Enterprises Holdings, Inc.............. 1,000 149,000
*General Cigar Holdings, Inc. Class A................. 1,000 8,000
*General Communications, Inc. Class A................. 5,700 28,322
General Motors Corp................................... 35,500 2,449,500
*General Motors Corp. Class H......................... 12,600 691,425
*Genesis Health Ventures, Inc......................... 2,600 11,537
Georgia-Pacific Corp.................................. 6,600 570,487
Glatfelter (P.H.) Co.................................. 4,200 55,912
*Glenayre Technologies, Inc........................... 5,700 20,484
*Golden State Bancorp, Inc............................ 4,600 112,987
#Goodrich (B.F.) Co................................... 6,000 243,000
Grand Premier Financial, Inc.......................... 400 4,737
Great Atlantic & Pacific Tea Co., Inc................. 4,500 147,375
*Grey Wolf, Inc....................................... 18,200 37,537
*Griffon Corp......................................... 2,100 16,800
Guilford Mills, Inc................................... 1,600 16,000
*Gymboree Corp........................................ 3,000 36,656
*HS Resources, Inc.................................... 2,000 24,000
Harbor Florida Bancshares, Inc........................ 3,000 35,906
Hardinge Brothers, Inc................................ 1,000 17,406
Harleysville Group, Inc............................... 2,200 42,625
Harman International Industries, Inc.................. 1,400 62,125
Harnischfeger Industries, Inc......................... 3,600 25,875
*Harris Corp.......................................... 4,100 155,031
Harsco Corp........................................... 2,000 65,250
*Healthsouth Corp..................................... 43,900 587,162
Heilig-Meyers Co...................................... 5,100 35,381
*Helmerich & Payne, Inc............................... 5,900 137,544
*Hexcel Corp.......................................... 3,000 32,062
Hilton Hotels Corp.................................... 31,300 430,375
*Hollywood Park, Inc.................................. 2,800 40,425
*#Homebase, Inc....................................... 2,900 16,494
Host Marriott Corp.................................... 7,100 88,750
*Houston Exploration Co............................... 5,000 94,062
Hughes Supply, Inc.................................... 2,300 61,956
*Humana, Inc.......................................... 18,200 228,638
Hunt (J.B.) Transport Services, Inc................... 4,100 69,444
*Hypercom Corp........................................ 3,600 25,425
*IBP, Inc............................................. 8,500 182,219
IMC Global, Inc....................................... 13,600 284,750
IMCO Recycling, Inc................................... 1,000 16,750
Ikon Office Solutions, Inc............................ 17,600 245,300
*#Imation Corp........................................ 4,300 101,050
*Imperial Credit Industries, Inc...................... 4,200 34,913
Imperial Sugar Co..................................... 2,200 13,338
</TABLE>
134
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Inacom Corp.......................................... 1,600 $ 17,700
*Information Resources, Inc........................... 2,500 21,328
Ingles Market, Inc. Class A........................... 1,400 16,931
*Ingram Micro, Inc.................................... 3,800 110,200
*Input/Output, Inc.................................... 4,300 36,550
Interface, Inc. Class A............................... 4,000 31,250
*Intergraph Corp...................................... 6,100 48,609
*Interim Services, Inc................................ 4,800 104,700
International Paper Co................................ 32,500 1,625,000
*International Rectifier Corp......................... 4,400 47,850
Interpool, Inc........................................ 2,500 31,406
*Ionics, Inc.......................................... 1,200 37,575
JSB Financial, Inc.................................... 1,000 51,250
*#Just for Feet, Inc.................................. 3,800 28,856
Justin Industries, Inc................................ 3,400 45,156
*K Mart Corp.......................................... 40,800 627,300
*Kaiser Aluminum Corp................................. 6,600 57,750
Kaman Corp. Class A................................... 3,000 39,938
Kellwood Co........................................... 1,700 40,375
*Kemet Corp........................................... 5,100 81,919
Kennametal, Inc....................................... 2,600 73,938
*Kent Electronics Corp................................ 1,700 22,206
Kerr-McGee Corp....................................... 4,700 218,550
*Komag, Inc........................................... 5,100 19,284
LNR Property Corp..................................... 3,400 68,000
LTV Corp.............................................. 10,000 61,250
*Lafarge Corp......................................... 7,100 237,406
*Lam Research Corp.................................... 3,000 83,156
Landamerica Financial Group, Inc...................... 3,000 86,063
*Landrys Seafood Restaurants, Inc..................... 3,600 33,300
Lehman Brothers Holdings, Inc......................... 9,800 535,325
Liberty Corp.......................................... 1,000 51,688
Liberty Financial Companies, Inc...................... 7,000 182,875
Life USA Holdings, Inc................................ 1,900 37,941
*Loews Cineplex Entertainment Corp.................... 7,100 67,894
Loews Corp............................................ 1,000 81,313
*Lone Star Steakhouse Saloon.......................... 4,600 46,719
*Lone Star Technologies, Inc.......................... 3,000 46,688
Longview Fibre Co..................................... 5,900 80,019
*Louis Dreyfus Natural Gas Corp....................... 3,700 72,150
*Lubrizol Corp........................................ 4,900 134,750
*Lyondell Chemical Co................................. 8,200 156,313
M.A. Hanna Co......................................... 5,500 81,125
MDC Holdings, Inc..................................... 3,000 59,250
*#MEMC Electronic Materials, Inc...................... 3,200 26,400
*MGM Grand, Inc....................................... 2,000 84,000
MMI Companies, Inc.................................... 2,000 34,500
*MS Carriers, Inc..................................... 1,000 31,813
*Magnetek, Inc........................................ 2,000 20,250
*Mallon Resources Corp................................ 1,000 8,750
Marcus Corp........................................... 1,500 18,844
*Marine Drilling Companies, Inc....................... 4,200 60,375
Mark IV Industries, Inc............................... 5,800 107,300
*Marshall Industries.................................. 1,200 21,150
*Maxxam, Inc.......................................... 500 30,625
*Maxxim Medical, Inc.................................. 3,000 47,625
Mead Corp............................................. 9,000 336,375
*Medaphis Corp........................................ 6,000 29,813
*Metals USA, Inc...................................... 6,000 69,000
*Metrocall, Inc....................................... 2,800 8,181
*Metromedia International Group, Inc.................. 3,100 25,769
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Michael Foods, Inc.................................... 1,000 $ 23,438
*Michaels Stores, Inc................................. 4,200 112,613
Midland Co............................................ 1,000 24,500
Mikasa, Inc........................................... 1,000 11,125
Milacron, Inc......................................... 1,100 23,444
Millennium Chemicals, Inc............................. 8,900 221,944
*Miller Industries, Inc............................... 5,900 28,394
Mine Safety Appliances Co............................. 1,000 63,188
Mississippi Chemical Corp............................. 2,000 19,250
Mitchell Energy & Development Corp. Class A........... 2,000 32,000
Mitchell Energy & Development Corp. Class B........... 2,500 40,313
Murphy Oil Corp....................................... 3,600 176,625
NAC RE Corp........................................... 2,000 109,125
NCH Corp.............................................. 600 32,925
Nacco Industries, Inc. Class A........................ 1,000 74,625
National Presto Industries, Inc....................... 1,000 37,313
*National Semiconductor Corp.......................... 21,500 416,563
National Steel Corp. Class B.......................... 2,700 20,588
*Network Equipment Technologies, Inc.................. 1,600 16,600
*Newpark Resources, Inc............................... 5,500 49,500
*Nine West Group...................................... 2,700 74,925
Noble Affiliates, Inc................................. 6,000 159,000
*Noble Drilling Corp.................................. 11,700 212,063
Norfolk Southern Corp................................. 38,800 1,270,700
*Nuevo Energy Co...................................... 2,100 32,025
*O'Sullivan Industries Holdings, Inc.................. 1,500 24,938
Oakwood Homes Corp.................................... 6,100 76,250
Ocean Financial Corp.................................. 1,600 28,050
*Oceaneering International, Inc....................... 1,500 23,156
*Ocwen Financial Corp................................. 7,200 62,550
*Officemax, Inc....................................... 13,500 155,250
*Offshore Logistics, Inc.............................. 2,600 29,331
Ogden Corp............................................ 5,100 127,181
#Ohio Casualty Corp................................... 3,800 144,519
Old Republic International Corp....................... 15,700 285,544
*Olin Corp............................................ 3,800 50,350
Olsten Corp........................................... 8,200 72,775
*On Command Corp...................................... 1,600 22,350
Oregon Steel Mills, Inc............................... 1,400 19,163
Orion Capital Corp.................................... 3,100 90,481
*Ortel Corp........................................... 3,000 32,250
Overseas Shipholding Group, Inc....................... 3,300 41,250
*Owens-Illinois, Inc.................................. 15,600 475,800
Oxford Industries, Inc................................ 1,000 27,750
PMI Group, Inc........................................ 2,700 157,950
PXRE Corp............................................. 1,000 18,625
Park Electrochemical Corp............................. 1,000 23,938
*Park Place Entertainment Corp........................ 19,900 208,950
*Parker Drilling Co................................... 9,900 30,938
*Paxson Communications Corp........................... 6,600 85,388
*Paymentech, Inc...................................... 2,000 50,125
Penney (J.C.) Co., Inc................................ 26,200 1,354,213
Peoples Bancor........................................ 4,900 50,991
#Pep Boys - Manny, Moe & Jack......................... 6,100 115,138
*Perrigo Co........................................... 5,600 51,275
*Personnel Group of America, Inc...................... 3,000 34,125
*Petco Animal Supplies, Inc........................... 1,800 25,369
#Phelps Dodge Corp.................................... 6,400 331,600
</TABLE>
135
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Phillips-Van Heusen Corp.............................. 3,600 $ 31,500
*Phycor, Inc.......................................... 8,600 60,334
*Physician Reliance Network, Inc...................... 5,200 48,588
*Picturetel Corp...................................... 2,500 22,109
Pillowtex Corp........................................ 2,000 32,500
Pioneer Natural Resources Co.......................... 11,000 119,625
Pioneer Standard Electronics, Inc..................... 3,300 32,278
*#Planet Hollywood, Inc............................... 6,700 5,863
*Polymer Group, Inc................................... 3,700 45,325
*Pool Energy Services Co.............................. 1,100 18,391
Potlatch Corp......................................... 3,200 126,000
Presidential Life Corp................................ 3,600 66,038
*Price Communications Corp............................ 4,062 57,884
*Pride International, Inc............................. 6,500 67,844
*Primark Corp......................................... 1,700 46,006
*Prime Hospitality Corp............................... 6,600 68,888
*Protection One, Inc.................................. 10,800 59,400
*Pulte Corp........................................... 3,800 90,488
Quanex Corp........................................... 1,000 26,125
*Quest Diagnostics, Inc............................... 3,600 92,025
Questar Corp.......................................... 8,200 156,313
*Quorum Health Group, Inc............................. 8,300 104,009
*R & B Falcon Corp.................................... 20,300 187,775
RJR Nabisco Holdings Corp............................. 38,700 1,197,281
RLI Corp.............................................. 1,000 37,188
*#RTI International Metals, Inc....................... 2,100 27,956
*Read-Rite Corp....................................... 2,200 14,438
*Red Roof Inns, Inc................................... 3,200 57,600
Reliance Bancorp, Inc................................. 1,000 27,969
*Reliance Group Holdings, Inc......................... 13,800 137,138
*Rental Service Corp.................................. 3,000 71,625
*Republic Bankshares, Inc............................. 1,000 19,188
Resource America, Inc................................. 1,000 14,406
Resource Bancshares Mortgage Group, Inc............... 2,500 26,016
Reynolds Metals Co.................................... 6,600 351,038
Riggs National Corp................................... 2,300 38,166
Roadway Express, Inc.................................. 3,000 57,938
Rock-Tenn Co. Class A................................. 2,800 42,350
Rollins Truck Leasing Corp............................ 7,400 80,475
Rouge Industries, Inc. Class A........................ 1,000 8,750
*Rowan Companies, Inc................................. 9,600 162,000
Russ Berrie & Co., Inc................................ 1,700 43,669
Russell Corp.......................................... 3,900 91,406
Ryder System, Inc..................................... 8,700 208,800
Ryland Group, Inc..................................... 2,100 58,406
SCPIE Holdings, Inc................................... 1,000 28,500
Safeco Corp........................................... 16,200 712,294
Saint Paul Companies, Inc............................. 27,300 970,856
*Santa Fe Snyder Corp................................. 9,000 76,500
Schulman (A.), Inc.................................... 2,100 35,044
Schweitzer-Maudoit Int'l, Inc......................... 300 4,594
Scotsman Industries, Inc.............................. 1,000 20,563
*Seacor Smit, Inc..................................... 1,000 49,625
*Seitel, Inc.......................................... 1,800 28,463
Selective Insurance Group, Inc........................ 3,200 60,000
*Sensormatic Electronics Corp......................... 8,700 116,363
*Sequa Corp. Class A.................................. 1,000 57,875
*Sequent Computer Systems, Inc........................ 3,800 49,638
Service Corp. International........................... 27,500 527,656
*Service Experts, Inc................................. 3,000 55,688
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sierra Health Services, Inc.......................... 3,000 $ 45,750
*Silicon Valley Group, Inc............................ 3,800 52,488
Smart & Final Food, Inc............................... 2,200 21,038
Smith (A.O.) Corp..................................... 3,000 73,125
Smith (A.O.) Corp. Convertible Class A................ 1,000 24,250
*Sola International, Inc.............................. 1,900 31,706
South Jersey Industries, Inc.......................... 900 25,200
*SpeedFam-IPEC, Inc................................... 1,200 15,675
*Spiegel, Inc. Class A Non-Voting..................... 1,100 8,078
*Sports Authority, Inc................................ 3,300 16,500
Springs Industries, Inc. Class A...................... 1,000 39,625
Standard Pacific Corp. DE............................. 3,400 44,625
Standard Products Co.................................. 1,700 37,931
*Starwood Hotels and Resorts Worldwide, Inc........... 8,000 262,000
Stewart & Stevenson Services, Inc..................... 2,100 23,297
Stewart Information Services Corp..................... 2,000 38,875
Stone & Webster, Inc.................................. 1,000 24,500
*#Sunbeam Corp........................................ 11,700 82,631
*Sunrise Medical, Inc................................. 1,500 12,469
*Tech Data Corp....................................... 5,400 198,619
Tecumseh Products Co. Class A......................... 2,000 131,500
*Tecumseh Products Co. Class B........................ 1,000 59,938
Tektronix, Inc........................................ 3,400 78,838
Telephone & Data Systems, Inc......................... 4,100 275,725
Telxon Corp........................................... 1,100 11,516
Temple-Inland, Inc.................................... 4,200 281,400
*Tenneco, Inc......................................... 19,300 449,931
Terra Industries, Inc................................. 6,700 26,381
*Tesoro Petroleum Corp................................ 4,000 47,250
Texas Industries, Inc................................. 2,600 94,575
*Thermedics, Inc...................................... 3,600 31,050
*#Thermo Bioanalysis Corp............................. 1,000 18,250
*Thermo Ecotek Corp................................... 1,000 10,625
*Thermo Optek Corp.................................... 1,600 16,400
*Thermo-Electron Corp................................. 17,900 342,338
*ThermoQuest Corp..................................... 4,100 52,275
Tidewater, Inc........................................ 6,800 173,825
Timken Co............................................. 7,700 158,331
#Titanium Metals Corp................................. 3,200 22,400
*Toys R Us, Inc....................................... 27,400 631,913
Transamerica Corp..................................... 8,800 645,700
Transocean Offshore, Inc.............................. 9,100 224,088
Travelers Property Casualty Corp...................... 9,400 371,300
*Trex Medical Corp.................................... 3,000 19,313
*Triumph Group........................................ 1,500 45,938
*Tuboscope Vetco International, Inc................... 4,500 60,188
*U.S. Office Products, Co............................. 1,600 8,325
*UMB Financial Corp................................... 2,100 89,119
USX-Marathon Group, Inc............................... 30,500 913,094
USX-US Steel Group.................................... 10,000 269,375
*Ultramar Diamond Shamrock Corp....................... 10,700 235,400
*Unifi, Inc........................................... 6,600 108,900
Unifirst Corp......................................... 1,000 18,000
Union Pacific Corp.................................... 29,500 1,683,344
Union Pacific Resources Group, Inc.................... 30,000 418,125
Unisource Worldwide, Inc.............................. 7,300 85,775
*United States Home Corp.............................. 2,000 69,000
*Unitrin, Inc......................................... 5,400 189,338
*Unova, Inc........................................... 7,500 108,750
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*VLSI Technology, Inc................................. 4,500 $ 94,078
*VWR Scientific Products Corp......................... 1,600 45,700
Valero Energy Corp.................................... 7,900 158,494
Valhi, Inc............................................ 13,500 159,469
*Value City Department Stores, Inc.................... 2,800 26,775
*Venator Group, Inc................................... 14,800 161,875
*Veritas DGC, Inc..................................... 3,000 54,750
*Veterinary Centers of America, Inc................... 500 6,953
Vintage Petroleum, Inc................................ 6,100 68,625
*Vishay Intertechnology, Inc.......................... 7,200 149,850
#WFS Financial, Inc................................... 3,000 35,250
Wabash National Corp.................................. 3,000 57,188
*Wallace Computer Services, Inc....................... 1,900 43,581
Watts Industries, Inc. Class A........................ 2,300 38,956
Webb (Del) Corp....................................... 3,000 67,500
Wellman, Inc.......................................... 3,700 50,413
Wesco Financial Corp.................................. 1,000 324,750
Westcorp, Inc......................................... 3,000 27,938
Westvaco Corp......................................... 11,100 317,044
*Windmere Corp........................................ 1,600 21,000
*Wisconsin Central Transportation Corp................ 5,400 106,988
Witco Corp............................................ 6,100 106,750
*Wolverine Tube, Inc.................................. 2,000 47,625
Wolverine World Wide, Inc............................. 2,500 33,750
*Woodward Governor Co................................. 400 9,988
*World Color Press, Inc............................... 5,000 127,500
Worthington Industries, Inc........................... 10,300 132,291
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Xtra Corp............................................ 2,000 $ 89,000
Yankee Energy Systems, Inc............................ 1,220 38,506
*Yellow Corp.......................................... 3,200 54,400
Zenith National Insurance Corp........................ 2,300 52,325
------------
TOTAL COMMON STOCKS
(Cost $59,800,220)................................... 68,243,461
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.7%)
Repurchase Agreement, PNC Capital Markets Inc.
4.60%, 06/01/99 (Collateralized by U.S. Treasury
Notes 6.25%, 01/31/02, valued at $2,649,600) to
be repurchased at $2,606,331.
(Cost $2,605,000)................................ $ 2,605 2,605,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $62,405,220)++................................. $ 70,848,461
------------
------------
- --------------------
+ 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.
137
<PAGE>
THE U.S. 4-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (96.2%)
AAR Corp.............................................. 21,000 $ 414,750
*ACX Technologies, Inc................................ 31,100 386,806
AK Steel Holding Corp................................. 99,700 2,392,800
AVX Corp.............................................. 31,000 633,562
#Aames Financial Corp................................. 13,000 18,687
*Acceptance Insurance Companies, Inc.................. 23,600 370,225
*Advanced Micro Devices, Inc.......................... 30,000 555,000
#Advanta Corp. Class A................................ 14,587 252,993
Advanta Corp. Class B Non-Voting...................... 32,227 452,185
Agco Corp............................................. 59,700 694,012
*Agribrands International, Inc........................ 4,200 146,737
*Airgas, Inc.......................................... 54,000 617,625
*Alaska Air Group, Inc................................ 25,700 1,066,550
Albemarle Corp........................................ 19,200 430,800
Alexander & Baldwin, Inc.............................. 49,500 1,119,937
Alfa Corp............................................. 4,400 74,662
*Allegheny Corp....................................... 6,426 1,163,106
*Allen Telecom, Inc................................... 18,200 189,962
Alliance Bancorp...................................... 3,400 82,981
*Alliance Semiconductor Corp.......................... 18,700 89,409
Amcol International Corp.............................. 800 11,350
*Amerco, Inc.......................................... 11,700 289,575
*America West Holdings Corp. Class B.................. 57,400 1,119,300
American Annuity Group, Inc........................... 18,200 427,700
American Business Products, Inc....................... 9,600 153,000
American Financial Group, Inc......................... 6,900 232,875
*American Freightways Corp............................ 48,700 853,772
*American Greetings Corp. Class A..................... 14,200 406,475
*American Homepatient, Inc............................ 7,000 13,891
American Medical Security Group, Inc.................. 5,900 54,944
*American Oncology Resources, Inc..................... 37,600 381,875
*Amerin Corp.......................................... 10,700 286,894
Amerus Life Holdings, Inc. Class A.................... 23,900 616,919
*Amresco, Inc......................................... 41,600 283,400
*Anicom, Inc.......................................... 19,400 178,844
*Anixter International, Inc........................... 31,500 557,156
*Ann Taylor Stores Corp............................... 10,000 431,875
*Antec Corp........................................... 2,100 61,491
*Applied Graphics Technologies, Inc................... 9,000 97,594
Applied Industrial Technologies, Inc.................. 22,800 386,175
*#Applied Magnetics Corp.............................. 17,300 51,900
*Apria Healthcare Group, Inc.......................... 24,200 499,125
*#Arcadia Financial, Ltd.............................. 28,000 208,250
*Arch Chemicals, Inc.................................. 4,150 95,709
Arch Coal, Inc........................................ 26,500 387,562
Arctic Cat, Inc....................................... 14,900 124,787
Argonaut Group, Inc................................... 30,500 817,781
*Armco, Inc........................................... 49,200 316,725
Arnold Industries, Inc................................ 30,000 496,875
*Arrow Electronics, Inc............................... 75,000 1,303,125
Asarco, Inc........................................... 52,100 836,856
*Ascent Entertainment Group, Inc...................... 26,400 301,950
*Associated Group, Inc. Class A....................... 22,500 1,459,687
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Avado Brands, Inc..................................... 15,200 $ 137,987
Avnet, Inc............................................ 37,500 1,633,594
*Avondale Industries, Inc............................. 4,800 175,200
*Aztar Corp........................................... 40,100 270,675
*BJ Services, Co...................................... 95,100 2,621,194
Baldwin & Lyons, Inc. Class B......................... 5,900 123,347
*BancTec, Inc......................................... 19,600 316,050
Bancwest Corp......................................... 14,900 566,200
Bandag, Inc........................................... 7,300 251,394
Bandag, Inc........................................... 12,700 363,537
*Bank United Financial Corp. Class A.................. 100 902
BankAtlantic Bancorp, Inc. Class B.................... 7,900 62,953
Bassett Furniture Industries, Inc..................... 11,700 278,241
Battle Mountain Gold Co............................... 104,800 255,450
Bay View Capital Corp................................. 24,800 446,400
*Belco Oil & Gas Corp................................. 8,500 67,469
*Benton Oil & Gas Co.................................. 13,800 48,300
*Bergen Brunswig Corp. Class A........................ 16,390 360,580
Berkley (W.R.) Corp................................... 31,100 793,050
*Berlitz International, Inc........................... 7,700 164,106
*Bethlehem Steel Corp................................. 154,300 1,282,619
*Beverly Enterprises.................................. 108,000 783,000
Bindley Western Industries, Inc....................... 3,200 96,400
*Bio-Rad Laboratories, Inc. Class A................... 6,700 188,856
Birmingham Steel Corp................................. 37,300 191,162
Blair Corp............................................ 6,900 118,594
Block Drug Co., Inc. Class A.......................... 9,989 370,842
Bob Evans Farms, Inc.................................. 13,300 256,441
Boise Cascade Corp.................................... 50,900 2,016,912
*Boise Cascade Office Products Corp................... 17,300 206,519
*Bombay Co., Inc...................................... 52,300 320,337
Borg Warner Automotive, Inc........................... 14,700 814,931
*#Boston Chicken, Inc................................. 33,500 20,100
Bowater, Inc.......................................... 28,400 1,462,600
Bowne & Co., Inc...................................... 10,100 169,175
*Boyd Gaming Corp..................................... 41,100 244,031
*Brown (Tom), Inc..................................... 32,200 417,594
Brown Shoe Company, Inc............................... 13,400 254,600
Brunswick Corp........................................ 86,300 2,071,200
Brush Wellman, Inc.................................... 23,500 398,031
*Budget Group, Inc.................................... 32,100 429,337
*Buffets, Inc......................................... 3,000 31,500
Burlington Coat Factory Warehouse Corp................ 50,800 857,250
*Burlington Industries, Inc........................... 59,100 579,919
Butler Manufacturing Co............................... 3,600 101,250
*CBRL Group, Inc...................................... 23,000 397,469
*CHS Electronics, Inc................................. 10,000 44,375
*CSS Industries, Inc.................................. 5,200 140,400
*Cabletron Systems, Inc............................... 34,000 505,750
Calgon Carbon Corp.................................... 26,000 147,875
*Canandaigua Wine Co., Inc. Class A................... 4,600 228,850
*Canandaigua Wine Co., Inc. Class B................... 600 31,200
Capital Re Corp....................................... 32,000 522,000
Capitol Transamerica Corp............................. 100 1,503
*#Caribiner International, Inc........................ 13,600 73,100
*Carmike Cinemas, Inc. Class A........................ 7,200 126,450
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Carpenter Technology Corp............................. 24,200 $ 689,700
Carter-Wallace, Inc................................... 17,700 319,706
Case Corp............................................. 70,100 3,294,700
*Castle & Cooke, Inc.................................. 23,000 359,375
*Central Garden & Pet Co.............................. 30,200 410,531
Century Aluminum Co................................... 11,400 73,744
*Charming Shoppes, Inc................................ 110,400 557,175
Chartwell Re Corp..................................... 7,100 111,381
*Checkpoint System, Inc............................... 20,800 189,800
Chemed Corp........................................... 6,000 194,625
Chemical Financial Corp............................... 125 3,812
Chesapeake Corp....................................... 6,600 238,012
#Chesapeake Energy Corp............................... 44,000 93,500
Chiquita Brands International, Inc.................... 100,300 808,669
*Chris-Craft Industries, Inc.......................... 30,252 1,395,373
Circle International, Inc............................. 4,800 98,400
*Circus Circus Enterprises, Inc....................... 121,500 2,566,687
*Cirrus Logic, Inc.................................... 46,200 350,831
*Citation Corp........................................ 12,100 161,459
Cleveland Cliffs, Inc................................. 17,400 643,800
*#Coeur d'Alene Mines Corp. ID........................ 10,300 43,131
*Coherent, Inc........................................ 22,000 356,125
Columbus McKinnon Corp................................ 1,700 42,447
*Commerce Group, Inc.................................. 19,600 454,475
Commercial Metals Co.................................. 16,400 384,375
Commonwealth Bancorp, Inc............................. 20,900 338,972
Commonwealth Industries, Inc.......................... 7,500 81,328
Community Trust Bancorp, Inc.......................... 3,300 75,694
*Compucom Systems, Inc................................ 22,900 92,316
*CompUSA, Inc......................................... 19,400 156,412
Comsat Corp. Series 1................................. 5,100 166,387
*Consolidated Freightways Corp........................ 27,100 360,769
Consolidated Papers, Inc.............................. 19,300 535,575
*#ContiFinancial Corp................................. 53,200 379,050
Cooper Tire & Rubber Co............................... 82,200 1,952,250
*Corn Products International, Inc..................... 22,900 675,550
*Corporate Express, Inc............................... 93,800 614,097
*Cort Business Services Corp.......................... 20,000 483,750
Corus Bankshares, Inc................................. 2,500 79,687
*Coventry Health Care, Inc............................ 15,000 199,687
*#Credit Acceptance Corp.............................. 37,000 220,844
Cross Timbers Oil Co.................................. 18,700 202,194
Cubic Corp............................................ 2,900 69,962
#Cummins Engine Co., Inc.............................. 56,000 2,835,000
Curtiss-Wright Corp................................... 3,500 134,312
*Cypress Semiconductor Corp........................... 42,600 473,925
Cyprus Amax Minerals Co., Inc......................... 123,500 1,551,469
DT Industries, Inc.................................... 3,100 29,741
*DVI, Inc............................................. 5,700 88,706
Dain Rauscher Corp.................................... 8,000 416,500
*Delphi Financial Group, Inc. Class A................. 9,696 336,362
Deltic Timber Corp.................................... 1,700 42,287
Detroit Diesel Corp................................... 19,800 491,287
Devon Energy Corp..................................... 24,800 861,800
*#Diamond Multimedia Systems, Inc..................... 21,400 94,628
Dime Community Bancorp, Inc........................... 9,500 210,484
Dimon, Inc............................................ 62,100 326,025
*Discount Auto Parts, Inc............................. 16,200 400,950
*Dollar Thrifty Automotive Group, Inc................. 1,000 21,250
Downey Financial Corp................................. 14,700 323,400
*Dress Barn, Inc...................................... 20,100 295,847
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*Dura Automotive Systems, Inc......................... 3,350 $ 99,244
ENSCO International, Inc.............................. 129,200 2,293,300
*Eagle Geophysical, Inc............................... 1,318 4,388
Earthgrains Co........................................ 9,100 213,281
*Electric Lightwave, Inc.............................. 3,000 35,625
*Electroglas, Inc..................................... 17,900 255,075
Energen Corp.......................................... 11,400 218,025
Enesco Group, Inc..................................... 2,000 45,875
Enhance Financial Services Group, Inc................. 28,200 551,662
*Enserch Exploration Corp............................. 35,433 241,387
Ethyl Corp............................................ 36,200 181,000
*Evans & Sutherland Computer Corp..................... 4,300 67,859
Everest Reinsurance Holdings, Inc..................... 64,300 2,113,862
Exide Corp............................................ 25,120 392,500
*Extended Stay America, Inc........................... 105,400 1,119,875
FBL Financial Group, Inc. Class A..................... 19,000 381,187
*FSI International, Inc............................... 13,600 110,500
*Fairchild Corp. Class A.............................. 29,136 435,219
*Family Golf Centers, Inc............................. 10,000 90,469
Farmer Brothers Co.................................... 1,000 206,000
Financial Security Assurance Holdings, Ltd............ 14,200 805,850
*Finish Line, Inc. Class A............................ 17,900 219,275
First Citizens Bancshares, Inc. NC.................... 5,800 473,606
*First Republic Bank.................................. 4,100 107,112
First Washington Bancorp, Inc......................... 10,170 204,671
*FirstFed Financial Corp. DE.......................... 4,500 84,937
*Fisher Scientific, International, Inc................ 13,000 263,250
Fleming Companies, Inc................................ 54,300 559,969
Florida East Coast Industries, Inc.................... 24,100 843,500
*Florida Panthers Holdings, Inc. Class A.............. 40,400 439,350
Florida Rock Industries, Inc.......................... 12,800 510,400
*Forest Oil Corp...................................... 30,100 317,931
Foster Wheeler Corp................................... 62,800 863,500
*Foundation Health Systems, Inc....................... 17,000 303,875
*Franklin Covey Co.................................... 17,200 167,700
Friedmans, Inc. Class A............................... 6,100 55,281
*Fritz Companies, Inc................................. 23,400 254,475
Frontier Insurance Group, Inc......................... 32,500 558,594
*Fruit of The Loom, Inc. Class A...................... 10,000 103,125
*Fund American Enterprises Holdings, Inc.............. 4,600 685,400
GATX Corp............................................. 8,100 314,381
*GC Companies, Inc.................................... 6,900 249,262
*General Cigar Holdings, Inc. Class A................. 9,400 75,200
*General Communications, Inc. Class A................. 31,500 156,516
*General Semiconductor, Inc........................... 8,500 65,875
*Genesis Health Ventures, Inc......................... 41,800 185,487
Geon Co............................................... 10,900 328,362
Gerber Scientific, Inc................................ 1,000 23,375
Gibraltar Steel Corp.................................. 4,400 96,250
*Gibson Greetings, Inc................................ 20,700 151,369
Glatfelter (P.H.) Co.................................. 47,700 635,006
Gleason Corp.......................................... 7,500 125,625
*Glenayre Technologies, Inc........................... 59,600 214,187
*Global Industrial Technologies, Inc.................. 19,600 243,775
*Golden State Bancorp, Inc............................ 4,400 108,075
Granite Construction, Inc............................. 22,800 639,825
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Great Atlantic & Pacific Tea Co., Inc................. 42,400 $ 1,388,600
*Grey Wolf, Inc....................................... 38,000 78,375
*Griffon Corp......................................... 19,500 156,000
Guarantee Life Companies, Inc......................... 3,600 71,325
Guilford Mills, Inc................................... 19,450 194,500
*Gymboree Corp........................................ 3,800 46,431
*HS Resources, Inc.................................... 11,700 140,400
*Hadco Corp........................................... 6,300 195,694
*Handleman Co......................................... 40,700 480,769
Harbor Florida Bancshares, Inc........................ 3,500 41,891
Hardinge Brothers, Inc................................ 4,600 80,069
Harleysville Group, Inc............................... 28,700 556,062
Harman International Industries, Inc.................. 17,300 767,687
Harnischfeger Industries, Inc......................... 57,400 412,562
*Hartmarx Corp........................................ 47,500 234,531
Heilig-Meyers Co...................................... 53,200 369,075
*Helmerich & Payne, Inc............................... 62,300 1,452,369
*Hexcel Corp.......................................... 14,700 157,106
*Highlands Insurance Group, Inc....................... 6,100 65,194
Hollinger International, Inc. Class A................. 13,000 180,375
*Hollywood Entertainment Corp......................... 34,800 900,450
*Hollywood Park, Inc.................................. 19,400 280,087
*#Homebase, Inc....................................... 38,400 218,400
*Homestead Village, Inc............................... 24,900 73,144
*Houston Exploration Co............................... 29,500 554,969
*Hovnanian Enterprises, Inc. Class A.................. 800 6,500
Hughes Supply, Inc.................................... 15,400 414,837
Hunt (J.B.) Transport Services, Inc................... 24,000 406,500
*Hutchinson Technology, Inc........................... 3,400 78,944
*Hypercom Corp........................................ 8,600 60,737
*IBP, Inc............................................. 43,400 930,387
*IDT Corp............................................. 5,000 110,469
*IMC Mortgage Co...................................... 7,300 967
IMCO Recycling, Inc................................... 9,100 152,425
*IVAX Corp............................................ 2,700 36,281
Ikon Office Solutions, Inc............................ 108,600 1,513,612
*#Imation Corp........................................ 62,100 1,459,350
*Imperial Credit Industries, Inc...................... 30,900 256,856
Imperial Sugar Co..................................... 10,300 62,444
*Inacom Corp.......................................... 24,500 271,031
*Information Resources, Inc........................... 35,700 304,566
Ingles Market, Inc. Class A........................... 7,600 91,912
*Input/Output, Inc.................................... 45,000 382,500
*Integrated Device Technology, Inc.................... 83,700 661,753
*Integrated Health Services, Inc...................... 46,400 272,600
Interface, Inc. Class A............................... 22,500 175,781
*Intergraph Corp...................................... 73,600 586,500
*Interim Services, Inc................................ 41,600 907,400
International Multifoods Corp......................... 14,300 314,600
*International Rectifier Corp......................... 46,300 503,512
*International Speciality Products, Inc............... 63,000 590,625
Interpool, Inc........................................ 23,800 298,987
*Ionics, Inc.......................................... 11,200 350,700
*JDA Software Group, Inc.............................. 1,500 13,406
*JLK Direct Distribution, Inc. Class A................ 2,500 27,500
JSB Financial, Inc.................................... 7,000 358,750
*#Just for Feet, Inc.................................. 18,700 142,003
Justin Industries, Inc................................ 22,300 296,172
K2, Inc............................................... 7,800 77,512
KCS Energy, Inc....................................... 13,800 7,762
*Kaiser Aluminum Corp................................. 75,500 660,625
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Kaman Corp. Class A................................... 15,800 $ 210,337
Kellwood Co........................................... 15,900 377,625
*Kemet Corp........................................... 25,400 407,987
Kennametal, Inc....................................... 24,600 699,562
*Kent Electronics Corp................................ 27,700 361,831
Kerr-McGee Corp....................................... 28,700 1,334,550
Kimball International, Inc. Class B................... 16,900 303,144
*Komag, Inc........................................... 46,000 173,937
*Kulicke & Soffa Industries, Inc...................... 18,100 381,231
LNR Property Corp..................................... 16,600 332,000
LTV Corp.............................................. 163,600 1,002,050
*Laboratory Corp. of America Holdings, Inc............ 28,700 71,750
*Lafarge Corp......................................... 24,400 815,875
*Lakes Gaming, Inc.................................... 8,475 99,052
*Lam Research Corp.................................... 43,000 1,191,906
Landamerica Financial Group, Inc...................... 7,400 212,287
*Landrys Seafood Restaurants, Inc..................... 26,400 244,200
*Lattice Semiconductor Corp........................... 9,400 461,775
Lawson Products, Inc.................................. 6,000 149,250
Lennar Corp........................................... 2,200 49,775
Liberty Corp.......................................... 19,300 997,569
Liberty Financial Companies, Inc...................... 55,700 1,455,162
Life USA Holdings, Inc................................ 34,100 680,934
*Lodgian, Inc......................................... 8,600 60,200
*Loews Cineplex Entertainment Corp.................... 10,000 95,625
*Lone Star Steakhouse Saloon.......................... 39,100 397,109
*Lone Star Technologies, Inc.......................... 18,000 280,125
Longs Drug Stores Corp................................ 12,800 445,600
Longview Fibre Co..................................... 53,400 724,237
*Louis Dreyfus Natural Gas Corp....................... 40,900 797,550
Louisiana-Pacific Corp................................ 50,100 1,014,525
*Lubrizol Corp........................................ 32,500 893,750
Luby's Cafeterias, Inc................................ 20,500 348,500
*Lyondell Chemical Co................................. 26,400 503,250
M.A. Hanna Co......................................... 46,200 681,450
MDC Holdings, Inc..................................... 13,000 256,750
*#MEMC Electronic Materials, Inc...................... 35,000 288,750
MMI Companies, Inc.................................... 15,600 269,100
*MRV Communications, Inc.............................. 2,000 23,375
*MS Carriers, Inc..................................... 8,800 279,950
*Magnetek, Inc........................................ 24,500 248,062
Mallinckrodt, Inc..................................... 48,600 1,682,775
Marcus Corp........................................... 16,300 204,769
*Marine Drilling Companies, Inc....................... 5,000 71,875
*Marine Transport Corp................................ 2,020 8,648
*Mariner Post-Acute Network, Inc...................... 13,800 31,050
Mark IV Industries, Inc............................... 56,000 1,036,000
*Marshall Industries.................................. 19,200 338,400
*Maxxam, Inc.......................................... 6,200 379,750
*Maxxim Medical, Inc.................................. 9,800 155,575
*Medaphis Corp........................................ 74,100 368,184
Media General, Inc. Class A........................... 4,200 216,825
*Mesa Air Group, Inc.................................. 13,300 87,697
*#Metal Management, Inc............................... 11,000 20,281
*Metals USA, Inc...................................... 21,100 242,650
*Metrocall, Inc....................................... 19,000 55,516
*Metromedia International Group, Inc.................. 71,000 590,187
Michael Foods, Inc.................................... 4,500 105,469
*Michaels Stores, Inc................................. 43,600 1,169,025
*Micro Warehouse, Inc................................. 11,600 180,162
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*Microage, Inc........................................ 14,300 $ 79,991
*Mid Atlantic Medical Services, Inc................... 37,300 386,987
Midland Co............................................ 7,600 186,200
Mikasa, Inc........................................... 11,300 125,712
Milacron, Inc......................................... 17,600 375,100
Millennium Chemicals, Inc............................. 50,100 1,249,369
*Miller Industries, Inc............................... 33,300 160,256
Mine Safety Appliances Co............................. 3,600 227,475
Mississippi Chemical Corp............................. 29,640 285,285
Mitchell Energy & Development Corp. Class A........... 26,100 417,600
Mitchell Energy & Development Corp. Class B........... 19,500 314,438
*Mondavi (Robert) Corp. Class A....................... 1,300 43,916
*Morrison Knudsen Corp................................ 16,400 162,975
Movado Group, Inc..................................... 1,500 36,188
Murphy Oil Corp....................................... 12,000 588,750
*N & F Worldwide Corp................................. 17,200 133,300
NAC RE Corp........................................... 17,000 927,563
NCH Corp.............................................. 7,700 422,538
*#NCS Healthcare, Inc................................. 10,300 140,338
*NS Group, Inc........................................ 8,700 61,988
Nacco Industries, Inc. Class A........................ 2,600 194,025
National Presto Industries, Inc....................... 5,400 201,488
*National Processing, Inc............................. 17,600 105,600
*National Semiconductor Corp.......................... 107,300 2,078,938
National Steel Corp. Class B.......................... 34,575 263,634
Nelson (Thomas), Inc.................................. 2,700 26,494
*Network Equipment Technologies, Inc.................. 23,500 243,813
New Jersey Resources Corp............................. 3,900 147,225
*Newpark Resources, Inc............................... 26,000 234,000
*Nine West Group...................................... 35,100 974,025
Noble Affiliates, Inc................................. 32,000 848,000
*Nortek, Inc.......................................... 1,800 55,125
*Novacare, Inc........................................ 65,900 140,038
*Nuevo Energy Co...................................... 31,400 478,850
*OMI Corp............................................. 42,500 111,563
*Oak Technology, Inc.................................. 21,700 75,611
Oakwood Homes Corp.................................... 10,000 125,000
Ocean Financial Corp.................................. 13,900 243,684
*Oceaneering International, Inc....................... 18,000 277,875
*Ocwen Financial Corp................................. 500 4,344
*Officemax, Inc....................................... 203,200 2,336,800
*Offshore Logistics, Inc.............................. 21,400 241,419
Ogden Corp............................................ 39,800 992,513
#Ohio Casualty Corp................................... 44,800 1,703,800
*Olin Corp............................................ 21,300 282,225
Olsten Corp........................................... 62,100 551,138
*On Command Corp...................................... 17,100 238,866
Oregon Steel Mills, Inc............................... 33,800 462,638
Orion Capital Corp.................................... 23,300 680,069
Oshkosh Truck Corp. Class B........................... 5,700 225,506
Overseas Shipholding Group, Inc....................... 30,200 377,500
Oxford Industries, Inc................................ 3,600 99,900
PMI Group, Inc........................................ 14,300 836,550
PXRE Corp............................................. 10,200 189,975
Pacific Century Financial Corp........................ 99,700 1,994,000
Park Electrochemical Corp............................. 6,500 155,594
*Park Place Entertainment Corp........................ 33,900 355,950
*Parker Drilling Co................................... 97,500 304,688
<CAPTION>
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*Patterson Energy, Inc................................ 5,800 $ 48,122
*Paxson Communications Corp........................... 24,600 318,263
*Paymentech, Inc...................................... 20,800 521,300
*Penn Treaty American Corp............................ 3,000 75,563
Penn Virginia Corp.................................... 4,400 85,250
#Penncorp Financial Group, Inc........................ 13,700 7,706
*Pennzenergy Co....................................... 41,600 642,200
Penzoil Quaker State Co............................... 53,436 741,425
Peoples Bancor........................................ 29,100 302,822
#Pep Boys - Manny, Moe & Jack......................... 72,400 1,366,550
*Perrigo Co........................................... 61,000 558,531
*Personnel Group of America, Inc...................... 13,000 147,875
*Petco Animal Supplies, Inc........................... 9,500 133,891
Phillips-Van Heusen Corp.............................. 28,200 246,750
Phoenix Investment Partners, Ltd...................... 41,100 403,294
*Phycor, Inc.......................................... 93,300 654,558
*Phymatrix Corp....................................... 7,100 11,648
*Physician Reliance Network, Inc...................... 29,900 279,378
*Picturetel Corp...................................... 54,700 483,753
Pillowtex Corp........................................ 9,300 151,125
Pioneer Natural Resources Co.......................... 113,300 1,232,138
Pioneer Standard Electronics, Inc..................... 25,700 251,378
Pittston Co. Burlington Group......................... 13,800 149,213
*#Planet Hollywood, Inc............................... 40,300 35,263
*Players International, Inc........................... 10,000 65,313
*Polymer Group, Inc................................... 39,200 480,200
*Pool Energy Services Co.............................. 23,300 389,547
Potlatch Corp......................................... 23,900 941,063
Presidential Life Corp................................ 25,000 458,594
*Price Communications Corp............................ 43,593 621,200
*Pride International, Inc............................. 33,300 347,569
*Primark Corp......................................... 26,100 706,331
*Prime Hospitality Corp............................... 46,100 481,169
*Priority Healthcare Corp............................. 2,149 73,738
*Procurenet, Inc...................................... 13,000 0
*Protection One, Inc.................................. 5,500 30,250
*Pulte Corp........................................... 50,300 1,197,769
Quanex Corp........................................... 12,800 334,400
*Quest Diagnostics, Inc............................... 28,400 725,975
Questar Corp.......................................... 35,100 669,094
RLI Corp.............................................. 10,450 388,609
*Rainforest Cafe, Inc................................. 10,000 54,063
#Range Resources Corp................................. 9,600 46,200
Rayonier, Inc......................................... 28,100 1,310,163
*Read-Rite Corp....................................... 44,600 292,688
*Red Roof Inns, Inc................................... 14,900 268,200
Reliance Bancorp, Inc................................. 3,200 89,500
*Reliance Group Holdings, Inc......................... 138,800 1,379,325
*Rental Service Corp.................................. 5,100 121,763
Resource America, Inc................................. 7,600 109,488
Resource Bancshares Mortgage Group, Inc............... 30,200 314,269
Riggs National Corp................................... 31,600 524,363
Roadway Express, Inc.................................. 4,100 79,181
Rock-Tenn Co. Class A................................. 18,600 281,325
Rollins Truck Leasing Corp............................ 32,950 358,331
Rouge Industries, Inc. Class A........................ 9,550 83,563
*Rowan Companies, Inc................................. 63,500 1,071,563
Russ Berrie & Co., Inc................................ 7,600 195,225
Russell Corp.......................................... 37,300 874,219
*Ryans Family Steak Houses, Inc....................... 19,200 222,000
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Ryder System, Inc..................................... 55,500 $ 1,332,000
Ryerson Tull, Inc..................................... 18,718 430,514
Ryland Group, Inc..................................... 14,500 403,281
*S3, Inc.............................................. 26,800 180,063
SCPIE Holdings, Inc................................... 6,600 188,100
*Santa Fe Snyder Corp................................. 50,700 430,950
Schnitzer Steel Industries, Inc. Class A.............. 1,000 15,125
*Scholastic Corp...................................... 500 24,297
Schulman (A.), Inc.................................... 12,700 211,931
Schweitzer-Maudoit Int'l, Inc......................... 8,700 133,219
Scotsman Industries, Inc.............................. 3,600 74,025
Seaboard Corp......................................... 450 117,000
*Seacor Smit, Inc..................................... 15,400 764,225
*Seitel, Inc.......................................... 20,500 324,156
Selective Insurance Group, Inc........................ 31,600 592,500
*Sensormatic Electronics Corp......................... 88,500 1,183,688
*Sequa Corp. Class A.................................. 8,400 486,150
*Sequa Corp. Class B.................................. 3,000 210,750
*Sequent Computer Systems, Inc........................ 69,200 903,925
*Service Experts, Inc................................. 15,000 278,438
*Shiloh Industries, Inc............................... 7,300 90,566
*Shopko Stores, Inc................................... 12,100 429,550
*Sierra Health Services, Inc.......................... 6,500 99,125
*Silicon Graphics, Inc................................ 83,900 1,038,263
*Silicon Valley Group, Inc............................ 36,600 505,538
Simpson Industries, Inc............................... 5,200 52,325
Skyline Corp.......................................... 3,200 99,800
Smart & Final Food, Inc............................... 16,700 159,694
Smith (A.O.) Corp..................................... 13,450 327,844
Smith (A.O.) Corp. Convertible Class A................ 4,400 106,700
*Sola International, Inc.............................. 23,900 398,831
South Jersey Industries, Inc.......................... 7,200 201,600
*#Southern Pacific Funding Corp....................... 3,600 396
Southwestern Energy Co................................ 20,000 188,750
*SpeedFam-IPEC, Inc................................... 17,500 228,594
*Spiegel, Inc. Class A Non-Voting..................... 17,500 128,516
*Sports Authority, Inc................................ 14,800 74,000
Springs Industries, Inc. Class A...................... 11,100 439,838
St. Joe Corp.......................................... 5,500 150,219
St. Mary Land & Exploration Co........................ 4,400 87,175
Standard Motor Products, Inc. Class A................. 4,800 114,300
Standard Pacific Corp. DE............................. 25,000 328,125
Standard Products Co.................................. 18,400 410,550
Starrett (L.S.) Co. Class A........................... 3,000 81,563
Stepan Co............................................. 4,000 98,750
Stewart & Stevenson Services, Inc..................... 32,100 356,109
Stewart Information Services Corp..................... 4,400 85,525
Stone & Webster, Inc.................................. 14,000 343,000
Stride Rite Corp...................................... 6,000 62,625
*#Sun Healthcare Group, Inc........................... 67,400 75,825
*#Sunbeam Corp........................................ 31,500 222,469
*Sunrise Medical, Inc................................. 20,000 166,250
*Swift Energy Corp.................................... 5,700 73,744
*Sybase, Inc.......................................... 43,400 421,794
*Syms Corp............................................ 4,100 32,544
TJ International, Inc................................. 9,000 244,125
Talbots, Inc.......................................... 15,400 488,950
*Tech Data Corp....................................... 10,900 400,916
<CAPTION>
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Tecumseh Products Co. Class A......................... 24,000 $ 1,578,000
*Tecumseh Products Co. Class B........................ 4,400 263,725
Tektronix, Inc........................................ 31,400 728,088
Telxon Corp........................................... 5,900 61,766
Terra Industries, Inc................................. 122,800 483,525
*Tesoro Petroleum Corp................................ 55,400 654,413
Texas Industries, Inc................................. 17,800 647,475
The Dexter Corp....................................... 4,000 155,000
*Thermedics, Inc...................................... 20,200 174,225
*Thermo Ecotek Corp................................... 6,800 72,250
*Thermo-Electron Corp................................. 91,000 1,740,375
*ThermoQuest Corp..................................... 3,000 38,250
Tidewater, Inc........................................ 56,900 1,454,506
Timken Co............................................. 66,800 1,373,575
Titan International, Inc.............................. 15,800 148,125
#Titanium Metals Corp................................. 40,500 283,500
Toro Co............................................... 14,200 476,588
Tremont Corp. DE...................................... 5,200 101,400
*Triumph Group........................................ 7,000 214,375
*Trump Hotels & Casino Resorts, Inc................... 4,500 23,906
*Tuboscope Vetco International, Inc................... 33,000 441,375
U.S. Freightways Corp................................. 7,900 311,803
*U.S. Office Products, Co............................. 18,000 93,656
*UICI................................................. 18,100 434,400
*UMB Financial Corp................................... 16,400 695,975
USX-US Steel Group.................................... 56,200 1,513,888
*Ultramar Diamond Shamrock Corp....................... 18,900 415,800
*Ultratech Stepper, Inc............................... 26,800 350,075
*Unifi, Inc........................................... 17,300 285,450
Unifirst Corp......................................... 9,800 176,400
Unisource Worldwide, Inc.............................. 65,900 774,325
#United Companies Financial Corp...................... 35,500 3,905
*United States Home Corp.............................. 15,800 545,100
United Wisconsin Services, Inc........................ 5,900 40,563
*Unova, Inc........................................... 78,000 1,131,000
*VLSI Technology, Inc................................. 46,800 978,413
*VWR Scientific Products Corp......................... 3,300 94,256
Valero Energy Corp.................................... 53,100 1,065,319
Valhi, Inc............................................ 72,800 859,950
Valmont Industries, Inc............................... 2,000 32,750
*Value City Department Stores, Inc.................... 23,700 226,631
*Venator Group, Inc................................... 198,000 2,165,625
*Vencor, Inc.......................................... 29,000 19,938
*Veritas DGC, Inc..................................... 10,300 187,975
Vermont Financial Services Corp....................... 4,700 147,169
*Veterinary Centers of America, Inc................... 7,000 97,344
Vintage Petroleum, Inc................................ 65,700 739,125
*Vishay Intertechnology, Inc.......................... 59,325 1,234,702
*Volt Information Sciences, Inc....................... 1,400 24,150
#WFS Financial, Inc................................... 13,100 153,925
*#WHX Corp............................................ 7,200 54,000
Wabash National Corp.................................. 12,000 228,750
*Wallace Computer Services, Inc....................... 7,500 172,031
Washington Federal, Inc............................... 10,010 225,225
Watts Industries, Inc. Class A........................ 28,500 482,719
Webb (Del) Corp....................................... 23,200 522,000
Weis Markets, Inc..................................... 3,400 119,638
Wellman, Inc.......................................... 52,500 715,313
Werner Enterprises, Inc............................... 44,200 849,469
Wesco Financial Corp.................................. 1,400 454,650
West Pharmaceutical Services, Inc..................... 7,700 264,206
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------------ ------------
<S> <C> <C>
Westcorp, Inc......................................... 21,700 $ 202,081
*Windmere Corp........................................ 5,000 65,625
*Wolverine Tube, Inc.................................. 12,500 297,656
*Woodward Governor Co................................. 2,700 67,416
*World Color Press, Inc............................... 10,000 255,000
Worthington Industries, Inc........................... 77,200 991,538
*Xtra Corp............................................ 14,600 649,700
Yankee Energy Systems, Inc............................ 9,250 291,953
*Yellow Corp.......................................... 28,200 479,400
Zenith National Insurance Corp........................ 12,400 282,100
------------
TOTAL COMMON STOCKS
(Cost $246,504,635).................................. 248,439,194
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.8%)
Repurchase Agreement, PNC Capital Markets Inc.
4.60%, 06/01/99 (Collateralized by U.S. Treasury
Notes 6.25%, 01/31/02, valued at $10,060,200) to
be repurchased at $9,911,063.
(Cost $9,906,000)................................ $ 9,906 9,906,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $256,410,635)++................................ $258,345,194
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
143
<PAGE>
THE U.S. 6-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (96.8%)
*3-D Systems Corp.................................... 129,900 $ 734,747
*3D0 Co.............................................. 117,800 614,769
*3Dfx Interactive, Inc............................... 124,995 2,413,966
AAR Corp............................................. 229,600 4,534,600
ABC Bancorp.......................................... 6,800 95,200
*ABC Rail Products Corp.............................. 55,400 808,494
*ACT Manufacturing, Inc.............................. 800 11,350
*ACT Networks, Inc................................... 146,700 2,961,506
*ACX Technologies, Inc............................... 308,800 3,840,700
*ADE Corp............................................ 114,500 1,112,797
*AEP Industries, Inc................................. 71,350 2,697,922
*AG Services America, Inc............................ 2,900 51,475
*ARV Assisted Living, Inc............................ 227,900 883,112
ASB Financial Corp................................... 11,500 132,250
#Aames Financial Corp................................ 361,000 518,937
Abington Bancorp, Inc................................ 41,600 599,300
Abrams Industries, Inc............................... 10,000 39,375
*Abraxas Petroleum Corp.............................. 88,200 187,425
*Accel International Corp............................ 81,700 165,953
*Acceptance Insurance Companies, Inc................. 278,100 4,362,694
*#Acclaim Entertainment, Inc......................... 77,700 501,408
Aceto Corp........................................... 81,660 959,505
*Acme Electric Corp.................................. 51,000 277,312
*Acme United Corp.................................... 8,700 17,400
*Acorn Products, Inc................................. 14,600 77,562
*Active Voice Corp................................... 49,900 686,125
*Adam Software, Inc.................................. 6,500 106,437
Adams Resources & Energy, Inc........................ 2,500 19,375
*Adaptive Broadband Corp............................. 215,700 3,410,756
*Adept Technology, Inc............................... 134,400 978,600
*Adflex Solutions, Inc............................... 165,000 376,406
*Advance Lighting Technologies, Inc.................. 28,300 202,964
*#Advanced Aerodynamics & Structures, Inc............ 5,000 17,031
*Advanced Communications Group, Inc.................. 174,600 1,756,912
*Advanced Digital Information Corp................... 59,000 1,598,531
*#Advanced Health Corp............................... 163,900 750,355
*Advanced Magnetics, Inc............................. 76,100 294,887
Advanced Marketing Services, Inc..................... 92,250 1,447,172
*Advanced Neuromodulation Systems, Inc............... 92,360 629,202
*Advanced Radio Telecom Corp......................... 23,000 258,750
Advanta Corp. Class A................................ 113,213 1,963,538
Advanta Corp. Class B Non-Voting..................... 168,125 2,359,004
Advest Group, Inc.................................... 80,200 1,674,175
*Advocat, Inc........................................ 66,000 136,125
*Aehr Test Systems................................... 72,000 285,750
*Aerovox, Inc........................................ 60,800 144,400
*Aftermarket Technology Corp......................... 17,400 190,312
Agco Corp............................................ 709,500 8,247,937
*Agribrands International, Inc....................... 14,600 510,087
*Air Methods Corp.................................... 92,700 199,884
*Airgas, Inc......................................... 220,900 2,526,544
*Airnet Systems, Inc................................. 37,600 397,150
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Airtran Holdings, Inc............................... 14,600 $ 68,894
Alamo Group, Inc..................................... 79,200 727,650
Alba-Waldensian, Inc................................. 7,050 184,181
*Aldila, Inc......................................... 178,100 350,634
Alfa Corp............................................ 125,300 2,126,184
Alico, Inc........................................... 79,100 1,275,487
*Align-Rite International, Inc....................... 56,400 733,200
*All American Semiconductor, Inc..................... 39,300 30,089
Allen Organ Co. Class B.............................. 5,000 180,000
*Allen Telecom, Inc.................................. 300,300 3,134,381
Alliance Bancorp..................................... 125,420 3,061,032
*Alliance Pharmaceuticals Corp....................... 19,400 56,987
*Alliance Semiconductor Corp......................... 455,900 2,179,772
*Allied Healthcare Products, Inc..................... 128,000 252,000
*Allied Holdings, Inc................................ 94,600 674,025
Allied Products Corp................................. 183,300 950,869
*Allied Research Corp................................ 57,800 408,212
*Allin Communications Corp........................... 90,000 241,875
*Allou Health & Beauty Care, Inc. Class A............ 61,900 437,169
*Allstars Systems, Inc............................... 68,500 113,453
*Allstate Financial Corp............................. 20,900 133,564
*Alpha Industries, Inc............................... 41,300 1,439,047
*Alpha Microsystems, Inc............................. 28,500 214,641
*Alpha Technologies Group, Inc....................... 74,400 272,025
*Alphanet Solutions, Inc............................. 43,300 171,847
Ambanc Holding Co., Inc.............................. 43,200 751,950
*Ambassadors, Inc.................................... 16,300 232,275
Amcast Industrial Corp............................... 112,800 1,896,450
Amcol International Corp............................. 27,100 384,481
*Amerco, Inc......................................... 27,500 680,625
*America Online, Inc................................. 8,648 1,032,356
*America West Holdings Corp. Class B................. 152,400 2,971,800
American Bank of Connecticut......................... 46,600 978,600
*#American Banknote Corp............................. 212,500 79,687
American Biltrite, Inc............................... 40,100 822,050
American Business Products, Inc...................... 195,000 3,107,812
*American Classic Voyages Co......................... 1,100 19,319
*American Coin Merchandising, Inc.................... 10,300 74,031
*American Ecology Corp............................... 51,900 145,969
*American Freightways Corp........................... 602,000 10,553,812
*American Healthcorp, Inc............................ 2,500 20,469
*American Homepatient, Inc........................... 163,700 324,842
*American Indemnity Financial Corp................... 14,200 195,694
*American Medical Electronics, Inc. (Escrow-Bonus)... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 20,800 0
American Medical Security Group, Inc................. 244,800 2,279,700
*American Mobile Satellite Corp...................... 217,200 3,074,737
*American Oncology Resources, Inc.................... 360,700 3,663,359
*American Pacific Corp............................... 90,400 734,500
*American Pad & Paper Co............................. 310,500 727,734
*American Physicians Services Group, Inc............. 44,400 159,562
</TABLE>
144
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*American Precision Industries, Inc.................. 16,500 $ 186,656
*American Software, Inc. Class A..................... 198,800 577,762
*American Technical Ceramics Corp.................... 43,200 294,300
American Vanguard Corp............................... 7,040 38,720
American Woodmark Corp............................... 35,010 1,308,499
Americana Bancorp, Inc............................... 25,630 406,075
*Amerihost Properties, Inc........................... 70,000 265,781
*AmeriLink Corp...................................... 8,300 121,387
*Amerin Corp......................................... 20,400 546,975
*Ameripath, Inc...................................... 231,500 2,101,586
*Ameristar Casinos, Inc.............................. 162,500 573,828
Ameron, Inc.......................................... 44,900 1,933,506
Amerus Life Holdings, Inc. Class A................... 73,785 1,904,575
*Ames Department Stores, Inc......................... 121,100 4,961,316
*Amistar Corp........................................ 42,300 81,956
Ampco-Pittsburgh Corp................................ 190,100 2,376,250
Amplicon, Inc........................................ 2,900 39,694
*Amrep Corp.......................................... 87,192 498,629
*Amresco, Inc........................................ 337,600 2,299,900
*Amtran, Inc......................................... 113,000 2,655,500
Amwest Insurance Group, Inc.......................... 33,940 347,885
*Anadigics, Inc...................................... 153,100 3,798,794
Analogic Corp........................................ 79,500 2,591,203
*Analysis & Technology, Inc.......................... 28,800 736,200
*Anaren Microwave, Inc............................... 38,300 834,222
Anchor Bancorp Wisconsin, Inc........................ 112,700 1,870,116
Andover Bancorp, Inc. DE............................. 71,825 2,127,816
Angelica Corp........................................ 172,400 2,920,025
*Anicom, Inc......................................... 250,100 2,305,609
*Ann Taylor Stores Corp.............................. 253,400 10,943,712
*Antec Corp.......................................... 181,000 5,299,906
*Apple Orthodontix, Inc.............................. 45,900 91,800
*Applied Digital Access, Inc......................... 209,800 881,816
*Applied Extrusion Technologies, Inc................. 202,700 1,545,587
*Applied Films Corp.................................. 38,000 140,125
*Applied Graphics Technologies, Inc.................. 155,900 1,690,541
Applied Industrial Technologies, Inc................. 470,000 7,960,625
*#Applied Magnetics Corp............................. 283,400 850,200
*Applied Microsystems Corp........................... 112,200 341,859
*Applied Signal Technologies, Inc.................... 91,300 821,700
*Applix, Inc......................................... 44,400 241,425
*Apria Healthcare Group, Inc......................... 6,200 127,875
*Aquila Biopharmaceuticals, Inc...................... 101,000 192,531
*Arcadia Financial, Ltd.............................. 560,700 4,170,206
Arch Coal, Inc....................................... 94,300 1,379,137
*#Arch Communications Group, Inc..................... 287,400 696,047
Arctic Cat, Inc...................................... 228,600 1,914,525
Argonaut Group, Inc.................................. 101,300 2,716,106
*Argosy Gaming Corp.................................. 313,300 2,506,400
*#Ariel Corp......................................... 16,300 49,919
*Ark Restaurants Corp................................ 4,500 45,562
*Arkansas Best Corp.................................. 219,000 1,957,312
*Armco, Inc.......................................... 497,000 3,199,437
Arnold Industries, Inc............................... 225,300 3,731,531
*Aronex Pharmaceuticals, Inc......................... 2,500 11,172
*Arqule, Inc......................................... 143,400 645,300
*Arrow Automotive Industries, Inc.................... 21,600 22
Arrow Financial Corp................................. 6,044 161,677
*Artisoft, Inc....................................... 157,400 671,409
*Asahi/America, Inc.................................. 55,500 405,844
*Asante Technologies, Inc............................ 94,200 66,234
Asarco, Inc.......................................... 42,950 689,884
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ascent Assurance, Inc............................... 222 $ 0
*Ascent Entertainment Group, Inc..................... 325,396 3,721,717
*Asche Transportation Services, Inc.................. 53,800 216,881
*Ashworth, Inc....................................... 162,100 795,303
*Aspect Telecommunications Corp...................... 71,300 601,594
*Astec Industries, Inc............................... 112,900 4,198,469
Astro-Med, Inc....................................... 50,375 333,734
*Astronics Corp...................................... 22,687 201,347
*Asyst Technologies, Inc............................. 132,700 2,604,237
Atalanta Sosnoff Capital Corp........................ 66,100 652,737
*Atchison Casting Corp............................... 151,300 1,664,300
*Athey Products Corp................................. 17,140 42,314
*Atlantic American Corp.............................. 25,400 110,331
*Atlantis Plastics, Inc.............................. 60,000 862,500
*Atrion Corp......................................... 37,750 363,344
*Audiovox Corp. Class A.............................. 257,000 2,232,687
*Ault, Inc........................................... 46,700 452,406
*#Aura Systems, Inc.................................. 40,000 10,625
*Auspex Systems, Inc................................. 315,100 3,436,559
*Autoimmune, Inc..................................... 199,400 445,534
*Autologic Information International, Inc............ 7,100 34,169
Avado Brands, Inc.................................... 199,900 1,814,717
*Avalon Holding Corp. Class A........................ 25,112 171,075
*Avatar Holdings, Inc................................ 35,300 655,256
*#Avatex Corp........................................ 189,340 118,337
*Aviall, Inc......................................... 117,500 1,843,281
*Avigen, Inc......................................... 119,500 739,406
*Avondale Industries, Inc............................ 145,400 5,307,100
*Avteam, Inc. Class A................................ 140,000 1,001,875
*Axsys Technologies, Inc............................. 49,800 619,387
*Aztar Corp.......................................... 559,700 3,777,975
Aztec Manufacturing Co............................... 500 5,031
*BCT International, Inc.............................. 11,100 27,923
*BEI Electronics, Inc................................ 86,000 99,437
BEI Technologies, Inc................................ 86,000 857,312
*BF Enterprises, Inc................................. 2,300 17,969
*BFX Hospitality Group, Inc.......................... 89,400 125,719
BHA Group Holdings, Inc. Class A..................... 18,200 177,450
*BI, Inc............................................. 107,300 985,819
BMC Industries, Inc.................................. 250,000 2,515,625
BSB Bancorp, Inc..................................... 104,700 2,663,306
BT Financial Corp.................................... 54,224 1,457,270
*BTG, Inc............................................ 33,000 237,187
*BTU International, Inc.............................. 75,800 312,675
*BWAY Corp........................................... 76,200 1,085,850
Badger Meter, Inc.................................... 21,200 712,850
*Badger Paper Mills, Inc............................. 10,400 74,912
Bairnco Corp......................................... 93,200 646,575
Baker (J.), Inc...................................... 155,818 1,129,680
*Baker (Michael) Corp................................ 62,500 453,125
*Balanced Care Corp.................................. 17,000 40,375
Baldwin & Lyons, Inc. Class B........................ 1,600 33,450
*Baldwin Piano & Organ Co............................ 27,000 205,875
*Baldwin Technology, Inc. Class A.................... 172,600 625,675
*Baltek Corp......................................... 4,500 44,437
*Bancinsurance Corp.................................. 60,270 335,252
Bancorp Connecticut, Inc............................. 47,400 767,287
*BancTec, Inc........................................ 147,596 2,379,985
Bandag, Inc.......................................... 99,000 3,409,312
Bandag, Inc.......................................... 168,000 4,809,000
*Bank Plus Corp...................................... 217,000 1,132,469
</TABLE>
145
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Bank United Financial Corp. Class A................. 241,600 $ 2,178,175
#BankAtlantic Bancorp, Inc. Class A.................. 129,220 944,921
BankAtlantic Bancorp, Inc. Class B................... 135,202 1,077,391
BankNorth Group, Inc. DE............................. 106,690 2,850,623
Banta Corp........................................... 5,600 137,200
*Banyan System, Inc.................................. 113,000 1,250,062
*Barry (R.G.) Corp................................... 62,100 500,681
*Basin Exploration, Inc.............................. 164,300 2,757,159
Bassett Furniture Industries, Inc.................... 150,950 3,589,780
Battle Mountain Gold Co.............................. 934,600 2,278,087
Bay View Capital Corp................................ 336,000 6,048,000
*Baycorp Holdings, Ltd............................... 48,000 171,000
*Bayou Steel Corp. Class A........................... 121,300 439,712
*Beard Co............................................ 30,000 101,250
*Beazer Homes USA, Inc............................... 111,200 2,474,200
*Bel Fuse, Inc. Class A.............................. 28,900 941,056
Bel Fuse, Inc. Class B............................... 28,900 847,131
*Belco Oil & Gas Corp................................ 193,100 1,532,731
*Bell Industries, Inc................................ 113,022 1,158,475
*Bell Microproducts, Inc............................. 99,900 707,105
*Bellwether Exploration Co........................... 258,400 1,195,100
*Ben & Jerry's Homemade, Inc. Class A................ 70,700 1,990,647
*Benton Oil & Gas Co................................. 330,100 1,155,350
*Bergen Brunswig Corp. Class A....................... 102,555 2,256,210
*Berlitz International, Inc.......................... 79,100 1,685,819
*Beverly Enterprises................................. 155,400 1,126,650
*Big 4 Ranch, Inc.................................... 73,300 0
Bindley Western Industries, Inc...................... 109,466 3,297,663
*Binks Sames Corp.................................... 30,918 517,876
*#Bio Vascular, Inc.................................. 59,300 164,002
*Bioanalytical Systems, Inc.......................... 1,600 6,400
*Bionx Implants, Inc................................. 175,000 803,906
*Bio-Rad Laboratories, Inc. Class A.................. 107,800 3,038,612
*BioReliance Corp.................................... 50,000 332,812
*Biosite Diagnostics, Inc............................ 109,500 1,091,578
*Biosource International, Inc........................ 143,500 699,562
Birmingham Steel Corp................................ 401,500 2,057,687
*Black Hawk Gaming & Development, Inc................ 42,900 365,991
Blair Corp........................................... 127,100 2,184,531
Blimpie International................................ 11,700 30,712
*Bluegreen Corp...................................... 263,998 1,484,989
Bob Evans Farms, Inc................................. 220,500 4,251,516
*Boca Research, Inc.................................. 98,700 874,420
*Bombay Co., Inc..................................... 574,000 3,515,750
*Bon-Ton Stores, Inc................................. 131,900 840,862
*#Books-a-Million, Inc............................... 189,100 1,560,075
*Boston Biomedical, Inc.............................. 57,400 218,837
*#Boston Chicken, Inc................................ 310,900 186,540
*Boston Communications Group, Inc.................... 117,000 1,096,875
Bostonfed Bancorp, Inc............................... 46,960 845,280
Bowl America, Inc. Class A........................... 45,000 315,000
Bowne & Co., Inc..................................... 91,332 1,529,811
*Boyd Gaming Corp.................................... 473,000 2,808,437
*Brauns Fashions Corp................................ 22,200 245,587
*#Brazos Sportswear, Inc............................. 4,190 419
*Bridgeport Macs, Inc................................ 16,600 150,437
*Brigham Exploration Co.............................. 50,000 128,125
*Brite Voice Systems, Inc............................ 22,500 292,500
*Britesmile, Inc..................................... 41,000 438,187
*Broadway & Seymour, Inc............................. 180,800 1,045,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Brooks Automation, Inc.............................. 83,000 $ 1,519,937
*Brookstone, Inc..................................... 111,300 1,672,978
*Brothers Gourmet Coffees, Inc....................... 103,461 2,173
*Brown & Sharpe Manufacturing Co. Class A............ 203,500 1,119,250
*Brown (Tom), Inc.................................... 301,100 3,904,891
Brown Shoe Company, Inc.............................. 297,200 5,646,800
*Brunswick Technologies, Inc......................... 75,000 457,031
Brush Wellman, Inc................................... 186,500 3,158,844
*Buckhead America Corp............................... 15,700 98,125
*Budget Group, Inc................................... 204,100 2,729,837
*Buffets, Inc........................................ 341,800 3,588,900
*Builders Transport, Inc............................. 61,600 1,386
*Building Materials Holding Corp..................... 197,000 2,302,437
*Bull Run Corp. GA................................... 84,500 340,641
Burlington Coat Factory Warehouse Corp............... 235,440 3,973,050
*Burlington Industries, Inc.......................... 585,800 5,748,162
Bush Industries, Inc. Class A........................ 13,000 192,562
*Business Resource Group............................. 57,200 191,262
*Butler International, Inc........................... 23,200 463,275
Butler Manufacturing Co.............................. 84,200 2,368,125
*C-COR Electronics, Inc.............................. 7,500 178,828
*C.P. Clare Corp..................................... 183,000 669,094
*CCA Industries, Inc................................. 40,800 51,637
CCBT Bancorp, Inc.................................... 22,400 366,800
*CEM Corp............................................ 28,500 225,328
*CFM Technologies, Inc............................... 93,700 855,012
*CHS Electronics, Inc................................ 15,000 66,562
*CMC Industries, Inc................................. 88,100 569,897
*CNS Income.......................................... 204,200 682,794
CPAC, Inc............................................ 74,100 571,959
CPB, Inc............................................. 107,000 2,206,875
CPI Corp............................................. 87,400 2,753,100
*CSP, Inc............................................ 38,865 265,982
*CSS Industries, Inc................................. 24,500 661,500
*CTB International Corp.............................. 38,000 330,125
*Cadence Design Systems, Inc......................... 1,906 24,550
Cadmus Communications Corp........................... 94,100 1,205,656
*Caere Corp.......................................... 25,400 301,625
Calgon Carbon Corp................................... 181,200 1,030,575
*#California Amplifier, Inc.......................... 73,100 306,106
*California Coastal Comm, Inc........................ 16,900 108,266
*California Micro Devices Corp....................... 11,400 25,294
*Callon Petroleum Co................................. 146,600 1,575,950
Cal-Maine Foods, Inc................................. 62,900 342,019
*Cameron Ashley Building Products, Inc............... 114,800 1,377,600
Cameron Financial Corp............................... 32,700 433,275
*Canandaigua Wine Co., Inc. Class A.................. 69,700 3,467,575
*Canisco Resources, Inc.............................. 5,700 20,484
*Cannon Express, Inc. Class A........................ 6,900 24,150
*Cannondale Corp..................................... 115,100 1,028,706
*Capital Pacific Holdings, Inc....................... 154,800 503,100
Capital Re Corp...................................... 297,800 4,857,862
Capitol Bancorp, Ltd................................. 41,672 712,331
Capitol Transamerica Corp............................ 102,100 1,534,691
*Carbide/Graphite Group, Inc......................... 133,000 1,724,844
*Cardiotech International, Inc....................... 15,572 22,385
*Career Blazers, Inc. Trust Units.................... 9,540 0
*Caretenders Healthcorp.............................. 13,700 31,681
*#Caribiner International, Inc....................... 376,000 2,021,000
</TABLE>
146
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Carleton Corporation................................ 16,180 $ 37,922
*Carmike Cinemas, Inc. Class A....................... 120,100 2,109,256
Carolina First Corp.................................. 74,990 2,055,195
Carpenter Technology Corp............................ 5,000 142,500
*Carrington Laboratories, Inc........................ 100,200 297,469
*Carson, Inc......................................... 105,500 369,250
Carter-Wallace, Inc.................................. 325,500 5,879,344
Cascade Corp......................................... 104,400 1,409,400
Cash America International, Inc...................... 239,200 3,034,850
*Casino Data Systems................................. 206,300 767,178
*Castle & Cooke, Inc................................. 340,300 5,317,187
Castle (A.M.) & Co................................... 1,280 19,680
*Castle Dental Centers, Inc.......................... 16,300 109,006
Castle Energy Corp................................... 45,800 853,025
*Catalina Lighting, Inc.............................. 85,700 385,650
*Catherines Stores Corp.............................. 114,400 1,258,400
Cato Corp. Class A................................... 371,700 4,890,178
Cavalier Homes, Inc.................................. 167,700 1,519,781
*Cavanaughs Hospitality Corp......................... 303,100 2,898,394
*Celadon Group, Inc.................................. 100,000 993,750
*Celebrity, Inc...................................... 26,325 61,699
*#Celeris Corp....................................... 169,000 153,156
*Celeritek, Inc...................................... 72,000 387,000
*Cell Genesys, Inc................................... 35,500 170,844
*#Cell Pathways, Inc................................. 65,400 719,400
Cenit Bancorp, Inc................................... 54,900 1,122,019
*Centigram Communications Corp....................... 86,800 843,587
Central Bancorp, Inc................................. 24,100 466,937
*Central Garden & Pet Co............................. 318,300 4,326,891
*Central Sprinkler Corp.............................. 47,100 802,172
Centris Group, Inc................................... 144,800 1,402,750
Century Aluminum Co.................................. 330,000 2,134,687
*Cephalon, Inc....................................... 19,000 258,281
*Ceradyne, Inc....................................... 90,700 368,469
*Ceres Group, Inc.................................... 26,600 272,650
*Cerion Technologies, Inc............................ 81,500 20,375
*Charming Shoppes, Inc............................... 1,542,900 7,786,823
*Chart House Enterprises, Inc........................ 130,100 715,550
Chartwell Re Corp.................................... 151,100 2,370,381
*Chase Industries, Inc............................... 117,250 981,969
*Check Technology Corp............................... 70,700 159,075
*Checkpoint System, Inc.............................. 392,400 3,580,650
Chemed Corp.......................................... 104,500 3,389,719
*Chemfab Corp........................................ 16,050 314,981
Chemfirst, Inc....................................... 73,400 1,747,837
*Cherry Corp. Class A................................ 48,700 657,450
*Cherry Corp. Class B................................ 32,500 443,828
Chesapeake Corp...................................... 40,000 1,442,500
#Chesapeake Energy Corp.............................. 1,312,800 2,789,700
Chester Valley Bancorp............................... 1,249 22,014
*Chic by His, Inc.................................... 125,700 392,812
Chicago Rivet & Machine Co........................... 11,800 225,675
*Children's Comprehensive Services, Inc.............. 151,600 923,812
*Childtime Learning Centers, Inc..................... 38,300 478,750
Chiquita Brands International, Inc................... 515,089 4,152,905
*#Chock Full O' Nuts Corp............................ 125,323 1,308,059
*Chyron Corp......................................... 373,000 769,312
*Cidco, Inc.......................................... 208,100 1,287,619
*Ciprico, Inc........................................ 55,800 486,506
Circle International, Inc............................ 30,300 621,150
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Circuit City Stores, Inc. - Carmax Group............ 367,500 $ 1,768,594
*Circuit Systems, Inc................................ 53,000 109,312
*Cirrus Logic, Inc................................... 293,000 2,224,969
*Citadel Holding Corp................................ 73,300 371,081
*Citation Computer System, Inc....................... 11,200 21,350
*Citation Corp....................................... 198,400 2,647,400
Citizens Banking Corp................................ 78,750 2,337,891
*Citizens, Inc. Class A.............................. 71,700 407,794
*Civic Bancorp....................................... 39,579 559,053
*Clean Harbors, Inc.................................. 117,500 201,953
Cleveland Cliffs, Inc................................ 131,300 4,858,100
*Clintrials Research, Inc............................ 286,300 1,207,828
*Coast Dental Services, Inc.......................... 86,400 610,200
*Coast Distribution System........................... 85,100 244,662
Coastal Bancorp, Inc................................. 116,900 1,877,706
*Coastcast Corp...................................... 104,300 1,251,600
*Cobra Electronic Corp............................... 72,300 293,719
*Code-Alarm, Inc..................................... 23,200 12,325
*#Coeur d'Alene Mines Corp. ID....................... 252,800 1,058,600
*Coffee People, Inc.................................. 52,000 103,187
*Coherent, Inc....................................... 228,100 3,692,369
*Cohesion Technologies, Inc.......................... 117,300 659,812
*Coho Energy, Inc.................................... 425,200 265,750
*Coinmach Laundry Corp............................... 159,500 1,963,844
*Cold Metal Products, Inc............................ 40,000 85,000
Collagen Corp........................................ 117,300 1,605,544
Collins Industries, Inc.............................. 28,200 164,794
*Columbia Banking System, Inc........................ 51,497 862,579
*Columbus Energy Corp................................ 50,932 297,634
Columbus McKinnon Corp............................... 200 4,994
*Comdial Corp........................................ 115,800 814,219
*Command Systems, Inc................................ 15,000 24,844
Commercial Bancshares, Inc........................... 26,509 596,452
Commercial Bank of New York.......................... 26,400 331,650
Commercial Intertech Corp............................ 25,700 388,712
Commercial Metals Co................................. 188,800 4,425,000
Commercial National Financial Corp................... 18,000 342,000
Commonwealth Bancorp, Inc............................ 162,100 2,629,059
Commonwealth Industries, Inc......................... 226,500 2,456,109
Communications Systems, Inc.......................... 6,400 84,400
Community Bank System, Inc........................... 58,000 1,363,000
Community Financial Corp............................. 1,000 9,750
Community Financial Group, Inc....................... 1,600 22,800
*Community First Brokerage Co........................ 12,400 284,812
Community Trust Bancorp, Inc......................... 47,707 1,094,279
*Compass International Services Corp................. 15,700 103,522
*Compdent Corp....................................... 165,600 2,396,025
*Compucom Systems, Inc............................... 511,700 2,062,791
*CompUSA, Inc........................................ 14,500 116,906
*Computer Motion, Inc................................ 54,000 479,250
*Computer Network Technology Corp.................... 204,500 5,138,062
*Computer Outsourcing Services, Inc.................. 42,800 391,887
*Comshare, Inc....................................... 73,250 249,508
*Comstock Resources, Inc............................. 361,700 1,469,406
*Comtech Telecommunications Corp..................... 26,900 236,216
*Concord Camera Corp................................. 122,200 633,912
*Concord Fabrics, Inc. Class A....................... 16,400 71,750
*Condor Technology Solutions, Inc.................... 27,400 292,837
*Cone Mills Corp. NC................................. 508,600 3,146,962
*Congoleum Corp. Class A............................. 6,200 52,700
</TABLE>
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*Conmed Corp......................................... 168,661 $ 5,729,203
*Conso Products Co................................... 95,600 564,637
*Consolidated Freightways Corp....................... 251,100 3,342,769
*#Consumer Portfolio Services, Inc................... 246,300 477,206
*#ContiFinancial Corp................................ 705,900 5,029,537
*Continental Materials Corp.......................... 2,300 86,825
Cooker Restaurant Corp............................... 125,000 781,250
*Cooperative Bankshares, Inc......................... 20,800 243,100
*Copart, Inc......................................... 242,500 4,365,000
*Copley Pharmaceutical, Inc.......................... 199,700 1,940,834
*Coram Healthcare Corp............................... 402,900 931,706
*Core, Inc........................................... 7,400 61,744
*Cornell Corrections, Inc............................ 54,500 1,055,937
*Corporate Express, Inc.............................. 900,600 5,896,116
*Corrpro Companies, Inc.............................. 85,375 848,414
*Corsair Communications, Inc......................... 30,000 137,344
*Cort Business Services Corp......................... 172,400 4,169,925
*Cosmetic Centers, Inc. Class C...................... 8,646 2,432
Courier Corp......................................... 23,400 535,275
*Covenant Transport, Inc. Class A.................... 232,200 2,779,144
*Coventry Health Care, Inc........................... 214,800 2,859,525
*Cover-All Technologies, Inc......................... 31,901 49,347
Covest Bancshares, Inc............................... 48,825 668,292
*Craig Corp.......................................... 43,100 325,944
*Creative Computers, Inc............................. 24,300 731,278
*Credit Acceptance Corp.............................. 392,700 2,343,928
*Criticare Systems, Inc.............................. 91,000 196,219
Cross (A.T.) Co. Class A............................. 185,300 1,158,125
Cross Timbers Oil Co................................. 109,600 1,185,050
*Crown Central Petroleum Corp. Class A............... 71,000 576,875
*Crown Central Petroleum Corp. Class B............... 59,400 490,050
Crown Crafts, Inc.................................... 97,500 493,594
*Crown Vantage, Inc.................................. 128,820 338,152
*Crown-Andersen, Inc................................. 20,000 116,250
Cubic Corp........................................... 107,650 2,597,056
Culp, Inc............................................ 143,618 1,184,848
Curtiss-Wright Corp.................................. 94,900 3,641,787
*CustomTracks Corp................................... 62,200 3,724,225
*Cyberoptics Corp.................................... 60,300 761,287
*Cybex International, Inc............................ 94,600 520,300
*Cylink Corp......................................... 80,800 319,412
*Cyrk, Inc........................................... 193,500 1,287,984
*Cytrx Corp.......................................... 13,000 33,922
*DII Group, Inc...................................... 9,400 308,144
*DM Management Co.................................... 48,450 779,742
*#DRS Technologies, Inc.............................. 67,275 592,861
*DSP Technology, Inc................................. 21,000 187,687
DT Industries, Inc................................... 129,900 1,246,228
*DVI, Inc............................................ 227,800 3,545,137
*Dailey International, Inc........................... 80,000 60,000
Dain Rauscher Corp................................... 144,800 7,538,650
*Dairy Mart Convenience Stores, Inc. Class A......... 9,000 34,875
*Damark International, Inc. Class A.................. 95,800 943,031
Dames & Moore, Inc................................... 220,300 3,469,725
*Dan River, Inc. (GA) Class A........................ 322,500 2,962,969
Daniel Industries, Inc............................... 163,900 3,441,900
*Danielson Holding Corp.............................. 10,000 53,125
*Darling International, Inc.......................... 12,000 22,500
*Data I/O Corp....................................... 84,400 96,269
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Data Race, Inc...................................... 29,800 $ 135,962
*Data Systems & Software, Inc........................ 86,800 265,825
*Data Systems Network Corp........................... 3,228 3,783
*Datakey, Inc........................................ 19,100 50,137
*Dataram Corp........................................ 62,320 518,035
*Datascope Corp...................................... 19,000 476,187
*DataTRAK International, Inc......................... 47,300 224,675
*Dataware Technologies, Inc.......................... 82,900 238,337
*Datron Systems, Inc................................. 30,000 182,812
*#Datum, Inc......................................... 87,500 732,812
Davel Communications, Inc............................ 21,385 130,983
*#Daw Technologies, Inc.............................. 116,900 149,778
*Dawson Geophysical Co............................... 60,000 641,250
*Daxor Corp.......................................... 52,000 646,750
*Dayton Superior Corp. Class A....................... 3,500 62,781
*DeGeorge Financial Corp............................. 19,900 1,343
Deb Shops, Inc....................................... 142,000 2,156,625
*Deckers Outdoor Corp................................ 100,100 340,966
Decorator Industries, Inc............................ 20,832 154,938
*Del Global Technologies Corp........................ 85,877 772,893
*#Delta Financial Corp............................... 172,200 1,162,350
Delta Natural Gas Co., Inc........................... 26,100 446,962
Delta Woodside Industries, Inc....................... 318,200 2,247,287
Deltic Timber Corp................................... 108,400 2,696,450
*Denali, Inc......................................... 36,800 287,500
*Denamerica Corp..................................... 36,100 33,844
*Designs, Inc........................................ 178,800 352,012
*Detection Systems, Inc.............................. 69,300 610,706
*Detrex Corp......................................... 12,800 88,400
Detroit Diesel Corp.................................. 318,400 7,900,300
*Devcon International Corp........................... 50,800 157,956
*Diagnostic Health Services, Inc..................... 68,000 69,062
*Diamond Home Services, Inc.......................... 140,000 656,250
*#Diamond Multimedia Systems, Inc.................... 394,600 1,744,872
*Dianon Systems, Inc................................. 40,300 371,516
*Digi International, Inc............................. 289,600 2,407,300
*Digital Link Corp................................... 82,100 604,205
*Digital Microwave Corp.............................. 90,200 1,133,137
Dime Community Bancorp, Inc.......................... 135,000 2,991,094
Dimon, Inc........................................... 890,500 4,675,125
*Diodes, Inc......................................... 60,700 280,737
*Discount Auto Parts, Inc............................ 172,100 4,259,475
*Diversified Corporate Resources, Inc................ 2,700 16,200
Dixie Group, Inc..................................... 122,400 1,109,250
*Dixon Ticonderoga Co................................ 27,250 327,000
*Dollar Thrifty Automotive Group, Inc................ 35,000 743,750
*Dominion Homes, Inc................................. 70,100 552,037
Donegal Group, Inc................................... 70,444 792,495
Donnelly Corp. Class A............................... 78,250 1,281,344
*Donnkenny, Inc...................................... 157,300 164,673
*Dotronix, Inc....................................... 1,000 734
Downey Financial Corp................................ 284,913 6,268,086
*Dress Barn, Inc..................................... 232,323 3,419,504
*Drug Emporium, Inc.................................. 188,400 1,907,550
*Drypers Corp........................................ 66,900 219,516
*Duckwall-Alco Stores, Inc........................... 98,000 1,016,750
*Dunn Computer Corp.................................. 4,900 10,336
*Dura Automotive Systems, Inc........................ 61,985 1,836,306
*Durakon Industries, Inc............................. 107,400 1,342,500
Dyersburg Corp....................................... 161,500 222,062
*Dynamics Research Corp.............................. 85,636 433,532
*E-Z-Em, Inc. Class A................................ 45,200 228,825
</TABLE>
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*E-Z-Em, Inc. Class B................................ 3,843 $ 19,215
*EA Engineering Science & Technology, Inc............ 72,025 72,025
*ECC International Corp.............................. 90,500 282,812
*EFTC Corp........................................... 172,600 1,062,569
*EIS International, Inc.............................. 132,800 444,050
*ELXSI Corp.......................................... 27,900 301,669
EMC Insurance Group, Inc............................. 94,800 1,084,275
*EMS Technologies, Inc............................... 101,650 1,378,628
*ESCO Electronics Corp. Trust Receipts............... 193,400 2,332,887
Eagle Bancshares, Inc................................ 64,600 1,217,306
*Eagle Food Centers, Inc............................. 124,300 302,981
*Eagle Geophysical, Inc.............................. 148,107 492,920
*Eagle Point Software Corp........................... 80,000 520,000
Easco, Inc........................................... 160,200 1,191,487
*East/West Communications, Inc....................... 2,300 14,806
Eastern Co........................................... 19,600 512,050
*Echelon International Corp.......................... 7,200 165,600
*Eclipsys Corp....................................... 38,000 865,687
Ecology & Environment, Inc. Class A.................. 23,800 166,600
*Edelbrock Corp...................................... 85,000 1,314,844
Edo Corp............................................. 31,500 216,562
*Educational Insights, Inc........................... 49,300 95,519
*#Einstein/Noah Bagel Corp........................... 72,400 78,056
*Ekco Group, Inc..................................... 229,300 1,089,175
*El Paso Electric Co................................. 386,700 3,311,119
*Elantec Semiconductor, Inc.......................... 89,800 854,503
*Elcom International, Inc............................ 52,800 301,125
*Electric Fuel Corp.................................. 3,700 7,053
*Electric Lightwave, Inc............................. 124,300 1,476,062
*Electro Rent Corp................................... 70,200 884,081
*Electro Scientific Industries, Inc.................. 18,900 710,522
*Electroglas, Inc.................................... 265,200 3,779,100
Ellett Brothers, Inc................................. 62,500 344,727
*Eltrax System, Inc.................................. 99,495 410,417
*Emcee Broadcast Products, Inc....................... 50,000 100,781
*Emcon............................................... 102,000 669,375
Empire Federal Bancorp, Inc.......................... 10,200 117,937
*Emulex Corp......................................... 31,150 2,456,956
*Encad, Inc.......................................... 128,600 765,572
Energen Corp......................................... 232,400 4,444,650
Engineered Support Systems, Inc...................... 36,750 494,977
Engle Homes, Inc..................................... 126,700 1,722,328
Ennis Business Forms, Inc............................ 6,000 51,750
*Enserch Exploration Corp............................ 163,200 1,111,800
*Enstar, Inc......................................... 20,866 199,531
*Enterprise Software, Inc............................ 17,000 134,937
*Environmental Elements Corp......................... 14,500 51,656
*#Environmental Technologies Corp.................... 58,500 78,609
*Equinox Systems, Inc................................ 53,100 462,966
*Equitex, Inc........................................ 9,400 129,544
*Equitrac Corp....................................... 26,500 470,375
*Equity Marketing, Inc............................... 5,800 60,537
*Equity Oil Co....................................... 142,900 169,694
Eskimo Pie Corp...................................... 41,400 355,781
Espey Manufacturing & Electronics Corp............... 3,500 42,875
*Esterline Technologies Corp......................... 119,300 1,782,044
Ethyl Corp........................................... 344,200 1,721,000
*Evans & Sutherland Computer Corp.................... 119,800 1,890,594
*Evans Systems, Inc.................................. 23,585 163,621
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Evans, Inc.......................................... 17,175 $ 24,689
*Evergreen Resources, Inc............................ 27,000 598,219
*Exabyte Corp........................................ 253,000 1,399,406
*Exar Corp........................................... 101,500 2,125,156
*Executone Information Systems, Inc.................. 351,700 1,939,845
Exide Corp........................................... 250,100 3,907,812
*Exponent, Inc....................................... 69,500 501,703
Ezcorp, Inc. Class A Non-Voting...................... 139,100 1,030,209
FBL Financial Group, Inc. Class A.................... 126,500 2,537,906
FCB Financial Corp................................... 36,400 1,098,825
*FEI Co.............................................. 152,600 1,268,487
FFLC Bancorp......................................... 50,833 924,525
FFY Financial Corp................................... 84,600 1,554,525
FNB Rochester Corp................................... 24,300 799,622
FSF Financial Corp................................... 4,200 59,587
*FSI International, Inc.............................. 265,100 2,153,937
*FTI Consulting, Inc................................. 62,500 265,625
Fab Industries, Inc.................................. 87,081 1,360,641
*Factory Card Outlet Corp............................ 89,100 101,630
*Fairchild Corp. Class A............................. 443,729 6,628,202
Falcon Products, Inc................................. 87,000 940,687
*#Family Golf Centers, Inc........................... 90,000 814,219
*Fansteel, Inc....................................... 74,700 420,187
*Farm Family Holdings, Inc........................... 7,200 248,400
Farmer Brothers Co................................... 84 17,304
*Farr Co............................................. 52,200 561,150
Farrel Corp.......................................... 62,200 139,950
*Featherlite Manufacturing, Inc...................... 8,500 55,516
Federal Screw Works.................................. 2,000 96,000
*Ferrofluidics Corp.................................. 50,500 204,367
*Fibermark, Inc...................................... 88,950 1,273,097
*Fiberstars, Inc..................................... 12,700 55,166
Fidelity Bancorp, Inc. Delaware...................... 32,700 762,319
*Fidelity Bankshares, Inc............................ 8,000 133,250
Fidelity Federal Bancorp............................. 20,000 60,000
*Filenes Basement Corp............................... 246,200 407,769
*Finish Line, Inc. Class A........................... 128,300 1,571,675
*Finishmaster, Inc................................... 120,000 675,000
*Finlay Enterprises, Inc............................. 47,500 657,578
First Albany Companies, Inc.......................... 33,415 609,824
*First Alliance Corp................................. 3,000 8,578
First American Financial Corp........................ 16,348 268,720
First Bell Bancorp, Inc.............................. 59,600 1,158,475
*First Cash, Inc..................................... 69,700 720,959
First Defiance Financial Corp........................ 126,600 1,503,375
First Essex Bancorp.................................. 86,400 1,441,800
First Federal Bancshares of Arkansas, Inc............ 54,100 1,004,231
First Federal Capital Corp........................... 131,220 1,910,891
First Federal Savings & Loan Association of East
Hartford, CT....................................... 31,000 761,437
First Financial Holdings, Inc........................ 100,600 1,911,400
First Indiana Corp................................... 92,306 1,765,352
*First Investors Financial Services Group, Inc....... 60,600 374,962
First Keystone Financial, Inc........................ 21,800 284,762
First Liberty Financial Corp......................... 71,775 2,068,017
First Mariner Bank Corp.............................. 30,700 360,725
First Midwest Financial, Inc......................... 18,800 275,537
First Northern Capital Corp.......................... 98,700 1,076,447
First Oak Brook Bancshares, Inc. Class A............. 29,000 563,687
</TABLE>
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*First Republic Bank................................. 112,703 $ 2,944,366
First Savings Bancorp, Inc. North Carolina........... 48,000 945,000
*#First Team Sports, Inc............................. 85,600 224,700
First Washington Bancorp, Inc........................ 143,580 2,889,547
First Western Bancorp, Inc........................... 9,200 321,137
Firstbank Corp....................................... 4,300 63,022
*FirstFed Financial Corp. DE......................... 194,400 3,669,300
Firstspartan Financial Corp.......................... 26,000 747,500
*Firstwave Technologies, Inc......................... 45,700 94,256
*Fischer Imaging Corp................................ 100,600 171,334
*Fisher Scientific, International, Inc............... 22,400 453,600
Flag Financial Corp.................................. 12,850 127,697
*Flander Corp........................................ 348,000 1,315,875
Fleming Companies, Inc............................... 517,397 5,335,657
Flexsteel Industries, Inc............................ 78,400 1,073,100
*Florida Panthers Holdings, Inc. Class A............. 379,800 4,130,325
Florida Rock Industries, Inc......................... 85,200 3,397,350
*Florsheim Group, Inc................................ 91,900 683,506
Flushing Financial Corp.............................. 129,550 1,918,959
*Foilmark, Inc....................................... 76,658 170,085
*Foodarama Supermarkets, Inc......................... 12,400 345,650
Foothill Independent Bancorp......................... 45,818 618,543
*#Forcenergy, Inc.................................... 216,500 233,414
*Forest Oil Corp..................................... 109,500 1,156,594
*Forward Air Corp., Inc.............................. 32,400 883,912
*Foster (L.B.) Co. Class A........................... 149,200 829,925
Foster Wheeler Corp.................................. 375,800 5,167,250
*Four Kids Entertainment, Inc........................ 32,700 680,569
*Four Media Co....................................... 114,900 768,394
*Franchise Mortgage Acceptance Co.................... 35,000 308,437
Frankfort First Bancorp, Inc......................... 25,650 382,345
Franklin Bank National Associaton Southfield, MI..... 38,283 416,328
*Franklin Covey Co................................... 189,700 1,849,575
*Franklin Electronic Publishers, Inc................. 86,100 452,025
Freds, Inc. Class A.................................. 173,750 2,269,609
Frequency Electronics, Inc........................... 85,300 741,044
*Fresh Choice, Inc................................... 64,900 152,109
*Fresh Foods, Inc.................................... 80,000 517,500
*Friedman Billings Ramsey Group, Inc. Class A........ 165,000 1,722,187
Friedman Industries, Inc............................. 93,343 385,044
Friedmans, Inc. Class A.............................. 149,300 1,353,031
Frisch's Restaurants, Inc............................ 89,105 913,326
*Fritz Companies, Inc................................ 239,600 2,605,650
Frontier Insurance Group, Inc........................ 359,700 6,182,344
Frozen Food Express Industries, Inc.................. 299,100 2,093,700
*G-III Apparel Group, Ltd............................ 73,200 156,694
GA Financial, Inc.................................... 75,100 1,117,112
GBC Bancorp.......................................... 105,800 1,930,850
*GC Companies, Inc................................... 131,300 4,743,212
*GP Strategies Corp.................................. 119,615 1,196,150
*GZA Geoenvironmental Technologies, Inc.............. 36,500 161,969
*Gadzooks, Inc....................................... 123,000 1,180,031
Gainsco, Inc......................................... 316,400 1,443,575
*Galey & Lord, Inc................................... 138,500 571,312
*Galileo Corp........................................ 104,800 569,850
*GameTech International, Inc......................... 10,600 44,056
*Gantos, Inc......................................... 84,350 76,442
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Garan, Inc........................................... 58,000 $ 1,667,500
*Garden Fresh Restaurant Corp........................ 50,600 931,356
*Garden Ridge Corp................................... 31,200 190,125
*Gart Sports Co...................................... 16,137 109,933
*Gasonics International, Inc......................... 134,000 1,628,937
*Geerling & Wade, Inc................................ 27,500 156,406
*Gehl Co............................................. 68,600 1,412,731
*General Cigar Holdings, Inc. Class A................ 135,600 1,084,800
*General Communications, Inc. Class A................ 841,800 4,182,694
*#General Datacomm Industries, Inc................... 219,000 602,250
General Housewares Corp.............................. 50,700 633,750
*General Semiconductor, Inc.......................... 64,600 500,650
*General Surgical Innovations, Inc................... 152,600 591,325
*Genesis Health Ventures, Inc........................ 479,600 2,128,225
*#Geneva Steel Co. Class A........................... 93,000 34,875
*Genicom Corp........................................ 133,500 246,141
*Genlyte Group, Inc.................................. 85,500 1,835,578
*Gensym Corp......................................... 71,200 273,675
Geon Co.............................................. 5,600 168,700
*Geoscience Corp..................................... 50,000 334,375
Gerber Scientific, Inc............................... 292,000 6,825,500
*Getty Petroleum Marketing, Inc...................... 198,300 619,687
*Giant Group, Ltd.................................... 50,600 354,200
Giant Industries, Inc................................ 154,900 1,636,131
*Gibraltar Packaging Group, Inc...................... 67,200 84,000
Gibraltar Steel Corp................................. 41,300 903,437
*Gibson Greetings, Inc............................... 185,000 1,352,812
*Giga-Tronics, Inc................................... 19,900 42,909
*Gish Biomedical, Inc................................ 42,300 122,934
Glatfelter (P.H.) Co................................. 469,000 6,243,562
Gleason Corp......................................... 119,200 1,996,600
*Glenayre Technologies, Inc.......................... 681,800 2,450,219
*Global Industrial Technologies, Inc................. 265,900 3,307,131
*Globe Business Resources, Inc....................... 39,400 462,950
*#Golden Books Family Entertainment, Inc............. 90,800 31,326
Golden Enterprises, Inc.............................. 2,800 10,937
*Good Guys, Inc...................................... 218,300 685,598
Gorman-Rupp Co....................................... 36,500 590,844
*Gottschalks, Inc.................................... 157,300 1,297,725
*Government Technology Services, Inc................. 93,000 357,469
*Gradco Systems, Inc................................. 88,200 217,744
*Graham Corp......................................... 25,950 228,684
*Graham-Field Health Products, Inc................... 413,380 930,105
Grand Premier Financial, Inc......................... 65,897 780,468
Granite Construction, Inc............................ 9,000 252,562
Granite State Bankshares, Inc........................ 22,800 500,175
*Greenbriar Corp..................................... 10,700 22,069
Greenbrier Companies, Inc............................ 219,800 2,046,887
*Grey Wolf, Inc...................................... 128,200 264,412
*Griffin Land & Nurseries, Inc.
Class A............................................ 25,000 281,250
*Griffon Corp........................................ 144,900 1,159,200
*Group 1 Software, Inc............................... 16,900 173,225
Guarantee Life Companies, Inc........................ 105,400 2,088,237
*Guaranty Federal Bancshares, Inc.................... 5,600 65,275
*Guest Supply, Inc................................... 72,900 770,006
Guilford Mills, Inc.................................. 322,900 3,229,000
*Gulf Island Fabrication, Inc........................ 11,200 121,450
*Gulfmark Offshore, Inc.............................. 37,600 613,350
</TABLE>
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*Gundle/SLT Environmental, Inc....................... 267,900 $ 1,071,600
*Gymboree Corp....................................... 5,800 70,869
*HCIA, Inc........................................... 176,500 1,516,797
*HEI, Inc............................................ 10,200 45,900
*HF Bancorp, Inc..................................... 51,400 930,019
HF Financial Corp.................................... 51,950 772,756
*HMI Industries, Inc................................. 27,800 52,125
HMN Financial, Inc................................... 66,600 840,825
*HPSC, Inc........................................... 42,000 396,375
*HS Resources, Inc................................... 221,300 2,655,600
*Hadco Corp.......................................... 85,700 2,662,056
*Haemonetics Corp.................................... 64,800 1,231,200
Haggar Corp.......................................... 96,700 1,226,881
*Hahn Automotive Warehouse, Inc...................... 38,746 31,481
Halifax Corp......................................... 24,000 96,000
*Hallmark Capital Corp............................... 28,100 333,687
*Halter Marine Group, Inc............................ 196,400 1,448,450
*Hampshire Group, Ltd................................ 19,100 217,859
*Hampton Industries, Inc............................. 68,594 304,390
Hancock Fabrics, Inc................................. 22,000 125,125
*Handleman Co........................................ 484,436 5,722,400
Harbor Florida Bancshares, Inc....................... 6,600 78,994
*Harding Lawson Associates Group, Inc................ 53,700 453,094
Hardinge Brothers, Inc............................... 131,400 2,287,181
Harleysville Group, Inc.............................. 335,600 6,502,250
Harman International Industries, Inc................. 92,300 4,095,812
Harnischfeger Industries, Inc........................ 266,100 1,912,594
*Harry's Farmers Market, Inc. Class A................ 46,100 41,778
*Hartmarx Corp....................................... 687,800 3,396,012
*Harvey Entertainment Co............................. 51,100 325,762
*Hastings Entertainment, Inc......................... 55,000 629,062
Hastings Manufacturing Co............................ 1,700 23,587
*Hathaway Corp....................................... 45,300 76,444
*Hauser, Inc......................................... 116,700 288,103
Haven Bancorp, Inc................................... 100,100 1,401,400
Haverty Furniture Co., Inc........................... 140,100 4,132,950
*Hawaiian Airlines, Inc.............................. 145,900 401,225
*Hawker Pacific Aerospace............................ 84,000 225,750
*Hawthorne Financial Corp............................ 61,300 967,391
*#Hayes Corp......................................... 10,133 431
*Headway Corporate Resources, Inc.................... 93,700 430,434
*Health Management Systems, Inc...................... 123,100 700,131
*Health Risk Management, Inc......................... 50,600 521,812
*Health Systems Design Corp.......................... 60,000 262,500
*Healthcare Services Group, Inc...................... 138,300 1,270,631
*Healthcor Holdings.................................. 65,300 16,325
Healthplan Services Corp............................. 269,500 2,391,812
*Hector Communications Corp.......................... 8,500 79,687
Heilig-Meyers Co..................................... 697,250 4,837,172
*Heist (C.H.) Corp................................... 16,800 111,300
*Hello Direct, Inc................................... 84,100 954,009
Heritage Financial Corp.............................. 32,600 267,931
*Herley Industries, Inc.............................. 20,533 266,287
*Hexcel Corp......................................... 50,200 536,512
*Hi-Shear Industries, Inc............................ 53,500 137,930
*Hi-Tech Pharmacal, Inc.............................. 48,700 203,931
*#Hi/Fn, Inc......................................... 22,608 1,307,731
*High Plains Corp.................................... 177,300 371,222
*Highlands Insurance Group, Inc...................... 192,310 2,055,313
*Hirsch International Corp. Class A.................. 90,000 199,687
*Hoenig Group, Inc................................... 104,700 961,931
<CAPTION>
SHARES VALUE+
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*Holiday RV Superstores, Inc......................... 70,700 $ 254,078
Holly Corp........................................... 96,200 1,226,550
*Hollywood Casino Corp. Class A...................... 32,900 54,491
*Hollywood Entertainment Corp........................ 31,500 815,062
*Hollywood Park, Inc................................. 269,800 3,895,237
*Hologic, Inc........................................ 154,400 1,177,300
Home Bancorp......................................... 13,800 381,225
Home Federal Bancorp................................. 34,875 908,930
Home Port Bancorp, Inc............................... 14,500 357,062
*Home Products International, Inc.................... 124,450 1,046,158
*Homebase, Inc....................................... 468,150 2,662,603
*#Homegold Financial, Inc............................ 50,000 78,125
*Homestead Village, Inc.............................. 179,800 528,162
Horizon Financial Corp............................... 82,265 1,133,715
*Hospitality Worldwide Services, Inc................. 68,300 239,050
*Hot Topic, Inc...................................... 12,000 290,625
*Houston Exploration Co.............................. 358,400 6,742,400
*Hovnanian Enterprises, Inc. Class A................. 211,784 1,720,745
#Howell Corp......................................... 104,200 436,337
*Hub Group, Inc. Class A............................. 103,000 2,864,687
*Hudson Hotels Corp.................................. 14,300 19,662
*#Hudson Technologies, Inc........................... 61,600 177,100
Hudson United Bancorp................................ 29,530 904,356
Huffy Corp........................................... 136,900 1,839,594
Hughes Supply, Inc................................... 247,900 6,677,806
Hunt (J.B.) Transport Services, Inc.................. 376,300 6,373,581
Hunt Corp............................................ 21,500 216,344
Huntco, Inc. Class A................................. 84,500 242,937
*Hurco Companies, Inc................................ 73,000 469,937
*Hutchinson Technology, Inc.......................... 150,200 3,487,456
*#Hvide Marine, Inc. Class A......................... 110,500 202,008
*Hycor Biomedical, Inc............................... 77,700 121,406
*Hypercom Corp....................................... 139,500 985,219
*Hyseq, Inc.......................................... 179,100 593,269
*ICF Kaiser International, Inc....................... 123,000 61,500
*ICT Group, Inc...................................... 53,100 273,797
*ICU Medical, Inc.................................... 71,400 1,280,737
*IDT Corp............................................ 5,000 110,469
*IEC Electronics Corp................................ 118,600 429,925
*IFR Systems, Inc.................................... 124,200 489,037
*IHOP Corp........................................... 65,800 1,575,087
*II-VI, Inc.......................................... 139,600 1,260,762
*#IMC Mortgage Co.................................... 315,000 41,737
IMCO Recycling, Inc.................................. 205,000 3,433,750
ISB Financial Corp. LA............................... 87,300 1,860,581
*IT Group, Inc ...................................... 166,779 2,803,972
*ITC Learning Corp................................... 49,200 224,475
*ITEQ, Inc........................................... 305,059 638,717
*ITLA Capital Corp................................... 134,200 2,163,975
*IVI Checkmate Corp.................................. 107,905 318,657
Ico, Inc............................................. 241,800 306,028
*Ikos Systems, Inc................................... 144,100 1,251,869
*Imation Corp........................................ 153,500 3,607,250
*Immucor, Inc........................................ 61,100 752,294
*Immulogic Pharmaceutical Corp....................... 280,100 529,564
*Imperial Credit Industries, Inc..................... 287,300 2,388,181
Imperial Sugar Co.................................... 298,300 1,808,444
*In Focus Systems, Inc............................... 285,300 3,004,566
*Inacom Corp......................................... 277,000 3,064,312
*Inco Homes Corp..................................... 156 263
Independence Holding Co.............................. 52,600 581,887
#Independent Bank East............................... 21,877 374,644
</TABLE>
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Industrial Bancorp, Inc.............................. 29,200 $ 605,900
*Industrial Distribution Group, Inc.................. 155,000 1,046,250
*Inference Corp. Class A............................. 115,000 549,844
*#Infonautics Corp. Class A.......................... 64,100 396,619
*Information Management Associates, Inc.............. 92,600 306,737
*Information Resources, Inc.......................... 378,700 3,230,784
Ingles Market, Inc. Class A.......................... 130,700 1,580,653
*Innodata Corp....................................... 3,866 39,385
*#Innovative Gaming Corp. of America................. 6,600 15,056
*#Inprise Corp....................................... 81,200 294,350
*Input Software, Inc................................. 86,400 491,400
*Input/Output, Inc................................... 191,000 1,623,500
*Insilco Holding Co.................................. 432 10,422
*Insituform East, Inc................................ 31,200 38,025
*Insituform Technologies, Inc. Class A............... 220,900 3,679,366
*Inso Corp........................................... 115,700 790,014
Insteel Industries, Inc.............................. 93,400 805,575
Instron Corp......................................... 63,500 1,262,062
*Insurance Auto Auctions, Inc........................ 141,500 1,839,500
*Integra, Inc........................................ 104,800 144,100
*Integrated Device Technology, Inc................... 526,087 4,159,375
*Integrated Health Services, Inc..................... 67,400 395,975
*Integrated Measurement System, Inc.................. 83,800 932,275
*Integrated Orthopedics, Inc......................... 1,300 1,462
*Integrated Silicon Solution, Inc.................... 214,300 569,234
*#Intellicall, Inc................................... 29,500 57,156
*Intelligent Systems Corp............................ 52,375 160,398
*Interface Systems, Inc.............................. 49,600 116,250
Interface, Inc. Class A.............................. 401,200 3,134,375
*Intergraph Corp..................................... 792,900 6,318,422
*Interlink Electronics............................... 55,000 387,578
*Interlinq Software Corp............................. 62,200 496,628
*Intermagnetics General Corp......................... 131,480 1,027,187
International Aluminum Corp.......................... 48,900 1,363,087
International Multifoods Corp........................ 275,400 6,058,800
*International Rectifier Corp........................ 709,600 7,716,900
*International Remote Imaging Systems, Inc........... 6,200 8,525
International Shipholding Corp....................... 71,475 996,183
*International Speciality Products, Inc.............. 49,100 460,313
*International Thoroughbred Breeders, Inc............ 110,000 34,375
*International Total Services, Inc................... 74,900 285,556
*Interphase Corp..................................... 65,100 935,813
Interpool, Inc....................................... 428,400 5,381,775
*Intertan, Inc....................................... 190,200 2,936,213
*Intervisual Books, Inc. Class A..................... 9,900 11,138
*Intervoice, Inc..................................... 119,800 1,329,031
Investors Title Co................................... 18,200 367,413
*Ionics, Inc......................................... 134,100 4,199,006
*Iridex Corp......................................... 74,300 315,775
Isco, Inc............................................ 84,600 475,875
*Isle of Capri Casinos, Inc.......................... 323,400 2,278,959
*Isolyser Co., Inc................................... 597,600 2,119,613
*#Itron, Inc......................................... 33,900 280,734
*Iwerks Entertainment, Inc........................... 191,700 176,723
*J & J Snack Foods Corp.............................. 100,100 2,064,563
*J. Alexander's Corp................................. 71,400 294,525
*JDA Software Group, Inc............................. 41,600 371,800
*JLK Direct Distribution, Inc. Class A............... 103,000 1,133,000
<CAPTION>
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JSB Financial, Inc................................... 105,400 $ 5,401,750
*JWGenesis Financial Corp............................ 6,500 106,031
*Jackpot Enterprises, Inc............................ 100,600 836,238
Jacksonville Bancorp, Inc............................ 12,700 201,613
*Jaclyn, Inc......................................... 26,900 80,700
*Jaco Electronics, Inc............................... 70,446 268,575
*Jacobson Stores, Inc................................ 63,550 468,681
*Jan Bell Marketing, Inc............................. 310,100 949,681
*Jason, Inc.......................................... 217,500 1,835,156
*Jean Philippe Fragrances, Inc....................... 103,200 844,950
Jefferson Savings Bancorp, Inc....................... 60,000 733,125
*Jevic Transportation, Inc........................... 7,600 77,663
*Jo-Ann Stores, Inc. Class A......................... 35,700 600,206
*Jo-Ann Stores, Inc. Class B......................... 35,700 457,406
*Johnson Worldwide Associates, Inc. Class A.......... 122,100 1,091,269
*Johnston Industries, Inc............................ 117,525 264,431
*Johnstown American Industries, Inc.................. 117,900 1,849,556
*Jones Intercable, Inc............................... 8,900 466,138
*Jos. A. Bank Clothiers, Inc......................... 117,300 841,261
*Jps Packaging Company............................... 59,650 290,794
*Jumbosports, Inc.................................... 40,700 4,986
*#Just for Feet, Inc................................. 98,900 751,022
*Just Toys, Inc...................................... 7,000 9,188
Justin Industries, Inc............................... 345,800 4,592,656
K Swiss, Inc. Class A................................ 61,800 3,553,500
*K-Tron International, Inc........................... 6,300 111,038
K2, Inc.............................................. 200,000 1,987,500
*KBK Capital Corp.................................... 65,000 422,500
KCS Energy, Inc...................................... 539,900 303,694
*KLLM Transport Services, Inc........................ 52,099 351,668
*KVH Industries, Inc................................. 59,200 144,300
*Kaiser Aluminum Corp................................ 388,615 3,400,381
*Kaiser Ventures, Inc................................ 121,400 1,699,600
Kaman Corp. Class A.................................. 256,400 3,413,325
*Kasper A.S.L., Ltd.................................. 27,000 156,938
Katy Industries, Inc................................. 135,800 2,232,213
Kaye Group, Inc...................................... 40,000 291,250
Keithley Instruments, Inc............................ 9,500 81,938
Kellwood Co.......................................... 309,918 7,360,553
*Kemet Corp.......................................... 394,400 6,335,050
Kenan Transport Co................................... 200 6,300
Kennametal, Inc...................................... 45,300 1,288,219
*Kent Electronics Corp............................... 151,450 1,978,316
*Kentucky Electric Steel, Inc........................ 32,600 99,838
Kentucky First Bancorp, Inc.......................... 11,700 140,400
*Kevco, Inc.......................................... 19,800 123,750
Kewaunee Scientific Corp............................. 30,800 296,450
*Key Energy Group, Inc............................... 77,600 247,350
*Key Production Co., Inc............................. 145,612 1,237,702
*Key Technology, Inc................................. 50,500 435,563
*Key Tronic Corp..................................... 144,400 771,638
*Keystone Consolidated Industries, Inc............... 114,586 837,910
Kimball International, Inc. Class B.................. 350,400 6,285,300
*Kimmins Corp........................................ 44,000 55,688
*Kinark Corp......................................... 73,400 165,150
*Kinnard Investment, Inc............................. 71,100 287,733
*Kit Manufacturing Co................................ 11,100 74,925
*Kitty Hawk, Inc..................................... 106,500 842,016
Klamath First Bancorp, Inc........................... 131,900 2,069,181
Knape & Vogt Manufacturing Co........................ 34,031 535,988
</TABLE>
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*Komag, Inc.......................................... 587,600 $ 2,221,863
*Koss Corp........................................... 45,700 562,681
*Krug International Corp............................. 65,400 106,275
*Kulicke & Soffa Industries, Inc..................... 239,900 5,052,894
LNR Property Corp.................................... 209,700 4,194,000
LSB Industries, Inc.................................. 99,500 186,563
LSI Industries, Inc.................................. 5,830 128,989
LTV Corp............................................. 603,200 3,694,600
*LTX Corp............................................ 380,500 3,400,719
*La Jolla Pharmceutical Co........................... 135,000 145,547
LaCrosse Footwear, Inc............................... 10,600 86,125
Lab Holdings, Inc.................................... 61,300 862,031
*Laboratory Corp. of America Holdings, Inc........... 424,700 1,061,750
*Labtec, Inc......................................... 17,833 93,623
*Laclede Steel Co.................................... 44,100 19,983
*Ladd Furniture, Inc................................. 87,327 1,790,204
*Lai Worldwide, Inc.................................. 47,000 279,063
*Lakeland Industries, Inc............................ 3,600 22,725
*Lakes Gaming, Inc................................... 115,225 1,346,692
*Lam Research Corp................................... 245,600 6,807,725
*Lamson & Sessions Co................................ 154,700 908,863
*Lancer Corp......................................... 69,000 539,063
*Landair Corp........................................ 16,200 77,203
Landamerica Financial Group, Inc..................... 160,112 4,593,213
*Landrys Seafood Restaurants, Inc.................... 362,300 3,351,275
*Larscom, Inc........................................ 63,000 159,469
*#LaserSight Corporation............................. 120,300 2,078,934
Lawson Products, Inc................................. 250,000 6,218,750
*Layne Christensen Co................................ 101,900 681,456
*Lazare Kaplan International, Inc.................... 80,500 764,750
*Leapnet, Inc........................................ 113,300 279,709
*#Leasing Solutions, Inc............................. 91,100 96,794
*Lechters, Inc....................................... 226,400 523,550
Lesco, Inc........................................... 52,900 938,975
Life USA Holdings, Inc............................... 424,800 8,482,725
*Lifeline Systems, Inc............................... 14,400 268,200
Lifetime Hoan Corp................................... 104,200 937,800
Lillian Vernon Corp.................................. 112,400 1,447,150
*Lindal Cedar Homes, Inc............................. 8,000 16,250
Lindberg Corp........................................ 73,000 857,750
*Lodgenet Entertainment Corp......................... 134,000 1,666,625
*#Lodgian, Inc....................................... 396,900 2,778,300
*Loehmanns, Inc...................................... 78,000 69,468
*Loews Cineplex Entertainment Corp................... 36,400 348,075
*#Logic Devices, Inc................................. 73,800 255,994
*Lone Star Steakhouse Saloon......................... 484,100 4,916,641
*Lone Star Technologies, Inc......................... 124,100 1,931,306
Longview Fibre Co.................................... 231,500 3,139,719
*Loronix Information Systems, Inc.................... 52,800 524,700
*Louis Dreyfus Natural Gas Corp...................... 484,900 9,455,550
Luby's Cafeterias, Inc............................... 44,700 759,900
Lufkin Industries, Inc............................... 86,600 1,453,256
*Lumisy, Inc......................................... 98,800 382,850
*Lunar Corp.......................................... 93,850 777,195
*Lydall, Inc. DE..................................... 279,000 3,365,438
*Lynch Corp.......................................... 6,200 482,050
M.A. Hanna Co........................................ 48,200 710,950
*M.H. Meyerson & Co., Inc............................ 47,800 373,438
M/A/R/C, Inc......................................... 5,002 74,874
*MB Financial, Inc................................... 28,200 378,938
MDC Holdings, Inc.................................... 274,288 5,417,188
<CAPTION>
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*MEMC Electronic Materials, Inc...................... 378,300 $ 3,120,975
MFB Corp............................................. 19,200 411,600
*MFRI, Inc........................................... 54,900 248,766
*MHM Services, Inc................................... 712 423
MI Schottenstein Homes, Inc.......................... 108,800 2,108,000
*MIM Corp............................................ 44,000 119,625
MMI Companies, Inc................................... 208,600 3,598,350
*#MRV Communications, Inc............................ 246,300 2,878,631
*MS Carriers, Inc.................................... 134,000 4,262,875
MTS Systems Corp..................................... 143,200 1,682,600
MYR Group, Inc....................................... 57,610 871,351
*Magellan Health Services, Inc....................... 138,500 1,116,656
*Magnetek, Inc....................................... 301,000 3,047,625
*Magnum Hunter Resources, Inc........................ 60,400 218,950
*Main Street & Main, Inc............................. 109,300 389,381
*Mallon Resources Corp............................... 20,800 182,000
*Manchester Equipment Co., Inc....................... 63,100 205,075
*Manugistic Group, Inc............................... 202,300 1,827,022
*Mapinfo Corp........................................ 88,600 1,672,325
Marcus Corp.......................................... 213,250 2,678,953
*Marine Drilling Companies, Inc...................... 17,000 244,375
*Marine Transport Corp............................... 118,670 508,056
*Mariner Post-Acute Network, Inc..................... 307,300 691,425
*Marisa Christina, Inc............................... 94,000 73,438
Maritrans, Inc....................................... 143,700 826,275
*Marlton Technologies, Inc........................... 81,100 380,156
Marsh Supermarkets, Inc. Class A..................... 42,900 638,138
Marsh Supermarkets, Inc. Class B..................... 56,900 711,250
*Marshall Industries................................. 214,000 3,771,750
Massbank Corp. Reading, MA........................... 40,266 1,509,975
*Matec Corp.......................................... 6,900 25,013
*Material Sciences Corp.............................. 311,200 3,462,100
*Matlack Systems, Inc................................ 94,642 490,955
*Matria Healthcare, Inc.............................. 567,300 3,368,344
*Matrix Pharmaceutical, Inc.......................... 305,900 1,438,686
*Matrix Service Co................................... 106,900 420,919
*Mattson Technology, Inc............................. 215,500 1,548,906
*Maverick Tube Corp.................................. 172,200 2,233,219
*Max & Ermas Restaurants, Inc........................ 41,900 303,775
*Maxco, Inc.......................................... 38,500 257,469
*Maxicare Health Plans, Inc.......................... 182,800 908,288
*Maxim Group, Inc.................................... 295,000 2,655,000
*Maxxam, Inc......................................... 93,300 5,714,625
*Maxxim Medical, Inc................................. 161,500 2,563,813
*Maynard Oil Co...................................... 53,500 521,625
McGrath Rent Corp.................................... 80,000 1,510,000
*McNaughton Apparel Group, Inc....................... 105,000 636,563
McRae Industries, Inc. Class A....................... 1,000 5,875
*McWhorter Technologies, Inc......................... 123,500 1,713,563
*Meadow Valley Corp.................................. 30,000 138,750
Meadowbrook Insurance Group, Inc..................... 169,300 2,285,550
*Medaphis Corp....................................... 1,117,700 5,553,572
Medford Bancorp, Inc................................. 103,600 1,709,400
*Media 100, Inc...................................... 98,500 661,797
*#Media Logic, Inc................................... 20,100 6,281
*Medical Action Industries, Inc...................... 26,000 77,188
*Medical Alliance, Inc............................... 102,900 276,544
*Medical Graphics Corp............................... 41,700 56,034
*#Medical Resources, Inc............................. 63,218 132,363
*Medicore, Inc....................................... 58,600 62,263
*Medirisk, Inc....................................... 38,200 395,131
*Medstone International, Inc......................... 57,700 420,128
</TABLE>
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Merchants Bancorp, Inc............................... 39,400 $ 1,090,888
Merchants Group, Inc................................. 25,600 560,000
*Mercury Air Group, Inc.............................. 15,300 101,363
*Meridian Data, Inc.................................. 142,900 1,080,681
Meridian Insurance Group, Inc........................ 51,700 856,281
*Meridian Medical Technology, Inc.................... 1,300 7,841
*Meridian Resource Corp.............................. 161,000 865,375
*Merisel, Inc........................................ 335,800 781,784
*Merix Corp.......................................... 77,100 462,600
*Merrimac Industries, Inc............................ 11,770 82,390
*Mesa Air Group, Inc................................. 464,100 3,060,159
*Mesa Labs, Inc...................................... 17,000 79,156
*Mestek, Inc......................................... 13,500 275,063
*Metacreations Corp.................................. 69,600 411,075
*#Metal Management, Inc.............................. 409,500 755,016
*Metals USA, Inc..................................... 72,200 830,300
*Metatec Corp. Class A............................... 100,600 449,556
*Metra Biosystems, Inc............................... 140,600 151,584
*Metrika System Corp................................. 55,000 525,938
*Metrocall, Inc...................................... 461,710 1,349,059
*Metromedia International Group, Inc................. 544,500 4,526,156
*Michael Anthony Jewelers, Inc....................... 81,500 320,906
Michael Foods, Inc................................... 173,981 4,077,680
*Michaels Stores, Inc................................ 569,900 15,280,444
*Micrion Corp........................................ 52,300 627,600
*Micro Linear Corp................................... 173,100 624,783
*Micro Warehouse, Inc................................ 495,800 7,700,394
*Microage, Inc....................................... 242,900 1,358,722
*Microcide Pharmaceuticals, Inc...................... 90,200 379,122
*Microsemi Corp...................................... 27,600 268,238
*Microtest, Inc...................................... 93,700 248,891
*Microtouch Systems, Inc............................. 122,600 1,800,688
*Microwave Power Dynamics, Inc....................... 117,900 1,783,238
Mid America Banccorp................................. 85,743 2,079,268
*Mid Atlantic Medical Services, Inc.................. 631,300 6,549,738
*Middleby Corp....................................... 170,000 823,438
Middlesex Water Co................................... 7,500 177,891
Midland Co........................................... 16,800 411,600
*Midway Airlines Corp................................ 64,000 660,000
*Midwest Grain Products, Inc......................... 117,500 1,094,219
Mikasa, Inc.......................................... 198,400 2,207,200
*Mikohn Gaming Corp.................................. 120,100 457,881
Milacron, Inc........................................ 2,500 53,281
*Miller Building Systems, Inc........................ 27,300 162,094
*Miller Industries, Inc.............................. 79,900 384,519
*Miltope Group, Inc.................................. 68,100 78,741
Mine Safety Appliances Co............................ 37,600 2,375,850
Minuteman International, Inc......................... 9,000 82,688
Mississippi Chemical Corp............................ 381,500 3,671,938
*Mitcham Industries, Inc............................. 20,900 89,152
Mitchell Energy & Development Corp. Class A.......... 22,200 355,200
Mitchell Energy & Development Corp. Class B.......... 34,300 553,088
Mobile America Corp.................................. 32,700 125,691
*Monaco Coach Corp................................... 22,300 669,000
*Monarch Casino and Resort, Inc...................... 5,200 30,713
*Monarch Dental Corp................................. 137,900 495,578
Monarch Machine Tool Co.............................. 42,400 373,650
*Monro Muffler Brake, Inc............................ 93,730 793,776
Monterey Bay Bancorp, Inc............................ 44,500 645,250
*Moog, Inc. Class A.................................. 54,000 1,481,625
<CAPTION>
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<S> <C> <C>
*Moog, Inc. Class B.................................. 12,800 $ 477,600
*Moore Handley, Inc.................................. 2,000 4,125
*Moore Medical Corp.................................. 42,100 444,681
Moore Products Co.................................... 40,400 944,350
*Morgan Products, Ltd................................ 157,100 584,216
*Morrison Knudsen Corp............................... 185,600 1,844,400
*Morrow Snowboards, Inc.............................. 22,500 4,922
*Mosaix, Inc......................................... 68,200 709,706
*Mother's Work, Inc.................................. 67,000 749,563
*Motor Car Parts & Accessories, Inc.................. 52,800 305,250
*Motor Club of America............................... 5,600 70,875
Movado Group, Inc.................................... 147,600 3,560,850
*Movie Gallery, Inc.................................. 210,500 1,295,891
Mueller (Paul) Co.................................... 6,100 198,059
*Multi Color Corp.................................... 7,600 51,063
*Multigraphics, Inc.................................. 8,000 17,000
*Multiple Zones International, Inc................... 172,000 1,526,500
*Mutual Savings Bank FSB Bay City, MI................ 50,900 656,928
*Mylex Corp.......................................... 225,500 1,190,922
*N & F Worldwide Corp................................ 217,900 1,688,725
*NABI, Inc........................................... 567,100 1,612,691
NBT Bancorp.......................................... 96,521 2,002,811
NCH Corp............................................. 84,400 4,631,450
*NCS Healthcare, Inc................................. 152,900 2,083,263
*NPS Pharmaceuticals, Inc............................ 173,700 1,215,900
*NS Group, Inc....................................... 260,300 1,854,638
NYMAGIC, Inc......................................... 132,700 1,658,750
Nacco Industries, Inc. Class A....................... 15,000 1,119,375
*Napco Security Systems, Inc......................... 52,300 150,363
Nash Finch Co........................................ 125,900 1,172,444
*Nashua Corp......................................... 89,800 1,021,475
*Nastech Pharmaceutical Co., Inc..................... 95,600 253,938
*Nathans Famous, Inc................................. 58,400 220,825
*National City Bancorp............................... 99,514 1,990,280
*National Home Centers, Inc.......................... 70,500 88,125
*National Home Health Care Corp...................... 58,211 252,854
National Presto Industries, Inc...................... 87,900 3,279,769
*National Processing, Inc............................ 56,400 338,400
*National Record Mart, Inc........................... 55,700 419,491
*National Research Corp.............................. 78,000 209,625
*National Standard Co................................ 3,600 21,375
National Steel Corp. Class B......................... 406,100 3,096,513
National Technical Systems, Inc...................... 58,000 261,000
*National Techteam, Inc.............................. 255,500 1,365,328
*National Western Life Insurance Co. Class A......... 24,300 2,343,431
*Natural Alternatives International, Inc............. 60,500 217,422
*Natural Microsystems Corp........................... 96,500 591,063
*Natural Wonders, Inc................................ 89,100 331,341
*Navigators Group, Inc............................... 2,100 29,925
Nelson (Thomas), Inc................................. 146,800 1,440,475
*Neopath, Inc........................................ 125,000 496,094
*Netmanage, Inc...................................... 697,613 1,842,134
*Netrix Corp......................................... 111,500 369,344
*Network Computing Devices, Inc...................... 177,600 843,600
*Network Equipment Technologies, Inc................. 361,900 3,754,713
*Network Peripherals, Inc............................ 137,800 1,993,794
*Neurocrine Biosciences, Inc......................... 81,100 440,981
*New Brunswick Scientific Co., Inc................... 65,115 610,453
</TABLE>
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*New Horizons Worldwide, Inc......................... 55,100 $ 1,105,444
New Jersey Resources Corp............................ 44,912 1,695,428
*New Mexico & Arizona Land Co........................ 83,468 626,010
*Newcor, Inc......................................... 59,942 284,725
Newmil Bancorp, Inc.................................. 41,100 413,569
*Newpark Resources, Inc.............................. 218,000 1,962,000
Newport Corp......................................... 74,700 1,134,506
*Nexthealth, Inc..................................... 81,300 88,922
*#Niagara Corp....................................... 103,900 743,534
*Nichols Research Corp............................... 13,650 278,119
*Nine West Group..................................... 384,000 10,656,000
*Nitches, Inc........................................ 3,679 12,417
*Nitinol Medical Technologies, Inc................... 113,100 353,438
*Nobel Learning Communities, Inc..................... 67,500 371,250
*Noel Group, Inc..................................... 95,400 62,606
Noland Co............................................ 2,000 39,625
*Noodle Kidoodle, Inc................................ 86,000 556,313
*Norstan, Inc........................................ 60,800 685,900
*Nortek, Inc......................................... 43,200 1,323,000
North Central Bancshares, Inc........................ 38,900 692,906
*North Face, Inc..................................... 155,700 1,396,434
Northeast Bancorp.................................... 19,000 199,500
Northland Cranberries, Inc. Class A.................. 65,400 590,644
Northrim Bank........................................ 330 3,578
*Northwest Pipe Co................................... 23,000 395,313
*Northwestern Steel & Wire Co........................ 312,200 380,494
*Novacare, Inc....................................... 947,400 2,013,225
*Novametrix Medical Systems, Inc..................... 6,500 28,031
*Nu Horizons Electronics Corp........................ 108,700 672,581
*Nuevo Energy Co..................................... 225,500 3,438,875
*Numerex Corp. Class A............................... 66,000 245,438
*O'Charleys, Inc..................................... 5,000 65,313
O'Sullivan Corp...................................... 173,600 1,540,700
*O'Sullivan Industries Holdings, Inc................. 219,000 3,640,875
*O.I. Corp........................................... 48,200 230,456
*ODS Networks, Inc................................... 124,500 427,969
*OMI Corp............................................ 489,200 1,284,150
*OMNI Energy Services Corp........................... 45,400 198,625
*OSI Pharmaceutical, Inc............................. 91,500 503,250
*OSI Systems, Inc.................................... 48,500 260,688
*OTR Express, Inc.................................... 15,000 54,375
*Oak Technology, Inc................................. 715,500 2,493,070
Oakwood Homes Corp................................... 27,000 337,500
*Objective Systems Integrators, Inc.................. 360,300 1,030,233
Ocean Financial Corp................................. 151,300 2,652,478
*Oceaneering International, Inc...................... 259,000 3,998,313
*Ocwen Financial Corp................................ 57,900 503,006
*Offshore Logistics, Inc............................. 351,700 3,967,616
Oglebay Norton Co.................................... 32,000 782,000
Ohio Art Co.......................................... 3,800 59,375
Oil-Dri Corp. of America............................. 50,800 781,050
*Old Dominion Freight Lines, Inc..................... 133,400 1,567,450
*Olin Corp........................................... 15,000 198,750
Olsten Corp.......................................... 236,800 2,101,600
*Olympic Steel, Inc.................................. 186,000 1,429,875
*Omega Health System, Inc............................ 12,100 91,884
*Omega Protein Corp.................................. 90,000 551,250
*Omtool, Ltd......................................... 257,000 979,813
*On Command Corp..................................... 77,300 1,079,784
*One Price Clothing Stores, Inc...................... 125,500 515,727
*Ontrack Data International, Inc..................... 8,200 38,181
*Onyx Acceptance Corp................................ 91,500 723,422
<CAPTION>
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*Onyx Pharmacueticals, Inc........................... 91,700 $ 739,331
*Opinion Research Corp............................... 43,900 235,963
*Opta Food Ingredients, Inc.......................... 171,600 560,381
*Opti, Inc........................................... 161,200 1,022,613
Optical Coating Laboratory, Inc...................... 53,200 3,454,675
*Optical Sensors, Inc................................ 6,800 7,438
*Optika Imaging Systems, Inc......................... 111,500 682,938
*Option Care, Inc.................................... 2,800 6,563
*Orange Co., Inc..................................... 113,400 581,175
Oregon Steel Mills, Inc.............................. 288,761 3,952,416
Oregon Trail Financial Corp.......................... 9,100 118,016
*#Oriole Homes Corp. Class A Convertible............. 20,500 39,078
*Oriole Homes Corp. Class B.......................... 29,400 55,125
*Orleans Homebuilders, Inc........................... 20,100 37,688
*Oroamerica, Inc..................................... 102,400 784,000
*Ortel Corp.......................................... 41,000 440,750
*Orthologic Corp..................................... 321,400 858,741
Oshkosh B'Gosh, Inc. Class A......................... 41,600 821,600
Oshkosh Truck Corp. Class B.......................... 86,400 3,418,200
*Oshman's Sporting Goods, Inc........................ 65,700 172,463
*Osmonics, Inc....................................... 157,600 1,851,800
*#Ostex International, Inc........................... 105,600 136,950
*Outlook Group Corp.................................. 45,500 173,469
*Outsource International, Inc........................ 54,400 243,950
Overseas Shipholding Group, Inc...................... 211,600 2,645,000
Owosso Corp.......................................... 98,000 514,500
Oxford Industries, Inc............................... 107,400 2,980,350
*P-Com, Inc.......................................... 35,900 158,745
*PAM Transportation Services, Inc.................... 44,500 403,281
*PC Service Source, Inc.............................. 85,800 327,113
*PIA Merchandising Services, Inc..................... 11,500 29,469
*PLM International, Inc.............................. 94,800 568,800
*PMR Corp............................................ 74,100 289,453
*PPT Vision, Inc..................................... 89,000 422,750
*PS Group Holdings, Inc.............................. 31,500 346,500
PXRE Corp............................................ 216,583 4,033,858
*Pameco Corp......................................... 61,300 478,906
Pamrapo Bancorp, Inc................................. 32,300 744,919
*Pancho's Mexican Buffet, Inc........................ 14,600 56,119
*Panera Bread CO..................................... 205,800 1,440,600
*Par Technology Corp................................. 135,500 880,750
*Paragon Trade Brands, Inc........................... 142,500 356,250
Park Electrochemical Corp............................ 100,300 2,400,931
*Park Place Entertainment Corp....................... 245,900 2,581,950
*Parker Drilling Co.................................. 898,400 2,807,500
*Park-Ohio Holdings Corp............................. 127,300 2,060,669
Parkvale Financial Corp.............................. 49,925 1,051,545
*Parlex Corp......................................... 68,000 943,500
*Parlux Fragrances, Inc.............................. 189,800 385,531
#Patina Oil & Gas Corp............................... 236,126 1,210,146
Patrick Industries, Inc.............................. 68,800 894,400
*Patterson Energy, Inc............................... 189,700 1,573,917
*Paul Harris Stores, Inc............................. 119,300 771,722
Paula Financial, Inc................................. 39,900 342,891
*#Paul-Son Gaming Corp............................... 22,700 136,909
*Paxson Communications Corp.......................... 528,300 6,834,881
*Payless Cashways, Inc............................... 4,156 8,572
*Paymentech, Inc..................................... 645,500 16,177,844
*Pediatric Services of America, Inc.................. 83,900 128,472
Peerless Manufacturing Co............................ 16,000 170,500
Penford Corp......................................... 70,300 924,884
</TABLE>
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*Penn National Gaming, Inc........................... 2,500 $ 23,359
*#Penn Traffic Co.................................... 116,000 25,520
*Penn Treaty American Corp........................... 87,600 2,206,425
Penn Virginia Corp................................... 147,000 2,848,125
Penn-America Group, Inc.............................. 134,000 1,474,000
Penncorp Financial Group, Inc........................ 119,900 67,444
Pennfed Financial Services, Inc...................... 112,200 1,633,913
*Pentacon, Inc....................................... 75,000 370,313
*Penwest Pharmaceuticals Company..................... 75,750 662,813
Peoples Bancor....................................... 350,400 3,646,350
Peoples Bancshares, Inc. Massachusetts............... 32,400 629,775
*#Peoples Choice TV Corp............................. 187,000 1,747,281
*Perceptron, Inc..................................... 86,200 436,388
*Perini Corp......................................... 59,300 296,500
*Periphonics Corp.................................... 64,500 689,344
*Perrigo Co.......................................... 581,700 5,326,191
*Personnel Group of America, Inc..................... 73,600 837,200
*Petco Animal Supplies, Inc.......................... 142,100 2,002,722
*Petrocorp, Inc...................................... 95,200 571,200
*Petroglyph Energy, Inc.............................. 6,900 18,759
*Petroleum Development Corp.......................... 168,100 764,330
*Pharmaceutical Marketing Services, Inc.............. 10,400 154,050
*Pharmaceutical Resources, Inc....................... 37,200 285,975
*Pharmchem Laboratories, Inc......................... 64,900 168,334
*Phar-Mor, Inc....................................... 202,200 966,769
*Phillips (R.H.), Inc................................ 15,000 49,219
Phillips-Van Heusen Corp............................. 458,100 4,008,375
*Phoenix International Life Sciences, Inc............ 7,478 63,097
*Phoenix International, Ltd.......................... 41,750 262,242
Phoenix Investment Partners, Ltd..................... 470,000 4,611,875
*Phoenix Technologies, Ltd........................... 88,900 966,788
*Photo Control Corp.................................. 4,200 7,088
*Photon Dynamics, Inc................................ 118,300 1,051,761
*Phycor, Inc......................................... 274,200 1,923,684
*Phymatrix Corp...................................... 261,200 428,531
*Physician Reliance Network, Inc..................... 658,000 6,148,188
Piccadilly Cafeterias, Inc........................... 140,800 1,496,000
*Pico Holdings, Inc.................................. 70,320 1,423,980
*Picturetel Corp..................................... 739,000 6,535,531
*Piercing Pagoda, Inc................................ 7,600 93,100
*Pilgrim America Capital Corp........................ 64,350 1,278,956
Pilgrim Pride Corp................................... 406,200 8,403,263
Pillowtex Corp....................................... 165,900 2,695,875
Pinnacle Bancshares, Inc............................. 9,800 99,225
*Pinnacle Global Group, Inc.......................... 27,900 170,888
*Pinnacle Systems, Inc............................... 37,300 1,918,619
Pioneer Standard Electronics, Inc.................... 402,400 3,935,975
Pitt-Des Moines, Inc................................. 80,000 2,020,000
Pittston Co. Burlington Group........................ 376,900 4,075,231
*Planar Systems, Inc................................. 141,100 1,137,619
*#Planet Hollywood, Inc.............................. 1,714,900 1,500,538
*Plasma-Therm, Inc................................... 4,700 14,394
*Play By Play Toys and Novelties, Inc................ 19,300 101,325
*Players International, Inc.......................... 448,900 2,931,878
*#Pluma, Inc......................................... 121,000 15,125
Pocahontas Bancorp, Inc.............................. 2,600 18,688
*Polymedica Industries, Inc.......................... 96,540 835,674
*Polymer Group, Inc.................................. 615,500 7,539,875
*Pool Energy Services Co............................. 237,058 3,963,313
<CAPTION>
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Pope & Talbot, Inc................................... 233,500 $ 2,335,000
*Porta Systems Corp.................................. 5,100 9,881
*Powell Industries, Inc.............................. 49,000 486,938
*Powercerv Corp...................................... 191,000 417,813
*Powerhouse Technologies, Inc........................ 168,600 3,113,831
*Power-One, Inc...................................... 10,000 163,438
*Powertel, Inc....................................... 279,700 6,940,056
*Praegitzer Industries, Inc.......................... 25,600 139,200
*Precision Response, Corp............................ 258,600 1,519,275
*Premiumwear, Inc.................................... 33,100 184,119
Presidential Life Corp............................... 343,700 6,304,747
*Price Communications Corp........................... 665,233 9,479,570
*Pricesmart, Inc..................................... 36,850 930,463
*Pride International, Inc............................ 338,200 3,529,963
*Primark Corp........................................ 109,300 2,957,931
Prime Bancorp, Inc................................... 51,694 1,392,507
*Prime Hospitality Corp.............................. 326,300 3,405,756
*Prime Medical Services, Inc......................... 147,000 1,097,906
Primesource Corp..................................... 67,254 439,253
*Printronix, Inc..................................... 87,100 1,230,288
*Priority Healthcare Corp............................ 90,360 3,100,478
*Procurenet, Inc..................................... 22,400 0
*Procyte Corp........................................ 76,300 56,033
*Programmers Paradise, Inc........................... 67,100 733,906
Progress Financial Corp.............................. 28,665 478,347
*Progress Software Corp.............................. 59,400 1,551,825
*ProMedCo Management Company......................... 267,200 1,093,850
*Protection One, Inc................................. 82,000 448,438
*Protocol Systems, Inc............................... 116,000 1,105,625
Providence & Worcester Railroad Co................... 19,300 275,025
*Provident Financial Holdings, Inc................... 46,700 868,328
*Proxim, Inc......................................... 85,900 3,285,675
Pulaski Furniture Corp............................... 33,200 693,050
*Pulsepoint Communications Corp...................... 6,250 33,789
*#Pure World, Inc.................................... 79,200 341,550
*Pyramid Breweries, Inc.............................. 86,300 168,555
*QEP Co., Inc........................................ 12,200 93,025
*QMS, Inc............................................ 139,200 617,700
*Qad, Inc............................................ 22,300 77,353
*Quad Systems Corp................................... 68,000 129,625
Quaker Chemical Corp................................. 71,600 1,244,050
*Quaker City Bancorp, Inc............................ 63,562 1,064,664
*Quaker Fabric Corp.................................. 183,300 922,228
*Quality Dining, Inc................................. 198,500 607,906
*Quality Systems, Inc................................ 78,500 456,281
Quanex Corp.......................................... 205,000 5,355,625
*Quest Diagnostics, Inc.............................. 452,200 11,559,363
*Quidel Corp......................................... 36,000 83,250
*Quintel Entertainment, Inc.......................... 34,000 55,781
Quipp, Inc........................................... 700 9,625
Quixote Corp......................................... 80,600 1,057,875
*R & B, Inc.......................................... 87,900 747,150
*RCM Technologies, Inc............................... 37,300 539,684
*RDO Equipment Co. Class A........................... 60,900 563,325
RLI Corp............................................. 117,112 4,355,103
*RMH Teleservices, Inc............................... 79,700 236,609
RPC, Inc............................................. 108,900 980,100
*RTI International Metals, Inc....................... 102,200 1,360,538
*RTW, Inc............................................ 135,000 860,625
*Radiance Medical Systems, Inc....................... 132,400 372,375
*Rag Shops, Inc...................................... 53,100 129,431
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*Railamerica, Inc.................................... 92,900 $ 899,969
*Railtex, Inc........................................ 168,400 2,336,550
*Rainbow Technologies, Inc........................... 38,350 382,302
*Rainforest Cafe, Inc................................ 273,500 1,478,609
*#Rally's Hamburgers, Inc............................ 93,600 64,350
*Ramsay Youth Services, Inc.......................... 51,266 299,586
#Range Resources Corp................................ 530,200 2,551,588
*Rare Hospitality International, Inc................. 133,500 3,053,813
Raven Industries, Inc................................ 12,400 198,400
*Raytech Corp. DE.................................... 27,100 91,463
*Raytel Med Corp..................................... 9,500 48,984
*Reading Entertainment, Inc.......................... 75,736 598,788
*Read-Rite Corp...................................... 551,400 3,618,563
*Recoton Corp........................................ 190,300 1,900,027
*Red Roof Inns, Inc.................................. 77,500 1,395,000
*Redhook Ale Brewery, Inc............................ 95,600 379,413
Redwood Empire Bancorp............................... 28,200 726,150
*Refac Technology Development Corp................... 48,685 340,795
*Regeneron Pharmaceuticals, Inc...................... 403,200 2,866,500
*Reliability, Inc.................................... 76,000 311,125
Reliance Bancorp, Inc................................ 9,100 254,516
*Relm Wireless Corp.................................. 59,254 142,580
*Remington Oil & Gas Corp............................ 19,600 81,463
*Rental Service Corp................................. 5,400 128,925
*Rentrak Corp........................................ 63,000 250,031
*Repligen Corp....................................... 30,200 86,825
*#Reptron Electronics, Inc........................... 83,000 344,969
Republic Bancorp, Inc................................ 142,960 1,836,143
*Republic Bankshares, Inc............................ 26,000 498,875
*Republic First Bancorp, Inc......................... 30,530 232,791
Republic Security Financial Corp..................... 228,608 1,907,448
*Research Partners International, Inc................ 75,300 280,022
Resource America, Inc................................ 84,600 1,218,769
Resource Bancshares Mortgage Group, Inc.............. 284,135 2,956,780
*Response Oncology, Inc.............................. 183,889 591,893
*Rex Stores Corp..................................... 96,100 1,982,063
*Rexhall Industries, Inc............................. 13,428 135,539
Richardson Electronics, Ltd.......................... 88,900 586,184
*Riddell Sports, Inc................................. 114,700 344,100
*#Ride, Inc.......................................... 131,800 140,038
Riggs National Corp.................................. 333,200 5,529,038
*Right Management Consultants, Inc................... 78,300 1,301,738
*Rightchoice Managed Care, Inc. Class A.............. 47,700 572,400
*Riverside Group, Inc................................ 3,200 5,500
Riverview Bancorp, Inc............................... 55,300 660,144
*Roadhouse Grill, Inc................................ 106,700 716,891
Roadway Express, Inc................................. 21,600 417,150
Roanoke Electric Steel Corp.......................... 147,600 2,361,600
*Roberds, Inc........................................ 79,700 196,759
*Roberts Pharmaceutical Corp......................... 243,700 4,630,300
*Robinson Nugent, Inc................................ 53,900 210,547
*#Robotic Vision Systems, Inc........................ 173,800 496,959
*Rochester Medical Corp.............................. 24,000 268,500
*Rock Bottom Restaurants, Inc........................ 109,400 982,891
*Rock of Ages Co..................................... 38,400 410,400
*Rockshox, Inc....................................... 202,000 202,000
Rock-Tenn Co. Class A................................ 324,500 4,908,063
*Rocky Shoes & Boots, Inc............................ 62,900 422,609
*Rofin-Sinar Technologies, Inc....................... 16,500 135,609
<CAPTION>
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*Rogue Wave Software, Inc............................ 19,000 $ 166,250
Rollins Truck Leasing Corp........................... 859,900 9,351,413
Roslyn Bancorp, Inc.................................. 272,120 4,906,664
*Rottlund, Inc....................................... 37,800 189,000
Rouge Industries, Inc. Class A....................... 220,200 1,926,750
*Royal Precision, Inc................................ 14,150 48,641
*Rural/Metro Corp.................................... 33,200 246,925
*Rush Enterprises, Inc............................... 49,100 782,531
Russ Berrie & Co., Inc............................... 200,800 5,158,050
*Ryans Family Steak Houses, Inc...................... 543,400 6,283,063
Ryland Group, Inc.................................... 213,664 5,942,530
*S&K Famous Brands, Inc.............................. 104,700 1,011,009
*S3, Inc............................................. 645,500 4,336,953
*SBE, Inc............................................ 7,600 39,900
*SBS Technologies, Inc............................... 40,000 740,000
SCPIE Holdings, Inc.................................. 32,800 934,800
*SED International Holdings, Inc..................... 104,900 265,528
*SEMX Corp........................................... 99,400 301,306
*SGV Bancorp, Inc.................................... 9,300 112,181
*SMC Corp............................................ 64,200 333,038
*SOS Staffing Services, Inc.......................... 29,700 180,056
*SPR, Inc............................................ 12,000 80,625
*SSE Telecom, Inc.................................... 68,100 79,805
*STM Wireless, Inc. Class A.......................... 97,800 262,838
*#SYNC Research, Inc................................. 283,400 141,700
*Safety 1st, Inc..................................... 65,400 347,438
*Safety Components International, Inc................ 33,100 171,706
*Salient 3 Communications, Inc. Class A.............. 72,900 603,703
*San Filippo (John B.) & Son, Inc.................... 74,800 259,463
Sanderson Farms, Inc................................. 154,800 2,060,775
*Sandisk Corp........................................ 430,600 13,456,250
*Sands Regent Casino Hotel........................... 15,492 29,048
*Santa Cruz Operation, Inc........................... 119,000 702,844
*Santa Fe Snyder Corp................................ 67,000 569,500
*Saucony, Inc. Class A............................... 19,800 350,831
*Saucony, Inc. Class B............................... 30,000 508,125
*Savoir Technology Group, Inc........................ 125,300 1,213,844
*Scan-Optics, Inc.................................... 100,700 336,716
*Scheid Vineyards, Inc............................... 7,900 41,722
*Schieb (Earl), Inc.................................. 70,500 330,469
*Schlotzskys, Inc.................................... 80,800 843,350
Schnitzer Steel Industries, Inc. Class A............. 65,300 987,663
*Scholastic Corp..................................... 90,000 4,373,438
*Schuff Steel Company................................ 69,000 426,938
*Schuler Homes, Inc.................................. 332,000 2,407,000
Schulman (A.), Inc................................... 108,800 1,815,600
Schultz Sav-O Stores, Inc............................ 15,300 252,450
Schweitzer-Maudoit Int'l, Inc........................ 94,700 1,450,094
*Scios-Nova, Inc..................................... 145,300 524,442
Scope Industries, Inc................................ 7,700 539,000
Scotsman Industries, Inc............................. 57,300 1,178,231
*Scott Technologies, Inc............................. 17,700 334,641
Seaboard Corp........................................ 100 26,000
*Seacoast Financial Services Corp.................... 123,869 1,258,045
*Seacor Smit, Inc.................................... 92,300 4,580,388
*Seattle Filmworks, Inc.............................. 215,800 694,606
*Secom General Corp.................................. 11,500 26,234
*Segue Software, Inc................................. 126,700 803,753
*Seibels Bruce Group, Inc............................ 83,700 408,038
</TABLE>
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*Seitel, Inc......................................... 104,300 $ 1,649,244
Selas Corp. of America............................... 67,000 393,625
Selective Insurance Group, Inc....................... 318,300 5,968,125
*Semitool, Inc....................................... 72,400 617,663
*Seneca Foods Corp. Class B.......................... 10,500 150,938
*Sensormatic Electronics Corp........................ 845,400 11,307,225
*Sequa Corp. Class A................................. 74,000 4,282,750
*Sequa Corp. Class B................................. 31,400 2,205,850
*Sequent Computer Systems, Inc....................... 476,200 6,220,363
*Service Experts, Inc................................ 230,000 4,269,375
*Service Merchandise Co., Inc........................ 1,081,800 439,481
*#Shaman Pharmaceuticals............................. 35,800 4,296
*Sharper Image Corp.................................. 93,400 846,438
*Shaw Group, Inc..................................... 134,300 1,754,294
Shelby Williams Industries, Inc...................... 42,100 689,388
*#Sheldahl, Inc...................................... 123,100 742,447
*Shells Seafood Restaurants, Inc..................... 41,200 181,538
*Shiloh Industries, Inc.............................. 156,300 1,939,097
*Shoe Carnival, Inc.................................. 127,300 2,060,669
*Sholodge, Inc....................................... 75,000 360,938
*Shoney's, Inc....................................... 594,304 1,374,328
*Shopko Stores, Inc.................................. 158,200 5,616,100
*Sierra Health Services, Inc......................... 40,750 621,438
Sifco Industries, Inc................................ 57,400 509,425
*Sight Resource Corp................................. 96,800 378,125
*Sigma Designs, Inc.................................. 12,300 80,334
*Sigmatron International, Inc........................ 15,300 72,675
*Signal Technology Corp.............................. 79,400 426,775
*Signature Eyewear, Inc.............................. 17,000 65,875
*Silicon Storage Technology, Inc..................... 61,100 299,772
*Silicon Valley Group, Inc........................... 437,000 6,036,063
*Silverleaf Resorts, Inc............................. 143,000 1,108,250
*Simione Central Holdings, Inc....................... 135,500 362,039
Simmons First National Corp.
Class A............................................ 41,600 1,398,800
*Simon Transportation Services, Inc.................. 77,600 451,050
Simpson Industries, Inc.............................. 278,500 2,802,406
*Simula, Inc......................................... 55,800 299,925
*Sitel Corp.......................................... 995,000 2,736,250
*Sizzler International, Inc.......................... 212,700 425,400
Skaneateles Bancorp, Inc............................. 13,950 340,467
*SkyePharma P.L.C. ADR............................... 5,867 50,786
Skyline Corp......................................... 101,600 3,168,650
Skywest, Inc......................................... 229,200 5,314,575
Smart & Final Food, Inc.............................. 133,600 1,277,550
*Smartflex Systems, Inc.............................. 75,400 325,163
Smith (A.O.) Corp.................................... 207,750 5,063,906
Smith (A.O.) Corp. Convertible Class A............... 69,750 1,691,438
*Smithway Motor Express Corp. Class A................ 30,500 311,672
*Sodak Gaming, Inc................................... 222,100 2,040,544
*Softech, Inc........................................ 58,000 134,125
*#Software Spectrum, Inc............................. 51,900 702,272
*Sola International, Inc............................. 275,500 4,597,406
*Sonosight, Inc...................................... 33,609 586,057
*Sound Advice, Inc................................... 22,800 70,894
South Jersey Industries, Inc......................... 118,377 3,314,556
*Southern Energy Homes, Inc.......................... 165,800 766,825
*#Southern Pacific Funding Corp...................... 120,000 13,200
*Southwall Technologies, Inc......................... 83,600 265,169
Southwestern Energy Co............................... 413,900 3,906,181
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Spacehab, Inc....................................... 16,500 $ 90,234
*Spacelabs Medical, Inc.............................. 155,400 2,418,413
Span-American Medical System, Inc.................... 25,300 109,897
Spartan Motors, Inc.................................. 267,700 1,547,641
*Sparton Corp........................................ 100,600 622,463
*Spectran Corp....................................... 76,300 702,198
*Spectrian Corp...................................... 24,100 304,263
*Spectrum Control, Inc............................... 122,000 754,875
*SpeedFam-IPEC, Inc.................................. 239,447 3,127,776
*Speizman Industries, Inc............................ 37,400 121,550
*Spiegel, Inc. Class A Non-Voting.................... 92,800 681,500
*Sport Chalet, Inc................................... 42,300 248,513
*Sport Supply Group, Inc............................. 85,900 901,950
*#Sport-Haley, Inc................................... 54,900 238,472
*Sports Authority, Inc............................... 500,000 2,500,000
*Sports Club Co., Inc................................ 69,900 314,550
*Sportsman's Guide, Inc.............................. 79,500 398,742
St. Francis Capital Corp............................. 92,600 1,831,744
St. Mary Land & Exploration Co....................... 53,500 1,059,969
St. Paul Bancorp, Inc................................ 214,837 5,572,335
*#Stac Software, Inc................................. 22,300 131,013
*Staffmark, Inc...................................... 47,000 512,594
*Stage II Apparel Corp............................... 31,600 61,225
Standard Commercial Corp............................. 168,180 1,072,148
*Standard Management Corp............................ 83,200 538,200
*Standard Microsystems Corp.......................... 203,300 1,588,281
Standard Motor Products, Inc. Class A................ 142,150 3,384,947
Standard Pacific Corp. DE............................ 391,472 5,138,070
Standard Products Co................................. 265,900 5,932,894
*Stanford Telecommunications, Inc.................... 21,300 496,556
*Stanley Furniture, Inc.............................. 118,400 2,471,600
*Star Buffet, Inc.................................... 4,500 27,281
*Star Multi Care Services, Inc....................... 57,100 70,483
*Starcraft Corp...................................... 27,300 106,641
Starrett (L.S.) Co. Class A.......................... 58,400 1,587,750
*Startec Global Communications Corp.................. 11,000 90,063
*#Starter Corp....................................... 237,200 296,500
*Station Casinos, Inc................................ 473,600 8,199,200
Steel Technologies, Inc.............................. 182,500 1,636,797
Stepan Co............................................ 107,600 2,656,375
Stephan Co........................................... 50,600 246,675
Sterling Bancorp..................................... 63,500 1,301,750
*Sterling Financial Corp. WA......................... 88,280 1,329,718
Stewart & Stevenson Services, Inc.................... 300,300 3,331,453
Stewart Information Services Corp.................... 138,000 2,682,375
Stifel Financial Corp................................ 81,072 775,251
*Stimsonite Corp..................................... 62,200 623,944
Stone & Webster, Inc................................. 138,700 3,398,150
*Storage Computer Corp............................... 16,500 33,000
*Stormedia, Inc. Class A............................. 136,200 136
*#Stratasys, Inc..................................... 32,700 122,625
*Strategic Diagnostics, Inc.......................... 45,000 178,594
*Strategic Distribution, Inc......................... 619,100 1,441,342
*Stratus Properties, Inc............................. 156,200 732,188
*Strawbridge and Clothier Liquidating Trust.......... 71,881 15,994
Stride Rite Corp..................................... 185,500 1,936,156
*Strouds, Inc........................................ 136,000 229,500
*Stuart Entertainment, Inc........................... 55,100 11,020
*Suburban Lodges of America, Inc..................... 170,200 1,143,531
</TABLE>
158
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THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Success Bancshares, Inc............................. 5,400 $ 58,725
*Successories, Inc................................... 130,500 407,813
*Summit Technology, Inc.............................. 12,000 236,625
*#Sun Healthcare Group, Inc.......................... 551,900 620,888
*Sun Television and Appliances, Inc.................. 206,300 2,888
*#Sunbeam Corp....................................... 15,000 105,938
*Sundance Homes, Inc................................. 40,500 27,844
*Sunrise Medical, Inc................................ 323,500 2,689,094
*Sunrise Resources, Inc.............................. 86,900 355,747
Superior Surgical Manufacturing Co., Inc............. 105,900 1,429,650
*Suprema Specialties, Inc............................ 50,500 310,891
*Supreme International Corp.......................... 77,850 839,320
*Surety Capital Corp................................. 66,400 99,600
Susquehanna Bancshares, Inc.......................... 219,072 3,984,372
*Swift Energy Corp................................... 200,800 2,597,850
*Swiss Army Brands, Inc.............................. 87,300 722,953
*Sybase, Inc......................................... 155,000 1,506,406
*Sybron Chemicals, Inc............................... 1,600 31,100
*Sylvan, Inc......................................... 104,000 1,183,000
*Symix Systems, Inc.................................. 3,600 40,388
*Symmetricom, Inc.................................... 235,700 1,487,856
*Symons International Group, Inc..................... 30,300 144,872
*Syms Corp........................................... 192,700 1,529,556
Synalloy Corp. DE.................................... 76,900 634,425
*Synbiotics Corp..................................... 97,400 371,338
*Syncor International Corp. DE....................... 100,300 3,397,663
*Syntellect, Inc..................................... 218,100 340,781
*Synthetic Industries, Inc........................... 136,000 3,055,750
*Syntroleum Corp..................................... 67,150 491,034
*Sypris Solutions, Inc............................... 26,250 237,891
*TBA Entertainment Corp.............................. 138,000 608,063
*TBC Corp............................................ 386,900 2,744,572
TCBY Enterprises, Inc................................ 200,966 1,331,400
*TCC Industries, Inc................................. 24,800 2,635
*TCI International, Inc.............................. 27,600 80,213
*TCSI Corp........................................... 383,100 999,652
*TEAM America Corp................................... 1,600 7,550
TF Financial Corp.................................... 32,100 658,050
*#TII Industries, Inc................................ 85,800 155,513
TJ International, Inc................................ 112,300 3,046,138
*TRC Companies, Inc.................................. 86,450 437,653
*TRM Copy Centers Corp............................... 81,500 504,281
*TST/Impreso, Inc.................................... 6,500 31,688
Tab Products Co. DE.................................. 56,800 369,200
*Taco Cabana, Inc.................................... 181,400 1,921,706
Talbots, Inc......................................... 154,300 4,899,025
*Tandy Brand Accessories, Inc........................ 12,600 200,419
*Tandy Crafts, Inc................................... 157,200 530,550
Tasty Baking Co...................................... 3,000 37,500
Team, Inc............................................ 73,600 248,400
*#Technical Chemicals & Products, Inc................ 198,000 244,406
*Technical Communications Corp....................... 6,300 16,734
*Technology Research Corp............................ 61,000 65,766
*Tech-Sym Corp....................................... 76,000 1,667,250
*Tegal Corp.......................................... 179,000 620,906
*Telcom Semiconductor, Inc........................... 1,000 5,719
Telxon Corp.......................................... 189,700 1,985,922
*Temtex Industries, Inc.............................. 35,700 88,134
Terra Industries, Inc................................ 1,472,300 5,797,181
*Tesoro Petroleum Corp............................... 649,700 7,674,581
*Tesseract Group, Inc................................ 111,100 378,434
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Tetra Technologies, Inc............................. 257,400 $ 2,187,900
Texas Industries, Inc................................ 95,662 3,479,705
*Texas Micro, Inc.................................... 137,700 873,534
*Texfi Industries, Inc............................... 4,800 525
*Thermedics, Inc..................................... 15,500 133,688
*Thermo Bioanalysis Corp............................. 31,600 576,700
*Thermo Ecotek Corp.................................. 38,000 403,750
*Thermo Power Corp................................... 98,800 1,142,375
*Thermo Sentron, Inc................................. 135,500 1,795,375
*Thermo Terratech, Inc............................... 130,000 747,500
*ThermoQuest Corp.................................... 85,700 1,092,675
Thermoretec Corp..................................... 118,100 487,163
*Thermospectra Corp.................................. 30,400 469,300
*Thermotrex Corp..................................... 26,300 215,331
*Thomas Group, Inc................................... 40,400 358,550
Thomas Industries, Inc............................... 133,850 2,710,463
Thomaston Mills, Inc................................. 34,800 105,488
Thor Industries, Inc................................. 3,900 102,619
*#Thorn Apple Valley, Inc............................ 82,215 138,738
*#Thrustmaster, Inc.................................. 63,100 1,555,809
*Tipperary Corp...................................... 129,200 218,025
*Titan Corp.......................................... 36,430 289,163
Titan International, Inc............................. 250,000 2,343,750
Titanium Metals Corp................................. 470,500 3,293,500
*Today's Man, Inc.................................... 94,500 121,078
*Todd Shipyards Corp................................. 114,200 613,825
Todd-AO Corp. Class A................................ 3,740 26,531
*Toddhunter International, Inc....................... 76,000 627,000
*Tokheim Corp........................................ 250,300 2,471,713
*Topps, Inc.......................................... 36,400 230,913
Toro Co.............................................. 84,300 2,829,319
*Total Entertainment Restaurant Corp................. 16,500 51,563
*Tower Air, Inc...................................... 166,400 426,400
*Track 'n Trail, Inc................................. 12,900 26,203
*Tractor Supply Co................................... 30,100 893,594
*Trailer Bridge, Inc................................. 84,000 213,938
*Trak Auto Corp...................................... 40,200 346,725
*#Trans World Airlines, Inc.......................... 638,300 3,311,181
*Transact Technologies, Inc.......................... 10,900 49,731
*Transcend Services, Inc............................. 20,100 29,522
*Transcoastal Marine Services, Inc................... 115,900 503,441
*Transfinancial Holdings, Inc........................ 68,700 309,150
*Transmation, Inc.................................... 60,000 215,625
*Transmedia Network, Inc............................. 26,700 100,125
Transport Lux Corp................................... 2,546 19,732
Transpro, Inc........................................ 13,000 69,063
Transtechnology Corp................................. 76,500 1,491,750
*Transworld Healthcare, Inc.......................... 169,300 666,619
*#Travel Ports of America, Inc....................... 71,478 300,431
Tremont Corp. DE..................................... 68,133 1,328,594
*Trend-Lines, Inc. Class A........................... 70,900 163,956
Trenwick Group, Inc.................................. 48,000 1,491,000
*Trex Medical Corp................................... 38,500 247,844
*Trico Marine Services, Inc.......................... 227,200 1,625,900
*Trident Microsystems, Inc........................... 150,300 1,023,919
*Tridex Corp......................................... 71,900 195,478
Trigen Energy Corp................................... 196,700 3,208,669
*Trimark Holdings, Inc............................... 30,300 167,597
Trion, Inc........................................... 47,600 200,813
*Triple S Plastics, Inc.............................. 30,500 159,172
*Tripos, Inc......................................... 44,266 348,595
*Trism, Inc.......................................... 64,800 50,625
</TABLE>
159
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Triumph Group....................................... 83,300 $ 2,551,063
*#Trump Hotels & Casino Resorts, Inc................. 366,800 1,948,625
*Tuboscope Vetco International, Inc.................. 295,200 3,948,300
*Tultex Corp......................................... 323,307 242,480
*Turner Corp......................................... 61,998 1,077,215
Twin Disc, Inc....................................... 33,600 638,400
*Tyler Technologies, Inc............................. 183,800 1,102,800
U.S. Bancorp, Inc.................................... 120,900 1,881,506
*#U.S. Diagnostic, Inc............................... 280,000 415,625
*U.S. Office Products, Co............................ 337,200 1,754,494
*U.S. Vision, Inc.................................... 47,000 234,266
*URS Corp............................................ 53,702 1,322,412
*US Can Corp......................................... 214,100 3,827,038
*US Xpress Enterprises, Inc. Class A................. 87,290 1,047,480
*USData Corp......................................... 6,750 24,047
*UTI Energy Corp..................................... 144,300 2,074,313
*#Ugly Duckling Corp................................. 147,100 1,107,847
*Ultimate Electronics, Inc........................... 133,200 1,918,913
*Ultradata Corp...................................... 25,000 174,219
*#Ultrafem, Inc...................................... 114,000 3,990
*Ultrak, Inc......................................... 164,300 1,073,084
*Ultralife Batteries, Inc............................ 140,400 636,188
*Ultratech Stepper, Inc.............................. 238,600 3,116,713
*#Unapix Entertainment, Inc.......................... 13,700 41,100
Unico American Corp.................................. 47,900 511,931
*UniComp, Inc........................................ 8,100 48,094
Unifirst Corp........................................ 153,300 2,759,400
*Unimark Group, Inc.................................. 126,600 449,034
*Uni-Marts, Inc...................................... 103,200 206,400
*Union Acceptance Corp. Class A...................... 51,400 353,375
*Unique Casual Restaurants, Inc...................... 129,500 509,906
*Uniroyal Technology Corp............................ 163,600 1,549,088
Unisource Worldwide, Inc............................. 1,291,600 15,176,300
*Unit Corp........................................... 298,700 1,773,531
*United American Healthcare Corp.,................... 80,200 110,275
United Bankshares, Inc. WV........................... 14,000 371,438
#United Companies Financial Corp..................... 521,300 57,343
United Fire Casualty Co.............................. 18,750 483,398
United Industrial Corp............................... 200,600 2,306,900
United National Bancorp.............................. 11,163 253,609
*#United Retail Group, Inc........................... 150,600 2,174,288
*United States Energy Corp........................... 27,600 107,813
*United States Home Corp............................. 148,100 5,109,450
*United States Homecare Corp......................... 3,400 68
United Wisconsin Services, Inc....................... 244,800 1,683,000
*Unitel Video, Inc................................... 29,500 40,563
*Universal American Financial Corp................... 54,600 191,100
*Universal Electronics, Inc.......................... 63,900 1,585,519
*#Universal International, Inc....................... 34,600 89,744
*Universal Stainless & Alloy Products, Inc........... 22,900 137,400
*Universal Standard Medical Labs, Inc................ 64,100 20,031
*Uno Restaurant Corp................................. 103,100 805,469
*Urocor, Inc......................................... 133,700 735,350
*Urogen Corp. (Restricted)........................... 14,500 3,897
*Urologix, Inc....................................... 182,400 552,900
*Uroquest Medical Corp............................... 40,900 65,184
*Utilx Corp.......................................... 81,600 265,200
*VLSI Technology, Inc................................ 189,100 3,953,372
*VTEL Corp........................................... 359,900 1,777,006
*VWR Scientific Products Corp........................ 138,500 3,955,906
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Valence Technology, Inc............................. 74,700 $ 557,916
*Vallen Corp......................................... 114,300 1,871,663
Valmont Industries, Inc.............................. 76,000 1,244,500
*Value City Department Stores, Inc................... 416,600 3,983,738
Value Line, Inc...................................... 1,500 56,063
*Valuevision International, Inc.
Class A............................................ 302,300 4,610,075
*Vans, Inc........................................... 147,700 1,606,238
*#Vari L Co., Inc.................................... 108,000 816,750
*Variflex, Inc....................................... 65,500 315,219
Varlen Corp.......................................... 126,071 4,767,060
*Vectra Technologies, Inc............................ 58,100 1,307
*Venator Group, Inc.................................. 923,000 10,095,313
*Vencor, Inc......................................... 40,000 27,500
*Venture Stores, Inc................................. 266,179 3,327
*Verilink Corp....................................... 234,400 769,125
*Veritas DGC, Inc.................................... 51,000 930,750
*Verity, Inc......................................... 50,000 1,648,438
Vermont Financial Services Corp...................... 120,600 3,776,288
*Versar, Inc......................................... 1,300 2,925
*Vertex Communications Corp.......................... 56,000 829,500
Vesta Insurance Group, Inc........................... 79,500 402,469
*Vestcom Int'l, Inc.................................. 98,800 574,275
*Veterinary Centers of America, Inc.................. 237,500 3,302,734
*Viagrafix Corp...................................... 49,000 301,656
*Viasoft, Inc........................................ 90,400 353,125
*Vicon Industries, Inc............................... 42,500 390,469
*Vicorp Restaurants, Inc............................. 110,200 1,804,525
*Video Display Corp.................................. 44,400 209,513
*Video Services Corp................................. 27,000 59,063
*Video Update, Inc................................... 56,600 50,409
*Videonics, Inc...................................... 58,000 54,375
*Viisage Technology, Inc............................. 11,000 14,438
Vintage Petroleum, Inc............................... 529,200 5,953,500
Virco Manufacturing Corp............................. 112,635 2,168,224
*Virtualfund.Com, Inc................................ 27,800 44,306
Vital Signs, Inc..................................... 194,000 3,722,375
*Vivid Technologies, Inc............................. 25,800 78,206
*Volt Information Sciences, Inc...................... 5,100 87,975
Vulcan International Corp............................ 12,200 451,400
WFS Financial, Inc................................... 261,800 3,076,150
*#WHX Corp........................................... 372,500 2,793,750
WICOR, Inc........................................... 68,500 1,746,750
*WLR Foods, Inc...................................... 199,006 1,523,640
*WPI Group, Inc...................................... 117,600 463,050
Wabash National Corp................................. 50,000 953,125
#Wackenhut Corp. Class A............................. 32,700 752,100
Wackenhut Corp. Class B Non-Voting................... 44,600 855,763
*Walbro Corp......................................... 115,752 2,257,164
*Walker Interactive Systems, Inc..................... 199,300 678,866
*Wall Data, Inc...................................... 121,700 1,228,409
*Wall Street Deli, Inc............................... 39,700 161,281
*Warrantech Corp..................................... 227,000 769,672
Warren Bancorp, Inc.................................. 72,000 585,000
*Washington Homes, Inc............................... 104,000 819,000
Washington Savings Bank FSB Waldorf, MD.............. 23,500 94,000
*Waterlink, Inc...................................... 225,000 914,063
Watkins-Johnson Co................................... 113,000 2,796,750
Watts Industries, Inc. Class A....................... 287,400 4,867,838
Webb (Del) Corp...................................... 311,188 7,001,730
</TABLE>
160
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Webco Industries, Inc............................... 90,500 $ 486,438
Webster Financial Corp............................... 10,997 318,913
*Weirton Steel Corp.................................. 468,700 1,113,163
Wellco Enterprises, Inc.............................. 4,800 45,000
Wellman, Inc......................................... 530,100 7,222,613
*#Wells-Gardner Electronics Corp..................... 47,985 140,956
Werner Enterprises, Inc.............................. 273,225 5,251,043
Wesbanco, Inc........................................ 24,600 721,088
*West Coast Entertainment Corp....................... 136,500 54,941
*West Marine, Inc.................................... 60,300 772,594
West Pharmaceutical Services, Inc.................... 161,800 5,551,763
Westcorp, Inc........................................ 408,356 3,802,815
Westerfed Financial Corp............................. 69,900 1,177,378
*Western Beef, Inc................................... 57,400 365,925
Western Ohio Financial Corp.......................... 14,500 371,563
*Weston (Roy F.), Inc. Class A....................... 87,200 258,875
Weyco Group, Inc..................................... 2,400 56,400
Whitney Holdings Corp................................ 85,400 3,461,369
*Whittaker Corp...................................... 83,400 2,241,375
*Wickes Lumber Co.................................... 96,600 498,094
*Williams Clayton Energy, Inc........................ 122,000 796,813
*#Wilshire Financial Services Group, Inc............. 161,700 58,111
*Wilshire Oil Co. of Texas........................... 108,514 447,620
*Windmere Corp....................................... 51,900 681,188
Winnebago Industries, Inc............................ 224,100 3,697,650
Wiser Oil Co......................................... 100,175 325,569
Wolf (Howard B.), Inc................................ 5,000 20,313
Wolohan Lumber Co.................................... 74,478 926,320
*Wolverine Tube, Inc................................. 166,600 3,967,163
Wolverine World Wide, Inc............................ 72,500 978,750
Woodhead Industries, Inc............................. 141,600 1,787,700
*Woodward Governor Co................................ 7,900 197,253
*Workgroup Technology Corp........................... 91,600 168,888
World Fuel Services Corp............................. 50,000 646,875
*Worldtex, Inc....................................... 242,700 652,256
Worthington Foods, Inc............................... 8,554 125,904
*Wyant Corp.......................................... 800 2,275
*Xetel Corp.......................................... 131,500 369,844
*Xicor, Inc.......................................... 205,800 295,838
*Xtra Corp........................................... 53,650 2,387,425
Yankee Energy Systems, Inc........................... 114,900 3,626,531
Yardville National Bancorp........................... 47,970 596,627
*Yellow Corp......................................... 304,000 5,168,000
York Financial Corp.................................. 101,524 1,548,241
York Group, Inc...................................... 200 1,531
*York Research Corp.................................. 3,800 23,869
*Zaring National Corp................................ 46,000 385,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Zemex Corp.......................................... 108,658 $ 679,113
Zenith National Insurance Corp....................... 188,700 4,292,925
Ziegler Co., Inc..................................... 7,700 141,488
*Zing Technologies, Inc.............................. 29,800 243,988
*Zoll Medical Corp................................... 91,000 1,123,281
*#Zoltek Companies, Inc.............................. 31,400 244,331
*Zygo Corp........................................... 62,800 498,475
*Zymetx, Inc......................................... 15,000 30,938
------------
TOTAL COMMON STOCKS
(Cost $2,510,463,843)................................ 2,638,302,625
------------
RIGHTS/WARRANTS -- (0.0%)
*Arch Communications Warrants 09/01/03............... 496,757 0
*Ascent Assurance, Inc. Warrants 01/01/04............ 1,184 0
*CSF Holdings, Inc. Litigation Rights 12/30/99....... 40,500 0
*Herley Industries, Inc. Warrants 01/05/02........... 400 988
*National Mercantile Bancorp Warrants 06/02/99....... 165 0
*Skyepharma P.L.C. Contingent Payment Rights......... 55,300 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $800).......................................... 988
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (3.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06,
valued at $87,842,200) to be repurchased at
$86,586,233. (Cost $86,542,000).................... $ 86,542 86,542,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,597,006,643)++.............................. $2,724,845,613
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
161
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED STATES -- (98.1%)
COMMON STOCKS -- (98.1%)
*1-800 CONTACTS, Inc.................................. 800 $ 17,750
*3-D Systems Corp..................................... 10,400 58,825
*3D0 Co............................................... 23,200 121,075
*3Dfx Interactive, Inc................................ 17,943 346,524
*4Front Software International, Inc................... 9,500 95,594
*#7Th Level, Inc...................................... 22,100 130,528
*800-Jr Cigar, Inc.................................... 10,400 95,225
*8X8, Inc............................................. 13,500 62,859
*#A Consulting Team, Inc.............................. 4,400 35,750
*A.C. Moore Arts & Crafts, Inc........................ 2,000 13,500
*AAON, Inc............................................ 5,600 59,325
AAR Corp.............................................. 22,000 434,500
ABC Bancorp........................................... 5,125 71,750
*ABC Rail Products Corp............................... 8,100 118,209
ABM Industries, Inc................................... 15,600 426,075
*ABR Information Services, Inc........................ 28,700 725,572
*ACSYS, Inc........................................... 2,500 10,078
*ACT Manufacturing, Inc............................... 7,300 103,569
*ACT Networks, Inc.................................... 9,400 189,762
*ACX Technologies, Inc................................ 27,600 343,275
*ADE Corp............................................. 11,800 114,681
*AEP Industries, Inc.................................. 6,500 245,781
*AFC Cable Systems, Inc............................... 11,125 381,727
*AG Services America, Inc............................. 4,700 83,425
*AMC Entertainment, Inc............................... 17,500 297,500
*AML Communications, Inc.............................. 5,600 8,487
*AMX Corp............................................. 8,000 85,250
*APAC Teleservices, Inc............................... 46,500 172,922
*ARI Network Services, Inc............................ 1,700 6,481
*ARIS Corp............................................ 2,100 18,047
*ARV Assisted Living, Inc............................. 15,700 60,837
ASB Financial Corp.................................... 1,000 11,500
*ASV, Inc............................................. 3,750 73,008
*ATMI, Inc............................................ 19,400 425,587
*ATS Medical, Inc..................................... 15,700 120,694
*AVT Corporation...................................... 12,500 417,969
#Aames Financial Corp................................. 30,975 44,527
Aaron Rents, Inc. Class A............................. 1,500 24,000
Aaron Rents, Inc. Class B............................. 14,400 273,600
*Aavid Thermal Technologies, Inc...................... 7,400 148,000
*Abacus Direct Corp................................... 7,800 571,594
*Abaxis, Inc.......................................... 12,300 26,522
Abington Bancorp, Inc................................. 3,800 54,744
*Abiomed, Inc......................................... 7,000 112,437
*#Able Telcom Holding Corp............................ 9,000 65,531
Abrams Industries, Inc................................ 200 787
*Abraxas Petroleum Corp............................... 4,200 8,925
*#Acacia Research Corp................................ 9,100 46,353
*Accel International Corp............................. 6,000 12,187
*Accelr8 Technology Corp.............................. 6,500 17,672
*Acceptance Insurance Companies, Inc.................. 13,100 205,506
*Acclaim Entertainment, Inc........................... 51,700 333,627
*Ace Cash Express, Inc................................ 8,800 129,800
*Ace Comm Corp........................................ 8,900 34,209
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Aceto Corp............................................ 5,900 $ 69,325
Ackerley Group, Inc................................... 19,400 366,175
*Acme Electric Corp................................... 3,000 16,312
*Acme Metals, Inc..................................... 11,000 3,355
*Acme United Corp..................................... 1,300 2,600
*Acorn Products, Inc.................................. 5,300 28,156
*Actel Corp........................................... 19,100 245,912
*#Action Performance Companies, Inc................... 14,600 555,712
*Active Apparel Group, Inc............................ 1,500 4,031
*Active Voice Corp.................................... 3,300 45,375
*Activision, Inc...................................... 22,100 296,278
*#Actrade International, Ltd.......................... 7,400 96,894
*Acuson Corp.......................................... 28,000 434,000
*Adac Laboratories.................................... 20,066 159,901
*#Adam Software, Inc.................................. 4,400 72,050
Adams Resources & Energy, Inc......................... 3,100 24,025
*Adaptive Broadband Corp.............................. 15,000 237,187
*Adept Technology, Inc................................ 6,800 49,512
*Adflex Solutions, Inc................................ 7,900 18,022
*Administaff, Inc..................................... 13,100 209,600
*Adrien Arpel, Inc.................................... 4,500 647
*Advance Lighting Technologies, Inc................... 18,100 129,811
*Advance Paradigm, Inc................................ 9,300 449,306
*#Advanced Aerodynamics & Structures, Inc............. 5,000 17,031
*Advanced Communications Group, Inc................... 15,900 159,994
*Advanced Communications Systems, Inc................. 5,100 61,837
*Advanced Digital Information Corp.................... 8,800 238,425
*Advanced Energy Industries, Inc...................... 20,300 503,694
*Advanced Fibre Communications........................ 25,000 260,156
*#Advanced Health Corp................................ 9,000 41,203
*Advanced Magnetics, Inc.............................. 6,000 23,250
Advanced Marketing Services, Inc...................... 7,650 120,009
*Advanced Materials Group, Inc........................ 237 204
*Advanced Neuromodulation Systems, Inc................ 6,700 45,644
*Advanced Polymer Systems, Inc........................ 17,800 89,556
*Advanced Radio Telecom Corp.......................... 24,800 279,000
*Advanced Technical Products, Inc..................... 500 6,625
*#Advanced Tissue Sciences, Inc....................... 37,200 142,987
Advanta Corp. Class A................................. 9,300 161,297
Advanta Corp. Class B Non-Voting...................... 14,900 209,066
*Advantica Restaurant Group, Inc...................... 48,400 223,094
*Advent Software, Inc................................. 6,000 418,125
Advest Group, Inc..................................... 7,200 150,300
*Advo, Inc............................................ 20,400 404,175
*Advocat, Inc......................................... 5,200 10,725
*Aegis Communications Group........................... 18,300 19,730
*Aehr Test Systems.................................... 5,500 21,828
*#Aerial Communications, Inc.......................... 26,200 286,562
*Aeroflex, Inc........................................ 15,600 227,175
*Aerosonic Corp. DE................................... 3,200 44,800
*Aerovox, Inc......................................... 4,200 9,975
*Aetrium, Inc......................................... 7,400 57,581
*Aftermarket Technology Corp.......................... 18,000 196,875
</TABLE>
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<TABLE>
<CAPTION>
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*Ag-Chem Equipment Co., Inc........................... 7,600 $ 86,450
Agco Corp............................................. 47,100 547,537
*#Agribiotech, Inc.................................... 39,200 251,737
*Agribrands International, Inc........................ 4,000 139,750
*#Agritope, Inc....................................... 2,040 3,315
Air Express International Corp........................ 23,875 599,859
*Air Methods Corp..................................... 8,300 17,897
*Airgas, Inc.......................................... 18,300 209,306
*Airnet Systems, Inc.................................. 11,300 119,356
*Airtran Holdings, Inc................................ 62,700 295,866
*Akorn, Inc........................................... 16,000 74,500
*Aksys, Ltd........................................... 10,100 49,711
Alabama National Bancorporation....................... 10,300 248,166
Alamo Group, Inc...................................... 8,700 79,931
*Alaris Medical, Inc.................................. 63,200 313,037
*Albany International Corp. Class A................... 32,259 756,070
Alba-Waldensian, Inc.................................. 900 23,512
*Alcide Corp.......................................... 2,300 43,556
*Aldila, Inc.......................................... 13,900 27,366
*Alexion Pharmaceuticals, Inc......................... 12,100 116,462
Alfa Corp............................................. 28,500 483,609
*#Algos Pharmaceutical Corp........................... 17,000 377,187
Alico, Inc............................................ 6,300 101,587
*Align-Rite International, Inc........................ 2,800 36,400
*Alkermes, Inc........................................ 21,100 519,587
*All American Semiconductor, Inc...................... 7,100 5,436
*Allcity Insurance Co................................. 200 1,825
Allen Organ Co. Class B............................... 200 7,200
*Allen Telecom, Inc................................... 27,400 285,987
Alliance Bancorp...................................... 11,455 279,574
*Alliance Gaming Corp................................. 8,265 33,318
*Alliance Pharmaceuticals Corp........................ 30,900 90,769
*Alliance Semiconductor Corp.......................... 41,500 198,422
*Allied Healthcare Products, Inc...................... 6,700 13,191
*Allied Holdings, Inc................................. 5,900 42,037
Allied Products Corp.................................. 10,650 55,247
*Allied Research Corp................................. 4,300 30,369
*Allin Communications Corp............................ 5,000 13,437
*#Allou Health & Beauty Care, Inc. Class A............ 3,700 26,131
*Allstate Financial Corp.............................. 1,600 10,225
*Alltrista Corp....................................... 4,653 127,376
*Alpha Industries, Inc................................ 14,400 501,750
*Alpha Microsystems, Inc.............................. 10,100 76,066
*Alpha Technologies Group, Inc........................ 5,200 19,012
*Alphanet Solutions, Inc.............................. 5,800 23,019
*Alpine Group, Inc.................................... 15,736 253,743
*#Alta Gold Co........................................ 17,400 8,700
*Alteon, Inc.......................................... 16,200 12,909
*Alternative Resources Corp........................... 14,300 109,484
*#Alterra Healthcare Corp............................. 19,700 241,325
*#Alydaar Software Corp............................... 8,500 31,875
*#Alyn Corp........................................... 9,000 20,391
Ambanc Holding Co., Inc............................... 8,300 144,472
*Ambassadors, Inc..................................... 700 9,975
Amcast Industrial Corp................................ 8,300 139,544
Amcol International Corp.............................. 25,500 361,781
Amcore Financial, Inc................................. 26,175 552,947
*Amedisys, Inc........................................ 1,400 3,106
*Amerco, Inc.......................................... 18,100 447,975
*America Online, Inc.................................. 1,135 135,522
*America Services Group, Inc.......................... 3,200 38,200
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
American Bancorporation Ohio.......................... 400 $ 7,700
American Bank of Connecticut.......................... 3,200 67,200
*#American Banknote Corp.............................. 19,800 7,425
American Biltrite, Inc................................ 1,900 38,950
American Business Products, Inc....................... 14,100 224,719
*American Claims Evaluation, Inc...................... 1,000 2,000
*American Classic Voyages Co.......................... 14,300 251,144
*American Coin Merchandising, Inc..................... 5,200 37,375
*American Ecology Corp................................ 5,250 14,766
*American Freightways Corp............................ 31,600 553,987
*American Healthcorp, Inc............................. 6,400 52,400
American Heritage Life Investment Corp................ 25,100 583,575
*American Homepatient, Inc............................ 15,000 29,766
*American Homestar Corp............................... 17,530 128,188
*American Indemnity Financial Corp.................... 800 11,025
*#American International Petroleum Corp............... 35,800 38,597
*American Italian Pasta CO............................ 16,200 445,500
*American Medical Electronics, Inc. (Escrow-Bonus).... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 4,400 0
American Medical Security Group, Inc.................. 13,600 126,650
*#American Mobile Satellite Corp...................... 28,300 400,622
*American Oncology Resources, Inc..................... 34,200 347,344
*American Pacific Corp................................ 7,400 60,125
*American Pad & Paper Co.............................. 25,000 58,594
*American Physician Partners, Inc..................... 16,000 97,500
*American Physicians Services Group, Inc.............. 2,200 7,906
*American Precision Industries, Inc................... 7,300 82,581
*American Retirement Corp............................. 17,000 287,937
*American Science & Engineering, Inc.................. 6,500 59,312
*American Shared Hospital Services.................... 600 1,725
*American Software, Inc. Class A...................... 17,900 52,022
American States Water Company......................... 6,300 168,131
*American Superconductor Corp......................... 18,300 232,181
*American Technical Ceramics Corp..................... 3,500 23,844
*#American Wagering, Inc.............................. 6,900 40,106
American Woodmark Corp................................ 6,260 233,967
Americana Bancorp, Inc................................ 1,760 27,885
*Amerihost Properties, Inc............................ 4,200 15,947
*AmeriLink Corp....................................... 2,900 42,412
*Amerin Corp.......................................... 24,800 664,950
*Ameripath, Inc....................................... 16,900 153,420
*#Ameristar Casinos, Inc.............................. 18,300 64,622
Ameron, Inc........................................... 3,600 155,025
Amerus Life Holdings, Inc. Class A.................... 4,044 104,386
*Ames Department Stores, Inc.......................... 20,400 835,762
Ametek, Inc........................................... 1,100 25,231
*Amistar Corp......................................... 1,600 3,100
Ampco-Pittsburgh Corp................................. 11,900 148,750
*Ampex Corp. Class A.................................. 36,400 161,525
*Amphenol Corp........................................ 13,900 522,987
Amplicon, Inc......................................... 4,100 56,119
*Amrep Corp........................................... 4,600 26,306
*Amresco, Inc......................................... 45,600 310,650
*Amsurg Corp. Class A................................. 589 3,902
*Amsurg Corp. Class B................................. 3,800 25,412
*Amtran, Inc.......................................... 11,700 274,950
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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Amwest Insurance Group, Inc........................... 1,694 $ 17,363
*Amylin Pharmaceuticals, Inc.......................... 33,500 43,445
*Anadigics, Inc....................................... 13,250 328,766
Analogic Corp......................................... 10,900 355,272
*Analogy, Inc......................................... 8,600 24,994
*Analysis & Technology, Inc........................... 1,200 30,675
Analysts International Corp........................... 22,500 358,594
*#Analytical Surveys, Inc............................. 6,100 147,925
*Anaren Microwave, Inc................................ 4,400 95,837
Anchor Bancorp Wisconsin, Inc......................... 16,000 265,500
*Anchor Gaming, Inc................................... 5,300 237,672
Andean Development Corp............................... 2,000 2,062
Andersons, Inc........................................ 8,200 106,087
Andover Bancorp, Inc. DE.............................. 5,900 174,787
*Andrea Electronics Corp.............................. 10,000 69,375
*Anesta Corp.......................................... 10,500 187,031
*#Angeion Corp........................................ 2,420 4,878
*Anicom, Inc.......................................... 23,600 217,562
*Anika Therapeutics, Inc.............................. 3,900 20,902
*Anixter International, Inc........................... 12,000 212,250
*Ansoft Corp.......................................... 11,400 89,775
*Ansys, Inc........................................... 12,600 114,187
*Antec Corp........................................... 9,850 288,420
*Apex PC Solutions, Inc............................... 15,000 269,062
*#Aphton Corp......................................... 12,800 145,600
Apogee Enterprises, Inc............................... 37,600 452,375
*Apple Orthodontix, Inc............................... 10,000 20,000
Applebees International, Inc.......................... 30,300 894,797
*Applied Digital Access, Inc.......................... 12,800 53,800
*Applied Extrusion Technologies, Inc.................. 11,000 83,875
*Applied Films Corp................................... 2,000 7,375
*Applied Graphics Technologies, Inc................... 24,300 263,503
*Applied Imaging Corp................................. 5,900 8,481
Applied Industrial Technologies, Inc.................. 24,850 420,897
*Applied Innovation, Inc.............................. 14,200 55,469
*Applied Magnetics Corp............................... 12,000 36,000
*Applied Microsystems Corp............................ 6,000 18,281
*Applied Science & Technology, Inc.................... 8,500 121,391
*Applied Signal Technologies, Inc..................... 7,700 69,300
*Applix, Inc.......................................... 8,600 46,762
*Apria Healthcare Group, Inc.......................... 15,800 325,875
*Aqua Alliance, Inc................................... 47,800 113,525
*Aquagenix, Inc....................................... 3,200 2,850
Aquarion Co........................................... 7,900 245,394
*Aquila Biopharmaceuticals, Inc....................... 6,330 12,067
*Arabian Shield Development Co........................ 200 216
*Aradigm Corp......................................... 15,400 106,837
*Arcadia Financial, Ltd............................... 39,100 290,806
Arch Coal, Inc........................................ 11,100 162,337
*#Arch Communications Group, Inc...................... 17,600 42,625
Arctic Cat, Inc....................................... 20,100 168,337
*Ardent Software, Inc................................. 16,145 324,918
Area Bancshares Corp.................................. 6,500 158,234
Argonaut Group, Inc................................... 21,500 576,469
*Argosy Gaming Corp................................... 24,500 196,000
*Arguss Holdings, Inc................................. 2,600 46,394
*Ariad Pharmaceuticals, Inc........................... 16,300 24,195
*Ariel Corp........................................... 9,300 28,481
*Ark Restaurants Corp................................. 2,700 27,337
*Arkansas Best Corp................................... 17,600 157,300
Arm Financial Group, Inc. Class A..................... 29,100 436,500
*Armco, Inc........................................... 107,900 694,606
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Armor Holdings, Inc.................................. 13,200 $ 137,775
Arnold Industries, Inc................................ 23,400 387,562
*Aronex Pharmaceuticals, Inc.......................... 18,000 80,437
*Arqule, Inc.......................................... 10,000 45,000
*Arrhythmia Research Technology, Inc.................. 1,800 2,250
*Arrow Automotive Industries, Inc..................... 1,000 1
Arrow Financial Corp.................................. 5,242 140,223
Arrow International, Inc.............................. 30,900 788,916
*Artecon, Inc......................................... 4,900 9,953
*Artesyn Technologies, Inc............................ 38,900 819,331
*Arthrocare Corp...................................... 8,000 158,000
*Artisan Components, Inc.............................. 10,700 77,909
*Artisoft, Inc........................................ 13,100 55,880
*Artra Group, Inc..................................... 6,000 61,125
*Arts Way Manufacturing Co., Inc...................... 200 962
*Asante Technologies, Inc............................. 7,200 5,062
Asarco, Inc........................................... 17,000 273,062
*Ascent Assurance, Inc................................ 109 0
*Ascent Entertainment Group, Inc...................... 27,500 314,531
*Ascent Pediatrics, Inc............................... 100 242
*Asche Transportation Services, Inc................... 4,100 16,528
*Ashworth, Inc........................................ 13,300 65,253
*Aspect Development, Inc.............................. 12,200 173,087
*Aspect Telecommunications Corp....................... 10,300 86,906
*Aspen Technology, Inc................................ 23,900 250,203
*Assisted Living Concepts, Inc........................ 15,600 45,825
*Astea International, Inc............................. 12,100 35,922
*Astec Industries, Inc................................ 15,800 587,562
Astro-Med, Inc........................................ 4,500 29,812
*Astronics Corp....................................... 4,312 38,269
*AstroPower, Inc...................................... 6,000 78,562
*#Asymetrix Learning Systems, Inc..................... 4,500 18,562
*Asyst Technologies, Inc.............................. 10,900 213,912
Atalanta Sosnoff Capital Corp......................... 7,700 76,037
*Athey Products Corp.................................. 2,940 7,258
*Atlantic American Corp............................... 17,000 73,844
*Atlantic Bank and Trust Co........................... 3,600 74,925
*Atlantic Coast Airlines, Inc......................... 17,100 299,784
*Atlantic Data Services, Inc.......................... 14,000 55,781
*Atlantic Premium Brands, Ltd......................... 2,000 4,625
*Atlantis Plastics, Inc............................... 3,300 47,437
*Atrion Corp.......................................... 1,950 18,769
*Atrix Labs, Inc...................................... 10,200 84,787
*Atwood Oceanics, Inc................................. 12,300 356,700
*Audiovox Corp. Class A............................... 13,900 120,756
*Ault, Inc............................................ 3,900 37,781
*#Aura Systems, Inc................................... 48,000 12,750
*Aurora Biosciences Corp.............................. 14,000 79,187
*Auspex Systems, Inc.................................. 25,000 272,656
Authentic Fitness Corp................................ 23,000 378,062
*#Autobond Acceptance Corp............................ 5,900 6,637
Autocam Corp.......................................... 4,560 53,295
*Autocyte, Inc........................................ 9,000 64,687
*Autoimmune, Inc...................................... 13,100 29,270
*Autologic Information International, Inc............. 2,300 11,069
*Automobile Protection Corp........................... 10,500 107,953
*Autote Corp. Class A................................. 28,758 73,692
Avado Brands, Inc..................................... 33,200 301,394
*Avalon Holding Corp. Class A......................... 1,550 10,559
*#Avanir Pharmaceuticals Class A...................... 25,300 26,486
*Avant Corp........................................... 42,700 519,072
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Avant Immunotherapeutics, Inc........................ 29,975 $ 37,937
*Avatar Holdings, Inc................................. 5,500 102,094
*#Avatex Corp......................................... 6,300 3,937
Avert, Inc............................................ 2,300 14,016
*Avi Biopharma, Inc................................... 1,000 3,469
*Aviall, Inc.......................................... 17,700 277,669
*Aviation Sales Co.................................... 12,457 479,594
*Avid Technology, Inc................................. 22,100 362,578
*Avigen, Inc.......................................... 6,600 40,837
*Avista Corp.......................................... 5,800 104,762
*Avondale Industries, Inc............................. 11,600 423,400
*Avteam, Inc. Class A................................. 8,500 60,828
*Axent Technologies, Inc.............................. 20,400 253,087
*Axiohm Transaction Solutions, Inc.................... 5,832 23,328
*Axsys Technologies, Inc.............................. 2,500 31,094
*Axys Pharmaceuticals, Inc............................ 37,800 135,844
*Aztar Corp........................................... 45,200 305,100
Aztec Manufacturing Co................................ 5,000 50,312
*BCT International, Inc............................... 2,700 6,792
*BEI Electronics, Inc................................. 6,000 6,937
BEI Technologies, Inc................................. 5,100 50,841
*BFX Hospitality Group, Inc........................... 4,600 6,469
BHA Group Holdings, Inc. Class A...................... 5,856 57,096
*BI, Inc.............................................. 6,400 58,800
*#BLC Financial Services, Inc......................... 5,000 10,625
BMC Industries, Inc................................... 26,700 268,669
BSB Bancorp, Inc...................................... 8,600 218,762
BT Financial Corp..................................... 9,770 262,569
*BTG, Inc............................................. 7,900 56,781
*BTU International, Inc............................... 6,500 26,812
*BWAY Corp............................................ 6,900 98,325
*Bacou USA, Inc....................................... 11,300 184,331
Badger Meter, Inc..................................... 1,800 60,525
*Badger Paper Mills, Inc.............................. 1,000 7,203
Bairnco Corp.......................................... 8,300 57,581
Baker (J.), Inc....................................... 12,500 90,625
*Baker (Michael) Corp................................. 3,900 28,275
*Balance Bar Co....................................... 3,000 16,969
Balchem Corp.......................................... 1,800 10,350
Baldor Electric Co.................................... 11,733 225,860
*Baldwin Piano & Organ Co............................. 1,300 9,912
*Baldwin Technology, Inc. Class A..................... 13,500 48,937
*Ballantyne Omaha, Inc................................ 12,127 93,984
Ballard Medical Products.............................. 27,400 650,750
*Bally Total Fitness Holding Corp..................... 23,675 605,192
*Baltek Corp.......................................... 1,500 14,812
Bancfirst Ohio Corp................................... 6,300 155,531
*Bancinsurance Corp................................... 4,305 23,947
Bancorp Connecticut, Inc.............................. 4,100 66,369
Bandag, Inc........................................... 9,800 337,487
Bandag, Inc........................................... 11,000 314,875
*Bangor Hydro-Electric Co............................. 6,500 91,812
Bank of Granite Corp.................................. 9,450 225,028
*Bank Plus Corp....................................... 17,400 90,806
*Bank United Financial Corp. Class A.................. 3,500 31,555
Bank West Financial Corp.............................. 1,600 17,050
#BankAtlantic Bancorp, Inc. Class A................... 8,600 62,887
BankAtlantic Bancorp, Inc. Class B.................... 8,300 66,141
BankNorth Group, Inc. DE.............................. 20,800 555,750
Banta Corp............................................ 2,700 66,150
*Banyan System, Inc................................... 18,100 200,231
Barnes Group, Inc..................................... 17,900 412,819
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Barnett, Inc......................................... 500 $ 4,562
*Barnwell Industries, Inc............................. 400 4,625
*Barra, Inc........................................... 12,200 295,469
*Barrett Business Services, Inc....................... 5,800 49,300
*Barringer Technologies, Inc.......................... 6,800 37,612
*Barry (R.G.) Corp.................................... 8,832 71,208
*#Base Ten Systems, Inc. Class A...................... 8,600 7,122
*Basin Exploration, Inc............................... 12,500 209,766
Bassett Furniture Industries, Inc..................... 11,800 280,619
Battle Mountain Gold Co............................... 115,000 280,312
Bay View Capital Corp................................. 18,200 327,600
*Baycorp Holdings, Ltd................................ 5,500 19,594
*Bayou Steel Corp. Class A............................ 9,600 34,800
*Be Aerospace, Inc.................................... 24,400 437,675
Beauticontrol Cosmetics, Inc.......................... 5,400 25,987
*Beazer Homes USA, Inc................................ 6,000 133,500
*Bel Fuse, Inc. Class A............................... 1,750 56,984
Bel Fuse, Inc. Class B................................ 1,750 51,297
*Belco Oil & Gas Corp................................. 31,600 250,825
Belden, Inc........................................... 21,900 516,019
*Bell Industries, Inc................................. 7,620 78,105
*Bell Microproducts, Inc.............................. 8,800 62,287
*Bellwether Exploration Co............................ 11,300 52,262
*Ben & Jerry's Homemade, Inc. Class A................. 5,100 143,597
*Benchmark Electronics, Inc........................... 10,500 315,000
*Benihana, Inc........................................ 1,000 14,125
*Bentley Pharmaceuticals, Inc......................... 3,460 10,380
*Benton Oil & Gas Co.................................. 16,000 56,000
*Bergen Brunswig Corp. Class A........................ 17,270 379,940
Berkshire Energy Resources............................ 1,000 20,719
*Berlitz International, Inc........................... 4,700 100,169
Berry Petroleum Corp. Class A......................... 19,000 270,750
*Beverly Enterprises.................................. 32,000 232,000
*Big 4 Ranch, Inc..................................... 3,200 0
*Big Flower Holdings, Inc............................. 19,800 616,275
*Billing Information Concepts Corp.................... 35,600 446,112
Bindley Western Industries, Inc....................... 5,266 158,638
*Binks Sames Corp..................................... 1,500 25,125
*Bio Technology General Corp.......................... 53,300 376,431
*#Bio Vascular, Inc................................... 8,100 22,402
*Bioanalytical Systems, Inc........................... 4,000 16,000
*Biocryst Pharmaceuticals, Inc........................ 14,000 112,875
*#Biofield Corp....................................... 9,000 1,153
*Bio-Logic Systems Corp............................... 2,100 7,416
*#Biomatrix, Inc...................................... 18,800 575,750
*Bionova Holdings Corp................................ 1,270 4,564
*Bionx Implants, Inc.................................. 10,000 45,937
*#Bio-Plexus, Inc..................................... 2,700 12,994
*Bio-Rad Laboratories, Inc. Class A................... 8,300 233,956
*BioReliance Corp..................................... 3,000 19,969
*Biosite Diagnostics, Inc............................. 10,000 99,687
*Biosource International, Inc......................... 5,200 25,350
*Biospecifics Technologies Corp....................... 3,000 9,562
*#Biospherics, Inc.................................... 6,500 50,070
Birmingham Steel Corp................................. 14,300 73,287
*Black Box Corp....................................... 15,300 699,019
*Black Hawk Gaming & Development, Inc................. 3,600 30,712
Black Hills Corp...................................... 19,550 449,650
Blair Corp............................................ 6,700 115,156
Blanch (E.W.) Holdings, Inc........................... 11,500 736,000
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Blimpie International................................. 8,600 $ 22,575
*Blonder Tongue Laboratories, Inc..................... 7,500 49,687
*Bluegreen Corp....................................... 21,295 119,784
Bob Evans Farms, Inc.................................. 1,400 26,994
*Boca Research, Inc................................... 7,900 69,989
*#Bogen Communications International, Inc............. 1,400 10,062
*Bolder Technologies Corp............................. 8,600 76,594
*Bolle, Inc........................................... 6,161 17,905
*Bolt Technology Corp................................. 4,500 28,687
*Bombay Co., Inc...................................... 20,000 122,500
*Bonded Motors, Inc................................... 1,800 5,287
*Bone Care International, Inc......................... 2,250 22,078
*Bontex, Inc.......................................... 200 437
*Bon-Ton Stores, Inc.................................. 10,800 68,850
*#Books-a-Million, Inc................................ 15,400 127,050
*Borg-Warner Security Corp............................ 23,500 383,344
Boston Acoustics, Inc................................. 3,750 68,437
*Boston Beer Company, Inc. Class A.................... 6,300 52,369
*Boston Biomedical, Inc............................... 3,300 12,581
*#Boston Chicken, Inc................................. 27,200 16,320
*Boston Communications Group, Inc..................... 11,000 103,125
Bostonfed Bancorp, Inc................................ 3,800 68,400
Bowne & Co., Inc...................................... 34,600 579,550
*Boyd Gaming Corp..................................... 61,800 366,937
*Bradley Pharmaceuticals, Inc. Class A................ 1,500 2,086
Brady (W.H.) Co. Class A.............................. 20,700 518,794
*Brauns Fashions Corp................................. 3,200 35,400
*Brazos Sportswear, Inc............................... 230 23
*#Breed Technologies, Inc............................. 36,800 121,900
Brenton Banks, Inc.................................... 18,796 323,070
*Bridgeport Macs, Inc................................. 5,100 46,219
*Bridgestreet Accomodations, Inc...................... 7,200 25,200
Bridgford Foods Corp.................................. 4,482 46,781
*Brigham Exploration Co............................... 3,000 7,687
*Brightpoint, Inc..................................... 46,700 264,877
*Brilliant Digital Entertainment, Inc................. 8,500 57,375
*Brite Voice Systems, Inc............................. 12,100 157,300
*#Britesmile, Inc..................................... 6,100 65,194
Broad National Bancorporation......................... 3,492 84,470
*#Broadband Technologies, Inc......................... 10,599 23,684
*Broadway & Seymour, Inc.............................. 8,300 47,984
*Brookdale Living Communities......................... 15,400 217,044
#Brooke Group, Ltd.................................... 20,900 506,825
Brookline Bancorp, Inc................................ 7,400 86,487
*Brooks Automation, Inc............................... 9,900 181,294
*Brookstone, Inc...................................... 8,000 120,250
*Brooktrout Technology, Inc........................... 9,300 174,084
*Brothers Gourmet Coffees, Inc........................ 6,771 142
*Brown & Sharpe Manufacturing Co. Class A............. 11,500 63,250
*Brown (Tom), Inc..................................... 26,300 341,078
Brown and Brown, Inc.................................. 12,150 433,603
Brown Shoe Company, Inc............................... 18,000 342,000
*Brunswick Technologies, Inc.......................... 4,600 28,031
Brush Wellman, Inc.................................... 14,900 252,369
Bryn Mawr Bank Corp................................... 800 20,750
*Buckeye Technology, Inc.............................. 27,700 451,856
*Buckhead America Corp................................ 900 5,625
*Buckle, Inc.......................................... 19,800 548,212
*Budget Group, Inc.................................... 25,500 341,062
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Buffets, Inc......................................... 45,686 $ 479,703
*Builders Transport, Inc.............................. 1,800 40
*Building Materials Holding Corp...................... 10,600 123,887
*Bull Run Corp. GA.................................... 21,300 85,866
Burlington Coat Factory Warehouse Corp................ 26,380 445,162
*Burlington Industries, Inc........................... 51,900 509,269
*Burr Brown Corp...................................... 28,062 896,230
*Bush Boake Allen, Inc................................ 17,400 501,337
Bush Industries, Inc. Class A......................... 4,600 68,137
*Business Resource Group.............................. 2,400 8,025
*Butler International, Inc............................ 5,800 115,819
Butler Manufacturing Co............................... 5,400 151,875
C & D Technologies, Inc............................... 11,200 305,900
*C-COR Electronics, Inc............................... 8,200 195,519
*C-Cube Microsystems, Inc............................. 25,400 635,794
*#C-Phone Corp........................................ 6,400 14,100
*C.P. Clare Corp...................................... 9,400 34,369
*C3, Inc.............................................. 4,500 68,906
*CB Richard Ellis Services, Inc....................... 18,900 366,187
*CCA Industries, Inc.................................. 4,300 5,442
CCBT Bancorp, Inc..................................... 6,400 104,800
*CCC Information Services Group, Inc.................. 24,100 302,003
*CD Radio, Inc........................................ 10,000 225,000
*CDI Corp............................................. 17,900 579,512
*#CDNOW/N2K, Inc...................................... 16,900 302,616
*CE Software Holdings, Inc............................ 580 2,628
*CEM Corp............................................. 2,500 19,766
*CET Environmental Services, Inc...................... 3,500 5,031
*CFI Proservices, Inc................................. 4,000 50,750
*CFM Technologies, Inc................................ 7,100 64,787
CFSB Bancorp, Inc..................................... 5,516 139,292
CFW Communications Co................................. 11,700 288,478
*CMC Industries, Inc.................................. 5,200 33,637
CMI Corp. Class A..................................... 17,800 163,537
CMP Media Group, Inc.................................. 32,400 656,100
*CMP Media, Inc. Class A.............................. 6,400 249,000
CNA Surety Corp....................................... 34,700 503,150
CNBT Bancshares, Inc.................................. 5,800 72,862
*CNS Income........................................... 16,600 55,506
CPAC, Inc............................................. 5,020 38,748
CPB, Inc.............................................. 6,800 140,250
*CPI Aerostructures, Inc.............................. 200 128
CPI Corp.............................................. 8,000 252,000
*CPS Systems, Inc..................................... 7,000 7,437
*CSP, Inc............................................. 3,061 20,949
*CSS Industries, Inc.................................. 9,300 251,100
*CTB International Corp............................... 2,000 17,375
*CTC Communications Corp. Class 1..................... 9,000 183,937
CTG Resources, Inc.................................... 7,800 199,387
CTS Corp.............................................. 16,400 918,400
*CUNO, Inc............................................ 14,500 267,344
#CVB Financial Corp................................... 14,899 349,195
*Cable Design Techologies Corp........................ 27,225 384,553
Cabot Oil & Gas Corp. Class A......................... 24,900 445,087
*Cache, Inc........................................... 7,625 51,469
*Caci International, Inc. Class A..................... 8,700 161,494
*Cade Industries, Inc................................. 19,800 44,241
*Cadence Design Systems, Inc.......................... 18,051 232,407
*Cadiz, Inc........................................... 30,400 309,700
Cadmus Communications Corp............................ 5,800 74,312
*Cadus Pharmaceutical Corp............................ 8,700 8,700
</TABLE>
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<TABLE>
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<S> <C> <C>
*Caere Corp........................................... 10,600 $ 125,875
Cagle's, Inc. Class A................................. 2,000 38,000
*Cal Dive International, Inc.......................... 5,000 123,125
Calgon Carbon Corp.................................... 31,000 176,312
*Caliber Learning Network, Inc........................ 10,000 44,062
*#California Amplifier, Inc........................... 9,400 39,362
*California Coastal Comm, Inc......................... 9,500 60,859
*#California Culinary Academy, Inc.................... 1,200 8,137
*California Micro Devices Corp........................ 8,400 18,637
California Water Service Group........................ 10,400 270,400
*Callon Petroleum Co.................................. 6,000 64,500
*Calloways Nursery, Inc............................... 1,200 1,462
Cal-Maine Foods, Inc.................................. 10,800 58,725
Cambrex Corp.......................................... 24,100 542,250
*Cambridge Heart, Inc................................. 10,800 71,887
*Cameron Ashley Building Products, Inc................ 8,400 100,800
Cameron Financial Corp................................ 1,300 17,225
*Candela Laser Corp................................... 3,800 57,237
*Candies, Inc......................................... 17,200 52,675
*Canisco Resources, Inc............................... 500 1,797
*Cannon Express, Inc. Class A......................... 900 3,150
*Cannondale Corp...................................... 6,900 61,669
*Cantel Industries, Inc. Class B...................... 3,100 17,244
*Capital Pacific Holdings, Inc........................ 11,600 37,700
Capital Re Corp....................................... 30,700 500,794
*Capital Senior Living Corp........................... 10,600 115,275
Capitol Bancorp, Ltd.................................. 3,706 63,349
Capitol Transamerica Corp............................. 10,050 151,064
Caraustar Industries, Inc............................. 22,900 601,841
*Carbide/Graphite Group, Inc.......................... 6,700 86,891
Carbo Ceramics, Inc................................... 4,000 90,000
*Cardiac Pathways Corp................................ 10,000 10,625
*#Cardima, Inc........................................ 2,600 6,744
*Cardiotech International, Inc........................ 2,101 3,020
*Career Blazers, Inc. Trust Units..................... 800 0
*Career Education Corp................................ 500 17,406
*Carematrix, Inc...................................... 15,800 234,531
*Caretenders Healthcorp............................... 1,600 3,700
*Carey International, Inc............................. 7,700 145,819
*Caribiner International, Inc......................... 27,900 149,962
*Carleton Corporation................................. 1,100 2,578
*Carmike Cinemas, Inc. Class A........................ 8,700 152,794
Carolina First Corp................................... 17,610 482,624
Carpenter Technology Corp............................. 5,000 142,500
*Carreker-Antinori, Inc............................... 17,000 145,031
*Carriage Services, Inc. Class A...................... 10,000 170,625
*Carrington Laboratories, Inc......................... 8,400 24,937
*Carson, Inc.......................................... 7,000 24,500
Carter-Wallace, Inc................................... 32,900 594,256
Cascade Corp.......................................... 10,700 144,450
Cascade Natural Gas Corp.............................. 9,900 166,444
*Casella Waste Systems, Inc.
Class A............................................. 12,800 252,400
Casey's General Stores, Inc........................... 36,800 493,350
Cash America International, Inc....................... 22,600 286,737
*Casino Data Systems.................................. 14,400 53,550
*Castle & Cooke, Inc.................................. 13,700 214,062
Castle (A.M.) & Co.................................... 13,037 200,444
*Castle Dental Centers, Inc........................... 6,300 42,131
Castle Energy Corp.................................... 2,400 44,700
*Catalina Lighting, Inc............................... 5,100 22,950
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Catalyst International, Inc.......................... 2,400 $ 40,350
*Catalytica, Inc...................................... 31,700 378,419
*Cathay Bancorp, Inc.................................. 2,200 77,687
*Catherines Stores Corp............................... 6,300 69,300
Cato Corp. Class A.................................... 21,300 280,228
Cavalier Homes, Inc................................... 18,060 163,669
*Cavanaughs Hospitality Corp.......................... 15,000 143,437
*Cec Entertainment Inc................................ 7,200 272,250
*Celadon Group, Inc................................... 6,000 59,625
*Celebrity, Inc....................................... 1,300 3,047
*Celeris Corp......................................... 9,400 8,519
*Celeritek, Inc....................................... 5,000 26,875
*Celestial Seasonings, Inc............................ 6,600 128,287
*#Celgene Corp........................................ 14,200 233,412
*#Cell Genesys, Inc................................... 28,452 136,925
*Cell Pathways, Inc................................... 4,829 53,119
*Cellegy Pharmaceuticals, Inc......................... 7,200 35,325
*#Cellnet Data Systems, Inc........................... 41,900 369,244
*Cellstar Corp........................................ 59,000 459,094
*#Cel-Sci Corp........................................ 2,500 5,469
Cenit Bancorp, Inc.................................... 3,000 61,312
*Centennial Bancorp................................... 15,063 176,049
*Centennial Healthcare Corp........................... 9,500 52,547
*Centigram Communications Corp........................ 5,200 50,537
Central Bancorp, Inc.................................. 1,800 34,875
*Central Garden & Pet Co.............................. 29,500 401,016
Central Hudson Gas & Electric Corp.................... 11,200 472,500
*Central Sprinkler Corp............................... 4,000 68,125
Central Vermont Public Service Corp................... 10,300 122,956
Centris Group, Inc.................................... 11,400 110,437
*Centura Software Corp................................ 8,600 8,734
Century Aluminum Co................................... 16,000 103,500
Century Bancorp Income Class A........................ 1,000 17,812
*#Century Business Services, Inc...................... 33,800 377,081
*Cephalon, Inc........................................ 28,600 388,781
*Ceradyne, Inc........................................ 6,900 28,031
Cerberonics, Inc. Class A............................. 200 1,262
*Ceres Group, Inc..................................... 2,100 21,525
*Cerion Technologies, Inc............................. 3,500 875
*Cerner Corp.......................................... 28,400 568,887
*Cerprobe Corp........................................ 7,300 67,981
*Chad Therapeutics.................................... 8,000 14,500
Champion Industries, Inc.............................. 8,462 66,638
*Championship Auto Racing Teams, Inc.................. 7,000 235,375
*Charming Shoppes, Inc................................ 14,800 74,694
*Chart House Enterprises, Inc......................... 10,600 58,300
Chart Industries, Inc................................. 21,725 229,470
*Charter Federal Savings Bank (Escrow)................ 2,100 0
Chartwell Re Corp..................................... 10,700 167,856
*Chase Industries, Inc................................ 9,000 75,375
*Chattem, Inc......................................... 9,200 334,650
*Chaus (Bernard), Inc................................. 9,400 22,912
*Check Technology Corp................................ 4,400 9,900
*Checkpoint System, Inc............................... 21,000 191,625
*Cheesecake Factory, Inc.............................. 18,050 498,631
Chemed Corp........................................... 9,100 295,181
*Chemfab Corp......................................... 7,850 154,056
Chemfirst, Inc........................................ 14,700 350,044
Chemical Financial Corp............................... 10,832 330,376
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Cherry Corp. Class A................................. 3,000 $ 40,500
*Cherry Corp. Class B................................. 1,800 24,581
*Chesapeake Biological Laboratories, Inc. Class A..... 3,600 7,425
Chesapeake Corp....................................... 2,000 72,125
#Chesapeake Energy Corp............................... 109,570 232,836
Chesapeake Utilities Corp............................. 3,700 66,600
Chester Valley Bancorp................................ 453 7,984
*Chic by His, Inc..................................... 9,800 30,625
Chicago Rivet & Machine Co............................ 200 3,825
*Chicos Fas, Inc...................................... 8,200 185,525
*#Childrens Broadcasting Corp......................... 4,700 7,123
*Children's Comprehensive Services, Inc............... 8,650 52,711
*Childrens PL Retail Stores, Inc...................... 11,500 445,266
*Childtime Learning Centers, Inc...................... 3,300 41,250
Chiquita Brands International, Inc.................... 41,892 337,754
*Chirex, Inc.......................................... 10,600 319,656
#Chittenden Corp...................................... 14,366 418,410
*#Chock Full O' Nuts Corp............................. 10,130 105,732
*Cholestech Corp...................................... 10,300 24,462
*Chromcraft Revington, Inc............................ 3,400 55,250
*Chronimed, Inc....................................... 12,100 85,834
Church & Dwight Co., Inc.............................. 17,500 747,031
*Chyron Corp.......................................... 38,100 78,581
*Cidco, Inc........................................... 12,600 77,962
*Cima Laboratories, Inc............................... 8,600 27,950
*Ciprico, Inc......................................... 4,400 38,362
Circle International, Inc............................. 14,700 301,350
*Circuit City Stores, Inc. - Carmax Group............. 18,300 88,069
*Circuit Systems, Inc................................. 2,600 5,362
*Cirrus Logic, Inc.................................... 61,200 464,737
*Citadel Holding Corp................................. 5,300 26,831
*Citation Computer System, Inc........................ 2,200 4,194
*Citation Corp........................................ 16,100 214,834
*Citizens, Inc. Class A............................... 19,900 113,181
City Holding Co....................................... 7,986 218,617
*Civic Bancorp........................................ 2,976 42,036
Clarcor, Inc.......................................... 24,350 447,431
*Clarify, Inc......................................... 22,000 712,937
*Clark (Dick) Productions, Inc........................ 3,528 44,541
*Clean Harbors, Inc................................... 9,300 15,984
Cleveland Cliffs, Inc................................. 10,200 377,400
*Clintrials Research, Inc............................. 15,900 67,078
*#Closure Medical Corp................................ 11,900 369,272
*#CoCensys, Inc....................................... 2,200 2,269
Coachmen Industries, Inc.............................. 15,100 332,200
*Coast Dental Services, Inc........................... 6,800 48,025
*Coast Distribution System............................ 4,000 11,500
Coastal Bancorp, Inc.................................. 5,250 84,328
*Coastcast Corp....................................... 5,600 67,200
*Cobra Electronic Corp................................ 2,600 10,562
Coca-Cola Bottling Co. Consolidated................... 5,200 283,075
*Code-Alarm, Inc...................................... 800 425
*Coeur d'Alene Mines Corp. ID......................... 19,700 82,494
*Coffee People, Inc................................... 3,000 5,953
*Cogeneration Corporation of America.................. 5,000 61,250
*Cognitronics Corp.................................... 2,500 40,000
*Cognizant Technology Solutions Corp.................. 2,000 49,875
*Coherent, Inc........................................ 23,700 383,644
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cohesion Technologies, Inc........................... 6,300 $ 35,437
*Coho Energy, Inc..................................... 29,000 18,125
Cohu, Inc............................................. 8,200 244,462
*Coinmach Laundry Corp................................ 12,600 155,137
*Coinstar, Inc........................................ 12,800 278,000
*Cold Metal Products, Inc............................. 3,500 7,437
*Coldwater Creek, Inc................................. 8,300 164,962
*Cole (Kenneth) Productions, Inc. Class A............. 5,700 171,000
*Cole National Corp. Class A.......................... 15,300 140,569
*Coleman, Inc......................................... 1,400 12,337
Collagen Corp......................................... 6,300 86,231
*Collagenex Pharmaceuticals, Inc...................... 7,700 73,992
Collins & Aikman Corp................................. 64,000 356,000
Collins Industries, Inc............................... 6,500 37,984
Colonial Gas Co....................................... 8,050 276,719
*Colorado MEDtech, Inc................................ 9,700 136,709
*Columbia Banking System, Inc......................... 9,427 157,918
*Columbia Laboratories, Inc........................... 28,700 251,125
*Columbia Sportswear Co............................... 5,100 75,225
*Columbus Energy Corp................................. 2,987 17,455
Columbus McKinnon Corp................................ 12,400 309,612
*Com21, Inc........................................... 5,000 90,312
*Comarco, Inc......................................... 3,400 67,469
*Combichem, Inc....................................... 5,000 20,625
*Comdial Corp......................................... 6,900 48,516
*Comforce Corp........................................ 13,877 46,835
*Command Systems, Inc................................. 2,000 3,312
Commercial Bancshares, Inc............................ 1,504 33,840
Commercial Bank of New York........................... 4,200 52,762
Commercial Intertech Corp............................. 11,400 172,425
Commercial Metals Co.................................. 13,400 314,062
Commercial National Financial Corp.................... 2,600 49,400
*Commodore Applied Technologies, Inc.................. 13,902 3,910
Commonwealth Bancorp, Inc............................. 14,500 235,172
Commonwealth Industries, Inc.......................... 14,400 156,150
Communications Systems, Inc........................... 8,100 106,819
Community Bank System, Inc............................ 6,100 143,350
Community Bankshares, Inc............................. 200 2,712
Community Financial Corp.............................. 1,200 11,700
Community Financial Group, Inc........................ 2,300 32,775
*Community First Brokerage Co......................... 2,000 45,937
Community Savings Bankshares, Inc..................... 7,973 99,164
Community Trust Bancorp, Inc.......................... 8,844 202,859
Community West Bancshares............................. 3,600 37,575
*Comnet Cellular, Inc................................. 20,400 408,000
*Compass International Services Corp.................. 11,000 72,531
*Compdent Corp........................................ 8,100 117,197
*Competitive Technologies, Inc........................ 4,400 32,450
*Complete Business Solutions, Inc..................... 12,000 290,625
*Comprehensive Care Corp.............................. 2,500 1,289
*Comptek Research, Inc................................ 3,200 28,000
*Compucom Systems, Inc................................ 46,900 189,066
*CompUSA, Inc......................................... 11,700 94,331
*Computer Horizons Corp............................... 19,400 355,262
*#Computer Learning Centers, Inc...................... 15,600 76,537
*Computer Motion, Inc................................. 7,300 64,787
*Computer Network Technology Corp..................... 22,100 555,262
*Computer Outsourcing Services, Inc................... 2,900 26,553
Computer Task Group, Inc.............................. 22,200 369,075
*Comshare, Inc........................................ 8,900 30,316
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Comstock Resources, Inc.............................. 22,800 $ 92,625
*Comtech Telecommunications Corp...................... 1,000 8,781
*Concentra Managed Care, Inc.......................... 47,100 688,837
*Concord Camera Corp.................................. 9,900 51,356
*Concord Fabrics, Inc. Class A........................ 700 3,062
*Concurrent Computer Corp............................. 47,900 280,664
*Condor Technology Solutions, Inc..................... 8,700 92,981
*Conductus, Inc....................................... 4,900 9,494
*Cone Mills Corp. NC.................................. 6,100 37,744
*Congoleum Corp. Class A.............................. 3,200 27,200
*Conmed Corp.......................................... 15,075 512,079
*Connect, Inc......................................... 12,000 44,062
Connecticut Energy Corp............................... 9,200 345,575
Connecticut Water Services, Inc....................... 3,600 86,400
*Connitics Corp....................................... 15,600 109,200
*Conso Products Co.................................... 6,600 38,981
*Consolidated Delivery and Logistics, Inc............. 6,000 24,750
*Consolidated Freightways Corp........................ 20,700 275,569
*Consolidated Products, Inc........................... 23,326 431,531
Consolidated Tokoma Land Co........................... 3,100 46,887
*#Consumer Portfolio Services, Inc.................... 18,700 36,231
*#ContiFinancial Corp................................. 42,100 299,962
*Continucare Corp..................................... 12,400 5,425
*#Converse, Inc....................................... 17,300 74,606
Cooker Restaurant Corp................................ 9,200 57,500
*Cooper Companies, Inc................................ 13,400 304,012
*Cooperative Bankshares, Inc.......................... 1,400 16,362
*Copart, Inc.......................................... 26,600 478,800
*Copley Pharmaceutical, Inc........................... 17,300 168,134
*#Copytele, Inc....................................... 52,100 131,064
*Cor Therapeutics, Inc................................ 24,100 340,412
*Coram Healthcare Corp................................ 35,563 82,239
*Core Materials Corp.................................. 7,700 25,987
*Core, Inc............................................ 6,700 55,903
*Corixa Corp.......................................... 8,749 113,737
*Cornell Corrections, Inc............................. 8,600 166,625
*Corporate Express, Inc............................... 72,900 477,267
*Correctional Services Corp........................... 9,612 82,303
*Corrpro Companies, Inc............................... 6,375 63,352
*Corsair Communications, Inc.......................... 13,900 63,636
*Cort Business Services Corp.......................... 11,400 275,737
Corus Bankshares, Inc................................. 14,600 465,375
*Corvas International, Inc............................ 13,600 27,412
*Corvel Corp.......................................... 1,000 39,625
*Cosmetic Centers, Inc. Class C....................... 451 127
*Cost Plus, Inc....................................... 13,200 493,350
*Costilla Energy, Inc................................. 9,000 2,953
*Cotelligent Group, Inc............................... 12,200 163,175
Cotton States Life Insurance Co....................... 2,530 30,360
*Counsel Corp......................................... 7,100 46,594
Courier Corp.......................................... 1,200 27,450
*Covenant Transport, Inc. Class A..................... 12,600 150,806
*Coventry Health Care, Inc............................ 58,800 782,775
Covest Bancshares, Inc................................ 2,250 30,797
*Coyote Network Systems, Inc.......................... 2,172 16,290
Craftmade International, Inc.......................... 5,850 78,609
*Craig (Jenny), Inc................................... 18,600 65,100
*Craig Corp........................................... 2,400 18,150
Crawford & Co. Class A................................ 300 3,862
Crawford & Co. Class B................................ 4,700 64,625
*Creative Biomolecules, Inc........................... 32,000 102,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Creative Computers, Inc.............................. 9,100 $ 273,853
*Credence Systems Corp................................ 16,450 486,303
*Credit Acceptance Corp............................... 46,300 276,353
*#Cree Research, Inc.................................. 12,800 704,400
*Crescent Operating, Inc.............................. 9,100 50,334
*Criticare Systems, Inc............................... 7,500 16,172
Cross (A.T.) Co. Class A.............................. 13,700 85,625
Cross Timbers Oil Co.................................. 42,850 463,316
*Crossman Communities, Inc............................ 8,850 230,930
*Crown Central Petroleum Corp. Class A................ 4,300 34,937
*Crown Central Petroleum Corp. Class B................ 4,700 38,775
Crown Crafts, Inc..................................... 7,700 38,981
*#Crown Resources Corp................................ 12,400 20,731
*Crown Vantage, Inc................................... 8,500 22,312
*Crown-Andersen, Inc.................................. 1,000 5,812
*Cryolife, Inc........................................ 12,100 149,737
*Crystal Oil Co....................................... 1,200 38,850
Cubic Corp............................................ 8,000 193,000
*Cubist Pharmaceuticals, Inc.......................... 13,400 42,503
Culp, Inc............................................. 6,000 49,500
*Cunningham Graphics International, Inc............... 4,000 57,750
*CuraGen Corp......................................... 5,400 30,544
*Curative Health Services, Inc........................ 11,400 77,306
Curtiss-Wright Corp................................... 9,200 353,050
*#CustomTracks Corp................................... 13,800 826,275
*Cutter & Buck, Inc................................... 4,700 138,944
*#Cyanotech Corp...................................... 10,300 8,691
*#Cybercash, Inc...................................... 15,800 220,212
*#Cyberguard Corp..................................... 6,100 6,100
*Cyberonics, Inc...................................... 15,500 177,766
*Cyberoptics Corp..................................... 3,800 47,975
*Cybex Corp........................................... 12,475 285,755
*Cybex International, Inc............................. 8,700 47,850
*#Cygnus, Inc......................................... 18,100 207,584
*Cylink Corp.......................................... 28,300 111,873
*Cymer, Inc........................................... 28,600 522,844
*Cypros Pharmaceutical Corp........................... 15,700 35,325
*Cyrk, Inc............................................ 13,200 87,862
*Cytel Corp........................................... 4,142 7,378
*Cytrx Corp........................................... 5,400 14,091
*Cytyc Corp........................................... 15,200 313,500
*D & K Healthcare Resources, Inc...................... 3,200 75,300
*D A Consulting Group, Inc............................ 5,700 69,647
*DBT Online, Inc...................................... 16,580 596,880
*DII Group, Inc....................................... 24,900 816,253
*DM Management Co..................................... 8,500 136,797
*#DRS Technologies, Inc............................... 5,496 48,433
*DSET Corp............................................ 8,000 98,500
*DSP Communications, Inc.............................. 27,700 851,775
*DSP Group, Inc....................................... 8,400 222,862
*DSP Technology, Inc.................................. 800 7,150
DT Industries, Inc.................................... 8,100 77,709
*DVI, Inc............................................. 15,200 236,550
*Dailey International, Inc............................ 4,900 3,675
*Daily Journal Corp................................... 200 7,487
*Dairy Mart Convenience Stores, Inc. Class A.......... 1,600 6,200
*Daisytek International Corp.......................... 18,700 298,031
*Daktronics, Inc...................................... 2,600 27,625
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Dal-Tile International, Inc.......................... 52,700 $ 517,119
*Damark International, Inc. Class A................... 5,100 50,203
Dames & Moore, Inc.................................... 16,200 255,150
*Dan River, Inc. (GA) Class A......................... 22,700 208,556
Daniel Industries, Inc................................ 15,660 328,860
*Danielson Holding Corp............................... 2,000 10,625
*#Daou Systems, Inc................................... 15,900 97,387
*Darling International, Inc........................... 15,600 29,250
*Data Broadcasting Corp............................... 27,913 356,763
*#Data Dimensions, Inc................................ 11,600 45,675
*Data General Corp.................................... 30,000 393,750
*Data I/O Corp........................................ 4,900 5,589
*Data Processing Resources Corp....................... 11,500 174,297
*#Data Race, Inc...................................... 13,100 59,769
Data Research Association, Inc........................ 4,400 38,775
*Data Systems & Software, Inc......................... 5,200 15,925
*Data Systems Network Corp............................ 165 193
*#Data Transmission Network Corp...................... 10,100 233,562
*Datakey, Inc......................................... 1,000 2,625
*Datamarine International, Inc........................ 200 487
*Dataram Corp......................................... 4,000 33,250
*Datascope Corp....................................... 14,000 350,875
*Datastream Systems, Inc.............................. 15,600 188,662
*DataTRAK International, Inc.......................... 5,600 26,600
*Dataware Technologies, Inc........................... 7,400 21,275
*Datawatch Corp....................................... 4,600 6,756
*Datron Systems, Inc.................................. 2,100 12,797
*Datum, Inc........................................... 4,900 41,037
*Dave and Busters, Inc................................ 11,700 312,975
Davel Communications, Inc............................. 5,778 35,390
*Davox Corp........................................... 12,850 107,619
*Daw Technologies, Inc................................ 7,400 9,481
*Dawson Geophysical Co................................ 4,300 45,956
*Daxor Corp........................................... 3,400 42,287
*Day Runner, Inc...................................... 10,700 131,409
*Dayton Superior Corp. Class A........................ 5,100 91,481
Deb Shops, Inc........................................ 12,200 185,287
*#DecisionOne Holdings Corp........................... 2,900 8,927
*Deckers Outdoor Corp................................. 7,900 26,909
*Decora Industries, Inc............................... 300 1,931
Decorator Industries, Inc............................. 2,162 16,080
*Del Global Technologies Corp......................... 6,883 61,947
Del Laboratories, Inc................................. 16,117 244,777
*Delco Remy International, Inc........................ 2,000 21,875
*#Delia's, Inc........................................ 12,000 158,250
*#Delta Financial Corp................................ 14,800 99,900
Delta Natural Gas Co., Inc............................ 1,400 23,975
Delta Woodside Industries, Inc........................ 8,000 56,500
*Deltek Systems, Inc.................................. 16,100 147,919
Deltic Timber Corp.................................... 12,800 318,400
*Denali, Inc.......................................... 2,000 15,625
*Denamerica Corp...................................... 12,100 11,344
*Dendrite International, Inc.......................... 21,400 700,850
*Dense-Pac Microsystems, Inc.......................... 13,700 32,109
*Department 56, Inc................................... 15,800 524,362
*DepoMed, Inc......................................... 8,000 25,000
*Designs, Inc......................................... 14,800 29,137
*Detection Systems, Inc............................... 6,300 55,519
*Detrex Corp.......................................... 500 3,453
Detroit Diesel Corp................................... 25,100 622,794
*Devcon International Corp............................ 4,000 12,437
Dewolfe Companies, Inc................................ 200 1,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dexterity Surgical, Inc.............................. 1,000 $ 1,437
*Diacrin, Inc......................................... 5,700 32,953
*Diagnostic Health Services, Inc...................... 10,200 10,359
Diagnostic Products Corp.............................. 11,700 266,175
*Dialogic Corp........................................ 14,600 495,944
*Diametrics Medical, Inc.............................. 21,000 144,703
*Diamond Home Services, Inc........................... 7,300 34,219
*#Diamond Multimedia Systems, Inc..................... 33,800 149,459
*Diamond Technology Partners, Class A................. 8,200 195,262
*Dianon Systems, Inc.................................. 6,100 56,234
*Diatide, Inc......................................... 14,500 51,656
*Digene Corp.......................................... 11,300 133,834
*Digi International, Inc.............................. 17,200 142,975
*Digital Biometrics, Inc.............................. 11,700 19,378
*Digital Generation Systems, Inc...................... 21,200 125,875
*Digital Lightwave, Inc............................... 20,200 122,462
*Digital Link Corp.................................... 8,900 65,498
*Digital Microwave Corp............................... 61,700 775,106
*Digital Power Corp................................... 1,000 1,500
Dime Community Bancorp, Inc........................... 11,200 248,150
Dimon, Inc............................................ 46,700 245,175
*Diodes, Inc.......................................... 5,400 24,975
*Directrix, Inc....................................... 813 6,453
*Discount Auto Parts, Inc............................. 14,900 368,775
*Diversified Corporate Resources, Inc................. 2,200 13,200
Dixie Group, Inc...................................... 9,400 85,187
*Dixon Ticonderoga Co................................. 1,900 22,800
*#Documentum, Inc..................................... 19,200 268,800
*Dollar Thrifty Automotive Group, Inc................. 18,700 397,375
*Dominion Homes, Inc.................................. 5,700 44,887
Donegal Group, Inc.................................... 3,200 36,000
*Donna Karan International, Inc....................... 19,400 198,850
Donnelly Corp. Class A................................ 5,875 96,203
*Donnkenny, Inc....................................... 11,300 11,830
*Dorsey Trailers, Inc................................. 3,000 6,937
Dover Downs Entertainment, Inc........................ 2,000 38,125
Downey Financial Corp................................. 21,976 483,472
*Dress Barn, Inc...................................... 20,800 306,150
*Drew Industries, Inc................................. 9,400 120,437
*Drexler Technology Corp.............................. 9,800 90,956
Dreyer's Grand Ice Cream, Inc......................... 27,200 451,350
*Dril-Quip, Inc....................................... 10,500 271,031
*Drug Emporium, Inc................................... 12,200 123,525
*Drypers Corp......................................... 2,500 8,203
*DuPont Photomasks, Inc............................... 13,700 533,444
*DualStar Technologies Corp........................... 7,200 44,212
*Duane Reade, Inc..................................... 2,000 63,750
*Duckwall-Alco Stores, Inc............................ 4,600 47,725
*Ducommun, Inc........................................ 9,500 108,656
Duff & Phelps Credit Rating Co........................ 3,200 197,000
*Dunn Computer Corp................................... 9,400 19,828
*Dura Automotive Systems, Inc......................... 11,294 334,585
*Dura Pharmaceuticals, Inc............................ 35,300 365,134
*Durakon Industries, Inc.............................. 5,200 65,000
*#Duramed Pharmaceuticals, Inc........................ 16,100 236,469
*Dwyer Group, Inc..................................... 4,100 8,072
Dyersburg Corp........................................ 12,000 16,500
*Dynamic Healthcare Technologies, Inc................. 13,700 33,822
*Dynamic Materials Corp............................... 2,000 9,750
*Dynamics Research Corp............................... 5,477 27,727
</TABLE>
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*Dynatech Corp........................................ 5,100 $ 17,292
E'town Corp........................................... 6,500 278,281
*E-Z-Em, Inc. Class A................................. 2,000 10,125
*E-Z-Em, Inc. Class B................................. 4,462 22,310
*E. Spire Communications, Inc......................... 48,600 554,344
*E4L, Inc............................................. 27,511 171,946
*EA Engineering Science & Technology, Inc............. 5,625 5,625
*ECC International Corp............................... 7,300 22,812
*ECCS, Inc............................................ 1,700 3,427
*EFI Electronics Corp................................. 800 762
*EFTC Corp............................................ 13,700 84,341
*EIS International, Inc............................... 9,100 30,428
*ELXSI Corp........................................... 1,800 19,462
EMC Insurance Group, Inc.............................. 10,300 117,806
*EMCORE Corp.......................................... 2,200 48,537
*EMS Technologies, Inc................................ 9,000 122,062
*ESCO Electronics Corp. Trust Receipts................ 10,100 121,831
*ESSEF Corp........................................... 8,518 168,230
Eagle Bancshares, Inc................................. 4,600 86,681
*Eagle Food Centers, Inc.............................. 10,300 25,106
*Eagle Geophysical, Inc............................... 9,011 29,993
*Eagle Point Software Corp............................ 4,500 29,250
*Eagle USA Airfreight, Inc............................ 18,300 863,531
Easco, Inc............................................ 8,200 60,987
*East/West Communications, Inc........................ 2,200 14,162
Eastern Co............................................ 3,300 86,212
Eastern Utilities Associates.......................... 18,100 522,637
*Eateries, Inc........................................ 2,800 10,850
*Echelon International Corp........................... 2,100 48,300
*#Eclipse Surgical Technologies, Inc.................. 20,000 178,750
*Eclipsys Corp........................................ 9,870 224,851
*Eco Soil Systems, Inc................................ 17,200 87,612
*Ecogen, Inc.......................................... 7,240 24,209
Ecology & Environment, Inc. Class A................... 2,000 14,000
*Edac Technologies Corp............................... 3,500 14,656
*Edelbrock Corp....................................... 3,600 55,687
*Edify Corp........................................... 15,000 179,062
*Edison Control Corp.................................. 1,000 9,500
Edo Corp.............................................. 5,300 36,437
*Education Management Corp............................ 24,500 438,703
Educational Development Corp.......................... 1,800 4,612
*Educational Insights, Inc............................ 2,700 5,231
*EduTrek International, Inc........................... 3,900 20,109
*Effective Management Systems, Inc.................... 1,400 2,450
*Egghead, Inc......................................... 24,300 268,059
*#Einstein/Noah Bagel Corp............................ 30,700 33,098
*Ekco Group, Inc...................................... 17,400 82,650
*El Paso Electric Co.................................. 69,300 593,381
*Elantec Semiconductor, Inc........................... 8,300 78,980
*Elcom International, Inc............................. 24,700 140,867
Elcor Corp............................................ 13,450 543,044
*Elcotel, Inc......................................... 12,000 25,875
*Electric Fuel Corp................................... 12,200 23,256
*Electric Lightwave, Inc.............................. 7,000 83,125
*Electro Rent Corp.................................... 22,700 285,878
*Electro Scientific Industries, Inc................... 10,000 375,937
*Electroglas, Inc..................................... 17,700 252,225
*Electronic Processing, Inc........................... 4,200 39,375
*Electronic Retailing System International, Inc....... 2,300 3,019
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Ellett Brothers, Inc.................................. 4,000 $ 22,062
*Eltrax System, Inc................................... 5,545 22,876
*Embrex, Inc.......................................... 6,500 44,281
*Emcee Broadcast Products, Inc........................ 2,000 4,031
*Emcon................................................ 7,900 51,844
*Emcor Group, Inc..................................... 9,700 219,159
*#Emeritus Corp....................................... 12,500 137,500
*Emisphere Technologies, Inc.......................... 9,900 92,194
*Emmis Broadcasting Corp. Class A..................... 11,800 549,437
*Empi, Inc............................................ 5,400 132,637
Empire District Electric Co........................... 14,900 385,537
Empire Federal Bancorp, Inc........................... 2,000 23,125
*Employee Solutions, Inc. Class B..................... 31,800 38,756
*Emulex Corp.......................................... 5,550 437,756
*En Pointe Technologies, Inc.......................... 5,300 36,106
*#Enamelon, Inc....................................... 9,100 30,002
*Encad, Inc........................................... 10,400 61,912
*#Encore Med Corp..................................... 5,000 14,062
*Encore Wire Corp..................................... 12,925 124,807
*Endocardial Solutions, Inc........................... 10,100 90,269
*Endosonics Corp...................................... 16,700 114,812
Energen Corp.......................................... 29,200 558,450
*#Energy Biosystems Corp.............................. 1,014 2,788
*Energy Conversion Devices, Inc....................... 11,400 99,394
*Energy Research Corp................................. 3,700 46,250
Energy West, Inc...................................... 200 1,737
Energynorth, Inc...................................... 3,000 83,625
Energysouth, Inc...................................... 3,000 58,875
Enesco Group, Inc..................................... 14,700 337,181
Engineered Support Systems, Inc....................... 5,500 74,078
*#Engineering Animation, Inc.......................... 10,400 235,950
*Engineering Measurements Co.......................... 1,250 5,625
Engle Homes, Inc...................................... 11,200 152,250
*Enlighten Software Solutions, Inc.................... 1,600 4,800
Ennis Business Forms, Inc............................. 14,000 120,750
*Enserch Exploration Corp............................. 31,900 217,319
*Enstar, Inc.......................................... 1,300 12,431
*Enterprise Software, Inc............................. 4,225 33,536
*#Entremed, Inc....................................... 11,200 290,850
*Envirogen, Inc....................................... 616 808
*Environmental Elements Corp.......................... 5,300 18,881
*Environmental Technologies Corp...................... 3,700 4,972
*Environmental Tectonics Corp......................... 5,600 66,500
*Enzo Biochem, Inc.................................... 23,840 256,280
*Enzon, Inc........................................... 35,400 513,300
*Epicor Software Corp................................. 35,642 252,836
*Epitope, Inc......................................... 12,200 72,819
*#Epl Technologies, Inc............................... 10,300 38,786
*#Equimed, Inc........................................ 2,250 139
*Equinox Systems, Inc................................. 4,150 36,183
*Equitex, Inc......................................... 1,200 16,537
*Equitrac Corp........................................ 1,300 23,075
*Equity Marketing, Inc................................ 5,600 58,450
*Equity Oil Co........................................ 10,200 12,112
*Ergo Science Corp.................................... 12,800 19,400
Eskimo Pie Corp....................................... 3,100 26,641
Espey Manufacturing & Electronics Corp................ 400 4,900
*Ess Technology, Inc.................................. 41,100 321,094
*Esterline Technologies Corp.......................... 15,600 233,025
*Etec Systems, Inc.................................... 10,400 279,175
Ethyl Corp............................................ 89,500 447,500
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Evans & Sutherland Computer Corp..................... 8,000 $ 126,250
*#Evans Systems, Inc.................................. 3,550 24,628
*Evans, Inc........................................... 250 359
*Evercel, Inc......................................... 833 4,764
*Evergreen Resources, Inc............................. 9,400 208,269
*Exabyte Corp......................................... 20,200 111,731
*Exactech, Inc........................................ 4,900 54,819
*Exar Corp............................................ 8,400 175,875
*#Excalibur Technologies Corp......................... 12,500 176,562
*Excel Technology, Inc................................ 10,100 124,672
*Executive Telecard, Ltd.............................. 16,200 52,144
*Executone Information Systems, Inc................... 39,900 220,073
Exide Corp............................................ 19,200 300,000
*Exogen, Inc.......................................... 9,400 21,737
*Expert Software, Inc................................. 5,500 13,836
*Exponent, Inc........................................ 4,300 31,041
*Extended Systems, Inc................................ 5,000 23,516
Ezcorp, Inc. Class A Non-Voting....................... 9,300 68,878
F & M Bancorp (MD).................................... 5,869 185,607
F & M Bancorporation, Inc............................. 3,751 138,201
F & M National Corp................................... 19,000 568,812
FBL Financial Group, Inc. Class A..................... 7,500 150,469
FCB Financial Corp.................................... 3,500 105,656
FCNB Corp............................................. 8,077 156,744
*FEI Co............................................... 16,100 133,831
FFLC Bancorp.......................................... 2,500 45,469
FFY Financial Corp.................................... 5,000 91,875
*FIRSTFED AMERICA BANCORP, INC........................ 3,900 55,087
*FLIR Systems, Inc.................................... 11,500 154,891
FNB Rochester Corp.................................... 2,500 82,266
*FPIC Insurance Group, Inc............................ 8,300 372,981
*FRP Properties, Inc.................................. 2,500 62,500
FSF Financial Corp.................................... 1,800 25,537
*FSI International, Inc............................... 23,100 187,687
*FTI Consulting, Inc.................................. 3,900 16,575
*FYI, Inc............................................. 12,200 337,787
Fab Industries, Inc................................... 4,500 70,312
*Factory Card Outlet Corp............................. 6,600 7,528
Factset Research Systems, Inc......................... 6,450 278,962
Fair, Isaac & Co., Inc................................ 12,500 409,375
*Fairchild Corp. Class A.............................. 35,152 525,083
*Fairfield Communities, Inc........................... 47,000 746,125
Falcon Products, Inc.................................. 7,500 81,094
*#Family Golf Centers, Inc............................ 25,550 231,148
*Fansteel, Inc........................................ 5,700 32,062
*Farm Family Holdings, Inc............................ 3,100 106,950
Farmer Brothers Co.................................... 1,500 309,000
*Farr Co.............................................. 6,225 66,919
Farrel Corp........................................... 3,400 7,650
*Faxsav, Inc.......................................... 12,000 69,375
*Featherlite Manufacturing, Inc....................... 5,400 35,269
Fedders Corp.......................................... 17,000 96,687
Fedders Corp. Class A................................. 7,700 42,350
Federal Screw Works................................... 1,800 86,400
*#Female Health Co.................................... 9,300 10,172
*Ferrofluidics Corp................................... 4,331 17,527
*Fibermark, Inc....................................... 6,100 87,306
*Fiberstars, Inc...................................... 3,200 13,900
Fidelity Bancorp, Inc. Delaware....................... 1,300 30,306
Fidelity Federal Bancorp.............................. 2,500 7,500
Fidelity Financial of Ohio, Inc....................... 3,900 47,409
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fidelity National Financial, Inc...................... 17,400 $ 294,712
*Filenes Basement Corp................................ 20,900 34,616
*Filenet Corp......................................... 31,500 310,078
*Financial Federal Corp............................... 13,325 298,147
*Finish Line, Inc. Class A............................ 18,900 231,525
*Finishmaster, Inc.................................... 800 4,500
*Finlay Enterprises, Inc.............................. 2,000 27,687
*Firearms Training Systems, Inc....................... 18,600 18,019
First Albany Companies, Inc........................... 2,520 46,000
First American Financial Corp......................... 2,412 39,647
*First American Health Concepts, Inc.................. 1,100 4,125
First Bancorp......................................... 400 10,100
First Bell Bancorp, Inc............................... 4,600 89,412
*First Cash, Inc...................................... 6,000 62,062
First Charter Corp.................................... 15,480 374,906
First Commonwealth Financial Corp..................... 23,480 528,300
*First Consulting Group, Inc.......................... 15,544 176,327
First Defiance Financial Corp......................... 6,959 82,638
First Essex Bancorp................................... 6,800 113,475
First Federal Bancshares of Arkansas, Inc............. 3,400 63,112
First Federal Capital Corp............................ 18,500 269,406
First Federal Savings & Loan Association of East
Hartford, CT........................................ 2,000 49,125
First Financial Bancorp............................... 6,856 160,259
First Financial Bankshares, Inc....................... 5,513 171,764
First Financial Holdings, Inc......................... 12,200 231,800
First Franklin Corp................................... 300 4,650
First Georgia Holdings, Inc........................... 1,012 5,819
First Indiana Corp.................................... 10,657 203,815
*First Investors Financial Services Group, Inc........ 5,000 30,937
First Keystone Financial, Inc......................... 1,000 13,062
First Liberty Financial Corp.......................... 13,450 387,528
First Mariner Bank Corp............................... 3,100 36,425
First Merchants Corp.................................. 10,050 237,431
First Midwest Financial, Inc.......................... 1,400 20,519
First Mutual Savings Bank............................. 3,768 44,509
First Northern Capital Corp........................... 7,700 83,978
First Oak Brook Bancshares, Inc. Class A.............. 1,400 27,212
First Philson Financial Corp.......................... 1,200 50,100
*First Republic Bank.................................. 7,000 182,875
First Savings Bancorp, Inc. North Carolina............ 2,400 47,250
*First SecurityFed Financial, Inc..................... 4,300 51,466
*First Sierra Financial, Inc.......................... 11,200 247,450
First Source Corp..................................... 15,165 486,702
*#First Team Sports, Inc.............................. 2,900 7,612
First Washington Bancorp, Inc......................... 10,560 212,520
First Western Bancorp, Inc............................ 10,025 349,935
First Years, Inc...................................... 9,300 151,416
*FirstFed Financial Corp. DE.......................... 19,100 360,512
*#Firstplus Financial, Inc............................ 24,000 12,000
Firstspartan Financial Corp........................... 3,400 97,750
*Firstwave Technologies, Inc.......................... 3,600 7,425
*Fischer Imaging Corp................................. 7,000 11,922
*Fisher Scientific, International, Inc................ 19,700 398,925
Flag Financial Corp................................... 4,700 46,706
*Flagstar Bancorp, Inc................................ 400 9,375
Flamemaster Corp...................................... 247 1,590
*Flander Corp......................................... 23,100 87,347
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Fleming Companies, Inc................................ 7,500 $ 77,344
Flexsteel Industries, Inc............................. 6,200 84,862
*Florida Panthers Holdings, Inc. Class A.............. 36,900 401,287
Florida Public Utilities Co........................... 2,400 39,600
Florida Rock Industries, Inc.......................... 18,900 753,637
*Florsheim Group, Inc................................. 8,400 62,475
*Flow International Corp.............................. 13,800 138,431
Flowserve Corp........................................ 15,900 325,950
Flushing Financial Corp............................... 10,500 155,531
*Foamex International, Inc............................ 20,500 123,961
*Foilmark, Inc........................................ 4,375 9,707
*Foodarama Supermarkets, Inc.......................... 600 16,725
Foothill Independent Bancorp.......................... 3,389 45,751
*Forcenergy, Inc...................................... 24,716 26,647
Foremost Corp. of America............................. 24,700 548,031
Forest City Enterprises, Inc. Class A................. 7,400 204,887
Forest City Enterprises, Inc. Class B................. 3,900 109,200
*Forest Oil Corp...................................... 40,540 428,204
*Forrester Resh, Inc.................................. 7,700 247,362
*Forte Software, Inc.................................. 17,700 100,116
*Fortune Natural Resources Corp....................... 6,100 3,050
*Forward Air Corp., Inc............................... 10,100 275,541
*Fossil, Inc.......................................... 18,800 789,012
Foster Wheeler Corp................................... 32,600 448,250
*Fotoball USA, Inc.................................... 900 5,147
*Fountain Powerboat Industries, Inc................... 3,800 15,259
*Four Kids Entertainment, Inc......................... 3,150 65,559
*Four Media Co........................................ 8,900 59,519
*Fourth Shift Corp.................................... 8,900 31,984
Frankfort First Bancorp, Inc.......................... 850 12,670
Franklin Bank National Associaton Southfield, MI...... 2,789 30,330
*Franklin Covey Co.................................... 16,300 158,925
Franklin Electric Co., Inc............................ 3,200 199,300
*Franklin Electronic Publishers, Inc.................. 6,500 34,125
Freds, Inc. Class A................................... 9,500 124,094
Freedom Securities Corp............................... 15,100 262,362
*#French Fragrances, Inc.............................. 12,300 93,595
Frequency Electronics, Inc............................ 6,250 54,297
*Fresh America Corp................................... 4,800 68,100
*Fresh Choice, Inc.................................... 3,900 9,141
*Fresh Foods, Inc..................................... 3,500 22,641
*Friede Goldman International......................... 24,500 416,500
*#Friedman Billings Ramsey Group, Inc. Class A........ 12,100 126,294
Friedmans, Inc. Class A............................... 13,100 118,719
Frisch's Restaurants, Inc............................. 4,383 44,926
*Fritz Companies, Inc................................. 36,300 394,762
Frontier Adjusters of America, Inc.................... 1,000 2,750
Frontier Insurance Group, Inc......................... 36,990 635,766
*Frontier Oil Corp.................................... 35,100 177,694
Frozen Food Express Industries, Inc................... 15,207 106,449
*#Fuisz Technologies, Ltd............................. 20,000 77,500
Fuller (H.B.) Co...................................... 12,600 804,037
*Funco, Inc........................................... 4,200 91,612
Furon Co.............................................. 18,300 333,975
*Fusion Medical Technologies, Inc..................... 6,400 49,800
G & K Services, Inc. Class A.......................... 5,800 274,050
*G-III Apparel Group, Ltd............................. 5,200 11,131
GA Financial, Inc..................................... 5,700 84,787
GBC Bancorp........................................... 12,700 231,775
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*GC Companies, Inc.................................... 6,900 $ 249,262
*#GK Intelligent Systems, Inc......................... 14,000 8,750
*GP Strategies Corp................................... 9,580 95,800
*GRC International, Inc............................... 9,100 70,525
*GSI Lumonics, Inc.................................... 15,221 69,921
*GT Interactive Software Corp......................... 70,400 279,400
*GTS Duratek, Inc..................................... 14,100 87,684
*GZA Geoenvironmental Technologies, Inc............... 1,700 7,544
*Gadzooks, Inc........................................ 8,200 78,669
Gainsco, Inc.......................................... 18,800 85,775
*Galey & Lord, Inc.................................... 10,600 43,725
*Galileo Corp......................................... 7,200 39,150
*GameTech International, Inc.......................... 900 3,741
*Gantos, Inc.......................................... 4,550 4,123
Garan, Inc............................................ 4,142 119,082
*Garden Fresh Restaurant Corp......................... 5,000 92,031
*Garden Ridge Corp.................................... 16,300 99,328
*#Gardenburger, Inc................................... 8,700 71,231
*Gardner Denver Machinery, Inc........................ 14,500 248,312
*Gart Sports Co....................................... 676 4,605
*Gasonics International, Inc.......................... 12,150 147,698
*Gaylord Container Corp. Class A...................... 56,600 474,025
*Geerling & Wade, Inc................................. 2,600 14,787
*Gehl Co.............................................. 4,500 92,672
*#Geltex Pharmaceuticals, Inc......................... 15,000 255,000
Gencor Industries, Inc................................ 5,100 32,194
*Gene Logic, Inc...................................... 2,196 9,402
*Genelabs Technologies, Inc........................... 41,900 77,908
General Binding Corp.................................. 13,300 273,481
General Cable Corp.................................... 18,000 273,375
General Chemical Group, Inc........................... 11,000 46,750
*General Cigar Holdings, Inc. Class A................. 12,200 97,600
*General Cigar Holdings, Inc. Class B................. 9,780 78,240
*General Communications, Inc. Class A................. 45,100 224,091
*#General Datacomm Industries, Inc.................... 19,400 53,350
General Employment Enterprises, Inc................... 2,895 13,389
General Housewares Corp............................... 3,700 46,250
*#General Magic, Inc.................................. 31,900 118,628
General Magnaplate Corp............................... 400 1,600
*General Semiconductor, Inc........................... 34,100 264,275
*General Surgical Innovations, Inc.................... 12,200 47,275
*Genesco, Inc......................................... 26,000 347,750
Genesee Corp. Class B................................. 200 4,587
*Genesis Direct, Inc.................................. 6,000 21,562
*Genesis Health Ventures, Inc......................... 24,000 106,500
*Genesys Telecommunications Laboratories, Inc......... 15,300 352,856
*#Geneva Steel Co. Class A............................ 11,900 4,462
*Genicom Corp......................................... 11,600 21,387
*Genlyte Group, Inc................................... 12,100 259,772
*Genome Therapeutics Corp............................. 16,900 55,453
*Genrad, Inc.......................................... 28,900 527,425
*Gensia Sicor, Inc.................................... 96,400 427,775
*Gensym Corp.......................................... 5,300 20,372
*Gentek, Inc.......................................... 11,000 143,000
*#Genzyme Transgenics Corp............................ 16,400 74,825
Geon Co............................................... 21,000 632,625
Georgia Gulf Corp..................................... 28,500 425,719
*Geoscience Corp...................................... 3,800 25,412
*Geotel Communications Corp........................... 1,800 99,956
</TABLE>
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<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Geoworks............................................. 16,100 $ 38,741
*Gerber Childrenswear, Inc............................ 10,000 67,500
Gerber Scientific, Inc................................ 29,600 691,900
*Geron Corp........................................... 13,400 159,962
*Getty Petroleum Marketing, Inc....................... 12,100 37,812
Getty Realty Corp. (Holding Co.)...................... 13,600 186,150
*Giant Cement Holding, Inc............................ 7,900 175,034
*Giant Group, Ltd..................................... 2,200 15,400
Giant Industries, Inc................................. 10,800 114,075
*Gibraltar Packaging Group, Inc....................... 3,000 3,750
Gibraltar Steel Corp.................................. 11,100 242,812
*Gibson Greetings, Inc................................ 14,800 108,225
*Giga-Tronics, Inc.................................... 1,600 3,450
*Gilman & Ciocia, Inc................................. 6,400 63,000
*Gish Biomedical, Inc................................. 2,400 6,975
Glacier Bancorp, Inc.................................. 2,798 57,192
*Glacier Water Services, Inc.......................... 1,200 23,700
Glatfelter (P.H.) Co.................................. 15,600 207,675
Gleason Corp.......................................... 9,200 154,100
*Glenayre Technologies, Inc........................... 62,000 222,812
*Gliatech, Inc........................................ 8,900 229,175
*Global Industrial Technologies, Inc.................. 18,800 233,825
*Global Payment Technologies, Inc..................... 4,400 54,175
*Globe Business Resources, Inc........................ 2,700 31,725
*Globecomm Systems, Inc............................... 1,800 16,256
Gold Banc Corp........................................ 9,600 131,100
*#Golden Books Family Entertainment, Inc.............. 24,600 8,487
Golden Enterprises, Inc............................... 11,000 42,969
*Good Guys, Inc....................................... 12,700 39,886
*Goodys Family Clothing............................... 33,300 364,219
Gorman-Rupp Co........................................ 6,775 109,670
*Gottschalks, Inc..................................... 10,700 88,275
*Government Technology Services, Inc.................. 6,900 26,522
Graco, Inc............................................ 18,100 591,644
*Gradall Industries, Inc.............................. 8,600 169,581
*Gradco Systems, Inc.................................. 5,875 14,504
*Graham Corp.......................................... 1,000 8,812
*Graham-Field Health Products, Inc.................... 31,360 70,560
Grand Premier Financial, Inc.......................... 19,801 234,518
Granite Construction, Inc............................. 700 19,644
Granite State Bankshares, Inc......................... 5,300 116,269
Gray Communications Systems, Inc...................... 5,400 85,387
*Great Plains Software................................ 12,200 459,406
Great Southern Bancorp, Inc........................... 4,200 101,719
*Great Train Store Co., Inc........................... 2,600 3,412
Greater Bay Bancorp................................... 7,358 235,916
*Green Mountain Coffee, Inc........................... 3,100 24,219
Green Mountain Power Corp............................. 4,800 49,800
Green Star Financial Corp............................. 3,900 46,069
*Greenbriar Corp...................................... 6,760 13,942
Greenbrier Companies, Inc............................. 12,700 118,269
Grey Advertising, Inc................................. 200 59,800
*Grey Wolf, Inc....................................... 82,500 170,156
*Griffin Land & Nurseries, Inc. Class A............... 2,200 24,750
*Griffon Corp......................................... 24,000 192,000
*Gristede's Sloans, Inc............................... 1,200 2,475
*Group 1 Software, Inc................................ 5,350 54,837
*Grow Biz International, Inc.......................... 3,800 31,587
*Grubb & Ellis Co..................................... 500 3,187
Guarantee Life Companies, Inc......................... 7,400 146,612
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Guaranty Federal Bancshares, Inc..................... 5,200 $ 60,612
*Guess, Inc........................................... 42,950 467,081
*Guest Supply, Inc.................................... 5,700 60,206
Guilford Mills, Inc................................... 23,250 232,500
*Guilford Pharmaceuticals, Inc........................ 22,500 241,875
*Gulf Island Fabrication, Inc......................... 10,500 113,859
*Gulfmark Offshore, Inc............................... 7,300 119,081
*#Gumtech International, Inc.......................... 5,500 55,344
*Gundle/SLT Environmental, Inc........................ 13,700 54,800
*Gymboree Corp........................................ 23,200 283,475
*HCIA, Inc............................................ 10,700 91,953
*HD Vest, Inc......................................... 2,200 12,925
*HEI, Inc............................................. 2,000 9,000
*HF Bancorp, Inc...................................... 5,000 90,469
HF Financial Corp..................................... 3,300 49,087
*HIE, Inc............................................. 32,500 75,156
*#HMI Industries, Inc................................. 5,400 10,125
HMN Financial, Inc.................................... 4,300 54,287
*HMT Technology Corp.................................. 43,700 176,848
*HNC Software, Inc.................................... 14,000 375,375
*#HORIZON Pharmacies, Inc............................. 5,000 30,000
*HPSC, Inc............................................ 2,100 19,819
*HS Resources, Inc.................................... 16,700 200,400
*HTE, Inc............................................. 13,100 60,997
*Ha-Lo Industries, Inc................................ 34,000 410,125
Hach Co............................................... 7,425 130,402
Hach Co. Class A...................................... 5,725 98,041
*Hadco Corp........................................... 11,900 369,644
*Haemonetics Corp..................................... 26,700 507,300
Haggar Corp........................................... 6,800 86,275
*Hagler Bailly, Inc................................... 14,600 119,309
*Hahn Automotive Warehouse, Inc....................... 2,163 1,757
*Hain Food Group, Inc................................. 11,500 224,969
Halifax Corp.......................................... 1,000 4,000
*Hall Kinion Associates, Inc.......................... 7,700 56,306
*Hallmark Capital Corp................................ 2,100 24,937
*#Halsey Drug Co., Inc................................ 12,200 32,787
*Halter Marine Group, Inc............................. 28,900 213,137
*Hamilton Bancorp, Inc................................ 9,000 205,031
*Hammons (John Q.) Hotels, Inc. Class A............... 4,800 20,400
*Hampshire Group, Ltd................................. 1,400 15,969
*Hampton Industries, Inc.............................. 4,444 19,720
Hancock Fabrics, Inc.................................. 20,100 114,319
Hancock Holding Co.................................... 7,005 309,971
*Handleman Co......................................... 29,600 349,650
*Hanger Orthopedic Group, Inc......................... 16,400 268,550
*Hanover Direct, Inc.................................. 157,600 403,850
*Harbinger Corp....................................... 41,300 458,172
Harbor Federal Bancorp, Inc........................... 770 12,176
Harbor Florida Bancshares, Inc........................ 27,800 332,731
*Harding Lawson Associates Group, Inc................. 5,000 42,187
Hardinge Brothers, Inc................................ 8,850 154,045
*Harken Energy Corp................................... 110,500 214,094
Harland (John H.) Co.................................. 31,000 554,125
Harleysville Group, Inc............................... 26,100 505,687
Harleysville National Corp. PA........................ 5,335 186,892
Harman International Industries, Inc.................. 4,000 177,500
Harmon Industries, Inc................................ 9,450 196,678
*Harmonic Lightwaves, Inc............................. 11,700 576,956
Harnischfeger Industries, Inc......................... 37,800 271,687
</TABLE>
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<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Harolds Stores, Inc.................................. 2,308 $ 15,002
Harris Financial, Inc................................. 30,600 344,250
*Harry's Farmers Market, Inc. Class A................. 2,100 1,903
*Hartmarx Corp........................................ 44,900 221,694
*Harvey Entertainment Co.............................. 3,800 24,225
*Hastings Entertainment, Inc.......................... 5,000 57,187
Hastings Manufacturing Co............................. 700 9,712
*Hathaway Corp........................................ 2,900 4,894
*#Hauppauge Digital, Inc.............................. 3,000 71,437
*Hauser, Inc.......................................... 9,400 23,206
Haven Bancorp, Inc.................................... 8,000 112,000
Haverty Furniture Co., Inc............................ 8,100 238,950
Haverty Furniture Co., Inc. Class A................... 200 5,850
*Hawaii Land & Farming Co., Inc....................... 1,800 562
*Hawaiian Airlines, Inc............................... 29,700 81,675
*Hawker Pacific Aerospace............................. 5,000 13,437
Hawkins Chemical, Inc................................. 9,245 82,338
*Hawthorne Financial Corp............................. 3,900 61,547
*#Hayes Corp.......................................... 100 4
*Hayes Lemmerz International, Inc..................... 3,100 102,300
*Headway Corporate Resources, Inc..................... 7,700 35,372
*Health Management Systems, Inc....................... 15,800 89,862
*Health Power, Inc.................................... 1,900 5,106
*Health Risk Management, Inc.......................... 4,100 42,281
*Health Systems Design Corp........................... 5,100 22,312
*Healthcare Recoveries, Inc........................... 14,600 60,453
*Healthcare Services Group, Inc....................... 8,250 75,797
*Healthcor Holdings................................... 3,000 750
Healthplan Services Corp.............................. 14,700 130,462
*Healthworld Corp..................................... 4,000 52,750
*Heartland Express, Inc............................... 29,976 459,944
*Heartport, Inc....................................... 29,200 93,075
*Hecla Mining Co...................................... 51,300 125,044
*Hector Communications Corp........................... 1,200 11,250
Heico Corp............................................ 8,115 203,382
Heico Corp. Class A................................... 2,507 58,914
Heilig-Meyers Co...................................... 59,750 414,516
*Heist (C.H.) Corp.................................... 2,100 13,912
Helix Technology Corp................................. 29,600 504,125
*Hello Direct, Inc.................................... 5,000 56,719
*Hemasure, Inc........................................ 6,600 25,987
*#Hemispherx Biopharma, Inc........................... 5,400 40,162
Henry Jack & Associates, Inc.......................... 13,698 489,275
Herbalife International, Inc. Class A................. 8,800 99,275
Herbalife International, Inc. Class B................. 12,200 114,375
Heritage Financial Corp............................... 7,000 57,531
*Heska Corp........................................... 21,300 82,537
*Hexcel Corp.......................................... 36,300 387,956
*Hi-Shear Industries, Inc............................. 500 1,289
*Hi-Shear Technology Corp............................. 5,300 27,494
*Hi-Tech Pharmacal, Inc............................... 3,100 12,981
*Hi/Fn, Inc........................................... 5,449 315,191
*#Hibbett Sporting Goods, Inc......................... 5,800 143,912
*High Plains Corp..................................... 14,800 30,987
*Highlands Insurance Group, Inc....................... 12,900 137,869
*#Highway Master Communications, Inc.................. 22,300 34,147
Hilb Rogal Hamilton Co................................ 11,500 234,312
Hilite Industries, Inc................................ 1,900 27,016
*Hirsch International Corp. Class A................... 5,500 12,203
*Hoenig Group, Inc.................................... 6,400 58,800
*Holiday RV Superstores, Inc.......................... 3,000 10,781
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Holly Corp............................................ 5,100 $ 65,025
*Hollywood Casino Corp. Class A....................... 18,600 30,806
*Hollywood Entertainment Corp......................... 10,300 266,512
*Hollywood Park, Inc.................................. 23,700 342,169
*Hologic, Inc......................................... 12,000 91,500
*Holophane Corp....................................... 9,850 269,644
*Holt's Cigar Holdings, Inc........................... 1,100 5,019
Home Bancorp.......................................... 1,700 46,962
Home Federal Bancorp.................................. 2,025 52,777
Home Port Bancorp, Inc................................ 600 14,775
*Home Products International, Inc..................... 7,200 60,525
*Homebase, Inc........................................ 35,050 199,347
*#Homegold Financial, Inc............................. 7,700 12,031
*Homestead Village, Inc............................... 34,400 101,050
Hooper Holmes, Inc.................................... 25,200 456,750
Horizon Financial Corp................................ 6,753 93,065
*Hospitality Worldwide Services, Inc.................. 12,100 42,350
*Host Marriott Services Corp.......................... 31,500 246,094
*Hot Topic, Inc....................................... 4,400 106,562
*Houston Exploration Co............................... 22,100 415,756
*Hovnanian Enterprises, Inc. Class A.................. 11,300 91,812
*Hovnanian Enterprises, Inc. Class B.................. 1,150 9,344
#Howell Corp.......................................... 2,100 8,794
*Howtek, Inc.......................................... 3,600 3,881
*Hub Group, Inc. Class A.............................. 5,200 144,625
*Hudson Hotels Corp................................... 3,100 4,262
*Hudson Technologies, Inc............................. 4,600 13,225
Huffy Corp............................................ 11,200 150,500
Hughes Supply, Inc.................................... 21,700 584,544
Hunt (J.B.) Transport Services, Inc................... 8,600 145,662
Hunt Corp............................................. 10,200 102,637
Huntco, Inc. Class A.................................. 4,900 14,087
*Hurco Companies, Inc................................. 5,900 37,981
*Hutchinson Technology, Inc........................... 19,700 457,409
*#Hvide Marine, Inc. Class A.......................... 7,000 12,797
*Hycor Biomedical, Inc................................ 5,600 8,750
*Hypercom Corp........................................ 11,000 77,687
*Hyperion Solutions Corp.............................. 29,935 466,799
*Hyseq, Inc........................................... 11,500 38,094
*I-Stat Corp.......................................... 12,200 111,325
*IA Corp. I........................................... 2,000 3,969
*ICF Kaiser International, Inc........................ 17,900 8,950
*ICOS Corp............................................ 14,700 643,584
*ICT Group, Inc....................................... 10,400 53,625
*ICU Medical, Inc..................................... 6,400 114,800
*IDT Corp............................................. 23,200 512,575
*IDX Systems Corp..................................... 20,800 497,250
*IEC Electronics Corp................................. 6,700 24,287
*IFR Systems, Inc..................................... 7,200 28,350
*#IGEN, Inc........................................... 13,700 394,731
*IGI, Inc............................................. 6,200 10,462
*IHOP Corp............................................ 19,800 473,962
*II-VI, Inc........................................... 6,200 55,994
*IMC Mortgage Co...................................... 28,700 3,803
IMCO Recycling, Inc................................... 15,400 257,950
*IMR Global Corp...................................... 26,300 552,300
*IOMED, Inc........................................... 5,200 11,050
ISB Financial Corp. LA................................ 5,400 115,088
*ISOCOR............................................... 11,800 73,381
*IT Group, Inc ....................................... 28,080 472,095
*ITC Learning Corp.................................... 2,800 12,775
*ITEQ, Inc............................................ 25,354 53,085
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*ITI Technologies, Inc................................ 7,500 $ 181,875
*ITLA Capital Corp.................................... 5,200 83,850
*ITT Educational Services, Inc........................ 17,800 423,863
*IVI Checkmate Corp................................... 15,093 44,572
*Ibis Technology Corp................................. 6,100 121,047
Ico, Inc.............................................. 14,320 18,124
*Identix, Inc......................................... 25,300 254,581
*Ikos Systems, Inc.................................... 8,700 75,581
*Il Fornaio (America) Corp............................ 4,000 53,625
*Image Entertainment, Inc............................. 13,100 104,391
*Imation Corp......................................... 36,600 860,100
*#Imatron, Inc........................................ 71,200 65,637
*Imclone Systems, Inc................................. 21,900 430,472
*Immucor, Inc......................................... 6,500 80,031
*Immulogic Pharmaceutical Corp........................ 16,200 30,628
*#Immune Response Corp. DE............................ 23,500 148,344
*#Immunogen, Inc...................................... 8,500 19,922
*#Immunomedics, Inc................................... 33,800 81,331
*Impath, Inc.......................................... 7,300 200,294
*Impco Technologies, Inc.............................. 6,500 57,687
*Imperial Credit Industries, Inc...................... 33,150 275,559
Imperial Sugar Co..................................... 25,451 154,297
*In Focus Systems, Inc................................ 20,000 210,625
*Inacom Corp.......................................... 40,744 450,730
*Incyte Pharmaceuticals, Inc.......................... 13,400 347,981
Independence Holding Co............................... 2,500 27,656
Independent Bank Corp. MA............................. 13,400 193,881
#Independent Bank East................................ 7,507 128,557
Indiana Energy, Inc................................... 27,066 598,835
*Individual Investor Group, Inc....................... 8,500 59,234
Industrial Bancorp, Inc............................... 4,100 85,075
*#Industrial Data Systems Corp........................ 5,000 13,750
*Industrial Distribution Group, Inc................... 6,000 40,500
*Industrial Holdings, Inc............................. 13,000 94,656
*Inference Corp. Class A.............................. 6,400 30,600
*Infinium Software, Inc............................... 11,200 63,350
*Infocure Corp........................................ 10,300 380,456
*#Infonautics Corp. Class A........................... 8,500 52,594
*Information Advantage, Inc........................... 6,468 26,478
*Information Management Associates, Inc............... 6,800 22,525
*Information Resource Engineering, Inc................ 4,800 114,450
*Information Resources, Inc........................... 28,200 240,581
*Infousa, Inc......................................... 14,600 93,531
*Infousa, Inc. Class B................................ 24,800 153,062
*Infu-tech, Inc....................................... 2,000 2,500
Ingles Market, Inc. Class A........................... 8,100 97,959
*Inhale Therapeutic Systems........................... 14,100 373,209
*Innerdyne, Inc....................................... 19,600 38,587
*Innodata Corp........................................ 600 6,112
*#Innovative Gaming Corp. of America.................. 6,800 15,512
Innovex, Inc.......................................... 13,200 178,200
*#Inprise Corp........................................ 45,800 166,025
*Input Software, Inc.................................. 5,600 31,850
*Input/Output, Inc.................................... 50,400 428,400
*Insight Enterprises, Inc............................. 21,562 547,136
*Insignia Financial Group, Inc........................ 18,733 229,479
*Insilco Holding Co................................... 192 4,632
*Insite Vision, Inc................................... 9,800 12,250
*Insituform East, Inc................................. 1,700 2,072
*Insituform Technologies, Inc. Class A................ 25,910 431,563
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Inso Corp............................................ 13,400 $ 91,497
*Inspire Insurance Solutions, Inc..................... 16,500 288,234
Insteel Industries, Inc............................... 6,800 58,650
Instron Corp.......................................... 9,600 190,800
*Insurance Auto Auctions, Inc......................... 9,000 117,000
*Integra Lifesciences Corp............................ 8,750 43,750
*Integra, Inc......................................... 5,900 8,112
*IntegraMed America, Inc.............................. 3,800 15,200
*Integrated Device Technology, Inc.................... 92,575 731,921
*Integrated Electrical Services, Inc.................. 20,000 301,250
*Integrated Health Services, Inc...................... 27,000 158,625
*Integrated Measurement System, Inc................... 6,800 75,650
*Integrated Orthopedics, Inc.......................... 5,800 6,525
*Integrated Silicon Solution, Inc..................... 17,300 45,953
*Integrated Systems, Inc.............................. 21,200 263,675
*#Intellicall, Inc.................................... 8,900 17,244
*Intellidata Technologies Corp........................ 11,300 41,845
*#Intelligent Medical Imaging, Inc.................... 8,000 6,875
*Intelligent Systems Corp............................. 3,600 11,025
*#Intelligroup, Inc................................... 12,400 84,087
*Interactive Flight Technologies, Inc. Class A........ 1,100 4,606
Interchange Financial Services Corp. Saddle Brook..... 5,170 82,397
*Interdigital Communications Corp..................... 46,000 212,750
*Interface Systems, Inc............................... 3,400 7,969
Interface, Inc. Class A............................... 40,900 319,531
*Interferon Scientific, Inc........................... 2,435 913
*Intergraph Corp...................................... 54,400 433,500
*Interleaf, Inc....................................... 6,100 35,075
*Interlink Electronics................................ 4,700 33,120
*Interlinq Software Corp.............................. 4,100 32,736
*Interlott Technologies, Inc.......................... 2,200 13,200
*Intermagnetics General Corp.......................... 11,754 91,828
Intermet Corp......................................... 25,700 358,997
International Aluminum Corp........................... 2,100 58,537
*International FiberCom, Inc.......................... 10,600 77,844
*International Microcomputer Software, Inc............ 3,900 24,862
International Multifoods Corp......................... 16,900 371,800
*International Rectifier Corp......................... 51,500 560,062
*International Remote Imaging Systems, Inc............ 3,000 4,125
International Shipholding Corp........................ 5,225 72,823
*International Speciality Products, Inc............... 20,000 187,500
*International Telecommunication Data Systems, Inc.... 14,900 190,906
*International Thoroughbred Breeders, Inc............. 5,800 1,812
*International Total Services, Inc.................... 500 1,906
*Interneuron Pharmaceuticals, Inc..................... 41,800 121,481
*Interphase Corp...................................... 4,200 60,375
Interpool, Inc........................................ 24,850 312,178
*Interpore International.............................. 12,900 55,833
*Interstate National Dealers Services, Inc............ 4,200 30,187
*Intertan, Inc........................................ 11,500 177,531
Inter-Tel, Inc........................................ 24,100 357,734
*Intervisual Books, Inc. Class A...................... 1,000 1,125
*Intervoice, Inc...................................... 27,500 305,078
*Intervu, Inc......................................... 10,900 376,731
Interwest Bancorp..................................... 15,400 312,331
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Intevac, Inc........................................ 13,900 $ 62,550
Invacare Corp......................................... 25,300 631,709
Investors Financial Services Corp..................... 16,198 570,473
Investors Title Co.................................... 1,400 28,262
*Invision Technologies, Inc........................... 11,200 60,550
*Invivo Corp.......................................... 2,600 31,850
*Ionics, Inc.......................................... 14,500 454,031
*Iridex Corp.......................................... 5,800 24,650
Iroquois Bancorp...................................... 400 7,400
Irwin Financial Corp.................................. 17,400 399,113
*Irwin Naturals/4Health, Inc.......................... 21,600 50,625
Isco, Inc............................................. 14,735 82,884
*#Isis Pharmaceuticals, Inc........................... 27,000 271,688
*Isle of Capri Casinos, Inc........................... 19,600 138,119
*Isolyser Co., Inc.................................... 34,010 120,629
*#Itron, Inc.......................................... 13,200 109,313
*Ivex Packaging Corp.................................. 23,000 442,750
*Iwerks Entertainment, Inc............................ 9,824 9,057
*J & J Snack Foods Corp............................... 8,100 167,063
*J. Alexander's Corp.................................. 4,300 17,738
*JDA Software Group, Inc.............................. 23,400 209,138
JLG Industries, Inc................................... 39,300 758,981
*JLK Direct Distribution, Inc. Class A................ 5,600 61,600
*#JMAR Industries, Inc................................ 13,800 27,816
*JPM Co............................................... 5,600 57,750
JSB Financial, Inc.................................... 5,000 256,250
*JWGenesis Financial Corp............................. 5,000 81,563
*Jackpot Enterprises, Inc............................. 8,000 66,500
Jacksonville Bancorp, Inc............................. 1,600 25,400
*Jaclyn, Inc.......................................... 1,300 3,900
*Jaco Electronics, Inc................................ 2,973 11,335
*Jacobson Stores, Inc................................. 5,200 38,350
*Jakks Pacific, Inc................................... 7,300 201,891
*Jan Bell Marketing, Inc.............................. 24,800 75,950
*Jason, Inc........................................... 17,687 149,234
*Javelin Systems, Inc................................. 6,300 81,506
*Jean Philippe Fragrances, Inc........................ 7,150 58,541
Jeffbanks, Inc........................................ 2,843 72,141
*Jefferies Group, Inc................................. 11,700 287,381
Jefferson Savings Bancorp, Inc........................ 3,200 39,100
*Jenna Lane, Inc...................................... 1,800 4,050
*Jennifer Convertibles, Inc........................... 1,300 3,636
*Jevic Transportation, Inc............................ 4,400 44,963
*Jo-Ann Stores, Inc. Class A.......................... 4,500 75,656
*Jo-Ann Stores, Inc. Class B.......................... 3,400 43,563
*Johnson Worldwide Associates, Inc. Class A........... 6,700 59,881
*Johnston Industries, Inc............................. 8,100 18,225
*Johnstown American Industries, Inc................... 8,800 138,050
*Jones Lang LaSalle, Inc.............................. 6,900 194,925
*Jos. A. Bank Clothiers, Inc.......................... 5,400 38,728
*Joule, Inc........................................... 1,500 3,563
*Jps Packaging Company................................ 3,300 16,088
*Jumbosports, Inc..................................... 18,000 2,205
Juno Lighting, Inc.................................... 16,700 383,056
*#Just for Feet, Inc.................................. 31,200 236,925
*Just Toys, Inc....................................... 800 1,050
Justin Industries, Inc................................ 26,300 349,297
*K & G Men's Center, Inc.............................. 9,200 103,213
K Swiss, Inc. Class A................................. 4,800 276,000
*#K-Tel International, Inc............................ 8,600 53,481
*K-Tron International, Inc............................ 6,200 109,275
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*K-V Pharmaceutical Co. Class A....................... 10,500 $ 176,531
*K-V Pharmaceutical Co. Class B....................... 8,300 143,175
K2, Inc............................................... 14,900 148,069
*KBK Capital Corp..................................... 5,000 32,500
KCS Energy, Inc....................................... 11,700 6,581
*#KFX, Inc............................................ 12,000 19,500
*KLLM Transport Services, Inc......................... 3,500 23,625
*KTI, Inc............................................. 11,900 124,578
*KVH Industries, Inc.................................. 4,800 11,700
*Kaiser Aluminum Corp................................. 79,200 693,000
*Kaiser Ventures, Inc................................. 9,700 135,800
Kaman Corp. Class A................................... 20,700 275,569
*Kaneb Services, Inc.................................. 29,000 128,688
*Kasper A.S.L., Ltd................................... 600 3,488
Katy Industries, Inc.................................. 5,800 95,338
Kaye Group, Inc....................................... 3,000 21,844
Keithley Instruments, Inc............................. 1,000 8,625
*Kelley Oil & Gas Corp................................ 69,600 48,938
*Kellstrom Industries, Inc............................ 11,800 213,138
Kellwood Co........................................... 19,300 458,375
*Kemet Corp........................................... 59,000 947,688
*Kendle International, Inc............................ 14,600 199,381
Kennametal, Inc....................................... 26,900 764,969
*Kennedy-Wilson, Inc.................................. 7,500 68,203
*Kensey Nash Corp..................................... 6,700 66,163
*Kent Electronics Corp................................ 24,500 320,031
Kentek Information Systems, Inc....................... 4,900 37,822
*Kentucky Electric Steel, Inc......................... 1,800 5,513
Kentucky First Bancorp, Inc........................... 200 2,400
*#Keravision, Inc..................................... 11,400 113,288
*Kevco, Inc........................................... 4,000 25,000
Kewaunee Scientific Corp.............................. 2,000 19,250
*Key Energy Group, Inc................................ 16,500 52,594
*Key Production Co., Inc.............................. 10,400 88,400
*Key Technology, Inc.................................. 3,300 28,463
*Key Tronic Corp...................................... 7,200 38,475
*Keystone Automotive Industries, Inc.................. 15,940 256,534
*Keystone Consolidated Industries, Inc................ 7,373 53,915
Kimball International, Inc. Class B................... 24,400 437,675
*Kimmins Corp......................................... 3,400 4,303
*Kinark Corp.......................................... 6,800 15,300
*Kinnard Investment, Inc.............................. 4,200 16,997
*Kirby Corp........................................... 17,100 322,763
*Kit Manufacturing Co................................. 300 2,025
*Kitty Hawk, Inc...................................... 15,200 120,175
Klamath First Bancorp, Inc............................ 9,400 147,463
Knape & Vogt Manufacturing Co......................... 2,900 45,675
*Knight Transportation, Inc........................... 13,500 267,469
*Koala Corp........................................... 2,700 64,125
*Kofax Image Products, Inc............................ 3,700 32,953
Kollmorgen Corp....................................... 9,000 113,063
*Komag, Inc........................................... 49,600 187,550
*Kopin Corp........................................... 11,000 216,563
*Koss Corp............................................ 2,100 25,856
*Krauses Furniture, Inc............................... 12,000 24,000
*Kronos, Inc.......................................... 11,250 416,953
*Krug International Corp.............................. 1,048 1,703
*Kulicke & Soffa Industries, Inc...................... 21,000 442,313
*LBP, Inc............................................. 3,200 12,600
*LCA-Vision, Inc...................................... 3,536 42,432
*LCC International, Inc. Class A...................... 5,700 27,075
</TABLE>
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------------ ------------
<S> <C> <C>
*LLEX Oncology, Inc................................... 11,100 $ 110,306
*LLX Resorts, Inc..................................... 2,900 5,800
LNR Property Corp..................................... 21,600 432,000
LSB Bancshares, Inc. NC............................... 5,156 102,476
LSB Industries, Inc................................... 10,700 20,063
LSI Industries, Inc................................... 9,067 200,607
LTV Corp.............................................. 62,000 379,750
*LTX Corp............................................. 31,800 284,213
*#LXR Biotechnology, Inc.............................. 14,600 4,563
*La Jolla Pharmceutical Co............................ 17,900 19,298
*LaBarge, Inc......................................... 14,500 30,813
LaCrosse Footwear, Inc................................ 3,000 24,375
Lab Holdings, Inc..................................... 3,500 49,219
Labone, Inc........................................... 11,800 142,338
*Laboratory Corp. of America Holdings, Inc............ 42,500 106,250
*Labtec, Inc.......................................... 1,900 9,975
Laclede Gas Co........................................ 15,100 333,144
*#Laclede Steel Co.................................... 2,700 1,223
*Ladd Furniture, Inc.................................. 7,066 144,853
*Lai Worldwide, Inc................................... 7,400 43,938
*Lakeland Industries, Inc............................. 2,000 12,625
*Lakes Gaming, Inc.................................... 9,475 110,739
Lakeview Financial Corp............................... 4,500 90,703
*Lam Research Corp.................................... 1,100 30,491
*Lamson & Sessions Co................................. 10,200 59,925
Lance, Inc............................................ 28,400 414,463
*Lancer Corp.......................................... 9,600 75,000
*Landair Corp......................................... 4,100 19,539
Landamerica Financial Group, Inc...................... 11,550 331,341
Landauer, Inc......................................... 7,700 213,675
*Landec Corp.......................................... 10,500 39,047
*Landrys Seafood Restaurants, Inc..................... 28,277 261,562
*Landstar Systems, Inc................................ 9,100 342,956
*Lanvision Systems, Inc............................... 7,300 10,494
*Larscom, Inc......................................... 4,000 10,125
*Laser Vision Centers, Inc............................ 3,500 198,188
*#LaserSight Corporation.............................. 12,400 214,288
*Lason, Inc........................................... 12,000 462,375
Lawson Products, Inc.................................. 10,300 256,213
Lawter International, Inc............................. 31,600 385,125
*Layne Christensen Co................................. 9,100 60,856
*Lazare Kaplan International, Inc..................... 7,300 69,350
*Leapnet, Inc......................................... 10,900 26,909
*Learning Tree International, Inc..................... 19,800 209,138
*#Leasing Solutions, Inc.............................. 6,700 7,119
*Lechters, Inc........................................ 15,500 35,844
*Lecroy Corp.......................................... 6,100 105,988
*Lectec Corp.......................................... 1,902 5,944
Lesco, Inc............................................ 7,725 137,119
*LeukoSite, Inc....................................... 2,000 24,438
*#Level 8 Systems, Inc................................ 6,900 60,591
*Lexington Global Asset Managers, Inc................. 3,600 11,700
Libbey, Inc........................................... 15,800 473,013
*Liberty Bancorp, Inc................................. 2,700 22,528
Liberty Homes, Inc. Class A........................... 200 1,863
*Life Financial Corp.................................. 5,200 20,638
*#Life Medical Sciences, Inc.......................... 8,900 6,397
Life USA Holdings, Inc................................ 26,800 535,163
*Lifecell Corp........................................ 10,200 42,394
*Lifecore Biomedical, Inc............................. 16,100 178,609
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Lifeline Systems, Inc................................ 4,100 $ 76,363
Lifetime Hoan Corp.................................... 9,762 87,858
*Ligand Pharmaceuticals, Inc. Class B................. 38,277 391,143
*Lightbridge, Inc..................................... 12,600 127,181
Lillian Vernon Corp................................... 6,600 84,975
Lilly Industry, Inc. Class A.......................... 20,500 390,781
*Lindal Cedar Homes, Inc.............................. 4,482 9,104
Lindsay Manufacturer Co............................... 12,100 213,263
*Liposome Co., Inc.................................... 34,200 488,419
Liqui Box Corp........................................ 2,500 133,125
Litchfield Financial Corp............................. 6,000 98,438
*Lithia Motors, Inc. Class A.......................... 6,100 115,519
*#Littlefield, Adams & Co............................. 900 2,025
*Littlefuse, Inc...................................... 18,900 378,591
*Lodgenet Entertainment Corp.......................... 10,400 129,350
*#Lodgian, Inc........................................ 21,900 153,300
*Loehmanns, Inc....................................... 7,100 6,323
*Loews Cineplex Entertainment Corp.................... 28,000 267,750
*Logic Devices, Inc................................... 5,600 19,425
*Logility, Inc........................................ 8,900 44,222
*Lojack Corp.......................................... 14,500 112,828
Lone Star Industries, Inc............................. 17,200 612,750
*Lone Star Steakhouse Saloon.......................... 39,000 396,094
*Lone Star Technologies, Inc.......................... 21,800 339,263
*Long Beach Financial Corp............................ 16,100 229,928
Longview Fibre Co..................................... 48,500 657,781
*Loronix Information Systems, Inc..................... 3,300 32,794
*Louis Dreyfus Natural Gas Corp....................... 38,052 742,014
Luby's Cafeterias, Inc................................ 18,900 321,300
Lufkin Industries, Inc................................ 4,600 77,194
*Lumisy, Inc.......................................... 9,100 35,263
*Lunar Corp........................................... 6,900 57,141
*Lund International Holdings, Inc..................... 2,200 12,925
*Lydall, Inc. DE...................................... 2,400 28,950
*Lynch Corp........................................... 2,200 171,050
*Lynx Therapeutics, Inc............................... 3,000 36,469
M.A. Hanna Co......................................... 39,000 575,250
*M.H. Meyerson & Co., Inc............................. 3,500 27,344
M/A/R/C, Inc.......................................... 3,027 45,310
MAF Bancorp, Inc...................................... 23,584 541,695
*MAI Systems Corp..................................... 9,600 36,600
*MAXIMUS, Inc......................................... 6,000 178,500
*MB Financial, Inc.................................... 2,800 37,625
MDC Holdings, Inc..................................... 17,600 347,600
*MEMC Electronic Materials, Inc....................... 39,100 322,575
MFB Corp.............................................. 1,000 21,438
*MFRI, Inc............................................ 4,400 19,938
*MGI Pharma, Inc...................................... 13,000 136,500
MI Schottenstein Homes, Inc........................... 7,000 135,625
*MIM Corp............................................. 9,000 24,469
MMI Companies, Inc.................................... 16,200 279,450
MOCON, Inc............................................ 6,450 37,088
*MRV Communications, Inc.............................. 24,000 280,500
*MS Carriers, Inc..................................... 11,000 349,938
*MTI Technology Corp.................................. 5,900 52,916
MTS Systems Corp...................................... 16,700 196,225
MYR Group, Inc........................................ 3,110 47,039
*Mac-Gray Corp........................................ 23,100 206,456
*Mackie Designs, Inc.................................. 16,100 80,500
*MacNeal-Schwendler Corp.............................. 12,200 70,150
*Madden (Steven), Ltd................................. 13,900 148,991
*Made2Manage Systems, Inc............................. 4,000 41,375
</TABLE>
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<CAPTION>
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<S> <C> <C>
Madison Gas & Electric Co............................. 14,450 $ 304,805
*Magainin Pharmaceuticals, Inc........................ 19,400 30,919
*Magellan Health Services, Inc........................ 31,900 257,194
*Magnetek, Inc........................................ 33,400 338,175
*#Magnum Hunter Resources, Inc........................ 19,900 72,138
*Mail-Well, Inc....................................... 19,000 281,438
*Main Street & Main, Inc.............................. 8,450 30,103
Maine Public Service Co............................... 700 10,763
*#Malibu Entertainment Worldwide, Inc................. 24,000 30,000
*Mallon Resources Corp................................ 5,400 47,250
*Managed Care Solutions, Inc.......................... 2,866 11,106
*#Manatron, Inc....................................... 1,102 7,611
*Manchester Equipment Co., Inc........................ 7,000 22,750
*Manhattan Associates, Inc............................ 3,300 29,597
Manitowoc Co., Inc.................................... 20,850 708,900
*Manugistic Group, Inc................................ 17,200 155,338
*Mapics, Inc.......................................... 16,300 153,831
*Mapinfo Corp......................................... 4,800 90,600
*Marcam Solutions, Inc................................ 2,700 19,533
Marcus Corp........................................... 17,175 215,761
*Marine Drilling Companies, Inc....................... 47,100 677,063
*Marine Transport Corp................................ 7,540 32,281
*Mariner Post-Acute Network, Inc...................... 70,260 158,085
*Marisa Christina, Inc................................ 6,700 5,234
Maritrans, Inc........................................ 9,700 55,775
*Mark VII, Inc........................................ 4,800 75,900
*Market Facts, Inc.................................... 8,000 250,250
*Marlton Technologies, Inc............................ 5,000 23,438
Marsh Supermarkets, Inc. Class A...................... 1,600 23,800
Marsh Supermarkets, Inc. Class B...................... 3,100 38,750
*Marshall Industries.................................. 16,400 289,050
*#Martek Biosciences Corp............................. 13,400 141,538
*Marten Transport, Ltd................................ 4,200 55,256
*Marvel Enterprises, Inc.............................. 10,200 90,525
Massbank Corp. Reading, MA............................ 2,433 91,238
*Mastec, Inc.......................................... 22,200 538,350
*Matec Corp........................................... 1,100 3,988
*Material Sciences Corp............................... 20,500 228,063
*Mathsoft, Inc........................................ 6,300 19,983
*Matlack Systems, Inc................................. 7,500 38,906
*Matria Healthcare, Inc............................... 33,200 197,125
*Matritech, Inc....................................... 21,800 29,975
*Matrix Pharmaceutical, Inc........................... 19,600 92,181
*Matrix Service Co.................................... 7,500 29,531
Matthews International Corp.
Class A............................................. 12,000 349,500
*Matthews Studio Equipment Group...................... 8,800 90,475
*Mattson Technology, Inc.............................. 13,300 95,594
*Maverick Tube Corp................................... 13,900 180,266
*Max & Ermas Restaurants, Inc......................... 2,037 14,768
*Maxco, Inc........................................... 1,900 12,706
*Maxicare Health Plans, Inc........................... 16,100 79,997
*Maxim Group, Inc..................................... 13,200 118,800
*#Maxim Pharmaceuticals, Inc.......................... 9,300 94,163
*Maxwell Shoe Company, Inc............................ 8,000 67,500
*Maxwell Technologies, Inc............................ 6,700 151,588
*Maxxam, Inc.......................................... 5,200 318,500
*Maxxim Medical, Inc.................................. 12,000 190,500
*Maynard Oil Co....................................... 3,100 30,225
*Mays (J.W.), Inc..................................... 200 1,400
*Mazel Stores, Inc.................................... 8,200 77,900
*McClain Industries, Inc.............................. 266 1,471
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
McGrath Rent Corp..................................... 12,100 $ 228,388
*McMoran Exploration Co............................... 7,896 142,622
*McNaughton Apparel Group, Inc........................ 6,000 36,375
*McWhorter Technologies, Inc.......................... 8,200 113,775
*Meade Instruments Corp............................... 5,500 73,563
*Meadow Valley Corp................................... 2,200 10,175
Meadowbrook Insurance Group, Inc...................... 10,100 136,350
*Measurement Specialties, Inc......................... 2,500 31,250
*Mechanical Dynamics, Inc............................. 4,300 27,413
*Mecon, Inc........................................... 5,400 44,550
*Medaphis Corp........................................ 70,400 349,800
*Medar, Inc........................................... 5,400 11,728
*Medarex, Inc......................................... 28,400 118,038
*Medco Research, Inc.................................. 9,500 223,250
Medford Bancorp, Inc.................................. 7,000 115,500
*Media 100, Inc....................................... 7,000 47,031
*Media Arts Group, Inc................................ 16,800 116,550
*#Media Logic, Inc.................................... 2,400 750
*Medialink Worldwide, Inc............................. 6,700 108,456
*Medical Action Industries, Inc....................... 5,200 15,438
*Medical Alliance, Inc................................ 5,200 13,975
*Medical Assurance, Inc............................... 17,427 486,867
*Medical Graphics Corp................................ 1,500 2,016
*Medical Manager Corp................................. 19,400 959,088
*#Medical Resources, Inc.............................. 5,283 11,061
*Medicalcontrol, Inc.................................. 3,500 29,531
*Medicore, Inc........................................ 3,800 4,038
*Medirisk, Inc........................................ 5,600 57,925
*Medpartners, Inc..................................... 9,500 55,219
*#Medplus, Inc........................................ 4,500 8,719
*Medstone International, Inc.......................... 5,800 42,231
*Melita International Corp............................ 12,500 181,641
*Memberworks, Inc..................................... 14,100 630,094
Mentor Corp. MN....................................... 25,900 412,781
*Mentor Graphics Corp................................. 35,900 452,116
Merchants Bancorp, Inc................................ 2,100 58,144
Merchants Bancshares, Inc............................. 2,700 62,606
Merchants Group, Inc.................................. 1,300 28,438
Merchants New York Bancorp, Inc....................... 800 27,100
*Mercury Air Group, Inc............................... 5,800 38,425
*Meridian Data, Inc................................... 7,100 53,694
Meridian Diagnostics, Inc............................. 12,900 99,975
Meridian Insurance Group, Inc......................... 2,970 49,191
*Meridian Medical Technology, Inc..................... 2,400 14,475
*Meridian Resource Corp............................... 59,172 318,050
*Merisel, Inc......................................... 11,900 27,705
*Merit Medical Systems, Inc........................... 5,200 30,388
*Merix Corp........................................... 5,200 31,200
Merrill Corp.......................................... 14,500 218,859
*Merrimac Industries, Inc............................. 660 4,620
*Mesa Air Group, Inc.................................. 30,100 198,472
*Mesa Labs, Inc....................................... 2,700 12,572
*Mesaba Holdings, Inc................................. 17,850 264,961
*Messagemedia, Inc.................................... 27,800 247,594
*Mestek, Inc.......................................... 4,200 85,575
*Meta Group, Inc...................................... 10,400 143,325
*Metacreations Corp................................... 21,300 125,803
*Metal Management, Inc................................ 36,421 67,151
*Metals USA, Inc...................................... 30,500 350,750
*Metatec Corp. Class A................................ 5,300 23,684
*Met-Coil Systems Corp................................ 1,000 4,125
Methode Electronics, Inc. Class A..................... 30,800 564,988
</TABLE>
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<CAPTION>
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Methode Electronics, Inc. Class B..................... 500 $ 9,094
Met-Pro Corp.......................................... 11,175 146,672
*Metra Biosystems, Inc................................ 10,100 10,889
*#Metricom, Inc....................................... 16,700 164,913
*Metrika System Corp.................................. 3,000 28,688
*Metro Networks, Inc.................................. 3,400 193,163
*Metro One Telecommunications, Inc.................... 9,900 150,047
*Metrocall, Inc....................................... 36,985 108,066
*Metrologic Instruments, Inc.......................... 4,900 58,800
*Metromedia International Group, Inc.................. 62,200 517,038
*Metrotrans Corp...................................... 1,600 3,900
Metrowest Bank MA..................................... 12,800 76,000
*Michael Anthony Jewelers, Inc........................ 5,800 22,838
Michael Foods, Inc.................................... 19,058 446,672
*Michaels Stores, Inc................................. 36,800 986,700
*Micrion Corp......................................... 3,300 39,600
*Micro Linear Corp.................................... 9,600 34,650
*Micro Warehouse, Inc................................. 31,400 487,681
*Microage, Inc........................................ 18,150 101,527
*Microcide Pharmaceuticals, Inc....................... 9,300 39,089
*Micrografx, Inc...................................... 8,200 54,581
*Micros Systems, Inc.................................. 14,400 451,800
*Micros to Mainframes, Inc............................ 3,100 12,691
*Microsemi Corp....................................... 10,600 103,019
*Microtest, Inc....................................... 7,900 20,984
*Micro-Therapeutics, Inc.............................. 6,000 51,375
*Microtouch Systems, Inc.............................. 7,300 107,219
*Microware Systems Corp............................... 11,600 20,663
*Microwave Power Dynamics, Inc........................ 10,100 152,763
Mid America Banccorp.................................. 9,010 218,493
*Mid Atlantic Medical Services, Inc................... 56,800 589,300
Midas, Inc............................................ 12,050 377,316
Midcoast Energy Resources, Inc........................ 5,625 91,406
*Middleby Corp........................................ 10,300 49,891
Middlesex Water Co.................................... 3,400 80,644
Midland Co............................................ 3,300 80,850
*Midway Airlines Corp................................. 8,500 87,656
*Midway Games, Inc.................................... 34,070 361,994
*Midwest Express Holdings, Inc........................ 11,275 337,545
*Midwest Grain Products, Inc.......................... 7,600 70,775
Mikasa, Inc........................................... 16,400 182,450
*Mikohn Gaming Corp................................... 8,900 33,931
*#Milestone Scientific, Inc........................... 6,900 9,488
*Millennium Pharmaceuticals, Inc...................... 2,800 105,875
*Miller Building Systems, Inc......................... 3,200 19,000
*Miller Industries, Inc............................... 42,000 202,125
*Miltope Group, Inc................................... 11,000 12,719
Mine Safety Appliances Co............................. 1,900 120,056
Minntech Corp......................................... 4,700 65,066
Minuteman International, Inc.......................... 1,000 9,188
*#Miravant Medical Technologies....................... 13,700 103,178
Mississippi Chemical Corp............................. 24,642 237,179
*Mitcham Industries, Inc.............................. 7,900 33,698
Mitchell Energy & Development Corp. Class A........... 1,100 17,600
Mitchell Energy & Development Corp. Class B........... 800 12,900
*Mity-Lite, Inc....................................... 2,200 41,663
Mobile America Corp................................... 6,100 23,447
*Mobile Mini, Inc..................................... 6,500 85,313
*Mobius Management Systems, Inc....................... 7,000 59,500
*#Modacad, Inc........................................ 4,700 45,972
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Modtech Holdings, Inc................................ 7,657 $ 68,913
*Molecular Biosystems, Inc............................ 16,700 41,750
*Molecular Devices Corp............................... 5,600 137,550
*Monaco Coach Corp.................................... 11,175 335,250
*Monarch Casino and Resort, Inc....................... 6,300 37,209
*Monarch Dental Corp.................................. 9,700 34,859
Monarch Machine Tool Co............................... 3,400 29,963
*Mondavi (Robert) Corp. Class A....................... 6,400 216,200
*Monro Muffler Brake, Inc............................. 6,641 56,241
Monterey Bay Bancorp, Inc............................. 2,125 30,813
*Monterey Pasta Co.................................... 7,000 17,719
*Moog, Inc. Class A................................... 5,050 138,559
*Moog, Inc. Class B................................... 600 22,388
*Moore Medical Corp................................... 2,700 28,519
Moore Products Co..................................... 2,200 51,425
Morgan Keegan, Inc.................................... 29,400 542,063
*Morgan Products, Ltd................................. 9,100 33,841
*Morgan's Foods, Inc.................................. 900 4,163
Morrison Health Care, Inc............................. 10,833 211,921
*Morrison Knudsen Corp................................ 47,900 476,006
*Morrow Snowboards, Inc............................... 1,000 219
*Morton Industrial Group, Inc.
Class A............................................. 1,000 7,656
*Morton's Restaurant Group, Inc....................... 5,300 93,413
*Mosaix, Inc.......................................... 10,300 107,184
*#Mossimo, Inc........................................ 13,500 123,188
*Mother's Work, Inc................................... 3,300 36,919
*Motivepower Industries, Inc.......................... 24,000 406,500
*Motor Car Parts & Accessories, Inc................... 6,100 35,266
*Motor Club of America................................ 700 8,859
Movado Group, Inc..................................... 9,050 218,331
*Movie Gallery, Inc................................... 11,500 70,797
*Multi Color Corp..................................... 1,000 6,719
*Multiple Zones International, Inc.................... 11,000 97,625
*Musicland Stores Corp................................ 31,800 282,225
*Mutual Savings Bank FSB Bay City, MI................. 3,000 38,719
Myers Industries, Inc................................. 16,461 376,545
*Mylex Corp........................................... 24,800 130,975
*Myriad Genetics, Inc................................. 8,400 86,625
*Mysoftware Co........................................ 4,000 67,375
*N & F Worldwide Corp................................. 18,600 144,150
*NABI, Inc............................................ 35,200 100,100
NBT Bancorp........................................... 11,284 234,143
*NBTY, Inc............................................ 64,400 405,519
NCH Corp.............................................. 6,200 340,225
*NCI Building Systems, Inc............................ 14,800 373,700
*NCS Healthcare, Inc.................................. 11,700 159,413
*NFO Worldwide, Inc................................... 23,000 326,313
NL Industries, Inc.................................... 10,000 106,250
NN Ball & Roller, Inc................................. 12,300 69,188
*NPC International, Inc............................... 22,000 383,625
*NPS Pharmaceuticals, Inc............................. 11,100 77,700
*NTN Communications, Inc.............................. 2,293 1,720
NUI Corp.............................................. 10,800 268,650
NYMAGIC, Inc.......................................... 7,600 95,000
*Nabors Industries, Inc............................... 3,001 60,020
*Nanometrics, Inc..................................... 7,000 48,563
*Napco Security Systems, Inc.......................... 2,150 6,181
*#Napro Biotherapeutics, Inc.......................... 9,500 20,039
Nash Finch Co......................................... 10,200 94,988
*Nashua Corp.......................................... 4,800 54,600
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Nastech Pharmaceutical Co., Inc...................... 5,100 $ 13,547
*Nathans Famous, Inc.................................. 1,900 7,184
*National Beverage Corp............................... 18,500 152,625
*National City Bancorp................................ 6,189 123,780
National City Bankshares, Inc......................... 4,466 112,208
*National Dentex Corp................................. 3,000 47,063
*National Discount Brokers Group, Inc................. 10,500 488,250
*National Home Centers, Inc........................... 3,000 3,750
*National Home Health Care Corp....................... 3,815 16,571
National Penn Bancshares, Inc......................... 11,928 270,244
National Presto Industries, Inc....................... 5,100 190,294
*National Processing, Inc............................. 30,300 181,800
*National Record Mart, Inc............................ 4,200 31,631
*National Research Corp............................... 4,500 12,094
*National RV Holdings, Inc............................ 20,700 531,731
*National Standard Co................................. 6,500 38,594
National Steel Corp. Class B.......................... 23,000 175,375
National Technical Systems, Inc....................... 7,500 33,750
*National Techteam, Inc............................... 12,300 65,728
*National Western Life Insurance Co. Class A.......... 1,000 96,438
*Natural Alternatives International, Inc.............. 4,800 17,250
*Natural Microsystems Corp............................ 10,200 62,475
*Natural Wonders, Inc................................. 5,700 21,197
Natures Sunshine Products, Inc........................ 22,759 283,065
*Nautica Enterprises, Inc............................. 30,000 485,625
*#Navarre Corp........................................ 18,400 223,100
*Navigant International, Inc.......................... 9,500 77,039
*Navigators Group, Inc................................ 3,200 45,600
*Neff Corp. Class A................................... 20,500 270,344
Nelson (Thomas), Inc.................................. 11,400 111,863
*Neogen Corp.......................................... 3,700 26,131
*Neopath, Inc......................................... 13,100 51,991
*#Neopharm, Inc....................................... 8,000 126,000
*Neorx Corp........................................... 17,225 24,492
*Neose Technologies, Inc.............................. 8,600 94,331
*#Neotherapeutics, Inc................................ 3,300 42,281
*Netmanage, Inc....................................... 62,145 164,102
*Netopia, Inc......................................... 11,300 317,106
*Netrix Corp.......................................... 13,000 43,063
*Netspeak Corp........................................ 11,300 117,944
*Network Computing Devices, Inc....................... 13,900 66,025
*Network Equipment Technologies, Inc.................. 20,100 208,538
*Network Peripherals, Inc............................. 11,100 160,603
*Network Six, Inc..................................... 275 1,392
*Neurobiological Technologies, Inc.................... 2,700 3,291
*Neurocrine Biosciences, Inc.......................... 16,300 88,631
*Neurogen Corp........................................ 11,500 143,031
*New Brunswick Scientific Co., Inc.................... 3,473 32,559
*New Century Financial Corp........................... 13,000 189,719
New England Business Services, Inc.................... 12,000 326,250
New England Community Bancorp, Inc. Class A........... 4,770 93,313
New Hampshire Thrift BancShares, Inc.................. 200 2,763
*New Horizons Worldwide, Inc.......................... 6,000 120,375
New Jersey Resources Corp............................. 13,800 520,950
*New Mexico & Arizona Land Co......................... 6,258 46,935
*Newcor, Inc.......................................... 2,940 13,965
Newmil Bancorp, Inc................................... 3,500 35,219
*Newpark Resources, Inc............................... 65,100 585,900
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Newport Corp.......................................... 8,200 $ 124,538
*Newsedge Corp........................................ 15,450 130,842
*Nexstar Pharmaceuticals, Inc......................... 25,696 445,665
*Nexthealth, Inc...................................... 3,400 3,719
*#Niagara Corp........................................ 7,400 52,956
*Nichols Research Corp................................ 11,950 243,481
*Nine West Group...................................... 32,300 896,325
*Nitches, Inc......................................... 785 2,649
*Nitinol Medical Technologies, Inc.................... 9,000 28,125
*Nobel Learning Communities, Inc...................... 5,400 29,700
*Nobility Homes....................................... 5,475 48,420
*Noel Group, Inc...................................... 8,000 5,250
Noland Co............................................. 200 3,963
*Noodle Kidoodle, Inc................................. 6,800 43,988
Norrell Corp.......................................... 24,500 454,781
*Norstan, Inc......................................... 9,400 106,044
*Nortek, Inc.......................................... 10,400 318,500
*North American Scientific, Inc....................... 6,000 43,875
North Carolina Natural Gas Corp....................... 9,100 306,556
North Central Bancshares, Inc......................... 2,700 48,094
Northeast Bancorp..................................... 900 9,450
Northern Technologies International................... 2,700 16,200
*Northfield Laboratories, Inc......................... 15,300 184,556
Northland Cranberries, Inc. Class A................... 16,400 148,113
Northrim Bank......................................... 1,695 18,380
Northwest Bancorp, Inc................................ 42,200 399,581
Northwest Natural Gas Co.............................. 21,650 519,600
*Northwest Pipe Co.................................... 4,700 80,781
*Northwest Teleproductions, Inc....................... 200 138
Northwestern Corp..................................... 18,400 483,000
*Northwestern Steel & Wire Co......................... 18,500 22,547
*Novacare Employee Services, Inc...................... 4,000 18,750
*Novacare, Inc........................................ 60,000 127,500
*Novadigm, Inc........................................ 16,500 124,266
*Novametrix Medical Systems, Inc...................... 6,100 26,306
*Novavax, Inc......................................... 11,900 49,831
*Noven Pharmaceuticals, Inc........................... 19,300 118,213
*Novitron International, Inc.......................... 1,430 1,877
*Nstor Technology..................................... 11,400 34,200
*Nu Horizons Electronics Corp......................... 7,900 48,881
*Nuevo Energy Co...................................... 16,200 247,050
*Number Nine Visual Technology Corp................... 2,200 5,569
*Numerex Corp. Class A................................ 8,300 30,866
*Nutramax Products, Inc............................... 3,300 12,994
*Nutrition for Life International, Inc................ 2,700 5,948
*O'Charleys, Inc...................................... 20,750 271,047
O'Sullivan Corp....................................... 13,000 115,375
*O'Sullivan Industries Holdings, Inc.................. 12,800 212,800
*O.I. Corp............................................ 2,600 12,431
*OAO Technology Solutions, Inc........................ 10,000 40,625
*ODS Networks, Inc.................................... 16,700 57,406
OEA, Inc.............................................. 18,500 186,156
*OEC Medical Systems, Inc............................. 11,500 274,563
*OMI Corp............................................. 22,900 60,113
*OMNI Energy Services Corp............................ 4,600 20,125
*ORBIT/FR, Inc........................................ 2,700 7,678
*OSI Pharmaceutical, Inc.............................. 18,300 100,650
*OSI Systems, Inc..................................... 1,700 9,138
*OTR Express, Inc..................................... 200 725
Oak Hill Financial, Inc............................... 1,000 19,063
*Oak Industries, Inc.................................. 15,800 761,363
</TABLE>
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*Oak Technology, Inc.................................. 37,700 $ 131,361
*Oakley, Inc.......................................... 56,500 459,063
*Object Design, Inc................................... 30,300 108,891
*Objective Systems Integrators, Inc................... 28,300 80,920
*Objectshare, Inc..................................... 8,300 9,467
*Ocean Energy, Inc.................................... 15,000 148,125
Ocean Financial Corp.................................. 12,400 217,388
*Oceaneering International, Inc....................... 25,200 389,025
*Ocular Sciences, Inc................................. 10,300 315,116
*Ocwen Financial Corp................................. 23,100 200,681
*Odetics, Inc. Class A................................ 300 2,541
*Odwalla, Inc......................................... 3,500 28,219
*Offshore Logistics, Inc.............................. 19,700 222,241
Oglebay Norton Co..................................... 4,400 107,525
Oil-Dri Corp. of America.............................. 4,000 61,500
*Old Dominion Freight Lines, Inc...................... 7,200 84,600
*Old Guard Group, Inc................................. 3,400 44,306
Olsten Corp........................................... 45,000 399,375
*Olympic Steel, Inc................................... 10,000 76,875
Omega Financial Corp.................................. 7,150 251,144
*Omega Health System, Inc............................. 7,200 54,675
*Omega Protein Corp................................... 5,500 33,688
*Omega Worldwide, Inc................................. 10,000 42,813
*#Omnipoint Corp...................................... 42,900 746,728
*Omtool, Ltd.......................................... 17,000 64,813
*On Assignment, Inc................................... 9,700 250,988
*On Command Corp...................................... 15,600 217,913
*On Technology Corp................................... 1,700 2,577
*On-Point Technology Systems, Inc..................... 7,900 22,959
*#Oncor, Inc.......................................... 20,800 1,014
*One Price Clothing Stores, Inc....................... 9,400 38,628
Oneida, Ltd........................................... 15,050 386,597
*Onhealth Network Company............................. 3,800 43,225
*#Onsale, Inc......................................... 16,200 314,381
*Ontrack Data International, Inc...................... 7,900 36,784
*Onyx Acceptance Corp................................. 4,900 38,741
*Onyx Pharmacueticals, Inc............................ 10,300 83,044
*Open Market, Inc..................................... 39,200 487,550
*Openroute Networks, Inc.............................. 12,300 44,203
*Opinion Research Corp................................ 1,700 9,138
*Opta Food Ingredients, Inc........................... 10,000 32,656
*Optek Technology, Inc................................ 5,600 141,050
*Opti, Inc............................................ 8,600 54,556
*#Optical Cable Corp.................................. 21,800 241,163
Optical Coating Laboratory, Inc....................... 11,000 714,313
*Optical Sensors, Inc................................. 7,100 7,766
*Optika Imaging Systems, Inc.......................... 5,900 36,138
*Option Care, Inc..................................... 8,400 19,688
Orange & Rockland Utilities, Inc...................... 8,700 506,231
*Orange Co., Inc...................................... 9,400 48,175
*Orbit International Corp............................. 3,800 4,038
*Orcad, Inc........................................... 8,400 69,563
Oregon Steel Mills, Inc............................... 23,200 317,550
Oregon Trail Financial Corp........................... 4,200 54,469
*#Organogenesis, Inc.................................. 26,576 293,997
*#Oriole Homes Corp. Class A Convertible.............. 800 1,525
*Oriole Homes Corp. Class B........................... 2,000 3,750
*Orleans Homebuilders, Inc............................ 2,000 3,750
*Oroamerica, Inc...................................... 5,700 43,641
*Orphan Medical, Inc.................................. 4,585 31,379
*Ortel Corp........................................... 11,100 119,325
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Orthodontic Centers of America, Inc.................. 13,900 $ 167,669
*Orthologic Corp...................................... 22,800 60,919
Oshkosh B'Gosh, Inc. Class A.......................... 16,200 319,950
Oshkosh Truck Corp. Class B........................... 6,400 253,200
*Oshman's Sporting Goods, Inc......................... 4,100 10,763
*#Osicom Technologies, Inc............................ 6,100 56,425
*Osmonics, Inc........................................ 13,100 153,925
*Osteotech, Inc....................................... 10,200 361,463
*Ostex International, Inc............................. 10,000 12,969
Ottawa Financial Corp................................. 4,525 101,813
Otter Tail Power Co................................... 10,200 398,438
*Outlook Group Corp................................... 1,800 6,863
*Outsource International, Inc......................... 6,900 30,942
*Overland Data........................................ 3,000 18,938
Overseas Shipholding Group, Inc....................... 16,200 202,500
Owens & Minor, Inc.................................... 27,500 299,063
Owosso Corp........................................... 300 1,575
Oxford Industries, Inc................................ 7,800 216,450
*#Oxigene, Inc........................................ 9,400 90,475
*P&F Industries, Inc. Class A......................... 1,300 12,919
*P-Com, Inc........................................... 52,100 230,380
*PAM Transportation Services, Inc..................... 6,600 59,813
*PC Quote, Inc........................................ 12,000 101,250
*PC Service Source, Inc............................... 4,900 18,681
*#PHP Healthcare Corp................................. 11,000 550
*PIA Merchandising Services, Inc...................... 500 1,281
*PJ America, Inc...................................... 4,000 93,875
*PLM International, Inc............................... 5,100 30,600
*PMR Corp............................................. 6,700 26,172
*PPT Vision, Inc...................................... 4,200 19,950
*PRI Automation, Inc.................................. 17,800 436,100
*PS Group Holdings, Inc............................... 3,000 33,000
*PSC, Inc............................................. 8,900 89,000
*PSW Technologies, Inc................................ 8,000 25,875
PXRE Corp............................................. 12,120 225,735
*#Pacific Aerospace and Electronics, Inc.............. 12,200 20,397
Pacific Crest Capital, Inc............................ 1,060 16,894
*Pacific Gateway Exchange, Inc........................ 15,300 601,959
*Pacific Sunwear of California, Inc................... 18,900 709,931
*Pagasus Systems, Inc................................. 8,500 295,641
*Pagemart Wireless, Inc. Class A...................... 27,500 125,469
*Paging Network, Inc.................................. 48,400 160,325
*Pairgain Technologies, Inc........................... 7,800 96,281
*#Palatin Technologies, Inc........................... 62 304
*Palm Harbor Homes, Inc............................... 19,169 410,935
*Pameco Corp.......................................... 2,800 21,875
*Pamida Holdings Corp................................. 4,000 45,000
Pamrapo Bancorp, Inc.................................. 2,300 53,044
Panaco, Inc........................................... 18,100 13,858
*Pancho's Mexican Buffet, Inc......................... 1,666 6,404
*Panera Bread CO...................................... 7,200 50,400
*Par Technology Corp.................................. 7,500 48,750
*Paracelsus Healthcare Corp........................... 44,100 49,613
*Paragon Trade Brands, Inc............................ 7,100 17,750
*Parallel Petroleum Corp.............................. 12,800 25,000
*#Paravant, Inc....................................... 6,500 15,133
*Parexel International Corp........................... 18,800 449,438
Paris Corp............................................ 200 444
Park Electrochemical Corp............................. 10,300 246,556
*Parker Drilling Co................................... 24,000 75,000
*#Parkervision, Inc................................... 9,100 279,825
</TABLE>
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SHARES VALUE+
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*Park-Ohio Holdings Corp.............................. 7,934 $ 128,432
Parkvale Financial Corp............................... 3,050 64,241
*Parlex Corp.......................................... 3,900 54,113
*Parlux Fragrances, Inc............................... 8,100 16,453
*Pathogenesis Corp.................................... 13,000 184,031
*#Patient Infosy...................................... 2,600 6,378
Patina Oil & Gas Corp................................. 16,834 86,274
Patrick Industries, Inc............................... 4,700 61,100
*Patterson Energy, Inc................................ 27,780 230,487
*Paul Harris Stores, Inc.............................. 9,700 62,747
Paula Financial, Inc.................................. 6,200 53,281
*Paul-Son Gaming Corp................................. 2,000 12,063
*Paxar Corp........................................... 44,015 398,886
*Paxson Communications Corp........................... 47,200 610,650
*Payless Cashways, Inc................................ 159 328
*Paymentech, Inc...................................... 23,700 593,981
*Peapod, Inc.......................................... 15,300 137,222
*Pediatric Services of America, Inc................... 4,800 7,350
*#Pediatrix Medical Group, Inc........................ 12,000 270,750
Peerless Manufacturing Co............................. 200 2,131
*Pegasus Communications Corp. Class A................. 9,100 429,406
*Pegasystems, Inc..................................... 22,900 192,503
Penford Corp.......................................... 6,600 86,831
Penn Engineering & Manufacturing Corp. Class A........ 600 11,738
Penn Engineering & Manufacturing Corp. Non-voting..... 7,500 161,250
*Penn National Gaming, Inc............................ 12,600 117,731
*#Penn Traffic Co..................................... 9,300 2,046
*Penn Treaty American Corp............................ 7,000 176,313
Penn Virginia Corp.................................... 8,200 158,875
Penn-America Group, Inc............................... 8,450 92,950
#Penncorp Financial Group, Inc........................ 23,300 13,106
Pennfed Financial Services, Inc....................... 6,800 99,025
Pennsylvania Enterprises, Inc......................... 8,500 246,500
*Penske Motorsports, Inc.............................. 11,400 558,956
*Pentacon, Inc........................................ 5,000 24,688
*Penton Media, Inc.................................... 15,800 316,988
*Penwest Pharmaceuticals Company...................... 6,600 57,750
Peoples Bancor........................................ 38,700 402,722
Peoples Bancorp, Inc.................................. 300 5,869
Peoples Bancshares, Inc. Massachusetts................ 2,500 48,594
*Peoples Choice TV Corp............................... 6,350 59,333
*Perceptron, Inc...................................... 7,050 35,691
*Performance Food Group Co............................ 10,800 258,188
*Performance Technologies, Inc........................ 5,800 85,188
*Perfumania, Inc...................................... 5,200 18,038
*Pericom Semiconductor Corp........................... 7,000 58,406
*Perini Corp.......................................... 4,900 24,500
*Periphonics Corp..................................... 11,900 127,181
*Perrigo Co........................................... 67,200 615,300
*Personnel Group of America, Inc...................... 29,500 335,563
*Pervasive Software, Inc.............................. 12,000 202,875
*Petco Animal Supplies, Inc........................... 18,956 267,161
*Petrocorp, Inc....................................... 6,900 41,400
*Petroglyph Energy, Inc............................... 4,400 11,963
*Petroleum Development Corp........................... 13,600 61,838
*#Pharmaceutical Marketing Services, Inc.............. 12,600 186,638
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pharmaceutical Products Development Service Co....... 18,870 $ 501,234
*Pharmaceutical Resources, Inc........................ 24,200 186,038
*Pharmacopeia, Inc.................................... 17,000 150,344
*Pharmacyclics........................................ 11,100 206,044
*Pharmanetics, Inc.................................... 6,100 27,450
*Pharmchem Laboratories, Inc.......................... 4,400 11,413
*Phar-Mor, Inc........................................ 14,200 67,894
*#Pharmos Corp........................................ 6,200 10,269
*#Philadelphia Consolidated Holding Corp.............. 9,800 233,669
Philadelphia Suburban Corp............................ 29,687 653,114
*Phillips (R.H.), Inc................................. 4,600 15,094
Phillips-Van Heusen Corp.............................. 15,000 131,250
*Phoenix Gold International, Inc...................... 1,000 2,500
*Phoenix International Life Sciences, Inc............. 775 6,547
*Phoenix International, Ltd........................... 6,000 37,688
Phoenix Investment Partners, Ltd...................... 40,400 396,425
*Phoenix Network, Inc. (Escrow Shares)................ 10,200 0
*Phoenix Technologies, Ltd............................ 21,287 231,496
*Phonetel Technologies, Inc........................... 13,200 1,043
*Photo Control Corp................................... 1,000 1,688
*Photon Dynamics, Inc................................. 6,500 57,789
*Photran Corp......................................... 1,100 0
*Photronics, Inc...................................... 22,000 435,875
*Phycor, Inc.......................................... 60,900 427,252
*Phymatrix Corp....................................... 30,000 49,219
*Physician Computer Network, Inc...................... 46,100 20,146
*Physician Reliance Network, Inc...................... 47,700 445,697
Piccadilly Cafeterias, Inc............................ 9,500 100,938
*Pico Holdings, Inc................................... 6,661 134,885
*Picturetel Corp...................................... 39,700 351,097
*Pierce Leahy Corp.................................... 13,200 327,525
*Piercing Pagoda, Inc................................. 6,800 83,300
*Pilgrim America Capital Corp......................... 3,600 71,550
Pilgrim Pride Corp.................................... 24,000 496,500
Pillowtex Corp........................................ 13,717 222,901
*Pinnacle Global Group, Inc........................... 1,400 8,575
*Pinnacle Systems, Inc................................ 9,100 468,081
Pioneer Group, Inc.................................... 22,900 400,750
Pioneer Standard Electronics, Inc..................... 18,900 184,866
Pitt-Des Moines, Inc.................................. 7,200 181,800
Pittston Co. Burlington Group......................... 2,000 21,625
Pittston Co. Minerals Group........................... 10,700 16,050
*Plains Resources, Inc................................ 13,700 235,469
*Planar Systems, Inc.................................. 8,600 69,338
*#Planet Hollywood, Inc............................... 124,000 108,500
*Plasma-Therm, Inc.................................... 9,800 30,013
*Play By Play Toys and Novelties, Inc................. 5,900 30,975
*Playboy Enterprises, Inc. Class A.................... 3,800 96,425
*Playboy Enterprises, Inc. Class B.................... 15,036 437,924
*Playcore, Inc........................................ 3,936 23,124
*Players International, Inc........................... 27,550 179,936
*Plexus Corp.......................................... 11,700 358,313
*#Pluma, Inc.......................................... 6,600 825
Pocahontas Bancorp, Inc............................... 4,400 31,625
#Pogo Producing Co.................................... 32,117 588,143
*Polycom, Inc......................................... 26,500 677,406
*Polymedica Industries, Inc........................... 7,100 61,459
*Polymer Group, Inc................................... 37,500 459,375
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Pomeroy Computer Resource, Inc....................... 10,375 $ 147,844
*Pool Energy Services Co.............................. 18,900 315,984
Pope & Talbot, Inc.................................... 13,400 134,000
*Porta Systems Corp................................... 6,680 12,943
*#Possis Medical, Inc................................. 11,200 122,150
*Powell Industries, Inc............................... 5,300 52,669
*Powercerv Corp....................................... 10,600 23,188
*Powerhouse Technologies, Inc......................... 8,700 160,678
*Power-One, Inc....................................... 7,700 125,847
*Powertel, Inc........................................ 24,300 602,944
*Powerwave Technologies, Inc.......................... 15,400 355,163
*Praegitzer Industries, Inc........................... 9,500 51,656
*Prandium, Inc........................................ 21,564 12,615
*Precision Response, Corp............................. 19,200 112,800
*Precision Standard, Inc.............................. 950 3,800
Premier Bancshares, Inc............................... 3,800 79,088
*#Premier Laser Systems, Inc. Class A................. 9,900 23,977
Premier National Bancorp.............................. 6,138 105,113
*Premiere Technologies, Inc........................... 41,300 634,988
*Premisys Communications, Inc......................... 22,800 197,363
*Premiumwear, Inc..................................... 1,400 7,788
*Pre-Paid Legal Services, Inc......................... 19,200 510,000
Presidential Life Corp................................ 26,400 484,275
*Presstek, Inc........................................ 28,900 203,203
*#Preview Travel, Inc................................. 8,000 138,500
*Price Communications Corp............................ 40,258 573,677
*Pricesmart, Inc...................................... 3,500 88,375
*Pride International, Inc............................. 42,100 439,419
*Prima Energy Corp.................................... 3,500 59,609
*Primark Corp......................................... 17,200 465,475
Prime Bancorp, Inc.................................... 9,930 267,489
*Prime Hospitality Corp............................... 44,100 460,294
*Prime Medical Services, Inc.......................... 7,300 54,522
Primesource Corp...................................... 2,581 16,857
*Primix Solutions, Inc................................ 11,200 32,725
*Primus Telecommunications Group, Inc................. 25,229 420,221
*Printrak International, Inc.......................... 10,100 67,544
*Printronix, Inc...................................... 5,925 83,691
*Printware, Inc....................................... 3,900 9,263
*Priority Healthcare Corp............................. 3,538 121,398
*#Procept, Inc........................................ 347 576
*Procom Technology, Inc............................... 8,400 36,488
*Procurenet, Inc...................................... 19,700 0
*Procyte Corp......................................... 3,600 2,644
*Profit Recovery Group International, Inc............. 20,000 736,250
*Programmers Paradise, Inc............................ 3,400 37,188
Progress Financial Corp............................... 3,667 61,193
*Progress Software Corp............................... 15,450 403,631
*Project Software & Development, Inc.................. 8,800 250,800
*ProMedCo Management Company.......................... 12,000 49,125
*Prophet 21, Inc...................................... 1,500 13,406
*Protection One, Inc.................................. 4,000 21,875
*Protein Design Labs, Inc............................. 16,700 326,694
*Protocol Systems, Inc................................ 5,800 55,281
*Provant, Inc......................................... 7,000 110,250
Providence & Worcester Railroad Co.................... 800 11,400
Providence Energy Corp................................ 5,300 114,281
*#Provident American Corp............................. 8,500 220,469
Provident Bankshares Corp............................. 19,548 453,269
*Provident Financial Holdings, Inc.................... 3,300 61,359
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Proxim, Inc.......................................... 8,700 $ 332,775
*Proxymed, Inc........................................ 14,300 192,603
Psychemedics Corp..................................... 20,000 97,500
Public Service Co. of North Carolina.................. 18,200 527,800
Pulaski Furniture Corp................................ 1,300 27,138
*Pulsepoint Communications Corp....................... 3,575 19,327
*Puma Technology, Inc................................. 10,200 51,638
*Pure World, Inc...................................... 7,480 32,258
*Pyramid Breweries, Inc............................... 5,700 11,133
*QC Optics, Inc....................................... 1,900 2,256
*QEP Co., Inc......................................... 1,300 9,913
*QMS, Inc............................................. 9,600 42,600
*QRS Corp............................................. 6,000 445,500
*Qad, Inc............................................. 23,600 81,863
*Quad Systems Corp.................................... 3,600 6,863
*QuadraMed Corp....................................... 1,406 14,368
Quaker Chemical Corp.................................. 7,900 137,263
*Quaker City Bancorp, Inc............................. 2,187 36,632
*Quaker Fabric Corp................................... 14,050 70,689
*Quality Dining, Inc.................................. 10,100 30,931
*Quality Systems, Inc................................. 4,200 24,413
Quanex Corp........................................... 11,300 295,213
Queens County Bancorp................................. 18,000 568,125
*Quest Educational Corporation........................ 6,600 74,044
*Quidel Corp.......................................... 21,300 49,256
*#Quigley Corp........................................ 12,000 59,438
*Quiksilver, Inc...................................... 17,250 491,625
*Quintel Entertainment, Inc........................... 14,900 24,445
Quipp, Inc............................................ 1,400 19,250
Quixote Corp.......................................... 5,900 77,438
*Quorum Health Group, Inc............................. 5,900 73,934
*R & B, Inc........................................... 5,700 48,450
*R H Donnelley Corp................................... 20,500 389,500
*RCM Technologies, Inc................................ 9,200 133,113
*RDO Equipment Co. Class A............................ 5,500 50,875
*RF Monolithics, Inc.................................. 4,600 31,769
RLI Corp.............................................. 9,425 350,492
*RMH Teleservices, Inc................................ 5,700 16,922
RPC, Inc.............................................. 10,100 90,900
*RTI International Metals, Inc........................ 20,100 267,581
*RTW, Inc............................................. 10,800 68,850
*Racing Champions Corp................................ 14,400 248,400
*Radiance Medical Systems, Inc........................ 8,988 25,279
*Radiant Systems, Inc................................. 12,800 160,400
*Rag Shops, Inc....................................... 2,300 5,606
*Ragen Mackenzie Group, Inc........................... 10,500 110,250
*Railamerica, Inc..................................... 8,800 85,250
*Railtex, Inc......................................... 5,000 69,375
*Rainbow Technologies, Inc............................ 9,000 89,719
*Rainforest Cafe, Inc................................. 23,000 124,344
*Ralcorp Holdings, Inc................................ 29,300 553,038
*#Rally's Hamburgers, Inc............................. 18,300 12,581
Ramapo Financial Corp................................. 6,500 80,031
*Ramsay Youth Services, Inc........................... 6,400 37,400
*#Ramtron International Corp.......................... 28,800 14,850
Range Resources Corp.................................. 9,000 43,313
*Rare Hospitality International, Inc.................. 10,881 248,903
*#Rare Medium Corp.................................... 24,600 292,125
Raven Industries, Inc................................. 2,600 41,600
*Rawlings Sporting Goods, Inc......................... 7,000 69,781
*Raytech Corp. DE..................................... 2,400 8,100
*Raytel Med Corp...................................... 6,200 31,969
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Reading Entertainment, Inc........................... 4,800 $ 37,950
*Read-Rite Corp....................................... 49,000 321,563
*Recoton Corp......................................... 14,966 149,426
*Recovery Engineering, Inc............................ 4,000 54,500
*#Recycling Industries, Inc........................... 12,700 508
*Red Roof Inns, Inc................................... 17,700 318,600
*Redhook Ale Brewery, Inc............................. 6,900 27,384
Redwood Empire Bancorp................................ 2,300 59,225
*Reeds Jewelers, Inc.................................. 440 1,430
Regal Beloit Corp..................................... 18,800 437,100
*Regeneron Pharmaceuticals, Inc....................... 23,300 165,648
Regis Corp............................................ 12,025 290,479
*Rehabcare Group, Inc................................. 5,750 123,625
*Rehabilicare, Inc.................................... 7,500 22,969
*Reliability, Inc..................................... 4,800 19,650
Reliance Bancorp, Inc................................. 7,700 215,359
Reliance Steel and Aluminum Co........................ 15,000 534,375
Reliv International, Inc.............................. 7,750 14,410
*Relm Wireless Corp................................... 4,100 9,866
*Remec, Inc........................................... 22,000 285,313
*Remedy Corp.......................................... 26,300 502,166
*Remington Oil & Gas Corp............................. 14,460 60,099
*Renaissance Worldwide, Inc........................... 42,000 301,875
*Renex Corp........................................... 6,300 29,531
*Rent-A-Center, Inc................................... 20,000 515,625
*Rental Service Corp.................................. 21,299 508,533
*Rentrak Corp......................................... 9,300 36,909
*Rent-Way, Inc........................................ 15,281 383,935
*Repligen Corp........................................ 14,400 41,400
*#Reptron Electronics, Inc............................ 4,600 19,119
Republic Bancorp, Inc................................. 33,004 423,895
*Republic Bankshares, Inc............................. 7,500 143,906
*Republic First Bancorp, Inc.......................... 5,434 41,434
Republic Group, Inc................................... 9,370 167,489
Republic Security Financial Corp...................... 39,682 331,097
*#Res-Care, Inc....................................... 16,850 351,744
*Research Partners International, Inc................. 6,700 24,916
*Resound Corp......................................... 18,500 141,930
Resource America, Inc................................. 19,700 283,803
Resource Bancshares Mortgage Group, Inc............... 28,408 295,621
*Respironics, Inc..................................... 29,248 471,624
*Response Oncology, Inc............................... 10,456 33,655
*Restrac, Inc......................................... 8,000 38,500
*Rex Stores Corp...................................... 6,600 136,125
*Rexhall Industries, Inc.............................. 1,157 11,678
*Rexx Environmental Corp.............................. 800 1,000
*Ribi Immunochem Research, Inc........................ 16,400 32,288
*Ribozyme Pharmaceuticals............................. 7,300 37,755
Richardson Electronics, Ltd........................... 11,000 72,531
*Richfood Holdings, Inc............................... 7,900 101,959
Richmond County Financial Corp........................ 6,720 123,060
*Riddell Sports, Inc.................................. 7,255 21,765
*Ride, Inc............................................ 5,400 5,738
Riggs National Corp................................... 22,600 375,019
*Right Management Consultants, Inc.................... 5,300 88,113
*Right Start, Inc..................................... 2,600 21,775
*Rightchoice Managed Care, Inc. Class A............... 2,400 28,800
*Rimage Corp.......................................... 4,000 51,125
*Riverside Group, Inc................................. 1,000 1,719
Riverview Bancorp, Inc................................ 4,900 58,494
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rivianna Foods, Inc................................... 12,500 $ 251,563
*Riviera Holdings Corporation......................... 2,500 12,188
*Roadhouse Grill, Inc................................. 6,900 46,359
Roadway Express, Inc.................................. 16,400 316,725
Roanoke Electric Steel Corp........................... 9,900 158,400
Robbins & Myers, Inc.................................. 8,800 210,100
*Roberds, Inc......................................... 4,900 12,097
*Roberts Pharmaceutical Corp.......................... 25,000 475,000
*Robertson-Ceco Corp.................................. 14,518 159,698
*Robinson Nugent, Inc................................. 2,400 9,375
*Robocom Systems, Inc................................. 800 1,375
*Robotic Vision Systems, Inc.......................... 10,600 30,309
*Rochester Medical Corp............................... 4,900 54,819
*Rock Bottom Restaurants, Inc......................... 6,500 58,398
*Rock of Ages Co...................................... 2,700 28,856
*Rockshox, Inc........................................ 15,100 15,100
Rock-Tenn Co. Class A................................. 20,100 304,013
*Rocky Mountain Chocolate Factory..................... 1,900 10,866
*Rocky Shoes & Boots, Inc............................. 3,500 23,516
*Rofin-Sinar Technologies, Inc........................ 11,100 91,228
*Rogers Corp.......................................... 10,000 285,000
*Rogue Wave Software, Inc............................. 9,300 81,375
*Rohn Industries, Inc................................. 47,600 69,913
Rollins Truck Leasing Corp............................ 50,300 547,013
Rollins, Inc.......................................... 29,400 494,288
*Romac International, Inc............................. 49,300 710,228
*Ross Systems, Inc.................................... 18,600 37,781
*Rottlund, Inc........................................ 2,300 11,500
Rouge Industries, Inc. Class A........................ 12,100 105,875
Rowe Furniture Corp................................... 12,200 129,625
*Royal Appliance Manufacturing Co..................... 19,500 87,750
Royal Bancshares of Pennsylvania Class A.............. 2,754 42,859
*Royal Energy, Inc.................................... 2,300 7,619
*Royal Precision, Inc................................. 550 1,891
Ruby Tuesday, Inc..................................... 29,500 547,594
*Rural Cellular Corp. Class A......................... 7,300 119,081
*Rural/Metro Corp..................................... 13,000 96,688
*Rush Enterprises, Inc................................ 4,700 74,906
Russ Berrie & Co., Inc................................ 20,100 516,319
*Rwd Technologies, Inc................................ 13,400 214,400
*Ryans Family Steak Houses, Inc....................... 35,600 411,625
Ryland Group, Inc..................................... 11,600 322,625
*S&K Famous Brands, Inc............................... 6,500 62,766
S&T Bancorp, Inc...................................... 16,200 404,494
*S3, Inc.............................................. 46,100 309,734
*SAGA Systems, Inc.................................... 10,000 117,500
*SBE, Inc............................................. 1,900 9,975
*SBS Technologies, Inc................................ 4,500 83,250
*SCC Communications Corp.............................. 5,300 20,703
*SCP Pool Corp........................................ 9,300 176,700
SCPIE Holdings, Inc................................... 10,200 290,700
*SED International Holdings, Inc...................... 9,450 23,920
*SEEC, Inc............................................ 4,600 19,838
SEMCO Energy, Inc..................................... 14,502 204,841
*SEMX Corp............................................ 5,200 15,763
*SGV Bancorp, Inc..................................... 1,400 16,888
SI Handling, Inc...................................... 2,525 27,459
SJNB Financial Corp................................... 1,300 36,075
SJW Corp.............................................. 1,600 104,800
SL Industries, Inc.................................... 9,200 110,975
*SLI, Inc............................................. 26,600 861,175
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SM&A Corp............................................ 5,000 $ 35,625
*SMC Corp............................................. 5,600 29,050
*SOS Staffing Services, Inc........................... 11,400 69,113
*SPR, Inc............................................. 1,100 7,391
*SPS Technologies, Inc................................ 10,100 427,988
*SPSS, Inc............................................ 11,700 275,316
*SRS Labs, Inc........................................ 9,600 27,300
*SSE Telecom, Inc..................................... 3,500 4,102
*#STAR Telecommunications, Inc........................ 13,300 118,869
*STM Wireless, Inc. Class A........................... 5,900 15,856
*SVI Holdings, Inc.................................... 20,000 245,000
*#SYNC Research, Inc.................................. 15,400 7,700
*#Sabratek Corp....................................... 8,400 191,100
*Safeguard Health Enterprises, Inc.................... 4,400 12,650
*Safeskin Corp........................................ 17,600 220,000
*Safety 1st, Inc...................................... 5,900 31,344
*Safety Components International, Inc................. 4,100 21,269
*Saga Communications, Inc. Class A.................... 7,010 139,324
*Salient 3 Communications, Inc. Class A............... 2,400 19,875
*Salton/Maxim Housewares, Inc......................... 11,800 504,450
*#Samsonite Corp...................................... 8,318 52,507
*San Filippo (John B.) & Son, Inc..................... 5,000 17,344
*#Sanchez Computer Associates, Inc.................... 9,300 637,631
Sanderson Farms, Inc.................................. 11,000 146,438
*Sandisk Corp......................................... 16,000 500,000
*Sands Regent Casino Hotel............................ 2,000 3,750
*Sangstat Medical Corp................................ 12,800 177,200
*Santa Cruz Operation, Inc............................ 30,700 181,322
*Santa Fe Snyder Corp................................. 91,080 774,180
*Satcon Technology Corp............................... 8,100 62,269
*Saucony, Inc. Class A................................ 1,000 17,719
*Saucony, Inc. Class B................................ 1,500 25,406
*Savoir Technology Group, Inc......................... 9,900 95,906
*Sawtek, Inc.......................................... 19,200 763,200
*Sbarro, Inc.......................................... 18,700 509,575
*Scan-Optics, Inc..................................... 5,900 19,728
*ScanSource, Inc...................................... 4,400 92,125
Schawk, Inc. Class A.................................. 25,200 300,825
*Scheid Vineyards, Inc................................ 2,300 12,147
*#Schick Technologies, Inc............................ 9,000 39,656
*Schieb (Earl), Inc................................... 2,200 10,313
*Schlotzskys, Inc..................................... 6,200 64,713
*Schmitt Industries, Inc.............................. 9,500 27,313
Schnitzer Steel Industries, Inc. Class A.............. 4,400 66,550
*Schuff Steel Company................................. 4,500 27,844
*Schuler Homes, Inc................................... 20,100 145,725
Schulman (A.), Inc.................................... 28,500 475,594
Schultz Sav-O Stores, Inc............................. 2,550 42,075
Schweitzer-Maudoit Int'l, Inc......................... 13,500 206,719
*#Sciclone Pharmaceuticals, Inc....................... 13,700 19,694
*Scientific Games Holdings Corp....................... 8,700 156,056
Scientific Technologies, Inc.......................... 6,700 43,759
*Scios-Nova, Inc...................................... 34,487 124,477
Scotsman Industries, Inc.............................. 8,900 183,006
*Scott Technologies, Inc.............................. 14,900 281,703
*Scotts Co. Class A................................... 13,100 576,400
*Scott's Liquid Gold, Inc............................. 7,100 10,206
*Seachange International, Inc......................... 11,000 107,250
Seacoast Banking Corp. Class A........................ 1,500 49,688
*Seacoast Financial Services Corp..................... 5,746 58,358
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Seacor Smit, Inc..................................... 6,700 $ 332,488
*Seamed Corp.......................................... 4,900 55,125
*Seattle Filmworks, Inc............................... 12,900 41,522
Seaway Food Town, Inc................................. 600 10,500
*Secom General Corp................................... 140 319
Second Bancorp, Inc................................... 600 13,519
*Secure Computing Corp................................ 20,800 78,325
*Security Dynamics Technologies, Inc.................. 25,800 489,394
*Security First Technologies Corp..................... 16,800 641,550
*Seeq Technology, Inc. DE............................. 4,800 14,325
*Segue Software, Inc.................................. 23,400 148,444
*Seibels Bruce Group, Inc............................. 5,400 26,325
*Seitel, Inc.......................................... 20,400 322,575
Selas Corp. of America................................ 900 5,288
Selective Insurance Group, Inc........................ 26,200 491,250
*#Selfcare, Inc....................................... 12,000 36,000
*Semitool, Inc........................................ 11,600 98,963
*Semtech Corp......................................... 13,100 548,563
*Seneca Foods Corp. Class A........................... 200 2,850
*Seneca Foods Corp. Class B........................... 1,100 15,813
*Sensormatic Electronics Corp......................... 34,000 454,750
*Sensory Science Corp................................. 9,600 27,600
*Sequa Corp. Class A.................................. 3,600 208,350
*Sequa Corp. Class B.................................. 1,700 119,425
*Sequent Computer Systems, Inc........................ 39,100 510,744
*Sergagen Inc. (Escrow Shares)........................ 8,300 0
*Serologicals Corp.................................... 10,950 86,573
*Service Experts, Inc................................. 17,500 324,844
*#Service Merchandise Co., Inc........................ 67,800 27,544
*Servotronics, Inc.................................... 900 4,500
Sevenson Environmental Services, Inc.................. 2,080 20,930
*#Shaman Pharmaceuticals.............................. 14,000 1,680
*#Sharper Image Corp.................................. 7,600 68,875
*Sheffield Medical Technologies, Inc.................. 20,950 58,922
Shelby Williams Industries, Inc....................... 7,100 116,263
*#Sheldahl, Inc....................................... 8,500 51,266
*Shells Seafood Restaurants, Inc...................... 3,900 17,184
*Shiloh Industries, Inc............................... 6,500 80,641
*Shoe Carnival, Inc................................... 11,900 192,631
*Sholodge, Inc........................................ 3,600 17,325
*Shoney's, Inc........................................ 45,000 104,063
*#Shop At Home, Inc................................... 18,900 165,966
Shoreline Financial Corp.............................. 2,646 71,607
*Shorewood Packaging Corp............................. 22,350 382,744
*Showscan Entertainment, Inc.......................... 2,800 1,120
*Shuffle Master, Inc.................................. 6,300 43,706
*Sierra Health Services, Inc.......................... 22,427 342,012
Sierrawest Bancorp.................................... 3,570 111,674
Sifco Industries, Inc................................. 300 2,663
*Sight Resource Corp.................................. 7,100 27,734
*Sigma Designs, Inc................................... 13,000 84,906
*Sigmatron International, Inc......................... 1,400 6,650
*Signal Apparel Co., Inc. Class A..................... 6,200 7,363
*Signal Technology Corp............................... 5,100 27,413
*Signature Eyewear, Inc............................... 2,000 7,750
*Silgan Holdings, Inc................................. 15,000 302,813
*#Silicon Gaming, Inc................................. 9,600 7,200
*Silicon Storage Technology, Inc...................... 18,300 89,784
*Silicon Valley Bancshares............................ 18,500 354,391
*Silicon Valley Group, Inc............................ 29,600 408,850
*Siliconix, Inc....................................... 4,000 143,000
</TABLE>
186
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Silverleaf Resorts, Inc.............................. 10,300 $ 79,825
*Simione Central Holdings, Inc........................ 6,600 17,634
Simmons First National Corp.
Class A............................................. 4,550 152,994
*Simon Transportation Services, Inc................... 4,800 27,900
Simpson Industries, Inc............................... 17,350 174,584
*#Simula, Inc......................................... 13,900 74,713
*Sipex Corp........................................... 14,200 229,863
*Sirena Apparel Group, Inc............................ 3,400 14,556
*Sitel Corp........................................... 69,800 191,950
*Sizzler International, Inc........................... 11,500 23,000
Skaneateles Bancorp, Inc.............................. 900 21,966
Sky Financial Group, Inc.............................. 10,274 301,157
*SkyePharma P.L.C. ADR................................ 1,220 10,562
Skyline Corp.......................................... 6,599 205,833
*#SkyMall, Inc........................................ 6,800 73,738
Skywest, Inc.......................................... 19,300 447,519
Smart & Final Food, Inc............................... 17,400 166,388
*Smart Modular Technologies, Inc...................... 40,000 606,250
*#Smartalk Teleservices, Inc.......................... 23,300 0
*Smartflex Systems, Inc............................... 3,800 16,388
Smith (A.O.) Corp..................................... 12,750 310,781
Smith (A.O.) Corp. Convertible Class A................ 3,750 90,938
*Smith Micro Software, Inc............................ 2,000 4,594
*Smithway Motor Express Corp. Class A................. 2,000 20,438
Smucker (J.M.) Co. Class A............................ 11,500 237,906
Smucker (J.M.) Co. Class B............................ 13,000 227,500
*Socrates Technolgies Corp............................ 11,000 16,156
*Sodak Gaming, Inc.................................... 17,400 159,863
*Softech, Inc......................................... 3,500 8,094
*Softnet Systems, Inc................................. 7,336 190,278
*#Software Spectrum, Inc.............................. 2,600 35,181
*Sola International, Inc.............................. 23,100 385,481
Somerset Group, Inc................................... 312 5,538
*Sonic Corp........................................... 14,850 408,839
*Sonic Solutions...................................... 7,500 36,797
*Sonosight, Inc....................................... 3,633 63,350
*Sonus Pharmaceuticals, Inc........................... 7,800 46,069
*Sound Advice, Inc.................................... 3,022 9,397
*#Source Media, Inc................................... 9,600 157,500
South Jersey Industries, Inc.......................... 8,648 242,144
*Southern Energy Homes, Inc........................... 11,925 55,153
*Southern Mineral Corp................................ 8,200 3,203
*#Southern Pacific Funding Corp....................... 19,600 2,156
*Southern Union Co.................................... 26,708 604,269
*Southwall Technologies, Inc.......................... 5,400 17,128
Southwest Bancorp, Inc................................ 1,500 34,453
*Southwest Bancorporation of Texas, Inc............... 7,000 118,125
Southwest Gas Corp.................................... 22,000 621,500
Southwest Securities Group, Inc....................... 10,257 684,655
Southwest Water Co.................................... 2,730 40,268
Southwestern Energy Co................................ 21,900 206,681
*Spacehab, Inc........................................ 8,900 48,672
*Spacelabs Medical, Inc............................... 8,500 132,281
Span-American Medical System, Inc..................... 2,400 10,425
Spartan Motors, Inc................................... 14,000 80,938
Spartech Corp......................................... 23,200 565,500
*Sparton Corp......................................... 7,200 44,550
*Spatial Technology, Inc.............................. 4,600 17,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Specialty Equipment Co., Inc......................... 14,600 $ 423,400
*#SpectraLink Corp.................................... 17,000 68,531
*Spectran Corp........................................ 4,900 45,095
*Spectranetics Corp................................... 18,302 47,471
*Spectra-Physics Laser, Inc........................... 1,000 8,031
*Spectrian Corp....................................... 8,700 109,838
*Spectrum Control, Inc................................ 10,600 65,588
*#SpectRx, Inc........................................ 6,400 48,400
*SpeedFam-IPEC, Inc................................... 26,447 345,464
*Speizman Industries, Inc............................. 2,300 7,475
*#Spire Corp.......................................... 3,200 9,900
*Splash Technology Holdings, Inc...................... 4,300 34,131
*Sport Chalet, Inc.................................... 2,700 15,863
*Sport Supply Group, Inc.............................. 5,800 60,900
*Sport-Haley, Inc..................................... 3,500 15,203
*Sports Authority, Inc................................ 36,800 184,000
*Sports Club Co., Inc................................. 17,700 79,650
*Sportsman's Guide, Inc............................... 4,000 20,063
Springs Industries, Inc. Class A...................... 2,100 83,213
*Spyglass, Inc........................................ 13,500 260,297
St. Francis Capital Corp.............................. 5,800 114,731
St. John Knits, Inc................................... 16,200 463,725
St. Joseph Light & Power Co........................... 49,600 1,026,100
St. Mary Land & Exploration Co........................ 10,100 200,106
St. Paul Bancorp, Inc................................. 7,020 182,081
*Staar Surgical Co.................................... 12,100 143,688
*Stac Software, Inc................................... 5,375 31,578
*Staff Leasing, Inc................................... 22,400 255,500
*Staffmark, Inc....................................... 23,500 256,297
*Stage II Apparel Corp................................ 1,700 3,294
Standard Commercial Corp.............................. 10,329 65,847
*Standard Management Corp............................. 6,300 40,753
*Standard Microsystems Corp........................... 12,300 96,094
Standard Motor Products, Inc. Class A................. 10,400 247,650
Standard Pacific Corp. DE............................. 26,500 347,813
Standard Products Co.................................. 13,300 296,756
Standex International Corp............................ 10,500 274,313
*Stanford Telecommunications, Inc..................... 10,400 242,450
*Stanley Furniture, Inc............................... 6,600 137,775
*Star Buffet, Inc..................................... 2,800 16,975
*Star Multi Care Services, Inc........................ 4,085 5,042
*Starcraft Corp....................................... 2,500 9,766
*Starmet Corp......................................... 13,000 50,375
Starrett (L.S.) Co. Class A........................... 3,500 95,156
*Startec Global Communications Corp................... 700 5,731
*Starter Corp......................................... 24,300 30,375
State Auto Financial Corp............................. 37,700 459,469
State Financial Services Corp. Class A................ 1,872 25,799
*Station Casinos, Inc................................. 27,100 469,169
*Steel Dynamics, Inc.................................. 34,300 585,244
Steel Technologies, Inc............................... 9,000 80,719
*Stein Mart, Inc...................................... 41,100 377,606
*Steinway Musical Instruments, Inc.................... 7,100 165,519
Stepan Co............................................. 7,900 195,031
Stephan Co............................................ 2,700 13,163
*Stericycle, Inc...................................... 11,400 148,913
*Sterigenics Intl, Inc................................ 6,000 94,500
Sterling Bancorp...................................... 5,400 110,700
Sterling Bancshares................................... 18,337 230,359
*Sterling Financial Corp. WA.......................... 5,820 87,664
</TABLE>
187
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sterling Vision, Inc................................. 13,200 $ 51,563
Stewart & Stevenson Services, Inc..................... 25,000 277,344
Stewart Information Services Corp..................... 10,200 198,263
Stifel Financial Corp................................. 5,651 54,038
*Stimsonite Corp...................................... 6,400 64,200
Stone & Webster, Inc.................................. 9,800 240,100
*Stone Energy Corp.................................... 13,600 512,550
*Storage Computer Corp................................ 8,900 17,800
*#Stormedia, Inc. Class A............................. 8,200 8
*#Stratasys, Inc...................................... 4,400 16,500
*Strategia Corp....................................... 3,300 4,538
*Strategic Diagnostics, Inc........................... 1,000 3,969
*Strategic Distribution, Inc.......................... 40,292 93,805
*Strattec Security Corp............................... 4,000 123,250
*Stratus Properties, Inc.............................. 11,100 52,031
*Strawbridge and Clothier Liquidating Trust........... 4,200 935
Strayer Ed, Inc....................................... 12,400 363,475
Stride Rite Corp...................................... 56,800 592,850
*Strouds, Inc......................................... 7,200 12,150
*Structural Dynamics Research Corp.................... 32,600 578,650
*Stuart Entertainment, Inc............................ 2,700 540
Sturm Ruger & Co., Inc................................ 24,200 270,738
*Suburban Lodges of America, Inc...................... 14,300 96,078
*Success Bancshares, Inc.............................. 200 2,175
*Successories, Inc.................................... 8,000 25,000
Suffolk Bancorp....................................... 4,300 115,025
*#Sugen, Inc.......................................... 14,800 304,325
Summit Bancshares, Inc................................ 2,000 36,375
*Summit Design, Inc................................... 13,700 36,177
*Summit Technology, Inc............................... 19,208 378,758
*#Sun Healthcare Group, Inc........................... 56,083 63,093
Sun Hydraulics, Inc................................... 4,400 39,050
*Sun Television and Appliances, Inc................... 15,300 214
*Sunair Electronics, Inc.............................. 3,000 8,813
*#Sunbeam Corp........................................ 18,700 132,069
*Sunburst Hospi....................................... 3,200 17,800
*Sundance Homes, Inc.................................. 3,000 2,063
*Sunglass Hut International, Inc...................... 45,300 687,994
*Sunquest Information Systems, Inc.................... 11,800 155,613
*#Sunrise Assisted Living, Inc........................ 16,999 632,182
*Sunrise Medical, Inc................................. 21,700 180,381
*Sunrise Resources, Inc............................... 5,500 22,516
*#Sunrise Technologies International, Inc............. 42,000 544,688
*Sunterra Corp........................................ 28,700 389,244
*Superconductor Technologies, Inc..................... 5,400 15,188
*#Supergen, Inc....................................... 12,200 212,356
*Superior Consultant Holdings Corp.................... 8,200 306,475
*Superior Energy Services, Inc........................ 24,000 112,500
Superior Industries International, Inc................ 500 12,469
*Superior National Insurance Group, Inc............... 8,600 174,150
Superior Surgical Manufacturing Co., Inc.............. 9,900 133,650
Superior Telecom, Inc................................. 16,125 477,703
*Supertex, Inc........................................ 26,500 250,094
*Suprema Specialties, Inc............................. 4,600 28,319
*Supreme Industries, Inc.............................. 7,456 72,230
*Supreme International Corp........................... 4,700 50,672
*Surety Capital Corp.................................. 4,000 6,000
Susquehanna Bancshares, Inc........................... 29,493 536,404
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Swift Energy Corp.................................... 14,780 $ 191,216
*Swisher International, Inc........................... 700 788
*Swiss Army Brands, Inc............................... 6,300 52,172
*Sybase, Inc.......................................... 101,700 988,397
*Sybron Chemicals, Inc................................ 1,100 21,381
*Sykes Enterprises, Inc............................... 2,000 62,375
*Sylvan, Inc.......................................... 5,700 64,838
*Symix Systems, Inc................................... 4,800 53,850
*Symmetricom, Inc..................................... 14,300 90,269
*Symons International Group, Inc...................... 8,300 39,684
*Symphonix Devices, Inc............................... 2,800 9,188
*Syms Corp............................................ 11,900 94,456
Synalloy Corp. DE..................................... 4,300 35,475
*Synaptic Pharmaceutical Corp......................... 9,600 58,200
*Synbiotics Corp...................................... 8,100 30,881
*Syncor International Corp. DE........................ 9,000 304,875
*#Syntel, Inc......................................... 46,500 502,781
*Syntellect, Inc...................................... 12,000 18,750
*Synthetech, Inc...................................... 11,100 62,784
*Synthetic Industries, Inc............................ 8,500 190,984
*Syntroleum Corp...................................... 5,250 38,391
*Sypris Solutions, Inc................................ 2,250 20,391
*System Software Associates, Inc...................... 42,800 86,269
*Systemax, Inc........................................ 32,900 448,263
*Systems & Computer Technology Corp................... 30,600 500,119
*T-HQ, Inc............................................ 300 7,059
*T-Netix, Inc......................................... 7,200 42,750
*TALK.com, Inc........................................ 32,600 337,206
TB Woods Corp......................................... 4,700 54,931
*TBA Entertainment Corp............................... 9,000 39,656
*TBC Corp............................................. 21,250 150,742
TCBY Enterprises, Inc................................. 18,800 124,550
*TCC Industries, Inc.................................. 1,100 117
*TCI International, Inc............................... 1,200 3,488
*TCSI Corp............................................ 22,500 58,711
*TEAM America Corp.................................... 2,800 13,213
*TESSCO Technologies, Inc............................. 3,700 80,013
TF Financial Corp..................................... 2,600 53,300
*TFC Enterprises, Inc................................. 6,600 15,881
*#TII Industries, Inc................................. 5,360 9,715
TJ International, Inc................................. 13,600 368,900
*TMBR/Sharp Drilling, Inc............................. 4,300 24,859
TNP Enterprises, Inc.................................. 13,200 492,525
*TRC Companies, Inc................................... 5,600 28,350
*TRM Copy Centers Corp................................ 4,800 29,700
*#TRO Learning, Inc................................... 4,800 29,700
*TSI International, Inc............................... 19,800 436,838
TSI, Inc. MN.......................................... 8,600 90,838
*TSR, Inc............................................. 4,800 36,000
*TST/Impreso, Inc..................................... 3,600 17,550
Tab Products Co. DE................................... 4,100 26,650
*Taco Cabana, Inc..................................... 13,800 146,194
*Take Two Interactive Software........................ 17,800 145,181
Talbots, Inc.......................................... 10,000 317,500
*Tandy Brand Accessories, Inc......................... 3,700 58,853
*Tandy Crafts, Inc.................................... 11,500 38,813
*Targeted Genetics Corp............................... 37,700 61,852
*Tarrant Apparel Group................................ 10,700 325,681
Tasty Baking Co....................................... 5,375 67,188
*#Tatham Off-Shore, Inc............................... 9,400 4,113
*#Tava Technologies, Inc.............................. 16,000 117,250
</TABLE>
188
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Team, Inc............................................. 6,100 $ 20,588
Tech/Ops Sevcon, Inc.................................. 1,700 23,588
*Techdyne, Inc........................................ 4,200 16,275
*Techforce Corp....................................... 6,600 50,325
*Techne Corp.......................................... 16,600 417,075
*#Technical Chemicals & Products, Inc................. 13,000 16,047
*Technical Communications Corp........................ 400 1,063
*Technisource, Inc.................................... 7,600 45,125
Technitrol, Inc....................................... 14,600 434,350
*Technology Research Corp............................. 4,100 4,420
*Technology Solutions Corp............................ 36,750 341,086
*Tech-Sym Corp........................................ 4,900 107,494
*Tegal Corp........................................... 8,500 29,484
Tejon Ranch Co........................................ 12,000 319,500
*Tekelec.............................................. 36,400 367,413
*Telcom Semiconductor, Inc............................ 13,200 75,488
*#Telegroup, Inc...................................... 30,500 3,050
*Telescape International, Inc......................... 5,100 39,684
*Teletech Holdings, Inc............................... 54,500 407,047
*Teltrend, Inc........................................ 5,200 98,475
*#Telular Corp........................................ 3,200 10,450
Telxon Corp........................................... 12,900 135,047
*Temtex Industries, Inc............................... 2,000 4,938
Tennant Co............................................ 4,000 136,500
*#Tera Computer Co.................................... 8,100 40,753
*Terex Corp........................................... 18,700 578,531
Terra Industries, Inc................................. 95,400 375,638
*Tesoro Petroleum Corp................................ 42,200 498,488
*Tesseract Group, Inc................................. 7,600 25,888
*Tetra Tech, Inc...................................... 22,945 487,581
*Tetra Technologies, Inc.............................. 13,200 112,200
*Texas Biotechnology Corp............................. 28,600 112,613
Texas Industries, Inc................................. 17,000 618,375
*Texas Micro, Inc..................................... 10,800 68,513
Texas Regional Banchshares, Inc. Class A.............. 11,500 313,375
*Thackeray Corp....................................... 3,600 13,050
The Dexter Corp....................................... 20,900 809,875
*Theragenics Corp..................................... 17,500 131,250
*Thermatrix, Inc...................................... 5,400 17,888
*Thermedics, Inc...................................... 31,100 268,238
*Thermo Bioanalysis Corp.............................. 14,700 268,275
*Thermo Cardiosystems, Inc............................ 29,900 356,931
*Thermo Ecotek Corp................................... 21,100 224,188
*Thermo Fibergen, Inc................................. 6,800 79,900
*#Thermo Fibertek, Inc................................ 52,900 393,444
*Thermo Optek Corp.................................... 39,700 406,925
*Thermo Power Corp.................................... 9,000 104,063
*Thermo Sentron, Inc.................................. 7,900 104,675
*Thermo Terratech, Inc................................ 12,000 69,000
*Thermolase Corp...................................... 32,700 77,663
*ThermoQuest Corp..................................... 40,800 520,200
Thermoretec Corp...................................... 8,100 33,413
*Thermospectra Corp................................... 12,300 189,881
*Thermotrex Corp...................................... 14,900 121,994
*Thermwood Corp....................................... 200 1,394
*Thomas Group, Inc.................................... 5,300 47,038
Thomas Industries, Inc................................ 12,850 260,213
Thomaston Mills, Inc.................................. 1,900 5,759
Thor Industries, Inc.................................. 9,750 256,547
*Thoratec Laboratories Corp........................... 16,300 134,475
*#Thorn Apple Valley, Inc............................. 4,600 7,763
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Three-Five Systems, Inc.............................. 7,100 $ 95,406
*Thrustmaster, Inc.................................... 3,100 76,434
*Tier Technologies, Inc. Class B...................... 3,000 21,234
*Timberland Bancorp, Inc.............................. 4,100 47,022
*Timberland Co. Class A............................... 7,200 466,200
Timberline Software Corp.............................. 17,400 293,625
*Tipperary Corp....................................... 10,500 17,719
*Titan Corp........................................... 29,590 234,871
Titan International, Inc.............................. 19,100 179,063
*Titan Pharmaceuticals, Inc........................... 9,600 28,800
Titanium Metals Corp.................................. 26,100 182,700
*Today's Man, Inc..................................... 4,300 5,509
*Todd Shipyards Corp.................................. 7,900 42,463
Todd-AO Corp. Class A................................. 220 1,561
*Toddhunter International, Inc........................ 3,900 32,175
*Tokheim Corp......................................... 14,000 138,250
*Tollgrade Communications, Inc........................ 6,300 96,863
Tompkins County Trustco, Inc.......................... 330 10,725
*Topps, Inc........................................... 41,800 265,169
*#Tops Appliance City, Inc............................ 4,400 4,881
*#Toreador Royalty Corp............................... 2,500 8,047
Toro Co............................................... 11,600 389,325
*Total Entertainment Restaurant Corp.................. 9,400 29,375
*Total-Telephone USA Communications, Inc.............. 3,000 53,063
*Tower Air, Inc....................................... 13,300 34,081
*Toymax International, Inc............................ 6,400 34,400
*Track 'n Trail, Inc.................................. 4,900 9,953
*Tractor Supply Co.................................... 7,000 207,813
*Trailer Bridge, Inc.................................. 5,000 12,734
*Trak Auto Corp....................................... 4,300 37,088
*Trammell Crow Co..................................... 6,000 110,625
*#Trans World Airlines, Inc........................... 51,500 267,156
*Trans World Entertainment Corp....................... 49,800 631,838
*Transact Technologies, Inc........................... 5,007 22,844
*Transaction Network Services, Inc.................... 10,600 282,225
*Transcend Services, Inc.............................. 15,000 22,031
*Transcoastal Marine Services, Inc.................... 8,900 38,659
*#Transcrypt International, Inc....................... 7,800 15,722
*Transfinancial Holdings, Inc......................... 3,300 14,850
*Transition Analysis Component Technology............. 299 3,289
*#Transkaryotic Therapies, Inc........................ 15,300 459,956
*Transmation, Inc..................................... 6,700 24,078
*Transmedia Network, Inc.............................. 10,000 37,500
*Transmontaigne Oil Co................................ 27,400 387,025
*Transport Industries, Inc............................ 1,000 8,063
*Transportation Components, Inc....................... 17,000 55,250
Transpro, Inc......................................... 5,300 28,156
Transtechnology Corp.................................. 3,800 74,100
*#Transtexas Gas Corp................................. 48,400 18,150
*Transwitch Corp...................................... 12,800 596,800
*Transworld Healthcare, Inc........................... 16,800 66,150
*Travel Ports of America, Inc......................... 3,718 15,627
*Travel Services International, Inc................... 10,500 86,297
*#Travis Boats & Motors, Inc.......................... 2,600 38,675
*TreeSource Industries, Inc........................... 4,400 1,375
*Trega Biosciences, Inc............................... 10,100 18,622
Tremont Corp. DE...................................... 5,100 99,450
*Trend-Lines, Inc. Class A............................ 3,300 7,631
*Trendwest Resorts, Inc............................... 5,200 121,550
Trenwick Group, Inc................................... 3,900 121,144
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trex Medical Corp.................................... 30,700 $ 197,631
*Triad Guaranty, Inc.................................. 10,600 160,988
Triangle Bancorp, Inc................................. 20,100 336,675
*#Triangle Pharmaceuticals, Inc....................... 23,100 426,628
*Triarc Companies, Inc. Class A....................... 22,200 452,325
Trico Bancshares...................................... 4,950 88,945
*Trico Marine Services, Inc........................... 21,300 152,428
*#Trident Microsystems, Inc........................... 10,800 73,575
*Tridex Corp.......................................... 4,200 11,419
Trigen Energy Corp.................................... 10,500 171,281
*Trimark Holdings, Inc................................ 1,700 9,403
*Trimble Navigation, Ltd.............................. 18,200 228,069
*Trimedyne, Inc....................................... 5,400 7,003
*Trimeris, Inc........................................ 10,500 142,078
*Trinitec Systems, Inc. Class A....................... 6,900 98,325
Trion, Inc............................................ 5,700 24,047
*Triple S Plastics, Inc............................... 700 3,653
*Tripos, Inc.......................................... 2,600 20,475
*Triquint Semiconductor, Inc.......................... 7,500 264,141
*Trism, Inc........................................... 2,900 2,266
*#Tristar Corp........................................ 1,000 6,766
*Triumph Group........................................ 7,900 241,938
*Tropical Sportswear International Corp............... 4,100 112,238
*#Trump Hotels & Casino Resorts, Inc.................. 22,200 117,938
Trust Co. of New Jersey............................... 15,500 346,813
Trustco Bank Corp. NY................................. 21,426 590,554
*Tuboscope Vetco International, Inc................... 45,400 607,225
*Tultex Corp.......................................... 19,100 14,325
*Turner Corp.......................................... 4,650 80,794
Tuscarora, Inc........................................ 8,500 111,563
Twin Disc, Inc........................................ 1,400 26,600
*Twinlab Corp......................................... 26,200 239,894
*Tyler Technologies, Inc.............................. 30,800 184,800
U.S. Bancorp, Inc..................................... 11,200 174,300
*U.S. Bioscience, Inc................................. 21,400 172,538
*#U.S. Diagnostic, Inc................................ 18,000 26,719
U.S. Freightways Corp................................. 2,000 78,938
*U.S. Home & Garden, Inc.............................. 23,700 121,463
*U.S. Office Products, Co............................. 32,900 171,183
*U.S. Vision, Inc..................................... 3,000 14,953
*UFP Technologies, Inc................................ 2,300 9,200
UGI Corp.............................................. 23,500 462,656
*URS Corp............................................. 12,000 295,500
*US Can Corp.......................................... 11,500 205,563
*US LEC Corp.......................................... 7,800 152,344
*US Liquids, Inc...................................... 5,800 104,400
*US Xpress Enterprises, Inc. Class A.................. 9,114 109,368
*#USA Detergents, Inc................................. 18,100 93,328
*USA Floral Products, Inc............................. 13,400 96,313
*USA Truck, Inc....................................... 1,900 17,397
*USCI, Inc............................................ 7,700 3,619
*USData Corp.......................................... 8,950 31,884
*UTI Energy Corp...................................... 14,500 208,438
*Ubics, Inc........................................... 2,700 12,066
*#Ugly Duckling Corp.................................. 14,900 112,216
*Ultimate Electronics, Inc............................ 6,900 99,403
*Ultradata Corp....................................... 6,200 43,206
*#Ultradata Systems, Inc.............................. 2,000 3,750
*Ultrafem, Inc........................................ 6,400 224
*Ultrak, Inc.......................................... 11,600 75,763
*Ultralife Batteries, Inc............................. 10,900 49,391
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ultratech Stepper, Inc............................... 18,700 $ 244,269
*#Unapix Entertainment, Inc........................... 6,100 18,300
*Unicapital Corp...................................... 14,000 78,750
Unico American Corp................................... 5,000 53,438
*UniComp, Inc......................................... 6,400 38,000
Unifirst Corp......................................... 500 9,000
*Uniflex, Inc......................................... 2,000 14,000
*Unify Corp........................................... 6,800 94,563
*Unigene Laboratories, Inc............................ 25,900 17,402
*Unilab Corp.......................................... 32,600 173,188
*#Unimark Group, Inc.................................. 6,200 21,991
*Uni-Marts, Inc....................................... 6,500 13,000
*Unimed Pharmaceuticals, Inc.......................... 8,100 74,672
*Union Acceptance Corp. Class A....................... 3,500 24,063
*Unique Casual Restaurants, Inc....................... 9,300 36,619
*Unique Mobility, Inc................................. 12,700 58,738
*Uniroyal Technology Corp............................. 11,600 109,838
*Unisource Energy Corp................................ 28,980 362,250
Unisource Worldwide, Inc.............................. 73,000 857,750
*Unit Corp............................................ 24,000 142,500
*United American Healthcare Corp.,.................... 5,300 7,288
#United Companies Financial Corp...................... 25,900 2,849
United Financial Corp. MN............................. 400 9,150
United Fire Casualty Co............................... 5,400 139,219
*United Foods, Inc. Class A........................... 54 172
United Guardian, Inc.................................. 1,900 7,125
United Illuminating Co................................ 1,900 83,244
United Industrial Corp................................ 10,700 123,050
United National Bancorp............................... 12,110 275,124
*United Natural Foods, Inc............................ 16,300 439,081
*United Payors & United Providors, Inc................ 14,400 269,550
*#United Retail Group, Inc............................ 10,500 151,594
*#United States Energy Corp........................... 5,600 21,875
*United States Home Corp.............................. 10,600 365,700
United Water Resources, Inc........................... 29,500 641,625
United Wisconsin Services, Inc........................ 13,600 93,500
*Unitel Video, Inc.................................... 700 963
Unitil Corp........................................... 3,400 79,475
*Unitrode Corp........................................ 28,500 593,156
Unity Bancorp, Inc.................................... 2,600 28,600
*Universal American Financial Corp.................... 4,400 15,400
*Universal Electronics, Inc........................... 5,200 129,025
Universal Forest Products, Inc........................ 15,800 285,388
*#Universal International, Inc........................ 7,500 19,453
*Universal Seismic Association, Inc................... 1,600 88
*Universal Stainless & Alloy Products, Inc............ 4,700 28,200
*Universal Standard Medical Labs, Inc................. 2,500 781
*Uno Restaurant Corp.................................. 8,700 67,969
*Urban Outfitters, Inc................................ 16,200 387,788
*Urocor, Inc.......................................... 10,400 57,200
*Urogen Corp. (Restricted)............................ 2,100 564
*Urologix, Inc........................................ 12,600 38,194
*Uromed Corp. New..................................... 4,720 7,154
*Uroquest Medical Corp................................ 8,000 12,750
*Utah Medical, Inc.................................... 6,300 47,644
*Utilx Corp........................................... 5,600 18,200
*#V-ONE Corp.......................................... 19,400 43,347
*VDI Media............................................ 8,800 56,650
*VLSI Technology, Inc................................. 41,800 873,881
*VRB Bancorp.......................................... 2,000 15,500
</TABLE>
190
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*VTEL Corp............................................ 17,000 $ 83,938
*VWR Scientific Products Corp......................... 23,900 682,644
*#Valence Technology, Inc............................. 23,000 171,781
*#Valentis, Inc....................................... 14,766 63,678
*Vallen Corp.......................................... 6,200 101,525
Valley Resources, Inc................................. 2,600 29,575
Valmont Industries, Inc............................... 23,200 379,900
*Value City Department Stores, Inc.................... 28,900 276,356
Value Line, Inc....................................... 4,000 149,500
*Valuevision International, Inc.
Class A............................................. 22,900 349,225
*Vans, Inc............................................ 12,000 130,500
*Vantive Corp......................................... 25,500 279,703
*Varco International, Inc............................. 28,000 255,500
*#Vari L Co., Inc..................................... 6,500 49,156
*Varian Medical Systems, Inc.......................... 6,000 112,875
*Variflex, Inc........................................ 5,100 24,544
Varlen Corp........................................... 13,081 494,625
*Vectra Technologies, Inc............................. 2,700 61
*Venator Group, Inc................................... 24,800 271,250
*Vencor, Inc.......................................... 38,500 26,469
*#Ventana Medical Systems, Inc........................ 15,500 309,516
*Venture Stores, Inc.................................. 13,300 166
*Venturian Corp....................................... 300 1,791
*Veramark Technologies, Inc........................... 5,900 36,506
*Verdant Brands, Inc.................................. 10,585 10,420
*Verilink Corp........................................ 5,300 17,391
*Veritas DGC, Inc..................................... 21,000 383,250
*Verity, Inc.......................................... 9,600 316,500
Vermont Financial Services Corp....................... 9,900 309,994
*Versant Object Technology Corp....................... 6,500 10,766
*Versar, Inc.......................................... 2,000 4,500
*Vertel Corp.......................................... 19,300 39,203
*Vertex Communications Corp........................... 3,100 45,919
*#Vertex Pharmaceuticals, Inc......................... 22,800 456,713
Vesta Insurance Group, Inc............................ 14,800 74,925
*Vestcom Int'l, Inc................................... 9,600 55,800
*Veterinary Centers of America, Inc................... 17,400 241,969
*Viagrafix Corp....................................... 2,500 15,391
*Viasat, Inc.......................................... 5,400 60,581
*Viasoft, Inc......................................... 16,100 62,891
*Viatel, Inc.......................................... 18,500 830,188
*Vical, Inc........................................... 13,000 155,188
*Vicon Industries, Inc................................ 3,600 33,075
*Vicor Corp........................................... 27,300 456,422
*Vicorp Restaurants, Inc.............................. 7,300 119,538
*Vidamed, Inc......................................... 5,400 12,994
*Video Display Corp................................... 2,300 10,853
*Video Services Corp.................................. 2,000 4,375
*Video Update, Inc.................................... 24,300 21,642
*Videonics, Inc....................................... 3,600 3,375
*Vidioserver, Inc..................................... 11,600 151,888
*View Technology, Inc................................. 3,900 6,825
*Viisage Technology, Inc.............................. 6,500 8,531
Vintage Petroleum, Inc................................ 51,500 579,375
*Virbac Corp.......................................... 1,600 1,850
Virco Manufacturing Corp.............................. 7,838 150,882
*Virginia Gas Co...................................... 2,200 9,694
*Virtualfund.Com, Inc................................. 13,020 20,751
*Vision Sciences, Inc................................. 5,100 7,172
*Vista Eyecare, Inc................................... 18,400 98,900
*Vista Medical Technologies, Inc...................... 131,400 209,419
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vital Signs, Inc...................................... 11,100 $ 212,981
*Vitalcom, Inc........................................ 6,000 12,000
*#Vitech America, Inc................................. 13,190 112,527
*Vivid Technologies, Inc.............................. 8,500 25,766
*#Vivus, Inc.......................................... 29,900 127,075
*Vlasic Foods International, Inc...................... 14,000 105,875
*Vodavi Technology, Inc............................... 2,600 6,906
*Voice Control Systems, Inc........................... 11,000 42,109
*Volt Information Sciences, Inc....................... 13,400 231,150
Vulcan International Corp............................. 700 25,900
*Vysis, Inc........................................... 13,000 47,328
WD-40 Co.............................................. 12,400 318,525
WFS Financial, Inc.................................... 23,100 271,425
*WHX Corp............................................. 16,700 125,250
*WLR Foods, Inc....................................... 14,598 111,766
*WMF Group, Ltd....................................... 3,300 20,934
*WMS Industries, Inc.................................. 32,300 438,069
*WPI Group, Inc....................................... 5,300 20,869
Wabash National Corp.................................. 18,400 350,750
#Wackenhut Corp. Class A.............................. 2,700 62,100
Wackenhut Corp. Class B Non-Voting.................... 9,950 190,916
*Wackenhut Corrections Corp........................... 17,800 356,000
*Walbro Corp.......................................... 5,300 103,350
*Walker Interactive Systems, Inc...................... 16,000 54,500
*Wall Data, Inc....................................... 8,300 83,778
*Wall Street Deli, Inc................................ 1,500 6,094
*Walter Industries, Inc............................... 3,000 39,375
*Warrantech Corp...................................... 12,100 41,027
Warren Bancorp, Inc................................... 6,300 51,188
*Washington Homes, Inc................................ 6,500 51,188
Washington Savings Bank FSB Waldorf, MD............... 1,600 6,400
*Waste Industries, Inc................................ 9,200 148,063
*Waterlink, Inc....................................... 5,800 23,563
Waters Instruments, Inc............................... 200 975
Watkins-Johnson Co.................................... 3,900 96,525
Watsco, Inc. Class A.................................. 42,800 826,575
Watsco, Inc. Class B.................................. 1,350 25,650
Watts Industries, Inc. Class A........................ 19,100 323,506
*Wave Technologies International, Inc................. 2,500 10,547
*Wavephore, Inc....................................... 22,600 149,725
*Waxman Industries, Inc............................... 5,300 1,988
Webb (Del) Corp....................................... 15,800 355,500
*Webco Industries, Inc................................ 3,800 20,425
*Weirton Steel Corp................................... 34,300 81,463
Wellman, Inc.......................................... 38,500 524,563
*Wells-Gardner Electronics Corp....................... 3,150 9,253
Werner Enterprises, Inc............................... 40,362 775,707
Wesbanco, Inc......................................... 16,750 490,984
*Wesley Jessen Vision Care, Inc....................... 14,700 456,159
West Coast Bancorp.................................... 11,322 198,489
*West Coast Entertainment Corp........................ 7,000 2,818
*West Marine, Inc..................................... 14,300 183,219
West Pharmaceutical Services, Inc..................... 13,600 466,650
*West Teleservices Corp............................... 12,700 95,250
*Westaff, Inc......................................... 14,400 96,300
Westcorp, Inc......................................... 22,996 214,150
*#Westell Technologies, Inc........................... 16,500 113,953
Westerfed Financial Corp.............................. 3,900 65,691
Western Bancorp....................................... 4,848 197,102
*Western Beef, Inc.................................... 3,800 24,225
*Western Digital Corp................................. 4,000 31,500
</TABLE>
191
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Western Gas Resources, Inc............................ 28,900 $ 375,700
Western Ohio Financial Corp........................... 900 23,063
*Western Power & Equipment Corp....................... 2,600 7,475
*Western Water Co..................................... 10,900 37,469
Westinghouse Air Brake Co............................. 20,100 459,788
*Weston (Roy F.), Inc. Class A........................ 5,400 16,031
Westwood Homestead Financial Corp..................... 1,000 11,500
*Wet Seal, Inc. Class A............................... 9,500 262,438
*White Cap Industries, Inc............................ 7,100 94,297
*White Electronics Designs Corp....................... 11,700 18,281
*White Pine Software, Inc............................. 12,400 52,313
*Whitman Education Group, Inc......................... 12,200 64,813
*Whittaker Corp....................................... 9,200 247,250
*Wickes Lumber Co..................................... 5,500 28,359
*Wild Oats Markets, Inc............................... 10,700 314,313
*Williams Clayton Energy, Inc......................... 7,100 46,372
*Williams Controls, Inc............................... 12,400 38,750
*Willis Lease Finance Corp............................ 4,300 69,875
*Wilmar Industries, Inc............................... 16,900 192,766
*#Wilshire Financial Services Group, Inc.............. 10,600 3,809
*Wilshire Oil Co. of Texas............................ 7,107 29,316
*Wilsons The Leather Experts, Inc..................... 6,700 83,122
*Wind River Systems, Inc.............................. 21,700 456,378
*Windmere Corp........................................ 17,500 229,688
Winnebago Industries, Inc............................. 19,300 318,450
*Winsloew Furniture, Inc.............................. 4,500 144,844
*Wireless Telecom Group, Inc.......................... 15,600 31,200
Wiser Oil Co.......................................... 8,100 26,325
Wolohan Lumber Co..................................... 4,100 50,994
*Wolverine Tube, Inc.................................. 13,000 309,563
Wolverine World Wide, Inc............................. 39,400 531,900
Woodhead Industries, Inc.............................. 10,500 132,563
*Woodward Governor Co................................. 7,800 194,756
*Workflow Management, Inc............................. 8,800 111,925
*Workgroup Technology Corp............................ 5,800 10,694
*World Acceptance Corp................................ 15,400 86,625
*World Access, Inc.................................... 29,072 331,603
*#World Airways, Inc.................................. 4,800 8,475
World Fuel Services Corp.............................. 11,300 146,194
*World of Science, Inc................................ 2,900 7,567
*Worldtalk Communications Corp........................ 8,500 29,484
*Worldtex, Inc........................................ 13,200 35,475
Worthington Foods, Inc................................ 9,644 141,948
*Wyant Corp........................................... 266 756
*Wyman-Gordon Co...................................... 30,900 596,756
Wynns International, Inc.............................. 15,450 279,066
X-Rite, Inc........................................... 16,900 118,828
*#XCL, Ltd............................................ 18,300 24,019
*Xeta Corp............................................ 1,000 24,375
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Xetel Corp........................................... 9,000 $ 25,313
*Xicor, Inc........................................... 14,700 21,131
*Xionics Document Technologies, Inc................... 9,700 35,163
*Xircom, Inc.......................................... 16,800 422,100
*Xoma, Ltd............................................ 44,700 209,531
*Xtra Corp............................................ 5,000 222,500
Yankee Energy Systems, Inc............................ 8,500 268,281
Yardville National Bancorp............................ 3,655 45,459
*Yellow Corp.......................................... 21,900 372,300
York Financial Corp................................... 6,563 100,086
York Group, Inc....................................... 6,200 47,469
*York Research Corp................................... 11,200 70,350
*Young Broadcasting, Inc. Class A..................... 10,000 406,875
*Zamba Corporation.................................... 20,000 46,250
*Zaring National Corp................................. 1,900 15,913
*Zebra Technologies Corp. Class A..................... 15,500 496,969
*Zebra Technologies Corp. Class B..................... 4,680 150,053
*Zemex Corp........................................... 6,794 42,463
Zenith National Insurance Corp........................ 13,600 309,400
*Zevex International, Inc............................. 2,000 10,500
*#Zila, Inc........................................... 2,557 9,069
*Zing Technologies, Inc............................... 1,500 12,281
*#Zitel Corp.......................................... 13,800 23,503
*Zoll Medical Corp.................................... 5,200 64,188
*#Zoltek Companies, Inc............................... 13,000 101,156
*#Zonagen, Inc........................................ 8,100 87,075
*Zoran Corp........................................... 7,900 79,494
*Zygo Corp............................................ 8,800 69,850
*Zymetx, Inc.......................................... 1,500 3,094
*#eFax.com, Inc....................................... 9,900 143,241
------------
TOTAL COMMON STOCKS
(Cost $546,580,704).................................. 541,027,033
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants 06/30/99... 2,525 0
*#Arch Communications Warrants 09/01/03............... 30,420 0
*Ascent Assurance, Inc. Warrants 01/01/04............. 581 0
*CSF Holdings, Inc. Litigation Rights 12/30/99........ 3,250 0
*#Intercontinental Telecom Corp. Warrants 04/30/02.... 13,190 0
*Millicom, Inc. Contingent Value Rights............... 10,100 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 11,500 0
*Xinetix, Inc. Warrants 03/17/03...................... 332 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $29,640)....................................... 0
------------
</TABLE>
192
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $10,520,775) to be
repurchased at $10,363,294.
(Cost $10,358,000).................................. $ 10,358 $ 10,358,000
------------
TOTAL -- UNITED STATES
(Cost $556,969,193).................................. 551,385,033
------------
SHARES
------------
UNITED KINGDOM -- (0.0%)
COMMON STOCKS -- (0.0%)
*Peptide Therapeutics Group P.L.C..................... 2,800 4,218
------------
TOTAL INVESTMENTS -- (100.0%)(Cost $556,971,500)++..... $551,389,251
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $560,405,168.
</TABLE>
See accompanying Notes to Financial Statements.
193
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED STATES -- (100.0%)
COMMON STOCKS -- (97.6%)
*3-D Systems Corp..................................... 85,200 $ 481,912
*3D0 Co............................................... 167,200 872,575
*3Dfx Interactive, Inc................................ 86,947 1,679,164
*4Front Software International, Inc................... 45,800 460,862
*#7Th Level, Inc...................................... 76,300 450,647
*800-Jr Cigar, Inc.................................... 5,700 52,191
*8X8, Inc............................................. 44,200 205,806
*#A Consulting Team, Inc.............................. 8,600 69,875
*A.C. Moore Arts & Crafts, Inc........................ 20,000 135,000
*AAON, Inc............................................ 45,590 482,969
ABC Bancorp........................................... 34,825 487,550
*ABC Rail Products Corp............................... 68,000 992,375
*ACT Manufacturing, Inc............................... 48,700 690,931
*ACT Networks, Inc.................................... 71,600 1,445,425
*ADE Corp............................................. 74,100 720,159
*AEP Industries, Inc.................................. 40,050 1,514,391
*AFC Cable Systems, Inc............................... 30,725 1,054,252
*AG Services America, Inc............................. 24,650 437,537
*AML Communications, Inc.............................. 28,900 43,802
*AMX Corp............................................. 46,800 498,712
*APAC Teleservices, Inc............................... 52,200 194,119
*ARI Network Services, Inc............................ 32,775 124,955
*ARIS Corp............................................ 1,500 12,891
*ARV Assisted Living, Inc............................. 118,200 458,025
ASB Financial Corp.................................... 4,500 51,750
*ASV, Inc............................................. 25,050 487,692
*ATS Medical, Inc..................................... 154,900 1,190,794
*AVT Corporation...................................... 57,400 1,919,312
#Aames Financial Corp................................. 6,200 8,912
*Aavid Thermal Technologies, Inc...................... 44,100 882,000
*Abaxis, Inc.......................................... 83,200 179,400
Abington Bancorp, Inc................................. 36,800 530,150
*Abiomed, Inc......................................... 44,500 714,781
*#Able Telcom Holding Corp............................ 60,900 443,428
Abrams Industries, Inc................................ 17,100 67,331
*Abraxas Petroleum Corp............................... 50,000 106,250
*#Acacia Research Corp................................ 39,100 199,166
*Accel International Corp............................. 97,293 197,626
*Accelr8 Technology Corp.............................. 76,500 207,984
*Access Worldwide Communications, Inc................. 74,000 561,937
*Acclaim Entertainment, Inc........................... 38,500 248,445
*Ace Cash Express, Inc................................ 54,725 807,194
*Ace Comm Corp........................................ 60,100 231,009
Aceto Corp............................................ 38,966 457,850
*Acme Electric Corp................................... 32,784 178,263
*Acme United Corp..................................... 28,707 57,414
*Acorn Products, Inc.................................. 14,100 74,906
*Active Apparel Group, Inc............................ 5,600 15,050
*Active Voice Corp.................................... 25,600 352,000
*Activision, Inc...................................... 107,500 1,441,172
*#Actrade International, Ltd.......................... 40,200 526,369
*Adac Laboratories.................................... 12,200 97,219
*#Adam Software, Inc.................................. 16,500 270,187
Adams Resources & Energy, Inc......................... 74,150 574,662
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*Adaptive Broadband Corp.............................. 64,600 $ 1,021,487
*Adept Technology, Inc................................ 79,000 575,219
*Adflex Solutions, Inc................................ 75,800 172,919
*Administaff, Inc..................................... 90,000 1,440,000
*Adrien Arpel, Inc.................................... 402 58
*Advance Lighting Technologies, Inc................... 14,000 100,406
*Advance Paradigm, Inc................................ 22,400 1,082,200
*#Advanced Aerodynamics & Structures, Inc............. 5,000 17,031
*Advanced Communications Group, Inc................... 57,500 578,594
*Advanced Communications Systems, Inc................. 4,800 58,200
*Advanced Digital Information Corp.................... 84,100 2,278,584
*#Advanced Health Corp................................ 86,700 396,923
*Advanced Magnetics, Inc.............................. 57,550 223,006
Advanced Marketing Services, Inc...................... 57,000 894,187
*Advanced Neuromodulation Systems, Inc................ 98,928 673,947
*Advanced Polymer Systems, Inc........................ 162,000 815,062
*Advanced Radio Telecom Corp.......................... 51,800 582,750
*Advanced Technical Products, Inc..................... 1,800 23,850
*#Advanced Tissue Sciences, Inc....................... 100,900 387,834
*Advantica Restaurant Group, Inc...................... 329,000 1,516,484
*Advent Software, Inc................................. 13,000 905,937
Advest Group, Inc..................................... 46,700 974,862
*Advocat, Inc......................................... 50,700 104,569
*Aegis Communications Group........................... 26,000 28,031
*Aehr Test Systems.................................... 29,300 116,284
*Aeroflex, Inc........................................ 104,452 1,521,082
*Aerosonic Corp. DE................................... 22,200 310,800
*Aerovox, Inc......................................... 41,800 99,275
*Aetrium, Inc......................................... 53,400 415,519
*Aftermarket Technology Corp.......................... 30,200 330,312
*Ag-Chem Equipment Co., Inc........................... 48,700 553,962
*#Agritope, Inc....................................... 16,500 26,812
*Air Methods Corp..................................... 45,400 97,894
*Airnet Systems, Inc.................................. 24,500 258,781
*Airtran Holdings, Inc................................ 8,500 40,109
*Akorn, Inc........................................... 104,300 485,647
*Aksys, Ltd........................................... 5,000 24,609
Alabama National Bancorporation....................... 14,100 339,722
Alamo Group, Inc...................................... 52,000 477,750
*Alaris Medical, Inc.................................. 82,600 409,128
Alba-Waldensian, Inc.................................. 31,500 822,937
*Alcide Corp.......................................... 15,300 289,744
*Aldila, Inc.......................................... 99,700 196,284
*Alexion Pharmaceuticals, Inc......................... 67,300 647,762
Alico, Inc............................................ 55,700 898,162
*Align-Rite International, Inc........................ 31,000 403,000
*All American Semiconductor, Inc...................... 38,400 29,400
*Allcity Insurance Co................................. 200 1,825
Allen Organ Co. Class B............................... 4,700 169,200
*Allen Telecom, Inc................................... 65,900 687,831
Alliance Bancorp...................................... 48,200 1,176,381
Alliance Bancorp of New England, Inc.................. 399 3,990
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*Alliance Gaming Corp................................. 90,568 $ 365,102
*Alliance Pharmaceuticals Corp........................ 180,700 530,806
*Alliance Semiconductor Corp.......................... 109,200 522,112
*Allied Healthcare Products, Inc...................... 66,800 131,512
*Allied Holdings, Inc................................. 66,435 473,349
Allied Products Corp.................................. 99,841 517,925
*Allied Research Corp................................. 41,040 289,845
*Allin Communications Corp............................ 53,300 143,244
*#Allou Health & Beauty Care, Inc. Class A............ 30,000 211,875
*Allstars Systems, Inc................................ 35,000 57,969
*Allstate Financial Corp.............................. 12,100 77,327
*Alltrista Corp....................................... 40,874 1,118,926
*Alpha Industries, Inc................................ 130,050 4,531,430
*Alpha Microsystems, Inc.............................. 62,300 469,197
*Alpha Technologies Group, Inc........................ 107,200 391,950
*Alphanet Solutions, Inc.............................. 41,300 163,909
*Alpine Group, Inc.................................... 69,544 1,121,397
*#Alta Gold Co........................................ 127,043 63,521
*Alteon, Inc.......................................... 125,300 99,848
*Alternative Resources Corp........................... 157,300 1,204,328
*Alydaar Software Corp................................ 3,500 13,125
*#Alyn Corp........................................... 95,500 216,367
Ambanc Holding Co., Inc............................... 49,400 859,869
*Ambassadors, Inc..................................... 84,900 1,209,825
Amcast Industrial Corp................................ 45,600 766,650
*Amedisys, Inc........................................ 13,700 30,397
*America Online, Inc.................................. 9,716 1,159,906
*America Services Group, Inc.......................... 29,000 346,187
American Bancorporation Ohio.......................... 800 15,400
American Bank of Connecticut.......................... 24,000 504,000
*#American Banknote Corp.............................. 104,400 39,150
American Biltrite, Inc................................ 57,850 1,185,925
*American Claims Evaluation, Inc...................... 3,100 6,200
*American Classic Voyages Co.......................... 107,000 1,879,187
*American Coin Merchandising, Inc..................... 28,300 203,406
*American Ecology Corp................................ 82,700 232,594
*American Educational Products, Inc................... 2,760 27,772
*American Healthcorp, Inc............................. 68,700 562,481
*American Homepatient, Inc............................ 20,100 39,886
*American Homestar Corp............................... 82,218 601,219
*American Indemnity Financial Corp.................... 16,700 230,147
*#American International Petroleum Corp............... 100,100 107,920
*American Locker Group, Inc........................... 35,200 370,700
*American Medical Electronics, Inc. (Escrow-Bonus).... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 102,100 0
*#American Mobile Satellite Corp...................... 207,200 2,933,175
*American Pacific Corp................................ 73,500 597,187
*American Pad & Paper Co.............................. 156,400 366,562
*American Physician Partners, Inc..................... 130,000 792,187
*American Physicians Services Group, Inc.............. 46,800 168,187
*American Precision Industries, Inc................... 160,375 1,814,242
*American Science & Engineering, Inc.................. 75,000 684,375
*American Shared Hospital Services.................... 14,800 42,550
*American Software, Inc. Class A...................... 140,800 409,200
American States Water Company......................... 55,000 1,467,812
*American Superconductor Corp......................... 122,200 1,550,412
*American Technical Ceramics Corp..................... 21,000 143,062
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*#American Wagering, Inc.............................. 5,900 $ 34,294
American Woodmark Corp................................ 47,029 1,757,709
Americana Bancorp, Inc................................ 20,350 322,420
*Amerihost Properties, Inc............................ 63,600 241,481
*AmeriLink Corp....................................... 24,600 359,775
*Ameripath, Inc....................................... 120,100 1,090,283
*Ameristar Casinos, Inc............................... 132,250 467,008
Ameron, Inc........................................... 18,200 783,737
*Amistar Corp......................................... 28,300 54,831
Ampco-Pittsburgh Corp................................. 82,100 1,026,250
*Ampex Corp. Class A.................................. 152,100 674,944
Amplicon, Inc......................................... 60,400 826,725
*Amrep Corp........................................... 63,610 363,770
*Amsurg Corp. Class A................................. 6,331 41,943
*Amsurg Corp. Class B................................. 40,795 272,817
*Amtran, Inc.......................................... 88,200 2,072,700
Amwest Insurance Group, Inc........................... 56,688 581,052
*Amylin Pharmaceuticals, Inc.......................... 115,400 149,659
*Anadigics, Inc....................................... 39,200 972,650
*Analogy, Inc......................................... 54,900 159,553
*Analysis & Technology, Inc........................... 40,200 1,027,612
*#Analytical Surveys, Inc............................. 31,500 763,875
*Anaren Microwave, Inc................................ 41,700 908,278
Andean Development Corp............................... 5,500 5,672
*Andersen Group, Inc.................................. 15,000 110,625
Andersons, Inc........................................ 11,600 150,075
Andover Bancorp, Inc. DE.............................. 40,525 1,200,553
*Andrea Electronics Corp.............................. 70,800 491,175
*Anesta Corp.......................................... 83,600 1,489,125
*#Angeion Corp........................................ 13,980 28,178
Angelica Corp......................................... 85,700 1,451,544
*Anicom, Inc.......................................... 97,800 901,594
*Anika Therapeutics, Inc.............................. 18,700 100,220
*Ansoft Corp.......................................... 74,500 586,687
*Ansys, Inc........................................... 90,500 820,156
*Aphton Corp.......................................... 68,300 776,912
*Apple Orthodontix, Inc............................... 19,500 39,000
*Applied Cellular Technology, Inc..................... 2,600 5,891
*Applied Digital Access, Inc.......................... 90,400 379,962
*Applied Extrusion Technologies, Inc.................. 92,700 706,837
*Applied Films Corp................................... 16,000 59,000
*Applied Graphics Technologies, Inc................... 45,000 487,969
*Applied Innovation, Inc.............................. 105,300 411,328
*#Applied Magnetics Corp.............................. 116,100 348,300
*Applied Microsystems Corp............................ 42,900 130,711
*Applied Science & Technology, Inc.................... 53,600 765,475
*Applied Signal Technologies, Inc..................... 75,000 675,000
*Applix, Inc.......................................... 66,100 359,419
*Aqua Alliance, Inc................................... 59,000 140,125
*Aquagenix, Inc....................................... 23,100 20,573
*Aquila Biopharmaceuticals, Inc....................... 44,444 84,721
*Arabian Shield Development Co........................ 66,200 71,372
*Aradigm Corp......................................... 104,400 724,275
*Arcadia Financial, Ltd............................... 42,600 316,837
*Arch Communications Group, Inc....................... 192,800 466,937
*Ardent Software, Inc................................. 56,828 1,143,663
*Argosy Gaming Corp................................... 199,300 1,594,400
*Arguss Holdings, Inc................................. 7,300 130,259
*Ariad Pharmaceuticals, Inc........................... 191,500 284,258
*Ariel Corp........................................... 89,400 273,787
*Ark Restaurants Corp................................. 21,200 214,650
*Arkansas Best Corp................................... 151,500 1,354,031
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*Armor Holdings, Inc.................................. 110,000 $ 1,148,125
*Aronex Pharmaceuticals, Inc.......................... 153,550 686,177
*Arqule, Inc.......................................... 79,500 357,750
*Arrhythmia Research Technology, Inc.................. 11,375 14,219
*Arrow Automotive Industries, Inc..................... 31,300 31
Arrow Financial Corp.................................. 30,895 826,441
*Artecon, Inc......................................... 2,600 5,281
*Arthrocare Corp...................................... 47,800 944,050
*Artisan Components, Inc.............................. 4,900 35,678
*Artisoft, Inc........................................ 94,800 404,381
*Artra Group, Inc..................................... 68,000 692,750
*Arts Way Manufacturing Co., Inc...................... 100 481
*Asahi/America, Inc................................... 27,500 201,094
*Asante Technologies, Inc............................. 45,600 32,062
*Ascent Assurance, Inc................................ 622 0
*Asche Transportation Services, Inc................... 29,800 120,131
*Ashworth, Inc........................................ 102,800 504,362
*Assisted Living Concepts, Inc........................ 78,800 231,475
*Astea International, Inc............................. 41,300 122,609
Astro-Med, Inc........................................ 58,175 385,409
*Astronics Corp....................................... 31,047 275,542
*AstroPower, Inc...................................... 2,900 37,972
*Asymetrix Learning Systems, Inc...................... 40,000 165,000
*Asyst Technologies, Inc.............................. 41,100 806,587
Atalanta Sosnoff Capital Corp......................... 37,600 371,300
*Atchison Casting Corp................................ 43,500 478,500
*Athey Products Corp.................................. 31,085 76,741
*Atlantic American Corp............................... 119,125 517,449
*Atlantic Bank and Trust Co........................... 21,700 451,631
*Atlantic Data Services, Inc.......................... 93,000 370,547
*Atlantic Premium Brands, Ltd......................... 24,400 56,425
*Atlantis Plastics, Inc............................... 32,800 471,500
*Atrion Corp.......................................... 59,850 576,056
*Atrix Labs, Inc...................................... 68,206 566,962
*Audiovox Corp. Class A............................... 125,600 1,091,150
*Ault, Inc............................................ 34,500 334,219
*Aura Systems, Inc.................................... 32,000 8,500
*Aurora Biosciences Corp.............................. 121,400 686,669
*Auspex Systems, Inc.................................. 153,100 1,669,747
*#Autobond Acceptance Corp............................ 13,400 15,075
Autocam Corp.......................................... 61,370 717,262
*#Autocyte, Inc....................................... 85,000 610,937
*Autoimmune, Inc...................................... 106,700 238,408
*Autologic Information International, Inc............. 27,500 132,344
*Automobile Protection Corp........................... 67,300 691,928
*Autote Corp. Class A................................. 274,600 703,662
*Avalon Holding Corp. Class A......................... 15,475 105,423
*#Avanir Pharmaceuticals Class A...................... 212,000 221,937
*Avant Immunotherapeutics, Inc........................ 191,210 242,000
*#Avatex Corp......................................... 26,200 16,375
Avert, Inc............................................ 21,400 130,406
*Avi Biopharma, Inc................................... 600 2,081
*Avigen, Inc.......................................... 65,500 405,281
*Avteam, Inc. Class A................................. 67,500 483,047
*Axiohm Transaction Solutions, Inc.................... 9,922 39,688
*Axsys Technologies, Inc.............................. 22,600 281,087
*Axys Pharmaceuticals, Inc............................ 247,830 890,639
Aztec Manufacturing Co................................ 55,826 561,749
*BCT International, Inc............................... 23,700 59,620
*BEI Electronics, Inc................................. 42,800 49,487
BEI Technologies, Inc................................. 48,100 479,497
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*BFX Hospitality Group, Inc........................... 34,000 $ 47,812
BHA Group Holdings, Inc. Class A...................... 84,954 828,301
*BI, Inc.............................................. 85,900 789,206
*BLC Financial Services, Inc.......................... 5,000 10,625
BMC Industries, Inc................................... 116,800 1,175,300
BSB Bancorp, Inc...................................... 111,562 2,837,858
BT Financial Corp..................................... 24,608 661,340
*BTG, Inc............................................. 38,500 276,719
*BTU International, Inc............................... 44,700 184,387
*BWAY Corp............................................ 83,550 1,190,587
Badger Meter, Inc..................................... 48,100 1,617,362
Badger Meter, Inc. Class B............................ 16,500 554,812
*Badger Paper Mills, Inc.............................. 200 1,441
Bairnco Corp.......................................... 105,400 731,212
Baker (J.), Inc....................................... 115,300 835,925
*Baker (Michael) Corp................................. 72,214 523,551
*Baker (Michael) Corp. Class B........................ 15,400 111,650
*Balance Bar Co....................................... 35,000 197,969
*Balanced Care Corp................................... 65,000 154,375
Balchem Corp.......................................... 10,400 59,800
*Baldwin Piano & Organ Co............................. 37,900 288,987
*Baldwin Technology, Inc. Class A..................... 135,000 489,375
*Ballantyne Omaha, Inc................................ 145,635 1,128,671
*Baltek Corp.......................................... 21,562 212,925
Bancfirst Ohio Corp................................... 26,600 656,687
*Bancinsurance Corp................................... 39,480 219,607
Bancorp Connecticut, Inc.............................. 26,580 430,264
*Bangor Hydro-Electric Co............................. 56,200 793,825
*Bank Plus Corp....................................... 125,200 653,387
*Bank United Financial Corp. Class A.................. 104,900 945,739
Bank West Financial Corp.............................. 3,200 34,100
*Banyan System, Inc................................... 155,000 1,714,687
*Barnett, Inc......................................... 116,300 1,061,237
*Barnwell Industries, Inc............................. 11,800 136,437
*Barra, Inc........................................... 40,100 971,172
*Barrett Business Services, Inc....................... 51,900 441,150
*Barringer Technologies, Inc.......................... 60,600 335,194
*Barry (R.G.) Corp.................................... 178,235 1,437,020
*#Base Ten Systems, Inc. Class A...................... 60,100 49,770
*Basin Exploration, Inc............................... 98,700 1,656,309
*Baycorp Holdings, Ltd................................ 28,500 101,531
*Bayou Steel Corp. Class A............................ 68,450 248,131
*Beard Co............................................. 26,533 89,549
Beauticontrol Cosmetics, Inc.......................... 46,500 223,781
*Beazer Homes USA, Inc................................ 61,800 1,375,050
*Bel Fuse, Inc. Class A............................... 43,250 1,408,328
Bel Fuse, Inc. Class B................................ 43,250 1,267,766
*Belco Oil & Gas Corp................................. 12,000 95,250
*Bell Industries, Inc................................. 76,472 783,838
*Bell Microproducts, Inc.............................. 58,100 411,239
*Bellwether Exploration Co............................ 121,800 563,325
*Ben & Jerry's Homemade, Inc.
Class A............................................. 37,000 1,041,781
*Benihana, Inc........................................ 11,500 162,437
*Benihana, Inc. Class A............................... 1,400 19,425
*Bentley Pharmaceuticals, Inc......................... 32,750 98,250
*Benton Oil & Gas Co.................................. 109,300 382,550
Berkshire Energy Resources............................ 8,300 171,966
*Berlitz International, Inc........................... 28,200 601,012
*Bethlehem Corp....................................... 200 362
*Big 4 Ranch, Inc..................................... 35,000 0
*Binks Sames Corp..................................... 61,400 1,028,450
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*#Bio Vascular, Inc................................... 31,700 $ 87,670
*Bioanalytical Systems, Inc........................... 3,200 12,800
*Biocryst Pharmaceuticals, Inc........................ 80,200 646,612
*#Biofield Corp....................................... 7,800 999
*Bio-Logic Systems Corp............................... 25,900 91,459
*Biomerica, Inc....................................... 26,100 67,697
*Bionova Holdings Corp................................ 5,400 19,406
*Bionx Implants, Inc.................................. 76,700 352,341
*#Bio-Plexus, Inc..................................... 13,200 63,525
*BioReliance Corp..................................... 20,000 133,125
*Biosite Diagnostics, Inc............................. 111,100 1,107,528
*Biosource International, Inc......................... 71,000 346,125
*Biospecifics Technologies Corp....................... 31,000 98,812
*#Biospherics, Inc.................................... 56,600 435,997
Birmingham Steel Corp................................. 79,200 405,900
*Black Hawk Gaming & Development, Inc................. 17,400 148,444
Blair Corp............................................ 56,000 962,500
Blimpie International................................. 43,450 114,056
*Blonder Tongue Laboratories, Inc..................... 27,000 178,875
*Bluegreen Corp....................................... 102,629 577,288
*Boca Research, Inc................................... 56,400 499,669
*Bolder Technologies Corp............................. 49,600 441,750
*Bolle, Inc........................................... 36,966 107,432
*Bolt Technology Corp................................. 40,750 259,781
*Bombay Co., Inc...................................... 283,400 1,735,825
*Bonded Motors, Inc................................... 14,000 41,125
*Bone Care International, Inc......................... 40,500 397,406
*Bontex, Inc.......................................... 2,200 4,812
*Bon-Ton Stores, Inc.................................. 64,300 409,912
*#Books-a-Million, Inc................................ 140,000 1,155,000
Boston Acoustics, Inc................................. 57,450 1,048,462
*Boston Beer Company, Inc. Class A.................... 71,000 590,187
*Boston Biomedical, Inc............................... 9,300 35,456
*Boston Communications Group, Inc..................... 94,000 881,250
Bostonfed Bancorp, Inc................................ 17,000 306,000
Bowl America, Inc. Class A............................ 56,160 393,120
*Bradley Pharmaceuticals, Inc.
Class A............................................. 8,400 11,681
*Brauns Fashions Corp................................. 27,400 303,112
*#Brazos Sportswear, Inc.............................. 5,630 563
*#Breed Technologies, Inc............................. 5,600 18,550
*Bridgeport Macs, Inc................................. 8,100 73,406
*Bridgestreet Accomodations, Inc...................... 800 2,800
Bridgford Foods Corp.................................. 76,109 794,388
*Brigham Exploration Co............................... 20,000 51,250
*Brilliant Digital Entertainment, Inc................. 60,600 409,050
*Brite Voice Systems, Inc............................. 104,000 1,352,000
*#Britesmile, Inc..................................... 37,500 400,781
Broad National Bancorporation......................... 25,076 606,526
*#Broadband Technologies, Inc......................... 86,600 193,497
*Broadway & Seymour, Inc.............................. 78,100 451,516
*Brookdale Living Communities......................... 100,200 1,412,194
Brooke Group, Ltd..................................... 59,900 1,452,575
*Brooks Automation, Inc............................... 84,200 1,541,912
*Brookstone, Inc...................................... 58,600 880,831
*Brooktrout Technology, Inc........................... 102,950 1,927,095
*Brothers Gourmet Coffees, Inc........................ 58,669 1,232
*Brown & Sharpe Manufacturing Co. Class A............. 95,675 526,212
*Brunswick Technologies, Inc.......................... 33,300 202,922
Bryn Mawr Bank Corp................................... 2,800 72,625
<CAPTION>
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*Buckhead America Corp................................ 3,500 $ 21,875
*Builders Transport, Inc.............................. 52,100 1,172
*Building Materials Holding Corp...................... 104,900 1,226,019
*Bull Run Corp. GA.................................... 171,700 692,166
Bush Industries, Inc. Class A......................... 84,100 1,245,731
*Business Resource Group.............................. 32,400 108,337
*Butler International, Inc............................ 46,627 931,083
Butler Manufacturing Co............................... 18,900 531,562
*C-COR Electronics, Inc............................... 48,000 1,144,500
*#C-Phone Corp........................................ 51,400 113,241
*C.P. Clare Corp...................................... 80,300 293,597
*C3, Inc.............................................. 1,100 16,844
CB Bancshares, Inc. HI................................ 2,818 90,704
*CCA Industries, Inc.................................. 34,700 43,917
CCBT Bancorp, Inc..................................... 60,200 985,775
*CE Software Holdings, Inc............................ 2,180 9,878
*CEM Corp............................................. 41,500 328,109
*CET Environmental Services, Inc...................... 23,700 34,069
*CFI Proservices, Inc................................. 36,600 464,362
*CFM Technologies, Inc................................ 38,600 352,225
CFSB Bancorp, Inc..................................... 13,880 350,493
*CMC Industries, Inc.................................. 48,900 316,322
CMI Corp. Class A..................................... 264,699 2,431,922
CNBT Bancshares, Inc.................................. 42,200 530,137
*#CNS Income.......................................... 111,600 373,162
CPAC, Inc............................................. 38,578 297,774
CPB, Inc.............................................. 27,700 571,312
*CPI Aerostructures, Inc.............................. 2,500 1,602
*CPS Systems, Inc..................................... 54,500 57,906
*CSP, Inc............................................. 78,928 540,163
*CTB International Corp............................... 21,200 184,175
*CTC Communications Corp. Class 1..................... 61,900 1,265,081
CTG Resources, Inc.................................... 29,400 751,537
*Cache, Inc........................................... 80,125 540,844
*Caci International, Inc. Class A..................... 93,400 1,733,737
*Cade Industries, Inc................................. 67,300 150,373
*Cadence Design Systems, Inc.......................... 148,031 1,905,902
*Cadiz, Inc........................................... 53,400 544,012
Cadmus Communications Corp............................ 58,900 754,656
*Cadus Pharmaceutical Corp............................ 15,500 15,500
*Caere Corp........................................... 121,400 1,441,625
Cagle's, Inc. Class A................................. 104,900 1,993,100
*Cal Dive International, Inc.......................... 35,000 861,875
*Caliber Learning Network, Inc........................ 78,000 343,687
*#California Amplifier, Inc........................... 76,000 318,250
*California Coastal Comm, Inc......................... 25,700 164,641
*#California Culinary Academy, Inc.................... 17,300 117,316
*California Micro Devices Corp........................ 50,100 111,159
*Callon Petroleum Co.................................. 71,700 770,775
*Calloways Nursery, Inc............................... 1,700 2,072
Cal-Maine Foods, Inc.................................. 28,300 153,881
*Cambridge Heart, Inc................................. 66,100 439,978
*Cameron Ashley Building Products, Inc................ 47,000 564,000
Cameron Financial Corp................................ 11,500 152,375
*Candela Laser Corp................................... 33,700 507,606
*Candies, Inc......................................... 111,000 339,937
*Canisco Resources, Inc............................... 8,600 30,906
*Cannon Express, Inc. Class A......................... 9,650 33,775
*Cannondale Corp...................................... 73,200 654,225
*Cantel Industries, Inc. Class B...................... 28,200 156,862
*Capital Associates, Inc.............................. 26,850 87,262
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Capital Pacific Holdings, Inc........................ 67,000 $ 217,750
*Capital Senior Living Corp........................... 2,400 26,100
Capitol Bancorp, Ltd.................................. 27,484 469,805
Capitol Transamerica Corp............................. 37,045 556,833
*Carbide/Graphite Group, Inc.......................... 66,600 863,719
*Cardiac Pathways Corp................................ 80,000 85,000
*Cardiotech International, Inc........................ 12,957 18,626
*Career Blazers, Inc. Trust Units..................... 4,360 0
*Caretenders Healthcorp............................... 11,500 26,594
*Caribiner International, Inc......................... 198,100 1,064,787
*Carleton Corporation................................. 6,560 15,375
*Carreker-Antinori, Inc............................... 143,000 1,219,969
*Carrington Laboratories, Inc......................... 76,300 226,516
*Carson, Inc.......................................... 47,500 166,250
Cascade Corp.......................................... 57,000 769,500
Cascade Natural Gas Corp.............................. 60,600 1,018,837
*Casino Data Systems.................................. 94,300 350,678
*Castle Dental Centers, Inc........................... 8,000 53,500
Castle Energy Corp.................................... 13,100 243,987
*Catalina Lighting, Inc............................... 60,600 272,700
*Catalyst International, Inc.......................... 59,500 1,000,344
*Catherines Stores Corp............................... 59,900 658,900
Cato Corp. Class A.................................... 194,900 2,564,153
Cavalier Homes, Inc................................... 149,981 1,359,203
*Cavanaughs Hospitality Corp.......................... 115,500 1,104,469
*Celadon Group, Inc................................... 69,000 685,687
*Celebrity, Inc....................................... 13,500 31,641
*Celeris Corp......................................... 89,300 80,928
*Celeritek, Inc....................................... 44,000 236,500
*Celestial Seasonings, Inc............................ 41,500 806,656
*Celgene Corp......................................... 115,300 1,895,244
*#Cell Genesys, Inc................................... 216,005 1,039,524
*Cell Pathways, Inc................................... 27,670 304,370
*Cellegy Pharmaceuticals, Inc......................... 19,600 96,162
*#Cel-Sci Corp........................................ 23,700 51,844
Cenit Bancorp, Inc.................................... 20,800 425,100
*Centennial Bancorp................................... 79,098 924,458
*Centennial Healthcare Corp........................... 12,200 67,481
*Centigram Communications Corp........................ 51,900 504,403
Central Bancorp, Inc.................................. 10,000 193,750
*Central Sprinkler Corp............................... 41,600 708,500
Central Vermont Public Service Corp................... 53,100 633,881
Centris Group, Inc.................................... 108,200 1,048,187
*Centura Software Corp................................ 63,100 64,086
Century Aluminum Co................................... 130,000 840,937
Century Bancorp Income Class A........................ 7,600 135,375
*Cephalon, Inc........................................ 24,000 326,250
*Ceradyne, Inc........................................ 115,100 467,594
Cerberonics, Inc. Class A............................. 3,500 22,094
*Ceres Group, Inc..................................... 49,400 506,350
*Cerion Technologies, Inc............................. 31,000 7,750
*Cerprobe Corp........................................ 46,500 433,031
*Chad Therapeutics.................................... 76,466 138,595
Champion Industries, Inc.............................. 48,900 385,087
*Chart House Enterprises, Inc......................... 75,800 416,900
*Charter Federal Savings Bank (Escrow)................ 43,340 0
Chartwell Re Corp..................................... 54,600 856,537
Chase Corp............................................ 24,200 302,500
*Chase Industries, Inc................................ 90,750 760,031
*Chattem, Inc......................................... 75,900 2,760,862
*Chaus (Bernard), Inc................................. 15,260 37,196
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Check Technology Corp................................ 39,700 $ 89,325
*Chemfab Corp......................................... 141,300 2,773,012
*Cherry Corp. Class A................................. 20,100 271,350
*Cherry Corp. Class B................................. 20,400 278,587
*Chesapeake Biological Laboratories, Inc. Class A..... 11,400 23,512
#Chesapeake Energy Corp............................... 126,698 269,233
Chesapeake Utilities Corp............................. 25,675 462,150
Chester Valley Bancorp................................ 5,906 104,093
*Chic by His, Inc..................................... 80,000 250,000
Chicago Rivet & Machine Co............................ 20,000 382,500
*Chicos Fas, Inc...................................... 69,100 1,563,387
*#Childrens Broadcasting Corp......................... 35,800 54,259
*Children's Comprehensive Services, Inc............... 64,250 391,523
*Childtime Learning Centers, Inc...................... 25,600 320,000
*Chirex, Inc.......................................... 30,900 931,828
*#Chock Full O' Nuts Corp............................. 92,330 963,694
*Cholestech Corp...................................... 74,900 177,887
*Chromcraft Revington, Inc............................ 112,000 1,820,000
*Chronimed, Inc....................................... 71,300 505,784
*Chyron Corp.......................................... 240,653 496,347
*Cidco, Inc........................................... 90,800 561,825
*Cima Laboratories, Inc............................... 61,900 201,175
*Ciprico, Inc......................................... 41,895 365,272
*Circuit City Stores, Inc. - Carmax Group............. 167,000 803,687
*Circuit Systems, Inc................................. 26,500 54,656
*Citadel Holding Corp................................. 43,000 217,687
*Citation Computer System, Inc........................ 30,000 57,187
*Citation Corp........................................ 32,500 433,672
*Citizens, Inc. Class A............................... 85,750 487,703
*Civic Bancorp........................................ 41,674 588,645
*Clark (Dick) Productions, Inc........................ 18,039 227,742
*Clean Harbors, Inc................................... 82,400 141,625
*Clintrials Research, Inc............................. 150,600 635,344
*#CoCensys, Inc....................................... 24,375 25,137
*Coast Dental Services, Inc........................... 58,400 412,450
*Coast Distribution System............................ 43,600 125,350
Coastal Bancorp, Inc.................................. 45,600 732,450
*Coastcast Corp....................................... 66,300 795,600
*Cobra Electronic Corp................................ 125,100 508,219
*Code-Alarm, Inc...................................... 20,300 10,784
*Coeur d'Alene Mines Corp. ID......................... 142,300 595,881
*Coffee People, Inc................................... 28,000 55,562
*Cogeneration Corporation of America.................. 37,400 458,150
*Cognitronics Corp.................................... 57,450 919,200
*Cohesion Technologies, Inc........................... 62,300 350,437
*Coho Energy, Inc..................................... 189,300 118,312
Cohu, Inc............................................. 18,300 545,569
*Coinmach Laundry Corp................................ 70,500 868,031
*Coinstar, Inc........................................ 19,900 432,203
*Cold Metal Products, Inc............................. 51,800 110,075
*Coldwater Creek, Inc................................. 21,500 427,312
Collagen Corp......................................... 62,300 852,731
*Collagenex Pharmaceuticals, Inc...................... 38,100 366,117
Collins Industries, Inc............................... 86,325 504,462
*Colorado MEDtech, Inc................................ 90,600 1,276,894
*Columbia Banking System, Inc......................... 47,900 802,328
*Columbia Laboratories, Inc........................... 55,700 487,375
*Columbus Energy Corp................................. 26,257 153,439
*Comarco, Inc......................................... 47,800 948,531
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Combichem, Inc....................................... 16,000 $ 66,000
*Comdial Corp......................................... 151,433 1,064,763
*Comforce Corp........................................ 128,766 434,585
*Command Systems, Inc................................. 16,400 27,162
Commercial Bancshares, Inc............................ 20,605 463,612
Commercial Bank of New York........................... 19,650 246,853
Commercial Intertech Corp............................. 61,400 928,675
Commercial National Financial Corp.................... 1,600 30,400
*Commodore Applied Technologies, Inc.................. 132,074 37,146
Commonwealth Industries, Inc.......................... 102,800 1,114,737
Communications Systems, Inc........................... 118,500 1,562,719
Community Bank System, Inc............................ 53,700 1,261,950
Community Banks, Inc.................................. 468 9,945
Community Bankshares, Inc............................. 2,600 35,262
Community Financial Corp.............................. 10,200 99,450
Community Financial Group, Inc........................ 500 7,125
*Community First Brokerage Co......................... 2,400 55,125
Community Savings Bankshares, Inc..................... 31,016 385,761
Community West Bancshares............................. 300 3,131
*Compass International Services Corp.................. 46,800 308,587
*Compdent Corp........................................ 82,200 1,189,331
*Competitive Technologies, Inc........................ 109,600 808,300
*#Comprehensive Care Corp............................. 26,120 13,468
*Comptek Research, Inc................................ 60,400 528,500
*Compucom Systems, Inc................................ 8,900 35,878
*#Computer Learning Centers, Inc...................... 131,000 642,719
*Computer Motion, Inc................................. 64,500 572,437
*Computer Network Technology Corp..................... 50,050 1,257,506
*Computer Outsourcing Services, Inc................... 23,100 211,509
*Comshare, Inc........................................ 64,800 220,725
*Comstock Resources, Inc.............................. 192,900 783,656
*Comtech Telecommunications Corp...................... 11,900 104,497
*Concepts Direct, Inc................................. 3,400 32,831
*Concord Camera Corp.................................. 72,400 375,575
*Concord Fabrics, Inc. Class A........................ 45,500 199,062
*Concord Fabrics, Inc. Class B........................ 25,700 114,044
*Concurrent Computer Corp............................. 196,480 1,151,250
*Condor Technology Solutions, Inc..................... 30,300 323,831
*Conductus, Inc....................................... 41,300 80,019
*Cone Mills Corp. NC.................................. 218,700 1,353,206
*Congoleum Corp. Class A.............................. 26,500 225,250
*Connect, Inc......................................... 4,600 16,891
Connecticut Water Services, Inc....................... 63,525 1,524,600
*Connitics Corp....................................... 76,600 536,200
*Conso Products Co.................................... 59,000 348,469
*Consolidated Delivery and Logistics, Inc............. 31,900 131,587
*Consolidated Freightways Corp........................ 4,400 58,575
Consolidated Tokoma Land Co........................... 10,900 164,862
*#Consumer Portfolio Services, Inc.................... 126,000 244,125
*Continental Materials Corp........................... 9,700 366,175
*Continucare Corp..................................... 15,900 6,956
*#Converse, Inc....................................... 111,700 481,706
Cooker Restaurant Corp................................ 70,100 438,125
*Cooperative Bankshares, Inc.......................... 5,500 64,281
*Copart, Inc.......................................... 82,700 1,488,600
*Copley Pharmaceutical, Inc........................... 84,200 818,319
*Copytele, Inc........................................ 82,900 208,545
*Coram Healthcare Corp................................ 310,900 718,956
*Core Materials Corp.................................. 27,600 93,150
*Core, Inc............................................ 38,400 320,400
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Corixa Corp.......................................... 7,940 $ 103,220
*Cornell Corrections, Inc............................. 67,200 1,302,000
*Correctional Services Corp........................... 90,443 774,418
*Corrpro Companies, Inc............................... 45,550 452,653
*Corsair Communications, Inc.......................... 37,300 170,764
*Corvas International, Inc............................ 106,500 214,664
*Corvel Corp.......................................... 6,200 245,675
*Cosmetic Centers, Inc. Class C....................... 8,645 2,431
*Cost Plus, Inc....................................... 32,250 1,205,344
*Costilla Energy, Inc................................. 45,400 14,897
*Cotelligent Group, Inc............................... 78,700 1,052,612
Cotton States Life Insurance Co....................... 13,800 165,600
Courier Corp.......................................... 47,550 1,087,706
*Covenant Transport, Inc. Class A..................... 104,000 1,244,750
*Cover-All Technologies, Inc.......................... 83,445 129,079
Covest Bancshares, Inc................................ 45,000 615,937
*Coyote Network Systems, Inc.......................... 12,526 93,945
Craftmade International, Inc.......................... 68,250 917,109
*Craig (Jenny), Inc................................... 143,050 500,675
*Craig Corp........................................... 43,900 331,994
*Creative Biomolecules, Inc........................... 308,900 989,445
*Crescent Operating, Inc.............................. 43,800 242,269
*Criticare Systems, Inc............................... 46,700 100,697
Cross (A.T.) Co. Class A.............................. 85,200 532,500
*Crossman Communities, Inc............................ 80,000 2,087,500
*Crown Central Petroleum Corp.
Class A............................................. 22,500 182,812
*Crown Central Petroleum Corp.
Class B............................................. 32,600 268,950
Crown Crafts, Inc..................................... 55,500 280,969
*Crown Resources Corp................................. 117,700 196,780
*Crown Vantage, Inc................................... 63,700 167,212
*Crown-Andersen, Inc.................................. 10,500 61,031
*Cryolife, Inc........................................ 110,900 1,372,387
*Crystal Oil Co....................................... 5,700 184,537
Cubic Corp............................................ 38,250 922,781
*Cubist Pharmaceuticals, Inc.......................... 5,100 16,177
Culp, Inc............................................. 178,580 1,473,285
*Cunningham Graphics International, Inc............... 36,000 519,750
*CuraGen Corp......................................... 29,400 166,294
*Curative Health Services, Inc........................ 5,000 33,906
*Cutter & Buck, Inc................................... 40,900 1,209,106
*#Cyanotech Corp...................................... 59,150 49,908
*#Cybercash, Inc...................................... 65,500 912,906
*#Cyberguard Corp..................................... 37,800 37,800
*Cyberonics, Inc...................................... 89,500 1,026,453
*Cyberoptics Corp..................................... 30,400 383,800
*Cybex Corp........................................... 64,075 1,467,718
*Cybex International, Inc............................. 72,300 397,650
*Cygnus, Inc.......................................... 124,300 1,425,566
*Cylink Corp.......................................... 40,000 158,125
*Cypros Pharmaceutical Corp........................... 102,900 231,525
*Cyrk, Inc............................................ 102,300 680,934
*Cytel Corp........................................... 24,357 43,386
*Cytrx Corp........................................... 23,800 62,103
*Cytyc Corp........................................... 5,000 103,125
*D & K Healthcare Resources, Inc...................... 11,200 263,550
*D A Consulting Group, Inc............................ 56,300 687,916
*DM Management Co..................................... 57,550 926,195
*#DRS Technologies, Inc............................... 52,203 460,039
*DSET Corp............................................ 8,600 105,887
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*DSP Group, Inc....................................... 47,600 $ 1,262,887
*DSP Technology, Inc.................................. 14,300 127,806
DT Industries, Inc.................................... 85,500 820,266
*DVI, Inc............................................. 104,400 1,624,725
*Dailey International, Inc............................ 35,400 26,550
*Daily Journal Corp................................... 200 7,487
*Daktronics, Inc...................................... 20,200 214,625
*Damark International, Inc. Class A................... 44,200 435,094
Dames & Moore, Inc.................................... 88,400 1,392,300
*Dan River, Inc. (GA) Class A......................... 107,000 983,062
Daniel Industries, Inc................................ 76,369 1,603,749
*Danielson Holding Corp............................... 9,853 52,344
*#Daou Systems, Inc................................... 57,200 350,350
*Darling International, Inc........................... 58,400 109,500
*#Data Dimensions, Inc................................ 88,400 348,075
*Data I/O Corp........................................ 65,600 74,825
*Data Processing Resources Corp....................... 900 13,641
*#Data Race, Inc...................................... 54,300 247,744
Data Research Association, Inc........................ 50,550 445,472
*Data Systems & Software, Inc......................... 47,800 146,387
*Data Systems Network Corp............................ 3,641 4,267
*Datakey, Inc......................................... 11,700 30,712
*Datamarine International, Inc........................ 200 487
*Dataram Corp......................................... 29,800 247,712
*Datastream Systems, Inc.............................. 112,800 1,364,175
*DataTRAK International, Inc.......................... 19,100 90,725
*Dataware Technologies, Inc........................... 59,200 170,200
*Datawatch Corp....................................... 60,000 88,125
*Datron Systems, Inc.................................. 23,200 141,375
*Datum, Inc........................................... 72,600 608,025
*Dave and Busters, Inc................................ 111,150 2,973,262
Davel Communications, Inc............................. 58,650 359,231
*Davox Corp........................................... 42,800 358,450
*Daw Technologies, Inc................................ 100,600 128,894
*Dawson Geophysical Co................................ 44,700 477,731
*Daxor Corp........................................... 46,000 572,125
*Day Runner, Inc...................................... 74,800 918,637
*Dayton Superior Corp. Class A........................ 56,100 1,006,294
Deb Shops, Inc........................................ 82,100 1,246,894
*#DecisionOne Holdings Corp........................... 600 1,847
*Deckers Outdoor Corp................................. 54,800 186,662
*Decora Industries, Inc............................... 3,600 23,175
Decorator Industries, Inc............................. 20,587 153,116
*Del Global Technologies Corp......................... 49,016 441,144
Del Laboratories, Inc................................. 164,920 2,504,722
*Delco Remy International, Inc........................ 14,500 158,594
*Delia's, Inc......................................... 19,600 258,475
*#Delta Financial Corp................................ 78,500 529,875
Delta Natural Gas Co., Inc............................ 18,800 321,950
Delta Woodside Industries, Inc........................ 155,800 1,100,337
*Deltek Systems, Inc.................................. 2,500 22,969
*Denali, Inc.......................................... 17,900 139,844
*Denamerica Corp...................................... 57,800 54,187
*Dense-Pac Microsystems, Inc.......................... 76,700 179,766
*DepoMed, Inc......................................... 59,500 185,937
*Designs, Inc......................................... 54,600 107,494
*Detection Systems, Inc............................... 66,186 583,264
*Detrex Corp.......................................... 10,200 70,444
*Devcon International Corp............................ 29,000 90,172
Dewolfe Companies, Inc................................ 6,000 45,000
*Dexterity Surgical, Inc.............................. 8,100 11,644
*Diacrin, Inc......................................... 5,000 28,906
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Diagnostic Health Services, Inc...................... 76,900 $ 78,102
*Diametrics Medical, Inc.............................. 150,700 1,038,417
*Diamond Home Services, Inc........................... 78,500 367,969
*#Diamond Multimedia Systems, Inc..................... 92,500 409,023
*Dianon Systems, Inc.................................. 38,900 358,609
*Diatide, Inc......................................... 92,000 327,750
*Digene Corp.......................................... 118,600 1,404,669
*Digi International, Inc.............................. 132,100 1,098,081
*#Digital Biometrics, Inc............................. 72,000 119,250
*Digital Generation Systems, Inc...................... 148,600 882,312
*Digital Lightwave, Inc............................... 14,400 87,300
*Digital Link Corp.................................... 72,700 535,027
*Digital Power Corp................................... 16,500 24,750
*Diodes, Inc.......................................... 35,100 162,337
*Directrix, Inc....................................... 8,950 71,041
*Diversified Corporate Resources, Inc................. 13,400 80,400
Dixie Group, Inc...................................... 64,419 583,797
*Dixon Ticonderoga Co................................. 27,450 329,400
*Dominion Homes, Inc.................................. 31,100 244,912
Donegal Group, Inc.................................... 24,710 277,987
*Donna Karan International, Inc....................... 64,300 659,075
Donnelly Corp. Class A................................ 59,750 978,406
*Donnkenny, Inc....................................... 63,300 66,267
*Dorsey Trailers, Inc................................. 39,000 90,187
*Dotronix, Inc........................................ 87,000 63,891
*Drew Industries, Inc................................. 90,700 1,162,094
*Drexler Technology Corp.............................. 112,950 1,048,317
*Driver-Harris Co..................................... 23,498 79,306
*Drug Emporium, Inc................................... 92,600 937,575
*Drypers Corp......................................... 48,400 158,812
*DualStar Technologies Corp........................... 4,900 30,089
*Duckwall-Alco Stores, Inc............................ 41,200 427,450
*Ducommun, Inc........................................ 79,500 909,281
Duff & Phelps Credit Rating Co........................ 18,000 1,108,125
*Dunn Computer Corp................................... 60,500 127,617
*Dura Automotive Systems, Inc......................... 31,934 946,074
*Durakon Industries, Inc.............................. 54,500 681,250
*Duramed Pharmaceuticals, Inc......................... 115,800 1,700,812
*Dwyer Group, Inc..................................... 29,500 58,078
Dyersburg Corp........................................ 107,300 147,537
*Dynamic Healthcare Technologies, Inc................. 45,900 113,316
*Dynamic Materials Corp............................... 14,200 69,225
*Dynamics Research Corp............................... 71,258 360,744
*E-Z-Em, Inc. Class A................................. 37,000 187,312
*E-Z-Em, Inc. Class B................................. 55,424 277,120
*E4L, Inc............................................. 129,878 811,737
*EA Engineering Science & Technology, Inc............. 78,975 78,975
*ECC International Corp............................... 139,750 436,719
*ECCS, Inc............................................ 6,900 13,908
*EFI Electronics Corp................................. 65,400 62,334
*EFTC Corp............................................ 71,700 441,403
*EIS International, Inc............................... 85,100 284,553
*ELXSI Corp........................................... 8,300 89,744
EMC Insurance Group, Inc.............................. 48,800 558,150
*EMCORE Corp.......................................... 3,700 81,631
*EMS Technologies, Inc................................ 142,199 1,928,574
ESB Financial Corp.................................... 2,342 35,569
*ESCO Electronics Corp. Trust Receipts................ 101,076 1,219,229
*ESSEF Corp........................................... 129,639 2,560,370
</TABLE>
200
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*EXX, Inc. Class A.................................... 300 $ 787
*EXX, Inc. Class B.................................... 100 287
Eagle Bancshares, Inc................................. 38,400 723,600
*Eagle Food Centers, Inc.............................. 82,600 201,337
*Eagle Geophysical, Inc............................... 60,700 202,017
*Eagle Point Software Corp............................ 40,500 263,250
Easco, Inc............................................ 85,400 635,162
*East/West Communications, Inc........................ 29,600 190,550
Eastern Co............................................ 26,000 679,250
*Eateries, Inc........................................ 25,400 98,425
*Echelon International Corp........................... 1,300 29,900
*#Eclipse Surgical Technologies, Inc.................. 63,800 570,212
*Eco Soil Systems, Inc................................ 143,500 730,953
*Ecogen, Inc.......................................... 56,900 190,259
Ecology & Environment, Inc. Class A................... 11,900 83,300
*Edac Technologies Corp............................... 9,600 40,200
*Edelbrock Corp....................................... 47,200 730,125
*Edify Corp........................................... 44,600 532,412
*Edison Control Corp.................................. 7,000 66,500
Edo Corp.............................................. 52,500 360,937
Educational Development Corp.......................... 3,800 9,737
*Educational Insights, Inc............................ 52,300 101,331
*EduTrek International, Inc........................... 19,100 98,484
*#Einstein/Noah Bagel Corp............................ 44,700 48,192
*Ekco Group, Inc...................................... 138,500 657,875
*Elantec Semiconductor, Inc........................... 48,600 462,459
*Elcom International, Inc............................. 59,900 341,617
*Elcotel, Inc......................................... 88,389 190,589
*Electric Fuel Corp................................... 92,200 175,756
*Electro Rent Corp.................................... 60,050 756,255
Electro Sensors, Inc.................................. 2,300 6,541
*Electroglas, Inc..................................... 900 12,825
*Electronic Processing, Inc........................... 2,900 27,187
*Electronic Retailing System International, Inc....... 16,400 21,525
Ellett Brothers, Inc.................................. 44,000 242,687
*Eltrax System, Inc................................... 44,825 184,903
*Embrex, Inc.......................................... 124,600 848,837
*Emcee Broadcast Products, Inc........................ 30,000 60,469
*Emcon................................................ 71,450 468,891
*Emcor Group, Inc..................................... 74,800 1,690,012
*Emeritus Corp........................................ 146,800 1,614,800
*Emisphere Technologies, Inc.......................... 56,400 525,225
*Empi, Inc............................................ 56,000 1,375,500
Empire Federal Bancorp, Inc........................... 4,900 56,656
*#Employee Solutions, Inc. Class B.................... 226,600 276,169
*Emulex Corp.......................................... 53,800 4,243,475
*En Pointe Technologies, Inc.......................... 32,500 221,406
*#Enamelon, Inc....................................... 58,500 192,867
*#Encad, Inc.......................................... 78,800 469,106
*#Encore Med Corp..................................... 5,200 14,625
*Encore Wire Corp..................................... 100,875 974,074
*Endocardial Solutions, Inc........................... 51,800 462,962
*Endosonics Corp...................................... 118,300 813,312
*#Energy Biosystems Corp.............................. 13,242 36,415
*Energy Conversion Devices, Inc....................... 66,800 582,412
*Energy Research Corp................................. 22,900 286,250
Energynorth, Inc...................................... 32,526 906,662
Energysouth, Inc...................................... 51,150 1,003,819
Engineered Support Systems, Inc....................... 40,350 543,464
*Engineering Measurements Co.......................... 35,500 159,750
Engle Homes, Inc...................................... 62,000 842,812
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Enlighten Software Solutions, Inc.................... 12,300 $ 36,900
Ennis Business Forms, Inc............................. 139,200 1,200,600
*Enstar, Inc.......................................... 9,266 88,606
*Enterprise Software, Inc............................. 37,587 298,347
*Envirogen, Inc....................................... 2,316 3,040
*Environmental Elements Corp.......................... 48,600 173,137
*Environmental Technologies Corp...................... 39,700 53,347
*Environmental Tectonics Corp......................... 34,400 408,500
*Envirosource, Inc.................................... 49,300 70,098
*Enzon, Inc........................................... 136,200 1,974,900
*Epicor Software Corp................................. 77,074 546,744
*Epitope, Inc......................................... 93,600 558,675
*#Epl Technologies, Inc............................... 38,100 143,470
*#Equimed, Inc........................................ 6,533 405
*Equinox Systems, Inc................................. 35,000 305,156
*Equitex, Inc......................................... 1,300 17,916
*Equitrac Corp........................................ 16,000 284,000
*Equity Marketing, Inc................................ 35,100 366,356
*Equity Oil Co........................................ 109,700 130,269
*Ergo Science Corp.................................... 72,700 110,186
Eskimo Pie Corp....................................... 28,600 245,781
Espey Manufacturing & Electronics Corp................ 21,000 257,250
*Ess Technology, Inc.................................. 13,400 104,687
*Evans & Sutherland Computer Corp..................... 41,000 647,031
*#Evans Systems, Inc.................................. 19,085 132,402
*Evercel, Inc......................................... 6,233 35,645
*Evergreen Resources, Inc............................. 72,100 1,597,466
*Exabyte Corp......................................... 132,000 730,125
*Exactech, Inc........................................ 800 8,950
*Exar Corp............................................ 79,400 1,662,437
*#Excalibur Technologies Corp......................... 115,500 1,631,437
*Excel Technology, Inc................................ 59,122 729,787
*Executive Telecard, Ltd.............................. 114,300 367,903
*Executone Information Systems, Inc................... 284,300 1,568,092
*Exogen, Inc.......................................... 57,200 132,275
*Expert Software, Inc................................. 65,100 163,767
*Exponent, Inc........................................ 73,000 526,969
*Extended Systems, Inc................................ 35,000 164,609
Ezcorp, Inc. Class A Non-Voting....................... 72,000 533,250
F & M Bancorp (MD).................................... 21,483 679,400
FCB Financial Corp.................................... 18,000 543,375
FCNB Corp............................................. 16,733 324,725
*FEI Co............................................... 96,700 803,819
FFLC Bancorp.......................................... 15,833 287,963
FFY Financial Corp.................................... 43,900 806,662
*FIRSTFED AMERICA BANCORP, INC........................ 7,500 105,937
*FLIR Systems, Inc.................................... 36,550 492,283
FMS Financial Corp.................................... 200 1,812
FNB Rochester Corp.................................... 20,800 684,450
*FRP Properties, Inc.................................. 31,700 792,500
FSF Financial Corp.................................... 16,100 228,419
*FSI International, Inc............................... 36,500 296,562
*FTI Consulting, Inc.................................. 30,800 130,900
Fab Industries, Inc................................... 40,700 635,937
*Factory Card Outlet Corp............................. 37,900 43,230
*Fairchild Corp. Class A.............................. 140,431 2,097,688
Falcon Products, Inc.................................. 63,560 687,242
*#Family Golf Centers, Inc............................ 24,000 217,125
*Fansteel, Inc........................................ 73,951 415,974
*Farm Family Holdings, Inc............................ 6,000 207,000
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Farr Co.............................................. 75,962 $ 816,591
Farrel Corp........................................... 34,600 77,850
*Faxsav, Inc.......................................... 50,200 290,219
*Featherlite Manufacturing, Inc....................... 33,500 218,797
Fedders Corp.......................................... 76,800 436,800
Fedders Corp. Class A................................. 13,112 72,116
Federal Screw Works................................... 21,600 1,036,800
*#Female Health Co.................................... 44,000 48,125
*Ferrofluidics Corp................................... 40,500 163,898
*Fibermark, Inc....................................... 57,525 823,327
*Fiberstars, Inc...................................... 19,800 86,006
Fidelity Bancorp, Inc................................. 402 7,110
Fidelity Bancorp, Inc. Delaware....................... 13,700 319,381
Fidelity Federal Bancorp.............................. 18,940 56,820
Fidelity Financial of Ohio, Inc....................... 5,600 68,075
*Filenes Basement Corp................................ 176,050 291,583
*Finishmaster, Inc.................................... 64,800 364,500
*Finlay Enterprises, Inc.............................. 19,100 264,416
*Firearms Training Systems, Inc....................... 135,000 130,781
First Albany Companies, Inc........................... 4,072 74,314
*First Alliance Corp.................................. 10,000 28,594
*First American Health Concepts, Inc.................. 4,200 15,750
First Bancorp......................................... 1,300 32,825
*First Banks America, Inc............................. 5,879 107,292
First Bell Bancorp, Inc............................... 26,700 518,981
*First Cash, Inc...................................... 37,400 386,856
First Colonial Group, Inc............................. 800 18,450
*First Consulting Group, Inc.......................... 21,714 246,318
First Defiance Financial Corp......................... 59,492 706,467
First Essex Bancorp................................... 41,200 687,525
First Federal Bancshares of Arkansas, Inc............. 11,100 206,044
First Federal Capital Corp............................ 12,200 177,662
First Federal Savings & Loan Association of East
Hartford, CT........................................ 24,100 591,956
First Financial Holdings, Inc......................... 84,400 1,603,600
First Franklin Corp................................... 600 9,300
First Indiana Corp.................................... 110,940 2,121,727
*First Investors Financial Services Group, Inc........ 28,200 174,487
First Keystone Financial, Inc......................... 9,700 126,706
First Liberty Financial Corp.......................... 74,550 2,147,972
First Mariner Bank Corp............................... 10,400 122,200
First Merchants Corp.................................. 38,925 919,603
First Midwest Financial, Inc.......................... 12,100 177,341
First Mutual Savings Bank............................. 22,143 261,564
First Northern Capital Corp........................... 41,000 447,156
First Oak Brook Bancshares, Inc. Class A.............. 20,000 388,750
First Philson Financial Corp.......................... 1,700 70,975
*First Republic Bank.................................. 68,049 1,777,780
First Savings Bancorp, Inc. North Carolina............ 22,100 435,094
*First SecurityFed Financial, Inc..................... 2,800 33,512
*First Sierra Financial, Inc.......................... 6,300 139,191
*#First Team Sports, Inc.............................. 42,650 111,956
First Washington Bancorp, Inc......................... 17,600 354,200
First Western Bancorp, Inc............................ 44,075 1,538,493
First Years, Inc...................................... 68,600 1,116,894
Firstbank Corp........................................ 2,000 29,312
*#Firstplus Financial, Inc............................ 26,000 13,000
Firstspartan Financial Corp........................... 4,900 140,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Firstwave Technologies, Inc.......................... 35,700 $ 73,631
*Fischer Imaging Corp................................. 51,900 88,392
Flag Financial Corp................................... 25,600 254,400
Flamemaster Corp...................................... 247 1,590
*Flander Corp......................................... 212,600 803,894
Flanigan's Enterprises, Inc........................... 20,600 92,700
Flexsteel Industries, Inc............................. 61,800 845,887
Florida Public Utilities Co........................... 15,300 252,450
*Florsheim Group, Inc................................. 54,200 403,112
*Flow International Corp.............................. 164,300 1,648,134
Flushing Financial Corp............................... 48,850 723,591
*Foilmark, Inc........................................ 56,020 124,294
Fonar Corp............................................ 8,280 9,962
*Foodarama Supermarkets, Inc.......................... 22,000 613,250
Foothill Independent Bancorp.......................... 29,877 403,339
*Forcenergy, Inc...................................... 33,000 35,578
*Forte Software, Inc.................................. 91,000 514,719
*Fortune Natural Resources Corp....................... 49,107 24,553
*Forward Air Corp., Inc............................... 100,200 2,733,581
*Foster (L.B.) Co. Class A............................ 126,600 704,212
*Fotoball USA, Inc.................................... 2,700 15,441
*Fountain Powerboat Industries, Inc................... 30,300 121,673
*Four Kids Entertainment, Inc......................... 32,350 673,284
*Four Media Co........................................ 66,800 446,725
*Fourth Shift Corp.................................... 64,600 232,156
Frankfort First Bancorp, Inc.......................... 4,150 61,861
Franklin Bank National Associaton Southfield, MI...... 16,669 181,275
*Franklin Electronic Publishers, Inc.................. 39,900 209,475
Freds, Inc. Class A................................... 87,375 1,141,336
*#French Fragrances, Inc.............................. 79,200 602,662
Frequency Electronics, Inc............................ 62,539 543,308
*Fresh America Corp................................... 29,300 415,694
*Fresh Choice, Inc.................................... 50,000 117,187
*Fresh Foods, Inc..................................... 32,475 210,073
*#Friedman Billings Ramsey Group, Inc. Class A........ 87,000 908,062
Friedman Industries, Inc.............................. 149,337 616,016
Friedmans, Inc. Class A............................... 71,000 643,437
Frisch's Restaurants, Inc............................. 64,568 661,822
Frontier Adjusters of America, Inc.................... 2,700 7,425
*Frontier Oil Corp.................................... 239,300 1,211,456
Frozen Food Express Industries, Inc................... 107,100 749,700
*#Fuisz Technologies, Ltd............................. 86,600 335,575
*Funco, Inc........................................... 50,500 1,101,531
*Fusion Medical Technologies, Inc..................... 29,200 227,212
*G-III Apparel Group, Ltd............................. 44,770 95,836
GA Financial, Inc..................................... 17,600 261,800
*#GK Intelligent Systems, Inc......................... 1,800 1,125
*GP Strategies Corp................................... 71,050 710,500
*GRC International, Inc............................... 131,600 1,019,900
GS Financial Corp..................................... 4,000 42,125
*GSI Lumonics, Inc.................................... 79,338 364,459
*GTS Duratek, Inc..................................... 112,800 701,475
*GZA Geoenvironmental Technologies, Inc............... 17,500 77,656
*Gadzooks, Inc........................................ 65,000 623,594
Gainsco, Inc.......................................... 141,205 644,248
*Galey & Lord, Inc.................................... 95,000 391,875
*Galileo Corp......................................... 69,300 376,819
*GameTech International, Inc.......................... 2,700 11,222
*Gantos, Inc.......................................... 27,300 24,741
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Garan, Inc............................................ 33,600 $ 966,000
*Garden Fresh Restaurant Corp......................... 26,800 493,287
*Garden Ridge Corp.................................... 43,900 267,516
*#Gardenburger, Inc................................... 57,800 473,237
*Gart Sports Co....................................... 9,305 63,390
*Gasonics International, Inc.......................... 112,000 1,361,500
*Gateway Industries, Inc.............................. 11,120 18,765
*Geerling & Wade, Inc................................. 23,900 135,931
*Gehl Co.............................................. 38,500 792,859
Gencor Industries, Inc................................ 41,700 263,231
*Gene Logic, Inc...................................... 22,336 95,626
*Genelabs Technologies, Inc........................... 340,600 633,303
General Chemical Group, Inc........................... 93,800 398,650
*General Cigar Holdings, Inc. Class A................. 6,050 48,400
*General Communications, Inc.
Class A............................................. 372,000 1,848,375
*#General Datacomm Industries, Inc.................... 125,300 344,575
General Employment Enterprises, Inc................... 28,443 131,549
General Housewares Corp............................... 34,830 435,375
*#General Magic, Inc.................................. 234,700 872,791
General Magnaplate Corp............................... 8,500 34,000
*General Surgical Innovations, Inc.................... 86,700 335,962
*Genesco, Inc......................................... 31,100 415,962
Genesee Corp. Class B................................. 800 18,350
*Genesis Direct, Inc.................................. 60,900 218,859
*Genesis Health Ventures, Inc......................... 87,000 386,062
*Genicom Corp......................................... 109,900 202,628
*Genlyte Group, Inc................................... 69,700 1,496,372
*Genome Therapeutics Corp............................. 152,500 500,391
*Gensym Corp.......................................... 41,600 159,900
*Gentek, Inc.......................................... 93,800 1,219,400
*Genzyme Transgenics Corp............................. 121,200 552,975
*Geoscience Corp...................................... 25,000 167,187
*Geoworks............................................. 103,800 249,769
*Gerber Childrenswear, Inc............................ 70,000 472,500
*Geron Corp........................................... 60,700 724,606
*Getty Petroleum Marketing, Inc....................... 104,500 326,562
Getty Realty Corp. (Holding Co.)...................... 40,800 558,450
*Giant Cement Holding, Inc............................ 71,100 1,575,309
*Giant Group, Ltd..................................... 38,300 268,100
Giant Industries, Inc................................. 87,500 924,219
*Gibraltar Packaging Group, Inc....................... 33,500 41,875
Gibraltar Steel Corp.................................. 3,700 80,937
*Gibson Greetings, Inc................................ 14,400 105,300
*Giga-Tronics, Inc.................................... 35,000 75,469
*Gilman & Ciocia, Inc................................. 2,600 25,594
*Gish Biomedical, Inc................................. 74,750 217,242
Glacier Bancorp, Inc.................................. 19,214 392,702
*Glacier Water Services, Inc.......................... 30,600 604,350
Gleason Corp.......................................... 217,700 3,646,475
*Gliatech, Inc........................................ 60,700 1,563,025
*Global Industrial Technologies, Inc.................. 25,000 310,937
*Global Payment Technologies, Inc..................... 27,900 343,519
*Globe Business Resources, Inc........................ 23,200 272,600
Gold Banc Corp........................................ 16,800 229,425
*#Golden Books Family Entertainment, Inc.............. 18,500 6,382
Golden Enterprises, Inc............................... 57,600 225,000
*Good Guys, Inc....................................... 114,500 359,602
Gorman-Rupp Co........................................ 43,200 699,300
*Gottschalks, Inc..................................... 84,800 699,600
*Government Technology Services, Inc.................. 50,700 194,878
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Gradall Industries, Inc.............................. 44,100 $ 869,597
*Gradco Systems, Inc.................................. 154,986 382,622
*Graham Corp.......................................... 13,450 118,528
*Graham-Field Health Products, Inc.................... 308,650 694,462
Grand Premier Financial, Inc.......................... 1,595 18,891
Granite State Bankshares, Inc......................... 30,900 677,869
Gray Communications Systems, Inc...................... 28,700 453,819
Great Southern Bancorp, Inc........................... 19,100 462,578
*Great Train Store Co., Inc........................... 19,800 25,987
*Green Mountain Coffee, Inc........................... 14,800 115,625
Green Mountain Power Corp............................. 39,100 405,662
Green Star Financial Corp............................. 5,400 63,787
*Greenbriar Corp...................................... 34,300 70,744
Greenbrier Companies, Inc............................. 111,000 1,033,687
*Griffin Land & Nurseries, Inc.
Class A............................................. 20,800 234,000
*Gristede's Sloans, Inc............................... 33,339 68,762
*Group 1 Software, Inc................................ 66,410 680,702
*Grow Biz International, Inc.......................... 55,800 463,837
*Grubb & Ellis Co..................................... 165,952 1,057,944
Guarantee Life Companies, Inc......................... 30,000 594,375
*Guaranty Federal Bancshares, Inc..................... 2,400 27,975
*Guess, Inc........................................... 189,400 2,059,725
*Guest Supply, Inc.................................... 107,100 1,131,244
*Guilford Pharmaceuticals, Inc........................ 165,000 1,773,750
*Gulf Island Fabrication, Inc......................... 61,600 667,975
*Gulfmark Offshore, Inc............................... 51,600 841,725
*#Gumtech International, Inc.......................... 33,000 332,062
*Gundle/SLT Environmental, Inc........................ 129,600 518,400
*Gymboree Corp........................................ 26,100 318,909
*HCIA, Inc............................................ 76,400 656,563
*HD Vest, Inc......................................... 11,600 68,150
*HEI, Inc............................................. 19,300 86,850
*HF Bancorp, Inc...................................... 29,850 540,098
HF Financial Corp..................................... 20,400 303,450
*HIE, Inc............................................. 228,300 527,944
*HMI Industries, Inc.................................. 84,200 157,875
HMN Financial, Inc.................................... 30,100 380,013
*HMT Technology Corp.................................. 2,400 9,713
*#HORIZON Pharmacies, Inc............................. 12,100 72,600
*HPSC, Inc............................................ 74,800 705,925
*HS Resources, Inc.................................... 84,828 1,017,936
*HTE, Inc............................................. 13,000 60,531
Hach Co............................................... 15,300 268,706
Hach Co. Class A...................................... 300 5,137
Haggar Corp........................................... 54,500 691,469
*Hagler Bailly, Inc................................... 4,900 40,042
*Hahn Automotive Warehouse, Inc....................... 36,341 29,527
*Hain Food Group, Inc................................. 54,800 1,072,025
#Halifax Corp......................................... 8,650 34,600
*Hall Kinion Associates, Inc.......................... 64,800 473,850
*Hallmark Capital Corp................................ 13,100 155,562
*Hallwood Group, Inc.................................. 1,769 34,717
*#Halsey Drug Co., Inc................................ 133,422 358,572
*Halter Marine Group, Inc............................. 94,600 697,675
*Hammons (John Q.) Hotels, Inc. Class A............... 55,700 236,725
*Hampshire Group, Ltd................................. 4,900 55,891
*Hampton Industries, Inc.............................. 47,722 211,768
Hancock Fabrics, Inc.................................. 175,100 995,881
Harbor Federal Bancorp, Inc........................... 110 1,739
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Harding Lawson Associates Group, Inc................. 41,700 $ 351,844
Hardinge Brothers, Inc................................ 50,250 874,664
Harmon Industries, Inc................................ 81,450 1,695,178
*Harmonic Lightwaves, Inc............................. 98,700 4,867,144
*Harolds Stores, Inc.................................. 40,937 266,090
*Harry's Farmers Market, Inc.
Class A............................................. 20,200 18,306
*Hartmarx Corp........................................ 299,500 1,478,781
*Harvey Entertainment Co.............................. 30,000 191,250
*Hastings Entertainment, Inc.......................... 25,000 285,937
Hastings Manufacturing Co............................. 13,700 190,087
*Hathaway Corp........................................ 34,580 58,354
*#Hauppauge Digital, Inc.............................. 4,300 102,394
*Hauser, Inc.......................................... 67,500 166,641
Haven Bancorp, Inc.................................... 60,500 847,000
Haverty Furniture Co., Inc............................ 74,200 2,188,900
Haverty Furniture Co., Inc. Class A................... 13,550 396,337
*Hawaii Land & Farming Co., Inc....................... 19,300 6,031
*Hawaiian Airlines, Inc............................... 102,400 281,600
*Hawker Pacific Aerospace............................. 37,000 99,437
Hawkins Chemical, Inc................................. 55,984 498,608
*Hawthorne Financial Corp............................. 26,700 421,359
*#Hayes Corp.......................................... 29,677 1,261
*Headway Corporate Resources, Inc..................... 21,100 96,928
*Health Management Systems, Inc....................... 91,500 520,406
*Health Power, Inc.................................... 13,700 36,819
*Health Risk Management, Inc.......................... 34,700 357,844
*Health Systems Design Corp........................... 55,800 244,125
*Healthcare Recoveries, Inc........................... 105,000 434,766
*Healthcare Services Group, Inc....................... 118,200 1,085,963
*Healthcor Holdings................................... 30,000 7,500
Healthplan Services Corp.............................. 117,998 1,047,232
*Healthworld Corp..................................... 45,500 600,031
*Heartport, Inc....................................... 164,200 523,388
*Hecla Mining Co...................................... 5,000 12,188
*Hector Communications Corp........................... 21,300 199,688
Heico Corp............................................ 126,498 3,170,356
Heico Corp. Class A................................... 72,649 1,707,252
*Heist (C.H.) Corp.................................... 11,700 77,513
*Hello Direct, Inc.................................... 43,500 493,453
*Hemasure, Inc........................................ 56,400 222,075
*#Hemispherx Biopharma, Inc........................... 15,000 111,563
Heritage Financial Corp............................... 10,000 82,188
*Herley Industries, Inc............................... 15,333 198,850
*Heska Corp........................................... 83,000 321,625
*Hi-Shear Technology Corp............................. 35,900 186,231
*Hi-Tech Pharmacal, Inc............................... 37,500 157,031
*Hi/Fn, Inc........................................... 10,492 606,897
*#Hibbett Sporting Goods, Inc......................... 38,100 945,356
*High Plains Corp..................................... 137,576 288,050
*Highlands Insurance Group, Inc....................... 76,600 818,663
*#Highway Master Communications, Inc.................. 222,700 341,009
Hilb Rogal Hamilton Co................................ 75,835 1,545,138
Hilite Industries, Inc................................ 11,200 159,250
Hingham Institution for Savings MA.................... 5,350 80,584
*Hirsch International Corp. Class A................... 53,900 119,591
*Hoenig Group, Inc.................................... 36,600 336,263
*Holiday RV Superstores, Inc.......................... 20,600 74,031
Holly Corp............................................ 46,100 587,775
*Hollywood Casino Corp. Class A....................... 213,400 353,444
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hologic, Inc......................................... 69,900 $ 532,988
*Holt's Cigar Holdings, Inc........................... 3,200 14,600
Home Bancorp.......................................... 4,800 132,600
Home Federal Bancorp.................................. 33,300 867,881
Home Port Bancorp, Inc................................ 7,200 177,300
*Home Products International, Inc..................... 34,200 287,494
*Homebase, Inc........................................ 3,000 17,063
*#Homegold Financial, Inc............................. 32,600 50,938
Horizon Financial Corp................................ 37,503 516,838
*Hospitality Worldwide Services, Inc.................. 63,600 222,600
*Hot Topic, Inc....................................... 28,800 697,500
*Hovnanian Enterprises, Inc. Class A.................. 120,900 982,313
#Howell Corp.......................................... 108,200 453,088
*Howtek, Inc.......................................... 37,500 40,430
*Hub Group, Inc. Class A.............................. 55,700 1,549,156
*Hudson Hotels Corp................................... 9,500 13,063
*Hudson Technologies, Inc............................. 25,300 72,738
Huffy Corp............................................ 105,800 1,421,688
Hunt Corp............................................. 70,100 705,381
Huntco, Inc. Class A.................................. 41,200 118,450
*Hurco Companies, Inc................................. 47,600 306,425
*Hvide Marine, Inc. Class A........................... 52,300 95,611
*Hycor Biomedical, Inc................................ 69,316 108,306
*Hypercom Corp........................................ 25,000 176,563
*Hyseq, Inc........................................... 95,900 317,669
*I-Stat Corp.......................................... 72,300 659,738
*ICF Kaiser International, Inc........................ 199,000 99,500
*ICT Group, Inc....................................... 23,800 122,719
*ICU Medical, Inc..................................... 75,550 1,355,178
*IEC Electronics Corp................................. 59,800 216,775
*IFR Systems, Inc..................................... 95,102 374,464
*IGI, Inc............................................. 67,300 113,569
*II-VI, Inc........................................... 59,600 538,263
*#IMC Mortgage Co..................................... 85,000 11,263
IMCO Recycling, Inc................................... 96,200 1,611,350
*IOMED, Inc........................................... 2,200 4,675
ISB Financial Corp. LA................................ 30,500 650,031
*ISOCOR............................................... 67,800 421,631
*IT Group, Inc ....................................... 37,059 623,054
*ITC Learning Corp.................................... 26,300 119,994
*ITEQ, Inc............................................ 182,255 381,596
*ITI Technologies, Inc................................ 70,100 1,699,925
*ITLA Capital Corp.................................... 63,400 1,022,325
*IVI Checkmate Corp................................... 76,603 226,218
*Ibis Technology Corp................................. 40,700 807,641
Ico, Inc.............................................. 171,518 217,077
*Identix, Inc......................................... 158,900 1,598,931
*Ikos Systems, Inc.................................... 56,350 489,541
*Il Fornaio (America) Corp............................ 6,900 92,503
*Image Entertainment, Inc............................. 116,500 928,359
*#Imatron, Inc........................................ 266,900 246,048
*Imclone Systems, Inc................................. 94,000 1,847,688
*Immucor, Inc......................................... 55,500 683,344
*Immulogic Pharmaceutical Corp........................ 143,900 272,061
*#Immune Response Corp. DE............................ 153,400 968,338
*#Immunogen, Inc...................................... 106,400 249,375
*#Immunomedics, Inc................................... 220,900 531,541
*Impath, Inc.......................................... 26,600 729,838
*Impco Technologies, Inc.............................. 32,400 287,550
Imperial Sugar Co..................................... 79,200 480,150
*In Focus Systems, Inc................................ 120,000 1,263,750
Independence Holding Co............................... 13,519 149,554
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Independent Bank Corp. MA............................. 131,800 $ 1,906,981
#Independent Bank East................................ 51,690 885,191
Independent Bankshares, Inc........................... 1,182 12,707
*Individual Investor Group, Inc....................... 13,500 94,078
Industrial Bancorp, Inc............................... 16,300 338,225
*#Industrial Data Systems Corp........................ 11,500 31,625
*Industrial Distribution Group, Inc................... 60,000 405,000
*Industrial Holdings, Inc............................. 57,300 417,216
*Inference Corp. Class A.............................. 60,000 286,875
*Infinium Software, Inc............................... 113,600 642,550
*Infocure Corp........................................ 7,000 258,563
*#Infonautics Corp. Class A........................... 47,600 294,525
*Information Advantage, Inc........................... 47,040 192,570
*Information Management Associates, Inc............... 34,000 112,625
*Information Resource Engineering, Inc................ 32,800 782,075
*Infu-tech, Inc....................................... 14,600 18,250
Ingles Market, Inc. Class A........................... 500 6,047
*Innerdyne, Inc....................................... 153,800 302,794
*Innodata Corp........................................ 2,783 28,352
*#Innovative Gaming Corp. of America.................. 34,050 77,677
Innovex, Inc.......................................... 16,500 222,750
*Inprise Corp......................................... 1,700 6,163
*Input Software, Inc.................................. 56,300 320,206
*#Insite Vision, Inc.................................. 95,300 119,125
*Insituform East, Inc................................. 20,200 24,619
*Insituform Technologies, Inc.
Class A............................................. 79,955 1,331,750
*Inso Corp............................................ 85,000 580,391
Insteel Industries, Inc............................... 61,644 531,680
Instron Corp.......................................... 118,200 2,349,225
*Insurance Auto Auctions, Inc......................... 70,400 915,200
*Integra Lifesciences Corp............................ 48,150 240,750
*Integra, Inc......................................... 41,400 56,925
*Integrated Device Technology, Inc.................... 35,887 283,732
*Integrated Measurement System, Inc................... 54,700 608,538
*Integrated Orthopedics, Inc.......................... 45,000 50,625
*Integrated Silicon Solution, Inc..................... 125,200 332,563
*#Intellicall, Inc.................................... 80,807 156,564
*Intellicorp, Inc..................................... 6,900 7,223
*Intellidata Technologies Corp........................ 35,100 129,980
*#Intelligent Medical Imaging, Inc.................... 13,100 11,258
*Intelligent Systems Corp............................. 27,300 83,606
*#Intelligroup, Inc................................... 78,200 530,294
Interchange Financial Services Corp. Saddle Brook..... 33,180 528,806
*Interface Systems, Inc............................... 30,500 71,484
*Interferon Scientific, Inc........................... 13,680 5,130
*Interleaf, Inc....................................... 7,700 44,275
*Interlink Electronics................................ 44,600 314,291
*Interlinq Software Corp.............................. 35,000 279,453
*Interlott Technologies, Inc.......................... 19,500 117,000
*Intermagnetics General Corp.......................... 165,361 1,291,883
International Aluminum Corp........................... 14,900 415,338
*International FiberCom, Inc.......................... 2,700 19,828
*#International Microcomputer Software, Inc........... 30,300 193,163
*International Remote Imaging Systems, Inc............ 35,350 48,606
International Shipholding Corp........................ 53,950 751,928
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*International Thoroughbred Breeders, Inc............. 56,650 $ 17,703
*International Total Services, Inc.................... 32,600 124,288
*Interneuron Pharmaceuticals, Inc..................... 35,900 104,334
*Interphase Corp...................................... 34,300 493,063
*Interpore International.............................. 79,900 345,817
*Interstate National Dealers Services, Inc............ 21,300 153,094
*Intersystems, Inc.................................... 52,700 46,113
*Intertan, Inc........................................ 98,900 1,526,769
*Intervisual Books, Inc. Class A...................... 5,900 6,638
*Intervoice, Inc...................................... 136,000 1,508,750
*#Intevac, Inc........................................ 98,200 441,900
Investors Title Co.................................... 24,000 484,500
*Invision Technologies, Inc........................... 72,800 393,575
*Invivo Corp.......................................... 23,000 281,750
*Iridex Corp.......................................... 33,300 141,525
Iroquois Bancorp...................................... 1,700 31,450
*Irwin Naturals/4Health, Inc.......................... 128,700 301,641
Isco, Inc............................................. 101,341 570,043
*Isle of Capri Casinos, Inc........................... 200,500 1,412,898
*Isolyser Co., Inc.................................... 301,025 1,067,698
*#Itron, Inc.......................................... 44,400 367,688
*Iwerks Entertainment, Inc............................ 100,924 93,039
*J & J Snack Foods Corp............................... 50,000 1,031,250
*J. Alexander's Corp.................................. 120,200 495,825
*JDA Software Group, Inc.............................. 3,800 33,963
*#JMAR Industries, Inc................................ 90,500 182,414
*JPM Co............................................... 54,900 566,156
*JWGenesis Financial Corp............................. 28,500 464,906
*Jackpot Enterprises, Inc............................. 55,975 465,292
Jacksonville Bancorp, Inc............................. 13,500 214,313
*Jaclyn, Inc.......................................... 23,227 69,681
*Jaco Electronics, Inc................................ 28,473 108,553
*Jacobson Stores, Inc................................. 49,700 366,538
*Jakks Pacific, Inc................................... 30,300 837,984
*Jan Bell Marketing, Inc.............................. 224,900 688,756
*Jason, Inc........................................... 128,000 1,080,000
*Javelin Systems, Inc................................. 4,900 63,394
*Jean Philippe Fragrances, Inc........................ 69,000 564,938
Jeffbanks, Inc........................................ 22,645 574,617
Jefferson Savings Bancorp, Inc........................ 80,000 977,500
*Jenna Lane, Inc...................................... 2,500 5,625
*Jennifer Convertibles, Inc........................... 41,000 114,672
*Jevic Transportation, Inc............................ 13,500 137,953
*Johnson Worldwide Associates, Inc. Class A........... 64,000 572,000
*Johnston Industries, Inc............................. 197,813 445,079
*Johnstown American Industries, Inc................... 86,700 1,360,106
*Jos. A. Bank Clothiers, Inc.......................... 47,900 343,533
*Joule, Inc........................................... 42,100 99,988
*Jps Packaging Company................................ 19,250 93,844
*Just Toys, Inc....................................... 14,150 18,572
*K & G Men's Center, Inc.............................. 66,600 747,169
K Swiss, Inc. Class A................................. 62,400 3,588,000
*#K-Tel International, Inc............................ 35,700 222,009
*K-Tron International, Inc............................ 63,400 1,117,425
K2, Inc............................................... 50,600 502,838
*KBK Capital Corp..................................... 30,000 195,000
KCS Energy, Inc....................................... 251,500 141,469
*#KFX, Inc............................................ 73,700 119,763
*KLLM Transport Services, Inc......................... 37,400 252,450
</TABLE>
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*KTI, Inc............................................. 38,519 $ 403,246
*KVH Industries, Inc.................................. 20,200 49,238
*Kaiser Ventures, Inc................................. 78,900 1,104,600
*Kaneb Services, Inc.................................. 202,600 899,038
Kankakee Bancorp, Inc................................. 1,500 41,813
*Kasper A.S.L., Ltd................................... 9,400 54,638
Katy Industries, Inc.................................. 49,300 810,369
Kaye Group, Inc....................................... 42,000 305,813
Keithley Instruments, Inc............................. 21,800 188,025
*Kelley Oil & Gas Corp................................ 81,200 57,094
Kenan Transport Co.................................... 200 6,300
*Kendle International, Inc............................ 11,100 151,584
*Kennedy-Wilson, Inc.................................. 47,900 435,591
*Kensey Nash Corp..................................... 52,400 517,450
*Kent Financial Services, Inc......................... 28,556 107,977
Kentek Information Systems, Inc....................... 10,000 77,188
*Kentucky Electric Steel, Inc......................... 15,700 48,081
Kentucky First Bancorp, Inc........................... 4,500 54,000
*#Keravision, Inc..................................... 60,500 601,219
*Kevco, Inc........................................... 36,200 226,250
Kewaunee Scientific Corp.............................. 20,400 196,350
*Key Energy Group, Inc................................ 46,758 149,041
*Key Production Co., Inc.............................. 88,661 753,619
*Key Technology, Inc.................................. 29,300 252,713
*Key Tronic Corp...................................... 129,100 689,878
*Keystone Consolidated Industries, Inc................ 88,600 647,888
*Kimmins Corp......................................... 25,833 32,695
*Kinark Corp.......................................... 52,800 118,800
*Kinnard Investment, Inc.............................. 35,800 144,878
*Kit Manufacturing Co................................. 12,000 81,000
*Kitty Hawk, Inc...................................... 59,700 472,003
Klamath First Bancorp, Inc............................ 53,800 843,988
Knape & Vogt Manufacturing Co......................... 27,899 439,409
*Knight Transportation, Inc........................... 23,400 463,613
*Koala Corp........................................... 12,200 289,750
*Kofax Image Products, Inc............................ 5,300 47,203
Kollmorgen Corp....................................... 48,400 608,025
*Kopin Corp........................................... 85,900 1,691,156
*Koss Corp............................................ 52,000 640,250
*Krauses Furniture, Inc............................... 2,933 5,866
*Kronos, Inc.......................................... 43,200 1,601,100
*Krug International Corp.............................. 33,465 54,381
*LBP, Inc............................................. 27,800 109,463
*LCC International, Inc. Class A...................... 32,500 154,375
*LLEX Oncology, Inc................................... 60,600 602,213
*LLX Resorts, Inc..................................... 13,400 26,800
LSB Bancshares, Inc. NC............................... 30,190 600,026
LSB Industries, Inc................................... 109,200 204,750
LSI Industries, Inc................................... 143,403 3,172,791
*LTX Corp............................................. 173,500 1,550,656
*#LXR Biotechnology, Inc.............................. 68,300 21,344
*La Jolla Pharmceutical Co............................ 145,900 157,298
*LaBarge, Inc......................................... 221,650 471,006
LaCrosse Footwear, Inc................................ 14,200 115,375
Lab Holdings, Inc..................................... 1,800 25,313
Labone, Inc........................................... 28,500 343,781
*Labtec, Inc.......................................... 12,466 65,447
*Laclede Steel Co..................................... 25,450 11,532
*Ladd Furniture, Inc.................................. 48,533 994,927
*Lai Worldwide, Inc................................... 19,200 114,000
*Lakeland Industries, Inc............................. 22,500 142,031
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Lakeview Financial Corp............................... 20,700 $ 417,234
*Lamson & Sessions Co................................. 143,800 844,825
*Lancer Corp.......................................... 99,225 775,195
*Landair Corp......................................... 50,100 238,758
Landauer, Inc......................................... 76,800 2,131,200
*Landec Corp.......................................... 110,100 409,434
*Lanvision Systems, Inc............................... 61,600 88,550
*Larscom, Inc......................................... 27,000 68,344
*Laser Vision Centers, Inc............................ 48,400 2,740,650
*#LaserSight Corporation.............................. 98,000 1,693,563
Lawrence Savings Bank MA.............................. 7,700 68,338
Lawson Products, Inc.................................. 4,900 121,888
Lawter International, Inc............................. 16,000 195,000
*Layne Christensen Co................................. 86,800 580,475
*Lazare Kaplan International, Inc..................... 72,800 691,600
*Leapnet, Inc......................................... 35,700 88,134
*Learning Tree International, Inc..................... 2,700 28,519
*#Leasing Solutions, Inc.............................. 68,100 72,356
*Lechters, Inc........................................ 128,400 296,925
*Lecroy Corp.......................................... 42,700 741,913
*Lectec Corp.......................................... 19,180 59,938
Lesco, Inc............................................ 87,100 1,546,025
*#Level 8 Systems, Inc................................ 55,400 486,481
*Lexington Global Asset Managers, Inc................. 20,100 65,325
*Liberty Bancorp, Inc................................. 3,600 30,038
Liberty Homes, Inc. Class A........................... 200 1,863
*Life Financial Corp.................................. 2,600 10,319
*Life Medical Sciences, Inc........................... 70,100 50,384
*Lifecell Corp........................................ 800 3,325
*Lifecore Biomedical, Inc............................. 108,400 1,202,563
*Lifeline Systems, Inc................................ 34,000 633,250
Lifetime Hoan Corp.................................... 85,302 767,718
*Lightbridge, Inc..................................... 90,400 912,475
Lillian Vernon Corp................................... 50,100 645,038
*Lindal Cedar Homes, Inc.............................. 40,777 82,828
Lindberg Corp......................................... 53,200 625,100
Lindsay Manufacturer Co............................... 36,500 643,313
*Liposome Co., Inc.................................... 75,700 1,081,091
Liqui Box Corp........................................ 13,400 713,550
Litchfield Financial Corp............................. 33,703 552,940
*Lithia Motors, Inc. Class A.......................... 43,900 831,356
*Littlefield, Adams & Co.............................. 16,577 37,298
*Lodgenet Entertainment Corp.......................... 93,600 1,164,150
*Lodgian, Inc......................................... 180,000 1,260,000
*Loehmanns, Inc....................................... 75,000 66,797
*#Logic Devices, Inc.................................. 49,300 171,009
*Logility, Inc........................................ 58,000 288,188
*Lojack Corp.......................................... 117,800 916,631
*Long Beach Financial Corp............................ 1,400 19,994
*Loronix Information Systems, Inc..................... 27,400 272,288
Lufkin Industries, Inc................................ 35,100 589,022
*Lumisy, Inc.......................................... 62,200 241,025
*Lunar Corp........................................... 83,100 688,172
*Lund International Holdings, Inc..................... 15,800 92,825
*Lydall, Inc. DE...................................... 134,500 1,622,406
*Lynch Corp........................................... 29,600 2,301,400
*Lynx Therapeutics, Inc............................... 19,000 230,969
*#M.H. Meyerson & Co., Inc............................ 32,550 254,297
M/A/R/C, Inc.......................................... 32,757 490,331
*MAI Systems Corp..................................... 68,507 261,183
*MB Financial, Inc.................................... 13,600 182,750
</TABLE>
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MFB Corp.............................................. 7,000 $ 150,063
*MFRI, Inc............................................ 30,800 139,563
*MGI Pharma, Inc...................................... 146,200 1,535,100
*MHM Services, Inc.................................... 75 45
MI Schottenstein Homes, Inc........................... 51,900 1,005,563
*MIM Corp............................................. 53,900 146,541
MOCON, Inc............................................ 84,975 488,606
*MRV Communications, Inc.............................. 48,000 561,000
*MS Carriers, Inc..................................... 42,600 1,355,213
MTS Systems Corp...................................... 54,800 643,900
MYR Group, Inc........................................ 65,333 988,162
*Mac-Gray Corp........................................ 104,000 929,500
*Mackie Designs, Inc.................................. 107,900 539,500
*MacNeal-Schwendler Corp.............................. 124,600 716,450
*Madden (Steven), Ltd................................. 93,500 1,002,203
*Made2Manage Systems, Inc............................. 1,100 11,378
*Magainin Pharmaceuticals, Inc........................ 215,000 342,656
*Magellan Health Services, Inc........................ 78,000 628,875
*#Magnum Hunter Resources, Inc........................ 182,500 661,563
*Main Street & Main, Inc.............................. 46,475 165,567
Maine Public Service Co............................... 32,700 502,763
*#Malibu Entertainment Worldwide, Inc................. 5,200 6,500
*Mallon Resources Corp................................ 30,575 267,531
*Managed Care Solutions, Inc.......................... 20,133 78,015
*#Manatron, Inc....................................... 115 794
*Manchester Equipment Co., Inc........................ 24,800 80,600
*Manugistic Group, Inc................................ 86,000 776,688
*Mapics, Inc.......................................... 174,900 1,650,619
*Mapinfo Corp......................................... 46,000 868,250
*Marcam Solutions, Inc................................ 34,550 249,948
*Marine Transport Corp................................ 51,000 218,344
*Mariner Post-Acute Network, Inc...................... 100,000 225,000
*Marisa Christina, Inc................................ 72,200 56,406
Maritrans, Inc........................................ 77,900 447,925
*Mark VII, Inc........................................ 95,600 1,511,675
*Market Facts, Inc.................................... 4,000 125,125
*Marlton Technologies, Inc............................ 62,300 292,031
Marsh Supermarkets, Inc. Class A...................... 17,700 263,288
Marsh Supermarkets, Inc. Class B...................... 23,400 292,500
*Martek Biosciences Corp.............................. 76,200 804,863
*Marten Transport, Ltd................................ 52,800 694,650
Mason Dixon Bancshares, Inc........................... 8,400 393,750
Massbank Corp. Reading, MA............................ 18,700 701,250
*Matec Corp........................................... 23,800 86,275
*Material Sciences Corp............................... 135,167 1,503,733
*Mathsoft, Inc........................................ 40,100 127,192
*Matlack Systems, Inc................................. 75,650 392,434
*Matria Healthcare, Inc............................... 265,700 1,577,594
*Matritech, Inc....................................... 192,300 264,413
*Matrix Pharmaceutical, Inc........................... 154,100 724,752
*Matrix Service Co.................................... 83,600 329,175
*Matthews Studio Equipment Group...................... 50,600 520,231
*Mattson Technology, Inc.............................. 125,000 898,438
*Maverick Tube Corp................................... 100,200 1,299,469
*Max & Ermas Restaurants, Inc......................... 19,257 139,613
*Maxco, Inc........................................... 18,000 120,375
*Maxicare Health Plans, Inc........................... 91,600 455,138
*Maxim Group, Inc..................................... 43,700 393,300
*#Maxim Pharmaceuticals, Inc.......................... 45,500 460,688
*Maxwell Shoe Company, Inc............................ 66,000 556,875
*Maxwell Technologies, Inc............................ 61,992 1,402,569
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mayflower Co-Operative Bank Middleboro................ 300 $ 4,228
*Maynard Oil Co....................................... 103,200 1,006,200
*Mays (J.W.), Inc..................................... 2,700 18,900
*Mazel Stores, Inc.................................... 33,000 313,500
*McClain Industries, Inc.............................. 91,066 503,709
McGrath Rent Corp..................................... 52,800 996,600
*McMoran Exploration Co............................... 29,100 525,619
*McNaughton Apparel Group, Inc........................ 62,500 378,906
*McWhorter Technologies, Inc.......................... 86,000 1,193,250
*Meade Instruments Corp............................... 17,400 232,725
*Meadow Valley Corp................................... 14,800 68,450
Meadowbrook Insurance Group, Inc...................... 75,000 1,012,500
*Measurement Specialties, Inc......................... 18,950 236,875
*Mechanical Dynamics, Inc............................. 23,200 147,900
*Mecon, Inc........................................... 66,200 546,150
*Medar, Inc........................................... 105,500 229,133
*Medarex, Inc......................................... 214,800 892,763
*Medco Research, Inc.................................. 63,300 1,487,550
Medford Bancorp, Inc.................................. 75,800 1,250,700
*Media 100, Inc....................................... 82,600 554,969
*Media Arts Group, Inc................................ 91,400 634,088
*#Media Logic, Inc.................................... 21,800 6,813
*Medialink Worldwide, Inc............................. 44,400 718,725
*Medical Action Industries, Inc....................... 55,200 163,875
*Medical Alliance, Inc................................ 53,800 144,588
*Medical Graphics Corp................................ 19,050 25,598
*#Medical Resources, Inc.............................. 40,175 84,116
*Medicalcontrol, Inc.................................. 17,500 147,656
*Medicore, Inc........................................ 47,500 50,469
*Medirisk, Inc........................................ 16,300 168,603
*#Medplus, Inc........................................ 50,700 98,231
*Medstone International, Inc.......................... 43,700 318,191
*Melita International Corp............................ 75,400 1,095,656
Merchants Bancorp, Inc................................ 20,000 553,750
Merchants Bancshares, Inc............................. 23,500 544,906
Merchants Group, Inc.................................. 12,300 269,063
*#Mercury Air Group, Inc.............................. 43,865 290,606
*Meridian Data, Inc................................... 70,600 533,913
Meridian Diagnostics, Inc............................. 129,454 1,003,269
Meridian Insurance Group, Inc......................... 31,370 519,566
*Meridian Medical Technology, Inc..................... 18,000 108,563
*Meridian Resource Corp............................... 433,272 2,328,837
*Merisel, Inc......................................... 240,800 560,613
*Merit Medical Systems, Inc........................... 48,050 280,792
*Merix Corp........................................... 48,000 288,000
*Merrimac Industries, Inc............................. 13,565 94,955
*Mesa Air Group, Inc.................................. 243,500 1,605,578
*Mesa Labs, Inc....................................... 26,300 122,459
*Mesaba Holdings, Inc................................. 59,050 876,523
*Messagemedia, Inc.................................... 21,300 189,703
*Mestek, Inc.......................................... 118,750 2,419,531
*Meta Group, Inc...................................... 11,300 155,728
*Metacreations Corp................................... 111,800 660,319
*#Metal Management, Inc............................... 162,606 299,805
*Metatec Corp. Class A................................ 65,100 290,916
*Met-Coil Systems Corp................................ 27,500 113,438
Met-Pro Corp.......................................... 151,665 1,990,603
*Metra Biosystems, Inc................................ 72,100 77,733
*#Metricom, Inc....................................... 121,900 1,203,763
*Metrika System Corp.................................. 24,000 229,500
*Metro One Telecommunications, Inc.................... 55,300 838,141
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Metrocall, Inc....................................... 270,663 $ 790,843
*Metrologic Instruments, Inc.......................... 57,300 687,600
*Metrotrans Corp...................................... 7,000 17,063
Metrowest Bank MA..................................... 91,900 545,656
*Michael Anthony Jewelers, Inc........................ 74,300 292,556
*Micrion Corp......................................... 20,300 243,600
*Micro Linear Corp.................................... 98,000 353,719
*Microage, Inc........................................ 67,500 377,578
*Microcide Pharmaceuticals, Inc....................... 49,700 208,895
*Micrografx, Inc...................................... 89,800 597,731
*Micros to Mainframes, Inc............................ 22,300 91,291
*Microsemi Corp....................................... 135,875 1,320,535
*Microtest, Inc....................................... 64,200 170,531
*Micro-Therapeutics, Inc.............................. 24,100 206,356
*Microtouch Systems, Inc.............................. 71,200 1,045,750
*Microware Systems Corp............................... 62,900 112,041
*Microwave Power Dynamics, Inc........................ 85,500 1,293,188
Mid America Banccorp.................................. 32,964 799,377
Midcoast Energy Resources, Inc........................ 8,750 142,188
*Middleby Corp........................................ 93,600 453,375
Middlesex Water Co.................................... 20,400 483,863
Midland Co............................................ 44,100 1,080,450
*Midway Airlines Corp................................. 58,200 600,188
*Midwest Grain Products, Inc.......................... 43,500 405,094
Mikasa, Inc........................................... 17,200 191,350
*Mikohn Gaming Corp................................... 69,150 263,634
*#Milestone Scientific, Inc........................... 23,900 32,863
*Miller Building Systems, Inc......................... 72,800 432,250
*Miltope Group, Inc................................... 50,500 58,391
Minntech Corp......................................... 32,630 451,728
Minuteman International, Inc.......................... 15,400 141,488
*#Miravant Medical Technologies....................... 7,700 57,991
*Mitcham Industries, Inc.............................. 52,600 224,372
*Mity-Lite, Inc....................................... 28,100 532,144
Mobile America Corp................................... 33,700 129,534
*Mobile Mini, Inc..................................... 44,900 589,313
*Mobius Management Systems, Inc....................... 22,000 187,000
*#Modacad, Inc........................................ 32,700 319,847
*Modtech Holdings, Inc................................ 74,445 670,005
*Molecular Biosystems, Inc............................ 160,700 401,750
*Molecular Devices Corp............................... 41,100 1,009,519
*Monarch Casino and Resort, Inc....................... 82,100 484,903
*Monarch Dental Corp.................................. 89,300 320,922
Monarch Machine Tool Co............................... 39,761 350,394
*Monro Muffler Brake, Inc............................. 41,583 352,156
Monterey Bay Bancorp, Inc............................. 21,125 306,313
*#Monterey Pasta Co................................... 43,300 109,603
*Moore Handley, Inc................................... 1,500 3,094
*Moore Medical Corp................................... 25,100 265,119
Moore Products Co..................................... 21,900 511,913
*Morgan Products, Ltd................................. 84,000 312,375
Morrison Health Care, Inc............................. 2,000 39,125
*Morrow Snowboards, Inc............................... 12,000 2,625
*Morton Industrial Group, Inc.
Class A............................................. 22,645 173,376
*Morton's Restaurant Group, Inc....................... 54,900 967,613
*Mosaix, Inc.......................................... 99,800 1,038,544
*#Mossimo, Inc........................................ 149,750 1,366,469
*Mother's Work, Inc................................... 33,500 374,781
*Motor Car Parts & Accessories, Inc................... 46,500 268,828
*Motor Club of America................................ 20,500 259,453
Movado Group, Inc..................................... 65,575 1,581,997
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Movie Gallery, Inc................................... 110,000 $ 677,188
Mueller (Paul) Co..................................... 26,700 866,916
*Multi Color Corp..................................... 9,800 65,844
*Multigraphics, Inc................................... 3,400 7,225
*Multiple Zones International, Inc.................... 115,500 1,025,063
*Mutual Savings Bank FSB Bay City, MI................. 24,400 314,913
*Mylex Corp........................................... 136,300 719,834
*Myriad Genetics, Inc................................. 45,300 467,156
*Mysoftware Co........................................ 19,500 328,453
*N & F Worldwide Corp................................. 88,800 688,200
*NABI, Inc............................................ 300,086 853,370
NBT Bancorp........................................... 53,517 1,110,478
*NFO Worldwide, Inc................................... 15,000 212,813
NN Ball & Roller, Inc................................. 143,300 806,063
*NPC International, Inc............................... 1,100 19,181
*NPS Pharmaceuticals, Inc............................. 79,400 555,800
*NS Group, Inc........................................ 138,000 983,250
*NTN Communications, Inc.............................. 58,791 44,093
NYMAGIC, Inc.......................................... 62,700 783,750
*Nanometrics, Inc..................................... 43,300 300,394
*Napco Security Systems, Inc.......................... 64,100 184,288
*#Napro Biotherapeutics, Inc.......................... 91,100 192,164
Nash Finch Co......................................... 60,600 564,338
*Nashua Corp.......................................... 44,500 506,188
*Nastech Pharmaceutical Co., Inc...................... 54,800 145,563
*Nathans Famous, Inc.................................. 30,400 114,950
*National Beverage Corp............................... 79,900 659,175
*National City Bancorp................................ 39,149 782,980
*National Dentex Corp................................. 37,000 580,438
*National Home Centers, Inc........................... 60,000 75,000
*National Home Health Care Corp....................... 22,283 96,792
*National Record Mart, Inc............................ 30,200 227,444
*National Research Corp............................... 45,200 121,475
*National RV Holdings, Inc............................ 80,550 2,069,128
National Security Group, Inc.......................... 10,500 118,781
*National Standard Co................................. 96,500 572,969
National Technical Systems, Inc....................... 53,584 241,128
*National Techteam, Inc............................... 117,300 626,822
*Natrol, Inc.......................................... 40,000 347,500
*Natural Alternatives International, Inc.............. 51,800 186,156
*Natural Microsystems Corp............................ 54,400 333,200
*Natural Wonders, Inc................................. 51,200 190,400
Natures Sunshine Products, Inc........................ 138,500 1,722,594
*Navarre Corp......................................... 62,200 754,175
*Navigant International, Inc.......................... 6,200 50,278
*Navigators Group, Inc................................ 21,620 308,085
*Neff Corp. Class A................................... 135,000 1,780,313
Nelson (Thomas), Inc.................................. 58,700 575,994
*Neogen Corp.......................................... 32,300 228,119
*Neopath, Inc......................................... 97,700 387,747
*#Neopharm, Inc....................................... 97,800 1,540,350
*Neorx Corp........................................... 167,200 237,738
*Neose Technologies, Inc.............................. 70,100 768,909
*#Neotherapeutics, Inc................................ 27,400 351,063
*Netmanage, Inc....................................... 296,777 783,677
*Netopia, Inc......................................... 53,700 1,506,956
*Netrix Corp.......................................... 92,200 305,413
*Netspeak Corp........................................ 38,700 403,931
*Network Computing Devices, Inc....................... 133,500 634,125
*Network Equipment Technologies, Inc.................. 47,000 487,625
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Network Peripherals, Inc............................ 79,200 $ 1,145,925
*Network Six, Inc..................................... 775 3,923
*Neurobiological Technologies, Inc.................... 14,600 17,794
*Neurocrine Biosciences, Inc.......................... 46,600 253,388
*Neurogen Corp........................................ 43,600 542,275
*New Brunswick Scientific Co., Inc.................... 45,419 425,803
*New Century Financial Corp........................... 74,400 1,085,775
New England Community Bancorp, Inc. Class A........... 32,560 636,955
New Hampshire Thrift BancShares, Inc.................. 600 8,288
*New Horizons Worldwide, Inc.......................... 57,400 1,151,588
*New Mexico & Arizona Land Co......................... 59,482 446,115
*Newcor, Inc.......................................... 86,126 409,099
Newmil Bancorp, Inc................................... 44,200 444,763
Newport Corp.......................................... 76,000 1,154,250
*Newsedge Corp........................................ 107,100 907,003
*Nexthealth, Inc...................................... 26,700 29,203
*#Niagara Corp........................................ 42,100 301,278
*Nichols Research Corp................................ 42,250 860,844
*Nitches, Inc......................................... 10,194 34,405
*Nitinol Medical Technologies, Inc.................... 85,500 267,188
*Nobel Learning Communities, Inc...................... 37,150 204,325
*Nobility Homes....................................... 39,082 345,631
*Noel Group, Inc...................................... 43,600 28,613
Noland Co............................................. 500 9,906
*Noodle Kidoodle, Inc................................. 65,000 420,469
*Norstan, Inc......................................... 90,400 1,019,825
*North American Scientific, Inc....................... 41,200 301,275
North Carolina Natural Gas Corp....................... 6,175 208,020
North Central Bancshares, Inc......................... 15,500 276,094
*North Face, Inc...................................... 78,100 700,459
Northeast Bancorp..................................... 10,400 109,200
Northern Technologies International................... 22,600 135,600
*Northfield Laboratories, Inc......................... 93,100 1,123,019
Northland Cranberries, Inc. Class A................... 100,400 906,738
Northrim Bank......................................... 11,460 124,269
*Northwest Pipe Co.................................... 34,700 596,406
*Northwest Teleproductions, Inc....................... 15,800 10,863
*Northwestern Steel & Wire Co......................... 161,600 196,950
*Novacare Employee Services, Inc...................... 35,700 167,344
*Novacare, Inc........................................ 61,300 130,263
*Novadigm, Inc........................................ 102,200 769,694
*Novametrix Medical Systems, Inc...................... 61,600 265,650
*Novavax, Inc......................................... 85,400 357,613
*Noven Pharmaceuticals, Inc........................... 138,500 848,313
*Novitron International, Inc.......................... 4,712 6,185
*Nstor Technology..................................... 6,800 20,400
*Nu Horizons Electronics Corp......................... 71,054 439,647
*Number Nine Visual Technology Corp................... 2,400 6,075
*Numerex Corp. Class A................................ 27,900 103,753
*Nutramax Products, Inc............................... 44,000 173,250
*Nutrition for Life International, Inc................ 1,400 3,084
*O'Charleys, Inc...................................... 93,075 1,215,792
O'Sullivan Corp....................................... 95,400 846,675
*O'Sullivan Industries Holdings, Inc.................. 133,400 2,217,775
*O.I. Corp............................................ 21,900 104,709
*OAO Technology Solutions, Inc........................ 49,900 202,719
*ODS Networks, Inc.................................... 78,500 269,844
*OMNI Energy Services Corp............................ 27,700 121,188
*ORBIT/FR, Inc........................................ 1,800 5,119
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*OSI Pharmaceutical, Inc.............................. 143,800 $ 790,900
*OSI Systems, Inc..................................... 17,300 92,988
*OTR Express, Inc..................................... 16,600 60,175
Oak Hill Financial, Inc............................... 10,900 207,781
*Oak Technology, Inc.................................. 248,100 864,473
*Object Design, Inc................................... 219,900 790,266
*Objective Systems Integrators, Inc................... 296,537 847,910
*Objectshare, Inc..................................... 52,300 59,655
*Odwalla, Inc......................................... 32,600 262,838
Oglebay Norton Co..................................... 50,000 1,221,875
Ohio Art Co........................................... 3,400 53,125
Oil-Dri Corp. of America.............................. 60,900 936,338
*Old Dominion Freight Lines, Inc...................... 71,800 843,650
*Olympic Steel, Inc................................... 94,000 722,625
*Omega Health System, Inc............................. 35,500 269,578
*Omega Protein Corp................................... 39,000 238,875
*Omega Worldwide, Inc................................. 65,000 278,281
*#Omtool, Ltd......................................... 111,500 425,094
*On Assignment, Inc................................... 40,800 1,055,700
*On Technology Corp................................... 25,000 37,891
*On-Point Technology Systems, Inc..................... 76,800 223,200
*#Oncor, Inc.......................................... 187,200 9,126
*One Price Clothing Stores, Inc....................... 71,300 292,998
*Onhealth Network Company............................. 65,000 739,375
*Ontrack Data International, Inc...................... 78,700 366,447
*Onyx Acceptance Corp................................. 39,700 313,878
*Onyx Pharmacueticals, Inc............................ 60,500 487,781
*Openroute Networks, Inc.............................. 2,400 8,625
*Opinion Research Corp................................ 15,500 83,313
*Opta Food Ingredients, Inc........................... 93,600 305,663
*Optek Technology, Inc................................ 26,300 662,431
*Opti, Inc............................................ 69,600 441,525
Optical Coating Laboratory, Inc....................... 65,392 4,246,393
*Optical Sensors, Inc................................. 15,900 17,391
*Optika Imaging Systems, Inc.......................... 58,500 358,313
*Orange Co., Inc...................................... 91,747 470,203
*Orbit International Corp............................. 28,000 29,750
*Orcad, Inc........................................... 30,000 248,438
Oregon Trail Financial Corp........................... 11,000 142,656
*Oriole Homes Corp. Class A Convertible............... 66,300 126,384
*Oriole Homes Corp. Class B........................... 23,000 43,125
*Orleans Homebuilders, Inc............................ 101,400 190,125
*Oroamerica, Inc...................................... 53,300 408,078
*Orphan Medical, Inc.................................. 46,700 319,603
*Ortel Corp........................................... 93,000 999,750
*Orthologic Corp...................................... 163,100 435,783
Oshkosh Truck Corp. Class B........................... 44,800 1,772,400
*Oshman's Sporting Goods, Inc......................... 50,200 131,775
*#Osicom Technologies, Inc............................ 17,000 157,250
*Osmonics, Inc........................................ 86,100 1,011,675
*Osteotech, Inc....................................... 33,200 1,176,525
Ottawa Financial Corp................................. 25,764 579,690
*Outlook Group Corp................................... 37,900 144,494
*Outsource International, Inc......................... 45,900 205,833
*Overland Data........................................ 2,400 15,150
Owosso Corp........................................... 50,000 262,500
Oxford Industries, Inc................................ 28,100 779,775
*#Oxigene, Inc........................................ 66,500 640,063
*P&F Industries, Inc. Class A......................... 600 5,963
*P-Com, Inc........................................... 18,000 79,594
*PAM Transportation Services, Inc..................... 37,250 337,578
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*PC Quote, Inc........................................ 81,800 $ 690,188
*PC Service Source, Inc............................... 43,400 165,463
*#PHP Healthcare Corp................................. 121,390 6,070
*PJ America, Inc...................................... 39,400 924,669
*PLM International, Inc............................... 53,000 318,000
*PMR Corp............................................. 63,400 247,656
*PPT Vision, Inc...................................... 46,200 219,450
*PS Group Holdings, Inc............................... 2,700 29,700
*PSC, Inc............................................. 68,000 680,000
*PSW Technologies, Inc................................ 88,200 285,272
*#Pacific Aerospace and Electroncis, Inc.............. 54,600 91,284
*#Palatin Technologies, Inc........................... 875 4,293
*Pameco Corp.......................................... 40,700 317,969
*Pamida Holdings Corp................................. 52,000 585,000
Pamrapo Bancorp, Inc.................................. 17,000 392,063
Panaco, Inc........................................... 23,500 17,992
*Pancho's Mexican Buffet, Inc......................... 15,866 60,985
*Panera Bread CO...................................... 88,400 618,800
*Par Technology Corp.................................. 81,800 531,700
*Paracelsus Healthcare Corp........................... 25,800 29,025
*Paragon Trade Brands, Inc............................ 42,400 106,000
*Parallel Petroleum Corp.............................. 81,800 159,766
*#Paravant, Inc....................................... 100 233
Paris Corp............................................ 200 444
*#Parkervision, Inc................................... 31,900 980,925
*Park-Ohio Holdings Corp.............................. 141,225 2,286,080
Parkvale Financial Corp............................... 69,195 1,457,420
*Parlex Corp.......................................... 38,850 539,044
*Parlux Fragrances, Inc............................... 108,200 219,781
Patina Oil & Gas Corp................................. 111,389 570,869
Patrick Industries, Inc............................... 46,050 598,650
*Patterson Energy, Inc................................ 57,900 480,389
*Paul Harris Stores, Inc.............................. 88,075 569,735
Paula Financial, Inc.................................. 21,900 188,203
*Paul-Son Gaming Corp................................. 32,500 196,016
*Payless Cashways, Inc................................ 2,121 4,375
*Peapod, Inc.......................................... 48,600 435,881
*Pediatric Services of America, Inc................... 51,200 78,400
Peerless Manufacturing Co............................. 9,250 98,570
*Pegasystems, Inc..................................... 15,000 126,094
Penford Corp.......................................... 38,500 506,516
Penn Engineering & Manufacturing Corp. Class A........ 33,600 657,300
Penn Engineering & Manufacturing Corp. Non-voting..... 100,800 2,167,200
*Penn National Gaming, Inc............................ 92,400 863,363
*#Penn Traffic Co..................................... 92,200 20,284
*Penn Treaty American Corp............................ 47,600 1,198,925
Penn Virginia Corp.................................... 74,200 1,437,625
Penn-America Group, Inc............................... 75,000 825,000
Pennfed Financial Services, Inc....................... 47,400 690,263
Penobscot Shoe Co..................................... 32,000 308,000
*Pentacon, Inc........................................ 54,500 269,094
*Penwest Pharmaceuticals Company...................... 48,150 421,313
Peoples Bancorp, Inc.................................. 400 7,825
Peoples Bancshares, Inc. Massachusetts................ 28,245 549,012
*Perceptron, Inc...................................... 46,850 237,178
*Performance Food Group Co............................ 106,150 2,537,648
*Performance Technologies, Inc........................ 40,750 598,516
*Perfumania, Inc...................................... 5,100 17,691
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pericom Semiconductor Corp........................... 2,400 $ 20,025
*Perini Corp.......................................... 40,100 200,500
*Periphonics Corp..................................... 124,900 1,334,869
*Petco Animal Supplies, Inc........................... 33,400 470,731
*Petrocorp, Inc....................................... 37,100 222,600
*Petroglyph Energy, Inc............................... 16,800 45,675
*Petroleum Development Corp........................... 126,300 574,270
*Pharmaceutical Marketing Services, Inc............... 117,600 1,741,950
*Pharmaceutical Resources, Inc........................ 149,855 1,152,010
*Pharmacopeia, Inc.................................... 90,900 803,897
*Pharmacyclics........................................ 5,900 109,519
*Pharmanetics, Inc.................................... 64,100 288,450
*Pharmchem Laboratories, Inc.......................... 47,800 123,981
*Phar-Mor, Inc........................................ 96,900 463,303
*#Pharmos Corp........................................ 88,000 145,750
*Philadelphia Consolidated Holding Corp............... 55,000 1,311,406
*Phillips (R.H.), Inc................................. 18,000 59,063
Phillips-Van Heusen Corp.............................. 120,800 1,057,000
*Phoenix Gold International, Inc...................... 13,500 33,750
*Phoenix International Life Sciences, Inc............. 3,410 28,779
*Phoenix International, Ltd........................... 67,350 423,042
*Phoenix Network, Inc. (Escrow Shares)................ 64,200 0
*Phoenix Technologies, Ltd............................ 84,730 921,439
*Photo Control Corp................................... 1,000 1,688
*Photon Dynamics, Inc................................. 62,500 555,664
*Photran Corp......................................... 3,300 0
*Phymatrix Corp....................................... 40,600 66,609
*Physician Computer Network, Inc...................... 15,200 6,642
Piccadilly Cafeterias, Inc............................ 70,500 749,063
*Pico Holdings, Inc................................... 17,711 358,648
#Piedmont Bancorp, Inc................................ 1,450 12,688
*Piercing Pagoda, Inc................................. 70,200 859,950
*Pilgrim America Capital Corp......................... 63,000 1,252,125
Pinnacle Banc Group................................... 1,500 47,156
Pinnacle Bancshares, Inc.............................. 700 7,088
*Pinnacle Global Group, Inc........................... 4,950 30,319
*Pinnacle Systems, Inc................................ 63,400 3,261,138
Pioneer Standard Electronics, Inc..................... 161,900 1,583,584
Pitt-Des Moines, Inc.................................. 72,900 1,840,725
Pittston Co. Burlington Group......................... 148,800 1,608,900
Pittston Co. Minerals Group........................... 72,200 108,300
*Plains Resources, Inc................................ 400 6,875
*Planar Systems, Inc.................................. 86,100 694,181
*#Planet Hollywood, Inc............................... 745,000 651,875
*Plasma-Therm, Inc.................................... 103,600 317,275
*Play By Play Toys and Novelties, Inc................. 40,100 210,525
*Playcore, Inc........................................ 50,957 299,372
*Players International, Inc........................... 225,200 1,470,838
*Plexus Corp.......................................... 23,300 713,563
*#Pluma, Inc.......................................... 64,000 8,000
*Plymouth Rubber, Inc. Class A........................ 900 5,625
*Plymouth Rubber, Inc. Class B non-voting............. 5 32
Pocahontas Bancorp, Inc............................... 4,800 34,500
*Polymedica Industries, Inc........................... 44,150 382,173
*Polyvision Corp...................................... 17,000 49,938
*Pomeroy Computer Resource, Inc....................... 101,242 1,442,699
*Pool Energy Services Co.............................. 22,500 376,172
</TABLE>
210
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pope & Talbot, Inc.................................... 94,900 $ 949,000
*Porta Systems Corp................................... 51,930 100,614
*Possis Medical, Inc.................................. 98,900 1,078,628
*Powell Industries, Inc............................... 46,100 458,119
*Powercerv Corp....................................... 115,700 253,094
*Powerhouse Technologies, Inc......................... 88,500 1,634,484
*Power-One, Inc....................................... 72,700 1,188,191
*Praegitzer Industries, Inc........................... 87,100 473,606
*Prandium, Inc........................................ 216,111 126,425
*Precision Response, Corp............................. 167,800 985,825
*Precision Standard, Inc.............................. 250 1,000
*#Premier Laser Systems, Inc. Class A................. 47,300 114,555
Premier National Bancorp.............................. 75,697 1,296,311
*Premiumwear, Inc..................................... 13,295 73,953
*Price Communications Corp............................ 196,837 2,804,927
*Prima Energy Corp.................................... 26,700 454,734
Prime Bancorp, Inc.................................... 47,184 1,271,019
*Prime Medical Services, Inc.......................... 153,000 1,142,719
Primesource Corp...................................... 24,843 162,256
*Primix Solutions, Inc................................ 10,000 29,219
*Primus Telecommunications Group, Inc................. 46,986 782,611
*Printrak International, Inc.......................... 100,400 671,425
*Printronix, Inc...................................... 67,050 947,081
*Printware, Inc....................................... 7,800 18,525
*#Procept, Inc........................................ 3,063 5,073
*Procom Technology, Inc............................... 72,000 312,750
*Procyte Corp......................................... 31,500 23,133
Professional Bancorp, Inc............................. 10,720 191,620
*Programmers Paradise, Inc............................ 25,100 274,531
Progress Financial Corp............................... 27,469 458,389
*Project Software & Development, Inc.................. 109,700 3,126,450
*ProMedCo Management Company.......................... 181,800 744,244
*Prophet 21, Inc...................................... 9,000 80,438
*Protocol Systems, Inc................................ 72,600 691,969
Provena Foods, Inc.................................... 200 625
Providence & Worcester Railroad Co.................... 6,500 92,625
Providence Energy Corp................................ 61,950 1,335,797
*#Provident American Corp............................. 83,600 2,168,375
*Provident Financial Holdings, Inc.................... 16,200 301,219
*Proxim, Inc.......................................... 54,100 2,069,325
*Proxymed, Inc........................................ 107,900 1,453,278
Psychemedics Corp..................................... 142,794 696,121
Pulaski Furniture Corp................................ 15,400 321,475
*Pulsepoint Communications Corp....................... 13,675 73,930
*Puma Technology, Inc................................. 76,800 388,800
*Pure World, Inc...................................... 72,930 314,511
*Pyramid Breweries, Inc............................... 36,800 71,875
*QC Optics, Inc....................................... 6,400 7,600
*QEP Co., Inc......................................... 6,400 48,800
*QMS, Inc............................................. 73,500 326,156
*Qad, Inc............................................. 15,900 55,153
*Quad Systems Corp.................................... 35,700 68,053
Quaker Chemical Corp.................................. 43,100 748,863
*Quaker City Bancorp, Inc............................. 22,656 379,488
*Quaker Fabric Corp................................... 108,450 545,639
*Quality Dining, Inc.................................. 108,300 331,669
*Quality Systems, Inc................................. 44,900 260,981
*Quest Educational Corporation........................ 26,600 298,419
*Quidel Corp.......................................... 191,000 441,688
*#Quigley Corp........................................ 26,000 128,781
*Quintel Entertainment, Inc........................... 75,300 123,539
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Quipp, Inc............................................ 13,800 $ 189,750
Quixote Corp.......................................... 67,600 887,250
*R & B, Inc........................................... 68,600 583,100
*RCM Technologies, Inc................................ 60,800 879,700
*RDO Equipment Co. Class A............................ 46,000 425,500
*RF Monolithics, Inc.................................. 31,400 216,856
*RMH Teleservices, Inc................................ 16,400 48,688
RPC, Inc.............................................. 45,400 408,600
*RTI International Metals, Inc........................ 61,000 812,063
*RTW, Inc............................................. 54,000 344,250
*Racing Champions Corp................................ 7,000 120,750
*Radiance Medical Systems, Inc........................ 71,036 199,789
*Radiant Systems, Inc................................. 33,300 417,291
*Rag Shops, Inc....................................... 33,000 80,438
*Ragen Mackenzie Group, Inc........................... 6,850 71,925
*Railamerica, Inc..................................... 61,600 596,750
*Railtex, Inc......................................... 79,100 1,097,513
*Rainbow Technologies, Inc............................ 74,850 746,161
*Rainforest Cafe, Inc................................. 39,400 213,006
Ramapo Financial Corp................................. 40,800 502,350
*Ramsay Youth Services, Inc........................... 31,722 185,375
*Ramtron International Corp........................... 294,850 152,032
#Range Resources Corp................................. 232,000 1,116,500
*Rare Hospitality International, Inc.................. 68,424 1,565,199
*Rare Medium Corp..................................... 92,200 1,094,875
Raven Industries, Inc................................. 99,150 1,586,400
*Rawlings Sporting Goods, Inc......................... 69,200 689,838
*Raytech Corp. DE..................................... 27,795 93,808
*Raytel Med Corp...................................... 14,700 75,797
*Reading Entertainment, Inc........................... 34,300 271,184
*Recoton Corp......................................... 99,916 997,599
*Recovery Engineering, Inc............................ 31,800 433,275
*#Recycling Industries, Inc........................... 74,400 2,976
*#Redhook Ale Brewery, Inc............................ 49,500 196,453
Redwood Empire Bancorp................................ 13,100 337,325
*Reeds Jewelers, Inc.................................. 22,990 74,718
*Refac Technology Development Corp.................... 45,597 319,179
*Regeneron Pharmaceuticals, Inc....................... 243,300 1,729,711
*Rehabcare Group, Inc................................. 48,700 1,047,050
*Rehabilicare, Inc.................................... 50,900 155,881
*Reliability, Inc..................................... 120,000 491,250
Reliv International, Inc.............................. 62,260 115,765
*Relm Wireless Corp................................... 50,941 122,577
*Remec, Inc........................................... 8,200 106,344
*Remington Oil & Gas Corp............................. 129,100 536,572
*Renex Corp........................................... 11,700 54,844
*Rentrak Corp......................................... 68,800 273,050
*Repligen Corp........................................ 58,900 169,338
*#Reptron Electronics, Inc............................ 42,800 177,888
Republic Bancorp, Inc................................. 82,679 1,061,908
*Republic Bankshares, Inc............................. 23,340 447,836
*Republic First Bancorp, Inc.......................... 21,768 165,981
Republic Group, Inc................................... 112,904 2,018,159
Republic Security Financial Corp...................... 37,635 314,017
*Res-Care, Inc........................................ 88,000 1,837,000
*Research Partners International, Inc................. 22,500 83,672
*Research, Inc........................................ 25,250 134,141
*Resound Corp......................................... 134,300 1,030,333
Resource America, Inc................................. 47,980 691,212
*Response Oncology, Inc............................... 92,740 298,507
*Restrac, Inc......................................... 48,300 232,444
*Rex Stores Corp...................................... 72,600 1,497,375
</TABLE>
211
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Rexhall Industries, Inc.............................. 12,976 $ 130,977
*Rexx Environmental Corp.............................. 21,600 27,000
*Ribi Immunochem Research, Inc........................ 181,000 356,344
*Ribozyme Pharmaceuticals............................. 78,600 406,509
Richardson Electronics, Ltd........................... 87,700 578,272
Richmond County Financial Corp........................ 18,165 332,647
*Richton International Corp........................... 2,000 23,000
*Riddell Sports, Inc.................................. 55,082 165,246
*Ride, Inc............................................ 46,700 49,619
*Right Management Consultants, Inc.................... 49,950 830,419
*Right Start, Inc..................................... 32,500 272,188
*Rightchoice Managed Care, Inc. Class A............... 28,100 337,200
*Rimage Corp.......................................... 43,500 555,984
*Riverside Group, Inc................................. 1,300 2,234
Riverview Bancorp, Inc................................ 19,600 233,975
*Riviera Holdings Corporation......................... 6,200 30,225
*Roadhouse Grill, Inc................................. 26,800 180,063
Roanoke Electric Steel Corp........................... 70,250 1,124,000
*Roberds, Inc......................................... 33,100 81,716
*Robertson-Ceco Corp.................................. 78,657 865,227
*Robinson Nugent, Inc................................. 42,100 164,453
*Robocom Systems, Inc................................. 1,100 1,891
*#Robotic Vision Systems, Inc......................... 127,245 363,841
*Rochester Medical Corp............................... 43,600 487,775
*Rock Bottom Restaurants, Inc......................... 56,900 511,211
*Rock of Ages Co...................................... 7,600 81,225
*Rockshox, Inc........................................ 100,900 100,900
*Rocky Mountain Chocolate Factory..................... 25,000 142,969
*Rocky Shoes & Boots, Inc............................. 35,000 235,156
*Rofin-Sinar Technologies, Inc........................ 62,500 513,672
*Rogers Corp.......................................... 122,100 3,479,850
*Rogue Wave Software, Inc............................. 50,800 444,500
*Rohn Industries, Inc................................. 432,200 634,794
*Ross Systems, Inc.................................... 146,937 298,466
*Rottlund, Inc........................................ 19,250 96,250
Rouge Industries, Inc. Class A........................ 11,700 102,375
Rowe Furniture Corp................................... 115,062 1,222,534
*Royal Appliance Manufacturing Co..................... 197,500 888,750
Royal Bancshares of Pennsylvania Class A.............. 1,888 29,382
*Royal Energy, Inc.................................... 17,400 57,638
*Royal Gold, Inc...................................... 114,700 480,306
*Royal Precision, Inc................................. 8,700 29,906
*Rural Cellular Corp. Class A......................... 54,800 893,925
*Rural/Metro Corp..................................... 33,300 247,669
*Rush Enterprises, Inc................................ 30,100 479,719
*S&K Famous Brands, Inc............................... 43,700 421,978
*S3, Inc.............................................. 130,000 873,438
*SBE, Inc............................................. 15,400 80,850
*SBS Technologies, Inc................................ 36,100 667,850
*SCC Communications Corp.............................. 36,000 140,625
*SCP Pool Corp........................................ 2,800 53,200
*SED International Holdings, Inc...................... 61,900 156,684
*SEEC, Inc............................................ 3,900 16,819
SEMCO Energy, Inc..................................... 65,020 918,408
*SEMX Corp............................................ 49,100 148,834
*SGV Bancorp, Inc..................................... 2,300 27,744
SI Handling, Inc...................................... 41,625 452,672
SJNB Financial Corp................................... 10,500 291,375
SJW Corp.............................................. 16,600 1,087,300
SL Industries, Inc.................................... 96,685 1,166,263
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SMC Corp............................................. 52,200 $ 270,788
*SOS Staffing Services, Inc........................... 64,500 391,031
*SPR, Inc............................................. 8,000 53,750
*SPSS, Inc............................................ 77,600 1,826,025
*SRS Labs, Inc........................................ 64,900 184,559
*SSE Telecom, Inc..................................... 31,600 37,031
*STM Wireless, Inc. Class A........................... 46,600 125,238
*STV Group, Inc....................................... 35,000 270,156
*#SYNC Research, Inc.................................. 148,800 74,400
*#Sabratek Corp....................................... 20,000 455,000
*Safeguard Health Enterprises, Inc.................... 84,600 243,225
*Safety 1st, Inc...................................... 62,400 331,500
*Safety Components International, Inc................. 41,100 213,206
*Saga Communications, Inc. Class A.................... 86,071 1,710,661
*Salient 3 Communications, Inc.
Class A............................................. 45,000 372,656
*Salton/Maxim Housewares, Inc......................... 73,100 3,125,025
*Samsonite Corp....................................... 3,200 20,200
*San Filippo (John B.) & Son, Inc..................... 67,400 233,794
Sanderson Farms, Inc.................................. 60,200 801,413
*Sandisk Corp......................................... 90,750 2,835,938
*Santa Cruz Operation, Inc............................ 221,700 1,309,416
*Satcon Technology Corp............................... 58,100 446,644
*Saucony, Inc. Class A................................ 56,700 1,004,653
*Saucony, Inc. Class B................................ 63,800 1,080,613
*Savoir Technology Group, Inc......................... 79,000 765,313
*Scan-Optics, Inc..................................... 56,200 187,919
*ScanSource, Inc...................................... 26,300 550,656
Schawk, Inc. Class A.................................. 154,000 1,838,375
*Scheid Vineyards, Inc................................ 10,500 55,453
*Scherer Healthcare, Inc.............................. 200 763
*#Schick Technologies, Inc............................ 23,300 102,666
*Schieb (Earl), Inc................................... 74,400 348,750
*Schlotzskys, Inc..................................... 47,700 497,869
*Schmitt Industries, Inc.............................. 64,100 184,288
Schnitzer Steel Industries, Inc.
Class A............................................. 22,500 340,313
*#Schuff Steel Company................................ 37,000 228,938
*Schuler Homes, Inc................................... 157,200 1,139,700
Schultz Sav-O Stores, Inc............................. 60,000 990,000
Schweitzer-Maudoit Int'l, Inc......................... 68,000 1,041,250
*#Sciclone Pharmaceuticals, Inc....................... 133,000 191,188
*Scientific Games Holdings Corp....................... 15,000 269,063
Scientific Technologies, Inc.......................... 25,700 167,853
*Scios-Nova, Inc...................................... 158,100 570,642
Scope Industries, Inc................................. 18,650 1,305,500
Scotsman Industries, Inc.............................. 1,200 24,675
*Scott Technologies, Inc.............................. 76,000 1,436,875
*Scott's Liquid Gold, Inc............................. 84,000 120,750
*Seachange International, Inc......................... 129,500 1,262,625
Seacoast Banking Corp. Class A........................ 22,100 732,063
*Seacoast Financial Services Corp..................... 98,329 998,654
*Seamed Corp.......................................... 3,400 38,250
*Seattle Filmworks, Inc............................... 173,375 558,051
Seaway Food Town, Inc................................. 24,000 420,000
*Secom General Corp................................... 1,000 2,281
Second Bancorp, Inc................................... 700 15,772
*Secure Computing Corp................................ 138,100 520,033
*Security Capital Corp................................ 5 41
*Segue Software, Inc.................................. 67,000 425,031
*Seibels Bruce Group, Inc............................. 18,600 90,675
Selas Corp. of America................................ 44,700 262,613
</TABLE>
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<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*#Selfcare, Inc....................................... 73,500 $ 220,500
*Semitool, Inc........................................ 86,000 733,688
*Semtech Corp......................................... 91,400 3,827,375
*Seneca Foods Corp. Class A........................... 200 2,850
*Seneca Foods Corp. Class B........................... 6,800 97,750
*Sensory Science Corp................................. 115,400 331,775
*Sergagen Inc. (Escrow Shares)........................ 51,600 0
*Servotronics, Inc.................................... 24,804 124,020
Sevenson Environmental Services, Inc.................. 13,280 133,630
*#Shaman Pharmaceuticals.............................. 158,200 18,984
*Sharper Image Corp................................... 67,300 609,906
*Shaw Group, Inc...................................... 68,250 891,516
*Sheffield Medical Technologies, Inc.................. 107,800 303,188
Shelby Williams Industries, Inc....................... 74,600 1,221,575
*#Sheldahl, Inc....................................... 84,650 510,545
*Shells Seafood Restaurants, Inc...................... 20,700 91,209
*Shiloh Industries, Inc............................... 111,500 1,383,297
*Shoe Carnival, Inc................................... 86,000 1,392,125
*Sholodge, Inc........................................ 52,300 251,694
*Shoney's, Inc........................................ 419,000 968,938
Shoreline Financial Corp.............................. 12,537 339,283
*Showscan Entertainment, Inc.......................... 44,350 17,740
*Shuffle Master, Inc.................................. 58,100 403,069
Sierrawest Bancorp.................................... 24,535 767,485
Sifco Industries, Inc................................. 46,275 410,691
*Sight Resource Corp.................................. 57,400 224,219
*Sigma Designs, Inc................................... 87,600 572,138
*Sigmatron International, Inc......................... 13,000 61,750
*#Signal Apparel Co., Inc. Class A.................... 73,600 87,400
*Signal Technology Corp............................... 62,000 333,250
*Signature Eyewear, Inc............................... 14,500 56,188
*#Silicon Gaming, Inc................................. 33,800 25,350
*Silicon Storage Technology, Inc...................... 129,100 633,397
*Silverleaf Resorts, Inc.............................. 65,600 508,400
*Simione Central Holdings, Inc........................ 67,900 181,420
Simmons First National Corp.
Class A............................................. 23,250 781,781
*Simon Transportation Services, Inc................... 34,600 201,113
Simpson Industries, Inc............................... 143,400 1,442,963
*#Simula, Inc......................................... 78,250 420,594
*Sirena Apparel Group, Inc............................ 32,300 138,284
*Sitel Corp........................................... 545,000 1,498,750
*Sizzler International, Inc........................... 218,400 436,800
Skaneateles Bancorp, Inc.............................. 25,200 615,038
*SkyePharma P.L.C. ADR................................ 9,220 79,811
*#SkyMall, Inc........................................ 16,900 183,259
*#Smartalk Teleservices, Inc.......................... 29,000 0
*Smartflex Systems, Inc............................... 42,000 181,125
*Smithway Motor Express Corp.
Class A............................................. 15,000 153,281
*Socrates Technolgies Corp............................ 63,800 93,706
*Sodak Gaming, Inc.................................... 100,100 919,669
*Softech, Inc......................................... 46,500 107,531
*Softnet Systems, Inc................................. 38,136 989,153
*#Software Spectrum, Inc.............................. 36,100 488,478
Somerset Group, Inc................................... 412 7,313
Sonesta International Hotels Corp. Class A............ 200 2,313
*Sonic Solutions...................................... 57,150 280,392
*#Sonus Pharmaceuticals, Inc.......................... 99,100 585,309
*Sound Advice, Inc.................................... 60,425 187,884
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Source Media, Inc................................... 26,700 $ 438,047
*Southern Energy Homes, Inc........................... 127,125 587,953
*Southern Mineral Corp................................ 11,800 4,609
*#Southern Pacific Funding Corp....................... 48,000 5,280
*Southwall Technologies, Inc.......................... 74,600 236,622
Southwest Bancorp, Inc................................ 14,300 328,453
Southwest Water Co.................................... 21,331 314,632
Southwestern Energy Co................................ 16,700 157,606
*Spacehab, Inc........................................ 37,700 206,172
*Spacelabs Medical, Inc............................... 51,400 799,913
Span-American Medical System, Inc..................... 40,500 175,922
Spartan Motors, Inc................................... 119,300 689,703
*Sparton Corp......................................... 69,200 428,175
*Spatial Technology, Inc.............................. 13,050 48,938
*#SpectraLink Corp.................................... 57,000 229,781
*Spectran Corp........................................ 52,000 478,563
*Spectranetics Corp................................... 138,202 358,461
*Spectra-Physics Laser, Inc........................... 7,000 56,219
*Spectrian Corp....................................... 74,600 941,825
*Spectrum Control, Inc................................ 84,400 522,225
*#SpectRx, Inc........................................ 19,200 145,200
*SpeedFam-IPEC, Inc................................... 42,658 557,220
*Speizman Industries, Inc............................. 28,900 93,925
*Spire Corp........................................... 56,200 173,869
*Splash Technology Holdings, Inc...................... 7,600 60,325
*Sport Chalet, Inc.................................... 55,000 323,125
*Sport Supply Group, Inc.............................. 48,000 504,000
*Sport-Haley, Inc..................................... 22,800 99,038
*Sports Authority, Inc................................ 203,200 1,016,000
*Sports Club Co., Inc................................. 136,700 615,150
*Sportsman's Guide, Inc............................... 34,000 170,531
*Spyglass, Inc........................................ 36,000 694,125
St. Francis Capital Corp.............................. 48,800 965,325
St. Joseph Light & Power Co........................... 69,800 1,443,988
St. Mary Land & Exploration Co........................ 24,700 489,369
*Staar Surgical Co.................................... 89,075 1,057,766
*Stac Software, Inc................................... 10,350 60,806
*Stacey's Buffet, Inc................................. 13,900 292
*Staffmark, Inc....................................... 27,000 294,469
*Stage II Apparel Corp................................ 14,600 28,288
Standard Commercial Corp.............................. 89,908 573,164
*Standard Management Corp............................. 39,415 254,966
*Standard Microsystems Corp........................... 88,200 689,063
*Stanford Telecommunications, Inc..................... 111,500 2,599,344
*Stanley Furniture, Inc............................... 62,400 1,302,600
*Star Buffet, Inc..................................... 3,700 22,431
*Star Multi Care Services, Inc........................ 37,229 45,955
*Star Struck, Ltd..................................... 500 2,563
*Starcraft Corp....................................... 16,500 64,453
*Starmet Corp......................................... 126,100 488,638
Starrett (L.S.) Co. Class A........................... 14,100 383,344
*Startec Global Communications Corp................... 6,700 54,856
*Starter Corp......................................... 130,100 162,625
State Financial Services Corp.
Class A............................................. 19,580 269,837
Steel Technologies, Inc............................... 98,400 882,525
*Steinway Musical Instruments, Inc.................... 14,500 338,031
Stepan Co............................................. 14,200 350,563
Stephan Co............................................ 24,700 120,413
*Stericycle, Inc...................................... 25,300 330,481
*Sterigenics Intl, Inc................................ 16,500 259,875
Sterling Bancorp...................................... 150,400 3,083,200
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sterling Bancshares................................... 92,062 $ 1,156,529
*Sterling Financial Corp. WA.......................... 42,950 646,934
*Sterling Vision, Inc................................. 77,500 302,734
Stifel Financial Corp................................. 32,642 312,139
*Stimsonite Corp...................................... 58,400 585,825
*Storage Computer Corp................................ 73,792 147,584
*Stormedia, Inc. Class A.............................. 40,500 41
*#Stratasys, Inc...................................... 31,700 118,875
*Strategia Corp....................................... 4,700 6,463
*Strategic Diagnostics, Inc........................... 48,000 190,500
*Strategic Distribution, Inc.......................... 293,548 683,416
*Strattec Security Corp............................... 25,100 773,394
*Stratus Properties, Inc.............................. 83,400 390,938
*Strawbridge and Clothier Liquidating Trust........... 5,200 1,157
*Strouds, Inc......................................... 72,800 122,850
*Suburban Lodges of America, Inc...................... 88,800 596,625
*Success Bancshares, Inc.............................. 3,200 34,800
*Successories, Inc.................................... 57,800 180,625
Suffolk Bancorp....................................... 26,200 700,850
*#Sugen, Inc.......................................... 74,800 1,538,075
*Summa Industries, Inc................................ 500 5,953
Summit Bancshares, Inc................................ 28,000 509,250
*Summit Design, Inc................................... 115,800 305,784
*Summit Technology, Inc............................... 49,667 979,371
Sun Hydraulics, Inc................................... 12,600 111,825
*Sun Television and Appliances, Inc................... 147,300 2,062
*Sunair Electronics, Inc.............................. 33,900 99,581
*Sundance Homes, Inc.................................. 50,000 34,375
*Sunquest Information Systems, Inc.................... 59,200 780,700
*Sunrise Assisted Living, Inc......................... 12,998 483,389
*Sunrise Medical, Inc................................. 81,000 673,313
*Sunrise Resources, Inc............................... 46,800 191,588
*Superconductor Technologies, Inc..................... 49,750 139,922
*#Supergen, Inc....................................... 14,700 255,872
*Superior Energy Services, Inc........................ 93,100 436,406
*Superior National Insurance Group, Inc............... 39,400 797,850
Superior Surgical Manufacturing Co., Inc.............. 90,100 1,216,350
*Supertex, Inc........................................ 177,300 1,673,269
*Suprema Specialties, Inc............................. 37,300 229,628
*Supreme Industries, Inc.............................. 74,710 723,753
*Supreme International Corp........................... 36,600 394,594
*Surety Capital Corp.................................. 24,750 37,125
*Surgical Laser Technologies, Inc..................... 10,900 25,206
*Swift Energy Corp.................................... 101,500 1,313,156
*Swisher International, Inc........................... 8,500 9,563
*Swiss Army Brands, Inc............................... 65,500 542,422
*Sybron Chemicals, Inc................................ 34,300 666,706
*Sylvan, Inc.......................................... 63,500 722,313
*Symix Systems, Inc................................... 54,600 612,544
*Symmetricom, Inc..................................... 136,600 862,288
*Symons International Group, Inc...................... 93,900 448,959
*Symphonix Devices, Inc............................... 24,100 79,078
*Syms Corp............................................ 97,900 777,081
Synalloy Corp. DE..................................... 89,158 735,554
*Synaptic Pharmaceutical Corp......................... 69,700 422,556
*Synbiotics Corp...................................... 58,000 221,125
*Syncor International Corp. DE........................ 47,800 1,619,225
*Syntellect, Inc...................................... 114,200 178,438
*Synthetech, Inc...................................... 61,900 350,122
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Synthetic Industries, Inc............................ 62,000 $ 1,393,063
*Sypris Solutions, Inc................................ 38,000 344,375
*System Software Associates, Inc...................... 7,700 15,520
*T-Netix, Inc......................................... 75,200 446,500
TB Woods Corp......................................... 10,100 118,044
*TBA Entertainment Corp............................... 70,000 308,438
*TBC Corp............................................. 201,700 1,430,809
TCBY Enterprises, Inc................................. 148,800 985,800
*TCC Industries, Inc.................................. 23,800 2,529
*TCI International, Inc............................... 32,060 93,174
*TCSI Corp............................................ 189,900 495,520
*TEAM America Corp.................................... 10,400 49,075
*TESSCO Technologies, Inc............................. 43,200 934,200
TF Financial Corp..................................... 10,800 221,400
*TFC Enterprises, Inc................................. 101,000 243,031
*TII Industries, Inc.................................. 51,760 93,815
*TMBR/Sharp Drilling, Inc............................. 40,500 234,141
*TRC Companies, Inc................................... 60,400 305,775
*TRM Copy Centers Corp................................ 61,000 377,438
*#TRO Learning, Inc................................... 35,900 222,131
TSI, Inc. MN.......................................... 93,200 984,425
*TSR, Inc............................................. 106,400 798,000
*TST/Impreso, Inc..................................... 25,800 125,775
Tab Products Co. DE................................... 41,750 271,375
*Taco Cabana, Inc..................................... 134,700 1,426,978
*Take Two Interactive Software........................ 79,300 646,791
*Tandy Brand Accessories, Inc......................... 55,977 890,384
*Tandy Crafts, Inc.................................... 138,200 466,425
*Targeted Genetics Corp............................... 248,900 408,352
Tasty Baking Co....................................... 66,500 831,250
*#Tatham Off-Shore, Inc............................... 12,900 5,644
*Tava Technologies, Inc............................... 13,800 101,128
Team, Inc............................................. 48,800 164,700
Tech/Ops Sevcon, Inc.................................. 61,400 851,925
*Techdyne, Inc........................................ 13,700 53,088
Teche Holding Co...................................... 2,700 44,381
*Techforce Corp....................................... 35,500 270,688
*#Technical Chemicals & Products, Inc................. 85,900 106,033
*Technical Communications Corp........................ 7,300 19,391
*Technisource, Inc.................................... 52,900 314,094
*Technology Research Corp............................. 40,100 43,233
*Tech-Sym Corp........................................ 67,300 1,476,394
*Tegal Corp........................................... 88,700 307,678
*Telcom Semiconductor, Inc............................ 108,200 618,769
*#Telegroup, Inc...................................... 111,500 11,150
*Telescape International, Inc......................... 4,200 32,681
*Teltrend, Inc........................................ 29,100 551,081
*#Telular Corp........................................ 11,700 38,208
Telxon Corp........................................... 8,200 85,844
*Temtex Industries, Inc............................... 34,100 84,184
*#Tera Computer Co.................................... 29,400 147,919
*Tesseract Group, Inc................................. 61,700 210,166
*Tetra Technologies, Inc.............................. 116,500 990,250
*Texas Biotechnology Corp............................. 207,100 815,456
*Texas Micro, Inc..................................... 86,500 548,734
*Thackeray Corp....................................... 74,700 270,788
*Theragenics Corp..................................... 252,700 1,887,353
*Thermatrix, Inc...................................... 13,800 45,713
*Thermo Fibergen, Inc................................. 22,000 258,500
*Thermo Power Corp.................................... 105,100 1,215,219
*Thermo Sentron, Inc.................................. 72,400 959,300
*Thermo Terratech, Inc................................ 83,800 481,850
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Thermolase Corp...................................... 18,700 $ 44,413
Thermoretec Corp...................................... 77,800 320,925
*Thermospectra Corp................................... 32,900 507,894
*Thermotrex Corp...................................... 7,500 61,406
*Thermwood Corp....................................... 920 6,411
*Thomas Group, Inc.................................... 50,800 450,850
Thomaston Mills, Inc.................................. 12,600 38,194
*Thoratec Laboratories Corp........................... 50,600 417,450
*#Thorn Apple Valley, Inc............................. 49,900 84,206
*Three-Five Systems, Inc.............................. 44,200 593,938
*#Thrustmaster, Inc................................... 32,100 791,466
*Tier Technologies, Inc. Class B...................... 35,000 247,734
*Timberland Bancorp, Inc.............................. 500 5,734
Timberline Software Corp.............................. 131,941 2,226,504
*Tipperary Corp....................................... 56,500 95,344
*Titan Corp........................................... 212,003 1,682,774
Titan International, Inc.............................. 21,750 203,906
*Titan Pharmaceuticals, Inc........................... 1,000 3,000
*Today's Man, Inc..................................... 63,600 81,488
*Todd Shipyards Corp.................................. 63,900 343,463
Todd-AO Corp. Class A................................. 14,600 103,569
*Toddhunter International, Inc........................ 48,000 396,000
*Tokheim Corp......................................... 108,800 1,074,400
*Tollgrade Communications, Inc........................ 39,300 604,238
Tompkins County Trustco, Inc.......................... 430 13,975
*Topps, Inc........................................... 273,600 1,735,650
*Tops Appliance City, Inc............................. 32,000 35,500
*Toreador Royalty Corp................................ 41,700 134,222
*Torotel, Inc......................................... 24,235 1,696
*Total Entertainment Restaurant Corp.................. 11,000 34,375
*Total-Telephone USA Communications, Inc.............. 20,400 360,825
*Tower Air, Inc....................................... 129,000 330,563
*Toymax International, Inc............................ 500 2,688
*Track 'n Trail, Inc.................................. 3,900 7,922
*Tractor Supply Co.................................... 68,500 2,033,594
*Trailer Bridge, Inc.................................. 36,500 92,961
*Trak Auto Corp....................................... 92,000 793,500
*Transact Technologies, Inc........................... 40,199 183,408
*Transaction Network Services, Inc.................... 82,800 2,204,550
*Transcend Services, Inc.............................. 56,600 83,131
*Transcoastal Marine Services, Inc.................... 65,400 284,081
*#Transcrypt International, Inc....................... 9,000 18,141
*Transfinancial Holdings, Inc......................... 27,800 125,100
*Transition Analysis Component Technology............. 2,538 27,918
*Transmation, Inc..................................... 42,500 152,734
*Transmedia Network, Inc.............................. 79,250 297,188
*Transport Industries, Inc............................ 9,700 78,206
#Transport Lux Corp................................... 14,245 110,399
*Transportation Components, Inc....................... 114,300 371,475
Transpro, Inc......................................... 21,000 111,563
Transtechnology Corp.................................. 99,100 1,932,450
*#Transtexas Gas Corp................................. 81,000 30,375
*Transworld Healthcare, Inc........................... 96,300 379,181
*Travel Ports of America, Inc......................... 42,090 176,910
*Travel Services International, Inc................... 2,300 18,903
*Travis Boats & Motors, Inc........................... 8,900 132,388
*TreeSource Industries, Inc........................... 52,840 16,513
*Trega Biosciences, Inc............................... 83,400 153,769
Tremont Corp. DE...................................... 2,500 48,750
*Trend-Lines, Inc. Class A............................ 50,650 117,128
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trendwest Resorts, Inc............................... 300 $ 7,013
*Trex Medical Corp.................................... 900 5,794
Trico Bancshares...................................... 18,850 338,711
*Trico Marine Services, Inc........................... 123,900 886,659
*#Trident Microsystems, Inc........................... 98,400 670,350
*#Trident Rowan Group, Inc............................ 9,300 47,081
*Tridex Corp.......................................... 44,300 120,441
Trigen Energy Corp.................................... 102,000 1,663,875
*Trimark Holdings, Inc................................ 7,100 39,272
*Trimble Navigation, Ltd.............................. 2,500 31,328
*Trimedyne, Inc....................................... 48,800 63,288
*Trimeris, Inc........................................ 36,300 491,184
*Trinitec Systems, Inc. Class A....................... 46,700 665,475
Trion, Inc............................................ 67,550 284,977
*Triple S Plastics, Inc............................... 8,000 41,750
*Tripos, Inc.......................................... 21,000 165,375
*Triquint Semiconductor, Inc.......................... 52,200 1,838,419
*Trism, Inc........................................... 37,100 28,984
*#Tristar Corp........................................ 3,300 22,327
*#Trump Hotels & Casino Resorts, Inc.................. 184,400 979,625
*Tultex Corp.......................................... 129,400 97,050
*Turner Corp.......................................... 65,850 1,144,144
Tuscarora, Inc........................................ 43,050 565,031
Twin Disc, Inc........................................ 41,200 782,800
*Tyler Technologies, Inc.............................. 39,050 234,300
U.S. Bancorp, Inc..................................... 26,175 407,348
*U.S. Bioscience, Inc................................. 28,000 225,750
*#U.S. Diagnostic, Inc................................ 142,800 211,969
*U.S. Home & Garden, Inc.............................. 131,700 674,963
*U.S. Vision, Inc..................................... 24,714 123,184
*UFP Technologies, Inc................................ 10,100 40,400
*US Can Corp.......................................... 112,300 2,007,363
*US Xpress Enterprises, Inc. Class A.................. 24,000 288,000
*#USA Detergents, Inc................................. 119,900 618,234
*USA Floral Products, Inc............................. 13,100 94,156
*USA Truck, Inc....................................... 5,600 51,275
*#USANA, Inc.......................................... 5,200 46,150
*USCI, Inc............................................ 64,500 30,315
*USData Corp.......................................... 48,300 172,069
*UTI Energy Corp...................................... 74,500 1,070,938
*Ubics, Inc........................................... 55,800 249,356
*Ugly Duckling Corp................................... 43,600 328,363
*Ultimate Electronics, Inc............................ 69,200 996,913
*Ultradata Corp....................................... 30,700 213,941
*#Ultradata Systems, Inc.............................. 13,600 25,500
*#Ultrafem, Inc....................................... 62,400 2,184
*Ultrak, Inc.......................................... 68,100 444,778
*Ultralife Batteries, Inc............................. 69,200 313,563
*#Unapix Entertainment, Inc........................... 39,300 117,900
Unico American Corp................................... 117,600 1,256,850
*UniComp, Inc......................................... 46,900 278,469
Unifirst Corp......................................... 16,900 304,200
*Uniflex, Inc......................................... 26,950 188,650
*Unify Corp........................................... 42,700 593,797
*Unigene Laboratories, Inc............................ 207,400 139,347
*Unilab Corp.......................................... 49,400 262,438
*Unimark Group, Inc................................... 77,000 273,109
*Uni-Marts, Inc....................................... 64,600 129,200
*Unimed Pharmaceuticals, Inc.......................... 57,900 533,766
*Union Acceptance Corp. Class A....................... 24,700 169,813
*Unique Casual Restaurants, Inc....................... 74,767 294,395
*Unique Mobility, Inc................................. 103,000 476,375
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Uniroyal Technology Corp............................. 130,900 $ 1,239,459
*Unit Corp............................................ 182,100 1,081,219
*United American Healthcare Corp.,.................... 53,850 74,044
*United Capital Corp.................................. 50,754 818,408
#United Companies Financial Corp...................... 21,000 2,310
United Financial Corp. MN............................. 1,600 36,600
*United Foods, Inc. Class A........................... 1,596 5,087
*United Foods, Inc. Class B........................... 13,166 41,967
United Guardian, Inc.................................. 41,020 153,825
United Industrial Corp................................ 104,800 1,205,200
United National Bancorp............................... 42,996 976,815
*United Retail Group, Inc............................. 68,900 994,744
*United States Energy Corp............................ 62,870 245,586
United States Lime & Minerals, Inc.................... 14,300 120,656
*Unitel Video, Inc.................................... 23,200 31,900
Unitil Corp........................................... 39,552 924,528
Unity Bancorp, Inc.................................... 1,100 12,100
*Universal American Financial Corp.................... 6,100 21,350
*Universal Electronics, Inc........................... 35,300 875,881
Universal Forest Products, Inc........................ 119,700 2,162,081
*#Universal International, Inc........................ 16,000 41,500
*Universal Seismic Association, Inc................... 17,800 979
*Universal Stainless & Alloy Products, Inc............ 33,200 199,200
*Universal Standard Medical Labs, Inc................. 27,300 8,531
*Uno Restaurant Corp.................................. 231,491 1,808,523
*Urocor, Inc.......................................... 73,400 403,700
*Urogen Corp. (Restricted)............................ 28,200 7,579
*Urologix, Inc........................................ 91,800 278,269
*Uromed Corp. New..................................... 45,660 69,203
*Uroquest Medical Corp................................ 52,400 83,513
*Utah Medical, Inc.................................... 52,900 400,056
*Utilx Corp........................................... 144,800 470,600
*#V-ONE Corp.......................................... 133,000 297,172
*VDI Media............................................ 12,100 77,894
*VRB Bancorp.......................................... 1,400 10,850
*VTEL Corp............................................ 178,354 880,623
*Valence Technology, Inc.............................. 172,900 1,291,347
*#Valentis, Inc....................................... 114,234 492,634
*Vallen Corp.......................................... 62,400 1,021,800
Valley Resources, Inc................................. 37,487 426,415
*Valuevision International, Inc.
Class A............................................. 127,300 1,941,325
*Vans, Inc............................................ 99,000 1,076,625
*Vantive Corp......................................... 148,000 1,623,375
*#Vari L Co., Inc..................................... 46,900 354,681
*Variflex, Inc........................................ 51,100 245,919
*Vectra Technologies, Inc............................. 34,500 776
*#Ventana Medical Systems, Inc........................ 73,500 1,467,703
*Venture Stores, Inc.................................. 153,800 1,923
*Venturian Corp....................................... 21,000 125,344
*Veramark Technologies, Inc........................... 37,500 232,031
*Verdant Brands, Inc.................................. 123,815 121,880
*Verilink Corp........................................ 114,800 376,688
*Verity, Inc.......................................... 66,000 2,175,938
*Versant Object Technology Corp....................... 29,800 49,356
*Versar, Inc.......................................... 46,100 103,725
*Vertel Corp.......................................... 108,700 220,797
*Vertex Communications Corp........................... 43,300 641,381
Vesta Insurance Group, Inc............................ 36,100 182,756
*Vestcom Int'l, Inc................................... 58,100 337,706
*Viagrafix Corp....................................... 25,600 157,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Viasat, Inc.......................................... 21,300 $ 238,959
*Viasoft, Inc......................................... 52,600 205,469
*Vical, Inc........................................... 100,100 1,194,944
*Vicon Industries, Inc................................ 46,250 424,922
*Vicorp Restaurants, Inc.............................. 64,900 1,062,738
*Vidamed, Inc......................................... 500 1,203
*Video Display Corp................................... 41,750 197,008
*Video Services Corp.................................. 17,700 38,719
*Videonics, Inc....................................... 32,400 30,375
*Vidioserver, Inc..................................... 110,900 1,452,097
*View Technology, Inc................................. 43,400 75,950
*Viisage Technology, Inc.............................. 21,000 27,563
*Virbac Corp.......................................... 16,800 19,425
Virco Manufacturing Corp.............................. 114,389 2,201,988
*Virginia Gas Co...................................... 5,500 24,234
*Virtualfund.Com, Inc................................. 123,500 196,828
*#Vision Sciences, Inc................................ 23,250 32,695
*Vista Eyecare, Inc................................... 208,600 1,121,225
*Vista Medical Technologies, Inc...................... 145,000 231,094
Vital Signs, Inc...................................... 101,500 1,947,531
*Vitalcom, Inc........................................ 68,800 137,600
*#Vitech America, Inc................................. 15,680 133,770
*Vivid Technologies, Inc.............................. 92,200 279,481
*#Vivus, Inc.......................................... 45,100 191,675
*Vodavi Technology, Inc............................... 13,800 36,656
*Voice Control Systems, Inc........................... 96,700 370,180
Vulcan International Corp............................. 10,951 405,187
*Vysis, Inc........................................... 89,000 324,016
#WFS Financial, Inc................................... 29,500 346,625
*WHX Corp............................................. 57,700 432,750
*WLR Foods, Inc....................................... 74,786 572,580
*WPI Group, Inc....................................... 51,850 204,159
WSFS Financial Corp................................... 12,200 178,806
Wackenhut Corp. Class B Non-Voting.................... 6,700 128,556
Wainwright Bank & Trust Co............................ 200 1,675
*Walbro Corp.......................................... 49,600 967,200
*Walker Interactive Systems, Inc...................... 116,000 395,125
*Wall Data, Inc....................................... 79,050 797,911
*Wall Street Deli, Inc................................ 14,800 60,125
*Warrantech Corp...................................... 133,500 452,648
Warren Bancorp, Inc................................... 162,800 1,322,750
*Washington Homes, Inc................................ 63,600 500,850
Washington Savings Bank FSB Waldorf, MD............... 28,912 115,648
*Waste Industries, Inc................................ 16,700 268,766
*Waterlink, Inc....................................... 105,100 426,969
Waters Instruments, Inc............................... 500 2,438
Watkins-Johnson Co.................................... 56,900 1,408,275
*Wave Technologies International, Inc................. 23,300 98,297
*#Wavephore, Inc...................................... 116,600 772,475
*Waxman Industries, Inc............................... 54,700 20,513
*Waxman Industries, Inc. Class B...................... 9,750 3,961
*Webco Industries, Inc................................ 30,750 165,281
*Weirton Steel Corp................................... 197,800 469,775
Wellco Enterprises, Inc............................... 12,300 115,313
*Wells-Gardner Electronics Corp....................... 36,750 107,953
West Coast Bancorp.................................... 27,005 473,431
*West Coast Entertainment Corp........................ 71,000 28,578
*West Marine, Inc..................................... 41,500 531,719
*Westaff, Inc......................................... 81,100 542,356
Westcorp, Inc......................................... 1,600 14,900
*Westell Technologies, Inc............................ 135,100 933,034
</TABLE>
216
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Westerbeke Corp...................................... 20,000 $ 51,250
Westerfed Financial Corp.............................. 29,300 493,522
*Western Beef, Inc.................................... 42,386 270,211
Western Ohio Financial Corp........................... 6,600 169,125
*Western Power & Equipment Corp....................... 9,900 28,463
*Western Water Co..................................... 71,400 245,438
*Weston (Roy F.), Inc. Class A........................ 48,300 143,391
Westwood Homestead Financial Corp..................... 600 6,900
Weyco Group, Inc...................................... 1,200 28,200
*White Cap Industries, Inc............................ 91,600 1,216,563
*White Electronics Designs Corp....................... 55,800 87,188
*White Pine Software, Inc............................. 94,000 396,563
*Whitman Education Group, Inc......................... 118,700 630,594
*Whittaker Corp....................................... 89,500 2,405,313
*Wickes Lumber Co..................................... 66,500 342,891
*Williams Clayton Energy, Inc......................... 57,400 374,894
*Williams Controls, Inc............................... 87,100 272,188
*Willis Lease Finance Corp............................ 22,100 359,125
*Wilmar Industries, Inc............................... 107,000 1,220,469
*#Wilshire Financial Services Group, Inc.............. 77,400 27,816
*Wilshire Oil Co. of Texas............................ 142,975 589,772
*Wilsons The Leather Experts, Inc..................... 5,600 69,475
*Windmere Corp........................................ 26,000 341,250
*Winsloew Furniture, Inc.............................. 36,500 1,174,844
*Winston Resources, Inc............................... 20,700 67,275
*Wireless Telecom Group, Inc.......................... 149,200 298,400
Wiser Oil Co.......................................... 57,700 187,525
Wolf (Howard B.), Inc................................. 6,000 24,375
Wolohan Lumber Co..................................... 49,100 610,681
Woodhead Industries, Inc.............................. 176,550 2,228,944
*Workflow Management, Inc............................. 6,900 87,759
*Workgroup Technology Corp............................ 42,900 79,097
*World Acceptance Corp................................ 174,000 978,750
*#World Airways, Inc.................................. 35,000 61,797
World Fuel Services Corp.............................. 102,970 1,332,174
*Worldtalk Communications Corp........................ 38,100 132,159
*Worldtex, Inc........................................ 141,800 381,088
Worthington Foods, Inc................................ 102,921 1,514,868
*Wyant Corp........................................... 666 1,894
X-Rite, Inc........................................... 28,600 201,094
*#XCL, Ltd............................................ 56,500 74,156
*Xeta Corp............................................ 6,900 168,188
*Xetel Corp........................................... 59,900 168,469
*Xicor, Inc........................................... 121,600 174,800
*Xionics Document Technologies, Inc................... 54,900 199,013
*Xoma, Ltd............................................ 353,000 1,654,688
Yardville National Bancorp............................ 26,167 325,452
York Financial Corp................................... 50,751 773,953
York Group, Inc....................................... 19,900 152,359
*York Research Corp................................... 77,700 488,053
*Zamba Corporation.................................... 151,600 350,575
*Zaring National Corp................................. 20,300 170,013
*Zebra Technologies Corp. Class B..................... 47,520 1,523,610
*Zemex Corp........................................... 54,872 342,950
*Zevex International, Inc............................. 9,900 51,975
Ziegler Co., Inc...................................... 4,200 77,175
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Zila, Inc............................................ 6,435 $ 22,824
*Zing Technologies, Inc............................... 13,300 108,894
*#Zitel Corp.......................................... 80,200 136,591
*Zoll Medical Corp.................................... 50,500 623,359
*#Zoltek Companies, Inc............................... 4,700 36,572
*#Zonagen, Inc........................................ 22,900 246,175
*Zoran Corp........................................... 51,300 516,206
*Zygo Corp............................................ 50,700 402,431
*Zymetx, Inc.......................................... 9,000 18,563
*#eFax.com, Inc....................................... 75,000 1,085,156
------------
TOTAL COMMON STOCKS
(Cost $1,297,461,818)................................ 1,368,545,218
------------
RIGHTS/WARRANTS -- (0.0%)
*Arch Communications Warrants 09/01/03................ 333,245 0
*Ascent Assurance, Inc. Warrants 01/01/04............. 3,322 0
*Buell Industries, Inc. Contingent Payment Rights..... 59,800 0
*#Intercontinental Telecom Corp. Warrants 04/30/02.... 15,680 0
*National Mercantile Bancorp Warrants 06/02/99........ 50 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 86,900 0
*Xinetix, Inc. Warrants 03/17/03...................... 4,556 0
*Xytronyx, Inc. Warrants 08/11/01..................... 492 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $406,565)...................................... 0
------------
TOTAL UNITED STATES
(Cost $1,297,868,383)................................ 1,368,545,218
------------
UNITED KINGDOM -- (0.0%)
COMMON STOCKS -- (0.0%)
*Peptide Therapeutics Group P.L.C.
(Cost $24,911)...................................... 30,242 45,553
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.4%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $34,227,400) to be
repurchased at $33,733,233.
(Cost $33,716,000).................................. $ 33,716 33,716,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$1,331,609,294)++.................................... $1,402,306,771
------------
------------
- --------------------
+ 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.
217
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (25.1%)
COMMON STOCKS -- (25.1%)
Aichi Bank, Ltd...................................... 10,500 $ 716,976
Aisin Seiki Co., Ltd................................. 137,000 1,496,772
Amada Co., Ltd....................................... 376,000 2,334,050
Amano Corp........................................... 115,000 869,020
#Aomori Bank, Ltd.................................... 170,000 638,801
Aoyama Trading Co., Ltd.............................. 41,100 1,245,042
Asahi Glass Co., Ltd................................. 140,000 907,300
#Ashikaga Bank, Ltd.................................. 808,000 1,558,219
Autobacs Seven Co., Ltd.............................. 700 27,231
Awa Bank, Ltd........................................ 189,600 894,488
Bank of Ikeda, Ltd................................... 13,000 596,093
Bank of Iwate, Ltd................................... 18,590 763,172
#Bank of Kinki, Ltd.................................. 225,000 519,574
Bank of Kyoto, Ltd................................... 347,400 1,638,950
Bank of Nagoya, Ltd.................................. 185,000 921,784
#Bank of Saga, Ltd................................... 215,000 713,582
Bank of Yokohama, Ltd................................ 978,000 2,590,299
#Best Denki Co., Ltd................................. 153,000 1,076,394
Canon Sales Co., Inc................................. 124,900 1,947,621
Casio Computer Co., Ltd.............................. 60,000 410,694
Chiba Bank, Ltd...................................... 941,000 3,707,300
Chiyoda Fire and Marine Insurance Co., Ltd........... 444,150 1,595,440
Chudenko Corp........................................ 84,460 1,506,466
Chugoku Bank, Ltd.................................... 199,000 2,556,265
Citizen Watch Co., Ltd............................... 317,000 2,335,126
Cosmo Oil Co., Ltd................................... 764,000 1,372,190
Dai Nippon Pharmaceutical Co., Ltd................... 203,000 1,075,318
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 529,000 1,808,285
Daicel Chemical Industries, Ltd...................... 485,000 1,561,538
Daikin Industries, Ltd............................... 160,000 1,443,469
Daisan Bank, Ltd..................................... 78,000 258,235
#Daishi Bank, Ltd.................................... 350,000 1,187,717
Daito Trust Construction Co., Ltd.................... 180,784 1,994,579
#Daiwa Bank, Ltd..................................... 726,000 1,460,172
Daiwa House Industry Co., Ltd........................ 663,000 7,155,702
Daiwa Kosho Lease Co., Ltd........................... 193,000 742,799
Daiwa Securities Co., Ltd............................ 1,693,000 8,940,025
Denki Kagaku Kogyo KK................................ 469,000 830,707
Dowa Fire & Marine Insurance Co., Ltd................ 383,000 1,366,272
Ehime Bank, Ltd...................................... 143,000 544,446
#Eighteenth Bank, Ltd................................ 226,000 1,010,097
Ezaki Glico Co., Ltd................................. 174,600 1,008,697
Fuji Photo Film Co., Ltd............................. 355,000 12,693,261
#Fukui Bank, Ltd..................................... 343,000 846,002
#Fukuoka City Bank, Ltd.............................. 264,532 1,090,357
Fukuyama Transporting Co., Ltd....................... 266,000 1,351,796
Futaba Corp.......................................... 16,000 670,088
Futaba Industrial Co., Ltd........................... 85,000 1,132,677
Hanshin Electric Railway Co., Ltd.................... 141,000 521,660
Higo Bank, Ltd....................................... 308,000 1,312,862
Hino Motors, Ltd..................................... 398,000 1,871,081
Hiroshima Bank, Ltd.................................. 575,000 2,184,448
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hiroshima-Sogo Bank, Ltd............................. 136,000 $ 583,082
#Hitachi Construction Machinery Co., Ltd............. 64,000 415,825
#Hitachi Maxell, Ltd................................. 96,000 1,974,507
#Hitachi Metals, Ltd................................. 360,000 1,728,190
#Hitachi Transport System, Ltd....................... 138,000 920,609
Hitachi, Ltd......................................... 3,717,000 27,349,880
#Hokuetsu Bank....................................... 275,330 754,297
#Hokuetsu Paper Mills, Ltd........................... 162,000 820,592
Hokuriku Bank, Ltd................................... 891,000 1,696,159
House Foods Corp..................................... 115,000 1,715,196
Hyakugo Bank, Ltd. (105th Bank)...................... 258,000 1,057,027
Hyakujishi Bank, Ltd................................. 314,000 1,694,487
Inax Corp............................................ 309,000 2,102,284
Itochu Corp.......................................... 1,198,000 2,726,783
Itoham Foods, Inc.................................... 284,000 1,194,107
#Japan Pulp and Paper Co., Ltd....................... 93,000 308,666
Joyo Bank, Ltd....................................... 19,000 77,057
Jsr Corp., Tokyo..................................... 75,000 458,740
Juroku Bank, Ltd..................................... 349,000 1,291,202
#KDD Corporation..................................... 48,400 2,623,903
Kagoshima Bank, Ltd.................................. 262,000 975,832
#Kajima Corp......................................... 826,000 2,488,528
Kamigumi Co., Ltd.................................... 357,000 1,690,150
Kandenko Co., Ltd.................................... 266,000 1,664,426
Kansai Paint Co., Ltd., Osaka........................ 108,000 327,164
Katokichi Co., Ltd................................... 72,000 958,252
#Kikkoman Corp....................................... 256,000 1,875,186
Kinden Corp.......................................... 67,000 748,634
Kissei Pharmaceutical Co., Ltd....................... 40,000 844,231
Koa Fire & Marine Insurance Co., Ltd................. 45,000 145,257
#Kobe Steel, Ltd..................................... 2,632,000 2,243,800
Koito Manufacturing Co., Ltd......................... 146,000 696,044
#Kokusai Securities Co., Ltd......................... 330,000 3,709,154
Komatsu, Ltd......................................... 1,279,000 7,600,744
#Komori Corp......................................... 74,000 1,264,774
Konica Corp.......................................... 66,000 257,838
Koyo Seiko Co........................................ 198,000 1,230,740
Kureha Chemical Industry Co., Ltd.................... 263,000 653,037
Lion Corp............................................ 311,000 1,320,501
Long Term Credit Bank of Japan, Ltd.................. 994,000 0
Makita Corp.......................................... 209,000 2,276,477
Marubeni Corp........................................ 1,942,000 4,034,447
Maruichi Steel Tube, Ltd............................. 117,000 1,614,294
Matsushita Electric Industrial Co., Ltd.............. 1,933,000 35,037,819
Matsushita Electric Works, Ltd....................... 190,000 1,902,830
Matsushita Refrigeration Co.......................... 222,000 795,613
Matsuzakaya Co., Ltd................................. 30,000 135,325
Mazda Motor Corp..................................... 200,000 955,140
Meiji Seika Kaisha, Ltd. Tokyo....................... 231,000 1,269,525
Michinoku Bank, Ltd.................................. 187,000 855,909
Mitsubishi Chemical Corp............................. 2,129,000 6,044,089
*Mitsubishi Electric Corp............................ 1,683,000 5,362,977
Mitsubishi Gas Chemical Co., Inc..................... 548,000 1,542,129
</TABLE>
218
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mitsubishi Materials Corp............................ 975,000 $ 1,936,765
*#Mitsubishi Motors Corp............................. 866,000 4,128,587
Mitsui Chemicals, Inc................................ 1,030,800 5,238,463
*Mitsui Engineering and Shipbuilding Co., Ltd........ 781,000 885,590
Mitsui Trust & Banking Co., Ltd...................... 1,030,000 1,560,089
Mori Seiki Co., Ltd.................................. 121,000 1,432,130
Musashino Bank, Ltd.................................. 26,000 1,073,829
NHK Spring Co., Ltd.................................. 315,000 1,486,095
NKK Corp............................................. 2,612,000 2,032,180
NSK, Ltd............................................. 467,000 2,237,982
NTN Corp............................................. 398,000 1,218,838
Namihaya Bank, Ltd................................... 27 54,080
Nanto Bank, Ltd...................................... 288,000 1,430,227
National House Industrial Co., Ltd................... 95,000 770,568
Nichicon Corp........................................ 100,000 1,386,360
Nichirei Corp........................................ 366,000 942,112
Nifco, Inc........................................... 45,000 383,628
Nikko Securities Co., Ltd............................ 1,910,000 8,346,961
*Nippon Credit Bank, Ltd............................. 1,683,000 0
Nippon Flour Mills Co., Ltd.......................... 21,000 53,013
#Nippon Mitsubishi Oil Company....................... 1,598,000 6,441,201
Nippon Sanso Corp.................................... 367,000 1,230,218
Nippon Sheet Glass Co., Ltd.......................... 567,000 1,867,786
Nippon Shokubai Co., Ltd............................. 163,000 961,918
#Nishimatsu Construction Co., Ltd.................... 359,000 1,978,927
Nishi-Nippon Bank, Ltd............................... 23,540 90,209
*Nissan Motor Co., Ltd............................... 38,000 167,323
Nissei Sangyo Co., Ltd............................... 110,050 1,041,112
Nisshin Flour Milling Co., Ltd....................... 89,000 685,069
Nisshin Steel Co., Ltd............................... 1,318,000 1,854,494
Nisshinbo Industries, Inc............................ 305,000 1,211,720
#Nissho Iwai Corp.................................... 544,000 495,282
#Obayashi Corp....................................... 499,000 2,358,293
Ogaki Kyoritsu Bank, Ltd............................. 50,000 209,402
Oita Bank, Ltd....................................... 145,000 684,075
Oji Paper Co., Ltd................................... 275,000 1,593,279
Oki Electric Industry Co., Ltd....................... 740,000 2,572,421
Okumura Corp......................................... 322,000 1,271,263
Penta-Ocean Construction Co., Ltd.................... 438,000 750,422
Pioneer Electronic................................... 182,000 3,020,278
#Q.P. Corp........................................... 168,000 1,222,248
Royal Co., Ltd....................................... 41,000 573,498
Ryosan Co., Ltd...................................... 53,000 943,138
Ryoyo Electro Corp................................... 26,000 271,147
Sakura Bank, Ltd..................................... 816,000 2,769,078
San In Godo Bank, Ltd................................ 222,000 1,282,536
Sanyo Electric....................................... 2,565,000 9,235,018
#Seino Transportation Co., Ltd....................... 197,000 1,206,588
Sekisui Chemical Co., Ltd............................ 557,000 3,448,402
Sekisui House, Ltd................................... 938,000 10,185,862
Sharp Corp. Osaka.................................... 460,000 5,109,418
#Shiga Bank, Ltd..................................... 268,000 1,213,342
Shimachu Co., Ltd.................................... 20,200 458,939
Shimadzu Corp........................................ 181,000 701,109
#Shimizu Corp........................................ 997,000 3,523,580
Shinwa Bank, Ltd..................................... 157,000 435,317
Shionogi & Co., Ltd.................................. 455,000 3,747,103
Showa Shell Sekiyu KK................................ 75,000 422,736
Snow Brand Milk Products Co., Ltd.................... 419,000 2,059,973
Stanley Electric Co., Ltd............................ 246,000 787,965
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sumitomo Corp........................................ 918,000 $ 6,321,601
Sumitomo Forestry Co., Ltd........................... 136,000 1,063,731
Sumitomo Metal Industries, Ltd. Osaka................ 1,481,000 1,949,006
Sumitomo Metal Mining Co., Ltd....................... 313,000 1,279,771
#Sumitomo Realty & Development Co., Ltd.............. 488,000 1,817,580
Sumitomo Trust & Banking Co., Ltd.................... 21,000 86,732
#Sumitomo Warehouse Co., Ltd......................... 67,000 261,190
#Suruga Bank, Ltd.................................... 256,000 1,432,345
TEC Corp............................................. 345,000 1,379,200
TOC Co., Ltd......................................... 66,950 590,148
Taiheiyo Cement Corp................................. 746,000 1,994,355
#Taisei Corp......................................... 1,325,000 2,993,916
Takara Standard Co., Ltd............................. 175,000 1,121,089
#Takashimaya Co., Ltd................................ 206,000 1,875,517
Tanabe Seiyaku Co., Ltd.............................. 164,000 973,249
Teijin, Ltd.......................................... 917,000 3,536,848
Teikoku Oil Co., Ltd................................. 346,000 1,151,233
Toagosei Co., Ltd.................................... 353,000 671,991
Toda Corp............................................ 418,000 2,075,815
Toho Bank, Ltd....................................... 236,000 802,814
Tokuyama Corp........................................ 248,000 796,424
*Tokyo Sowa Bank..................................... 199,000 271,768
Tokyo Steel Manufacturing Co., Ltd................... 202,800 938,298
Tokyo Style Co., Ltd................................. 133,000 1,464,079
#Tokyo Tomin Bank, Ltd............................... 30,900 705,876
Tostem Corp.......................................... 188,000 3,617,778
Toto, Ltd............................................ 247,000 1,903,302
Toyo Seikan Kaisha, Ltd.............................. 287,600 5,463,018
Toyo Suisan Kaisha, Ltd.............................. 116,000 1,015,792
#Toyo Trust & Banking Co., Ltd....................... 715,000 2,071,263
Toyobo Co., Ltd...................................... 468,000 708,856
Toyota Auto Body Co., Ltd............................ 86,000 615,709
Toyota Tsusho Corp................................... 314,000 938,205
#Victor Co. of Japan, Ltd............................ 246,000 1,714,385
Wacoal Corp.......................................... 149,000 1,605,678
Yakult Honsha Co., Ltd............................... 228,000 2,102,234
Yamagata Bank, Ltd................................... 153,700 686,956
Yamaguchi Bank....................................... 133,000 1,229,606
Yamatake-Honeywell Co., Ltd.......................... 87,000 817,290
*#Yasuda Trust & Banking Co., Ltd.................... 1,434,000 1,732,859
Yodogawa Steel Works, Ltd............................ 296,000 1,242,112
Yokogawa Electric Corp............................... 337,000 1,667,985
Yokohama Rubber Co., Ltd............................. 404,000 1,070,021
------------
TOTAL COMMON STOCKS
(Cost $547,656,066).................................. 419,451,409
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $6,391)...................................... 6,454
------------
TOTAL -- JAPAN
(Cost $547,662,457).................................. 419,457,863
------------
UNITED KINGDOM -- (20.4%)
COMMON STOCKS -- (20.3%)
ASDA Group P.L.C..................................... 2,034,400 5,770,099
Aggregate Industries P.L.C........................... 1,285,488 1,617,005
Aggreko P.L.C........................................ 32,000 112,040
Allied Domecq P.L.C.................................. 146,994 1,409,735
Anglian Water P.L.C.................................. 151,281 1,675,082
</TABLE>
219
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Antofagasta Holdings P.L.C........................... 38,000 $ 165,016
Arcadia Group P.L.C.................................. 110,588 427,956
Arjo Wiggins Appleton P.L.C.......................... 708,700 2,021,418
*Associated British Foods P.L.C...................... 668,096 5,082,501
Associated British Ports Holdings P.L.C.............. 375,400 1,660,263
BAA P.L.C............................................ 1,055,024 11,335,346
BG P.L.C............................................. 2,574,617 14,161,095
BOC Group P.L.C...................................... 139,300 2,383,944
BPB P.L.C............................................ 408,500 1,931,024
Barclays P.L.C....................................... 608,800 18,467,109
Barratt Developments P.L.C........................... 226,000 1,164,295
Bass P.L.C........................................... 672,200 9,920,459
Beazer Group P.L.C................................... 239,257 741,855
Berkeley Group P.L.C................................. 108,652 1,192,620
Blue Circle Industries P.L.C......................... 326,000 2,020,327
Britannic P.L.C...................................... 119,300 1,886,823
British Airways P.L.C................................ 799,331 5,738,235
British Land Co. P.L.C............................... 471,081 4,151,757
British Steel P.L.C.................................. 1,706,900 3,624,079
British Telecommunications P.L.C..................... 250,000 4,170,272
British Vita P.L.C................................... 216,100 857,045
Brixton Estate P.L.C................................. 235,685 898,840
Burford Holdings P.L.C............................... 337,000 585,913
CGU P.L.C............................................ 1,226,541 17,924,645
Capital Shopping Centres P.L.C....................... 388,375 2,405,329
Caradon P.L.C........................................ 214,000 502,372
*Centrica P.L.C...................................... 810,000 1,641,909
Chelsfield P.L.C..................................... 236,036 1,180,067
Cookson Group P.L.C.................................. 583,000 1,690,911
Diageo P.L.C......................................... 807 8,489
Elementis P.L.C...................................... 621,791 996,364
Enterprise Oil P.L.C................................. 354,000 2,243,486
Glynwed International P.L.C.......................... 140,000 436,336
Grantchester Holdings P.L.C.......................... 12,930 33,565
Great Portland Estates P.L.C......................... 197,275 722,324
Great Universal Stores P.L.C......................... 814,600 8,693,452
Greenalls Group P.L.C................................ 255,461 1,387,708
Hammerson P.L.C...................................... 243,200 1,779,008
Hanson P.L.C......................................... 400,000 3,624,651
Hilton Group P.L.C................................... 1,251,117 5,483,135
Hyder P.L.C.......................................... 86,519 1,041,871
Imperial Chemical Industries P.L.C................... 477,000 5,258,725
Inchcape P.L.C....................................... 508,000 1,180,335
Invensys P.L.C....................................... 373,612 1,703,243
Johnson Matthey P.L.C................................ 178,000 1,554,498
Lasmo P.L.C.......................................... 815,235 1,724,370
Lex Service P.L.C.................................... 121,933 1,097,096
Lonmin P.L.C......................................... 229,794 1,844,803
Mersey Docks & Harbour Co. P.L.C..................... 53,050 437,790
Meyer International P.L.C............................ 102,281 756,380
Millennium and Copthorne Hotels P.L.C................ 122,000 1,118,226
Mirror Group P.L.C................................... 403,000 1,488,503
National Westminster Bank P.L.C...................... 1,135,608 26,058,242
Norwich Union P.L.C.................................. 731,000 5,183,276
Peel Holdings P.L.C.................................. 45,400 465,596
Pilkington P.L.C..................................... 995,666 1,164,690
Pillar Property Investments P.L.C.................... 25,000 132,599
Powergen P.L.C....................................... 443,177 4,821,927
RMC Group P.L.C...................................... 223,000 2,976,621
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rank Group P.L.C..................................... 793,530 $ 2,841,938
Rexam P.L.C.......................................... 337,343 1,329,782
Rio Tinto P.L.C...................................... 585,818 8,589,294
Rolls-Royce P.L.C.................................... 327,235 1,376,457
*Royal & Sun Alliance Insurance Group P.L.C.......... 1,402,039 11,469,104
Rugby Group P.L.C.................................... 549,000 994,087
Safeway P.L.C........................................ 954,040 3,948,031
Sainsbury (J.) P.L.C................................. 1,343,942 8,172,707
Scottish & Newcastle P.L.C........................... 235,300 2,731,706
Severn Trent P.L.C................................... 210,597 3,075,973
Shell Transport & Trading Co., P.L.C................. 2,222,545 16,088,752
Signet Group P.L.C................................... 803,000 656,235
Slough Estates P.L.C................................. 376,100 2,220,826
Smith (David S.) Holdings P.L.C...................... 298,000 625,549
Somerfield P.L.C..................................... 165,142 750,212
South West Water P.L.C............................... 43,473 704,278
Standard Chartered P.L.C............................. 70,124 1,061,310
Storehouse P.L.C..................................... 431,958 816,765
Tarmac P.L.C......................................... 948,643 1,808,937
Tate & Lyle P.L.C.................................... 353,500 2,322,453
Taylor Woodrow P.L.C................................. 388,747 1,115,048
Tesco P.L.C.......................................... 4,364,755 12,711,826
Thames Water P.L.C................................... 160,298 2,542,945
Thistle Hotels P.L.C................................. 405,707 1,170,196
Trinity P.L.C........................................ 76,800 706,394
Unigate P.L.C........................................ 229,400 1,562,270
*Unilever P.L.C...................................... 1,300,000 11,436,400
United Assurance Group P.L.C......................... 331,000 2,174,631
United Biscuits Holdings P.L.C....................... 467,329 1,484,600
United Utilities P.L.C............................... 265,595 3,206,836
Vickers P.L.C........................................ 194,300 496,600
Whitbread P.L.C...................................... 483,242 8,603,049
Wilson Bowden P.L.C.................................. 96,900 1,125,733
Wimpey (George) P.L.C................................ 348,650 888,302
Wolseley P.L.C....................................... 100,000 780,774
Yorkshire Water P.L.C................................ 161,510 1,136,155
------------
TOTAL COMMON STOCKS
(Cost $251,715,750).................................. 338,660,850
------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $2,630,988).................................. 2,643,124
------------
RIGHTS/WARRANTS -- (0.0%)
*Millenium and Copthorne Hotel P.L.C. Rights 06/06/99
(Cost $0).......................................... 79,300 124,530
------------
TOTAL -- UNITED KINGDOM
(Cost $254,346,738).................................. 341,428,504
------------
GERMANY -- (9.3%)
COMMON STOCKS -- (9.3%)
AGIV AG fuer Industrie & Verkehrswesen............... 57,800 1,226,855
Ava Allgemeine Handelsgesellschaft der Verbraucher
AG, Bielefeld...................................... 3,700 1,296,033
#BASF AG............................................. 640,050 24,460,808
BHF Bank AG.......................................... 116,900 3,801,407
*#BHW Holding AG, Berlin............................. 167,300 2,538,241
Bankgesellschaft Berlin AG........................... 233,550 3,418,829
#Bayer AG............................................ 168,100 6,433,071
</TABLE>
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<S> <C> <C>
Bayerische Vereinsbank AG............................ 311,250 $ 16,630,288
Berliner Kraft & Licht Bewag AG...................... 177,600 3,025,057
Bilfinger & Berger Bau AG, Mannheim.................. 46,500 1,149,883
#Commerzbank AG...................................... 408,050 11,391,847
DBV-Winterthur Holding AG, Wiesbaden................. 4,400 1,587,235
Deutsche Bank AG..................................... 340,805 17,771,122
#Deutsche Lufthansa AG............................... 305,250 6,558,991
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 46,400 4,002,593
Deutsche Telekom AG.................................. 170,000 6,807,963
#Dresdner Bank AG, Frankfurt......................... 315,000 11,330,224
Dyckerhoff AG........................................ 2,275 623,236
FPB Holding AG....................................... 5,789 998,751
Fresenius Medical Care AG............................ 16,900 848,198
GEA AG............................................... 11,800 296,117
Heidelberger Zement AG, Heidelberg................... 24,700 1,942,157
Hochtief AG.......................................... 91,150 4,002,907
Holzmann (Philipp) AG................................ 1,860 287,446
#Karstadt AG......................................... 8,350 3,474,874
Linde AG............................................. 5,700 3,254,146
MAN AG............................................... 140,000 4,098,789
Merck KGAA........................................... 58,000 1,998,264
PWA Papierwerke Waldhof-Aschaffenburg AG............. 3,550 649,585
Siemens AG........................................... 87,800 5,912,211
*Thyssen Krupp AG.................................... 108,750 2,126,378
Vereins & Westbank AG................................ 73,187 2,020,261
------------
TOTAL -- GERMANY
(Cost $129,315,369).................................. 155,963,767
------------
FRANCE -- (9.2%)
COMMON STOCKS -- (9.2%)
AGF (Assurances Generales de France SA).............. 62,514 3,107,463
Banque Nationale de Paris............................ 193,531 16,350,514
Banque Paribas....................................... 90,572 9,849,106
Bongrain SA.......................................... 1,653 604,937
*Christian Dior SA................................... 31,100 4,419,258
#Colas SA............................................ 5,070 959,524
Credit Commercial de France.......................... 50,191 5,536,660
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 3,000 351,325
Elf Aquitaine........................................ 140,000 20,318,284
*Eridania Beghin-Say SA.............................. 18,900 2,752,849
Esso SA.............................................. 8,476 744,457
#Euro Disney SCA..................................... 551,700 859,525
Fonciere Lyonnaise SA................................ 1,668 221,498
Fromageries Bel la Vache qui Rit..................... 275 197,829
*#GTM Entrepose...................................... 21,077 2,115,678
Generale des Establissements Michelin SA Series B.... 35,400 1,564,976
Groupe Danone........................................ 42,500 11,731,738
*Hachette Filipacchi Medias.......................... 1,300 340,503
*Imetal.............................................. 11,000 1,403,208
*LaFarge SA.......................................... 74,595 6,738,961
Labinal SA........................................... 3,200 719,379
Lyonnais des Eaux SA................................. 40,000 6,645,894
*Pechiney SA Series A................................ 55,475 2,155,473
Pernod-Ricard........................................ 38,900 2,603,149
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Peugeot SA........................................... 37,150 $ 5,515,904
#Rallye SA........................................... 17,220 1,001,100
Remy Cointreau SA.................................... 27,400 458,395
Rhone-Poulenc SA Series A............................ 176,126 8,379,235
SEB SA............................................... 9,000 722,255
*#Saint-Gobain....................................... 65,436 10,297,286
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 200 30,051
#Societe Generale Paris.............................. 70,432 12,828,849
*#Sommer-Allibert SA................................. 14,800 417,826
Sophia SA............................................ 7,700 316,412
*Thomson-CSF......................................... 87,203 2,813,824
*Total SA............................................ 40,000 4,872,540
Union Assurances Federales SA........................ 7,500 901,838
Usinor............................................... 167,800 2,291,420
------------
TOTAL COMMON STOCKS
(Cost $102,146,678).................................. 153,139,123
------------
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants
06/15/00........................................... 41,214 374,916
*Fonciere Lyonnaise SA Warrants 07/30/02............. 868 572
------------
TOTAL RIGHTS/WARRANTS
(Cost $180,303)...................................... 375,488
------------
TOTAL -- FRANCE
(Cost $102,326,981).................................. 153,514,611
------------
SWITZERLAND -- (7.5%)
COMMON STOCKS -- (7.5%)
#Ascom Holding AG, Bern.............................. 1,410 2,699,632
Baloise-Holding, Basel............................... 26,676 19,155,214
Banca del Gotthard................................... 5,470 4,925,955
Banque Cantonale Vaudois............................. 5,795 1,711,650
Bobst SA, Prilly..................................... 2,553 3,150,342
Ciba Spezialitaetenchemie Holding AG................. 2,100 156,101
Financiere Richemont AG.............................. 8,973 14,512,003
Fischer (Georg) AG, Schaffhausen (Namen)............. 12,987 4,245,093
Forbo Holding AG, Eglisau............................ 6,381 2,617,687
Helvetia Patria Holding, St. Gallen.................. 4,830 3,756,769
Holderbank Financiere Glarus AG, Glarus.............. 900 1,072,772
Intershop Holding AG, Zuerich........................ 5,400 3,189,960
Jelmoli Holding AG, Zuerich.......................... 500 466,023
#Oerlikon-Buehrle Holding AG, Zuerich................ 44,781 6,459,095
Pargesa Holding SA, Geneve........................... 1,935 2,668,431
Roche Holding AG, Basel.............................. 892 15,486,009
Sairgroup, Zuerich................................... 37,480 8,462,662
Schindler Holding AG, Hergiswil...................... 3,469 5,680,988
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 1,606 3,109,686
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall............................. 8,066 5,013,687
Sika Finanz AG, Baar................................. 1,280 381,010
Sulzer AG, Winterthur................................ 8,280 4,853,229
</TABLE>
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<S> <C> <C>
United Bank of Switzerland........................... 37,000 $ 10,734,281
Von Roll Holding AG, Gerlafingen..................... 15,045 306,128
------------
TOTAL COMMON STOCKS
(Cost $102,454,974).................................. 124,814,407
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $62,400)..................................... 62,382
------------
TOTAL -- SWITZERLAND
(Cost $102,517,374).................................. 124,876,789
------------
NETHERLANDS -- (6.5%)
COMMON STOCKS -- (6.5%)
ABN Amro Holding NV.................................. 1,304,435 28,983,504
Asr Verzekeringsgroep NV............................. 40,528 2,798,965
Buhrmann NV.......................................... 80,524 1,347,146
DSM NV............................................... 40,983 3,826,703
#Fortis (NL)......................................... 547,320 17,826,615
Ing Groep NV......................................... 732,972 39,278,127
KLM (Koninklijke Luchtvaart Mij NV).................. 79,274 2,304,332
Koninklijke Hoogovens NV............................. 34,857 1,352,177
Koninklijke Philips Electronics...................... 110,000 9,460,152
Pakhoed NV........................................... 38,986 900,887
Stork NV............................................. 27,615 584,709
Vendex NV (non-food)................................. 9,646 282,407
------------
TOTAL COMMON STOCKS
(Cost $59,000,403)................................... 108,945,724
------------
RIGHTS/WARRANTS -- (0.0%)
*Asr Verzekerings Groep NV Rights 06/02/99........... 40,528 0
*Fortis (NL) Rights 06/17/99......................... 547,320 0
*Ing Groep NV Rights 06/07/99........................ 732,972 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $59,000,403)................................... 108,945,724
------------
ITALY -- (5.1%)
COMMON STOCKS -- (5.1%)
Banca Commerciale Italiana SpA....................... 3,565,000 25,683,149
#Banca di Roma....................................... 7,168,500 10,493,632
*#Banca Toscana...................................... 607,000 2,665,677
#CIR SpA (Cie Industriale Riunite), Torino........... 885,000 1,175,213
*#Cartiere Burgo SpA................................. 235,000 1,511,167
#Cia Assicuratrice Unipol SpA........................ 116,134 506,367
#Fiat SpA............................................ 3,997,899 12,916,945
*Finmeccanica SpA.................................... 2,000,000 1,838,181
#Ifil Finanziaria Partecipazioni SpA, Torino......... 1,020,375 3,478,139
*Ing C.Olivetti & C SpA, Ivrea....................... 1,200,000 3,751,647
#Italcementi Fabbriche Riunite Cemento SpA,
Bergamo............................................ 364,000 4,148,560
Italmobiliare SpA, Milano............................ 14,330 382,081
#Magneti Marelli SpA................................. 700,000 933,206
#Montedison SpA...................................... 5,455,000 4,853,934
San Paolo-Imi SpA.................................... 657,000 8,896,202
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sirti SpA............................................ 25,000 $ 124,689
#Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 168,350 2,270,766
------------
TOTAL COMMON STOCKS
(Cost $49,565,807)................................... 85,629,555
------------
RIGHTS/WARRANTS -- (0.0%)
*Finmeccanica SpA Warrants 06/30/00
(Cost $0).......................................... 2,406,375 130,839
------------
TOTAL -- ITALY
(Cost $49,565,807)................................... 85,760,394
------------
SPAIN -- (3.3%)
COMMON STOCKS -- (3.3%)
*Acerinox SA......................................... 154,740 4,449,434
Aumar (Autopistas del Mare Nostrum SA)............... 176,800 3,972,722
#Autopistas Concesionaria Espanola SA................ 432,180 5,526,633
*Azucarera Ebro Agricolas SA......................... 111,600 1,748,016
*Banco Pastor SA, La Coruna.......................... 39,600 2,061,611
Cementos Portland SA................................. 26,000 948,786
Compania Espanola de Petroleos SA, Madrid............ 149,794 4,722,275
*#Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda........................ 36,300 754,178
*Cristaleria Espanol SA Em 98........................ 5,792 297,116
Cristaleria Espanola SA, Madrid...................... 34,752 1,820,485
FESCA (Fuerzas Electricas de Cataluna SA) Series A... 180,000 1,644,953
#Grupo Dragados...................................... 152,189 5,275,168
#Hidroelectrica del Cantabrico SA, Oviedo............ 99,900 4,324,494
Iberdrola SA......................................... 535,000 7,686,171
*Metrovacesa SA...................................... 89,964 2,029,030
Portland Valderrivas SA.............................. 2,784 89,658
Sevillana de Electricidad SA......................... 210,000 2,437,316
Union Electrica Fenosa SA............................ 230,000 3,010,937
Uralita SA........................................... 24,500 226,202
*Vallehermoso SA..................................... 240,000 2,351,367
------------
TOTAL -- SPAIN
(Cost $46,396,415)................................... 55,376,552
------------
HONG KONG -- (2.4%)
COMMON STOCKS -- (2.4%)
Amoy Properties, Ltd................................. 4,570,500 3,772,163
HKR International, Ltd............................... 1,077,384 729,418
Hang Lung Development Co., Ltd....................... 2,126,000 2,467,474
Hysan Development Co., Ltd........................... 1,683,823 2,486,272
Kerry Properties, Ltd................................ 1,261,000 1,300,924
New World Development Co., Ltd....................... 1,932,105 4,721,573
Shangri-la Asia, Ltd................................. 2,982,000 3,191,777
*Sino Hotels (Holdings), Ltd......................... 391,653 50,001
Sino Land Co., Ltd................................... 4,915,200 2,646,333
Swire Pacific, Ltd. Series A......................... 1,062,000 5,067,258
Tsim Sha Tsui Properties, Ltd........................ 1,174,000 764,550
</TABLE>
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Wharf Holdings, Ltd.................................. 3,672,000 $ 9,352,259
Wheelock and Co., Ltd................................ 3,243,000 3,680,242
------------
TOTAL COMMON STOCKS
(Cost $53,398,479)................................... 40,230,244
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $39,272)..................................... 39,272
------------
TOTAL -- HONG KONG
(Cost $53,437,751)................................... 40,269,516
------------
AUSTRALIA -- (2.4%)
COMMON STOCKS -- (2.4%)
Amcor, Ltd........................................... 505,844 2,695,480
#Boral, Ltd.......................................... 1,009,742 1,650,488
CSR, Ltd............................................. 842,897 2,267,808
George Weston Foods, Ltd............................. 65,489 295,447
Goodman Fielder, Ltd................................. 152,399 149,463
MIM Holdings......................................... 1,394,796 756,921
News Corp., Ltd...................................... 1,167,569 9,664,472
North, Ltd........................................... 420,283 763,921
Pacific Dunlop, Ltd.................................. 756,467 1,351,735
Pasminco, Ltd........................................ 134,947 132,348
Pioneer International, Ltd........................... 658,231 1,532,111
Quantas Airways, Ltd................................. 906,085 2,665,897
Rio Tinto, Ltd....................................... 492,912 6,928,987
Santos, Ltd.......................................... 72,627 225,555
#St. George Bank, Ltd................................ 55,421 386,163
Stockland Trust Group................................ 157,092 353,325
*Stockland Trust Group Issue 99...................... 5,334 12,102
#Suncorp-Metway Limited.............................. 52,500 304,813
WMC, Ltd............................................. 844,189 3,135,089
Westpac Banking Corp................................. 700,000 4,801,041
------------
TOTAL COMMON STOCKS
(Cost $37,814,352)................................... 40,073,166
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $27,951)..................................... 28,682
------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $6,026)...................................... 1,867 2,808
------------
TOTAL -- AUSTRALIA
(Cost $37,848,329)................................... 40,104,656
------------
SWEDEN -- (2.3%)
COMMON STOCKS -- (2.3%)
*#Assidomaen AB...................................... 164,500 3,309,828
*#Boliden, Ltd....................................... 57,213 128,796
Fastighets AB Balder................................. 8,000 83,981
Gambro AB Series A................................... 42,500 426,322
*Gambro AB Series B.................................. 15,900 160,422
Kinnevik Industrifoervaltnings AB Series A........... 3,200 63,453
*#Kinnevik Industrifoervaltnings AB Series B......... 36,000 751,633
Mo Och Domsjoe AB Series A........................... 6,300 161,664
Mo Och Domsjoe AB Series B........................... 118,300 2,814,916
NCC AB Series A...................................... 45,400 460,708
#NCC AB Series B..................................... 95,000 991,738
SSAB Swedish Steel Series A.......................... 129,900 1,469,709
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SSAB Swedish Steel Series B.......................... 48,000 $ 537,481
Skandinaviska Enskilda Banken Series A............... 100,000 1,213,064
#Svedala Industri.................................... 28,700 466,989
Svenska Cellulosa AB Series A........................ 57,000 1,343,002
Svenska Cellulosa AB Series B........................ 217,600 5,076,207
Svenska Handelsbanken Series A....................... 80,000 2,897,357
Svenska Kullagerfabriken AB Series A................. 68,400 1,029,192
#Svenska Kullagerfabriken AB Series B................ 89,700 1,407,230
Sydkraft AB Series C................................. 6,600 117,399
#Trelleborg AB Series B.............................. 146,400 1,306,330
Volvo AB Series A.................................... 192,600 4,863,676
Volvo AB Series B.................................... 305,100 7,757,989
------------
TOTAL COMMON STOCKS
(Cost $38,625,606)................................... 38,839,086
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $52,294)..................................... 52,439
------------
RIGHTS/WARRANTS -- (0.0%)
*Kinnevik Industrifoervaltnings AB Series A Rights
06/17/99........................................... 3,200 2,075
*Kinnevik Industrifoervaltnings AB Series B Rights
06/17/99........................................... 36,000 25,195
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 27,270
------------
TOTAL -- SWEDEN
(Cost $38,677,900)................................... 38,918,795
------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
*Banque Bruxelles Lambert VVPR....................... 128 3
Bekaert SA........................................... 3,400 1,422,029
Cimenteries CBR Cementsedrijoen...................... 2,900 264,717
#Credit Communal Holding Dexia Belgium............... 5,400 836,216
Electrafina SA....................................... 8,000 903,407
*Fortis AG........................................... 32,270 182,543
Fortis AG Class B.................................... 90,000 2,893,724
*Fortis AG Strips.................................... 290,430 3,037
*Generale de Banque SA VVPR.......................... 630 16
*#Glaverbel SA....................................... 14,812 1,445,764
*Glaverbel SA VVPR................................... 22 1
#Groupe Bruxelles Lambert SA, Bruxelles.............. 6,300 1,100,086
#Nationale a Portefeuille............................ 4,700 380,863
Sofina SA............................................ 10,500 395,240
Solvay SA............................................ 101,490 6,786,304
Suez Lyonnaise des Eaux.............................. 19,080 3,152,136
*Suez Lyonnaise des Eaux SA VVPR..................... 19,080 200
*Suez Lyonnaise ds Eaux CVG.......................... 19,080 182,744
*Tessenderlo Chemie.................................. 3,700 155,640
Union Miniere SA..................................... 40,200 1,477,478
------------
TOTAL -- BELGIUM
(Cost $19,144,906)................................... 21,582,148
------------
FINLAND -- (1.1%)
COMMON STOCKS -- (1.1%)
#Asko Oyj............................................ 48,100 849,965
</TABLE>
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<S> <C> <C>
Kemira Oyj........................................... 229,200 $ 1,411,560
#Kesko Oyj........................................... 104,300 1,385,025
Metra Oyj Series B................................... 43,200 964,387
#Metsa-Serla Oyj Series B............................ 249,500 1,917,465
Outokumpu Oyj Series A............................... 221,600 2,289,266
Rauma Oyj............................................ 25,900 287,062
Rautaruukki Oy Series K.............................. 237,100 1,462,693
Stora Enso AB Series A............................... 172,971 1,763,386
Stora Enso AB Series B............................... 436,189 4,460,495
#Upm-Kymmene Oyj..................................... 48,900 1,436,761
Valmet Corp. - (FIM)................................. 84,500 865,869
------------
TOTAL -- FINLAND
(Cost $21,503,897)................................... 19,093,934
------------
DENMARK -- (1.1%)
COMMON STOCKS -- (1.1%)
Den Danske Bank A.S.................................. 44,140 4,745,889
Forsikringsselskabet Codan A.S....................... 7,662 789,305
Jyske Bank A.S....................................... 9,990 799,963
Kapital Holdings A.S................................. 32,497 1,216,513
Tele Danmark A.S. Series B........................... 50,000 5,122,634
Tryg Baltica Forsikring A.S.......................... 56,055 1,443,635
Unidanmark A.S. Series A............................. 51,864 3,649,454
------------
TOTAL COMMON STOCKS
(Cost $15,654,407)................................... 17,767,393
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $28,882)..................................... 28,036
------------
TOTAL -- DENMARK
(Cost $15,683,289)................................... 17,795,429
------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Fraser & Neave, Ltd.................................. 769,000 3,031,895
Industrial & Commercial Bank, Ltd.................... 13,000 29,697
Keppel Corp., Ltd.................................... 1,379,000 3,933,764
Keppel Land, Ltd..................................... 600,000 1,019,290
Singapore Airlines, Ltd. (Foreign)................... 40,000 357,157
Singapore Land, Ltd.................................. 1,048,000 2,880,173
------------
TOTAL COMMON STOCKS
(Cost $13,954,087)................................... 11,251,976
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $62)......................................... 62
------------
TOTAL -- SINGAPORE
(Cost $13,954,149)................................... 11,252,038
------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
#Bergesen Dy ASA Series A............................ 105,892 1,584,277
Den Norske Bank ASA Series A......................... 589,194 2,039,421
#Kvaerner ASA........................................ 59,851 990,303
#Norsk Hydro ASA..................................... 31,700 1,247,978
#Norske Skogindustrier ASA Series A.................. 52,781 1,840,332
------------
TOTAL COMMON STOCKS
(Cost $10,772,769)................................... 7,702,311
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Kvaerner ASA Rights 06/09/99
(Cost $0).......................................... 59,851 $ 28,836
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $5).......................................... 5
------------
TOTAL -- NORWAY
(Cost $10,772,774)................................... 7,731,152
------------
MALAYSIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Berjaya Group Berhad................................. 750,000 173,684
*Berjaya Industrial Berhad........................... 691,000 66,918
Berjaya Land Berhad.................................. 235,000 83,116
Genting Berhad....................................... 750,000 2,131,579
Golden Hope Plantations Berhad....................... 1,340,000 947,874
Hap Seng Consolidated Berhad......................... 70,000 33,453
Highlands and Lowlands Berhad........................ 607,000 368,034
Hong Leong Credit Berhad............................. 309,000 310,951
IOI Corp. Berhad..................................... 436,000 237,735
Kuala Lumpur Kepong Berhad........................... 677,000 791,021
Sime Darby Berhad (Malaysia)......................... 621,000 651,069
------------
TOTAL -- MALAYSIA
(Cost $12,228,624)................................... 5,795,434
------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Espirito Santo e Comercial de Lisboa........... 41,192 1,012,163
Cimpor Cimentos de Portugal SA....................... 26,885 717,960
Portugal Telecom SA.................................. 63,528 2,882,866
------------
TOTAL -- PORTUGAL
(Cost $4,634,237).................................... 4,612,989
------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Carter Holt Harvey, Ltd.............................. 1,370,700 1,572,659
Lion Nathan, Ltd..................................... 432,600 1,039,065
------------
TOTAL COMMON STOCKS
(Cost $2,915,295).................................... 2,611,724
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $179)........................................ 186
------------
TOTAL -- NEW ZEALAND
(Cost $2,915,474).................................... 2,611,910
------------
IRELAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Greencore Group P.L.C................................ 52,764 193,097
Independent Newspapers P.L.C......................... 112,098 580,193
Irish Permanent P.L.C................................ 37,534 480,762
Jefferson Smurfit Group P.L.C........................ 475,872 1,243,941
------------
TOTAL -- IRELAND
(Cost $1,997,369).................................... 2,497,993
------------
</TABLE>
224
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
AUSTRIA -- (0.1%)
COMMON STOCKS -- (0.1%)
#Bank Austria AG..................................... 24,052 $ 1,234,816
Voest-Alpine Stahl AG................................ 9,900 277,317
------------
TOTAL -- AUSTRIA
(Cost $1,416,673).................................... 1,512,133
------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
*Euro Currency (Cost $1,222,382)..................... 1,222,134
------------
FACE
AMOUNT VALUE+
------------ ------------
TEMPORARY CASH
INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $10,710,000) to be
repurchased at $10,554,392.
(Cost $10,549,000)................................. $ 10,549 $ 10,549,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$1,537,118,298)++.................................... $1,670,873,465
------------
------------
- --------------------
+ 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.
225
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (98.5%)
COMMON STOCKS -- (98.5%)
ASK Corp., Yokohama................................... 64,000 $ 78,927
Achilles Corp......................................... 549,000 663,417
Aica Kogyo Co., Ltd................................... 164,000 688,197
Aichi Corp............................................ 57,000 147,194
Aichi Machine Industry Co., Ltd....................... 157,000 333,960
Aichi Steel Works, Ltd................................ 292,000 662,208
Aichi Tokei Denki Co., Ltd............................ 67,000 189,654
Aida Engineering, Ltd................................. 160,000 511,174
Akai Electric Co., Ltd................................ 363,000 369,550
#Akebono Brake Industry Co., Ltd...................... 141,000 340,771
Amada Metrecs Co., Ltd................................ 102,000 563,102
Amada Sonoike Co., Ltd................................ 132,000 381,294
*Amada Wasino Co., Ltd................................ 122,000 159,543
Ando Corp............................................. 120,000 235,391
Anest Iwata Corp...................................... 74,000 145,158
#Aoki Corp............................................ 70,000 45,191
Aoki International Co., Ltd........................... 74,200 335,319
Arai-Gumi, Ltd........................................ 49,300 107,724
Araya Industrial Co., Ltd............................. 84,000 118,192
Asahi Denka Kogyo KK.................................. 169,000 773,522
Asahi Diamond Industrial Co., Ltd..................... 68,000 356,265
Asahi Kogyosha Co., Ltd............................... 48,000 145,406
Asahi Optical Co., Ltd................................ 102,000 322,496
Asahi Organic Chemicals Industry Co., Ltd............. 259,000 728,853
Asahi Tec Corp........................................ 86,000 274,756
Asanuma Corp.......................................... 145,000 264,029
Ashimori Industry Co., Ltd............................ 84,000 173,812
Asics Corp............................................ 333,000 366,570
Atsugi Nylon Industrial Co., Ltd...................... 254,000 294,322
Azel Corp., Tokyo..................................... 89,000 278,447
Bando Chemical Industries, Ltd........................ 213,000 537,701
#Bank of Okinawa, Ltd................................. 19,300 440,887
*#Bank of Osaka, Ltd.................................. 146,000 240,473
#Bank of the Ryukyus, Ltd............................. 20,280 291,728
Bunka Shutter Co., Ltd................................ 134,000 360,454
CKD Corp.............................................. 113,000 476,055
Cabin Co., Ltd........................................ 67,000 106,472
Calpis Co., Ltd....................................... 66,000 316,835
Central Finance Co., Ltd.............................. 180,000 357,557
Central Glass Co., Ltd................................ 184,000 360,934
Cesar Co.............................................. 79,000 205,968
#Chiba Kogyo Bank, Ltd................................ 38,100 558,161
Chino Corp............................................ 70,000 155,272
Chisan Tokan Co., Ltd................................. 64,000 77,338
Chiyoda Corp.......................................... 162,000 311,074
Chori Co., Ltd........................................ 175,000 208,575
Chuetsu Pulp and Paper Co., Ltd....................... 172,000 222,082
Chugai Ro Co., Ltd.................................... 139,000 354,345
Chugoku Marine Paints, Ltd............................ 111,000 280,210
Chugokukogyo Co., Ltd................................. 45,000 67,787
Chukyo Coca-Cola Bottling Co., Ltd.................... 40,000 516,471
Chukyo Sogo Bank, Ltd................................. 118,000 398,477
Chuo Paperboard Co., Ltd.............................. 62,000 52,856
Chuo Spring Co., Ltd., Nagoya......................... 99,000 303,998
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Cleanup Corp.......................................... 41,000 $ 241,955
*Co-Op Chemical Co., Ltd.............................. 80,000 87,403
Copal Co., Ltd........................................ 78,000 462,241
*#Cosmo Securities Co., Ltd........................... 351,000 621,702
D'urban, Inc.......................................... 114,000 192,485
Dai Nippon Toryo, Ltd................................. 193,000 322,678
Dai-Dan Co., Ltd...................................... 80,000 542,956
*Daido Concrete Co., Ltd.............................. 33,000 0
#Daido Hoxan, Inc..................................... 196,000 584,009
Daido Kogyo Co., Ltd.................................. 60,000 124,152
Daido Steel Sheet Corp................................ 84,000 182,155
Daidoh, Ltd........................................... 54,000 138,553
*#Daiei OMC, Inc...................................... 371,000 531,228
Daihen Corp........................................... 205,000 330,864
Daiho Corp............................................ 96,000 196,259
Daiichi Cement Co., Ltd............................... 33,000 49,164
Daiichi Chuo Kisen Kaisha............................. 390,000 277,603
Dai-Ichi Hotel, Ltd., Tokyo........................... 52,000 66,711
Dai-Ichi Jitsugyo Co., Ltd............................ 80,000 143,023
#Dai-Ichi Katei Denki Co., Ltd........................ 91,000 59,502
Dai-Ichi Kogyo Seiyaku Co., Ltd....................... 47,000 112,812
Dai-Ichi Securities Co., Ltd.......................... 228,000 324,582
Daiken Corp........................................... 110,000 438,835
#Daiki Co., Ltd....................................... 31,000 313,284
#Daikyo, Inc.......................................... 268,000 774,143
Daimei Telecom Engineering Corp....................... 66,000 453,402
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 163,000 546,391
Daiso Co., Ltd........................................ 112,000 232,677
#Daisue Construction Co., Ltd......................... 185,000 166,901
Daito Woolen Spinning & Weaving Co., Ltd., Tokyo...... 42,000 49,363
#Daiwa Danchi Co., Ltd................................ 202,000 518,292
Daiwa Seiko, Inc...................................... 145,000 318,035
Daiwabo Co., Ltd...................................... 262,000 320,940
Dantani Corp.......................................... 68,000 85,549
Danto Corp............................................ 42,000 206,141
Denki Kogyo Co., Ltd.................................. 59,000 403,360
Deodeo Corp........................................... 14,200 141,036
Descente, Ltd......................................... 133,000 277,404
Dijet Industrial Co., Ltd............................. 34,000 45,026
Dynic Corp............................................ 52,000 103,294
Eagle Industry Co., Ltd............................... 43,000 130,616
Enshu, Ltd............................................ 69,000 113,077
FDK Corp.............................................. 94,000 385,118
First Baking Co., Ltd................................. 67,000 183,554
France Bed Co., Ltd................................... 193,000 720,435
#Fudo Construction Co., Ltd........................... 201,000 374,317
Fuji Car Manufacturing Co., Ltd....................... 36,000 44,099
Fuji Denki Reiki Co., Ltd............................. 81,800 365,602
Fuji Kiko Co., Ltd.................................... 51,000 79,358
Fuji Kosan Co., Ltd................................... 130,000 135,574
Fuji Kyuko Co., Ltd................................... 98,000 275,782
Fuji Spinning Co., Ltd., Tokyo........................ 163,000 178,083
Fujii & Co., Ltd...................................... 44,000 49,164
Fujiko Co., Ltd....................................... 55,000 46,433
Fujirebio, Inc........................................ 75,000 366,247
</TABLE>
226
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Fujiya Co., Ltd...................................... 190,000 $ 440,324
Fukuda Corp........................................... 65,000 223,266
Fukushima Bank, Ltd................................... 90,000 204,105
#Fukusuke Corp........................................ 95,000 199,719
Furukawa Battery Co., Ltd............................. 45,000 86,037
Furukawa Co., Ltd..................................... 208,000 290,945
Fuso Pharmaceutical Industries, Ltd................... 61,000 258,500
*Ga-jo-en Kanko KK.................................... 37,000 0
Gakken Co., Ltd....................................... 158,000 227,545
Gastec Service, Inc................................... 41,000 179,854
Godo Shusei Co., Ltd.................................. 74,000 177,007
Godo Steel, Ltd....................................... 245,000 265,643
Goldwin, Inc.......................................... 47,000 54,072
Gourmet Kineya Co., Ltd............................... 31,000 216,810
Graphtec Corp......................................... 39,000 63,913
Gun-Ei Chemical Industry Co., Ltd..................... 164,000 308,128
Gunze Sangyo, Inc., Tokyo............................. 90,000 119,930
Hakone Tozan Railway Co., Ltd......................... 52,000 146,333
Hakuyosha Co., Ltd.................................... 57,000 155,214
*#Hanshin Sogo Bank, Ltd.............................. 189,000 358,227
#Hanwa Co., Ltd....................................... 405,000 516,222
Harima Chemicals, Inc................................. 37,000 143,933
Hayashikane Sangyo Co., Ltd........................... 128,000 167,390
Hazama Corp........................................... 19,000 15,254
Heiwado Co., Ltd...................................... 49,000 314,311
#Hibiya Engineering, Ltd.............................. 60,000 312,862
Hisaka Works, Ltd..................................... 48,000 198,643
Hitachi Electronics, Ltd.............................. 100,000 463,499
Hitachi Medical Corp.................................. 28,000 314,021
Hitachi Plant Engineering & Construction Co., Ltd..... 204,000 563,946
Hitachi Powdered Metal Co., Ltd....................... 46,000 222,347
#Hitachi Seiki Co., Ltd............................... 141,000 245,075
Hochiki Corp.......................................... 42,000 142,178
Hodogaya Chemical Co., Ltd............................ 100,000 173,812
Hohsui Corp........................................... 56,000 56,083
Hokkai Can Co., Ltd., Tokyo........................... 116,000 316,835
Hokkaido Bank, Ltd.................................... 100,000 156,431
Hokkaido Gas Co., Ltd................................. 87,000 159,138
Hokko Chemical Industry Co., Ltd...................... 41,000 99,768
Hoko Fishing Co., Ltd................................. 79,000 75,195
Hokuriku Electric Industry Co., Ltd................... 112,000 151,101
Hokuriku Electrical Construction Co., Ltd............. 36,000 107,267
Hokushin Co., Ltd..................................... 39,900 102,045
#Honen Corp........................................... 128,000 212,945
#Horiba, Ltd.......................................... 54,000 536,335
#Hosokawa Micron Corp................................. 40,000 268,499
#Howa Machinery, Ltd.................................. 181,000 217,224
Ichida and Co., Ltd................................... 78,000 83,927
Ichikawa Co., Ltd..................................... 49,000 85,168
Ichiken Co., Ltd...................................... 48,000 79,457
Ichikoh Industries, Ltd............................... 141,000 226,403
Idec Izumi Corp....................................... 60,000 332,726
Ihara Chemical Industry Co., Ltd...................... 80,000 248,965
Iino Kaiun Kaisha, Ltd................................ 161,000 302,491
Ikegai Corp........................................... 90,000 119,930
Ikegami Tsushinki Co., Ltd............................ 102,000 278,596
Inabata and Co., Ltd., Osaka.......................... 85,000 280,003
Inageya Co., Ltd...................................... 56,000 417,149
Intec, Inc............................................ 19,000 194,215
Inui Steamship Co., Ltd............................... 31,000 30,790
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Iseki & Co., Ltd..................................... 322,000 $ 335,805
Ishihara Sangyo Kaisha, Ltd........................... 193,000 351,432
Ishii Iron Works Co., Ltd............................. 52,000 114,054
Ishikawa Seisakusho, Ltd.............................. 75,000 133,463
Ishizuka Glass Co., Ltd............................... 49,000 94,496
Itochu Fuel Corp...................................... 192,000 607,052
Itoki Crebio Corp..................................... 56,000 162,225
Iwasaki Electric Co., Ltd............................. 110,000 198,477
Iwatsu Electric Co., Ltd.............................. 145,000 195,622
Izumi Co., Ltd........................................ 55,000 367,820
#Izutsuya Co., Ltd.................................... 70,000 544,032
#JGC Corp............................................. 146,000 372,190
JMS Co., Ltd.......................................... 59,000 205,098
Janome Sewing Machine Co., Ltd........................ 224,000 279,954
Japan Aircraft Manufacturing Co., Ltd................. 70,000 230,591
Japan Aviation Electronics Industry, Ltd.............. 130,000 408,873
Japan Carlit Co., Ltd................................. 28,000 120,278
*Japan Coated Paper Manufacturing Co., Ltd............ 132,000 128,919
Japan Digital Laboratory Co., Ltd..................... 28,100 467,480
#Japan Foundation Engineering Co., Ltd................ 49,200 447,532
Japan Metals & Chemicals Co., Ltd..................... 201,000 319,417
Japan Oil Transportation Co., Ltd..................... 45,000 84,175
Japan Paperboard Industries Co., Ltd., Tokyo.......... 127,000 274,350
Japan Pulp and Paper Co., Ltd......................... 99,000 328,580
Japan Steel Works, Ltd................................ 226,000 273,100
Japan Storage Battery Co., Ltd........................ 191,000 750,910
Japan Transcity Corp.................................. 90,000 219,748
Japan Vilene Co., Ltd................................. 101,000 204,809
Japan Wool Textile Co., Ltd........................... 57,000 269,384
#Jeol, Ltd............................................ 97,000 480,905
Joban Kosan Co., Ltd.................................. 101,000 179,730
#Joshin Denki Co., Ltd................................ 98,000 314,716
#Jujiya Co., Ltd...................................... 161,000 179,896
Juken Sangyo Co., Ltd................................. 86,000 288,992
Juki Corp............................................. 153,000 303,923
Kagawa Bank, Ltd...................................... 68,350 354,705
Kahma Co., Ltd........................................ 46,000 270,319
#Kakuei (L.) Corp..................................... 100,000 66,214
Kamei Corp............................................ 59,000 317,414
#Kanaden Corp......................................... 50,000 237,957
Kanagawa Chuo Kotsu Co., Ltd.......................... 90,000 342,658
#Kanematsu Corp....................................... 409,000 297,898
#Kanematsu Electronics, Ltd........................... 38,000 211,041
Kanematsu-NNK Corp.................................... 60,000 178,778
Kansai Kisen Kaisha................................... 184,000 170,568
Kansei Corp........................................... 93,000 252,475
#Kanto Auto Works, Ltd., Yokosuka..................... 74,000 414,037
Kanto Bank, Ltd....................................... 13,400 161,483
Kanto Denka Kogyo Co., Ltd............................ 83,000 219,831
Kanto Natural Gas Development Co., Ltd................ 104,000 533,686
Kanto Special Steel Works, Ltd........................ 84,000 75,087
Kasei (C.I.) Co., Ltd................................. 46,000 153,816
Kasho Co., Ltd., Tokyo................................ 46,000 258,898
#Kasumi Co., Ltd...................................... 132,000 544,082
Katakura Industries Co., Ltd.......................... 49,000 238,065
Kato Works Co., Ltd................................... 82,000 149,992
Katsumura Construction Co., Ltd....................... 48,600 78,841
</TABLE>
227
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kawada Industries, Inc................................ 76,000 $ 242,178
Kawai Musical Instruments Manufacturing Co., Ltd...... 99,000 222,058
Kawashima Textile Manufacturers, Ltd.................. 126,000 179,374
#Kawasho Corp......................................... 208,000 266,843
*Kawasho Corp. Issue 99............................... 14,000 17,845
Kawasho Gecoss Corp................................... 52,000 193,677
Kayaba Industry Co., Ltd.............................. 321,000 627,015
Keihin Co., Ltd....................................... 100,000 170,502
#Keiyo Co., Ltd....................................... 104,900 505,312
Kimmon Manufacturing Co., Ltd......................... 41,000 64,476
Kimura Chemical Plants Co., Ltd....................... 27,000 51,399
Kinki Nippon Tourist Co., Ltd......................... 133,000 352,260
Kinki Sharyo Co., Ltd., Nagaokakyo.................... 101,000 163,011
#Kinseki, Ltd......................................... 56,000 283,198
Kinsho-Mataichi Corp.................................. 42,000 45,886
Kinugawa Rubber Industrial Co., Ltd................... 83,000 79,002
Kioritz Corp.......................................... 96,000 146,201
#Kitagawa Iron Works Co., Ltd......................... 124,000 204,238
Kita-Nippon Bank, Ltd................................. 6,806 304,191
Kitano Construction Corp.............................. 116,000 372,521
Kitz Corp............................................. 234,000 398,974
Koa Corp.............................................. 35,000 326,767
Koatsu Gas Kogyo Co., Ltd............................. 78,000 238,868
Kobe Kiito Co., Ltd................................... 53,000 48,254
Kokune Corp........................................... 42,000 52,491
Kokusai Kogyo Co., Ltd................................ 60,000 367,489
Komai Tekko, Inc...................................... 53,000 127,653
Komatsu Construction Co., Ltd......................... 29,000 48,005
Komatsu Forklift Co., Ltd............................. 153,000 265,933
Komatsu Seiren Co., Ltd............................... 75,000 279,962
Komatsu Zenoah Co..................................... 73,000 166,156
Kosei Securities Co., Ltd............................. 137,000 240,391
Krosaki Corp.......................................... 96,000 149,379
#Kumiai Chemical Industry Co., Ltd., Tokyo............ 153,000 354,577
Kurabo Industries, Ltd................................ 374,000 439,563
#Kuraya Corp.......................................... 33,500 479,680
Kyodo Printing Co., Ltd............................... 75,000 425,219
Kyodo Shiryo Co., Ltd................................. 145,000 178,820
Kyoei Tanker Co., Ltd................................. 53,000 65,800
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 38,300 219,047
Kyokuyo Co., Ltd...................................... 167,000 243,271
Kyosan Electric Manufacturing Co., Ltd................ 94,000 219,401
Kyowa Leather Cloth Co., Ltd.......................... 32,000 119,980
Kyushu Bank, Ltd...................................... 146,000 465,237
Life Corp............................................. 83,000 443,784
#MR Max Corp.......................................... 56,300 274,464
Maezawa Industries, Inc............................... 18,700 253,677
Magara Construction Co., Ltd.......................... 61,000 202,458
Marudai Food Co., Ltd................................. 232,000 493,494
Maruei Department Store Co., Ltd...................... 72,000 195,464
Maruetsu, Inc......................................... 43,000 144,852
Maruha Corp........................................... 434,000 502,897
Marusan Securities Co., Ltd........................... 67,000 296,126
Maruwn Corp........................................... 44,000 147,492
*Maruyama Manufacturing Co., Inc...................... 73,000 161,323
Maruzen Co., Ltd...................................... 179,000 437,055
Maruzen Showa Unyu Co., Ltd........................... 175,000 347,625
Matsui Construction Co., Ltd.......................... 40,000 109,253
Matsuo Bridge Co., Ltd................................ 37,000 75,948
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Matsuya Co., Ltd...................................... 74,000 $ 239,480
Meiden Engineering Co., Ltd........................... 31,000 196,284
*Meiji Shipping Co., Ltd.............................. 47,000 89,083
*Meiko National Securities Co., Ltd. Issue 99......... 73,000 120,841
Meisei Industrial Co., Ltd............................ 29,000 48,725
Meito Sangyo Co., Ltd................................. 38,000 361,695
*Meiwa Trading Co., Ltd............................... 55,000 84,671
#Misawa Homes Co., Ltd................................ 108,000 386,161
Misawa Resort Co., Ltd................................ 40,000 96,342
#Mitsuba Corp......................................... 67,000 251,208
Mitsubishi Cable Industries, Ltd...................... 270,000 435,772
*Mitsubishi Kakoki Kaisha, Ltd........................ 117,000 269,210
Mitsubishi Pencil Co., Ltd............................ 61,000 414,004
*Mitsubishi Plastics, Inc............................. 310,000 415,660
*Mitsubishi Shindoh Co., Ltd.......................... 82,000 125,559
*Mitsubishi Steel Manufacturing Co., Ltd.............. 253,000 245,001
Mitsuboshi Belting, Ltd............................... 153,000 383,703
#Mitsui Construction Co., Ltd......................... 314,000 298,874
Mitsui Home Co., Ltd.................................. 55,000 269,037
Mitsui Matsushima Co., Ltd............................ 90,000 242,096
*Mitsui Mining Co., Ltd............................... 225,000 275,617
*Mitsui O.S.K. Lines, Ltd. Issue 99................... 171,000 384,969
Mitsui Sugar Co., Ltd................................. 116,000 200,662
Mitsui Wood Systems, Inc.............................. 41,500 81,406
Mitsui-Soko Co., Ltd.................................. 85,000 277,189
Mitsuuroko Co., Ltd................................... 76,000 361,695
Miura Co., Ltd........................................ 31,000 431,054
Miyaji Iron Works Co. Ltd............................. 90,000 245,820
Miyakoshi Corp........................................ 18,000 17,431
Miyoshi Oil & Fat Co., Ltd............................ 120,000 285,052
Miyuki Keori Co., Ltd................................. 50,000 206,919
*#Morinaga & Co., Ltd................................. 220,000 364,178
Morita Corp........................................... 72,000 179,374
*Morozoff, Ltd., Osaka................................ 50,000 91,045
Mory Industries, Inc.................................. 66,000 126,188
Mos Food Services, Inc................................ 20,000 256,580
*Mutoh Industries, Ltd................................ 61,000 77,247
Mutow Co., Ltd........................................ 38,000 204,436
NOF Corp.............................................. 54,000 120,675
Nabco, Ltd............................................ 120,000 210,561
Nachi-Fujikoshi Corp.................................. 188,000 283,198
*#Nagasakiya Co., Ltd. (Tokyo)........................ 231,000 403,418
Nagatanien Co., Ltd................................... 32,000 318,888
*Naigai Co., Ltd...................................... 109,000 123,597
Nakabayashi Co., Ltd.................................. 92,000 231,485
Nakamuraya Co., Ltd................................... 85,000 240,606
*#Nakano Corp......................................... 66,000 87,403
Nakayama Steel Works, Ltd............................. 206,000 395,564
Neturen Co., Ltd., Tokyo.............................. 67,000 189,099
Nichia Steel Works, Ltd............................... 64,900 338,412
#Nichias Corp......................................... 237,000 409,973
Nichiban Co., Ltd..................................... 58,000 171,379
*Nichiboshin, Ltd..................................... 119,000 93,569
Nichimo Co., Ltd...................................... 54,000 99,669
*Nichimo Corp......................................... 85,000 104,122
Nichireki Co., Ltd.................................... 44,000 217,779
Nichiro Corp.......................................... 289,000 437,734
Nifco, Inc............................................ 50,000 426,254
*Nihon Kentetsu Co., Ltd.............................. 27,000 80,227
Nihon Kohden Corp..................................... 85,000 253,269
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Nihon Matai Co., Ltd.................................. 50,000 $ 115,875
Nihon Nohyaku Co., Ltd................................ 103,000 266,835
Nihon Nosan Kogyo KK.................................. 201,000 287,808
Nihon Parkerizing Co., Ltd............................ 92,000 255,090
*Nihon Spindle Manufacturing Co., Ltd................. 56,000 176,130
Nihon Tokushu Toryo Co., Ltd.......................... 35,000 72,422
#Niigata Chuo Bank, Ltd............................... 130,000 277,603
*Niigata Engineering Co., Ltd......................... 586,000 514,120
Nikken Chemicals Co., Ltd............................. 130,000 492,799
#Nikkiso Co., Ltd..................................... 61,000 340,291
Nikko Co., Ltd., Akashi............................... 65,000 153,327
Nippon Beet Sugar Manufacturing Co., Ltd.............. 265,000 493,503
Nippon Carbide Industries Co., Inc., Tokyo............ 101,000 201,465
Nippon Carbon Co., Ltd................................ 177,000 247,583
#Nippon Chemical Industrial Co., Ltd.................. 131,000 363,226
Nippon Chemi-Con Corp................................. 103,000 374,251
Nippon Chemiphar Co., Ltd............................. 49,000 150,058
#Nippon Chutetsukan KK................................ 44,000 85,218
Nippon Columbia Co., Ltd.............................. 99,000 188,462
Nippon Concrete Industries Co., Ltd................... 65,000 85,540
Nippon Conlux Co., Ltd................................ 63,000 349,363
*Nippon Conveyor Co., Ltd............................. 43,000 49,470
Nippon Denko Co., Ltd................................. 159,000 210,561
Nippon Densetsu Kogyo Co., Ltd........................ 118,000 402,384
Nippon Dry-Chemical Co., Ltd.......................... 40,500 144,475
*Nippon Electric Industry Co., Ltd.................... 67,000 188,545
Nippon Felt Co., Ltd.................................. 28,000 74,160
Nippon Flour Mills Co., Ltd........................... 95,000 239,820
Nippon Formula Feed Manufacturing Co., Ltd............ 100,000 115,875
Nippon Gas Co., Ltd................................... 62,000 259,146
Nippon Hume Pipe Co., Ltd............................. 43,000 83,993
*Nippon Kasei Chemical Co., Ltd....................... 113,000 169,285
Nippon Kinzoku Co., Ltd............................... 93,000 120,079
Nippon Koei Co., Ltd., Tokyo.......................... 146,000 378,232
*#Nippon Koshuha Steel Co., Ltd....................... 151,000 158,724
*Nippon Lace Co., Ltd................................. 26,000 34,431
*Nippon Metal Industry Co., Ltd....................... 282,000 361,778
Nippon Pipe Manufacturing Co., Ltd.................... 35,000 112,399
#Nippon Piston Ring Co., Ltd.......................... 133,000 187,138
Nippon Road Co., Ltd.................................. 147,000 338,239
Nippon Seisen Co., Ltd................................ 39,000 71,015
Nippon Sharyo, Ltd.................................... 122,000 350,389
Nippon Shinyaku Co., Ltd.............................. 59,000 400,430
Nippon Signal Co., Ltd................................ 109,000 604,453
*Nippon Steel Chemical Co., Ltd....................... 241,000 301,200
*Nippon Suisan Kaisha, Ltd............................ 246,000 364,459
Nippon Synthetic Chemical Industry Co., Ltd........... 152,000 283,066
Nippon Thompson Co., Ltd.............................. 62,000 399,238
Nippon Valqua Industries, Ltd......................... 119,000 183,198
*#Nippon Yakin Kogyo Co., Ltd......................... 243,000 172,968
Nippon Yusoki Co., Ltd................................ 49,000 99,363
Nissan Construction Co., Ltd.......................... 128,000 201,291
*Nissan Diesel Motor Co., Ltd......................... 196,000 292,005
Nissan Shatai Co., Ltd................................ 251,000 525,600
*Nisseki House Industry Co., Ltd...................... 260,000 559,510
Nissha Printing Co., Ltd.............................. 81,000 514,882
Nisshin Oil Mills, Ltd................................ 122,000 323,125
Nissin Corp........................................... 150,000 281,824
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nissin Electric Co., Ltd.............................. 187,000 $ 373,009
Nitsuko Corp.......................................... 75,000 276,237
Nittetsu Mining Co., Ltd.............................. 147,000 434,357
Nitto Electric Works, Ltd............................. 67,000 459,162
Nitto Flour Milling Co., Ltd.......................... 54,000 116,206
Nitto Seiko Co., Ltd.................................. 56,000 113,557
*Nitto Seimo Co., Ltd................................. 32,000 38,669
Nittoc Construction Co., Ltd.......................... 61,000 181,758
Nohmi Bosai, Ltd...................................... 59,000 241,723
Noritz Corp........................................... 44,000 503,658
O-M, Ltd.............................................. 46,000 74,243
*OKK Corp............................................. 101,000 155,488
Obayashi Road Corp.................................... 65,000 209,816
Odakyu Construction Co., Ltd.......................... 29,000 85,209
*Odakyu Real Estate Co., Ltd.......................... 58,000 120,013
Ohki Corp............................................. 73,000 142,592
*Ohkura Electric Co., Ltd............................. 34,000 57,971
Okabe Co., Ltd........................................ 39,000 132,023
Okamoto Industries, Inc............................... 127,000 310,089
Okamura Corp.......................................... 197,000 479,374
Okasan Securities Co., Ltd............................ 164,000 443,867
Oki Electric Cable Co., Ltd........................... 56,000 102,433
*Okuma and Howa Machinery, Ltd........................ 69,000 142,774
*Okura and Co., Ltd................................... 128,000 68,863
#Okura Industrial Co., Ltd............................ 96,000 286,045
Ono Sokki Co., Ltd.................................... 43,000 138,090
Optec Dai-Ichi Denko Co., Ltd......................... 59,333 57,457
Organo Corp........................................... 101,000 412,125
Oriental Construction Co., Ltd........................ 39,000 159,460
Origin Electric Co., Ltd.............................. 54,000 328,505
Osaka Oxygen Industries, Ltd.......................... 190,000 347,542
Osaki Electric Co., Ltd............................... 56,000 183,082
P.S.C. Corp........................................... 35,000 139,919
Pacific Industrial Co., Ltd........................... 78,000 227,247
*Pacific Metals Co., Ltd.............................. 299,000 200,455
#Parco Co., Ltd....................................... 82,000 404,503
*Pasco Corp........................................... 150,000 315,345
Pilot Corp............................................ 32,000 121,834
#Pokka Corp........................................... 48,000 278,100
Press Kogyo Co., Ltd.................................. 143,000 163,334
*Prima Meat Packers, Ltd.............................. 230,000 319,815
Raito Kogyo Co., Ltd.................................. 47,800 367,936
Rasa Industries, Ltd.................................. 119,000 335,863
*#Rengo Co., Ltd. Issue 99............................ 64,800 286,403
*Renown Look, Inc..................................... 50,000 62,076
*Renown, Inc.......................................... 402,000 565,635
Rheon Automatic Machinery Co., Ltd.................... 40,000 148,651
Rhythm Watch Co., Ltd................................. 344,000 495,415
#Riken Corp........................................... 193,000 338,653
Riken Keiki Co., Ltd.................................. 33,000 123,456
Riken Vinyl Industry Co., Ltd......................... 123,000 423,506
#Rohto Pharmaceutical Co., Ltd........................ 57,000 430,732
#Ryobi, Ltd........................................... 238,000 425,492
Ryoden Trading Co., Ltd............................... 80,000 255,587
Ryoyo Electro Corp.................................... 45,000 469,293
S.T. Chemical Co., Ltd................................ 48,000 338,487
SMK Corp.............................................. 127,000 526,626
SXL Corp.............................................. 148,000 448,336
Saeki Kensetsu Kogyo Co., Ltd......................... 71,000 120,468
Sagami Co., Ltd....................................... 60,000 143,519
Sakai Chemical Industry Co., Ltd...................... 184,000 548,254
Sakai Heavy Industries, Ltd........................... 60,000 149,975
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sakai Ovex Co., Ltd.................................. 85,000 $ 104,825
Sakata Inx Corp....................................... 92,000 274,127
Sakurada Co., Ltd..................................... 38,000 39,629
San-Ai Oil Co., Ltd................................... 118,000 318,391
Sankei Building Co., Ltd.............................. 97,000 340,407
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 54,000 69,277
*Sankyo Aluminum Industry Co., Ltd.................... 359,000 430,847
#Sankyo Seiki Manufacturing Co., Ltd.................. 73,000 533,513
Sankyo Seiko Co., Ltd................................. 86,000 222,082
#Sankyu, Inc., Tokyo.................................. 302,000 392,435
Sanshin Electronics Co., Ltd.......................... 51,000 409,874
*Sansui Electric Co., Ltd............................. 353,000 160,694
Sanyo Industries, Ltd., Tokyo......................... 48,000 85,416
Sanyo Special Steel Co., Ltd.......................... 339,000 361,952
Sasebo Heavy Industries Co., Ltd., Tokyo.............. 257,000 333,960
Sata Construction Co., Ltd., Gumma.................... 61,000 135,309
#Sato Kogyo Co., Ltd.................................. 34,000 29,830
Sato Shoji Corp....................................... 31,000 92,369
*Sawafugji Electric Co., Ltd.......................... 31,000 76,204
Seika Corp............................................ 145,000 286,832
*Seikitokyu Kogyo Co., Ltd............................ 86,000 88,975
Seiko Corp............................................ 43,000 185,069
Seiren Co., Ltd....................................... 81,000 294,984
Seiyo Food Systems, Inc............................... 137,000 537,477
Sekisui Jushi Co., Ltd................................ 85,000 373,572
*Sekisui Plastics Co., Ltd............................ 150,000 217,265
Senko Co., Ltd........................................ 205,000 492,054
Senshukai Co., Ltd.................................... 40,000 367,820
Shibaura Engineering Works Co., Ltd................... 45,000 199,636
Shibusawa Warehouse Co., Ltd.......................... 119,000 392,005
Shibuya Kogyo Co., Ltd................................ 54,000 404,486
*Shikibo, Ltd......................................... 155,000 153,948
#Shikoku Chemicals Corp............................... 89,000 253,402
Shimizu Bank, Ltd..................................... 8,100 414,319
Shimura Kako Co., Ltd................................. 55,000 76,477
Shin Nippon Air Technologies Co., Ltd................. 37,180 158,481
Shinagawa Fuel Co., Ltd............................... 160,000 582,685
Shinagawa Refractories Co., Ltd....................... 116,000 369,641
Shindengen Electric Manufacturing Co., Ltd............ 68,000 350,637
Shin-Etsu Polymer Co., Ltd............................ 68,000 393,412
*#Shinko Electric Co., Ltd............................ 257,000 429,680
Shinko Shoji Co., Ltd................................. 41,000 274,872
Shin-Kobe Electric Machinery Co., Ltd................. 71,000 252,690
Shinmaywa Industries, Ltd............................. 168,000 404,635
Shinsho Corp.......................................... 110,000 219,417
*#Shintom Co., Ltd.................................... 115,000 106,605
*Shinwa Kaiun Kaisha, Ltd............................. 238,000 200,927
Shinyei Kaisha........................................ 54,000 75,981
Shiroki Co., Ltd...................................... 132,000 311,372
*#Shochiku Co., Ltd................................... 99,000 419,533
Shoko Co., Ltd........................................ 156,000 264,691
*#Shokusan Jutaku Sogo Co., Ltd....................... 207,000 364,931
#Showa Corp........................................... 117,000 570,377
*Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 313,000 424,863
Showa Highpolymer Co., Ltd............................ 79,000 260,238
Showa Sangyo Co., Ltd................................. 160,000 312,531
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Silver Seiko, Ltd................................... 87,000 $ 447,889
Sintokogio, Ltd., Nagoya.............................. 108,000 335,209
Soda Nikka Co., Ltd................................... 35,000 66,049
*#Sogo Co., Ltd....................................... 263,000 428,828
*Sokkisha Co., Ltd.................................... 40,000 70,187
#Sotetsu Rosen Co., Ltd............................... 42,000 189,803
Star Micronics Co., Ltd............................... 84,000 486,674
Starzen Co., Ltd...................................... 126,000 338,934
Subaru Enterprise Co., Ltd............................ 36,000 117,696
*Suminoe Textile Co., Ltd............................. 142,000 203,327
#Sumitomo Coal Mining Co., Ltd........................ 107,000 150,555
#Sumitomo Construction Co., Ltd....................... 320,000 423,771
*Sumitomo Corporation's Leasing, Ltd.................. 35,000 259,270
Sumitomo Densetsu Co., Ltd............................ 50,700 226,602
*#Sumitomo Light Metal Industries, Ltd................ 493,000 465,171
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 78,000 271,147
Sumitomo Seika Chemicals Co., Ltd..................... 102,000 261,712
#Sun Wave Corp........................................ 88,000 236,716
Sun-S, Inc............................................ 38,300 244,407
SunTelephone Co., Ltd................................. 65,000 231,336
*#Suzutan Co., Ltd.................................... 62,000 112,895
TYK Corp.............................................. 67,000 150,281
Tabai Espec Corp...................................... 34,000 170,253
Tadano, Ltd........................................... 23,000 62,821
Taihei Dengyo Kaisha, Ltd............................. 66,000 211,405
Taihei Kogyo Co., Ltd................................. 114,000 268,912
*Taiheiyo Kaiun Co., Ltd.............................. 72,000 52,442
Taiheiyo Kouhatsu, Inc................................ 90,000 111,736
*#Taiheiyo Securities Co., Ltd........................ 218,000 350,041
#Taikisha, Ltd........................................ 97,000 724,168
Taisei Fire & Marine Insurance Co., Ltd............... 118,000 229,515
*Taisei Prefab Construction Co., Ltd.................. 134,000 155,272
Taisei Rotec Corp..................................... 127,000 325,857
#Taito Co., Ltd....................................... 70,000 185,979
Taiyo Toyo Sanso Co., Ltd............................. 232,000 422,447
Takada Kiko Co., Ltd.................................. 31,000 151,382
Takaoka Electric Manufacturing Co., Ltd., Tokyo....... 156,000 281,477
*Taka-Q Co., Ltd...................................... 69,500 117,923
#Takara Co., Ltd...................................... 39,000 185,929
*Takarabune Corp...................................... 52,000 73,167
#Takasago International Corp.......................... 84,000 436,616
*#Takasaki Paper Manufacturing Co., Ltd............... 157,000 148,138
Takashima & Co., Ltd.................................. 60,000 94,355
Takiron Co., Ltd...................................... 140,000 384,704
Tamura Corp........................................... 65,000 347,004
Tamura Electric Works, Ltd............................ 74,000 223,556
Tasaki Shinju Co., Ltd................................ 53,000 210,561
*Tateho Chemical Industries Co., Ltd.................. 26,500 76,548
Tatsuta Electric Wire & Cable Co., Ltd................ 106,000 134,233
*Tayca Corp........................................... 74,000 161,695
*#Teac Corp........................................... 109,000 550,323
Teijin Seiki Co., Ltd................................. 138,000 309,535
Teikoku Hormone Manufacturing Co., Ltd................ 33,000 308,641
Teikoku Sen-I Co., Ltd................................ 39,000 75,211
Teikoku Tsushin Kogyo Co., Ltd........................ 73,000 206,034
Teisan KK............................................. 219,000 607,226
</TABLE>
230
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tekken Corp........................................... 274,000 $ 419,550
Ten Allied Co., Ltd................................... 37,000 169,964
Tenma Corp............................................ 29,000 388,843
*Tesac Corp........................................... 92,000 77,669
Tetra Co., Ltd., Tokyo................................ 41,000 81,443
The Daito Bank, Ltd................................... 81,000 233,306
Titan Kogyo KK........................................ 36,000 77,769
Toa Corp.............................................. 110,000 183,000
Toa Doro Kogyo Co., Ltd............................... 85,000 173,771
*Toa Wool Spinning & Weaving Co., Ltd................. 73,000 115,403
*Tobishima Corp....................................... 100,000 75,319
*Tobu Store Co., Ltd.................................. 71,000 158,666
Tochigi Bank, Ltd..................................... 60,000 305,413
Tochigi Fuji Industrial Co., Ltd...................... 51,000 118,192
#Toda Kogyo Corp...................................... 88,000 444,297
Todentu Corp.......................................... 57,000 347,227
Toenec Corp........................................... 80,000 311,207
*Toho Rayon Co., Ltd.................................. 197,000 301,647
Toho Real Estate Co., Ltd............................. 98,000 408,806
#Toho Zinc Co., Ltd................................... 205,000 459,816
*Tohpe Corp........................................... 36,000 56,613
Tohto Suisan Co., Ltd................................. 54,000 87,154
Tokai Carbon Co., Ltd................................. 125,000 250,372
#Tokai Corp........................................... 108,000 505,049
*Tokai Kanko Co., Ltd................................. 198,000 429,366
Tokai Maruman Securities Co., Ltd..................... 99,000 319,566
Tokai Pulp Co., Ltd................................... 88,000 243,271
Tokai Rika Co., Ltd................................... 61,000 440,763
*Tokai Senko KK, Nagoya............................... 47,000 88,694
Tokico, Ltd........................................... 189,000 265,933
Tokimec, Inc.......................................... 119,000 195,017
Tokin Corp............................................ 53,000 324,176
Toko Electric Corp.................................... 39,000 108,136
Toko, Inc............................................. 81,000 357,333
#Tokushima Bank, Ltd.................................. 51,000 321,652
#Tokushu Paper Manufacturing Co., Ltd................. 119,000 662,862
Tokyo Denki Komusho Co., Ltd.......................... 57,000 209,940
*Tokyo Nissan Auto Sales Co., Ltd..................... 63,000 130,359
Tokyo Rakutenchi Co., Ltd............................. 92,000 306,870
Tokyo Rope Manufacturing Co., Ltd..................... 286,000 383,480
Tokyo Sangyo Co., Ltd................................. 36,500 114,195
*Tokyo Securities Co., Ltd............................ 193,000 356,224
#Tokyo Tanabe Co., Ltd., Tokyo........................ 119,000 576,188
#Tokyo Tatemono Co., Ltd.............................. 244,000 541,235
*Tokyo Tekko Co., Ltd................................. 67,000 61,000
Tokyo Theatres Co., Inc., Tokyo....................... 116,000 192,981
Tokyotokeiba Co., Ltd................................. 77,000 124,276
*Tokyu Car Corp....................................... 213,000 250,339
*#Tokyu Construction Co., Ltd......................... 356,000 312,332
*Tokyu Department Store Co., Ltd...................... 266,000 290,614
*Tokyu Hotel Chain Co., Ltd........................... 189,000 272,190
Tokyu Store Chain Corp................................ 175,000 692,352
*Tokyu Tourist Corp................................... 38,000 51,895
Toli Corp............................................. 101,000 226,544
Tomoe Corp............................................ 56,000 116,338
*#Tomoegawa Paper Co., Ltd............................ 55,000 168,888
Tomoku Co., Ltd....................................... 185,000 390,457
Tonami Transportation Co., Ltd........................ 173,000 336,492
Topcon Corp........................................... 68,000 227,942
Topre Corp............................................ 85,000 311,662
Topy Industries, Ltd.................................. 187,000 311,099
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Torishima Pump Manufacturing Co., Ltd., Osaka......... 45,000 $ 204,105
*Toshiba Ceramics Co., Ltd............................ 127,000 415,204
Toshiba Engineering & Construction Co., Ltd........... 101,000 372,836
#Toshiba Machine Co., Ltd............................. 294,000 584,009
Toshiba Tungaloy Co.,Ltd.............................. 124,000 402,317
Tosho Printing Co., Ltd............................... 94,000 213,955
*Tostem Viva Corp..................................... 119,000 246,234
Totenko Co., Ltd...................................... 35,000 225,956
Totetsu Kogyo Co., Ltd................................ 53,000 118,441
*Totoku Electric Co., Ltd., Tokyo..................... 62,000 130,343
*#Towa Real Estate Development Co., Ltd............... 160,000 137,726
Toyo Aluminium KK..................................... 81,000 317,108
Toyo Chemical Co., Ltd................................ 52,000 178,182
#Toyo Communication Equipment Co., Ltd................ 79,000 372,703
Toyo Construction Co., Ltd............................ 290,000 372,041
Toyo Corp............................................. 41,000 797,467
*Toyo Electric Co., Ltd............................... 67,000 83,182
Toyo Engineering Corp................................. 247,000 273,945
*Toyo Kanetsu KK...................................... 206,000 250,637
Toyo Kohan Co., Ltd................................... 140,000 469,293
Toyo Radiator Co., Ltd................................ 104,000 247,906
*Toyo Securities Co., Ltd............................. 113,000 213,243
Toyo Shutter Co., Ltd................................. 77,000 170,162
Toyo Sugar Refining Co., Ltd.......................... 60,000 94,355
Toyo Tire & Rubber Co., Ltd........................... 173,000 297,831
#Toyo Umpanki Co., Ltd................................ 146,000 277,934
Toyo Wharf & Warehouse Co., Ltd....................... 118,000 205,098
Tsubaki Nakashima Co., Ltd............................ 47,000 313,930
Tsubakimoto Machinery & Engineering Co., Ltd.......... 44,000 69,558
*Tsudakoma Corp....................................... 101,000 192,269
*#Tsugami Corp........................................ 124,000 271,975
*Tsukamoto Co., Ltd................................... 44,000 88,131
Tsukishima Kikai Co., Ltd............................. 38,000 295,646
Tsumura & Co., Inc.................................... 124,000 432,081
Tsurumi Manufacturing Co., Ltd........................ 42,000 199,189
Tsutsumi Jewelry Co., Ltd............................. 16,900 402,847
Tsutsunaka Plastic Industry Co., Ltd.................. 71,000 215,080
Uchida Yoko Co., Ltd.................................. 72,000 252,077
Ueki Corp............................................. 47,000 79,747
Unisia Jecs Corp...................................... 215,000 357,681
*Unitika, Ltd......................................... 394,000 326,105
Utoc Corp............................................. 38,000 47,807
#Wakachiku Construction Co., Ltd...................... 194,000 369,310
#Wakamoto Pharmaceutical Co., Ltd..................... 48,000 192,683
Yahagi Construction Co., Ltd.......................... 59,000 190,449
*Yahagi Corp.......................................... 40,000 331
Yamamura Glass Co., Ltd............................... 213,000 364,931
Yamatane Corp......................................... 131,000 227,694
*#Yamatane Securities Co., Ltd........................ 203,000 336,037
Yamato International, Inc............................. 43,000 64,062
Yamazen Co., Ltd...................................... 140,000 217,845
*Yaskawa Electric Corp................................ 145,000 356,439
Yokogawa Bridge Corp.................................. 70,400 222,003
*Yokohama Matsuzakaya, Ltd............................ 27,000 27,264
Yokohama Reito Co., Ltd............................... 111,000 742,327
Yomeishu Seizo Co., Ltd............................... 46,000 285,549
Yomiuri Land Co., Ltd................................. 157,000 378,141
</TABLE>
231
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Yondenko Corp......................................... 58,800 $ 229,224
#Yonekyu Corp......................................... 31,500 391,078
Yorozu Corp........................................... 26,800 146,621
Yoshihara Oil Mill, Ltd............................... 36,000 62,870
Yoshimoto Kogyo Co., Ltd.............................. 60,000 397,285
*Yuasa Corp........................................... 147,000 374,739
Yuasa Trading Co., Ltd................................ 174,000 243,387
#Yuken Kogyo Co., Ltd................................. 60,000 106,274
Yurtec Corp........................................... 54,000 311,521
------------
TOTAL COMMON STOCKS
(Cost $365,870,885).................................. 184,425,326
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $11,649).......................... 11,884
------------
TOTAL -- JAPAN
(Cost $365,882,534).................................. 184,437,210
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $2,775,000) to be
repurchased at $2,728,394. (Cost $2,727,000)........ $ 2,727 2,727,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $368,609,534)++.... $187,164,210
------------
------------
- --------------------
+ 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.
232
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
MALAYSIA -- (25.4%)
COMMON STOCKS -- (25.4%)
*A&M Realty Berhad.................................... 49,000 $ 11,450
ACP Industries Berhad................................. 35,000 29,621
AMMB Holdings Berhad.................................. 398,000 607,474
*Actacorp Holdings Berhad............................. 26,000 9,360
*Advance Synergy Berhad............................... 913,800 165,446
Affin Holdings Berhad................................. 571,000 363,036
Ajinimoto (Malaysia) Berhad........................... 44,000 30,198
Aluminum Co. of Malaysia.............................. 139,000 47,699
Amalgamated Containers Berhad......................... 47,000 9,252
Amalgamated Industrial Steel Berhad................... 125,000 43,684
Amway (Malaysia) Holdings Berhad...................... 310,000 509,053
Anakku Corp. Berhad................................... 10,000 5,053
Ancom Berhad.......................................... 373,000 132,709
Angkasa Marketing Berhad.............................. 164,000 30,038
*Anson Perdana Berhad................................. 116,000 28,084
Antah Holding Berhad.................................. 755,000 178,021
*Aokam Perdana Berhad................................. 7,100 27,578
*Arab Malaysia Corp. Berhad........................... 282,000 75,398
Arab Malaysia Finance Berhad.......................... 453,000 303,272
Arab Malaysian Development Berhad..................... 1,082,000 151,480
*Arensi Holdings (Malaysia) Berhad.................... 33,000 2,848
Asas Dunia Berhad..................................... 226,000 65,183
*Asia Pacific Land Berhad............................. 1,718,100 209,789
Asiatic Development Berhad............................ 1,794,000 509,874
*Austral Amalgamated Berhad........................... 291,333 26,067
Austral Enterprises Berhad............................ 349,499 294,315
*Autoways Holdings Berhad............................. 10,000 2,716
Ayer Hitam Planting Syndicate Berhad.................. 51,000 146,021
*Ayer Hitam Tin Dredging Malaysia Berhad.............. 36,000 7,806
*Ayer Molek Rubber Co. Berhad......................... 1,000 11,368
Ban Hin Lee Bank Berhad............................... 198,500 227,753
Bandar Raya Developments Berhad....................... 1,176,000 376,320
Batu Kawan Berhad..................................... 394,500 365,432
Berjaya Capital Berhad................................ 248,000 86,147
*Berjaya Industrial Berhad............................ 473,000 45,806
Berjaya Singer Berhad................................. 142,000 42,450
*Berjuntai Tin Dredging Berhad........................ 36,000 30,164
*Bimb Holdings Berhad................................. 1,058,600 543,786
Bina Puri Holdings Berhad............................. 49,000 14,339
*Bolton Properties Berhad............................. 207,000 125,943
Boustead Holdings Berhad.............................. 767,000 536,093
CCM Bioscience........................................ 550 391
CI Holdings Berhad.................................... 72,000 80,337
Cahya Mata Sarawak Berhad............................. 975,000 529,579
Cement Industries of Malaysia Berhad.................. 419,000 249,636
*Chase Perdana Berhad................................. 34,000 24,266
Chemical Co. of Malaysia Berhad....................... 333,000 350,526
Chin Teck Plantations Berhad.......................... 134,000 180,547
Chocolate Products (Malaysia) Berhad.................. 500,100 61,591
Choo Bee Metal Industries Berhad...................... 120,000 29,305
Cold Storage (Malaysia) Berhad........................ 199,000 92,168
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Computer Forms Malaysia Berhad....................... 19,000 $ 13,600
*Construction & Supplies House Berhad................. 153,000 33,499
Country Heights Holdings Berhad....................... 211,600 158,589
Cycle & Carriage Bintang Berhad....................... 242,000 417,768
DMIB Berhad........................................... 234,000 56,160
DNP Holdings Berhad................................... 732,000 163,352
Daibochi Plastic & Packaging Industry Berhad.......... 32,200 11,863
Daiman Development Berhad............................. 110,000 34,737
*Damansara Realty Berhad.............................. 1,397,000 167,640
Datuk Keramik Holdings Berhad......................... 763,000 167,057
Diethelm Holdings (Malaysia) Berhad................... 52,000 12,589
Diperdana Corp. Berhad................................ 43,000 24,261
Diversified Resources Berhad.......................... 263,000 136,760
Dutch Baby Milk Industry (Malaysia) Berhad............ 22,000 44,000
*Eastern & Oriental Berhad............................ 181,500 68,779
Eastern Pacific Industrial Corp. Berhad............... 43,000 18,648
*Econstates Berhad.................................... 144,000 37,288
*Ekran Berhad......................................... 164,000 39,015
*FA Peninsular Berhad................................. 95,000 23,000
*FACB Berhad.......................................... 1,217,000 135,792
FCW Holdings Berhad................................... 224,000 56,589
*Faber Group Berhad................................... 324,000 42,290
Far East Holdings Berhad.............................. 74,000 43,309
Federal Flour Mills Berhad............................ 271,250 212,432
Fima Corp. Berhad..................................... 39,000 20,937
Fraser & Neave Holdings Berhad........................ 265,000 306,842
Gadek (Malaysia) Berhad............................... 106,000 75,427
Gamuda Berhad......................................... 798,000 1,159,200
*General Corp. Berhad................................. 423,000 66,789
*George Kent (Malaysia) Berhad........................ 122,998 24,600
George Town Holdings Berhad........................... 147,000 37,756
Glenealy Plantations (Malaysia) Berhad................ 171,000 111,600
Goh Ban Huat Berhad................................... 75,000 19,895
Gold Coin (Malaysia) Berhad........................... 52,000 52,985
Golden Frontier Berhad................................ 29,000 9,646
*Golden Pharos Berhad................................. 74,000 14,956
*Golden Plus Holdings Berhad.......................... 77,000 17,994
Gopeng Berhad......................................... 262,500 55,816
*Granite Industries Berhad............................ 274,000 57,684
*Gula Perak Berhad.................................... 812,000 159,836
Guthrie Ropel Berhad.................................. 284,000 221,221
*HLG Capital Berhad................................... 123,000 52,307
Hap Seng Consolidated Berhad.......................... 501,000 239,425
Hexza Corp. Berhad.................................... 163,000 28,825
Hicom Holdings Berhad................................. 900,000 422,526
*Hil Industries Berhad................................ 22,000 7,225
*Ho Hup Construction Co. Berhad....................... 80,000 49,347
Hock Hua Bank Berhad (Foreign)........................ 280,000 415,579
Hong Leong Bank Berhad................................ 577,000 556,349
Hong Leong Industries Berhad.......................... 714,000 583,225
Hong Leong Properties Berhad.......................... 1,695,000 449,621
Hume Industries (Malaysia) Berhad..................... 589,000 535,680
</TABLE>
233
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THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hwang-DBS (Malaysia) Berhad........................... 41,000 $ 31,246
IGB Corp. Berhad...................................... 1,144,000 428,699
IJM Corp. Berhad...................................... 1,129,000 713,053
IOI Properties Berhad................................. 52,700 58,802
*Idris Hydraulic (Malaysia) Berhad.................... 1,265,000 177,100
*Inchcape Timuran Berhad.............................. 215,250 38,745
*Innovest Berhad...................................... 1,055,000 173,242
*Insas Berhad......................................... 1,551,200 274,317
*Instangreen Corp. Berhad............................. 15,000 3,032
Integrated Logistics Berhad........................... 59,000 16,147
*Intria Berhad........................................ 778,500 101,615
Ipmuda Berhad......................................... 119,000 30,815
Island & Peninsular Berhad............................ 356,000 242,829
*Jasa Megah Industries Berhad......................... 170,000 32,210
Jaya Netting Industries Berhad........................ 21,000 5,880
Jeram Kuantan (Malaysia) Berhad....................... 64,000 10,712
Johan Holdings Berhad................................. 580,000 87,916
Johor Land Berhad..................................... 47,800 17,107
Johor Port Berhad..................................... 1,110,000 343,516
Johore Tenggara Oil Palm Berhad....................... 173,000 48,440
KFC Holdings (Malaysia) Berhad........................ 186,666 198,455
*KIG Glass Industrial Berhad.......................... 279,000 43,759
KPJ Healthcare Berhad................................. 59,000 38,008
*Kamunting Corp. Berhad............................... 2,371,000 389,343
Kanzen Berhad......................................... 105,000 29,179
Keck Seng (Malaysia) Berhad........................... 430,500 152,261
*Kedah Cement Holdings Berhad......................... 1,125,000 566,053
*Kelanamas Industries Berhad.......................... 142,000 17,488
Kelang Container Terminal Berhad...................... 302,000 209,810
*Kemayan Corp. Berhad................................. 665,000 60,900
*Khong Guan Holdings (Malaysia) Berhad................ 21,000 15,032
Kian Joo Can Factory Berhad........................... 367,500 529,974
Kim Hin Industry Berhad............................... 119,900 37,863
Kluang Rubber Co. (Malaysia) Berhad................... 2,000 32,421
*Kramat Tin Dredging Berhad........................... 1,800 4,547
*Kretam Holdings Berhad............................... 152,500 46,553
*Kuala Lumpur Industries Holdings Berhad.............. 138,000 14,381
Kuala Sidim Berhad.................................... 301,000 320,011
*Kuantan Flour Mills Berhad........................... 19,000 5,760
Kuchai Development Berhad............................. 1,600 8,421
Kulim Malaysia Berhad................................. 447,800 200,803
*Kumpulan Emas Berhad................................. 301,000 53,229
*Kym Holdings Berhad.................................. 46,000 13,074
Ladang Perbadanan-Fima Berhad......................... 130,000 93,053
*Land -- General Berhad............................... 1,601,000 377,499
Landmarks Berhad...................................... 872,000 190,922
*Larut Consolidated Berhad............................ 661,000 153,074
*Leader Universal Holdings Berhad..................... 1,055,000 282,074
*Leisure Management Berhad............................ 77,999 215,934
*Leong Hup Holdings Berhad............................ 186,000 44,248
*Lien Hoe Corp. Berhad................................ 250,000 31,053
*Lim Kim Hai Holdings Berhad.......................... 97,000 19,400
*Lingkaran Trans Kota Holdings Berhad................. 725,000 613,579
Lingui Development Berhad............................. 955,000 617,232
Lion Corp. Berhad..................................... 179,400 50,987
Lion Land Berhad...................................... 593,151 93,655
*Long Huat Group Berhad............................... 33,000 9,935
*MBF Holdings Berhad.................................. 2,228,250 96,167
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*MBF Land Berhad...................................... 2,735,000 $ 287,895
MCB Holdings Berhad................................... 199,000 29,117
MMC Engineering Group Berhad.......................... 43,000 18,558
MUI Properties Berhad................................. 1,696,800 214,333
MWE Holdings Berhad................................... 184,500 36,512
Malayan Cement Berhad................................. 980,500 501,603
Malayan Flour Mills Berhad............................ 92,400 27,817
Malayawata Steel Berhad............................... 398,000 100,547
Malaysia Aica Berhad.................................. 126,000 31,832
Malaysia Assurance Alliance Berhad.................... 350,938 363,498
*Malaysia British Assurance Berhad.................... 53,000 52,442
Malaysia Building Society Berhad...................... 638,000 197,444
Malaysia Industrial Development Finance Berhad........ 635,000 237,958
Malaysia Smelting Corp. Berhad........................ 87,000 51,834
Malaysian Helicopter Services Berhad.................. 1,726,000 406,973
Malaysian Mosaics Berhad.............................. 819,000 267,253
Malaysian Packaging Industry.......................... 14,000 4,657
*Malaysian Plantations Berhad......................... 777,000 233,918
Malaysian Resources Corp. Berhad...................... 964,000 355,158
Malaysian Tobacco Co. Berhad.......................... 378,000 354,922
Malex Industries Berhad............................... 643,500 352,232
Mamee-Double Decker (Malaysia) Berhad................. 30,000 13,389
*Mancon Berhad........................................ 197,000 28,409
Maruichi Malaysia Steel Tube Berhad................... 139,000 98,324
Matsushita Electric Co. (Malaysia) Berhad............. 86,400 245,558
Mechmar Corp. Berhad.................................. 94,000 17,810
*Mega First Corp. Berhad.............................. 268,000 33,853
*Menang Corp.......................................... 272,000 24,050
*Mentiga Corp. Berhad................................. 41,000 14,587
Metacorp Berhad....................................... 193,333 112,744
Metrojaya Berhad...................................... 153,000 42,840
Metroplex Berhad...................................... 2,629,000 420,640
*Minho (Malaysia) Berhad.............................. 70,000 14,442
Mintye Industries Berhad.............................. 45,000 19,895
Muda Holdings Berhad.................................. 208,125 44,692
Muhibbah Engineering Berhad........................... 58,000 21,857
Mulpha International Berhad........................... 2,529,750 354,165
*Mun Loong Berhad..................................... 40,000 4,926
*NCK Corp. Berhad..................................... 18,000 5,836
Nam Fatt Berhad....................................... 112,000 40,792
Nanyang Press (Malaya) Berhad......................... 107,400 99,034
Negara Properties (Malaysia) Berhad................... 86,000 71,878
Negri Sembilan Oil Palms Berhad....................... 34,000 33,213
New Straits Times Press (Malaysia) Berhad............. 198,000 289,705
Notth Borneo Timbers Berhad........................... 30,000 29,811
Nylex (Malaysia) Berhad............................... 713,500 339,476
OSK Holdings.......................................... 290,000 177,053
*Olympia Industries Berhad............................ 508,000 85,023
PJ Development Holdings Berhad........................ 257,800 51,560
PSC Industries Berhad................................. 104,664 383,401
*PWE Industries Berhad................................ 39,200 40,438
Pacific & Orient Berhad............................... 236,000 144,084
Pacific Bank Berhad................................... 1,000 810
*Pacific Chemicals Berhad............................. 105,000 37,800
Palmco Holdings Berhad................................ 179,000 49,366
Pan Pacific Asia Berhad............................... 217,000 93,196
*Panglobal Berhad..................................... 134,000 19,465
</TABLE>
234
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Paramount Corp. Berhad................................ 73,000 $ 19,979
*Parit Perak Holdings Berhad.......................... 200,000 38,316
*Park May Berhad...................................... 48,000 13,137
Peladang Kimia Berhad................................. 188,000 75,200
Pelangi Berhad........................................ 808,250 233,116
*Perdana Industrial Holdings Berhad................... 46,000 3,002
Pernas International Holdings Berhad.................. 1,565,950 402,202
Petaling Garden Berhad................................ 460,000 237,263
*Petaling Tin Berhad.................................. 23,000 19,368
Phileo Allied Berhad.................................. 342,250 188,057
Phileo Land Berhad.................................... 767,000 187,309
Pilecon Engineering Berhad............................ 482,500 114,784
*Poly Glass Fibre (Malaysia) Berhad................... 90,000 22,737
Prime Utilities Berhad................................ 145,000 117,221
Projek Penyelenggaraan Lebuhraya Berhad............... 44,000 35,015
*Promet Berhad........................................ 1,143,000 69,783
Public Finance Berhad................................. 330,000 243,158
Putera Capital Berhad................................. 82,000 30,383
*Rahman Hydraulic Tin Berhad.......................... 111,000 15,540
*Rashid Hussain Berhad................................ 389,000 301,373
*Red Box (Malaysia) Berhad............................ 41,000 3,496
Riverview Rubber Estates Berhad....................... 5,400 13,756
Road Builders (Malaysia) Holdings Berhad.............. 413,000 560,811
SCB Developments Berhad............................... 240,500 119,997
*SCK Group Berhad..................................... 22,000 0
SP Settia Berhad...................................... 141,000 127,048
*SPK Sentosa Corp. Berhad............................. 51,000 15,354
Samanda Holdings Berhad............................... 261,000 343,421
*Sanda Plastics Industries Berhad..................... 11,000 3,381
Sanyo Industries (Malaysia) Berhad.................... 33,600 34,661
Sapura Telecommunications Berhad...................... 187,000 56,297
Sarawak Oil Palms Berhad.............................. 229,600 90,390
*Sateras Resources (Malaysia) Berhad.................. 201,000 23,062
Scientex, Inc. Berhad................................. 75,000 35,368
Selangor Dredging Berhad.............................. 355,000 44,842
Selangor Properties Berhad............................ 1,092,000 455,192
Setegap Berhad........................................ 33,332 9,052
*Setron (Malaysia) Berhad............................. 61,666 17,266
Shangri-la Hotels (Malaysia) Berhad................... 831,000 251,924
Siah Brothers Corp. Berhad............................ 64,000 15,091
Sime UEP Properties Berhad............................ 710,000 714,484
*Sin Heng Chan Berhad................................. 20,000 19,705
*Sistem Television Malaysia Berhad.................... 321,000 102,720
*Sitt Tatt Berhad..................................... 85,000 26,126
*South East Asia Lumber, Inc. Berhad.................. 286,500 79,014
*South Johore Amalgamated Holding Berhad.............. 40,500 12,534
*South Malaysia Industries Berhad..................... 157,500 19,232
Southern Acids (Malaysia) Berhad...................... 80,700 26,843
Southern Bank Berhad (Foreign)........................ 587,500 345,079
*Southern Steel Berhad................................ 648,000 204,632
Sriwani Holdings Berhad............................... 143,800 40,869
Star Publications (Malaysia) Berhad................... 379,000 638,316
Store Corp. Berhad.................................... 62,000 31,326
Sungei Bagan Rubber Co. (Malaysia) Berhad............. 2,000 30,737
*Sungei Way Holdings Berhad........................... 1,279,000 468,518
Sunrise Berhad........................................ 190,000 92,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Suria Capital Holdings Berhad........................ 578,000 $ 166,707
Ta Enterprise Berhad.................................. 1,732,000 572,472
*Tai Wah Garments Manufacturing Berhad (Foreign)...... 60,000 5,558
*Taiping Consolidated Berhad.......................... 232,000 10,257
Talam Corp. Berhad.................................... 622,000 147,970
Tan & Tan Developments Berhad......................... 479,000 161,347
Tan Chong Motor Holdings Berhad....................... 672,000 254,653
Tasek Cement Berhad................................... 235,000 132,095
*Tenggara Capital Berhad.............................. 99,200 22,555
*Time Engineering Berhad.............................. 746,000 160,194
Tiong Nam Transport Holdings Berhad................... 17,000 8,697
*Tongkah Holdings Berhad.............................. 300,000 92,842
Tractors Malaysia Holdings Berhad..................... 541,000 201,594
Tradewinds (Malaysia) Berhad.......................... 543,000 268,642
*Trengganu Development & Management Berhad............ 120,000 41,179
Tronoh Mines Malaysia Berhad.......................... 77,000 99,695
*U-Wood Holdings Berhad............................... 20,000 6,863
UAC Berhad............................................ 67,000 38,930
UMW Holdings Berhad................................... 842,000 1,178,800
Uniphone Telecommunications Berhad.................... 185,000 40,116
*United Chemical Industries Berhad.................... 18,000 7,352
United Malacca Rubber Estates Berhad.................. 211,000 246,537
United Malayan Land Berhad............................ 327,000 205,494
*United Merchant Group Berhad......................... 314,000 93,208
United Plantations Berhad............................. 356,000 329,768
Utusan Melayu (Malaysia) Berhad....................... 34,000 9,520
*Wembley Industries Holdings Berhad................... 138,000 0
*Westmont Industries Berhad........................... 223,520 41,881
*Westmont Land (Asia) Berhad.......................... 254,600 42,344
*Wing Tiek Holdings Berhad............................ 95,800 17,950
Worldwide Holdings Berhad............................. 213,800 72,467
Yee Lee Corp. Berhad.................................. 27,000 17,621
Yeo Hiap Seng (Malaysia) Berhad....................... 103,000 59,415
------------
TOTAL -- MALAYSIA
(Cost $72,168,017)................................... 44,435,977
------------
HONG KONG -- (22.7%)
COMMON STOCKS -- (22.6%)
ABC Communications (Holdings), Ltd.................... 930,000 278,838
ALCO Holdings, Ltd.................................... 314,000 24,296
ASM Pacific Technology, Ltd........................... 874,000 569,180
*AWT World Transport Holdings, Ltd.................... 250,800 1,617
Allied Group, Ltd..................................... 7,298,000 517,623
Allied Properties (Hong Kong), Ltd.................... 6,786,000 350,042
*Anex International Holdings, Ltd..................... 152,000 2,587
Applied International Holdings, Ltd................... 1,243,000 48,890
*Asia Commercial Holdings, Ltd........................ 72,800 4,976
Asia Financial Holdings, Ltd.......................... 1,763,762 313,882
*Asia Securities International, Ltd................... 2,386,600 123,108
Asia Standard International Group, Ltd................ 890,000 107,886
Associated International Hotels, Ltd.................. 898,000 324,251
Beauforte Investors Corp., Ltd........................ 72,000 83,564
*Beijing Development (Hong Kong), Ltd................. 166,000 23,548
</TABLE>
235
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Benelux International, Ltd........................... 30,000 $ 186
*Bossini International Holdings, Ltd.................. 122,000 13,216
*Burlingame International Co., Ltd.................... 990,000 17,874
Burwill Holdings, Ltd................................. 872,000 132,775
*CCT Telecom Holdings, Ltd............................ 1,449,700 304,728
CIL Holdings, Ltd..................................... 2,058,000 26,539
CNT Group, Ltd........................................ 3,078,000 129,003
Cafe de Coral Holdings, Ltd........................... 1,191,000 357,093
*Capetronic International Holdings, Ltd............... 292,490 149,932
*Capital Asia, Ltd.................................... 49,368 4,265
*Central China Enterprises, Ltd....................... 2,104,000 90,894
Century City International Holdings, Ltd.............. 542,056 25,165
Champion Technology Holdings, Ltd..................... 11,769,380 743,698
*Cheerful Holdings, Ltd............................... 818,850 29,039
Chen Hsong Holdings, Ltd.............................. 1,515,000 248,121
Cheuk Nang Properties (Holdings), Ltd................. 750,008 119,932
*Cheung Tai Hong Holdings, Ltd........................ 2,018,400 31,755
Cheung Wah Development Co., Ltd....................... 1,286,000 21,559
Chevalier (OA) International, Ltd..................... 1,776,251 121,402
*Chevalier Construction Holdings, Ltd................. 131,203 3,350
Chevalier Development International, Ltd.............. 899,109 90,439
Chevalier International Holdings, Ltd................. 2,656,469 236,374
*China Aerospace International Holdings, Ltd.......... 853,200 84,720
*China Development Corp., Ltd......................... 1,150,000 30,105
China Everbright International, Ltd................... 730,000 61,190
*China Everbright Technology, Ltd..................... 3,244,000 288,653
China Foods Holdings, Ltd............................. 1,544,000 348,443
*China Investments Holdings, Ltd...................... 175,000 2,798
China Motor Bus Co., Ltd.............................. 114,200 765,802
China Pharmaceutical Enterprise and Investment Corp.,
Ltd................................................. 2,444,000 381,358
*China Star Entertainment, Ltd........................ 1,676,400 76,745
*China Strategic Holdings, Ltd........................ 1,565,000 57,518
*China United (Holdings), Ltd......................... 8,199,000 38,064
China-Hong Kong Photo Products Holdings, Ltd.......... 2,338,000 325,623
Chinese Estates Holdings, Ltd......................... 668,000 110,264
Chinney Investments, Ltd.............................. 1,144,000 95,893
Chow Sang Sang Holdings International, Ltd............ 1,098,400 249,299
*Chuang's China Investments, Inc...................... 3,510,000 43,906
Chuang's Consortium International, Ltd................ 1,858,884 98,284
Chun Wo Holdings, Ltd................................. 1,215,940 112,899
*Chung Hwa Devlopment Holdings, Ltd................... 3,383,425 18,762
Cig-Wh International Holdings, Ltd.................... 472,000 24,347
*Climax International Co., Ltd........................ 296,000 2,825
*Companion Building Material (Holdings), Ltd.......... 3,607,514 56,291
*Companion Marble (Holdings), Ltd..................... 48,848 2,079
Continental Holdings, Ltd............................. 98,825 4,206
Continental Mariner Investment Co., Ltd............... 1,629,000 205,870
Cosmos Machinery Enterprises, Ltd..................... 1,024,000 63,385
*Crocodile Garments, Ltd.............................. 1,539,000 45,846
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Cross Harbour Tunnel Co., Ltd......................... 365,603 $ 275,812
*Culturecom Holdings, Ltd............................. 2,161,000 89,177
*DC Finance Holdings, Ltd............................. 27,000 4,074
Dah Hwa International Holdings, Ltd................... 1,122,000 36,896
*Daido Concrete (Hong Kong), Ltd...................... 223,000 4,716
Dickson Concepts International, Ltd................... 93,000 53,969
*Dong-Jun Holdings, Ltd............................... 2,484,000 26,267
*Dransfield Holdings, Ltd............................. 190,000 2,156
Dynamic Holdings, Ltd................................. 158,000 24,450
*Easyknit International Holdings, Ltd................. 353,575 17,327
#Egana International Holdings, Ltd.................... 14,118,720 385,992
Egana Jewelry & Pearls, Ltd........................... 2,353,120 81,932
Elec & Eltek International Holdings, Ltd.............. 2,565,659 436,737
*Emperor (China Concept) Investments, Ltd............. 6,435,000 71,366
*Emporer International Holdings, Ltd.................. 644,369 71,463
*Englong International, Ltd........................... 130,000 5,029
*Essential Enterprises Co., Ltd....................... 320,000 28,887
*Evergo China Holdings, Ltd........................... 2,480,000 54,688
FPB Bank Holding Co., Ltd............................. 2,784,520 585,308
*Fairwood Holdings, Ltd............................... 426,000 8,845
*Fairyoung Holdings, Ltd.............................. 482,000 50,969
*Far East Consortium International, Ltd............... 1,592,235 141,678
*Far East Holdings International, Ltd................. 70,000 4,243
*Far East Hotels & Entertainment, Ltd................. 1,853,000 191,167
Fong's Industries Co., Ltd............................ 962,000 42,179
*Fortuna International Holdings, Ltd.................. 2,727,000 24,265
*Founder, Ltd......................................... 278,000 54,851
Fountain Set Holdings, Ltd............................ 1,274,000 144,577
Four Seas Mercantile Holdings, Ltd.................... 592,000 206,126
Frankie Dominion International, Ltd................... 630,173 11,865
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 688,000 8,163
*G-Prop Holdings, Ltd................................. 56,200 4,711
Giordano International, Ltd........................... 1,650,000 872,398
Gold Peak Industries (Holdings), Ltd.................. 1,059,250 210,361
Golden Power International Holdings, Ltd.............. 562,000 39,136
Golden Resources Development International, Ltd....... 971,000 51,965
Gold-Face Holdings, Ltd............................... 2,003,600 198,952
Goldlion Holdings, Ltd................................ 2,052,000 185,235
*Goldtron (Bermuda) Holdings, Ltd..................... 51,111 1,648
*Golik Holdings, Ltd.................................. 1,536,500 61,424
Grand Hotel Holdings, Ltd. Series A................... 1,333,000 182,214
Grande Holdings, Ltd.................................. 420,088 153,040
Great Wall Electronic International, Ltd.............. 3,159,034 136,473
Group Sense (International), Ltd...................... 2,062,000 183,478
Guangzhou Investment Co., Ltd......................... 1,266,000 109,384
*H B International Holdings, Ltd...................... 396,000 3,575
Hanny Holdings, Ltd................................... 756,640 246,375
Harbour Centre Development, Ltd....................... 784,000 535,844
Harbour Ring International Holdings, Ltd.............. 2,636,000 163,167
Henderson China Holdings, Ltd......................... 911,000 384,748
*Heng Fung Holdings Co., Ltd.......................... 390,000 6,086
High Fashion International, Ltd....................... 178,000 17,675
Hon Kwok Land Investment Co., Ltd..................... 2,290,145 212,639
</TABLE>
236
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hong Kong Building & Loan Agency, Ltd................. 407,000 $ 51,436
Hong Kong Ferry (Holdings) Co., Ltd................... 671,300 848,378
*Hong Kong Parkview Group, Ltd........................ 1,130,000 284,158
Hop Hing Holdings, Ltd................................ 660,265 42,573
Hsin Chong Construction Group, Ltd.................... 1,569,658 131,573
*Hualing Holdings, Ltd................................ 1,344,000 30,677
*Huey Tai International, Ltd.......................... 2,363,112 127,991
Hung Hing Printing Group, Ltd......................... 934,442 397,661
*Hwa Kay Thai Holdings, Ltd........................... 244,423 5,579
IDT International, Ltd................................ 2,301,992 379,980
IMC Holdings, Ltd..................................... 604,000 62,312
ITC Corp., Ltd........................................ 466,157 66,126
*Ideal Pacific Holdings, Ltd.......................... 838,000 36,202
Innovative International (Holdings), Ltd.............. 1,474,003 72,232
*Interform Ceramics Technologies, Ltd................. 1,104,000 11,247
International Bank of Asia, Ltd....................... 2,615,714 627,408
International Pipe, Ltd............................... 1,926,726 154,049
*Island Dyeing & Printing Co., Ltd.................... 148,000 52,009
JCG Holdings, Ltd..................................... 1,048,333 385,293
*Jinhui Holdings Co., Ltd............................. 370,000 13,837
*Joyce Boutique Holdings, Ltd......................... 1,360,000 37,181
*K Wah International Holdings, Ltd.................... 2,548,380 180,748
*KPI Co., Ltd......................................... 264,000 8,511
*KTP Holdings, Ltd.................................... 180,400 9,073
*Kader Holdings Co., Ltd.............................. 545,600 26,737
*Kantone Holdings, Ltd................................ 123,902 9,267
Keck Seng Investments (Hong Kong), Ltd................ 572,400 77,506
Kee-Shing Holdings Co., Ltd........................... 886,000 94,833
King Fook Holdings, Ltd............................... 1,000,000 44,490
Kingboard Chemical Holdings, Ltd...................... 926,000 213,752
Kingmaker Footwear Holdings, Ltd...................... 770,000 104,262
*Kong Sun Holdings, Ltd............................... 480,000 15,227
*Kong Tai International Holdings Co., Ltd............. 8,300,000 63,151
*Kosonic International Holdings, Ltd.................. 198,000 6,281
*Kumagai Gumi Hong Kong, Ltd.......................... 970,000 450,320
*Kwong Sang Hong International, Ltd................... 1,434,000 157,186
Kwoon Chung Bus Holdings, Ltd......................... 556,000 126,193
Lai Sun Development Co., Ltd.......................... 2,506,000 203,596
Lai Sun Garment (International), Ltd.................. 2,325,000 164,904
Lai Sun Hotels International, Ltd..................... 3,268,000 139,073
*Lam Soon (Hong Kong), Ltd............................ 302,310 63,936
*Lam Soon Food Industries, Ltd........................ 228,000 49,396
*Lamex Holdings, Ltd.................................. 2,419,200 53,972
Le Saunda Holdings, Ltd............................... 236,000 17,956
Leefung-Asco Printers Holdings, Ltd................... 144,000 25,069
Legend Holdings, Ltd.................................. 1,100,000 758,915
*Leung Kee Holdings, Ltd.............................. 354,000 4,063
Lippo, Ltd............................................ 1,074,760 214,828
Liu Chong Hing Investment, Ltd........................ 635,200 442,335
*Logic International Holdings, Ltd.................... 812,000 18,325
*Luks Industrial Co., Ltd............................. 2,689,818 46,134
Lung Kee (Bermuda) Holdings, Ltd...................... 686,000 85,811
*Magnificent Estates, Ltd............................. 3,778,000 43,848
*Magnum International Holdings, Ltd................... 300,000 3,366
*Mansion Holdings, Ltd................................ 1,420,360 12,638
Mansion House Group, Ltd.............................. 698,200 41,418
<CAPTION>
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<S> <C> <C>
*Megga (S.) International Holdings, Ltd............... 1,513,400 $ 16,589
Melbourne Enterprises, Ltd............................ 45,500 225,315
Melco International Development, Ltd.................. 180,000 19,266
Midland Realty (Holding), Ltd......................... 206,000 29,222
*Millenium Group, Ltd................................. 3,712,000 20,105
Min Xin Holdings, Ltd................................. 987,200 95,480
Mingly Corp., Ltd..................................... 4,032,600 598,039
Moulin International Holdings, Ltd.................... 3,012,123 306,864
*Mountbatten Corp..................................... 1,524,552 0
*Mountbatten Corp..................................... 2,725,257 0
*Mui Hong Kong, Ltd................................... 1,230,000 14,751
*Multi-Asia International Holdings, Ltd............... 3,980,000 15,398
Nanyang Holdings, Ltd................................. 137,500 116,142
National Electronics Holdings, Ltd.................... 2,156,000 63,947
New Island Printing Holdings, Ltd..................... 176,000 5,674
Ngai Lik Industrial Holdings, Ltd..................... 1,556,000 399,309
*Nph International Holdings, Ltd...................... 542,000 11,043
Ocean Information Holdings, Ltd....................... 122,000 10,541
Onfem Holdings, Ltd................................... 1,922,000 90,468
*Oriental Metals Holdings Co., Ltd.................... 1,237,800 32,404
Oriental Press Group, Ltd............................. 3,400,500 407,824
Oxford Properties & Finance, Ltd...................... 110,000 96,460
*Pacific Plywood Holdings, Ltd........................ 10,210,000 165,899
*Paramount Publishing Group, Ltd...................... 620,000 14,711
Paul Y. ITC Construction Holdings, Ltd................ 6,845 1,148
Paul Y. Properties Group, Ltd......................... 5,044 5,106
Peace Mark (Holdings), Ltd............................ 6,758,122 111,553
*Pearl Oriental Holdings, Ltd......................... 2,504,000 69,426
Perfectech International Holdings, Ltd................ 519,500 75,703
*Pico Far East Holdings, Ltd.......................... 1,190,000 110,491
Playmate Toys Holdings, Ltd........................... 1,585,000 110,375
Pokfulam Development Co., Ltd......................... 234,000 84,493
*Poly Investments Holdings, Ltd....................... 2,670,000 94,687
Prestige Properties Holdings, Ltd..................... 965,000 52,267
Process Automation Holdings, Ltd...................... 1,052,000 81,398
*QPL International Holdings, Ltd...................... 1,191,000 247,277
*Quality Healthcare Asia, Ltd......................... 1,338,000 189,800
*RJP Electronics, Ltd................................. 1,658,000 27,368
RNA Holdings, Ltd..................................... 20,600 2,152
Raymond Industrial, Ltd............................... 605,400 39,035
*Rhine Holdings, Ltd.................................. 64,000 536
*Rivera Holdings, Ltd................................. 3,160,000 32,600
Ryoden Development, Ltd............................... 1,912,000 157,803
*S.A.S.Dragon Holdings, Ltd........................... 1,696,000 135,601
SA SA International Holdings, Ltd..................... 472,000 45,651
Safety Godown Co., Ltd................................ 408,000 226,243
*Same Time Holdings, Ltd.............................. 410,000 8,565
San Miguel Brewery Hong Kong, Ltd..................... 930,800 124,835
Sea Holdings, Ltd..................................... 1,068,000 306,442
*Seapower International Holdings, Ltd................. 854,000 58,369
*Seapower Resources International, Ltd................ 2,528,000 94,541
*Semi-Tech (Global) Co., Ltd.......................... 4,273,327 206,654
Shaw Brothers Hong Kong, Ltd.......................... 325,000 226,320
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,255,000 134,329
Shenyin Wanguo (Hong Kong), Ltd....................... 847,500 85,247
*Shenzhen International Holdings, Ltd................. 6,187,500 85,378
</TABLE>
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*Shougang Concord Century Holdings, Ltd............... 1,292,000 $ 46,652
Shougang Concord Grand (Group), Ltd................... 1,701,000 100,904
*Shougang Concord International Enterprises Co.,
Ltd................................................. 4,166,000 188,033
Shougang Concord Technology Holdings, Ltd............. 1,647,914 104,130
Shui On Construction & Materials, Ltd................. 90,000 105,616
*Shun Ho Construction (Holdings), Ltd................. 1,037,452 41,474
*Shun Ho Resources Holdings, Ltd...................... 483,000 16,817
*Shun Shing Holdings, Ltd............................. 2,573,600 182,537
Shun Tak Holdings, Ltd................................ 3,422,000 1,070,135
Silver Grant International Industries, Ltd............ 2,087,000 183,011
Sime Darby Hong Kong, Ltd............................. 1,040,000 305,114
Sincere Co., Ltd...................................... 505,500 54,758
*Sing Tao Holdings, Ltd............................... 913,000 153,060
*Singamas Container Holdings, Ltd..................... 320,000 11,967
*Sino Foundations Holdings, Ltd....................... 1,074,000 35,318
*Sinocan Holdings, Ltd................................ 350,000 2,257
South China Brokerage Co., Ltd........................ 4,060,000 50,263
South China Industries, Ltd........................... 1,124,000 57,979
*South China Strategic Investments, Ltd............... 857,400 22,888
*South Sea Development Co., Ltd....................... 578,158 29,450
*Southeast Asia Properties & Finance, Ltd............. 175,692 36,251
*Star Telecom International Holdings, Ltd............. 1,058,000 184,190
Starlight International Holdings, Ltd................. 1,049,034 62,229
*Stelux Holdings International, Ltd................... 1,307,702 44,689
Styland Holdings, Ltd................................. 258,560 1,600
Sun Fook Kong Holdings, Ltd........................... 1,778,000 176,551
Sun Hung Kai & Co., Ltd............................... 3,338,600 421,927
Suwa International Holdings, Ltd...................... 1,062,000 49,988
*Swank International Manufacturing Co., Ltd........... 638,000 69,111
Symphony Holdings, Ltd................................ 6,950,000 96,796
Tack Hsin Holdings, Ltd............................... 542,000 50,324
Tai Cheung Holdings, Ltd.............................. 1,445,000 391,322
Tai Sang Land Development, Ltd........................ 627,984 182,212
*Tak Sing Alliance Holdings, Ltd...................... 2,909,865 93,812
*Tak Wing Investment Holdings, Ltd.................... 432,800 23,720
Techtronic Industries Co., Ltd........................ 1,330,000 240,119
*#Tem Fat Hing Fung (Holdings), Ltd................... 5,488,000 251,240
Termbray Industries International (Holdings), Ltd..... 230,490 356,681
Tern Properties Co., Ltd.............................. 61,200 11,444
Texwinca Holdings, Ltd................................ 556,000 62,379
Tian An China Investments Co., Ltd.................... 4,355,750 121,329
Tian Teck Land, Ltd................................... 1,098,000 150,091
*Triplenic Holdings, Ltd.............................. 2,378,000 51,212
Tristate Holdings, Ltd................................ 138,000 27,406
Truly International Holdings, Ltd..................... 1,014,000 237,989
*Tse Sui Luen Jewellry (International), Ltd........... 1,529,226 69,022
*Tung Fong Hung Holdings, Ltd......................... 231,549 18,215
Tungtex (Holdings) Co., Ltd........................... 788,000 97,554
<CAPTION>
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<S> <C> <C>
Tysan Holdings, Ltd................................... 1,040,773 $ 43,620
*UDL Holdings, Ltd.................................... 474,000 5,440
*USI Holdings, Ltd.................................... 928,999 119,801
Union Bank of Hong Kong, Ltd.......................... 670,623 408,627
*United Power Investment, Ltd......................... 1,664,000 37,982
*Universal Appliances, Ltd............................ 2,770,000 98,233
Van Shung Chong Holdings, Ltd......................... 712,000 138,645
*Vanda Systems & Communications Holdings, Ltd......... 644,000 76,405
Wah Ha Realty Co., Ltd................................ 278,600 35,928
Wah Kwong Shipping Holdings, Ltd...................... 230,500 95,119
*Wah Nam Group, Ltd................................... 1,934,800 10,230
Wai Kee Holdings, Ltd................................. 1,562,738 264,000
*Winfoong International, Ltd.......................... 1,210,000 45,251
*Wing Fai International, Ltd.......................... 3,380,000 94,585
*Wing On Co. International, Ltd....................... 565,000 234,977
Wing On International Holdings, Ltd................... 50,000 43,201
Wing Shan International, Ltd.......................... 896,000 78,571
Winsor Industrial Corp., Ltd.......................... 498,000 69,359
*Winsor Properties Holdings, Ltd...................... 249,000 89,909
*Wo Kee Hong (Holdings), Ltd.......................... 1,944,000 24,568
Wong's International (Holdings), Ltd.................. 1,012,000 287,111
Wong's Kong King International (Holdings), Ltd........ 1,139,600 38,944
World Houseware (Holdings), Ltd....................... 549,212 25,143
YGM Trading, Ltd...................................... 228,000 119,079
Yangtzekiang Garment Manufacturing Co., Ltd........... 405,000 28,725
*Yaohan Food Processing & Trading Co., Ltd............ 124,000 9,115
*Yaohan Hong Kong Corp., Ltd.......................... 760,000 42,143
Yaohan International Caterers, Ltd.................... 512,000 36,314
*Yaohan International Holdings, Ltd................... 974,000 4,899
*Yau Lee Holdings, Ltd................................ 2,136,000 28,096
*Yeebo International Holdings, Ltd.................... 40,800 1,263
*Yiu Wing International Holdings, Ltd................. 1,404,200 193,758
*Yoshiya International Corp., Ltd..................... 612,300 23,688
Yugang International, Ltd............................. 5,958,000 145,983
------------
TOTAL COMMON STOCKS
(Cost $71,695,024)................................... 39,494,848
------------
RIGHTS/WARRANTS -- (0.1%)
*Champion Technology Holdings, Ltd. Warrants
06/30/00............................................ 780,257 33,708
*Dong-Jun Holdings, Ltd. Warrants 03/31/00............ 496,800 641
*Egana International Holdings, Ltd. Warrants
06/30/00............................................ 1,176,560 15,324
*Far East Consortium International, Ltd. Warrants
10/31/99............................................ 89,223 115
*Fongs Industries Co., Ltd. Warrants 04/28/00......... 192,400 794
*Grande Holdings, Ltd. Warrants 10/15/00.............. 84,017 2,492
*Hanny Holdings, Ltd. Warrants 01/31/00............... 151,328 40,981
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 132,053 1,465
*KTP Holdings, Ltd. Warrants 09/30/99................. 18,040 23
*Lamex Holdings, Ltd. Warrants 03/03/01............... 403,200 4,264
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*Mansion Holdings, Ltd. Warrants 07/28/01............. 30,360 $ 137
*Ngai Lik Industrial Holdings, Ltd. Warrants
06/30/01............................................ 155,600 32,707
*Ocean Information Holdings, Ltd. Warrants 09/30/99... 24,400 157
*Paul y Properties Group, Ltd. Warrants 01/17/00...... 1,008 819
*Paul Y. ITC Construction Holdings, Ltd. Warrants
09/30/99............................................ 12,697 72
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 133,699
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $1,246)....................................... 1,246
------------
TOTAL -- HONG KONG
(Cost $71,696,270)................................... 39,629,793
------------
SINGAPORE -- (22.4%)
COMMON STOCKS -- (22.1%)
AV Jennings Homes, Ltd................................ 30,800 9,733
Acma, Ltd............................................. 419,600 326,001
*Alliance Technology & Development, Ltd............... 48,000 11,271
Amtek Engineering, Ltd................................ 397,500 324,964
Ana Hotels Singapore, Ltd............................. 89,000 139,326
Apollo Enterprises, Ltd............................... 193,000 116,378
Armstrong Industrial Corp............................. 203,000 38,841
Avimo Group, Ltd...................................... 288,250 429,518
Benjamin (F.J.) Holdings, Ltd......................... 213,000 64,836
#Bonvests Holdings, Ltd............................... 560,000 314,948
British-American Tobacco Co. (Singapore), Ltd......... 149,000 501,064
*Broadway Industrial Group, Ltd....................... 117,000 27,474
Bukit Sembawang Estates, Ltd.......................... 60,334 678,645
*CK Tang, Ltd......................................... 249,000 103,947
CWT Distribution, Ltd................................. 406,500 374,746
Carnaudmetalbox Asia, Ltd............................. 107,000 145,791
Causeway Investment, Ltd.............................. 133,000 43,184
Central Properties, Ltd............................... 66,000 497,469
Chemical Industries (Far East), Ltd................... 77,910 101,638
Chevalier Singapore Holdings, Ltd..................... 114,000 32,388
Chuan Hup Holdings, Ltd............................... 535,000 356,722
Chuan Soon Huat Industrial Group, Ltd................. 305,000 79,578
Comfort Group, Ltd.................................... 1,403,000 780,922
Compact Metal Industries.............................. 462,000 127,237
Cosco Investment (Singapore), Ltd..................... 196,400 128,676
Courts Singapore, Ltd................................. 423,000 242,803
Dovechem Terminals Holdings, Ltd...................... 201,000 107,799
Econ International, Ltd............................... 621,000 286,245
*Eltech Electronics, Ltd.............................. 237,000 54,965
Eng Wah Organisation, Ltd............................. 174,000 50,443
#First Capital Corp., Ltd............................. 575,000 760,119
Focal Finance, Ltd.................................... 119,200 154,811
Freight Links Express Holdings, Ltd................... 872,000 161,788
Fu Yu Manufacturing, Ltd.............................. 627,000 158,138
Fuji Offset Plates Manufacturing, Ltd................. 33,750 8,414
GB Holdings, Ltd...................................... 90,000 40,702
GK Goh Holdings....................................... 917,000 717,765
<CAPTION>
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*General Magnetics, Ltd............................... 177,000 $ 53,365
*Goldtron, Ltd........................................ 473,000 53,478
Guthrie GTS, Ltd...................................... 1,174,400 306,413
HTP Holdings, Ltd..................................... 321,000 124,698
Hai Sun Hup Group, Ltd................................ 1,097,000 502,473
Haw Par Brothers International, Ltd................... 500,200 783,044
Hind Hotels International, Ltd........................ 112,000 163,643
Hitachi Zosen (Singapore), Ltd........................ 962,000 713,944
Hong Kok Corp., Ltd................................... 390,000 357,273
Hotel Grand Central, Ltd.............................. 437,640 239,788
Hotel Plaza, Ltd...................................... 1,015,000 414,891
Hotel Properties, Ltd................................. 1,114,000 859,045
Hotel Royal, Ltd...................................... 98,333 101,484
Hour Glass, Ltd....................................... 298,000 129,585
Hup Seng Huat, Ltd.................................... 666,200 154,505
Hwa Hong Corp., Ltd................................... 443,000 593,328
Hwa Tat Lee, Ltd...................................... 158,000 33,437
*IPC Corp., Ltd....................................... 1,936,000 162,762
Inchcape Motors, Ltd.................................. 348,000 556,887
*Inno-Pacific Holdings, Ltd........................... 300,500 59,238
Insurance Corp. of Singapore, Ltd..................... 138,250 250,091
International Factors (Singapore), Ltd................ 169,000 92,107
Intraco, Ltd.......................................... 264,500 231,570
Isetan (Singapore), Ltd............................... 61,000 96,201
Jack Chia-MPH, Ltd.................................... 638,000 292,231
Jaya Holdings, Ltd.................................... 248,400 133,221
Jurong Cement, Ltd.................................... 80,500 149,357
Jurong Engineering, Ltd............................... 87,000 132,664
Kay Hian Holdings, Ltd. (Foreign)..................... 1,013,000 646,072
*Keppel Fels Energy and Infrastructure, Ltd........... 233,500 232,860
Keppel Marine Industries, Ltd......................... 505,500 674,106
Keppel Tatlee Finance, Ltd............................ 319,750 279,941
Keppel Telecommunications and Transportation, Ltd..... 974,000 1,332,754
Khong Guan Flour Milling, Ltd......................... 10,000 13,683
Kian Ho Bearings, Ltd................................. 277,000 71,471
Kim Eng Holdings, Ltd................................. 1,656,200 1,027,485
Koh Brothers, Ltd..................................... 273,000 78,351
L & M Group Investments, Ltd.......................... 337,100 128,020
LC Development, Ltd................................... 225,333 84,268
Labroy Marine, Ltd.................................... 291,000 291,889
Lee Kim Tah Holdings, Ltd............................. 159,000 78,360
Liang Court Holdings, Ltd............................. 1,199,000 660,422
Liang Huat Aluminum, Ltd.............................. 722,000 115,119
Lim Kah Ngam, Ltd..................................... 350,999 132,281
*Low Keng Huat Singapore, Ltd......................... 144,000 37,571
Lum Chang Holdings, Ltd............................... 1,049,030 462,254
Metalock (Singapore), Ltd............................. 60,000 25,047
Metro Holdings, Ltd................................... 266,160 390,429
*Neptune Orient Lines, Ltd............................ 1,222,000 1,013,179
*Nippecraft, Ltd...................................... 886,000 159,248
#Orchard Parade Holdings, Ltd......................... 737,320 534,373
*Osprey Maritime, Ltd................................. 871,000 391,380
Ossia International, Ltd.............................. 264,000 52,043
Overseas Union Enterprise, Ltd........................ 200,000 608,791
Overseas Union Trust (Foreign)........................ 163,800 225,082
*PCI, Ltd............................................. 225,000 65,228
*Pacific Can Investment Holdings, Ltd................. 101,000 10,834
Pacific Carriers, Ltd................................. 761,000 423,579
Pan Malayan Holdings, Ltd............................. 133,000 111,043
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Pan Pacific Public Co., Ltd........................... 69,750 $ 30,129
Pan-United Corp., Ltd................................. 1,184,000 494,269
Pentex-Schweizer Circuits, Ltd........................ 183,200 127,463
Pertama Holdings, Ltd................................. 68,750 11,759
*Pokka Corp. (Singapore), Ltd......................... 79,000 30,002
Prima, Ltd............................................ 95,000 215,918
Provisions Suppliers Corp............................. 544,600 290,499
Republic Hotels and Resorts, Ltd...................... 787,000 657,077
Resources Development Corp., Ltd...................... 104,000 96,479
Robinson & Co., Ltd................................... 181,360 525,763
Rotary Engineering, Ltd............................... 242,000 108,742
SMB United............................................ 479,000 104,147
SNP Corp., Ltd........................................ 68,000 30,753
*SPP, Ltd............................................. 454,000 103,976
*ST Capital, Ltd...................................... 940,553 376,280
San Teh, Ltd.......................................... 523,672 177,621
*Scotts Holdings, Ltd................................. 482,000 229,161
Sea View Hotel, Ltd................................... 44,000 265,317
Shangri-la Hotel, Ltd................................. 377,700 845,304
Sime Singapore, Ltd................................... 1,477,000 603,738
Sin Soon Huat, Ltd.................................... 441,000 88,214
Sing Investments & Finance, Ltd. (Foreign)............ 94,500 68,763
#Singapore Finance, Ltd............................... 502,000 582,120
Singapore Reinsurance Corp., Ltd...................... 200,700 159,421
Singapura Building Society, Ltd....................... 65,250 47,668
*Singatronics, Ltd.................................... 620,000 158,170
Ssangyong Cement (Singapore), Ltd..................... 201,000 268,042
Stamford Tyres Corp., Ltd............................. 62,000 21,209
Straits Trading Co., Ltd.............................. 474,000 593,623
Sunright, Ltd......................................... 338,000 215,570
Superbowl Holdings, Ltd............................... 188,000 46,326
Superior Metal Printing, Ltd.......................... 235,500 56,665
Tibs Holdings, Ltd.................................... 203,500 410,603
Tiger Medicals, Ltd................................... 155,000 124,918
Times Publishing, Ltd................................. 334,000 646,803
*Transmarco, Ltd...................................... 48,000 81,543
Tuan Sing Holdings, Ltd............................... 3,106,000 666,319
United Engineers, Ltd................................. 431,500 432,818
United Overseas Finance, Ltd.......................... 134,500 128,672
United Overseas Insurance, Ltd........................ 75,500 99,807
United Pulp & Paper Co., Ltd.......................... 289,000 123,158
*Uraco Holdings, Ltd.................................. 557,000 179,237
*Van der Horst, Ltd................................... 309,100 94,985
Vickers Ballas Holdings, Ltd.......................... 1,314,000 975,179
WBL Corp., Ltd........................................ 280,000 314,948
Wearnes International (1994), Ltd..................... 33,000 13,967
------------
TOTAL COMMON STOCKS
(Cost $41,151,997)................................... 38,520,320
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Singapore Dollars
(Cost $392,138)..................................... 391,725
------------
PREFERRED STOCKS -- (0.1%)
*First Capital Corp., Ltd. 7% Non-Redeemable
Convertible
(Cost $102,711)..................................... 172,500 229,036
------------
TOTAL -- SINGAPORE
(Cost $41,646,846)................................... 39,141,081
------------
<CAPTION>
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<S> <C> <C>
AUSTRALIA -- (19.4%)
COMMON STOCKS -- (19.1%)
A.P. Eagers, Ltd...................................... 8,816 $ 24,209
ARB Corporation, Ltd.................................. 11,364 42,351
*AWA, Ltd............................................. 373,000 153,642
Abigroup, Ltd......................................... 129,710 196,754
Acacia Resources, Ltd................................. 294,603 315,895
Adelaide Bank, Ltd.................................... 82,302 313,181
Adelaide Brighton, Ltd................................ 282,477 169,915
Adsteam Marine, Ltd................................... 81,200 148,654
*Airboss, Ltd......................................... 274,800 4,671
*Allstate Explorations NL............................. 15,261 11,475
Amalgamated Holdings, Ltd............................. 135,552 315,513
*Amity Oil NL......................................... 43,079 6,901
*An Feng Kingstream Steel, Ltd........................ 764,927 49,513
*Anzoil NL............................................ 123,126 14,491
*Aquarius Platinum NL................................. 44,452 22,670
*Ariadne Australia, Ltd............................... 75,114 32,905
Ashanti Goldfields Co., Ltd........................... 16,243 116,237
Ashanti Goldfields Co., Ltd. ADR...................... 15,990 31,085
Ashton Mining, Ltd.................................... 523,700 243,110
Asia Pacific Specialty Chemicals, Ltd................. 56,784 38,983
Atkins Carlyle, Ltd................................... 59,551 132,772
*Auridiam Consolidated NL............................. 63,097 2,682
*Aurora Gold, Ltd..................................... 226,812 133,466
Ausdoc Group, Ltd..................................... 111,697 204,485
Ausdrill, Ltd......................................... 34,977 10,748
Australian Hospital Care, Ltd......................... 215,500 133,854
*Australian Kaolin, Ltd............................... 182,145 19,055
Australian Oil & Gas Corp., Ltd....................... 93,308 94,561
Australian Pharmaceutical Industries, Ltd............. 106,000 152,472
Australian Provincial Newspaper Holdings, Ltd......... 337,067 577,404
*Australian Resources, Ltd............................ 141,446 21,271
Avatar Industries, Ltd................................ 229,505 76,529
BT Hotel Group BHT.................................... 430,000 213,670
Bank of Queensland, Ltd............................... 118,629 468,479
*Beach Petroleum NL................................... 247,800 4,861
*Beaconsfield Gold NL................................. 58,966 50,120
Bendigo Bank, Ltd..................................... 82,511 334,476
*Beyond International, Ltd............................ 54,450 33,109
*#Biota Holdings, Ltd................................. 97,808 338,932
Blackmores, Ltd....................................... 27,894 90,277
*Bligh Oil & Minerals NL.............................. 58,844 6,156
Boag (J.) & Son, Ltd.................................. 10,000 4,184
*Boulder Group NL..................................... 78,500 11,805
Brandrill, Ltd........................................ 91,884 31,240
Bridgestone Australia, Ltd............................ 49,000 103,321
Buderim Ginger, Ltd................................... 7,889 4,230
CI Technologies Group, Ltd............................ 59,000 198,665
*CIM Resources, Ltd................................... 209,281 9,442
Campbell Brothers, Ltd................................ 54,021 157,175
*Cape Range, Ltd...................................... 430,495 32,369
Capral Aluminium, Ltd................................. 379,330 550,595
*Carrington Cotton Corp., Ltd......................... 22,200 61,108
Casinos Austria International, Ltd.................... 158,991 59,253
Cedar Woods Properties, Ltd........................... 5,000 2,779
*Centaur Mining & Exploration, Ltd.................... 620,579 125,783
Central Equity, Ltd................................... 123,243 146,655
Central Norseman Gold Corp., Ltd...................... 409,800 107,175
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Centro Properties, Ltd................................ 239,291 $ 419,298
*Charter Pacific Corp., Ltd........................... 72,823 49,042
Cinema Plus, Ltd...................................... 75,700 38,606
*Cityview Energy Corp., Ltd........................... 4,945 2,263
*Clifford Corp., Ltd.................................. 161,750 27,497
*Climax Mining, Ltd................................... 134,600 14,961
Coal & Allied Industries, Ltd......................... 11,250 110,333
Coates Hire, Ltd...................................... 247,389 389,816
Computershare, Ltd.................................... 40,000 366,273
*Consolidated Gold NL................................. 123,748 2,508
Consolidated Paper Industries, Ltd.................... 59,279 93,020
*Consolidated Rutile, Ltd............................. 310,652 126,945
*Coolgardie Gold NL................................... 222,685 6,115
*Coplex Resources NL.................................. 231,400 13,617
*Corporate Express Australia, Ltd..................... 102,962 150,795
Coventry Group, Ltd................................... 63,616 202,146
Crane (G.E) Holdings, Ltd............................. 77,692 429,235
*Croesus Mining NL.................................... 97,100 24,442
*Cudgen RZ, Ltd....................................... 36,650 15,576
*Cultus Petroleum NL.................................. 288,808 139,734
*DJL, Ltd............................................. 277,900 2,180
Danks Holdings, Ltd................................... 10,425 61,345
Delfin Property Group, Ltd............................ 26,361 101,689
Delta Gold NL......................................... 373,100 512,279
*Denehurst, Ltd....................................... 95,000 4,534
*Devex, Ltd........................................... 205,364 42,296
Devine, Ltd........................................... 44,183 16,466
Dollar Sweets Holdings, Ltd........................... 127,086 58,164
Dome Resources NL..................................... 40,000 6,048
*Dominion Mining, Ltd................................. 168,015 42,842
ERG, Ltd.............................................. 298,635 507,664
*Eagers (A.P.), Ltd. Issue 99......................... 2,204 5,923
Eastern Aluminum, Ltd................................. 148,949 108,099
*Easycall Group....................................... 99,300 16,231
*Emporer Mines, Ltd................................... 120,600 37,060
Energy Developments, Ltd.............................. 116,196 345,672
*Energy Equity Corp., Ltd............................. 325,630 59,613
Energy Resources of Australia, Ltd. Series A.......... 231,589 264,983
*Equatorial Mining, Ltd............................... 43,214 129,970
Evans Deakin Industries, Ltd.......................... 177,590 459,807
*Exergy, Inc. Issue 99................................ 7,174 0
Finemore Holdings, Ltd................................ 75,789 106,538
Fleetwood Corp., Ltd.................................. 13,438 13,179
Flight Centre, Ltd.................................... 29,573 139,216
*ForBio, Inc.......................................... 5,480 15,765
Forest Place Group, Ltd............................... 74,058 29,053
*Formulab Neuronetics Corp., Ltd...................... 74,250 922
Forrester Parker Group, Ltd........................... 142,602 104,425
Freedom Furniture, Ltd................................ 123,400 133,932
Futuris Corp., Ltd.................................... 580,000 777,399
GUD Holdings, Ltd..................................... 79,652 108,323
GWA International, Ltd................................ 176,533 309,330
Gazal Corp., Ltd...................................... 25,365 26,701
*Gold Mines of Australia, Ltd......................... 55,307 2,640
Golden West Refining Corp., Ltd....................... 17,330 7,875
#Goldfields, Ltd...................................... 360,913 221,816
*Goldstream Mining NL................................. 14,400 3,954
Gowing Bros., Ltd..................................... 55,447 67,067
Grand Hotel Group..................................... 176,400 175,309
Grange Resources NL................................... 57,506 32,711
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Greenfields Energy Corp., Ltd........................ 193,687 $ 27,860
Green's Foods, Ltd.................................... 52,866 20,739
Gunns, Ltd............................................ 39,400 43,536
Hancock and Gore, Ltd................................. 24,060 22,023
*Haoma Mining NL...................................... 98,816 10,660
Harris Scarfe Holdings, Ltd........................... 91,384 114,718
Hartley Poynton, Ltd.................................. 49,279 60,251
*Helix Resources NL................................... 25,000 4,822
#Henry Walker Group, Ltd.............................. 287,948 387,832
*Herald Resources, Ltd................................ 69,910 12,570
Hills Industries, Ltd................................. 190,435 298,827
Hills Motorway Group.................................. 50,000 134,034
*Holyman, Ltd......................................... 75,312 18,465
*Hudson Conway, Ltd................................... 64,235 245,691
Iama, Ltd............................................. 104,788 161,006
*Intellect Holdings, Ltd.............................. 75,070 32,395
Ipoh, Ltd............................................. 139,966 173,509
Ipswich and West Moreton Building Society, Ltd........ 11,694 22,326
*Ixla, Ltd............................................ 40,248 84,077
*Johnson's Well Mining NL............................. 20,000 49,691
Joyce Corp., Ltd...................................... 13,049 16,808
*Jubilee Gold Mines NL................................ 113,400 25,950
Just Jeans Holdings, Ltd.............................. 94,342 98,693
*Keycorp, Ltd......................................... 36,542 71,676
*Kidston Gold Mines, Ltd.............................. 246,300 67,636
*Kingsgate Consolidated NL............................ 15,733 4,629
*Kresta Holdings, Ltd................................. 56,700 2,410
Lemarne Corp., Ltd.................................... 20,790 33,983
*Lynas Gold NL........................................ 40,500 2,780
*MRI Holdings, Ltd.................................... 36,169 11,469
MacMahon Holdings, Ltd................................ 192,179 42,722
Magellan Petroleum Australia, Ltd..................... 32,760 32,129
Maryborough Sugar Factory, Ltd........................ 600 3,138
Maxi-Cube, Ltd........................................ 123,420 28,243
McConnell Dowell Corp., Ltd........................... 27,438 41,979
McGuigan (Brian) Wines, Ltd........................... 48,294 89,675
McPherson's, Ltd...................................... 61,500 31,364
*Meekatharra Minerals, Ltd............................ 70,200 7,803
Metalcorp, Ltd........................................ 112,800 100,302
Mirvac, Ltd........................................... 381,397 553,346
Monadelphous Group, Ltd............................... 16,383 33,742
*Mosaic Oil NL........................................ 314,295 40,071
*Mount Kersey Mining NL............................... 73,076 35,834
*Murrin Murrin Investment Property, Ltd. Promissory
Notes 06/30/00...................................... 40,918 5,351
*Murrin Murrin Investment Property, Ltd. Promissory
Notes 06/30/01...................................... 40,918 10,701
National Can Industries, Ltd.......................... 97,017 126,864
Nautronix, Ltd........................................ 74,694 56,162
*Newcrest Mining, Ltd................................. 127,708 237,971
Normandy Mt. Leyshon, Ltd............................. 133,376 155,224
North Flinders Mines, Ltd............................. 82,569 183,551
*Novogen, Ltd......................................... 64,288 114,330
Novus Petroleum, Ltd.................................. 171,258 176,917
OPSM Protector, Ltd................................... 257,306 477,782
Oil Company of Australia, Ltd......................... 51,800 68,414
*Orbital Engine Corp., Ltd............................ 537,358 133,509
Oroton International, Ltd............................. 34,600 38,910
Pacific BBA, Ltd...................................... 256,282 946,735
Pacific Hydro, Ltd.................................... 53,834 39,774
</TABLE>
241
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pan Pacific Petroleum NL............................. 327,800 $ 17,575
Parbury, Ltd.......................................... 168,113 33,525
*Payce Consolidated, Ltd.............................. 18,000 9,415
Penfold (W.C.), Ltd................................... 14,100 14,750
*Peptide Technology, Ltd.............................. 176,600 58,887
*Perilya Mines NL..................................... 263,500 39,625
Permanent Trustee Co., Ltd............................ 14,000 112,131
Petaluma, Ltd......................................... 29,519 88,781
Peter Lehmann Wines, Ltd.............................. 35,586 51,420
*Petroz NL............................................ 308,910 100,987
*Petsec Energy, Ltd................................... 97,992 30,753
Pirelli Cables Australia, Ltd......................... 97,420 49,683
*Polartechnics, Ltd................................... 37,205 81,977
Portman Mining, Ltd................................... 166,100 84,708
*Power Pacific, Ltd................................... 302,000 0
*Precious Metals Australia, Ltd....................... 75,757 16,346
*Preston Resources NL................................. 64,000 43,100
Prime Television, Ltd................................. 154,402 188,780
*Progen Industries, Ltd............................... 14,388 41,392
*Quantum Resources, Ltd............................... 115,007 13,911
Queensland Cotton Holdings, Ltd....................... 39,866 123,811
*Queensland Metals Corp., Ltd......................... 327,666 134,969
*Raptis Group, Ltd.................................... 12,000 981
Rebel Sport, Ltd...................................... 77,898 45,839
*Redfire Resources NL................................. 23,250 1,383
Reece Australia, Ltd.................................. 32,100 314,817
Reinsurance Australia Corp., Ltd...................... 200,604 141,653
Resolute, Ltd......................................... 324,045 194,919
Ridley Corp., Ltd..................................... 573,921 367,739
Rock Building Society, Ltd............................ 11,373 18,739
Ross Mining NL........................................ 296,807 161,070
Rural Press, Ltd...................................... 202,588 675,532
SPC, Ltd.............................................. 48,398 28,479
Sabre Group, Ltd...................................... 21,842 24,277
Schaffer Corp., Ltd................................... 13,800 22,647
Scientific Services, Ltd.............................. 122,237 32,768
Scott Corp., Ltd...................................... 43,000 39,360
Siddons Ramset, Ltd................................... 102,909 368,719
Simeon Wines, Ltd..................................... 74,285 184,564
#Simsmetal, Ltd....................................... 147,800 661,953
Singleton Group, Ltd.................................. 26,804 92,883
*Sino Securities International, Ltd................... 8,118 12,739
Skilled Engineering, Ltd.............................. 115,022 229,373
*Solution 6 Holdings, Ltd............................. 51,910 103,178
Sonic Healthcare, Ltd................................. 184,902 517,425
Sons of Gwalia, Ltd................................... 210,780 555,388
Southern Cross Broadcasting (Australia), Ltd.......... 41,599 228,467
*Southern Pacific Petroleum NL........................ 82,140 131,578
Southern Star Group, Ltd.............................. 148,407 92,181
*Spectrum Network Systems, Ltd. Series B.............. 153,959 175,152
Spicers Paper, Ltd.................................... 246,300 312,412
Spotless Group, Ltd................................... 236,819 619,353
*Spotless Group, Ltd. Issue 99........................ 11,840 30,346
Spotless Services, Ltd................................ 581,394 437,150
*Spotless Services, Ltd. Issue 99..................... 83,056 60,821
*St. Barbara Mines, Ltd............................... 375,500 17,186
*Straits Resources, Ltd............................... 56,534 20,699
*Strategic Minerals Corp. NL.......................... 13,100 210
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sydney Aquarium, Ltd.................................. 24,135 $ 62,805
Tandou, Ltd........................................... 3,100 3,223
*Tanganyika Gold NL................................... 14,760 4,487
*Tap Oil.............................................. 122,200 51,933
*Target Mining Corp., Ltd............................. 54,667 1,215
Tassal, Ltd........................................... 84,203 72,671
*Techniche, Ltd....................................... 17,610 11,744
Telecasters Australia, Ltd............................ 20,546 107,468
Television & Media Services, Ltd...................... 125,466 136,995
Tempo Service, Ltd.................................... 49,087 65,472
Ten Network Holdings, Ltd............................. 110,000 162,541
Thakral Holdings Group................................ 651,138 251,181
*Thakral Holdings Group............................... 28,694 10,881
Ticor, Ltd............................................ 347,850 131,911
Timbercorp Eucalyptus, Ltd............................ 14,000 84,213
*Titan Resources NL................................... 50,000 3,923
#Toll Holdings, Ltd................................... 60,423 221,234
*Tooth & Co., Ltd..................................... 153,000 16,006
Tourism Assets Holdings, Ltd.......................... 469,760 193,499
*Transcom International, Ltd.......................... 37,200 15,323
*Triako Resources, Ltd................................ 5,400 1,059
*Troy Resources NL.................................... 22,548 3,980
*Union Gold Mining Co. NL............................. 142,500 55,902
United Construction Group, Ltd........................ 81,554 152,501
*Victoria Petroleum NL................................ 147,973 4,354
Villa World, Ltd...................................... 134,700 100,400
Visions Systems, Ltd.................................. 15,626 71,006
*Walhalla Mining Company NL........................... 681 232
Walker Corp., Ltd..................................... 434,960 196,228
Wattyl, Ltd........................................... 152,678 438,231
Webster, Ltd.......................................... 33,551 19,743
Wesfi, Ltd............................................ 76,261 70,803
Western Metals, Ltd................................... 379,766 109,252
Westralian Sands, Ltd................................. 151,806 317,615
White (Joe) Maltings, Ltd............................. 27,254 55,596
Wide Bay Capricorn Building Society, Ltd.............. 12,371 29,523
Wills (W.D. & H.O.) Holdings, Ltd..................... 244,036 973,298
Yates (Arthur) and Co. Property, Ltd.................. 143,963 94,127
*Zimbabwe Platinum Mines, Ltd......................... 74,620 16,100
------------
TOTAL COMMON STOCKS
(Cost $38,167,182)................................... 33,289,345
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Australian Dollar
(Cost $526,535)..................................... 526,616
------------
RIGHTS/WARRANTS -- (0.0%)
*Adelaide Brighton, Ltd. Rights 06/25/99.............. 84,743 9,973
*Beach Petroleum NL Warrants 03/31/04................. 82,600 432
*Eagers (A.P.), Ltd. Warrants 01/31/03................ 2,204 0
*Kingsgate Consolidated NL Warrants 03/31/00.......... 1,573 123
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 10,528
------------
TOTAL -- AUSTRALIA
(Cost $38,693,717)................................... 33,826,489
------------
</TABLE>
242
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THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
NEW ZEALAND -- (5.2%)
COMMON STOCKS -- (5.1%)
*AFFCO Holdings, Ltd.................................. 227,088 $ 26,785
*Advantage Group, Ltd................................. 44,000 40,103
Baycorp Holdings, Ltd................................. 144,014 386,058
CDL Hotels NZ, Ltd.................................... 657,244 119,807
CDL Investments NZ, Ltd............................... 191,786 25,706
Cavalier Corp., Ltd................................... 43,907 80,037
Ceramco Corp., Ltd.................................... 59,127 42,795
Colonial Motor Co., Ltd............................... 37,752 46,553
Corporate Investments, Ltd............................ 807,127 341,859
*Cue Energy Resources NL.............................. 452,354 16,734
DB Group, Ltd......................................... 189,577 238,854
Donaghys, Ltd......................................... 37,239 24,957
Eastern Equities Corp., Ltd........................... 41,001 9,892
Ebos Group, Ltd....................................... 9,036 25,434
*Ernest Adams, Ltd.................................... 20,495 18,570
*Evergreen Forests, Ltd............................... 122,501 29,555
Fernz Corp., Ltd...................................... 191,102 586,056
#Fisher & Paykel Industries, Ltd...................... 155,290 498,710
Force Corp., Ltd...................................... 291,114 87,404
Hallenstein Glassons Holdings, Ltd.................... 109,038 142,641
Hellaby Holdings, Ltd................................. 61,379 64,170
Horizon Energy Distribution, Ltd...................... 3,875 13,920
*Kingsgate International Corp., Ltd................... 479,679 43,977
LWR Industries, Ltd................................... 49,137 28,715
Met Lifecare, Ltd..................................... 65,900 67,130
Michael Hill International, Ltd....................... 47,040 73,642
*Natural Gas Corp. Holdings, Ltd...................... 42,200 35,521
New Zealand Oil & Gas, Ltd............................ 189,110 34,472
New Zealand Refining Co., Ltd......................... 42,119 361,307
*Northland Port Corp. (New Zealand), Ltd.............. 77,971 51,836
Nuplex Industries, Ltd................................ 173,128 278,463
*Otter Gold Mines, Ltd................................ 89,321 43,100
Owens Group, Ltd...................................... 94,922 69,212
PDL Holdings, Ltd..................................... 16,581 42,671
Pacific Retail Group, Ltd............................. 52,744 36,762
Port of Tauranga, Ltd................................. 143,746 412,314
Ports of Auckland..................................... 177,558 480,740
Progessive Enterprises, Ltd........................... 296,830 373,985
Radio Pacific, Ltd.................................... 5,200 18,122
Reid Farmers, Ltd..................................... 68,334 19,051
Restaurant Brand New Zealand, Ltd..................... 90,900 61,406
*Richina Pacific, Ltd................................. 137,322 47,855
Sanford, Ltd.......................................... 174,612 426,891
Scott Technology, Ltd................................. 23,274 29,324
*Seafresh Fisheries................................... 80,520 4,965
Shortland Properties, Ltd............................. 381,380 120,639
South Eastern Utilities, Ltd.......................... 73,279 33,395
South Port New Zealand, Ltd........................... 39,528 17,166
St. Lukes Group, Ltd.................................. 309,755 322,180
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Steel & Tube Holdings, Ltd............................ 117,010 $ 103,511
*Summit Gold, Ltd..................................... 107,419 7,199
Tasman Agriculture, Ltd............................... 263,200 110,067
Taylors Group, Ltd.................................... 29,646 18,279
*Tourism Holdings, Ltd................................ 62,794 73,393
Trans Tasman Properties, Ltd.......................... 593,308 120,877
Transalta New Zealand, Ltd............................ 264,300 311,744
Tranz Rail Holdings, Ltd.............................. 109,700 199,381
Trustpower, Ltd....................................... 17,549 37,729
Warehouse Group, Ltd.................................. 251,743 958,283
Waste Management NZ, Ltd.............................. 76,006 370,824
Williams & Kettle, Ltd................................ 17,172 19,334
Wrightson, Ltd........................................ 317,720 57,916
Zuellig NZ, Ltd....................................... 148,825 40,693
------------
TOTAL COMMON STOCKS
(Cost $11,206,299)................................... 8,830,671
------------
INVESTMENT IN CURRENCY -- (0.1%)
*New Zealand Dollar
(Cost $198,162)..................................... 197,976
------------
TOTAL -- NEW ZEALAND
(Cost $11,404,461)................................... 9,028,647
------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
*TMP Worldwide, Inc.
(Cost $159,815)..................................... 5,658 276,181
------------
SOUTH KOREA -- (0.0%)
COMMON STOCKS -- (0.0%)
Korea Green Cross Co., Ltd.
(Cost $156)......................................... 4 189
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (4.8%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $8,525,000)
to be repurchased at $8,397,290.
(Cost $8,393,000)................................... $ 8,393 8,393,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $244,162,281)++.... $174,731,355
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximate cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
243
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (97.8%)
COMMON STOCKS -- (97.8%)
600 Group P.L.C....................................... 100,910 $ 118,849
*AAF Industries P.L.C................................. 53,256 63,577
*ABI Leisure Group P.L.C.............................. 73,000 0
AIM Group P.L.C....................................... 32,063 70,645
API Group P.L.C....................................... 51,500 307,402
ASDA Property Holdings P.L.C.......................... 94,000 240,249
*ASW Holdings P.L.C................................... 949,314 250,996
Abacus Polar P.L.C.................................... 75,000 171,258
Abbeycrest P.L.C...................................... 42,590 88,721
Abbot Group P.L.C..................................... 92,595 206,241
Aberdeen Trust P.L.C.................................. 38,500 73,106
Acal P.L.C............................................ 2,000 12,707
*Acatos & Hutcheson P.L.C............................. 79,000 188,620
*Acorn Computer Group P.L.C........................... 100,000 383,777
Action Computer Supplies Holdings, Ltd................ 88,000 316,572
Adam & Harvey Group P.L.C............................. 10,500 24,817
Admiral P.L.C......................................... 2,800 40,044
Adscene Group P.L.C................................... 48,933 171,719
*African Lakes Corp. P.L.C............................ 7,760 5,596
Airflow Streamlines P.L.C............................. 20,500 44,675
Airsprung Furniture Group P.L.C....................... 58,000 99,910
Alba P.L.C............................................ 100,125 497,368
*Albemarle Property Investment P.L.C.................. 600,000 28,843
*Alexanders Holdings P.L.C............................ 71,000 19,341
Alexandra Workwear P.L.C.............................. 86,243 198,312
*Alexon Group P.L.C................................... 106,500 388,244
Allders P.L.C......................................... 16,000 29,997
Allen P.L.C........................................... 25,000 116,776
Allied Carpets Group P.L.C............................ 24,000 13,845
Allied Leisure P.L.C.................................. 265,166 95,604
Allied London Properties P.L.C........................ 154,852 218,360
Allied Textile Companies P.L.C........................ 128,033 210,290
Alpha Airports Group P.L.C............................ 318,263 308,543
*Alphameric P.L.C..................................... 2,046 2,541
Alumasc Group P.L.C................................... 100,245 180,713
Alvis P.L.C........................................... 150,000 436,256
Amey P.L.C............................................ 56,000 637,118
Andrew Sykes Group P.L.C.............................. 203,650 546,604
*Anglesey Mining P.L.C................................ 55,000 3,966
Anglian Group P.L.C................................... 126,280 610,092
Anglo Eastern Plantations P.L.C....................... 57,166 41,680
Anite Group P.L.C..................................... 250,000 166,250
Apollo Metals P.L.C................................... 62,307 111,323
Aquarius Group P.L.C.................................. 8,000 17,947
Arlen P.L.C........................................... 120,728 58,037
Armitage Brothers P.L.C............................... 4,000 11,794
*Armour Trust P.L.C................................... 198,500 33,398
Ascot P.L.C........................................... 53,435 256,874
Ash & Lacy P.L.C...................................... 78,098 147,045
Ashtenne Holdings P.L.C............................... 50,000 128,193
*Associated British Engineering P.L.C................. 534,500 8,565
Associated Nursing Services P.L.C..................... 28,000 62,141
Aukett Associates P.L.C............................... 142,375 33,081
Austin Reed Group P.L.C............................... 68,999 103,378
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Avesco P.L.C.......................................... 29,998 $ 140,602
Avon Rubber P.L.C..................................... 60,364 477,836
*Azlan Group P.L.C.................................... 185,000 234,192
BNB Resources P.L.C................................... 49,000 75,770
BPP Holdings P.L.C.................................... 50,450 470,902
BS P.L.C.............................................. 7,000 16,264
BSG International P.L.C............................... 59,597 142,293
BTG P.L.C............................................. 50,000 212,319
*BWA Group P.L.C...................................... 6,300 1,010
BWI P.L.C............................................. 102,452 165,812
Babcock International Group P.L.C..................... 122,557 213,079
Baggeridge Brick P.L.C................................ 98,000 170,384
Bailey (Ben) Construction P.L.C....................... 26,000 24,789
*Bailey (C.H.) P.L.C.................................. 109,500 8,335
*Bailey (C.H.) P.L.C. Class B......................... 10,000 2,404
Bandt P.L.C........................................... 315,000 184,237
Banks (Sidney C.) P.L.C............................... 26,736 90,825
Barlows P.L.C......................................... 50,000 52,479
Barr (A.G.) P.L.C..................................... 43,000 303,865
Baynes (Charles) P.L.C................................ 341,378 273,514
Beattie (James) P.L.C................................. 132,247 374,028
Beauford P.L.C........................................ 1,312 63
Bellway P.L.C......................................... 93,000 528,291
Bemrose Corp. P.L.C................................... 50,375 299,880
Benchmark Group P.L.C................................. 26,892 97,603
Benson Group P.L.C.................................... 77,856 23,704
Bentalls P.L.C........................................ 91,617 103,500
Berisford P.L.C....................................... 200,000 764,350
Bespak P.L.C.......................................... 55,918 712,348
Betacom P.L.C......................................... 149,652 123,499
Bett Brothers P.L.C................................... 33,108 88,863
*Beverley Group P.L.C................................. 86,820 1,043
*Biocompatibles International P.L.C................... 11,250 17,396
Birkby P.L.C.......................................... 108,157 396,884
*Birkdale Group P.L.C................................. 33,600 538
Birse Group P.L.C..................................... 421,901 54,085
Black (A & C) P.L.C................................... 2,250 12,349
Black (Peter) Holdings P.L.C.......................... 111,495 644,072
Black Arrow Group P.L.C............................... 56,500 83,746
Blacks Leisure Group P.L.C............................ 60,959 203,666
Blagden Industries P.L.C.............................. 131,092 191,157
Blick P.L.C........................................... 68,555 222,453
Blockleys P.L.C....................................... 74,244 41,044
Body Shop International P.L.C......................... 139,000 256,145
*Bolton Group (International), Ltd.................... 23,000 737
Boosey & Hawkes P.L.C................................. 35,500 247,452
Boot (Henry) & Sons P.L.C............................. 47,000 146,861
Booth Industries Group P.L.C.......................... 5,000 3,005
Bostrom P.L.C......................................... 36,000 98,644
Bourne End Properties P.L.C........................... 141,021 85,870
Bradstock Group P.L.C................................. 130,000 84,367
Brammer (H.) P.L.C.................................... 85,536 707,249
Brasway P.L.C......................................... 217,701 41,862
Break for the Border Group P.L.C...................... 70,000 38,137
Breedon P.L.C......................................... 65,428 137,868
Brent International P.L.C............................. 149,531 239,610
*Brent Walker Group P.L.C............................. 128,571 0
</TABLE>
244
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bridgend Group P.L.C.................................. 93,000 $ 8,196
Bridport-Gundry P.L.C................................. 38,500 62,310
Bristol United Press P.L.C............................ 29,500 236,355
Bristol Water Holdings P.L.C.......................... 12,000 280,261
Britannia Group P.L.C................................. 50,000 36,054
*British Biotech P.L.C................................ 198,000 50,764
British Fittings Group P.L.C.......................... 62,658 128,015
British Mohair Holdings P.L.C......................... 31,500 45,176
British Polythene Industries P.L.C.................... 56,740 345,499
British Steam Specialties Group P.L.C................. 47,905 372,303
*British Thornton Holdings P.L.C...................... 35,000 24,397
British-Borneo Petroleum Syndicate P.L.C.............. 93,414 246,984
Brockhampton Holdings P.L.C........................... 12,000 39,996
Brockhampton Holdings P.L.C. Series A Non-Voting...... 48,000 72,685
Brooke Industrial Holdings P.L.C...................... 15,574 19,341
Brooks Service Group P.L.C............................ 25,500 57,410
*Brown & Jackson P.L.C................................ 296,819 713,439
Brunel Holdings P.L.C................................. 276,000 24,325
Bryant Group P.L.C.................................... 21,136 48,940
Budgens P.L.C......................................... 306,137 291,881
Bulgin (A.F.) & Co. P.L.C............................. 4,000 6,922
Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting......... 52,000 8,333
*Bullers P.L.C........................................ 97 0
Bullough P.L.C........................................ 256,000 344,582
Bulmer (H.P.) Holdings P.L.C.......................... 60,500 356,276
*Burn Stewart Distillers P.L.C........................ 142,500 38,818
*Burnden Leisure P.L.C................................ 33,000 11,633
Burndene Investments P.L.C............................ 175,001 103,757
Burtonwood Brewery P.L.C.............................. 38,000 108,387
Business Post Group P.L.C............................. 25,000 161,242
CLS Holdings P.L.C.................................... 102,907 209,422
CRT Group P.L.C....................................... 94,495 204,417
Cadcentre Group P.L.C................................. 10,000 29,244
Caffyns P.L.C......................................... 6,000 34,131
*Cairn Energy P.L.C................................... 43,306 89,518
Cala P.L.C............................................ 98,400 312,989
Calderburn P.L.C...................................... 107,636 138,844
*Calluna P.L.C........................................ 58,000 13,941
*Calluna P.L.C. Issue 99.............................. 19,140 4,601
Camellia P.L.C........................................ 2,950 163,085
*Cantab Pharmaceuticals P.L.C......................... 80,000 248,694
Cape P.L.C............................................ 119,518 125,444
Capital Corp. P.L.C................................... 205,000 277,577
Capital Industries P.L.C.............................. 75,937 55,974
Carclo Engineering Group P.L.C........................ 100,463 222,961
*Cardinal Business Group P.L.C........................ 25,000 4,607
*Carlisle Holdings, Ltd............................... 375,000 105,158
Carpetright P.L.C..................................... 95,000 493,222
Carr's Milling Industries P.L.C....................... 19,000 28,162
Castings P.L.C........................................ 79,000 232,293
*Cathay International P.L.C........................... 439,600 33,460
Caverdale Group P.L.C................................. 63,924 119,334
*Celltech P.L.C....................................... 7,000 50,195
Chamberlin & Hill P.L.C............................... 18,000 55,523
*Channel Holdings P.L.C............................... 230,500 15,698
Chemring Group P.L.C.................................. 49,000 104,036
Chesterfield Properties P.L.C......................... 25,000 182,274
*Chiroscience Group P.L.C............................. 10,000 38,858
<CAPTION>
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Chloride Group P.L.C.................................. 485,500 $ 556,249
Christie Group P.L.C.................................. 52,725 48,580
Chrysalis Group P.L.C................................. 66,336 868,982
Church & Co. P.L.C.................................... 20,500 149,465
Churchill China P.L.C................................. 30,000 43,986
Cirqual P.L.C......................................... 50,000 130,997
City Centre Restaurants P.L.C......................... 433,500 507,091
City Technology Holdings P.L.C........................ 15,000 53,480
Clarkson (Horace) P.L.C............................... 44,733 53,044
*Clinical Computing P.L.C............................. 40,000 24,677
Clinton Cards P.L.C................................... 124,460 508,562
*Clubhaus P.L.C....................................... 31,694 34,281
*Cohen (A.) & Co. P.L.C............................... 2,100 4,543
Colefax & Fowler Group P.L.C.......................... 60,000 86,049
*Colorvision P.L.C.................................... 50,000 0
Community Hospitals Group P.L.C....................... 63,833 503,762
Conrad Ritblat Group P.L.C............................ 64,228 268,620
*Consolidated Coal P.L.C.............................. 92 262
Cornwell Parker P.L.C................................. 78,333 127,404
*Cortecs P.L.C........................................ 85,000 19,750
Cosalt P.L.C.......................................... 30,700 98,634
Countryside Property P.L.C............................ 138,259 247,026
Courtaulds Textiles P.L.C............................. 75,000 165,249
Courts P.L.C.......................................... 110,722 616,542
Cradley Group Holdings P.L.C.......................... 80,000 44,227
Crest Nicholson P.L.C................................. 267,250 674,484
Crestacare P.L.C...................................... 381,864 152,976
*Creston Land & Estates P.L.C......................... 5,000 7,251
Critchley Group P.L.C................................. 7,500 45,969
Cropper (James) P.L.C................................. 22,000 51,117
*Culver Holdings P.L.C................................ 338 181
Cussins Property Group P.L.C.......................... 43,750 59,590
DCS Group P.L.C....................................... 10,000 86,370
Daejan Holdings P.L.C................................. 23,000 450,558
Dairy Crest Group P.L.C............................... 5,000 24,357
Danka Business Systems P.L.C.......................... 15,000 19,710
Dart Group P.L.C...................................... 74,000 237,157
Dawson Group P.L.C.................................... 100,674 250,048
*Dawson International P.L.C........................... 408,769 131,003
*Deanes Holdings P.L.C................................ 4,316 121
Debenham Tewson & Chinnocks Holdings P.L.C............ 89,500 153,455
*Delaney Group P.L.C.................................. 270,000 9,735
Delyn Group P.L.C. ................................... 22,500 32,269
Denby Group P.L.C..................................... 41,237 79,294
Dencora P.L.C......................................... 23,000 75,369
Denmans Electrical P.L.C.............................. 53,568 103,435
Densitron International P.L.C......................... 42,386 24,451
Derwent Valley Holdings P.L.C......................... 90,000 814,825
Development Securities P.L.C.......................... 50,000 212,720
Dewhirst Group P.L.C.................................. 275,760 384,436
Dewhurst P.L.C........................................ 9,000 10,311
Dewhurst P.L.C. Class A Non-Voting.................... 15,500 14,033
*Dialog Corp. P.L.C................................... 115,000 167,692
Diploma P.L.C......................................... 96,000 263,052
Dixon Motors P.L.C.................................... 55,408 95,001
Dolphin Packaging P.L.C............................... 49,110 200,277
Domino Printing Sciences P.L.C........................ 67,187 581,370
Domnick Hunter Group P.L.C............................ 30,000 122,584
*Donelon Tyson P.L.C.................................. 322,588 0
Dorling Kindersley Holdings P.L.C..................... 20,000 120,661
Dowding & Mills P.L.C................................. 336,440 250,688
</TABLE>
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Druck Holdings P.L.C.................................. 8,000 $ 33,010
*Drummond Group P.L.C................................. 26,250 6,415
EBC Group P.L.C....................................... 30,000 35,814
*ERA Group P.L.C...................................... 400,000 57,687
Eadie Holdings P.L.C.................................. 118,000 16,545
East Surrey Holdings P.L.C............................ 36,800 154,793
Eclipse Blinds P.L.C.................................. 85,670 164,734
Edinburgh Fund Managers Group P.L.C................... 61,000 403,206
Elbief P.L.C.......................................... 23,500 5,837
Eldridge Pope & Co. P.L.C............................. 25,000 87,732
Eleco Holdings P.L.C.................................. 104,685 43,615
Electronic Data Processing P.L.C...................... 55,200 62,359
Electronics Boutique P.L.C............................ 150,000 273,411
Ellis & Everard P.L.C................................. 178,260 604,140
Emess P.L.C........................................... 288,250 103,926
English & Overseas Properties P.L.C................... 76,000 110,823
Ennstone P.L.C........................................ 50,000 43,666
Epwin Group P.L.C..................................... 58,000 138,016
Eurocamp P.L.C........................................ 92,974 388,844
Eurocopy P.L.C........................................ 131,000 49,855
Eurodis Electron P.L.C................................ 70,000 93,661
Euromoney Publications P.L.C.......................... 20,000 532,801
European Colour P.L.C................................. 82,090 84,844
European Motor Holdings P.L.C......................... 118,325 123,243
Evans of Leeds P.L.C.................................. 80,000 160,882
Expamet International P.L.C........................... 139,749 258,645
Expro International Group P.L.C....................... 50,000 254,383
FII Group P.L.C....................................... 41,166 17,481
Fairey Group P.L.C.................................... 28,226 177,979
Falcon Holdings P.L.C................................. 5,500 16,128
Farepak P.L.C......................................... 84,300 351,216
*Farringford P.L.C.................................... 30,000 8,893
Fenner P.L.C.......................................... 215,276 393,255
*Ferguson International Holdings P.L.C................ 89,105 78,530
Fife Indmar P.L.C..................................... 28,000 29,388
Fine Art Developments P.L.C........................... 108,000 246,611
Finelist Group P.L.C.................................. 149,000 476,324
Finlay (James) P.L.C.................................. 200,370 252,044
First Choice Holidays................................. 146,470 565,639
First Technology P.L.C................................ 86,350 541,711
Firth (G.M.) Holdings P.L.C........................... 163,080 49,651
Firth Rixson P.L.C.................................... 312,666 370,754
*Flare Group P.L.C.................................... 20,600 3,136
Fletcher King P.L.C................................... 17,500 11,637
Folkes Group P.L.C.................................... 28,000 34,772
Folkes Group P.L.C. Non-Voting........................ 65,500 67,173
Forminster P.L.C...................................... 43,333 45,134
Forth Ports P.L.C..................................... 126,000 1,029,709
*Fortune Oil P.L.C.................................... 609,000 29,276
*Forward Technology Industries P.L.C.................. 84,260 21,265
*Foster (John) & Son P.L.C............................ 27,500 7,932
Frederick Cooper P.L.C................................ 5,796 3,158
French Connection Group P.L.C......................... 25,000 243,366
*French P.L.C......................................... 32,000 18,716
Friendly Hotels P.L.C................................. 51,533 113,956
Frogmore Estates P.L.C................................ 51,000 371,839
Frost Group P.L.C..................................... 175,080 117,831
Fulmar P.L.C.......................................... 32,500 41,663
*GBE International P.L.C.............................. 149,628 12,588
GEI International P.L.C............................... 90,895 35,685
<CAPTION>
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GWR Group P.L.C....................................... 35,698 $ 231,957
Galliford P.L.C....................................... 239,500 79,634
Games Workshop Group P.L.C............................ 8,000 48,072
Garton Engineering P.L.C.............................. 10,248 18,228
Gaskell P.L.C......................................... 36,000 64,609
Gearhouse Group P.L.C................................. 25,000 38,258
Geest P.L.C........................................... 85,000 691,240
Gerrard Group P.L.C................................... 123,860 934,815
Gibbs & Dandy P.L.C................................... 4,500 15,143
Gleeson (M.J.) Group P.L.C............................ 22,471 297,964
Glenchewton P.L.C..................................... 50,000 41,462
Glenmorangie P.L.C.................................... 20,000 187,482
Go-Ahead Group P.L.C.................................. 4,000 56,501
Goode Durrant P.L.C................................... 118,200 858,004
Goodhead Group P.L.C.................................. 36,000 17,594
Gowrings P.L.C........................................ 5,000 9,935
Graham Group P.L.C.................................... 13,000 31,976
Grainger Trust, Ltd................................... 22,000 133,961
Grampian Holdings P.L.C............................... 200,324 369,151
Grantchester Holdings P.L.C........................... 100,000 259,590
Graystone P.L.C....................................... 327,496 146,939
Greenway Holdings P.L.C............................... 60,197 16,881
*Greenwich Resources P.L.C............................ 219,332 28,117
Greggs P.L.C.......................................... 26,000 1,036,359
Greycoat P.L.C........................................ 185,000 760,384
Guiness Peat Group P.L.C.............................. 111,183 94,425
H & C Furnishings P.L.C............................... 126,750 331,062
Haden Maclellan Holdings P.L.C........................ 206,224 198,273
Hall Engineering (Holdings) P.L.C..................... 110,528 297,547
Halstead (James) Group P.L.C.......................... 70,257 219,532
Hambro Countrywide P.L.C.............................. 356,746 868,913
Hamley's P.L.C........................................ 47,500 129,395
Hampden Group P.L.C................................... 25,000 22,233
Hampson Industries P.L.C.............................. 283,463 252,094
*Hampton Trust P.L.C.................................. 232,050 65,072
Hardys & Hansons P.L.C................................ 48,000 181,906
*Hartstone Group P.L.C................................ 800,263 125,029
Harvey Nash Group..................................... 125,000 597,899
Havelock Europa P.L.C................................. 64,250 45,815
*Hawtal Whiting Holdings P.L.C........................ 22,588 15,745
Hawtin P.L.C.......................................... 196,500 77,144
Hay (Norman) P.L.C.................................... 48,000 35,766
Haynes Publishing Group P.L.C......................... 14,703 42,997
Headlam Group P.L.C................................... 110,773 678,952
Heath (Samuel) & Sons P.L.C........................... 7,500 15,623
Helical Bar P.L.C..................................... 35,000 281,824
Hemingway Properties P.L.C............................ 514,095 292,446
Henlys Group P.L.C.................................... 5,931 57,689
Heywood Williams Group P.L.C.......................... 50,400 216,845
Hi-Tech Sports P.L.C.................................. 135,599 39,111
Hicking Pentecost P.L.C............................... 49,096 101,093
Hickson International P.L.C........................... 387,128 328,779
Highbury House Communications P.L.C................... 250,000 107,161
High-Point P.L.C...................................... 57,510 43,313
Hill & Smith Holdings P.L.C........................... 86,850 91,156
Hitachi Credit (UK) P.L.C............................. 7,000 40,885
Hodder Headline P.L.C................................. 61,000 505,841
Hogg Robinson P.L.C................................... 186,000 658,687
*Hollas Group P.L.C................................... 354,000 0
*Holmes & Marchant Group P.L.C........................ 54,000 12,331
Holt (Joseph) P.L.C................................... 6,000 147,822
</TABLE>
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Hopkinsons Group P.L.C................................ 310,557 $ 87,087
*Horace Small Apparel P.L.C........................... 82,500 112,369
*Howard Holdings P.L.C................................ 57,730 62,442
Hunting P.L.C......................................... 223,174 504,239
*Huntingdon Life Sciences Group P.L.C................. 394,550 120,124
IAF Group P.L.C....................................... 30,000 44,467
IMS Group P.L.C....................................... 75,000 229,545
ISA International P.L.C............................... 95,214 66,369
Ideal Hardware P.L.C.................................. 20,000 137,006
Ilion Group P.L.C..................................... 6,000 8,172
Incepta Group P.L.C................................... 176,000 90,248
*Industrial Control Services Group P.L.C.............. 551,666 159,119
Informa Group P.L.C................................... 95,104 561,578
Inn Business Group.................................... 155,303 181,667
*Innovative Technologies Group P.L.C.................. 16,000 7,692
Intelek P.L.C......................................... 79,904 19,206
Intereurope Technology Services P.L.C................. 23,500 35,774
Isotron P.L.C......................................... 30,500 204,047
Ivory & Sime P.L.C.................................... 78,125 284,803
J.& J. Dyson P.L.C.................................... 28,500 34,937
JBA Holdings P.L.C.................................... 50,000 110,967
*JKX Oil and Gas P.L.C................................ 20,533 3,619
Jacobs (John I.) P.L.C................................ 116,000 129,186
Jardine Lloyd Thompson Group P.L.C.................... 342,500 1,292,484
Jarvis Hotels P.L.C................................... 300,000 716,277
Jarvis Porter Group P.L.C............................. 99,894 100,044
John David Sports P.L.C............................... 114,500 240,353
Johnson Group Cleaners P.L.C.......................... 110,535 491,515
Johnston Group P.L.C.................................. 26,000 142,695
Johnston Press P.L.C.................................. 40,000 177,868
Jones Stroud Holdings P.L.C........................... 38,144 109,409
Joseph (Leopold) Holdings P.L.C....................... 14,000 118,338
Jourdan (Thomas) P.L.C................................ 40,000 28,523
*Kalamazoo Computer Group P.L.C....................... 56,120 37,320
Keller Group P.L.C.................................... 110,000 475,034
Kelsey Industries P.L.C............................... 7,500 38,157
*Kenwood Appliances P.L.C............................. 100,892 103,469
Kewill Systems P.L.C.................................. 1,000 20,711
Kier Group P.L.C...................................... 7,094 25,577
Kunick P.L.C.......................................... 420,000 116,095
Laing (John) P.L.C.................................... 99,026 507,777
Laird Group P.L.C..................................... 6,000 24,950
Lambert Fenchurch P.L.C............................... 202,000 281,608
Lambert Howarth Group P.L.C........................... 25,200 92,876
Lambert Smith Hampton P.L.C........................... 3,591 11,595
Lamont Holdings P.L.C................................. 72,231 43,404
*Laura Ashley Holdings P.L.C.......................... 166,100 37,262
Lavendon Group P.L.C.................................. 4,000 25,254
Leeds Group P.L.C..................................... 86,938 63,386
Leicester City P.L.C.................................. 100,000 64,898
Leslie Wise Group P.L.C............................... 107,000 15,431
*Liberty P.L.C........................................ 40,775 111,075
Lilleshall P.L.C...................................... 51,564 47,510
*Limelight Group P.L.C................................ 42,000 38,025
Lincat Group P.L.C.................................... 4,000 23,620
Linden P.L.C.......................................... 37,500 134,302
Linton Park P.L.C..................................... 39,000 203,105
Linx Printing Technologies P.L.C...................... 27,000 68,575
<CAPTION>
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<S> <C> <C>
Lionheart P.L.C....................................... 20,997 $ 1,514
*Lister & Co. P.L.C................................... 41,000 0
Litho Supplies P.L.C.................................. 100,000 250,777
Locker (Thomas) Holdings P.L.C........................ 176,168 52,930
London Clubs International P.L.C...................... 125,000 286,431
London Forfeiting Co.................................. 12,000 10,287
London Scottish Bank P.L.C............................ 263,000 474,113
Lookers P.L.C......................................... 53,160 72,832
Lopex P.L.C........................................... 154,948 135,318
Lorien P.L.C.......................................... 60,000 128,353
*Lovell (Y.J.) Holdings P.L.C......................... 70,932 15,060
Low & Bonar P.L.C..................................... 65,000 167,171
Lowe (Robert H.) & Co. P.L.C.......................... 251,985 25,236
Lyles (S.) P.L.C...................................... 16,000 11,409
Lynx Holdings P.L.C................................... 100,000 260,392
M Y Holdings P.L.C.................................... 23,000 32,986
M.R. Data Management Group P.L.C...................... 123,158 234,846
MFI Furniture Group P.L.C............................. 450,000 270,407
ML Holdings P.L.C..................................... 350,132 255,280
MMT Computing P.L.C................................... 3,000 33,651
MS International P.L.C................................ 71,500 26,924
MSB International P.L.C............................... 16,000 48,072
MacDonald Hotels P.L.C................................ 15,500 52,407
MacFarlane Group Clansman P.L.C....................... 228,287 298,135
Macro 4 P.L.C......................................... 42,500 452,881
Mallett P.L.C......................................... 24,837 44,376
Manganese Bronze Holdings P.L.C....................... 32,184 134,603
Mansfield Brewery P.L.C............................... 131,892 452,278
Marshalls P.L.C....................................... 225,800 662,138
Martin International Holdings P.L.C................... 135,800 52,770
Marylebone Warwick Balfour Group P.L.C................ 41,600 47,662
Matthews (Bernard) P.L.C.............................. 223,742 491,181
McAlpine (Alfred) P.L.C............................... 171,111 597,734
McBride P.L.C......................................... 10,000 18,668
McCarthy & Stone P.L.C................................ 194,968 668,576
McDonnell Information Systems Group P.L.C............. 238,000 109,645
McKay Securities P.L.C................................ 68,500 172,880
McLeod Russel Holdings P.L.C.......................... 149,524 190,481
Meggitt P.L.C......................................... 230,000 670,769
Mentmore Abbey P.L.C.................................. 76,090 163,383
Menzies (John) P.L.C.................................. 5,000 26,600
Merchant Retail Group P.L.C........................... 185,666 145,038
Meristem P.L.C........................................ 84,250 35,776
*Merrydown P.L.C...................................... 59,927 31,209
Metal Bulletin P.L.C.................................. 19,100 489,696
Metalrax Group P.L.C.................................. 358,740 439,759
*Metaltech International P.L.C........................ 401,163 5,464
Mice Group P.L.C...................................... 15,909 26,258
*Micro Focus Group P.L.C.............................. 172,500 433,973
Microgen Holdings P.L.C............................... 88,000 223,504
*Microvitec P.L.C..................................... 100,000 6,009
Mitie Group P.L.C..................................... 250,000 743,118
Molins P.L.C.......................................... 68,000 144,377
*Monument Oil & Gas Holdings P.L.C.................... 262,000 229,858
Moorfield Estates P.L.C............................... 333,333 146,887
Morland & Co. P.L.C................................... 58,580 396,597
Morrison Construction Group P.L.C..................... 5,000 22,794
Moss Brothers Group P.L.C............................. 163,400 488,320
Mowlem (John) & Co. P.L.C............................. 304,026 701,531
Mucklow (A & J) Group P.L.C........................... 175,000 465,500
</TABLE>
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<S> <C> <C>
*NXT P.L.C............................................ 50,000 $ 394,593
Nestor - BNA P.L.C.................................... 180,200 1,241,643
Network Technology P.L.C.............................. 15,000 7,932
Newcastle United P.L.C................................ 48,000 53,072
*Newmarket Venture Capital P.L.C...................... 80,000 3,205
Nichols (J.N.) (Vimto) P.L.C.......................... 66,550 172,224
Nightfreight P.L.C.................................... 125,000 70,105
Norbain P.L.C......................................... 17,000 62,246
Norcros P.L.C......................................... 292,857 387,154
Nord Anglia Education P.L.C........................... 5,000 12,018
Northamber P.L.C...................................... 75,888 156,869
Northern Leisure P.L.C................................ 4,976 11,562
Novara P.L.C.......................................... 88,591 72,399
*OEM P.L.C............................................ 12,000 5,673
OMI International P.L.C............................... 173,158 13,180
Oasis Stores.......................................... 13,000 49,474
Ocean Wilson Holdings, Ltd............................ 84,250 135,678
*Oceonics Group P.L.C................................. 52,760 16,909
Ockham Holdings P.L.C................................. 122,000 143,688
*Offshore Tool & Energy Corporation................... 13,213 3,070
Old English Pub Company P.L.C......................... 25,000 64,096
*Oliver Group P.L.C................................... 68,000 24,517
Orbis P.L.C........................................... 133,333 76,915
Osborne & Little P.L.C................................ 11,200 91,081
*Osprey Communications P.L.C.......................... 23,524 3,204
*Owen & Robinson P.L.C................................ 9,485 114
Owen (H.R.) P.L.C..................................... 30,000 79,800
Oxford Instruments P.L.C.............................. 99,838 339,960
*Oxford Molecular Group P.L.C......................... 41,440 33,866
P & P P.L.C........................................... 177,250 752,672
*PGA European Tour Courses P.L.C...................... 80,000 38,458
PSD Group............................................. 43,500 332,841
PWS Holdings P.L.C.................................... 134,428 32,311
Pace Micro Technology P.L.C........................... 27,000 78,526
Paragon Group of Companies P.L.C...................... 47,000 182,635
Parity P.L.C.......................................... 56,250 544,869
Park Food Group P.L.C................................. 291,600 147,188
Partco Group P.L.C.................................... 50,000 195,494
Partners Holdings P.L.C............................... 40,000 19,229
Partridge Fine Arts P.L.C............................. 58,000 63,664
Paterson Zochonis P.L.C............................... 22,000 120,565
Paterson Zochonis P.L.C. Non-Voting................... 27,000 125,469
Pendragon P.L.C....................................... 95,750 258,531
*Peptide Therapeutics Group P.L.C..................... 35,000 52,719
Perkins Foods P.L.C................................... 280,000 583,277
Perry Group P.L.C..................................... 47,666 119,535
Peterhouse Group P.L.C................................ 45,427 109,917
Pex P.L.C............................................. 85,517 3,083
Photo-Me International P.L.C.......................... 129,071 1,520,161
Pifco Holdings P.L.C.................................. 32,666 85,845
Pittards P.L.C........................................ 60,985 36,646
*Pittencrieff Resources P.L.C......................... 74,000 26,680
*Plantation & General Investment P.L.C................ 70,623 45,833
Plysu P.L.C........................................... 86,858 205,990
Polypipe P.L.C........................................ 10,281 32,702
Portmeirion Potteries (Holdings) P.L.C................ 22,856 60,431
Portsmouth & Sunderland Newspapers P.L.C.............. 26,346 886,559
Porvair P.L.C......................................... 35,000 87,492
*Powderject Pharmaceuticals P.L.C..................... 4,000 51,277
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Powerscreen International P.L.C...................... 150,000 $ 392,991
Precoat International P.L.C........................... 25,000 51,477
*Premier Consolidated Oilfields P.L.C................. 152,488 47,037
*Premier Land P.L.C................................... 83,333 9,681
Pressac Holdings P.L.C................................ 176,166 563,169
*Prestwick Holdings P.L.C............................. 90,000 19,469
Princedale Group P.L.C................................ 250,000 36,054
Property Partnerships P.L.C........................... 10,000 12,819
Proudfoot P.L.C....................................... 202,646 73,874
Prowting P.L.C........................................ 157,630 285,424
Psion P.L.C........................................... 1,000 12,499
QS Holdings P.L.C..................................... 95,775 52,947
*Quadrant Group P.L.C................................. 5,662 5,398
*Quality Software Products Holdings P.L.C............. 5,000 41,062
Queensborough Holdings P.L.C.......................... 53,000 14,862
Quick Group P.L.C..................................... 68,366 90,379
Quintain Estates & Development P.L.C.................. 57,000 149,337
RCO Holdings P.L.C.................................... 27,000 87,179
RJB Mining P.L.C...................................... 16,000 13,076
*RMS Communications P.L.C............................. 15,000 5,168
Radamec Group P.L.C................................... 35,000 23,836
Raglan Property P.L.C................................. 104,631 44,850
Ransom (William) & Son P.L.C.......................... 30,000 21,873
Rea Brothers Group P.L.C.............................. 106,562 92,208
Readicut International P.L.C.......................... 434,774 233,390
Real Time Control P.L.C............................... 10,000 78,518
*Reece P.L.C.......................................... 283,750 5,684
Reed Executive P.L.C.................................. 116,500 210,016
Reg Vardy P.L.C....................................... 103,597 485,564
Regal Hotel Group P.L.C............................... 550,000 229,145
Regent Inns P.L.C..................................... 85,000 250,617
Reliance Security Group P.L.C......................... 9,000 32,088
Relyon Group P.L.C.................................... 40,777 192,757
Renishaw P.L.C........................................ 146,806 1,011,547
Renold P.L.C.......................................... 144,000 421,113
Ricardo Group P.L.C................................... 84,709 390,248
*Richards P.L.C....................................... 61,500 9,362
Richardsons Westgarth P.L.C........................... 79,911 49,940
*Richmond Oil & Gas P.L.C............................. 220,000 0
*Rodime P.L.C......................................... 261,000 5,228
Rolfe & Nolan P.L.C................................... 24,000 82,684
Roseby's P.L.C........................................ 33,500 85,352
*Ross Group P.L.C..................................... 13,200 529
Rotork P.L.C.......................................... 155,017 1,096,689
Rowe Evans Investments P.L.C.......................... 86,917 83,566
Roxboro Group P.L.C................................... 5,000 20,070
Roxspur P.L.C......................................... 167,464 80,504
Royal Doulton P.L.C................................... 40,000 82,364
Russell (Alexander) P.L.C............................. 47,500 112,269
Rutland Trust P.L.C................................... 544,800 373,204
S & U P.L.C........................................... 21,140 102,133
SEP Industrial Holdings P.L.C......................... 200,000 32,849
SGB Group P.L.C....................................... 9,000 45,428
SIG P.L.C............................................. 103,200 279,473
Safeland P.L.C........................................ 25,000 12,619
Salvesen (Christian) P.L.C............................ 100,000 161,843
Sanderson Bramall Motor Group P.L.C................... 68,166 280,175
Sanderson Electronics P.L.C........................... 90,000 234,352
Saville (J.) Gordon Group P.L.C....................... 379,926 453,554
</TABLE>
248
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Savills P.L.C......................................... 104,000 $ 247,476
Scapa Group P.L.C..................................... 50,000 106,961
*Scotia Holdings P.L.C................................ 6,000 11,970
Scottish Metropolitan Property P.L.C.................. 262,499 391,187
Secure Trust Group P.L.C.............................. 27,118 235,739
Seet P.L.C............................................ 7,000 2,860
Semple Cochrane P.L.C................................. 22,000 140,131
Sennah Rubber Co., Ltd. (Guernsey).................... 1,214 105,048
Servomex P.L.C........................................ 30,000 87,732
Seton Healthcare Group P.L.C.......................... 4,863 61,678
Severfield-Reeve P.L.C................................ 20,000 116,976
Shaftesbury P.L.C..................................... 112,500 428,144
Shani Group P.L.C..................................... 30,000 20,431
Sharpe & Fisher P.L.C................................. 47,126 155,184
*Sheffield United P.L.C............................... 3,000 793
Sherwood Group P.L.C.................................. 270,000 86,530
*Shield Diagnostics Group P.L.C....................... 5,000 34,852
Shiloh P.L.C.......................................... 14,500 30,089
*ShopRite Group P.L.C................................. 204,780 73,832
Silentnight Holdings P.L.C............................ 84,300 303,937
Simon Engineering P.L.C............................... 348,089 340,247
Sims Food Group P.L.C................................. 62,100 56,223
Sinclair (William) Holdings P.L.C..................... 53,000 97,242
Sindall (William) P.L.C............................... 60,500 270,964
Singapore Para Rubber Estates P.L.C................... 26,000 34,580
Singer & Friedlander Group P.L.C...................... 364,000 746,595
Sirdar P.L.C.......................................... 120,545 123,624
*Sketchley P.L.C...................................... 141,800 98,841
Smart (J.) & Co. (Contractors) P.L.C.................. 22,500 93,741
*Soco International P.L.C............................. 9,000 7,499
South Staffordshire Water Holdings P.L.C.............. 10,800 684,453
Southampton Leisure Holdings P.L.C.................... 15,000 9,735
Southnews P.L.C....................................... 5,000 48,273
Spring Ram Corp. P.L.C................................ 866,000 138,769
Springwood P.L.C...................................... 37,500 80,822
St. Modwen Properties P.L.C........................... 50,000 63,696
Stadium Group P.L.C................................... 5,903 9,506
Stanley (Charles) Group P.L.C......................... 19,200 205,365
Stanley Leisure Organisation P.L.C.................... 221,258 886,365
Stat-Plus Group P.L.C................................. 58,000 138,480
Staveley Industries P.L.C............................. 209,500 226,601
Sterling Industries P.L.C............................. 76,000 265,487
Stirling Group P.L.C.................................. 193,011 58,764
*Stoddard Sekers International P.L.C.................. 179,100 16,502
Stoves Group P.L.C.................................... 10,000 12,499
Stratagem Group P.L.C................................. 70,315 98,589
Stylo P.L.C........................................... 127,367 72,453
Sutcliffe Speakman P.L.C.............................. 180,432 29,635
Swallowfield P.L.C.................................... 15,000 17,066
Swan (John) and Sons P.L.C............................ 1,000 5,208
Swan Hill Group P.L.C................................. 109,500 117,561
Syltone P.L.C......................................... 50,400 90,857
Symonds P.L.C......................................... 145,000 95,263
T & S Stores P.L.C.................................... 138,335 816,852
TI Group P.L.C........................................ 59,560 38,176
*Tadpole Technology P.L.C............................. 100,000 30,846
*Talbex Group P.L.C................................... 38,500 1,234
Tamaris P.L.C......................................... 5,161 2,605
*Tandem Group P.L.C................................... 327,365 19,671
Tay Homes P.L.C....................................... 52,629 94,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Taylor Nelson AGB P.L.C............................... 300,475 $ 686,115
Telemetrix P.L.C...................................... 165,708 225,702
Telspec P.L.C......................................... 25,000 39,860
Tex Holdings P.L.C.................................... 14,000 9,871
Thorntons P.L.C....................................... 158,000 462,055
Thorpe (F.W.) P.L.C................................... 24,000 44,803
Tibbett & Britten Group P.L.C......................... 86,123 724,523
Tie Rack P.L.C........................................ 125,000 86,130
Tilbury Douglas P.L.C................................. 164,369 741,433
Time Products P.L.C................................... 90,242 144,605
Tinsley (Eliza) Group P.L.C........................... 19,844 26,711
Tomkinsons P.L.C...................................... 14,800 45,060
Topps Tiles P.L.C..................................... 12,000 40,861
Tops Estates P.L.C.................................... 10,088 22,065
Torday & Carlisle P.L.C............................... 97,500 39,059
Torex P.L.C........................................... 50,000 140,211
Tottenham Hotspur P.L.C............................... 150,000 151,428
Town Centre Securities (New) P.L.C.................... 142,137 151,462
*Toye & Co. P.L.C..................................... 2,000 1,827
*Trace Computers P.L.C................................ 33,552 65,861
*Trafficmaster P.L.C.................................. 5,000 119,580
Transport Development Group P.L.C..................... 19,782 64,507
Transtec P.L.C........................................ 601,525 279,528
Trifast P.L.C......................................... 1,997 22,464
Try Group P.L.C....................................... 152,247 74,408
Tudor P.L.C........................................... 25,000 27,441
Ugland International Holdings P.L.C................... 219,500 328,867
Ulster Television, Ltd................................ 115,602 363,074
*Union P.L.C.......................................... 94,000 31,632
*United Carriers Group P.L.C.......................... 70,000 28,603
United Industries P.L.C............................... 98,470 120,709
United Overseas Group P.L.C........................... 64,209 25,722
*Vanguard Medica Group P.L.C.......................... 8,000 33,971
Vardon P.L.C.......................................... 188,000 534,724
Vega Group P.L.C...................................... 10,000 91,337
*Vert (Jacques) P.L.C................................. 45,000 12,619
Vibroplant P.L.C...................................... 83,100 79,896
Victoria Carpet Holdings P.L.C........................ 12,000 19,229
*Videologic Group P.L.C............................... 285,366 274,364
Viglen Technology P.L.C............................... 13,791 7,514
Vitec Group P.L.C..................................... 4,500 42,832
Volex Group P.L.C..................................... 58,801 439,552
Vosper Thornycroft Holdings P.L.C..................... 20,000 314,874
Vymura P.L.C.......................................... 50,000 74,111
WF Electrical P.L.C................................... 32,935 241,183
WSP Group P.L.C....................................... 50,000 160,241
*Wace Group P.L.C..................................... 195,000 276,536
Waddington (John) P.L.C............................... 207,285 621,131
Wagon Industrial Holdings P.L.C....................... 80,000 328,815
Walker Greenbank P.L.C................................ 144,462 103,012
Ward Holdings P.L.C................................... 130,000 71,868
Wardle Storeys P.L.C.................................. 46,300 309,750
Warner Estate Holdings P.L.C.......................... 70,000 266,401
Warner Howard P.L.C................................... 43,817 142,883
*Water Hall Group P.L.C............................... 11,772 3,773
Waterman Partnership Holdings P.L.C................... 45,000 51,558
Wates City of London Properties P.L.C................. 230,000 350,127
Watson & Philip P.L.C................................. 101,504 143,946
*Waverly Mining Finance P.L.C......................... 42,500 3,235
Wellington Holdings P.L.C............................. 9,000 9,735
</TABLE>
249
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Wembley P.L.C......................................... 6,053 $ 34,578
Wescol Group P.L.C.................................... 125,000 80,121
West Trust P.L.C...................................... 145,194 141,923
Westbury P.L.C........................................ 202,522 941,118
Western Selection P.L.C............................... 35,525 4,839
Whatman P.L.C......................................... 48,387 511,736
Whitecroft P.L.C...................................... 105,000 103,476
Whittard of Chelsea P.L.C............................. 30,000 33,170
Widney P.L.C.......................................... 39,528 25,019
*Wiggins Group P.L.C.................................. 1,148,266 285,199
*Willoughby's Consolidated P.L.C...................... 9,000 17,667
Wilshaw P.L.C......................................... 198,409 146,249
Wilson (Connolly) Holdings P.L.C...................... 51,000 118,907
Windsor P.L.C......................................... 83,441 17,382
Wintrust P.L.C........................................ 22,500 137,907
Wolstenholme Rink P.L.C............................... 15,500 108,042
Wolverhampton & Dudley Breweries P.L.C................ 48,550 447,722
Worthington Group P.L.C............................... 102,653 50,170
Wyevale Garden Centres P.L.C.......................... 5,000 35,293
Wyko Group P.L.C...................................... 155,545 299,096
Wyndeham Press Group P.L.C............................ 63,066 280,940
Yates Brothers Wine Lodges P.L.C...................... 3,007 22,647
Yorklyde P.L.C........................................ 25,555 34,193
Yorkshire Group P.L.C................................. 82,504 149,392
Young & Co's Brewery P.L.C............................ 10,000 84,127
Young & Co's Brewery P.L.C. Class A................... 5,234 67,096
Young (H.) Holdings P.L.C............................. 49,542 59,143
Yule Catto & Co. P.L.C................................ 7,044 39,844
Zetters Group P.L.C................................... 14,500 29,044
Zotefoams P.L.C....................................... 12,000 25,190
------------
TOTAL COMMON STOCKS
(Cost $115,330,209).................................. 127,475,559
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $39,268)...................................... 22,554
------------
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
BONDS -- (0.0%)
Viglen Technology P.L.C. 6.375%, 09/01/00
(Cost $9)........................................... 0 $ 37
------------
TOTAL -- UNITED KINGDOM
(Cost $115,369,486).................................. 127,498,150
------------
SHARES
------------
UNITED STATES -- (1.0%)
COMMON STOCKS -- (1.0%)
Omnicom Group, Inc.
(Cost $191,598)..................................... 19,093 1,336,510
------------
NETHERLANDS -- (0.0%)
COMMON STOCKS -- (0.0%)
*Baan Company NV
(Cost $31,018)...................................... 1,035 11,850
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $81).......................................... 74
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT
------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $1,555,000) to be
repurchased at $1,529,781.
(Cost $1,529,000)................................... $ 1,529 1,529,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $117,121,183)++................................ $130,375,584
------------
------------
- --------------------
+ 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.
250
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FRANCE -- (22.6%)
COMMON STOCKS -- (22.6%)
Agricole de la Crau................................... 449 $ 37,558
Airfeu SA............................................. 600 22,773
Apem SA............................................... 1,000 39,733
Assystem SA........................................... 2,657 63,898
Aurea................................................. 600 8,212
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 2,367 316,795
Bains de Mer et du Cercle des Etrangers a Monaco...... 4,615 831,432
Banque Transatlantique................................ 3,030 144,945
Bazar de l'Hotel de Ville SA.......................... 9,950 1,170,429
Berger Levrault SA.................................... 476 74,657
Boiron SA............................................. 3,800 246,346
Bollore Technologies SA............................... 2,245 426,052
Brioche Pasquier SA................................... 2,600 275,936
Burelle SA............................................ 4,030 240,187
CEGID SA.............................................. 4,500 743,428
COM 1 SA.............................................. 450 9,081
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 255 15,998
*Cambodge............................................. 1,605 809,733
Carbone Lorraine...................................... 33,245 1,681,751
Cegedim SA............................................ 6,400 267,676
*Centrest (Societe Developpement Regional du
Centre-Est)......................................... 1,705 178
Change de la Bourse SA................................ 614 20,031
*Christian Dalloz SA.................................. 2,022 114,168
Cie Fonciere Klepierre................................ 400 34,505
Cie Francaise des Ferrailles.......................... 10,576 400,866
Cofigeo (Cie Financiere Geo).......................... 400 62,277
Compagnie Financiere Saint-Honore..................... 1,188 80,121
Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA........................................... 2,992 1,066,806
Consortium International de Diffusion et de
Representation Sante Cider Sante.................... 600 26,224
Continentale d'Assurances SA.......................... 810 77,495
Continentale d'Entreprises SA......................... 20,087 712,007
Costimex SA........................................... 700 11,418
Courtois SA........................................... 100 9,201
Credit Foncier et Communal d'Alsace et de Lorraine.... 840 137,017
Cristalleries de Baccarat............................. 1,567 212,182
Damart SA............................................. 22,900 1,762,312
Darblay SA............................................ 305 38,174
Deveaux SA............................................ 1,040 90,311
Didot-Bottin.......................................... 810 141,440
Dietrich et Cie....................................... 20,775 1,253,390
Distriborg Groupe SA.................................. 1,050 58,627
Docks des Petroles d'Ambes............................ 100 9,724
Docks Lyonnais........................................ 1,110 29,248
Dynaction SA.......................................... 10,660 284,228
EMI France SA......................................... 300 71,014
Electricite de Strasbourg............................. 7,928 1,038,686
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Emin Leydier Emballages SA........................... 1,056 $ 50,129
*Emprunt Conjoint de Banque du Batiment et des Travaux
Publics et de Financiere de Gestion et
d'Investissement SA................................. 29,814 236,921
Europe 1 Communication................................ 4,782 1,352,028
Exacompta Clairefontaine SA........................... 1,600 143,876
Expand SA............................................. 2,060 63,305
*Explosifs et de Produits Chimiques................... 524 86,568
Faienceries Sarreguemines Digoin et Vitry-le-Francois
SA.................................................. 330 15,772
*Fichet-Bauche........................................ 910 8,697
Fimalac SA............................................ 20,820 2,322,815
Financiere et Immobiliere de l'Etang de Berre et de la
Mediterranee SA..................................... 4,000 10,247
Fininfo SA............................................ 976 150,016
Fives-Lille........................................... 6,526 484,479
Fonciere Lyonnaise SA................................. 753 99,993
Fonderies Franco Belge................................ 492 44,705
Fraikin SA............................................ 3,284 175,123
Francaise des Magasins Uniprix........................ 1,314 109,915
France-Africaine de Recherches Petrolieres
Francarep........................................... 3,864 185,851
Fromagerie F. Paul Renard............................. 200 36,659
Fructivie SA.......................................... 34 3,377
*GCI (Groupe Chatellier Industrie SA)................. 7,258 835
GFI Industries SA..................................... 6,845 264,816
Gantois Series A...................................... 647 95,523
Gascogne SA........................................... 6,472 542,728
Gaumont............................................... 14,500 909,680
Gautier France SA..................................... 1,680 80,541
#Generale de Geophysique SA........................... 14,976 690,564
*Generale de Transport et d'Industrie................. 11,890 957,287
Gevelot............................................... 1,792 146,151
Gifrer Barbezat SA.................................... 550 35,310
Grands Moulins de Strasbourg.......................... 110 25,534
Groupe Guillin SA..................................... 1,200 25,973
Groupe Norbert Dentressangle SA....................... 6,320 169,171
Groupe Zannier SA..................................... 4,100 92,171
Guerbet SA............................................ 1,990 38,369
Guitel-Etienne-Mobilor SA............................. 160 12,020
Guyenne et Gascogne SA................................ 5,200 2,657,688
Hoteliere Lutetia Concorde............................ 2,505 209,540
Hotels et Casinos de Deauville........................ 2,055 313,714
ICBT Groupe SA........................................ 1,200 13,300
*IMS International Metal Service SA................... 12,630 121,232
Immobanque............................................ 1,098 124,681
Immobiliere Marseillaise.............................. 656 1,164,692
Industrie des Transports.............................. 600 34,505
Industrielle et Financiere d'Entreprise SA............ 300 15,998
Industrielle et Financiere d'Ingenierie SA............ 28,100 671,370
Informatique et Realite SA............................ 2,643 105,015
#Intertechnique SA.................................... 4,150 1,411,134
*Jet Multimedia SA.................................... 505 58,189
Lacroix SA, Saint Herbalin............................ 593 12,742
</TABLE>
251
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Laurent Bouillet...................................... 480 $ 36,387
Lectra Systemes SA.................................... 19,192 143,482
Legris Industries SA.................................. 29,350 1,212,201
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 1,600 196,742
MRM................................................... 1,424 61,791
Manitou BF SA......................................... 2,773 435,211
Marie Brizard & Roger International SA................ 266 21,416
Matussiere et Forest SA............................... 13,600 105,230
Mediascience SA....................................... 150 7,372
Metaleurop SA......................................... 58,400 378,594
Michel Thierry SA..................................... 700 95,809
Montupet SA........................................... 32,450 1,146,835
*#Moulinex SA......................................... 48,900 563,456
Musee Grevin SA....................................... 822 12,205
NAF NAF SA............................................ 4,200 38,821
Nord-Est SA........................................... 2,707 77,243
Nordon & Cie.......................................... 800 57,718
Olipar................................................ 250 2,141
PSB Industries SA..................................... 1,240 105,605
Papiers Peints (Societe Francaise des)................ 200 23,631
Parisienne de Chauffage Urbain........................ 200 13,614
*Paul Predault SA..................................... 2,199 49,458
*Pier Import Europe SA................................ 12,100 106,276
Plastic Omnium........................................ 11,036 1,072,582
Primisteres Reynoird SA............................... 800 29,110
*Radiall SA........................................... 1,340 83,507
Robertet SA........................................... 269 36,143
Rocamat............................................... 5,579 7,059
#Rochefortaise Communication SA....................... 10,420 1,167,971
*Rochette............................................. 84,470 242,004
Rougier SA............................................ 2,040 113,051
Rouleau-Guichard SA................................... 300 10,446
Rue Imperiale de Lyon................................. 450 522,282
SAMSE SA.............................................. 1,100 264,424
SDCS (Societe Dauphin Office Technique d'Affichage)... 2,192 194,703
SDR de Bretagne SA.................................... 714 6,644
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................. 450 11,669
SOGEPAG (Societe Exploitation de Parces et Gauges).... 379 12,483
Sabate SA............................................. 600 75,911
Sabeton............................................... 1,350 148,498
*Saupiquet............................................ 4,500 266,787
Sechilienne........................................... 220 47,410
Securidev SA.......................................... 1,500 15,684
*Selectibanque SA..................................... 7,100 72,382
Sidergie SA........................................... 800 76,120
*Signaux et d'Equipements Electroniques SA............ 23,983 1,354,150
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,064 460,379
Skis Rossignol SA..................................... 41,668 609,958
Smoby SA.............................................. 500 27,656
Societe des Immeubles de France....................... 105,056 1,867,408
Societe Financiere Immobail SA........................ 4,807 206,579
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sodero (Societe de Developpement Regional de
l'Ouest)............................................ 4,181 $ 11,585
Sogeparc SA........................................... 4,312 297,572
Soie SA............................................... 390 14,069
Solitaire Produits d'Entretien Francais Prodef........ 300 25,738
*Sommer-Allibert SA................................... 12,900 364,186
#Sophia SA............................................ 11,700 480,782
Sopra SA.............................................. 6,900 356,406
Strafor Facom SA...................................... 29,703 2,702,023
Sucriere de Pithiviers-le-Vieil....................... 1,825 595,370
Sylea SA.............................................. 4,159 253,094
Taittinger SA......................................... 2,540 1,654,593
Tanneries de France................................... 158 6,773
Teisseire France SA................................... 700 16,102
Touax (Touage Investissement SA)...................... 7,208 301,470
Trouvay et Cauvin SA.................................. 1,500 18,178
Unilog SA............................................. 632 287,459
Union Generale du Nord SA............................. 994 43,860
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 31,700 1,113,700
Vermandoise de Sucreries.............................. 323 270,186
Via Banque............................................ 20,692 588,709
Viel et Cie........................................... 3,135 71,460
Vilmorin et Cie SA.................................... 2,349 181,754
Virax................................................. 954 38,803
Virbac SA............................................. 1,713 101,557
Vulcanic SA........................................... 400 13,802
------------
TOTAL COMMON STOCKS
(Cost $45,837,842)................................... 55,452,688
------------
RIGHTS/WARRANTS -- (0.0%)
*Fonciere Lyonnaise SA Warrants 07/30/02.............. 4,515 2,974
*Continental d'Enterprises SA Warrants 10/31/01....... 2,707 4,387
*Union du Credit Bail Immobiliere Unibail Warrants
09/01/99............................................ 548 1,604
------------
TOTAL RIGHTS/WARRANTS
(Cost $5,608)........................................ 8,965
------------
TOTAL -- FRANCE
(Cost $45,843,450)................................... 55,461,653
------------
GERMANY -- (21.4%)
COMMON STOCKS -- (21.4%)
Aachener Strassenbahn und Energieversorguns AG........ 161 32,490
Agrob AG.............................................. 290 77,929
Aigner (Etienne) AG................................... 600 85,008
Alexanderwerk AG...................................... 60 2,572
Alsen AG, Hamburg..................................... 16,400 336,101
Alte Leipziger Versicherungs AG Series C.............. 1,043 676,154
Amira Verwaltungs AG.................................. 200 99,333
Andreae-Noris Zahn AG, Anzag.......................... 27,200 711,014
Anterra Vermoegensverwaltungs AG...................... 1,350 101,633
Apoca Parking AG...................................... 1,650 125,944
Augsburger Kammgarn Spinnerei AG...................... 660 8,833
BDAG Balcke-Duerr AG.................................. 3,291 412,932
Barmag AG............................................. 13,000 231,080
Bayerische Handelsbank AG............................. 25,050 712,436
</TABLE>
252
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Berliner Elektro Holding AG........................... 11,061 $ 121,091
Berliner Kindl-Brauerei AG............................ 790 140,425
Binding-Brauerei AG................................... 2,925 672,850
Biotest AG............................................ 8,060 91,861
Blaue Quellen Mineral und Heilbrunnen AG.............. 267 136,797
Bochum-Gelsenkirchener Strassenbahnen AG.............. 224 31,151
Boewe Systec AG....................................... 3,000 90,341
Brau und Brunnen AG................................... 4,995 352,540
Bremer Strassenbahn AG................................ 123 13,504
Bremer Woll-Kaemmerei AG.............................. 1,996 69,916
Brillant AG........................................... 1,310 235,597
Buckau (Walther) AG................................... 780 83,189
Ceag Industrie-Aktien und Anlagen AG.................. 2,067 300,417
Concordia Bau und Boden AG............................ 43,288 289,679
DSL Holdings AG....................................... 58,500 929,756
Data Modul AG......................................... 2,400 47,680
Deutsche Babcock AG, Oberhausen....................... 2,900 145,549
Deutsche Hypoteken Bank AG, Frankfurt/Hamburg......... 27,411 816,844
Deutsche Spezialglas AG............................... 1,600 250,946
Deutsche Steinzeug Cremer & Breuer AG................. 43,600 478,680
*Deutsche Verkehrs-Bank AG............................ 4,750 427,131
*Deutsche Verkehrs-Bank AG Em 99...................... 593 51,464
Dierig Holding AG..................................... 1,500 167,820
Doag-Holding AG....................................... 750 43,131
Dortmunder Actien-Brauerei AG......................... 1,650 60,384
Duerr Beteiligungs AG................................. 31,750 790,115
Duerrkopp Adler AG.................................... 400 40,988
Dyckerhoff & Widmann AG............................... 4,919 462,902
Dyckerhoff AG......................................... 975 267,101
Eichbaum-Brauereien AG, Mannheim...................... 672 68,860
Erlus Baustoffwerke AG................................ 297 78,879
*Erste Kulmbacher Actien Brauerei AG.................. 432 13,280
Escada AG............................................. 2,052 268,199
Flender (A. Friedrich) AG............................. 900 99,751
Forst Ebnath AG....................................... 460 7,870
*Fraenkisches Ueberlandwerk AG, Nuernberg............. 658 120,402
Fuchs Petrolub AG Oel & Chemie........................ 2,231 170,291
Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos)....... 55 4,083
Gerresheimer Glas AG.................................. 23,800 373,283
Gilde Brauerei AG..................................... 1,200 464,251
Gildemeister AG....................................... 1,400 90,027
Goldschmidt AG........................................ 3,200 1,777,068
Hagen Batterie AG..................................... 870 85,510
Hamborner AG.......................................... 2,100 498,442
Hamburger Hochbahn AG Series A........................ 1,800 97,869
#Harpener AG.......................................... 7,100 1,492,189
*Hasen-Braeu AG....................................... 100 43,184
Heilit & Woerner Bau AG............................... 425 31,329
Heilit & Woerner Bau AG............................... 1,701 124,501
Heinrich Industrie & Handels AG....................... 350 84,172
Herlitz AG............................................ 3,462 114,027
Holsten-Brauerei AG, Hamburg.......................... 3,077 620,947
Horten AG............................................. 3,380 427,633
Hucke AG.............................................. 8,300 78,541
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
ICN (Immobilien Consult Nuernberg AG)................. 707 $ 406,585
IFA Hotel & Touristik AG.............................. 7,000 117,108
Iwka AG............................................... 62,240 1,269,035
Jacobsen (W.) AG, Kiel................................ 37 45,651
#KSB AG............................................... 2,387 376,876
KWS Kleinwanzlebener Saatzucht AG..................... 1,650 1,014,450
Kali und Salz Beteiligungs AG......................... 12,950 1,726,432
Kampa-Haus AG......................................... 12,375 236,144
Kaufring AG........................................... 2,203 62,194
Kempinski AG, Berlin.................................. 686 200,841
Keramag Keramische Werke AG........................... 1,300 856,354
Kiekert AG............................................ 12,950 449,549
Kloeckner Humboldt-Deutz AG........................... 16,750 124,349
Kloeckner-Werke AG.................................... 23,800 1,518,016
Km-Europa Metal AG.................................... 26,440 1,451,411
Kolb und Schuele AG................................... 10,000 49,039
#Kolbenschmidt Pierburg AG, Duesseldorf............... 37,500 760,681
Kraftuebertragungswerke Rheinfelden AG................ 4,684 1,444,802
Kraftwerk Altwuerttemberg AG.......................... 125 81,035
Kromschroder (G.) AG.................................. 765 197,573
Kupferberg (Christian Adalbert) & Cie KG A.A.......... 151 77,838
Lehnkering AG......................................... 1,530 199,973
Leifheit AG........................................... 12,500 420,858
Leonische Drahtwerke AG............................... 2,500 841,716
MG Vermoegensverwaltungs AG........................... 3,734 183,502
*MLF Holding fuer Umwelttechnologie AG................ 165 0
*MLF Holding fuer Umwelttechnologie AG................ 33 0
Maihak (H.) AG........................................ 143 16,747
Main Kraftwerke AG.................................... 1,172 468,124
Mannheimer Versicherung AG............................ 2,758 1,441,895
Markt und Kuehlhallen AG.............................. 1,400 248,855
Maternus-Kliniken AG, Bad Oyenhausen.................. 2,400 23,087
Mauser Waldeck AG..................................... 1,667 156,873
Mittelschwaebische Ueberlandzentrale AG............... 355 181,884
Moenus Textilmaschinen AG............................. 5,250 29,094
Moksel (A.) AG........................................ 15,800 98,298
Mueller-Weingarten AG................................. 11,580 135,611
Neue Baumwoll-Spinnerei ud Weberei Hof AG............. 12,170 110,708
Niedermayr Papierwarenfabrik AG....................... 60 12,767
Norddeutsche Steingutfabrik AG........................ 5,960 76,028
Nuernberger Hypothekenbank AG......................... 26,260 906,104
*Otavi Minen AG....................................... 600 50,503
Otto Reichelt AG...................................... 11,950 106,208
Parkbrauerei AG....................................... 300 21,644
*Patrizier-Braeu AG................................... 75 4,705
Pfaff (G.M.) AG....................................... 80,000 152,241
Pfleiderer AG......................................... 8,300 108,482
Phoenix AG, Hamburg................................... 37,500 603,839
*Plettac AG........................................... 5,554 304,884
Progress-Werk Oberkirch AG............................ 500 85,217
Reichelbraeu AG, Kulmbach............................. 550 83,387
Reichelt (F.) AG...................................... 1,290 63,395
</TABLE>
253
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Reiter Ingolstadt Spinnereimaschinen AG............... 1,200 $ 99,199
Renk AG............................................... 19,400 169,378
Rheinboden Hypothekenbank AG.......................... 2,650 537,548
Rheinmetall Berlin AG................................. 45,000 884,586
Rhoen Klinikum AG..................................... 6,600 627,993
Rothenberger AG....................................... 300 21,644
Salamander AG, Kornwesteim............................ 5,172 822,000
Schmalbach-Lubeca AG.................................. 1,000 146,385
Schneider Rundfunkwerke AG............................ 934 183,601
Schwaebische Zellstoff AG............................. 1,925 255,625
Scor Deutschland Rueckversicherungs AG................ 1,872 229,014
Sektkellerei Schloss Wachenheim AG.................... 15,120 159,677
Sinalco AG............................................ 110 67,285
Sinn AG............................................... 2,789 454,928
Sinner AG, Karlsruhe.................................. 416 63,071
Sloman Neptune AG..................................... 700 5,087
Stern-Brauerei Carl Funke AG.......................... 1,100 62,109
Stoehr & Co. AG....................................... 16,000 92,014
Stollwerck AG......................................... 1,018 383,195
Strabag AG............................................ 2,000 115,017
*Stumpf (Otto) AG..................................... 2,275 14,629
Stuttgarter Hofbraeu AG............................... 1,800 442,293
Sued-Chemie AG........................................ 29,146 1,142,825
Sueddeutsche Bodencreditbank AG....................... 36,010 1,174,755
Terrex Handels AG..................................... 1,250 261,402
Triton-Belco AG, Hamburg.............................. 1,186 25,422
*Tucher Braeu AG...................................... 750 32,937
VBH (Vereinigter Baubeschlag-Handel) AG............... 9,415 154,557
VGT AG................................................ 293 90,377
VK Muehlen AG......................................... 1,312 90,541
Varta AG.............................................. 5,500 715,981
Vereinigte Deutsche Nickel-Werke AG................... 1,380 246,743
Voegele (Joseph) AG................................... 750 109,789
Vossloh AG............................................ 15,900 420,617
Walter AG............................................. 13,500 379,713
Wanderer-Werke AG..................................... 1,437 147,249
Weinig (Michael) AG................................... 23,400 464,878
Weru AG............................................... 150 40,779
Westag & Getalit AG................................... 700 123,696
Wickrather Bauelemente AG............................. 445 37,224
Wuerttembergische Hypotheken Bank AG.................. 17,922 1,124,365
Wuerttembergische Lebensversicherung AG............... 4,430 194,546
Wuerttembergische Metallwarenfabrik AG................ 30,330 526,441
Wuerttembergische und Badische Versicherungs AG....... 2,240 257,638
Wuerzburger Hofbraeu AG............................... 133 38,243
Zanders Feinpapiere AG................................ 4,450 302,443
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn
AG.................................................. 2,091 612,183
------------
TOTAL COMMON STOCKS
(Cost $48,475,930)................................... 52,612,110
------------
PREFERRED STOCKS -- (0.0%)
Westag & Getalit
(Cost $38,373)...................................... 260 46,216
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Triton Belco Rights 06/14/99
(Cost $0)........................................... 1,186 $ 521
------------
TOTAL -- GERMANY
(Cost $48,514,303)................................... 52,658,847
------------
SWITZERLAND -- (12.5%)
COMMON STOCKS -- (12.5%)
AFG Arbonia Foster Holding AG, Arbon.................. 522 255,256
Accumulatoren-Fabrik Oerlikon, Zuerich................ 30 20,085
Afipa SA, Vevey....................................... 20 4,017
Afipa SA, Vevey Series A.............................. 80 19,691
Aletsch AG, Moerel.................................... 50 124,710
Ascom Holding AG, Bern................................ 907 1,736,572
Attisholz Holding AG, Attisholz....................... 1,079 646,608
BHB Beteiligungs und Finanzgesellschaft............... 150 19,691
BKW FMB Energie AG, Bern.............................. 600 1,023,938
Bank Sarasin & Cie Series B, Basel.................... 274 464,001
Banque Cantonale de Geneve............................ 840 158,238
Banque Cantonale du Jura.............................. 450 38,398
Banque Privee Edmond de Rothschild SA, Geneve......... 120 610,424
Basellandschaftliche Kantonalbank..................... 500 185,753
Basler Kantonalbank................................... 1,000 198,880
Bobst SA, Prilly...................................... 100 123,398
Bobst SA, Prilly (Namen).............................. 90 50,803
*Bon Appetit Holding AG............................... 275 162,452
Bossard Holding AG, Zug............................... 635 274,668
Brig Visp-Zermatt (Eisenbahngesellschaft) Zermatt..... 370 72,857
Bucher Holding AG, Niederweningen..................... 671 583,563
CKW (Centralschweizerische Kraftwerke), Luzern........ 670 505,733
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating)..................................... 1,500 105,594
Calida Holding AG..................................... 396 87,334
Canon (Schweiz) AG, Dietlikon......................... 3,706 219,534
Carlo Gavazzi Holding AG, Baar Series B............... 83 52,027
Chocoladefabriken Lindt & Spruengli AG, Kilchberg..... 2 50,278
Cie Financiere Tradition.............................. 1,250 77,944
Coop Bank, Basel...................................... 941 701,027
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen).................................. 330 74,728
Daetwyler Holding AG, Atldorf......................... 348 535,638
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.......................................... 8,390 1,318,914
Edipresse SA, Lausanne................................ 694 193,596
Eichhof Holding AG.................................... 188 151,779
Energie Electrique du Simplon SA...................... 350 45,946
Escor AG, Duedingen................................... 496 13,673
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 1,602 587,792
Financiere Michelin, Granges-Paccot................... 637 288,494
Forbo Holding AG, Eglisau............................. 1,100 451,255
Fuchs Petrolub AG..................................... 2,001 149,399
</TABLE>
254
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fuchs Petrolub AG Non-Voting Preferred................ 2,001 $ 154,981
Galenica Holding AG, Bern Series B.................... 405 196,980
Generale d'Affichage, Geneve.......................... 290 144,664
Generali (Switzerland) Holdings, Adliswil............. 1,670 563,415
Golay-Buchel Holding SA, Lausanne..................... 40 33,606
Gornergrat Monte Rasa-Bahnen Zermatt.................. 70 64,784
Gurit-Heberlein AG, Wattwil SG........................ 225 635,038
HPI Holding SA, Yverdon-les-Bains..................... 200 39,382
Hero AG............................................... 3,040 375,129
Industrieholding Cham AG, Cham........................ 216 158,789
Jelmoli Holding AG, Zuerich........................... 1,521 1,417,642
Jelmoli Holding AG, Zuerich (Namen)................... 2,835 534,052
Kardex AG, Zuerich.................................... 693 191,043
Kardex AG, Zuerich (Participating).................... 610 162,557
Keramik Holding AG Laufen, Laufen..................... 600 175,251
Kraftwerk Laufenburg, Laufenburg...................... 8,265 1,266,714
Kuehne & Nagel International AG, Schindellegi......... 162 116,965
Lem Holding SA, Plan-les-Ovates....................... 270 47,849
Loeb Holding AG, Bern (Participating)................. 620 120,050
Logitech International SA, Apples..................... 4,805 649,695
Maag Holding AG, Zuerich.............................. 820 182,458
Mikron Holding AG, Biel............................... 1,224 284,403
#Moevenpick-Holding, Zuerich.......................... 1,320 606,486
Netstal-Maschinen AG, Nafaels......................... 2 1,982
Nextrom Holding SA.................................... 277 46,363
Omnium Geneve SA, Geneve.............................. 110 36
Orell Fuessli Graphische Betriebe AG, Zuerich......... 240 356,015
Oz Holding, Zuerich................................... 440 402,880
Parco Industriale e Immobiliare SA.................... 600 1,378
Phoenix Mecano AG, Stein am Rhein..................... 2,749 1,308,163
Phonak Holding AG Series B............................ 230 279,286
Publicitas Holding SA, Lausanne....................... 1,099 670,856
Sarna Kunststoff Holding AG, Sarnen................... 176 215,447
Schweizerhall Holding AG, Basel....................... 140 113,946
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 132 255,591
Siegfried AG, Zofingen................................ 856 736,028
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 320 198,906
Sihl Zuercher Papierfabriek an der Sihl, Zuerich...... 10 2,166
Sika Finanz AG, Baar.................................. 800 238,131
Sika Finanz AG, Baar (Namen).......................... 750 37,413
Sopracenerina......................................... 2,409 199,231
Suedelektra Holding AG, Zug........................... 520 348,139
Swisslog Holding AG................................... 2,500 295,367
Tege SA............................................... 1,800 28,237
UMS Schweizerische Metallwerke Holding AG, Bern....... 2,560 211,719
Unigestion Holding, Geneve............................ 2,891 127,137
Usego Hofer Curti AG, Volketswil...................... 2,040 543,632
Vaudoise Assurances Holding, Lausanne................. 45 109,286
Villars Holding SA, Fribourg.......................... 150 29,635
Von Moos Holding AG, Luzern........................... 7,000 77,649
Von Roll Holding AG, Gerlafingen...................... 32,024 651,608
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
WMH Walter Meier Holding AG, Staefa................... 50 $ 43,320
Zehnder Holding AG.................................... 193 93,616
Zellweger Luwa AG, Uster.............................. 804 544,609
Zschokke Holding SA, Geneve........................... 230 62,952
*Zueblin Holding AG................................... 70 634
*Zueblin Holdings AG Em 99............................ 23 208
Zuercher Ziegeleien Holding, Zuerich.................. 1,415 1,151,668
Zuger Kantonalbank.................................... 545 804,874
------------
TOTAL COMMON STOCKS
(Cost $21,901,322)................................... 30,694,729
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $16,106)...................................... 16,101
------------
RIGHTS/WARRANTS -- (0.0%)
*Carlo Gavazzi Holding AG Warrants 06/30/99
(Cost $0)........................................... 415 191
------------
TOTAL -- SWITZERLAND
(Cost $21,917,428)................................... 30,711,021
------------
ITALY -- (11.1%)
COMMON STOCKS -- (11.1%)
Acquedotto de Ferrari Galliera SpA.................... 40,000 161,024
Allianz Subalpina SpA................................. 55,125 541,809
*Ansaldo Trasporti SpA................................ 169,533 223,354
*Auschem SpA (In Liquidation)......................... 82,000 0
*Banca Nazionale dell'Agricoltura SpA................. 170,000 444,384
#Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 120,000 388,967
#Bassetti SpA......................................... 61,500 395,797
*Bastogi SpA.......................................... 1,183,000 82,876
*Binda SpA............................................ 1,299,375 25,271
Boero (Bartolomeo) SpA................................ 8,925 65,231
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma................................................ 8,600 81,380
*Brioschi Finanziaria SpA, Milano..................... 175,000 32,388
CALP (Cristalleria Artistica la Piana SpA)............ 48,000 143,541
CAMFIN (Cam Finanziaria).............................. 28,700 51,015
*CEMENTIR (Cementarie del Tirreno SpA), Roma.......... 480,219 472,999
CMI SpA............................................... 51,606 129,503
Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica...................................... 297,550 286,854
*Calcestruzzo ed il Cemento SpA....................... 464,040 490,057
Caltagirone SpA....................................... 343,085 333,622
*Cartiere Burgo SpA................................... 42,500 273,296
Cementeria di Augusta SpA............................. 105,000 189,386
#Cia Assicuratrice Unipol SpA......................... 199,333 869,130
Comau SpA............................................. 121,500 410,344
Condotta Acque Potabili SpA, Torino................... 28,000 114,181
*Cucirini SpA......................................... 30,000 23,526
*Dalmine SpA.......................................... 1,976,700 454,708
#Danieli & C.Officine Meccaniche SpA.................. 66,500 396,338
*Dataconsyst C.G.S. SpA, Monza........................ 220 0
*Del Favero SpA....................................... 86,000 0
*FMC (Fabbrica Milanese Condutorri SpA)............... 25,000 0
</TABLE>
255
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)........ 171,500 $ 401,681
Falck (Acciaierie & Ferriere Lombarde)................ 160,800 1,193,751
Finarte Casa d'Aste SpA (Milano)...................... 56,266 105,310
*Finarte Partecipazioni Pro Arte SpA.................. 162,693 92,542
*Finrex Finanziaria Immobiliaria SpA (In
Liquidation)........................................ 36,000 0
*Firs-Italiana de Assicurazioni Compagnia di
Assicurazioni Eriassicurazioni (In Liquidation)..... 90,000 0
*Fochi (Filippo) SpA.................................. 216,000 0
*Fornara Societa Finanziaria e di Participazioni
SpA................................................. 310,000 0
Gabetti Holding SpA................................... 55,000 75,336
*Gerolimich SpA (In Liquidation)...................... 297,400 0
Gewiss SpA............................................ 73,900 1,390,870
*Gottardo Ruffoni SpA................................. 279,832 0
*Grassetto SpA........................................ 279,125 0
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA)......... 34,500 189,747
Immobiliare Metanopoli SpA............................ 1,062,500 1,144,289
*Impregilo SpA........................................ 532,000 401,623
Industria Macchine Automatique SpA.................... 23,000 152,471
Industrie Zignago S. Margherita SpA................... 52,000 425,730
Ipi SpA............................................... 141,400 250,604
Linificio & Canapificio Nazionale SpA................. 88,000 37,726
Maffei SpA............................................ 52,500 66,422
Magneti Marelli SpA................................... 287,666 383,503
*Mandelli SpA......................................... 41,000 0
Manifattura Lane Gaetano Marzotto & Figli SpA......... 138,000 1,093,749
Marangoni SpA, Rovereto............................... 34,303 109,037
#Merloni Elettrodomestici SpA......................... 155,000 648,278
Milano Assicurazioni SpA.............................. 264,057 745,471
*Monrif SpA........................................... 210,000 141,408
Montefibre SpA, Milano................................ 275,267 154,848
*Necchi SpA........................................... 164,250 59,594
*Perlier SpA.......................................... 100,700 29,482
Pininfarina SpA....................................... 62,570 1,301,933
#Poligrafici Editoriale SpA........................... 226,000 439,532
*Premafin Finanziaria SpA............................. 716,000 455,183
*Premaimm SpA......................................... 179,000 76,737
*Ratti SpA............................................ 128,400 198,699
Recordati Industria Chimica E Farmaceutica SpA........ 24,000 217,069
*Reno de Medici SpA, Milano........................... 100,500 237,489
*Risanamento di Napoli SpA............................ 22,200 471,214
Riva Finanziaria SpA.................................. 47,600 146,825
*Rodriquez SpA........................................ 41,250 0
#SAES Getters SpA..................................... 14,750 124,616
*SISA (Societa Imballaggi Speciali Asti SpA).......... 65,000 46,556
SMI STA Metallurgica Italiana SpA..................... 565,280 296,122
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 85,000 50,215
#Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali) SpA....................................... 175,500 976,244
Saiag SpA (Industrie Articoli Gomma).................. 30,000 155,273
*Schiapparelli 1824 SpA, Milano....................... 15,000 2,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Simint SpA............................................ 79,988 $ 553,672
Snia BPD SpA.......................................... 65,600 82,310
#Sogefi SpA........................................... 182,500 454,161
Sondel Nordelettrica SpA.............................. 191,992 596,224
#Sorin Biomedica SpA.................................. 275,610 878,950
*Stayer SpA........................................... 22,500 24,350
Stefanel SpA.......................................... 180,800 283,569
Terme Demaniali di Acqui SpA.......................... 39,900 39,091
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste.................................. 113,898 0
#UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale)..................................... 108,600 1,158,243
*Unione Manifatture SpA (In Liquidation).............. 156,000 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation)........................................ 539,000 0
Vianini Industria SpA................................. 101,000 83,429
Vianini Lavori SpA.................................... 347,600 650,582
Vittoria Assicurazioni SpA............................ 51,500 207,857
Zucchi (Vincenzo) SpA................................. 89,000 655,137
------------
TOTAL -- ITALY
(Cost $29,131,864)................................... 27,238,535
------------
SPAIN -- (9.1%)
COMMON STOCKS -- (9.1%)
Ahorro Familiar SA.................................... 6,051 90,159
Amper SA.............................................. 28,400 445,133
*#Asturiana del Zinc SA............................... 33,100 385,898
Azkoyen SA............................................ 26,250 708,139
*BAMI SA (Inmobiliara de Construcciones y Terrenos)... 28,360 127,510
Banco de Castilla..................................... 19,309 333,130
Banco de Credito Balear SA............................ 35,424 670,418
Banco de Galicia SA................................... 75,500 1,240,992
Banco de Valencia SA.................................. 154,050 1,314,381
Banco de Vasconia SA.................................. 89,000 977,122
Banco Guipuzcoano SA.................................. 19,268 249,820
Banco Zaragozano SA................................... 37,598 1,158,549
Bodegas y Bebedas SA.................................. 39,504 425,449
CAF (Construcciones y Auxiliar de Ferrocarriles SA)... 7,500 197,620
*CAI (Corporacion Alimentaria Iberica SA)............. 11,200 0
*CARTEMAR (Cartera de Valores del Mar SA)............. 4,016 20,576
*CINSA (Compania de Inversiones SA)................... 1,400 6,661
Campofrio Alimentacion S.A............................ 69,600 1,297,568
Construcciones Lain SA................................ 202,472 561,023
*El Aguila SA......................................... 39,200 361,103
Elecnor SA............................................ 6,100 197,725
Empresa Nacional de Celulosa SA....................... 8,200 145,329
Energia e Industrias Aragonesas SA.................... 12,340 70,578
*#Ercros SA........................................... 33,200 29,507
*Ercros SA Issue 99................................... 15,318 13,614
*Erpo SA.............................................. 3,289 1,426
Espanola del Zinc SA.................................. 9,750 53,318
*Estacionamientos Urbanos SA.......................... 4,200 0
*#Europistas Concesionaria Espanola SA................ 174,943 1,110,337
*#Filo SA............................................. 38,297 72,880
</TABLE>
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<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Filo SA Class A Issue 99............................. 40,549 $ 77,165
*Grupo Hispano-Suiza SA............................... 535,500 229,569
Hullas del Coto Cortes................................ 8,666 131,388
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas.......................................... 135,210 1,063,154
*Inbesos SA........................................... 8,050 28,787
Indo Internacional SA................................. 5,600 254,710
Inmobiliaria del Sur SA............................... 1,380 62,046
*Inmobiliaria Urbis SA................................ 37,291 531,069
Inmobiliaria Zabalburu SA............................. 23,200 213,957
Koipe SA, San Sebastian............................... 16,800 483,072
LSB (La Seda de Barcelona SA) Series B................ 25,200 120,944
Lingotes Especiales SA................................ 7,360 83,729
Marco Iberica Distribucion de Ediciones Midesa........ 5,600 124,427
*Max Center Leisa SA.................................. 3,000 5,184
Nicolas Correa SA..................................... 7,875 81,436
*Nueva Montana Quijano SA Series B.................... 80,500 60,603
Papelera de Navarra SA................................ 6,000 131,747
*Pascual Hermanos SA.................................. 7,610 4,854
*Pescanova SA......................................... 16,252 169,593
Portland Valderrivas SA............................... 18,225 586,932
Prim SA............................................... 3,100 32,252
Prosegur Cia de Seguridad SA.......................... 7,000 78,170
*#Radiotronica SA..................................... 3,205 177,110
*RadioTronica SA Em 99................................ 320 17,683
*Reno de Medici SpA................................... 147,140 353,857
*Sotogrande SA........................................ 62,786 229,774
#Tableros de Fibras SA Series B....................... 21,876 267,852
Tavex Algodonera SA................................... 8,800 85,573
Transportes Ferroviarios Especiales Tranfesa.......... 21,000 274,472
Uniland Cementera SA.................................. 5,750 352,318
Unipapel SA........................................... 20,968 261,996
Uralita SA............................................ 101,725 939,200
Vidrala SA, Alava..................................... 47,040 426,930
Viscofan Industria Navarra de Envolturas Celulosicas
S.A................................................. 97,492 1,212,049
*#Zeltia SA........................................... 54,960 900,503
------------
TOTAL COMMON STOCKS
(Cost $15,058,138)................................... 22,320,070
------------
RIGHTS/WARRANTS -- (0.0%)
*Tableros de Fibras SA Rights 06/24/99................ 21,876 1,830
*Zeltia SA Rights 06/21/99............................ 54,960 58,616
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 60,446
------------
TOTAL -- SPAIN
(Cost $15,058,138)................................... 22,380,516
------------
NETHERLANDS -- (8.9%)
COMMON STOCKS -- (8.9%)
A.I.R. Holdings NV.................................... 1,399 46,810
ACF Holding NV (Certificate).......................... 12,757 192,079
Aalberts Industries NV................................ 24,593 540,008
Accell Group NV....................................... 4,662 65,807
Atag Group NV......................................... 4,630 79,153
Athlon Groep NV....................................... 34,250 873,816
Bam Groep NV.......................................... 5,295 321,117
Batenburg Beheer NV................................... 1,000 88,877
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Beers NV.............................................. 16,625 $ 747,480
Begemann Groep NV..................................... 11,451 127,515
*Begemann Groep NV Series B........................... 13,451 37,271
Boskalis Westminster NV............................... 46,876 695,999
Cindu International NV................................ 3,500 120,402
Content Beheer........................................ 12,043 430,026
Delft Instruments NV.................................. 13,064 150,258
Econosto NV........................................... 16,811 195,992
Eriks Holdings NV..................................... 4,000 223,760
GTI Holding........................................... 18,535 374,041
#Gamma Holding NV..................................... 14,879 668,978
Gemeenschappeljk Bezit Crown van Gelder NV............ 12,000 173,780
Geveke NV............................................. 7,860 357,504
Grolsche NV........................................... 32,100 839,102
Hoek's (W.A.) Machine & Zuurstoffafabriek NV.......... 14,850 577,616
*Hollandia Industriele Maatschappij NV................ 520 22,836
Hollandsche Beton Groep NV............................ 52,152 670,727
Internatio-Mueller NV................................. 27,400 567,264
Kas-Associatie NV..................................... 7,730 452,219
Kempen & Co. NV....................................... 21,232 1,141,100
Koninklijke Ahrend NV................................. 31,344 566,983
Koninklijke Frans Maas Groep NV....................... 11,663 359,751
Koninklijke Ten Cate NV............................... 9,707 346,613
Krasnapolsky Hotels & Restaurants NV.................. 3,230 245,869
Landre & Glinderman NV................................ 2,254 77,775
MacIntosh NV.......................................... 15,053 409,229
NBM-Amstelland NV..................................... 58,192 1,070,891
NKF Holding NV........................................ 13,396 439,119
Nagron Nationaal Grondbezit NV........................ 15,316 379,545
Nederlandsche Apparatenfabriek........................ 14,000 297,162
Nedlloyd Groep NV, Rotterdam.......................... 22,900 545,934
Norit NV.............................................. 24,731 186,185
Otra NV............................................... 23,000 348,711
Polynorm NV........................................... 3,545 215,729
Reesink NV............................................ 2,050 97,315
Roto Smeets de Boer NV................................ 1,000 33,407
Rubber Cultuur Maatschappij Amsterdam NV.............. 40,800 88,308
Samas-Groep NV, Zaandam............................... 22,112 298,255
Schuitema NV, Amersfoort.............................. 300 799,891
Schuttersveld NV...................................... 20,596 325,184
Smit Internationale NV................................ 18,582 423,563
Sphinx NV............................................. 18,968 183,456
*Textielgroep Twenthe NV.............................. 1,000 86,681
Twentsche Kabel Holding NV............................ 16,541 539,617
Ubbink NV............................................. 1,500 50,189
Unique International NV............................... 10,477 239,911
Van der Mollen Holding NV............................. 17,821 1,162,750
*Van Dorp Groep NV.................................... 3,327 54,964
*Van Heek-Tweka NV.................................... 3,880 16,634
Vredestein NV......................................... 15,514 158,972
Wegener Arcade NV .................................... 69,015 1,028,319
------------
TOTAL COMMON STOCKS
(Cost $12,151,397)................................... 21,858,449
------------
RIGHTS/WARRANTS -- (0.0%)
*Aalberts Industries NV Rights 07/15/99............... 24,593 0
*Begemann Groep NV Rights 06/02/99.................... 11,451 0
</TABLE>
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<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Content Beheer Rights 06/02/99....................... 12,043 $ 0
*Hollandsche Beton Groep NV Rights 06/02/99........... 52,152 0
*Kas-associate NV Rights Open Pay Date................ 7,730 0
*NBM Amstelland NV Rights 06/02/99.................... 58,192 0
*Norit NV Rights 06/21/99............................. 24,731 0
*Smit International NV Rights 06/28/99................ 18,582 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $12,151,397)................................... 21,858,449
------------
SWEDEN -- (6.1%)
COMMON STOCKS -- (6.1%)
Active I Malmoe AB Series A........................... 4,160 72,784
*Active I Malmoe AB Series B.......................... 4,160 72,784
#Allgon AB Series B................................... 65,400 785,716
Alma Industri & Handel AB Series B.................... 5,200 97,045
*Althin Medical AB Series B........................... 4,800 26,314
Anders Dioes AB....................................... 28,800 163,932
Angpannefoereningen AB Series B....................... 10,800 141,719
*Argonaut AB Series A................................. 81,000 56,687
B & N Bylock & Nordsjoefrakt AB Series B.............. 41,800 73,621
BPA AB Series A....................................... 74,000 259,806
BPA AB Series B....................................... 56,700 185,179
Beijer AB Series B.................................... 11,700 146,023
Berg (C.F.) & Co. AB Series B......................... 6,200 13,379
Bong Ljungdahl AB..................................... 6,000 52,138
Boras Waefveri AB Series B............................ 8,600 46,645
Capona AB............................................. 19,000 75,350
Carbo AB.............................................. 11,100 223,985
Catena AB Series A.................................... 66,700 626,285
#Celsius Industrier AB Series B....................... 60,100 750,082
Concordia Maritime AB Series B........................ 37,300 52,208
Eldon AB Series B..................................... 21,600 332,566
Enator AB............................................. 60,100 1,517,689
Enea Data AB Class B.................................. 8,000 133,437
Esselte AB Series A................................... 40,100 608,048
Esselte AB Series B................................... 34,500 531,182
Evidentia Fastigheter AB Series A..................... 16,120 90,252
Evidentia Fastigheter AB Series B..................... 1,000 5,599
FFNS Gruppen AB Series B.............................. 23,450 172,319
*Fagerlid Industrier AB............................... 8,600 15,047
Fastighets AB Tornet.................................. 10,800 147,387
Fastighits AB Celtica................................. 5,800 32,473
Finnveden AB.......................................... 18,100 268,122
*Firefly AB........................................... 8,400 7,348
*#Frontec AB Series B................................. 18,200 76,423
Garphyttan Industrier AB.............................. 39,000 520,859
#Getinge Industrier AB Series B....................... 39,736 602,529
Geveko AB Series B.................................... 8,300 98,748
Gorthon Lines AB Series B............................. 41,800 144,317
Hexagon AB Series B................................... 3,572 66,663
ICB Shipping AB Series B.............................. 61,500 380,191
Industrifoervaltnings AB Skandigen.................... 13,300 38,628
*Intelligent Micro Systems Data AB.................... 3,400 14,673
Iro AB................................................ 11,800 128,002
*JP Bank Series A..................................... 14,000 56,338
*JP Bank Series B..................................... 8,000 32,659
Jacobson and Widmark AB............................... 13,400 98,468
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Kjessler & Mannerstrale AB........................... 8,500 $ 49,572
*Klippans Finpappersbruk AB........................... 5,800 17,251
*Lifco AB............................................. 7,947 34,297
Lindex AB............................................. 16,100 434,738
*Meda AB Series A..................................... 2,100 18,616
Monark Stiga AB....................................... 21,700 83,527
NCC AB Series B....................................... 10,300 107,525
*NH Nordiska Holding AB............................... 17,000 17,846
Nobelpharma AB........................................ 45,460 657,509
Nolato AB Series B.................................... 30,600 349,782
OEM International AB Series B......................... 7,100 87,784
#Piren AB............................................. 16,860 107,178
Platzer Bygg AB Series B.............................. 36,000 42,411
Prifast AB............................................ 19,000 161,781
Rottneros Bruk AB..................................... 366,600 254,425
*Scandiaconsult AB.................................... 14,300 101,746
Scribona AB Series A.................................. 40,100 116,932
Scribona AB Series B.................................. 31,700 91,329
Segerstroem & Svensson AB............................. 15,200 54,075
Sifo Group AB......................................... 40,100 238,542
Sifo Group AB, New Shares............................. 31,700 195,968
Spendrups Bryggeri AB Series B........................ 19,900 83,561
Stena Line AB Series B................................ 128,000 152,286
Svedala Industri...................................... 60,000 976,283
Sweco AB Series B..................................... 23,450 87,527
*Tivox AB Series B.................................... 7,200 11,925
*Wallenstam Byggnads AB Series B...................... 16,700 81,812
Westergyllen AB Series B.............................. 4,300 56,676
Wihlborg & Son AB Series B............................ 83,500 94,473
Zeteco AB Series B.................................... 10,400 160,125
------------
TOTAL COMMON STOCKS
(Cost $13,463,621)................................... 14,969,151
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $16,725)...................................... 16,520
------------
RIGHTS/WARRANTS -- (0.0%)
*Humlegarden Fast Series B Rights 06/08/99............ 23,450 7,960
*NCC AB Series A Rights 05/13/99...................... 10,300 3,460
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 11,420
------------
TOTAL -- SWEDEN
(Cost $13,480,346)................................... 14,997,091
------------
BELGIUM -- (4.4%)
COMMON STOCKS -- (4.4%)
*Abfin SA............................................. 2,560 0
Afrifina.............................................. 3,480 664,067
BMT NV................................................ 2,040 341,287
Banque Belgo-Zairoise Belgolaise SA................... 1,155 217,382
Banque Nationale de Belgique.......................... 710 1,161,829
Belge des Betons...................................... 425 187,974
Belgo Katanga NPV..................................... 408 375,842
Belgo Katanga NPV V.V.P.R............................. 136 122,437
CFE (Compagnie Francois d'Entreprises)................ 2,080 380,602
CMB (Cie Martime Belge)............................... 500 21,435
Carrieres Unies Porphyre.............................. 20 17,901
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Chimique et Metallurgique Campine, Beerse............ 370 $ 36,908
City Hotels SA........................................ 1,290 157,814
Cofinimmo SA.......................................... 4,763 547,826
*Cokeries & Houilleres d'Anderlues.................... 100 5,228
Commerciale de Brasserie SA COBRHA.................... 115 53,220
Creyf's SA............................................ 16,070 388,148
*Creyf's SA Interim Strip VVPR........................ 4,070 85
Deceuninck Plastics Industries SA..................... 6,370 1,798,344
*Electrorail SA (Reunies d'Electricite & de
Transports)......................................... 11,416 13,488
Engrais Rosier SA..................................... 655 68,487
Floridienne NV........................................ 2,033 111,388
Ford Motor Co. SA Belgium............................. 1,110 145,775
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA)..................................... 5,875 1,523
Glaces de Charleroi................................... 70 230,923
Ibel (Nouvelle)....................................... 2,655 179,058
Immobel (Cie Immobiliere de Belgique SA).............. 10,600 687,175
*Intercomfina SA...................................... 11,000 460
Mecaniver SA, Bruxelles............................... 128 39,482
Metiers Automatiques Picanol.......................... 403 155,911
*PCB SA Bruxelles..................................... 6,504 27,203
*Papeteries de Catala SA.............................. 315 51,711
*Plantations Nord-Sumatra SA.......................... 650 74,353
*Recticel SA.......................................... 8,450 105,141
SABCA (Sa Belge de Constructions Aeronautiques)....... 4,280 167,820
*SCF SA............................................... 380 1,788
*SCF VVPR Shares...................................... 2,470 10,072
SIPEF (Societe Internationale de Plantations & de
Finance) Strip VVPR................................. 370 8
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 1,545 188,040
Sait Radioholland..................................... 6,088 107,580
Sait Radioholland (Precompte Reduit).................. 152 2,591
Sapec SA.............................................. 3,635 186,239
*Sapec SA VVPR........................................ 75 39
Sidro................................................. 4,040 302,035
Spadel NPV............................................ 325 339,823
Spector Photo Group SA................................ 3,688 119,542
Surongo SA............................................ 20 5,437
Telinfo SA............................................ 3,448 434,795
*Telinfo SA V.V.P.R................................... 1,158 24
Ter Beke NV........................................... 2,212 138,773
UNIBRA................................................ 1,600 146,385
Uco Textiles NV....................................... 2,124 209,873
------------
TOTAL -- BELGIUM
(Cost $7,990,415).................................... 10,731,271
------------
DENMARK -- (1.1%)
COMMON STOCKS -- (1.1%)
Aarhus Oliefabrik A.S. Aeries A....................... 640 16,663
Alm Brand A.S. Series B............................... 2,000 36,590
Amtssparekassen Fyn A.S............................... 388 17,692
Bang & Olufsen Holding A.S. Series B.................. 2,437 159,636
Broedrene Hartmann A.S. Series B...................... 121 16,432
Coloplast A.S. Series B............................... 2,187 224,680
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Crisplant Industries A.S.............................. 960 $ 56,338
D'Hooge Schouw NV..................................... 680 25,360
DFDS A.S., Copenhagen................................. 100 62,626
Dampskibsselsk et Torm A.S............................ 360 12,627
Danske Traelastko..................................... 896 67,461
East Asiatic Co., Ltd................................. 4,283 43,398
Ejendamsselskabet Norden A.S.......................... 958 42,469
Falck A.S............................................. 2,370 171,803
Fih A.S. Series B..................................... 3,090 60,011
Fluegger A.S. Series B................................ 658 15,742
GN Great Nordic, Ltd.................................. 15,000 502,412
Hoejgaard Holding A.S. Series B....................... 126 11,526
Holm (Jacob) & Sonner Series B........................ 2,254 36,796
Incentive A.S......................................... 1,085 49,625
Kansas Ehrvervsbeklaedning Odense A.S. Series B....... 688 33,404
Kjobenhavns Sommer Tivoli A.S......................... 30 6,460
Korn-Og Foderstof Kompagnet A.S....................... 2,428 49,546
Lauritzen (J.) Holding Series B....................... 483 49,621
Martin Gruppen A.S.................................... 318 8,055
Neg Micon A.S......................................... 536 64,117
Nordiske Kabel og Traadfabrikker Holding A.S.......... 1,498 96,975
Per Aarsleff A.S. Series B............................ 425 17,405
Radiometer A.S. Series B.............................. 1,803 85,003
Sanistal A.S. Series B................................ 176 6,192
#Sas Danmark A.S...................................... 9,400 107,815
Spar Nord Holding..................................... 1,103 38,652
Superfos A.S.......................................... 6,178 86,075
Sydbank A.S........................................... 1,742 67,417
Thorkild Kristensen................................... 527 48,208
Topdanmark A.S........................................ 784 127,435
Vest-Wood A.S......................................... 396 26,750
Vt Holdings Shares A.................................. 44 1,579
Vt Holdings Shares B.................................. 396 14,768
Wessel & Vett Magasin du Nord A.S. Series C........... 602 30,576
------------
TOTAL COMMON STOCKS
(Cost $2,523,361).................................... 2,595,940
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $2,384)....................................... 2,359
------------
TOTAL -- DENMARK
(Cost $2,525,745).................................... 2,598,299
------------
IRELAND -- (0.9%)
COMMON STOCKS -- (0.9%)
Abbey P.L.C........................................... 11,619 48,596
Adare Printing Group P.L.C............................ 4,166 27,443
Anglo Irish Bank Corp. P.L.C.......................... 78,687 213,917
Ardagh P.L.C.......................................... 13,676 30,387
Arnotts P.L.C......................................... 5,311 42,482
Barlo Group P.L.C..................................... 51,047 46,436
Clondalkin Group P.L.C................................ 12,750 93,321
*Dragon Oil P.L.C..................................... 104,167 29,953
*Dunloe Ewart P.L.C................................... 135,918 56,669
Glanbia P.L.C......................................... 87,756 149,566
Golden Vale P.L.C..................................... 47,353 53,474
Green Proper Co....................................... 33,017 191,602
Greencore Group P.L.C................................. 57,511 210,469
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Heiton Holdings P.L.C................................. 14,060 $ 41,899
IWP International P.L.C............................... 21,361 51,371
Irish Continental Group P.L.C......................... 7,871 106,167
Jurys Hotel Group P.L.C............................... 13,290 116,728
Kingspan Group P.L.C.................................. 49,938 138,372
Laws Group P.L.C...................................... 34,340 138,239
Ryan Hotels P.L.C..................................... 22,095 19,637
*Tullow Oil P.L.C..................................... 71,044 56,456
United Drug P.L.C..................................... 8,016 52,804
Waterford Wedgwood P.L.C.............................. 220,752 230,820
------------
TOTAL -- IRELAND
(Cost $2,093,293).................................... 2,146,808
------------
NORWAY -- (0.7%)
COMMON STOCKS -- (0.7%)
Ask Proxima........................................... 8,260 49,223
Bergensbanken ASA..................................... 2,480 37,418
Braathens S.A.F.E. ASA................................ 6,440 23,679
Det. Sondenfjelds-Norske Dampskibsselskab ASA Series
A................................................... 7,420 49,862
Dyno Industrier ASA................................... 5,110 86,818
Ekornes ASA........................................... 6,660 55,310
Elkem ASA............................................. 9,850 156,111
Elkjoep ASA........................................... 7,150 101,534
Farstad Shipping ASA.................................. 9,060 24,123
Hafslund ASA.......................................... 13,650 81,342
Kongsberg Gruppen ASA................................. 4,800 66,945
Kverneland ASA........................................ 1,940 47,965
Leif Hoegh & Co. ASA.................................. 6,000 82,921
#NCL Holding ASA...................................... 47,640 140,739
Narvesen Asa.......................................... 2,000 46,912
Nera ASA.............................................. 19,210 45,546
Nordlandsbanken ASA................................... 1,270 33,493
Olav Thon Eiendomsselskap ASA......................... 2,370 70,616
Prosafe ASA........................................... 5,140 48,226
Rieber and Son ASA Series A........................... 7,960 60,555
Selmer ASA............................................ 4,450 39,495
Smedvig ASA........................................... 8,240 92,983
*Steen and Stroem ASA................................. 5,570 79,450
Storli ASA Series A................................... 2,970 35,397
Tandberg Data ASA..................................... 7,750 39,305
Tandberg Tel.......................................... 6,430 66,036
Veidekke ASA.......................................... 2,270 33,243
Wilhelmsen (Wilhelm), Ltd. ASA........................ 1,980 53,975
------------
TOTAL COMMON STOCKS
(Cost $1,557,551).................................... 1,749,222
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $5,895)....................................... 5,827
------------
TOTAL -- NORWAY
(Cost $1,563,446).................................... 1,755,049
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FINLAND -- (0.5%)
COMMON STOCKS -- (0.5%)
Alandsbanken AB Series B.............................. 1,100 $ 18,863
Amer Group P.L.C...................................... 7,290 109,383
Finnair Oyj........................................... 25,420 130,239
Finnlines Oy.......................................... 5,990 170,985
Finvest Oyj........................................... 17,470 31,054
Kone Oy Series B...................................... 1,660 216,096
Laennen Tehtaat Oy.................................... 1,930 24,519
Lasslla and Tikanoja Oyj.............................. 4,740 109,036
Lemminkainen Oy....................................... 5,100 47,460
Nokian Renkaat Oyj.................................... 3,090 88,205
Okobank Class A....................................... 4,880 44,137
Polar Real Estate Corp. Series K...................... 54,000 18,068
*Silja Oy AB Series A................................. 16,360 37,291
Talentum Oyj.......................................... 4,890 69,026
Tamro Oyj............................................. 22,510 92,264
Viking Line AB........................................ 3,240 133,817
------------
TOTAL -- FINLAND
(Cost $1,344,450).................................... 1,340,443
------------
EMU -- (0.3%)
INVESTMENT IN CURRENCY -- (0.3%)
*Euro Currency
(Cost $735,062)..................................... 725,599
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $965,000) to be
repurchased at $949,485.
(Cost $949,000)..................................... $ 949 949,000
------------
TOTAL INVESTMENTS -- (100.0%)(Cost $203,298,337)++..... $245,552,581
------------
------------
- --------------------
+ 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.
260
<PAGE>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.6%)
Daewoo Heavy Industries, Ltd.......................... 449,510 $ 1,701,986
*Daewoo Securities Co., Ltd........................... 54,908 1,088,112
*Hyundai Engineering & Construction Co., Ltd.......... 119,254 859,823
*Hyundai Motor Co., Ltd............................... 92,494 1,567,761
*Hyundai Securities Co., Ltd.......................... 36,690 1,150,992
Kookmin Bank.......................................... 263,875 3,994,231
Korea Electric Power Corp............................. 118,650 3,631,989
*Korea First Bank Inc., Ltd........................... 11,800 25,623
LG Chemical, Ltd...................................... 101,559 1,995,467
LG Electronics, Inc................................... 108,602 2,069,743
LG Information & Communications, Ltd.................. 18,635 762,152
*LG Insurance Co., Ltd................................ 341 28,152
Pohang Iron & Steel Co., Ltd.......................... 2,580 201,248
S1 Corporation........................................ 1,756 367,237
SK Corp., Ltd......................................... 94,498 1,984,231
SK Telecom Co., Ltd................................... 272 149,091
Samsung Display Devices, Ltd.......................... 43,098 2,071,582
Samsung Electro-Mechanics Co., Ltd.................... 62,117 1,314,784
Samsung Electronics Co., Ltd.......................... 71,811 4,995,916
*Samsung Fire & Marine Insurance...................... 4,081 2,095,821
*Seoul Bank........................................... 11,800 27,165
Shinhan Bank Co., Ltd................................. 158,241 1,541,249
*Ssangyong Investment Securities Co., Ltd............. 52,660 468,493
Ssangyong Oil Refining Co., Ltd....................... 32,080 684,424
------------
TOTAL COMMON STOCKS
(Cost $22,596,208)................................... 34,777,272
------------
RIGHTS/WARRANTS -- (0.1%)
*Hyundai Securities Co., Ltd. Rights 06/11/99......... 8,846 79,072
*Samsung Electro-Mechanics Co., Ltd. Rights
06/14/99............................................ 12,317 40,508
*Samsung Electronics Co., Ltd. Rights 06/21/99........ 5,747 61,064
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 180,644
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won
(Cost $2)........................................... 3
------------
TOTAL -- SOUTH KOREA
(Cost $22,596,210)................................... 34,957,919
------------
THAILAND -- (11.0%)
COMMON STOCKS -- (11.0%)
*Adkinson Securities Public Co., Ltd. (Foreign)....... 2,100 2,770
*Advance Agro Public Co., Ltd. (Foreign).............. 1,030,130 741,848
Advanced Info Service Public Co., Ltd. (Foreign)...... 593,100 7,217,149
*Amarin Plaza Public Co., Ltd. (Foreign).............. 7,400 1,215
SHARES VALUE+
------------ ------------
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 $ 2,652
BEC World Public Co., Ltd. (Foreign).................. 132,700 696,634
*Bangkok Bank of Commerce Public Co., Ltd.
(Foreign)........................................... 7,647 0
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 2,333,000 1,680,111
*Bangkok Land Public Co., Ltd. (Foreign).............. 65,200 11,585
*Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 1 0
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 2,987
*Bank of Asia Public Co., Ltd. (Foreign).............. 12,870 9,528
*Bank of Ayudhya Public Co., Ltd. (Foreign)........... 1,576,500 1,145,927
*Banpu Public Co., Ltd. (Foreign)..................... 26,800 62,770
Berli Jucker Public Co., Ltd. (Foreign)............... 10,100 16,043
*Christiani and Nielson (Thai) Public Co., Ltd.
(Foreign)........................................... 7,097 0
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 317,415 1,777,420
*Dusit Thani Public Co., Ltd. (Foreign)............... 8,933 9,379
*First Bangkok City Bank Public Co., Ltd. (Foreign)... 1,613,550 0
*First City Investment Public Co., Ltd. (Foreign)..... 44,200 0
*Five Stars Property Public Co., Ltd. (Foreign)....... 3,800 241
*General Finance and Securities Public Co., Ltd.
(Foreign)........................................... 46,300 0
Grammy Entertainment Public Co., Ltd. (Foreign)....... 86,500 326,020
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 27,500 7,255
*ITF Finance and Securities Public Co., Ltd........... 8,025 0
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 11,270 5,537
International Cosmetics Public Co., Ltd. (Foreign).... 3,500 6,407
*International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 355
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 9,993
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,300 627
*Krung Thai Bank Public Co., Ltd. (Foreign)........... 9,972,670 6,376,382
*Land and House Public Co., Ltd. (Foreign)............ 2,065 2,557
*MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 449
Mutual Fund Public Co., Ltd. (Foreign)................ 500 952
</TABLE>
261
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Padaeng Industry Public Co., Ltd (Foreign)........... 7,800 $ 2,415
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 52,700 25,893
*Poonipat Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,987 0
*Power-P Public Co., Ltd. (Foreign)................... 1,600 17
*Premier Enterprises Public Co., Ltd. (Foreign)....... 6,000 0
*Property Perfect Public Co., Ltd. (Foreign).......... 26,050 2,244
*Quality Houses Public Co., Ltd. (Foreign)............ 18,000 4,967
Regional Container Lines Public Co., Ltd. (Foreign)... 1,500 1,292
*Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 3,325
*Sammakorn Public Co., Ltd. (Foreign)................. 7,500 2,373
*Sanyo Universal Electric Public Co., Ltd.
(Foreign)........................................... 6,500 1,645
Serm Suk Public Co., Ltd. (Foreign)................... 1,000 4,092
*Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 581,000 1,892,609
*Siam Cement Public Co., Ltd. (Foreign)............... 27,000 700,713
*Siam City Bank Public Co., Ltd....................... 37,000 0
*Siam City Cement Public Co., Ltd. (Foreign).......... 354,813 1,337,294
*Siam Commercial Bank Public Co., Ltd. (Foreign)...... 958,166 1,115,645
Siam Makro Public Co., Ltd. (Foreign)................. 727,100 1,517,033
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 878
*Somprasong Land Public Co., Ltd. (Foreign)........... 5,400 0
*Srithai Superware Public Co., Ltd. (Foreign)......... 16,400 8,168
*Tanayong Public Co., Ltd. (Foreign).................. 46,000 12,260
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 4,574,500 3,602,208
Thai Carbon Black Public Co., Ltd. (Foreign).......... 5,000 10,298
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 201,800 123,595
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 4,184
*Thai Military Bank Public Co., Ltd. (Foreign)........ 1,935,500 1,198,451
*Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 950,443
Thai Union Frozen Products Co., Ltd................... 80,900 322,337
*Thaimex Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,100 0
------------
TOTAL COMMON STOCKS
(Cost $36,969,661)................................... 32,959,172
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Thailand Baht
(Cost $11).......................................... 12
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Hermaraj Land and Development Public Co., Ltd. Rights
Open Pay Date....................................... 55,000 $ 0
*Siam Commercial Bank Public Co., Ltd. (Foreign)
Warrants 12/31/02................................... 83,666 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- THAILAND
(Cost $36,969,672)................................... 32,959,184
------------
PHILIPPINES -- (10.1%)
COMMON STOCKS -- (10.1%)
Aboitiz Equity Ventures, Inc.......................... 7,014,400 412,937
Ayala Corp............................................ 4,968,000 1,599,420
Ayala Land, Inc....................................... 10,952,980 3,526,250
Bacnotan Consolidated Industries, Inc................. 109,134 55,929
*Belle Corp........................................... 4,916,000 286,820
*C & P Homes, Inc..................................... 10,306,500 325,040
*Centennial City, Inc................................. 3,285,000 122,594
Cosmos Bottling Corp.................................. 3,778,000 307,800
Far East Bank and Trust Co. (Foreign)................. 1,190,420 1,798,924
*Fil-Estate Land, Inc................................. 1,252,000 51,988
*Filinvest Land, Inc.................................. 9,822,000 1,084,162
*Guoco Holdings (Philippines), Inc.................... 1,080,000 29,519
*International Container Terminal Services, Inc....... 1,059,750 107,228
*Ionics Circuits, Inc................................. 1,040,850 314,580
*La Tondena Distillers, Inc........................... 693,200 801,597
*Megaworld Properties & Holdings, Inc................. 1,695,000 85,529
*Metro Pacific Corp................................... 10,213,860 520,759
Metropolitan Bank & Trust Co.......................... 537,445 5,190,822
*Mondragon International Philippines, Inc............. 408,840 6,554
Petron Corp........................................... 19,893,000 2,195,808
Philippine Long Distance Telephone Co................. 141,940 3,991,474
*Philippine National Bank............................. 259,975 601,255
*Philippine Savings Bank.............................. 137,500 103,893
*Pilipino Telephone Corp.............................. 628,500 47,076
RFM Corp.............................................. 4,158,000 508,139
*Republic Glass Holding Corp.......................... 331,250 6,616
SM Prime Holdings, Inc................................ 22,614,000 4,932,877
*Security Bank Corp................................... 167,007 142,647
*Southeast Asia Cement Holdings, Inc.................. 3,254,516 44,477
Union Bank of the Philippines......................... 606,500 370,594
Universal Robina Corp................................. 2,871,000 490,446
------------
TOTAL COMMON STOCKS
(Cost $42,858,504)................................... 30,063,754
------------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $31,501)....................................... 177,090 24,667
------------
TOTAL -- PHILIPPINES
(Cost $42,890,005)................................... 30,088,421
------------
</TABLE>
262
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
ISRAEL -- (8.9%)
COMMON STOCKS -- (8.9%)
Africa-Israel Investments, Ltd........................ 2,840 $ 172,521
Africa-Israel Investments, Ltd........................ 155 91,446
*Agis Industries (1983), Ltd.......................... 21,736 126,757
American Israeli Paper Mills, Ltd..................... 3,291 183,924
Bank Hapoalim B.M..................................... 1,196,240 3,034,600
Bank Leumi Le-Israel.................................. 1,373,369 2,586,257
*Bezek, Ltd........................................... 701,438 3,011,678
*Blue Square Chain Stores Properties Investment....... 29,303 468,512
CLAL Electronics Industries, Ltd...................... 3,579 636,584
CLAL Industries, Ltd.................................. 135,350 957,048
CLAL Insurance, Ltd................................... 38,684 518,863
Clal Israel, Ltd...................................... 29,607 982,005
Delek Israel.......................................... 4,584 133,662
Elbit Medical Imaging................................. 17,319 149,394
Elbit Systems, Ltd.................................... 17,319 273,118
*Elbit, Ltd........................................... 17,320 124,572
Elite Industries, Ltd................................. 5,700 260,800
Elron Electronic Industries, Ltd...................... 19,701 411,217
First International Bank of Israel.................... 48,660 276,675
First International Bank of Israel, Ltd............... 347,200 393,141
IDB Bankholding Corp., Ltd............................ 36,578 984,798
IDB Development Corp., Ltd.
Series A............................................ 43,928 1,294,747
Industrial Building Corp., Ltd........................ 277,150 421,572
Israel Chemicals, Ltd................................. 1,165,326 1,390,310
*Israel Corp. Series A................................ 5,500 674,896
Koor Industries, Ltd.................................. 16,466 1,780,454
Leumi Holdings Insurance.............................. 279,107 209,562
*M.A.Industries, Ltd.................................. 162,937 404,230
Matav Cable Israel.................................... 19,027 352,296
Osem Investment, Ltd.................................. 77,343 402,177
Property and Building Corp., Ltd...................... 3,973 387,120
Super-Sol, Ltd. Series B.............................. 210,226 561,904
Tambour............................................... 26,898 38,627
Teva Pharmaceutical Industries, Ltd................... 60,410 2,965,124
------------
TOTAL COMMON STOCKS
(Cost $19,342,313)................................... 26,660,591
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Israel Shekel
(Cost $2)........................................... 2
------------
TOTAL -- ISRAEL
(Cost $19,342,315)................................... 26,660,593
------------
MALAYSIA -- (7.7%)
COMMON STOCKS -- (7.7%)
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999... 2,000 278
Amsteel Corp. Berhad.................................. 264,000 36,404
*Aokam Perdana Berhad................................. 333 1,295
Ban Hin Lee Bank Berhad............................... 20,000 22,947
Bandar Raya Developments Berhad....................... 23,000 7,360
Batu Kawan Berhad..................................... 151,000 139,874
Berjaya Group Berhad.................................. 94,000 21,768
Berjaya Land Berhad................................... 91,000 32,185
Berjaya Sports Toto Berhad............................ 79,000 132,221
Carlsberg Brewery Malaysia Berhad..................... 79,000 179,621
Commerce Asset Holding Berhad......................... 230,000 389,789
Country Heights Holdings Berhad....................... 40,000 29,979
SHARES VALUE+
------------ ------------
DCB Sakura Merchant New Shares........................ 4,100 $ 2,331
*Ekran Berhad......................................... 108,000 25,693
Genting Berhad........................................ 259,000 736,105
Golden Hope Plantations Berhad........................ 521,000 368,539
Guiness Anchor Berhad................................. 105,000 85,768
Highlands and Lowlands Berhad......................... 314,000 190,383
Hong Leong Bank Berhad................................ 213,125 205,497
Hong Leong Credit Berhad.............................. 232,300 233,767
IOI Corp. Berhad...................................... 439,000 239,371
Jaya Tiasa Holdings Berhad............................ 96,000 135,411
Kuala Lumpur Kepong Berhad............................ 293,500 342,932
*Land - General Berhad................................ 35,000 8,253
*Leisure Management Berhad............................ 35,000 96,895
Lion Land Berhad...................................... 1,000 158
*MBF Holdings Berhad.................................. 141,000 6,085
MNI Holdings Berhad................................... 10,000 14,421
Magnum Corp. Berhad................................... 779,500 426,674
Malakoff Berhad....................................... 103,000 200,579
Malayan Banking Berhad................................ 846,000 1,887,916
*Malayan United Industries Berhad..................... 70,000 10,316
Malaysian Airlines System............................. 298,000 293,608
Malaysian International Shipping Corp. (Foreign)...... 85,666 119,932
Malaysian Oxygen Berhad............................... 22,000 40,990
Malaysian Pacific Industries.......................... 28,000 52,463
*Multi-Purpose Holdings Berhad........................ 86,000 30,779
Nestle (Malaysia) Berhad.............................. 121,000 425,411
Notth Borneo Timbers Berhad........................... 8,000 7,949
Oriental Holdings Berhad.............................. 167,880 307,485
Oyl Industries Berhad................................. 47,000 98,453
Perlis Plantations Berhad............................. 190,500 187,693
Perusahaan Otomobil Nasional Berhad................... 282,000 546,189
Petronas Dagangan Berhad.............................. 147,000 120,695
Petronas Gas Berhad................................... 943,000 1,786,737
Phileo Land Berhad.................................... 27,000 6,594
Public Bank Berhad (Foreign).......................... 1,107,799 900,232
*RHB Capital Berhad................................... 867,000 759,309
RJ Reynolds Berhad.................................... 135,000 127,326
Ramatex Berhad........................................ 222,000 162,644
*Rashid Hussain Berhad................................ 50,000 38,737
*Renong Berhad........................................ 460,000 139,453
Resorts World Berhad.................................. 567,000 883,326
Rothmans of Pall Mall Malaysia Berhad................. 148,000 872,421
Sarawak Enterprise Corp. Berhad....................... 412,000 150,922
Shell Refining Co. Federation of Malaysia Berhad...... 156,000 162,897
*Silverstone Berhad................................... 9,240 0
Sime Darby Berhad (Malaysia).......................... 1,208,800 1,267,331
Southern Bank Berhad (Foreign)........................ 114,750 67,401
Technology Resources (Industries) Berhad.............. 264,000 157,844
Telekom Malaysia Berhad............................... 1,305,000 3,571,579
Tenaga Nasional Berhad................................ 1,146,000 2,086,926
*Time Engineering Berhad.............................. 276,000 59,267
Tractors Malaysia Holdings Berhad..................... 22,000 8,198
*United Engineering (Malaysia) Berhad................. 165,198 138,419
YTL Corp. Berhad...................................... 624,250 1,011,942
------------
TOTAL COMMON STOCKS
(Cost $35,625,798)................................... 22,801,967
------------
</TABLE>
263
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Malaysian Ringetts (Cost $47,276).................... $ 47,276
------------
TOTAL -- MALAYSIA
(Cost $35,673,074)................................... 22,849,243
------------
GREECE -- (7.5%)
COMMON STOCKS -- (6.0%)
Alpha Credit Bank..................................... 13,972 949,926
Alpha Finance S.A..................................... 7,170 297,324
*Altec Information & Communication Systems S.A........ 53,870 1,058,057
Aspis Pronia General Insurance S.A.................... 14,550 271,276
Athens Medical Center S.A............................. 29,334 697,788
Attica Enterprises S.A. Holdings...................... 93,085 924,611
*Bank of Attica S.A................................... 36,525 804,269
*Bank of Macedonia and Thrace S.A..................... 20,250 960,798
Bank of Piraeus S.A................................... 32,880 967,105
Delta Informatics S.A................................. 8,400 391,533
Ergo Bank S.A......................................... 3,830 344,483
Ethniki General Insurance Co.......................... 18,310 1,112,426
*General Hellenic Bank................................ 11,790 875,481
Halkor S.A............................................ 56,800 629,924
Hellenic Bottling Co., S.A............................ 31,170 911,799
Heracles General Cement Co............................ 39,060 1,142,601
*Intracom S.A......................................... 20,040 1,443,645
*Intrasoft S.A........................................ 25,590 703,327
*Maillis (M.J.) S.A................................... 18,470 537,324
*Mytilineos Holdings S.A.............................. 49,830 1,007,540
*National Investment Bank for Industrial
Development......................................... 1,000 147,548
Silver & Baryte Ores Mining Co. S.A................... 10,900 395,937
*Titan Cement Co...................................... 13,130 1,215,565
*Xiosbank S.A......................................... 7,560 222,242
------------
TOTAL COMMON STOCKS
(Cost $16,177,530)................................... 18,012,529
------------
INVESTMENT IN CURRENCY -- (1.5%)
*Greek Drachmas
(Cost $4,435,374)................................... 4,416,745
------------
TOTAL -- GREECE
(Cost $20,612,904)................................... 22,429,274
------------
MEXICO -- (7.4%)
COMMON STOCKS -- (7.4%)
*Altos Hornos de Mexico S.A........................... 97,000 27,186
Apasco S.A. de C.V.................................... 69,000 398,698
*Carso Global Telecom S.A. de C.V. Telecom Series
A1.................................................. 192,000 1,054,730
Cementos de Mexico S.A. de C.V. Series A.............. 6,780 29,658
Cementos de Mexico S.A. de C.V. Series B.............. 226,000 1,004,700
*Cifra S.A. de C.V. Series C.......................... 417,000 674,496
*Cifra S.A. de C.V. Series V.......................... 137,180 235,844
Controladora Comercial Mexicana S.A. de C.V. Series
B................................................... 175,000 167,345
Desc S.A. de C.V. Series B............................ 295,000 307,304
Desc S.A. de C.V. Series C............................ 6,905 7,446
El Puerto de Liverpool S.A.
Series C1........................................... 339,500 528,418
SHARES VALUE+
------------ ------------
Empresas ICA Sociedad Controladora S.A. de C.V........ 198,000 $ 199,410
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 715,361
Fomento Economico Mexicano B & D...................... 270,000 884,435
*Gruma S.A. de C.V. Series B.......................... 90,406 156,349
*Grupo Carso S.A. de C.V. Series A-1.................. 203,000 826,043
*Grupo Celanese S.A. Series B2........................ 140,000 320,448
Grupo Financiero Bacomer S.A. de C.V. Series O........ 1,246,380 420,954
*Grupo Financiero Banamex Accival S.A. de C.V. Series
L................................................... 13,187 25,489
*Grupo Financiero Banamex Accival S.A. de C.V. Series
O................................................... 377,000 751,699
Grupo Financiero Bancomer S.A. de C.V. Series L....... 7,792 1,942
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
B................................................... 30,000 0
Grupo Financiero Inbursa-C............................ 239,699 694,956
*Grupo Financiero Santander Mexicano S.A. de C.V.
Sanmex Series B..................................... 24,257 13,646
*Grupo Financiero Serfin S.A. de C.V. Series B........ 249,102 15,711
*Grupo Gigante S.A. Series B.......................... 341,400 95,509
Grupo Industrial Alfa S.A. Series A................... 150,290 527,467
Grupo Industrial Bimbo S.A. de C.V. Series A
(Cost $0)........................................... 392,000 750,503
Grupo Industrial Maseca S.A. de C.V. Series B......... 229,000 144,435
Grupo Mexico S.A. de C.V. Series B.................... 172,000 579,166
Grupo Modelo S.A. de C.V. Series C.................... 312,000 799,837
*Grupo Televisa S.A. (Certificate Representing Series
A, Series D & Series L)............................. 70,000 1,424,212
*Hylsamex S.A. de C.V. Series B....................... 60,000 131,841
Industrias Penoles S.A. de C.V........................ 103,000 263,001
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 732,452
Organizacion Soriana S.A. de C.V. Series B............ 150,000 559,257
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 223,031
Telefonos de Mexico S.A. Series A..................... 50,000 196,592
Telefonos de Mexico S.A. Series L..................... 1,521,000 5,817,864
Tubos de Acero de Mexico S.A.......................... 17,000 153,917
Vitro S.A............................................. 121,600 235,036
------------
TOTAL COMMON STOCKS
(Cost $16,703,337)................................... 22,096,388
------------
TOTAL -- MEXICO
(Cost $16,703,337)................................... 22,096,388
------------
TURKEY -- (7.4%)
COMMON STOCKS -- (7.4%)
*Akbank............................................... 145,871,251 2,403,091
*Akbank Issue 99...................................... 48,623,750 760,812
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Akcansa Cimento Sanayi ve
Ticaret A.S......................................... 14,800,650 $ 342,085
*Aksa................................................. 7,151,119 165,283
Aksigorta A.S......................................... 8,100,000 258,913
*Aktas Elektrik Ticaret A.S........................... 685,000 129,690
*Alarko Holding....................................... 9,653,051 208,869
*Arcelik A.S.......................................... 15,754,208 542,313
Aygaz................................................. 3,888,960 411,176
*Bekoteknik Sanayi A.S................................ 4,664,661 76,846
Bossa Ticaret ve Sanayi
Isletmeleri A.S..................................... 8,625,000 49,307
Brisa Bridgestone Sanbanci Lastik San & Tic A.S....... 6,202,000 186,807
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 11,820,000 113,346
*Cimentas A.S......................................... 2,074,064 54,822
Cukurova Elektrik A.S................................. 389,000 339,550
Dogan Sirketler Grubu Holdings A.S.................... 32,336,675 453,206
*Doktas............................................... 544,000 6,153
EGE Biracilik ve Malt Sanayii A.S..................... 3,062,408 293,666
*Eczacibasi Ilac...................................... 8,523,760 132,038
Enka Holding.......................................... 1,815,734 375,022
*Erciyas Biracilik.................................... 9,332,640 258,156
*Eregli Demir ve Celik Fabrikalari
Turk A.S............................................ 34,503,000 661,724
*Good Year Lastikleri A.S............................. 3,272,500 84,488
Guney Biracilik....................................... 1,758,120 82,135
Hurriyet Gazette...................................... 13,474,500 235,232
*Ihlas Holding........................................ 3,370,142 120,155
*Izmir Demir Celik.................................... 10,231,500 32,076
Kartonsan............................................. 1,417,500 63,608
Kepez Elektrik Ticaret A.S............................ 93,000 83,464
Koc Holding A.S....................................... 24,933,996 1,931,204
Kordsa Kord Bezi Sanayi ve
Ticaret A.S......................................... 3,542,000 130,637
Migros Turk A.S....................................... 734,225 938,768
Netas Northern Electric Telekomunikasyon A.S.......... 5,044,000 158,129
*Otosan Otomobil A.S.................................. 21,546,000 386,737
*Raks Elektroniks A.S................................. 4,536,000 17,009
Sarkuysan Elektrolitik Bakir
Sanayi A.S.......................................... 2,800,676 34,432
*T. Tuborg Bira ve Malt Sanayi A.S.................... 487,500 5,334
*Tat Konserve......................................... 1,782,544 54,787
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,400,000 101,549
*Tofas Turk Otomobil Fabrikasi A.S.................... 13,723,325 195,710
*Trakya Cam Sanayii A.S............................... 15,468,432 174,956
*Turcas Petrolculuk A.S............................... 1,691,018 37,837
*Turk Demir Dokum..................................... 4,164,986 51,205
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 420,500 13,958
Turk Sise Cam......................................... 12,475,592 156,443
*Turk Sise Cam Em 99.................................. 10,801,366 135,449
*Turkiye Garanti Bankasi A.S.......................... 36,000,552 1,482,688
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Turkiye Is Bankasi A.S. Series C...................... 220,951,500 $ 4,346,230
*USAS (Ucak Servisi A.S.)............................. 42,500 41,277
*Vestel Elektronik Sanayi Ticaret A.S................. 3,112,000 355,810
Yapi ve Kredi Bankasi A.S............................. 103,724,055 1,326,199
*Yapi ve Kredi Bankasi A.S. Issue 99.................. 82,979,243 958,944
------------
TOTAL -- TURKEY
(Cost $12,453,794)................................... 21,959,325
------------
ARGENTINA -- (7.1%)
COMMON STOCKS -- (7.1%)
Acindar Industria Argentina de Aceros SA Series B..... 164,000 196,948
*Alpargatas SA Industrial y Comercial................. 150,000 14,411
*Astra Cia Argentina de Petroleos SA.................. 336,690 566,064
Banco de Galicia y Buenos Aires SA Series A........... 269,803 1,412,129
*Banco del Sud Sociedad Anonima Series B.............. 29,000 81,261
Banco Frances del Rio de la
Plata SA............................................ 123,936 865,723
*Buenos Aires Embotelladora SA Series B............... 100 7,606
CIADEA SA............................................. 76,559 114,925
*Capex SA Series A.................................... 18,000 90,067
*Celulosa Argentina SA Series B....................... 75,000 7,506
Central Costanera SA Series B......................... 20,000 50,438
Central Puerto SA Series B............................ 16,000 35,226
Corcemar SA Series B.................................. 19,226 83,696
*Garovaglio y Zorraquin SA............................ 28,000 21,856
*Indupa SA Industrial y Comercial..................... 180,366 104,149
Irsa Inversiones y Representaciones SA................ 75,296 218,522
*Juan Minetti SA...................................... 103,442 263,975
Ledesma SA............................................ 135,378 77,223
Metrogas SA Series B.................................. 403,115 318,700
*Molinos Rio de la Plata SA Series B.................. 125,287 229,447
Naviera Perez Companc SA Series B..................... 540,429 3,245,008
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 83,074
*Sevel Argentina SA Series C.......................... 79,033 32,428
Siderar SAIC Series A................................. 49,876 123,785
Siderca SA Series A................................... 714,907 987,312
*Sociedad Comercial del Plata......................... 187,740 79,661
Telecom Argentina Stet-France SA Series B............. 317,000 1,789,222
Telefonica de Argentina SA Series B................... 738,000 2,407,686
Transportadora de Gas del Sur SA Series B............. 398,000 708,972
YPF Sociedad Anonima Yacimientos Petroliferos Fiscales
Series D............................................ 165,000 6,968,226
------------
TOTAL -- ARGENTINA
(Cost $18,135,241)................................... 21,185,246
------------
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED STATES -- (5.6%)
COMMON STOCKS -- (5.6%)
Banco Bhif Sponsored ADR.............................. 6,400 $ 88,000
Banco de A. Edwards ADR............................... 30,000 427,500
Banco de Santiago SA Santiago ADR..................... 84,800 1,515,800
Banco Santander Chile Sponsored ADR................... 52,500 846,562
Chilgener SA ADR...................................... 52,400 989,050
Cia Telecom de Chile ADR.............................. 142,000 3,088,500
Compania Cervecerias Uni ADR.......................... 39,400 1,103,200
Cristalerias de Chile SA ADR.......................... 14,500 231,094
Distribucion y Servicio D&S SA ADR.................... 80,500 1,358,437
Embotelladora Andina SA Andina ADR.................... 36,800 706,100
Embotelladora Andina SA Andina Series B ADR........... 57,700 894,350
Empresa Nacional de Elec ADR.......................... 177,818 1,933,771
*Empresas Telex SA ADR................................ 39,400 39,400
Enersis SA ADR........................................ 53,203 1,044,109
Laboratorio Chile SA Labchile ADR..................... 14,000 238,000
Lan Chile SA ADR...................................... 86,400 680,400
Madeco SA ADR......................................... 24,500 237,344
Masisa SA ADR......................................... 16,500 159,328
*Santa Isabel SA ADR.................................. 15,500 168,078
Sociedad Quimica y Minera
Chile ADR........................................... 16,502 573,445
Vina Concha y Toro SA
Conchatoro ADR...................................... 8,600 280,306
------------
TOTAL -- UNITED STATES
(Cost $15,320,701)................................... 16,602,774
------------
BRAZIL -- (5.3%)
PREFERRED STOCKS -- (3.7%)
Aracruz Celulose SA Series B.......................... 251,999 472,039
Banco Bradesco SA..................................... 185,571,118 983,997
Banco do Brasil SA.................................... 126,670,000 697,224
Banco do Estado de Sao Paulo SA....................... 2,500,000 106,627
Banco Itau SA......................................... 2,850,000 1,455,372
Brasiliero de Petroleo Ipiranga....................... 12,300,000 77,273
Brasmotor SA.......................................... 600,000 46,339
COFAP (Cia Fabricadora De Pecas)...................... 5,100 21,311
Centrais Electricas de Santa Catarin Celesc Series
B................................................... 180,000 68,472
Cervejaria Brahma..................................... 2,490,767 1,257,572
Cia Siderurgica Belgo-Mineira......................... 970,000 27,115
Cia Vale do Rio Doce Series A......................... 91,160 1,613,014
Cimento Portland Itau................................. 860,000 83,273
Companhia Brasileira de Distribuicao Pao de Acucar.... 6,930,000 127,335
Companhia Siderurgica de Tubarao Sid Tubarao.......... 15,120,000 135,076
Copene-Petroquimica do Nordeste SA Series A........... 624,000 108,974
Coteminas Cia Tecidos Norte de Minas.................. 910,000 61,890
Duratex SA............................................ 2,900,000 78,558
*Electropaulo Electrecidade Metropolitana............. 5,495,000 228,032
Embratel Participacoes SA............................. 18,082,922 250,135
Ericsson Telecomunicacoes SA.......................... 15,480,000 263,202
SHARES VALUE+
------------ ------------
*IKPC Industrias Klabin de Papel e Celulose SA........ 176,875 $ 58,108
Inepar SA Industria e Construcoes..................... 19,760,000 51,022
*Inepar-Fem Equipamentos e Montagem SA................ 11,856 0
Investimentos Itau SA................................. 810,000 448,179
*Investimentos Itau SA................................ 32,633 18,011
Lojas Americanas SA................................... 1,610,000 7,795
Lojas Renner SA....................................... 800,000 18,444
Multibras Eletrodomesticos SA......................... 315,000 103,486
*Paranapanema SA...................................... 2,120,000 3,360
Renner Participacoes SA............................... 800,000 763
Sadia Oeste SA Inclusttia e Comercio Soes............. 100,000 62,823
*Serrana SA........................................... 2,450 762
Suzano de Papel e Celulose............................ 54,000 41,861
Tele Celular Sul Participacoes SA..................... 137,922 252
*Tele Centro Oeste Celular Participacoes SA........... 137,922 167
Tele Centro-Sul Participacoes......................... 23,437,922 248,561
Teleleste Celular Participacoes SA.................... 137,922 83
Telemig Celular Participacoes SA...................... 137,922 199
Telenordeste Celular
Participacoes SA.................................... 137,922 214
Telenorte Celular Participacoes SA.................... 137,922 83
Telenorte Leste Participacoes SA...................... 15,567,922 253,929
Telesp Celular Participacoes.......................... 28,537,922 260,046
Telesp Participacoes SA............................... 11,827,922 254,280
Telesudeste Celular Participacoes SA.................. 14,337,922 67,846
*USIMINAS (Usinas Siderurgicas de Minas Gerais SA).... 52,039 74,233
Unibanco-Uniao de Bancos Brasileiros SA............... 12,963,000 575,297
*Usinas Siderurgicas de Minas Gerais.................. 325 3,559
*Vale do Rio Doce Series B............................ 81,160 0
Votorantim Celulose e Papel SA........................ 9,467,325 251,004
------------
TOTAL PREFERRED STOCKS
(Cost $13,071,195)................................... 10,967,197
------------
COMMON STOCKS -- (1.6%)
*Acos Especiais Itabira-Acesita Aces.................. 25,963,524 8,530
Antarctica Paulista I.B.B.C. Anta..................... 3,000 70,720
*Banco Bamerindus do Brazil SA........................ 2,400 16,599
Banco do Estado de Sao Paulo SA....................... 1,800,000 55,224
*Ceval Alimentos SA................................... 11,610,114 15,525
*Compania de Electricidade da Bahia Coelba............ 3,630,000 97,287
Embraco SA............................................ 130,000 42,708
Embraer Empresa Brasileira de Aeronautica Series A.... 1,700,000 17,637
Embratel Participacoes................................ 57,550,000 426,230
Empresa Nasional de Comercio Redito e Participacoes
SAncorpar........................................... 480,000 332
Gerdau SA............................................. 14,020,000 209,287
Inepar Energia SA..................................... 9,561 2
Lojas Americanas SA................................... 10,520,000 43,656
*Mannesmann SA........................................ 149,000 11,164
Petroquimica do Sul Copesul........................... 8,276,000 240,884
*Santista Alimentos SA................................ 43,777 10,093
*Seara Alimentos SA................................... 23,220,228 7,361
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Serrana SA........................................... 2,054 $ 693
Siderurgica Nacional Sid Nacional..................... 26,651,000 506,901
Souza Cruz Industria e Comercio....................... 71,000 429,678
Tele Celular Sul Participacoes........................ 57,550,000 74,632
*Tele Centro Oeste Celular Participacoes.............. 57,550,000 53,735
Tele Centro Sul Participacoes SA...................... 57,550,000 318,097
Tele Norte-Leste Participacoes........................ 57,550,000 524,080
Tele Sudeste Celular Participacoes.................... 57,550,000 157,224
Teleleste Celular Participacoes....................... 57,550,000 27,862
Telemig Celular Participacoes......................... 57,550,000 72,973
Telenordeste Celular Participacoes.................... 57,550,000 64,681
Telenorte Celular Participacoes....................... 57,550,000 34,828
Telesp Celular Participacoes SA....................... 57,550,000 290,234
Telesp Participacoes SA............................... 57,550,000 712,816
VSMA (Cia Vidraria Santa Marina)...................... 54,000 73,140
White Martins SA...................................... 334,398 173,461
------------
TOTAL COMMON STOCKS
(Cost $6,042,156).................................... 4,788,274
------------
RIGHTS/WARRANTS -- (0.0%)
*Inepar SA Industria e Construcoes Rights 06/05/99.... 474,240,000 2,733
*Santista Alimentos SA Rights 06/15/99................ 70,902 0
*Tele Centro Oeste Celular Participacoes Rights
06/30/99............................................ 5,162,993 0
*Tele Centro Oeste Celular Participacoes SA Preferred
Rights 06/30/99..................................... 12,373 2
------------
TOTAL RIGHTS/WARRANTS
(Cost $55,340)....................................... 2,735
------------
TOTAL -- BRAZIL
(Cost $19,168,691)................................... 15,758,206
------------
PORTUGAL -- (4.4%)
COMMON STOCKS -- (4.4%)
BCP (Banco Comercial Portugues SA).................... 121,247 3,308,880
Banco Espirito Santo e Comercial de Lisboa............ 49,500 1,216,305
Banco Pinto & Sotto Mayor SA.......................... 105,909 2,104,050
*Companhia de Seguros Mundial Confianca SA............ 31,120 897,436
Companhia de Seguros Tranquilidade SA................. 15,700 379,868
Corticeira Amorim Sociedad Gestora Participacoes
Sociais SA.......................................... 11,400 120,391
*Inparsa Industrias e Participacoes SGPS SA........... 26,162 389,265
*Inparsa Industrias e Participacoes SGPS SA Em 98..... 14,866 121,865
*Investimentos Participacoes e Gestao SA Inapa........ 14,400 113,377
Jeronimo Martins SGPS SA Em 99........................ 18,565 664,076
Modelo Continente SGPS SA............................. 70,200 1,418,857
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 30,800 173,906
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA....................................... 8,164 178,239
SHARES VALUE+
------------ ------------
*Sociedad Construcoes Soares da Costa SA.............. 17,514 $ 57,319
Sociedade de Investimento e Gestao SGPS SA............ 18,900 308,287
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 24,483 224,509
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 31,100 1,110,180
Uniceruniao Cervejeira SA............................. 15,600 322,805
------------
TOTAL -- PORTUGAL
(Cost $6,387,842).................................... 13,109,615
------------
INDONESIA -- (3.6%)
COMMON STOCKS -- (3.6%)
*PT Asahimas Flat Glass Co., Ltd...................... 75,000 7,604
*PT Astra International Tbk........................... 1,003,000 308,141
*PT Bakrie & Brothers Tbk............................. 1,259,000 50,283
PT Bank Danamon (Foreign)............................. 1,121,000 48,215
*PT Bank International Indonesia (Foreign)............ 2,227,191 61,581
*PT Bank Niaga Tbk.................................... 151,380 9,301
*PT Barito Pacific Timber............................. 910,000 78,279
PT Bimantara Citra.................................... 589,000 66,952
*PT Charoen Pokphand Tbk.............................. 95,000 8,172
*PT Ciputra Development Tbk........................... 262,000 12,074
PT Citra Marga Nusaphala Persada...................... 960,000 53,087
*PT Dankos Laboratories............................... 21,000 2,193
PT Duta Pertiwi....................................... 200,000 12,289
*PT Gajah Tunggal Tbk................................. 2,058,000 120,129
*PT Gt Kabel Indonesia Tbk............................ 212,000 5,862
*PT GT Petrochem Industries Tbk....................... 70,000 3,011
*PT Hanjaya Mandala Sampoerna Tbk..................... 496,500 799,280
*PT Hero Supermarket Tbk.............................. 78,000 17,733
*PT Indah Kiat Pulp & Paper Corp...................... 2,221,601 1,023,778
*PT Indocement Tunggal Prakarsa....................... 1,318,000 502,094
*PT Indofood Sukses Makmur............................ 930,280 920,276
*PT Indorama Synthetics Tbk........................... 365,580 88,727
PT Indosat Tbk........................................ 600,500 1,217,602
*PT Inti Indorayo Utama............................... 257,000 15,001
*PT Jakarta International Hotel and Development Tbk... 362,500 33,410
*PT Japfa Comfeed Indonesia Tbk....................... 29,000 1,693
*PT Jaya Real Property................................ 305,000 32,796
*PT Kalbe Farma Tbk................................... 150,000 30,875
*PT Kawasan Industry Jababeka Tbk..................... 407,333 25,028
*PT Lippo Bank (Foreign).............................. 557,000 32,513
*PT Lippo Land Development Tbk........................ 174,000 12,295
*PT Matahari Putra Prima Tbk.......................... 314,000 28,940
PT Mayorah Indah...................................... 288,720 26,610
*PT Modern Photo Tbk.................................. 154,000 32,645
PT Mulia Industrindo.................................. 850,680 86,244
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 765,821 261,155
*PT Pakuwon Jati Tbk.................................. 312,000 6,710
*PT Panasia Indosyntec Tbk............................ 103,600 4,456
*PT Pdni Tbk.......................................... 1,379,000 12,710
PT Perusahaan Rokok Tjap Gudang Garam................. 961,500 1,855,057
*PT Polysindo Eka Perkasa Tbk......................... 481,000 36,943
</TABLE>
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<TABLE>
<CAPTION>
<S> <C> <C>
SHARES VALUE+
------------ ------------
*PT Putra Surya Perkasa Tbk........................... 1,296,000 $ 19,908
*PT Sari Husada Tbk................................... 13,440 3,221
*PT Semen Cibinong Tbk................................ 231,000 12,064
PT Semen Gresik....................................... 294,002 491,357
*PT Summarecon Agung.................................. 87,838 2,699
PT Tambang Timah (Persero) Tbk........................ 327,000 357,640
PT Telekomunikasi Indonesia (Persero) Tbk............. 4,316,500 2,002,429
PT Tempo Scan Pacific................................. 19,500 5,392
PT Tigaraksa Satria Tbk............................... 25,200 5,032
*PT Unggul Indah Corp. Tbk............................ 110,000 16,221
*PT United Tractors................................... 15,000 2,488
------------
TOTAL -- INDONESIA
(Cost $29,699,926)................................... 10,870,195
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $12,284)...................................... 12,090
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT
------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (2.3%)
Repurchase Agreement, Chase Manhattan Bank N.A. 4.55%,
06/01/99 (Collateralized by U.S. Treasury Notes
5.625%, 12/31/02, valued at $7,061,944) to be
repurchased at $6,922,498.
(Cost $6,919,000)................................... $ 6,919 6,919,000
------------
TOTAL INVESTMENTS -- (100.0%)(Cost $302,884,996)++..... $298,457,473
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
268
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SOUTH KOREA -- (11.4%)
COMMON STOCKS -- (11.3%)
*A-Nam Industrial Co., Ltd............................ 4,870 $ 27,926
*Bing Grae Co., Ltd................................... 1,210 23,877
*Bu Kwang Pharmaceutical Co., Ltd..................... 5,940 35,214
Choong Wae Pharmaceutical............................. 1,637 21,052
Daeduck Electronics Co., Ltd.......................... 13,800 132,664
Daeduck Industries Co., Ltd........................... 4,635 53,157
Daehan City Gas Co., Ltd.............................. 2,000 61,053
Daehan Flour Mills Co., Ltd........................... 360 21,979
Daesung Industrial Co., Ltd........................... 1,690 54,440
*Daewoo Electronics Co., Ltd.......................... 13,010 59,244
Daewoo Precision Industries, Ltd...................... 4,090 15,572
*Daewoo Securities Co................................. 414 8,204
*Daewoo Telecom Co., Ltd.............................. 8,020 30,434
*Daishin Securities Co., Ltd.......................... 8,510 127,020
Dong Ah Tire Industrial Co., Ltd...................... 730 30,964
*Dong Bu Insurance Co., Ltd........................... 1,680 59,502
*Dong-Ah Construction Industrial Co., Ltd............. 4,790 37,889
*Dongkuk Steel Mill Co., Ltd.......................... 4,890 24,948
Hae In Co., Ltd....................................... 5,964 24,719
*Han Il Cement Manufacturing Co., Ltd................. 1,010 27,681
Han Kuk Carbon Co..................................... 5,306 32,663
*Han Wha Energy Co., Ltd.............................. 5,600 20,306
*Hana Bank............................................ 1,700 22,440
Hanjin Heavy Industry Co., Ltd........................ 6,132 32,060
*Hanjin Investment & Securities Co., Ltd.............. 2,940 24,296
Hankook Tire Manufacturing Co., Ltd................... 21,688 107,906
Hankuk Glass Industries, Inc.......................... 5,120 118,302
Hanmi Pharmaceutical Co., Ltd......................... 2,068 41,330
Hansol Paper Co., Ltd................................. 2,756 39,277
*Hotel Shilla, Ltd.................................... 8,649 79,499
Hyundai Corp.......................................... 10,517 76,715
*Hyundai Fire & Marine Insurance Co., Ltd............. 1,430 39,191
Hyundai Mipo Dockyard Co., Ltd........................ 2,600 35,957
*Hyundai Securities Co., Ltd.......................... 670 21,034
*ISU Chemical Co., Ltd................................ 1,530 29,675
*Il Shin Spinning..................................... 380 31,083
Keum Kang Development Industry Co., Ltd............... 2,630 30,495
*Keumkang Co., Ltd.................................... 960 47,035
*Kohap Co., Ltd....................................... 6,320 28,833
*Kolon Industries, Inc................................ 2,260 27,348
*Korea Chemical Co., Ltd.............................. 640 51,649
Korea Circuit Co., Ltd................................ 7,800 51,897
*Korea Electronics Co., Ltd........................... 1,310 16,957
Korea Fine Chemical Co., Ltd.......................... 1,000 38,285
Korea Green Cross Co., Ltd............................ 1,512 59,672
Korea Iron & Steel Works Co., Ltd..................... 362 43,348
*Korea Merchant Banking Co............................ 3,010 22,717
Korea Zinc Co., Ltd................................... 3,025 91,833
*Korean Reinsurance Co., Ltd.......................... 3,100 53,067
*Kumho Tire Co., Ltd.................................. 4,530 26,664
*Kyong Nam Bank....................................... 7,900 29,312
LG Cable & Machinery, Ltd............................. 9,477 133,462
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*LG Construction, Ltd................................. 2,970 $ 26,798
*LG Insurance Co., Ltd................................ 1,623 133,990
LG International Corp................................. 8,790 50,404
*LG Securities Co., Ltd............................... 1,302 21,969
Lotte Confectionary Co., Ltd.......................... 680 91,175
Namhae Chemical Corporation........................... 2,000 60,716
Namyang Dairy Products Co., Ltd....................... 340 51,609
Nong Shim Co., Ltd.................................... 2,640 152,498
*Oriental Chemical Industries Co., Ltd................ 1,790 31,699
Orion Electric Co., Ltd............................... 12,155 76,568
*Pacific Chemical Co., Ltd............................ 1,360 26,148
*Poong San Corp....................................... 3,070 27,054
Saehan Industries, Inc................................ 4,600 48,682
*Sam Yang Corp........................................ 1,780 33,773
*Samsung Securities Co., Ltd.......................... 450 19,770
*Samyang Genex Co., Ltd............................... 220 10,946
Seondo Electric Co., Ltd.............................. 4,400 26,529
Seoul City Gas Co., Ltd............................... 2,750 90,210
*Shin Han Securities Co., Ltd......................... 3,460 28,302
Shin Young Securities Co., Ltd........................ 2,620 52,141
*Shinmoorim Paper Manufacturing Co., Ltd.............. 2,070 21,994
Shinsegae Department Store............................ 3,240 144,807
*Ssangyong Cement Industry Co., Ltd................... 5,520 31,607
Suheung Capsule Co., Ltd.............................. 1,900 32,045
*Sunkyong Industries, Ltd............................. 1,490 30,407
*Tai Han Electric Wire Co............................. 3,080 46,751
*The Oriental Fire & Marine Insurance Co., Ltd........ 1,370 25,301
*Young Poong Mining & Construction Corp............... 1,040 20,960
Youngone Corporation.................................. 11,400 33,358
Yuhan Corp............................................ 881 31,930
------------
TOTAL COMMON STOCKS
(Cost $2,386,853).................................... 3,861,988
------------
RIGHTS/WARRANTS -- (0.1%)
*Daeduck Electronics Co., Ltd. Rights 06/24/99........ 3,312 10,892
*Daeduck Industries Co., Ltd. Rights 06/24/99......... 1,111 4,403
*Dongbu Insurance Co., Ltd. Rights 06/15/99........... 243 2,643
*Hotel Shilla, Ltd. Rights 06/21/99................... 2,650 2,235
*Hyundai Mipo Dockyard Co., Ltd. Rights 06/14/99...... 972 3,115
*Hyundai Securities Co., Ltd. Rights 06/11/99......... 559 4,997
*LG International Corp. Rights 06/21/99............... 5,162 5,659
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 33,944
------------
TOTAL -- SOUTH KOREA
(Cost $2,386,853).................................... 3,895,932
------------
GREECE -- (11.1%)
COMMON STOCKS -- (11.0%)
*Aegek................................................ 5,200 98,121
*Aktor S.A............................................ 6,700 158,839
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Alcatel Cables Hellas S.A............................ 1,850 $ 27,623
*Alfa-Beta Vassilopoulos S.A.......................... 2,950 66,381
Alpha Leasing......................................... 9,437 195,676
*Alte Technological Company........................... 3,100 54,808
*Aluminum of Attica S.A............................... 6,150 114,663
Aspis Pronia General Insurance S.A.................... 8,630 160,901
*Atti-Kat S.A......................................... 4,640 99,263
Chipita S.A........................................... 6,125 145,700
*Delta Dairy S.A...................................... 8,150 172,780
Delta Informatics S.A................................. 4,500 209,750
*Elais Oleaginous Production S.A...................... 4,450 111,291
*Etba Leasing S.A..................................... 4,860 57,726
*Fourlis S.A.......................................... 6,750 118,255
Goody's S.A........................................... 2,800 79,117
*Hellas Can Packaging Manufacturers S.A............... 3,340 106,185
*Hellenic Biscuits Co. S.A............................ 3,500 69,193
*Hellenic Cables S.A.................................. 3,950 43,425
*Hellenic Sugar Industry S.A.......................... 9,200 92,566
*Hellenic Technodomiki S.A............................ 13,850 289,168
*Inform P. Lykos S.A.................................. 5,200 103,637
*Klonatex S.A......................................... 1,450 40,086
Lavipharm S.A......................................... 3,900 53,783
*Light Metals Industry................................ 6,700 83,566
*Michaniki S.A........................................ 6,100 86,083
*Petzetakis S.A....................................... 3,000 32,788
Sarantis S.A.......................................... 8,900 146,481
Selected Textile Industry Assoc. S.A.................. 21,875 164,193
Shelman............................................... 8,250 119,075
Silver & Baryte Ores Mining Co. S.A................... 3,720 135,127
*Spyroy Agricultural House S.A........................ 4,520 41,846
Strintzis Shipping Lines S.A.......................... 6,600 43,705
*TEB S.A. (Volos Technical Co.)....................... 4,050 45,957
*Themeliodomi......................................... 2,700 52,944
*Tiletipos S.A........................................ 7,200 149,284
------------
TOTAL COMMON STOCKS
(Cost $2,559,370).................................... 3,769,986
------------
RIGHTS/WARRANTS -- (0.1%)
*Etba Leasing S.A. Rights 07/12/99
(Cost $0)........................................... 4,050 28,577
------------
TOTAL -- GREECE
(Cost $2,559,370).................................... 3,798,563
------------
PHILIPPINES -- (10.7%)
COMMON STOCKS -- (10.7%)
*Alaska Milk Corp..................................... 1,404,000 87,081
*Alsons Cement Corp................................... 281,000 22,524
Alsons Consolidated Resources, Inc.................... 2,058,000 35,427
*Anglo Philippine Holdings Corp....................... 546,000 10,475
Bacnotan Cement Corp.................................. 214,700 23,417
Bacnotan Consolidated Industries, Inc................. 83,400 42,741
*Bankard, Inc......................................... 412,000 40,063
*Belle Corp........................................... 5,167,000 301,465
*C & P Homes, Inc..................................... 4,177,000 131,732
*Cebu Holdings, Inc................................... 1,925,000 45,532
Cosmos Bottling Corp.................................. 1,433,000 116,749
*DMCI Holdings, Inc................................... 4,372,000 236,697
*Davao Union Cement Corp.............................. 64,000 2,187
*EEI Corporation...................................... 1,108,000 45,426
*East Asia Power Resources Corp....................... 431,000 11,837
*Fil-Estate Land, Inc................................. 2,630,000 109,209
*Global Equities, Inc................................. 886,462 15,609
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Gotesco Land, Inc. Series B.......................... 170,000 $ 1,005
*Guoco Holdings (Philippines), Inc.................... 2,870,000 78,444
*House of Investments, Inc............................ 732,000 47,710
*International Container Terminal Services, Inc....... 466,087 47,160
*Ionics Circuits, Inc................................. 523,825 158,317
*Kepphil Shipyard, Inc................................ 597,585 9,894
*Kuok Philippine Properties, Inc...................... 2,830,500 37,194
Lepanto Consolidated Mining Co. Series B.............. 1,540,000 13,356
MUI Resources (Philippines), Inc...................... 1,121,000 38,300
*Mabuhay Holdings Corp................................ 516,000 4,611
*Macroasia Corp....................................... 1,220,000 89,776
*Manila Jockey Club, Inc.............................. 18,800 3,953
*Megaworld Properties & Holdings, Inc................. 4,440,000 224,042
*Mondragon International Philippines, Inc............. 218,040 3,495
*Music Corporation.................................... 259,000 19,059
*Negros Navigation Co., Inc........................... 311,000 5,721
*PDCP Development Bank................................ 77,000 20,034
*Philippine Bank of Communications.................... 14,726 42,572
*Philippine National Construction Corp................ 75,000 28,581
*Philippine Realty & Holdings Corp.................... 4,499,000 40,792
*Philippine Savings Bank.............................. 317,212 239,681
*Picop Resources, Inc................................. 1,125,000 9,166
*Pilipino Telephone Corp.............................. 1,692,000 126,733
*Pryce Properties Corp................................ 1,352,900 32,000
RFM Corp.............................................. 842,000 102,899
*Republic Glass Holding Corp.......................... 176,250 3,520
*Robinson's Land Corp. Series B....................... 3,402,000 295,048
SM Development Corp................................... 3,525,000 109,317
*Security Bank Corp................................... 153,835 131,396
*Solid Group, Inc..................................... 1,210,000 22,578
Solidbank Corp........................................ 3,040 13,982
*Soriano (A.) Corp.................................... 3,430,211 82,938
*Southeast Asia Cement Holdings, Inc.................. 10,002,654 136,698
*Steniel Manufacturing Corp........................... 250,000 4,632
*United Paragon Mining Corp........................... 645,000 3,306
*Universal Rightfield Property Holdings, Inc.......... 1,062,000 10,885
*Uniwide Holdings, Inc................................ 3,110,000 45,771
*Urban Bank, Inc...................................... 5,658 19,331
*Vantage Equities Inc................................. 516,000 10,035
*Victorias Milling Co., Inc........................... 48,000 1,097
*Vitarich Corp........................................ 176,000 5,088
*William, Gothong & Aboitiz, Inc...................... 1,390,000 50,413
------------
TOTAL COMMON STOCKS
(Cost $4,919,209).................................... 3,648,701
------------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $10,834)...................................... 60,909 8,484
------------
TOTAL -- PHILIPPINES
(Cost $4,930,043).................................... 3,657,185
------------
THAILAND -- (10.2%)
COMMON STOCKS -- (10.2%)
*Aromatics (Thailand) Public Co., Ltd. (Foreign)...... 140,000 29,398
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 4,000 10,607
*Banpu Public Co., Ltd. (Foreign)..................... 40,000 93,687
</TABLE>
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<S> <C> <C>
*Big C Supercenter Public Co., Ltd. (Foreign)......... 87,000 $ 39,817
*Capetronic International (Thailand) Public Co.,
Ltd................................................. 110,933 14,932
Capital Nomura Securities Public Co., Ltd.
(Foreign)........................................... 46,000 121,981
*Castle Peak Holdings Public Co., Ltd. (Foreign)...... 6,800 824
*Central Paper Industry Public Co., Ltd. (Foreign).... 19,800 28,585
*Ch Karnchang Public Co., Ltd. (Foreign).............. 62,800 91,296
*Charoen Pokphand Feedmill Public Co., Ltd.
(Foreign)........................................... 53,955 65,365
Compass East Industry (Thailand) Public Co., Ltd.
(Foreign)........................................... 12,200 45,654
*Dynamic Eastern Finance Thailand (1991) Co., Ltd.
(Foreign)........................................... 46,200 0
*Eastern Water Resources Development & Management
Public Co., Ltd. (Foreign).......................... 31,100 41,026
*First City Investment Public Co., Ltd. (Foreign)..... 45,000 0
*GSS Array Technology Public Co., Ltd. (Foreign)...... 3,200 1,723
*Golden Land Property Development Public Co., Ltd.
(Foreign)........................................... 68,800 18,522
Grammy Entertainment Public Co., Ltd. (Foreign)....... 30,000 113,070
*Hana Microelectronics Co., Ltd. (Foreign)............ 12,000 20,676
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 19,000 5,013
*Jasmine International Public Co., Ltd. (Foreign)..... 200,000 83,457
*K.R. Precision Public Co., Ltd....................... 16,400 5,077
*KCE Electronics Public Co., Ltd. (Foreign)........... 6,000 10,984
Kang Yong Electric Public Co., Ltd. (Foreign)......... 7,200 6,397
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,000 9,369
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,800 641
*LPN Development Public Co., Ltd. (Foreign)........... 15,100 1,260
*Laem Thong Bank Public Co., Ltd. (Foreign)........... 68,575 12,000
*Laguna Resorts & Hotels Public, Ltd. Foreign......... 32,200 14,303
*Land and House Public Co., Ltd. (Foreign)............ 150,100 185,882
Lanna Lignite Public Co., Ltd. (Foreign).............. 11,500 13,467
*Loxley Public Co., Ltd. (Foreign).................... 12,500 7,656
*Media of Medias Public Co., Ltd. (Foreign)........... 9,100 1,494
*Modern Home Development Public Co., Ltd. (Foreign)... 23,700 574
Muramoto Electronic (Thailand) Public Co., Ltd........ 9,900 13,859
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Nakornthon Bank Public Co., Ltd. (Foreign)........... 53,850 $ 4,784
*Nation Multimedia Group Public Co., Ltd. (Foreign)... 26,000 9,449
*National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 630,150 364,739
*National Petrochemical Public Co., Ltd. (Foreign).... 447,300 394,375
*New Imperial Hotel Public Co., Ltd. (Foreign)........ 30,000 22,008
*Nithipat Finance Public Co., Ltd. (Foreign).......... 35,600 0
Patum Rice Mill & Granary Public Co., Ltd............. 5,500 2,665
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 35,700 17,540
Pizza Public Co., Ltd. (Foreign)...................... 21,000 70,669
*Prasit Development Public Co., Ltd. (Foreign)........ 29,700 5,837
Regional Container Lines Public Co., Ltd. (Foreign)... 9,000 7,753
*SCF Finance and Securities Co., Ltd. (Foreign)....... 17,000 0
Saha Pathana Inter-Holding Public Co., Ltd.
(Foreign)........................................... 16,000 14,215
*Saha-Union Public Co. Ltd. (Foreign)................. 93,000 36,304
*Sahaviriya Steel Industries Public Co., Ltd.
(Foreign)........................................... 168,300 19,483
*Securities One Public Co., Ltd. (Foreign)............ 255,431 61,889
*Shinawatra Satellite Public Co., Ltd. (Foreign)...... 332,500 268,542
*Siam City Credit Finance and Securities Public Co.,
Ltd. (Foreign)...................................... 18,200 0
*Siam Pulp & Paper Co., Ltd. (Foreign)................ 75,900 165,511
*Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign)........................................... 28,151 11,747
*Sri Trang Agro Industry Public Co., Ltd.............. 13,500 13,992
*Srithai Superware Public Co., Ltd. (Foreign)......... 6,000 2,988
*Sun Tech Group Public Co., Ltd. (Foreign)............ 27,200 586
*Supalai Public Co., Ltd. (Foreign)................... 17,300 2,794
*TCJ Motor Public Co., Ltd. (Foreign)................. 7,300 1,022
*TPI Polene Public Co., Ltd. (Foreign)................ 258,476 95,680
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 82,400 50,467
*Thai Military Bank Public Co., Ltd. (Foreign)........ 95,700 59,257
*Thai Modern Plastic Industry Public Co., Ltd.
(Foreign)........................................... 15,700 0
*Thai Pineapple Public Co., Ltd. (Foreign)............ 12,200 2,201
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 12,200 19,707
Thai Reinsurance Public Co., Ltd. (Foreign)........... 28,950 36,631
*Thai Rung Union Carbide Public Co., Ltd. (Foreign)... 13,200 11,194
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Thai Telephone & Telecommunication Public Co., Ltd.
(Foreign)........................................... 450,000 $ 93,283
Thai Union Frozen Products Co., Ltd................... 36,852 146,832
*Thai-Germany Products Public Co., Ltd. (Foreign)..... 37,050 0
*Tipco Asphalt Public Co., Ltd. (Foreign)............. 68,000 106,178
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 126,728 38,382
*United Communication Industry Public Co., Ltd.
(Foreign)........................................... 135,100 134,573
*Vanachai Group Public Co., Ltd. (Foreign)............ 22,100 2,677
*Vinythai Public Co., Ltd. (Foreign).................. 355,700 51,710
*Wall Street Finance and Securities Public Co., Ltd.
(Foreign)........................................... 13,400 0
------------
TOTAL COMMON STOCKS
(Cost $3,531,306).................................... 3,456,260
------------
RIGHTS/WARRANTS -- (0.1%)
*Hermaraj Land and Development Public Co., Ltd. Rights
Open Pay Date....................................... 38,000 0
*Jasmine International Public Co., Ltd. (Foreign)
Rights Open Pay Date................................ 200,000 0
*Securities One Public Co., Ltd. (Foreign) Warrants
09/16/00............................................ 255,431 12,378
*The Siam Industrial Credit Public Co., Ltd. (Foreign)
Warrants 1998-2003.................................. 5,325 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $1)............................................ 12,378
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Thailand Baht
(Cost $21).......................................... 21
------------
TOTAL -- THAILAND
(Cost $3,531,328).................................... 3,468,659
------------
ISRAEL -- (10.0%)
COMMON STOCKS -- (10.0%)
*Agis Industries (1983), Ltd.......................... 27,000 157,455
*Azorim Investment Development & Construction Co.,
Ltd................................................. 15,422 162,635
Baran................................................. 9,500 118,650
*Beit Shemesh Motor................................... 3,351 15,878
*Dead Sea Periclase................................... 13,028 34,600
*Discount Mortgage Bank, Ltd.......................... 1,320 88,525
Elco Industries (1975)................................ 6,000 61,233
Electra Consumer...................................... 20,300 188,920
Electra Israel, Ltd................................... 3,000 175,679
Electric Wire & Cable Co. of Israel, Ltd.............. 12,800 38,816
*Feuchtwanger Industies............................... 1,120 25,337
*Formula Systems...................................... 6,570 151,660
*Israel General Bank, Ltd............................. 3,222 91,287
Israel Land Development Co., Ltd...................... 26,000 146,570
*Israel Petrochemical Enterprises, Ltd................ 32,500 178,474
*Israel Salt Industries............................... 38,139 188,126
J.O.E.L. Jerusalem Oil Exploration, Ltd............... 6,178 12,010
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Maman Cargo Terminals & Handling, Ltd................. 33,600 $ 70,785
Matav Cable Israel.................................... 14,000 259,218
Mehadrin, Ltd......................................... 3,887 135,156
*Middle East Tube Co.................................. 19,000 9,603
*Miloumor............................................. 12,658 49,519
*Mishkan Hapoalim Mortgage Bank, Ltd. Series B........ 1,440 275,722
*Mul-t-lock, Ltd...................................... 20,500 35,865
*Naphta Israel Petroleum Corp......................... 105,630 9,753
*Nice Systems, Ltd.................................... 5,785 149,283
*Ormat Industries..................................... 54,000 79,384
Rapac Electronics, Ltd................................ 6,000 32,074
Tambour............................................... 64,000 91,907
Tefahot Israel Mortgage Bank, Ltd..................... 330 223,718
*Ytong Industries, Ltd................................ 52,500 155,634
------------
TOTAL -- ISRAEL
(Cost $2,785,813).................................... 3,413,476
------------
TURKEY -- (9.6%)
COMMON STOCKS -- (9.6%)
Adana Cimento Sanayi Ticaret A.S...................... 13,309,000 52,359
*Akal Tekstil A.S..................................... 926,625 7,633
*Aksa................................................. 3,545,000 81,935
Aksigorta A.S......................................... 6,135,000 196,103
Aksu Iplik Dokuma ve Boya Apre Fab A.S................ 1,938,397 7,507
*Aktas Elektrik Ticaret A.S........................... 370,000 70,052
*Alarko Holding....................................... 6,698,837 144,947
*Alarko Sanayii ve Ticaret A.S........................ 841,499 62,073
Altinyildiz Mensucat ve Konfeksiyan Fabrikalari
A.S................................................. 1,464,000 23,758
Anadolu Anonim Turk Sigorta Sirketi................... 2,508,000 26,517
Bagfas Bandirma Gubre Fabrik.......................... 1,100,000 46,656
*Bandirma Vitaminli Yem Sanayii Ticaret A.S........... 535,000 48,014
Bati Cimento A.S...................................... 1,069,999 34,860
*Bekoteknik Sanayi A.S................................ 2,712,888 44,692
Bolu Cimento Sanayi A.S............................... 2,580,287 21,888
Borusan............................................... 385,000 14,910
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 4,510,000 25,783
Bursa Cimento Fabrikasi A.S........................... 2,200,000 66,265
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 7,200,000 69,044
*Carsi Buyuk Magazacilik.............................. 589,000 27,879
*Cimentas A.S......................................... 2,290,000 60,530
*Deva Holding A.S..................................... 2,717,333 11,191
*Doktas............................................... 2,200,000 24,883
*Eczacibasi Ilac...................................... 6,188,000 95,855
*Eczacibasi Yapi Gere................................. 750,000 14,753
*Ege Seramik Co., Inc................................. 1,582,680 3,619
*Egeplast............................................. 386,000 4,318
*Erciyas Biracilik.................................... 2,000,000 55,323
*Es Kisehir Bankasi Esbank............................ 9,343,710 21,366
*Finansbank........................................... 33,039,486 152,321
Goltas Cimento........................................ 1,330,000 19,948
*Good Year Lastikleri A.S............................. 2,261,000 58,373
Gubre Fabrikalari Ticaret A.S......................... 216,000 2,895
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Gunes Sigorta A.S.................................... 2,190,000 $ 17,231
Guney Biracilik....................................... 1,110,200 51,866
*Hektas Ticaret A.S................................... 1,788,145 11,431
*Ihlas Holding........................................ 2,587,500 92,252
*Isiklar Amba......................................... 895,000 30,259
*Izmir Demir Celik.................................... 9,942,500 31,170
Karsu Tekstil......................................... 1,136,000 8,938
Kartonsan............................................. 998,750 44,817
Kav Orman Sanayii A.S................................. 3,003,000 21,044
Kent Gida Maddeleri Sanayii ve Ticaret A.S............ 544,000 36,115
Kepez Elektrik Ticaret A.S............................ 61,000 54,746
*Kerevitas Gida Sanayi ve Ticaret A.S................. 2,532,000 28,327
Konya Cimento......................................... 1,110,000 16,376
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 2,060,000 75,977
Marshall Boya ve Vernik Sanayii A.S................... 951,000 27,475
*Medya Holdings A.S. Series C......................... 15,849,000 45,789
*Merko Gida Sanayi ve Ticaret A.S. Series A........... 1,058,000 15,348
Milliyet Gazetecilik A.S.............................. 13,721,400 76,755
*Milpa Ticari ve Sinai Urunler Pazarlama.............. 1,530,000 22,572
Mutlu Aku............................................. 509,000 8,135
*Nergis Holding A.S................................... 892,000 8,115
*Nergis Holdings A.S. Issue 99........................ 892,000 0
*Net Holding A.S...................................... 4,918,032 18,743
*Net Turizm........................................... 3,366,000 21,105
Netas Northern Electric Telekomunikasyon A.S.......... 2,315,000 72,575
*Otobus Karoseri Sanayi A.S........................... 260,000 36,440
*Peg Profilo A.S...................................... 1,647,200 66,828
*Pinar Su Sanayi ve Ticaret A.S....................... 2,698,500 41,801
*Raks Elektroniks A.S................................. 2,730,000 10,237
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 2,627,838 32,307
*T. Tuborg Bira ve Malt Sanayi A.S.................... 2,087,500 22,841
*Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret
A.S................................................. 267,000 73,857
*Tat Konserve......................................... 1,229,250 37,781
Tekstil Bankasi A.S................................... 4,169,110 14,865
*Tekstil Bankasi A.S. Issue 99........................ 6,419,096 22,886
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,354,000 98,212
*Tofas Turk Otomobil Fabrikasi A.S.................... 6,297,200 89,805
*Trakya Cam Sanayii A.S............................... 5,500,800 62,217
*Turcas Petrolculuk A.S............................... 2,386,647 53,402
*Turk Demir Dokum..................................... 2,519,998 30,981
*Turk Dis Ticaret Bankasi A.S......................... 15,842,572 74,012
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 622,500 20,663
*USAS (Ucak Servisi A.S.)............................. 30,000 29,137
Vakif Finansal Kiralama A.S........................... 1,994,623 5,517
*Yasarbank A.S........................................ 6,205,102 16,783
Yunsa Yunlu Sanayi ve Ticaret A.S..................... 619,000 10,350
------------
TOTAL COMMON STOCKS
(Cost $3,627,282).................................... 3,286,333
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Aksu Iplik Dokuma ve Boya Apre Fab A.S. Rights
06/11/99............................................ 1,938,397 $ 274
*Gubre Fabrikalari Ticaret A.S. Rights 06/28/99....... 216,000 7,894
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 8,168
------------
TOTAL -- TURKEY
(Cost $3,627,282).................................... 3,294,501
------------
BRAZIL -- (9.5%)
PREFERRED STOCKS -- (7.9%)
*Acesita SA........................................... 60,000,000 22,478
*Acos Villares SA..................................... 120,000 2,421
Alpargatas-Santista Textil SA......................... 300,000 11,239
Banco America do Sul SA............................... 610,000 3,692
*Banco Bandeirantes SA................................ 700,000 2,120
Banco Mercantil do Brasil SA.......................... 130,000 13,113
*Banco Noroeste SA.................................... 70,000 38,328
Banco Real SA......................................... 66,000 55,538
Bombril S.A........................................... 5,900,000 20,743
Brasiliero de Petroleo Ipiranga....................... 13,000,000 81,670
Brasmotor SA.......................................... 380,000 29,348
*CELG Series B........................................ 357,316 2,484
COFAP (Cia Fabricadora De Pecas)...................... 6,000 25,072
*Cambuci SA........................................... 84,000 484
Cent Elet Cachoeira Doura............................. 722,683 17,094
Cia Siderurgica Belgo-Mineira......................... 2,650,000 74,077
Cimento Portland Itau................................. 1,130,000 109,417
Companhia Siderurgica de Tubarao Sid Tubarao.......... 12,400,000 110,777
Confab Industrial SA.................................. 27,000 23,343
Consorcio Real Brasileiro de Administracao SA Series
F................................................... 19,000 12,593
Coteminas Cia Tecidos Norte de Minas.................. 733,426 49,881
Distribuidora de Produtos Petreleo Ipirangi SA........ 3,900,000 31,694
Duratex SA............................................ 2,000,000 54,178
ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B............................................ 13,156,000 41,666
Electrolux do Brasil SA............................... 40,600,000 19,890
Embraer Empresa Brasileira de Aeronautica Series A.... 7,200,000 74,697
*Forca Luz Cataguazes Leopoldina Series A............. 23,400,000 14,836
Francisco Stedile SA Series A......................... 20,200,000 9,896
Gerdau SA............................................. 15,623,172 233,219
Globex Utilidades SA.................................. 18,000 87,146
*Gradiente Eletronica SA.............................. 2,600 1,648
*IKPC Industrias Klabin de Papel e Celulose SA........ 220,000 72,276
Industria de Bebidas Antarctica Minas Gerais
Antarctic........................................... 171,000 14,784
Industria de Bebidas Antarctica Polar SA.............. 23,000 20,812
Industrias Villares SA................................ 58,000 268
Inepar SA Industria e Construcoes..................... 9,900,000 25,563
*Inepar-Fem Equipamentos e Montagem SA................ 1,260 0
Iven SA............................................... 148,000 11,772
Lojas Americanas SA................................... 8,000,000 38,732
</TABLE>
273
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Lojas Renner SA....................................... 900,000 $ 20,749
*Manah SA............................................. 900,000 6,214
Marcopolo SA.......................................... 20,000 18,444
Marisol SA Industria do Vestuario..................... 36,000 17,222
*Metal Leve SA........................................ 2,500,000 23,487
Metalurgica Barbara................................... 25,300,000 27,706
Metalurgica Gerdau SA................................. 2,862,847 67,651
Mineracao da Trinidade Samitri........................ 6,058,800 62,857
Multibras Eletrodomesticos SA......................... 190,000 62,420
Oxiteno SA Industria e Comercio....................... 12,160 41,981
*Paranapanema SA...................................... 6,200,000 9,827
Perdigao SA NPV....................................... 55,000,000 77,665
Pirelli Cabos SA...................................... 29,000 60,172
Pirelli Pneus SA...................................... 33,000 76,080
Randon Participacoes SA............................... 51,000,000 9,112
Real Consorcio Part Pfd............................... 19,000 21,902
Refinaria de Petroleo Ipiranga SA..................... 3,600,000 25,936
Renner Herrmann SA.................................... 28,000 10,006
Renner Participacoes SA............................... 900,000 858
Sadia Oeste SA Inclusttia e Comercio Soes............. 155,000 97,376
*Serrana SA........................................... 55,000 17,118
*Sharp SA Equipamentos Eletronicos.................... 30,200,000 3,481
Tam Transportes Aereos Regionais SA................... 1,150,000 24,524
Teleleste Celular Participacoes SA.................... 81,500,000 48,852
Telemig Celular Participacoes SA...................... 81,400,000 117,290
Telenordeste Celular Participacoes SA................. 92,800,000 143,878
Telenorte Celular Participacoes SA.................... 81,400,000 49,262
*Usinas Siderurgicas de Minas Gerais.................. 535 5,859
Varig SA Viacao Aerea Riograndense.................... 16,000 4,980
Weg SA................................................ 165,000 60,864
Wembley Roupas SA..................................... 10,300,000 18,997
------------
TOTAL PREFERRED STOCKS
(Cost $3,581,602).................................... 2,691,759
------------
COMMON STOCKS -- (1.6%)
*Acos Especiais Itabira-Acesita Aces.................. 42,900,000 14,094
Avipal SA Avicultura e Agropecua...................... 15,900,000 17,412
*Compania de Electricidade da Bahia Coelba............ 3,600,000 96,483
Copene-Petroquimica do Nordeste SA Series A........... 390,000 68,109
Elevadores Atlas SA................................... 6,710 95,525
Embraco SA............................................ 160,000 52,564
Eternit SA............................................ 120,000 19,850
Inepar Energia SA..................................... 1,016 0
Makro Atacadista SA................................... 47,000 36,706
*Mannesmann SA........................................ 215,000 16,109
Metalurgica Gerdau.................................... 161,519 2,979
Monteiro Aranha SA.................................... 2,868,168 11,481
*Rhodia Ster SA....................................... 124,000 4,288
Sao Paulo Alpargatas SA............................... 510,000 20,581
*Tele Centro Oeste Celular Participacoes SA........... 83,700,000 101,307
------------
TOTAL COMMON STOCKS
(Cost $714,312)...................................... 557,488
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Tele Centro Oeste Celular Participacoes SA Preferred
Rights 06/30/99..................................... 7,508,993 $ 1,428
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 1,428
------------
TOTAL -- BRAZIL
(Cost $4,295,914).................................... 3,250,675
------------
MEXICO -- (8.6%)
COMMON STOCKS -- (8.5%)
*Abaco Grupo Financiero S.A. de C.V. Series B......... 108,000 0
*Altos Hornos de Mexico S.A........................... 33,000 9,249
*Biper S.A. de C.V. Series B.......................... 131,000 14,792
*Bufete Industrial S.A. (Certificates representing 3
shares Series L & 1 share Series B)................. 24,000 24,439
*Cintra S.A. de C.V................................... 137,000 55,817
*Corporacion Geo S.A. de C.V. Series B................ 37,000 139,268
*Corporacion Interamericana de Entramiento S.A. de
C.V. Series B....................................... 39,000 122,991
Embotelladoras Argos S.A. de C.V...................... 98,000 107,670
*Embotelladores del Valle Anahuac S.A. de C.V. Series
B................................................... 39,000 27,375
*Empaques Ponderosa S.A. de C.V. Series B............. 136,000 105,978
Empresas ICA Sociedad Controladora S.A. de C.V........ 106,000 106,755
Farmacias Benavides S.A. de C.V. Series B............. 54,000 55,758
*Grupo Casa Autrey S.A. de C.V........................ 104,000 45,493
Grupo Cementos de Chihuahua S.A. de C.V. Series B..... 152,000 115,972
Grupo Continental S.A................................. 130,000 207,630
*Grupo Corvi S.A. de C.V. Series L.................... 100,000 19,634
Grupo Fernandez Editores S.A. de C.V. Series B........ 103,000 6,234
*Grupo Financiero BBV Probursa S.A. de C.V. Series
B................................................... 918,644 121,489
*Grupo Financiero del Norte S.A. Series C............. 187,000 235,129
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 124,000 0
*Grupo Financiero Santander Mexicano S.A. de C.V.
Sanmex Series B..................................... 34,513 19,416
*Grupo Financiero Serfin S.A. de C.V. Series B........ 723,000 45,601
*Grupo Herdez S.A. de C.V. Series B................... 107,000 31,567
Grupo Industrial Maseca S.A. de C.V. Series B......... 68,000 42,889
*Grupo Posadas S.A. de C.V. Series L.................. 199,000 132,802
*Grupo Tribasa S.A. de C.V............................ 64,000 45,575
*Hylsamex S.A. de C.V. Series B....................... 42,000 92,289
*Industrias S.A. de C.V. Series B..................... 33,000 90,809
Jugos del Valle S.A. de C.V. Series B................. 20,000 13,632
Nacional de Drogas S.A. de C.V. Series L.............. 210,000 142,492
Pepsi-Gemex SA de CV Pepsigx.......................... 81,000 119,316
</TABLE>
274
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sanluis Corporacion S.A. de C.V.(Certificates
representing 1 share Series B, 1 share Series C & 1
share Series D)..................................... 51,000 $ 102,726
Sigma Alimentos S.A. de C.V........................... 61,000 122,248
Sistema Argos S.A. de C.V. Series B................... 50,000 11,063
Tablex S.A. de C.V. Series 2.......................... 33,000 66,134
*Transportacion Maritima Mexicana S.A. de C.V. Series
L................................................... 24,000 137,945
Tubos de Acero de Mexico S.A.......................... 10,000 90,539
Vitro S.A............................................. 51,000 98,576
------------
TOTAL COMMON STOCKS
(Cost $3,961,394).................................... 2,927,292
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Mexican Peso
(Cost $22,917)...................................... 22,350
------------
RIGHTS/WARRANTS -- (0.0%)
*Grupo Herdez S.A. de C.V. Series B Rights 06/11/99
(Cost $0)........................................... 36,074 0
------------
TOTAL -- MEXICO
(Cost $3,984,311).................................... 2,949,642
------------
MALAYSIA -- (8.4%)
COMMON STOCKS -- (8.4%)
AMMB Holdings Berhad.................................. 86,000 131,263
Affin Holdings Berhad................................. 113,000 71,844
Amalgamated Industrial Steel Berhad................... 10,000 3,495
*Anson Perdana Berhad................................. 10,000 2,421
Antah Holding Berhad.................................. 23,000 5,423
*Aokam Perdana Berhad................................. 733 2,848
Arab Malaysian Development Berhad..................... 58,000 8,120
Asas Dunia Berhad..................................... 16,000 4,615
*Asia Pacific Land Berhad............................. 70,000 8,547
Asiatic Development Berhad............................ 118,000 33,537
Austral Enterprises Berhad............................ 31,000 26,105
Ayer Hitam Planting Syndicate Berhad.................. 2,000 5,726
*Berjaya Industrial Berhad............................ 55,000 5,326
Berjaya Singer Berhad................................. 28,000 8,371
*Bimb Holdings Berhad................................. 134,600 69,142
*Bolton Properties Berhad............................. 18,000 10,952
CCM Bioscience........................................ 833 593
Cahya Mata Sarawak Berhad............................. 66,000 35,848
Cement Industries of Malaysia Berhad.................. 13,000 7,745
Chemical Co. of Malaysia Berhad....................... 51,000 53,684
Chin Teck Plantations Berhad.......................... 10,000 13,474
Country Heights Holdings Berhad....................... 20,800 15,589
Cycle & Carriage Bintang Berhad....................... 15,000 25,895
DMIB Berhad........................................... 30,000 7,200
DNP Holdings Berhad................................... 34,000 7,587
*Damansara Realty Berhad.............................. 65,000 7,800
Datuk Keramik Holdings Berhad......................... 24,000 5,255
Diperdana Corp. Berhad................................ 3,000 1,693
Edaran Otomobil Nasional Berhad....................... 18,000 41,305
Esso Malaysia Berhad.................................. 43,000 29,874
*FACB Berhad.......................................... 66,000 7,364
FCW Holdings Berhad................................... 16,000 4,042
*Faber Group Berhad................................... 32,000 4,177
Federal Flour Mills Berhad............................ 20,000 15,663
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fraser & Neave Holdings Berhad........................ 27,000 $ 31,263
Gadek (Malaysia) Berhad............................... 11,000 7,827
Gamuda Berhad......................................... 60,000 87,158
*Golden Plus Holdings Berhad.......................... 16,000 3,739
Gopeng Berhad......................................... 17,000 3,615
*Granite Industries Berhad............................ 22,000 4,632
Guthrie Ropel Berhad.................................. 11,000 8,568
*HLG Capital Berhad................................... 12,000 5,103
Hap Seng Consolidated Berhad.......................... 67,000 32,019
Hock Hua Bank Berhad (Foreign)........................ 21,000 31,168
Hong Leong Industries Berhad.......................... 47,000 38,392
Hong Leong Properties Berhad.......................... 112,000 29,709
Hume Industries (Malaysia) Berhad..................... 52,000 47,293
IGB Corp. Berhad...................................... 90,000 33,726
IJM Corp. Berhad...................................... 56,000 35,368
*Idris Hydraulic (Malaysia) Berhad.................... 89,000 12,460
*Insas Berhad......................................... 56,000 9,903
Island & Peninsular Berhad............................ 57,000 38,880
Johan Holdings Berhad................................. 30,000 4,547
KFC Holdings (Malaysia) Berhad........................ 29,000 30,832
*Kamunting Corp. Berhad............................... 40,000 6,568
Keck Seng (Malaysia) Berhad........................... 23,000 8,135
*Kedah Cement Holdings Berhad......................... 111,000 55,850
Kelang Container Terminal Berhad...................... 12,000 8,337
*Kemayan Corp. Berhad................................. 31,000 2,839
Kian Joo Can Factory Berhad........................... 29,000 41,821
*Kretam Holdings Berhad............................... 30,000 9,158
Kuala Sidim Berhad.................................... 31,000 32,958
Kulim Malaysia Berhad................................. 53,000 23,766
Ladang Perbadanan-Fima Berhad......................... 11,000 7,874
Landmarks Berhad...................................... 78,000 17,078
*Larut Consolidated Berhad............................ 18,000 4,168
*Leader Universal Holdings Berhad..................... 69,000 18,448
*Lingkaran Trans Kota Holdings Berhad................. 87,000 73,629
Lion Corp. Berhad..................................... 15,600 4,434
*MBF Holdings Berhad.................................. 106,000 4,575
*MBF Land Berhad...................................... 65,000 6,842
MUI Properties Berhad................................. 75,200 9,499
Malayan Cement Berhad................................. 65,750 33,636
Malayawata Steel Berhad............................... 21,000 5,305
Malaysia Assurance Alliance Berhad.................... 20,800 21,544
Malaysia Building Society Berhad...................... 35,000 10,832
Malaysia Industrial Development Finance Berhad........ 133,000 49,840
Malaysia Mining Corp. Berhad.......................... 181,000 70,876
Malaysian Airlines System............................. 167,000 164,539
Malaysian Helicopter Services Berhad.................. 110,000 25,937
Malaysian Mosaics Berhad.............................. 27,000 8,811
Malaysian Pacific Industries.......................... 45,000 84,316
*Malaysian Plantations Berhad......................... 28,000 8,429
Malaysian Tobacco Co. Berhad.......................... 20,000 18,779
Malex Industries Berhad............................... 58,000 31,747
*Mancon Berhad........................................ 12,000 1,730
Maruichi Malaysia Steel Tube Berhad................... 8,000 5,659
Matsushita Electric Co. (Malaysia) Berhad............. 3,520 10,004
Mulpha International Berhad........................... 133,750 18,725
Nam Fatt Berhad....................................... 9,000 3,278
Negara Properties (Malaysia) Berhad................... 5,000 4,179
Nylex (Malaysia) Berhad............................... 12,000 5,709
OSK Holdings.......................................... 28,000 17,095
</TABLE>
275
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Olympia Industries Berhad............................ 104,000 $ 17,406
*Pacific Chemicals Berhad............................. 11,000 3,960
Pan Pacific Asia Berhad............................... 12,000 5,154
*Panglobal Berhad..................................... 14,000 2,034
*Parit Perak Holdings Berhad.......................... 13,000 2,491
Peladang Kimia Berhad................................. 14,000 5,600
Pelangi Berhad........................................ 106,000 30,573
Pernas International Holdings Berhad.................. 71,000 18,236
Petaling Garden Berhad................................ 47,000 24,242
Phileo Allied Berhad.................................. 54,000 29,672
Phileo Land Berhad.................................... 12,000 2,931
Pilecon Engineering Berhad............................ 21,000 4,996
Prime Utilities Berhad................................ 3,000 2,425
*Promet Berhad........................................ 52,000 3,175
*Rashid Hussain Berhad................................ 47,000 36,413
SP Settia Berhad...................................... 7,000 6,307
Samanda Holdings Berhad............................... 23,000 30,263
Selangor Properties Berhad............................ 89,000 37,099
Shangri-la Hotels (Malaysia) Berhad................... 110,000 33,347
Sime UEP Properties Berhad............................ 84,000 84,531
Southern Bank Berhad (Foreign)........................ 151,000 88,693
*Southern Steel Berhad................................ 45,000 14,211
Sriwani Holdings Berhad............................... 12,000 3,411
*Sungei Way Holdings Berhad........................... 63,000 23,078
Ta Enterprise Berhad.................................. 107,000 35,366
Talam Corp. Berhad.................................... 14,000 3,331
Tan & Tan Developments Berhad......................... 77,000 25,937
Tasek Cement Berhad................................... 37,000 20,798
*Tongkah Holdings Berhad.............................. 14,000 4,333
Tradewinds (Malaysia) Berhad.......................... 49,000 24,242
UMW Holdings Berhad................................... 54,800 76,720
United Malacca Rubber Estates Berhad.................. 9,000 10,516
United Malayan Land Berhad............................ 13,000 8,169
United Plantations Berhad............................. 33,000 30,568
*Westmont Industries Berhad........................... 23,000 4,309
*Westmont Land (Asia) Berhad.......................... 20,000 3,326
*Wing Tiek Holdings Berhad............................ 8,000 1,499
Worldwide Holdings Berhad............................. 16,000 5,423
------------
TOTAL -- MALAYSIA
(Cost $4,493,025).................................... 2,880,459
------------
ARGENTINA -- (4.7%)
COMMON STOCKS -- (4.7%)
Acindar Industria Argentina de Aceros SA Series B..... 50,000 60,045
*Alpargatas SA Industrial y Comercial................. 140,000 13,450
*Atanor Cia Nacional para la Industria Quimica SA
Series D............................................ 37,747 21,155
*Banco del Sud Sociedad Anonima Series B.............. 29,000 81,261
Bco del Suqu.......................................... 63,000 96,462
CIADEA SA............................................. 68,000 102,076
*Capex SA Series A.................................... 10,000 50,037
*Celulosa Argentina SA Series B....................... 25,500 2,552
Central Puerto SA Series B............................ 43,000 94,671
Cinba SA Cia de Bebidao y Alimentos SA................ 15,000 9,157
Corcemar SA Series B.................................. 19,000 82,712
Cresud SA Comercial Industrial Financiera y
Agropecuaria........................................ 84,401 90,377
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Dycasa Dragados y Construcciones Argentina SA Series
B................................................... 23,052 $ 38,064
*Ferrum SA de Ceramica y Metalurgica Series B......... 21,000 17,863
*Fiplasto SA Comercial y Industrial Series B.......... 6,000 2,282
*Garovaglio y Zorraquin SA............................ 14,160 11,053
Importadora y Exportadora de la Patagonia Series B.... 11,500 78,259
*Indupa SA Industrial y Comercial..................... 196,000 113,177
Introductora de Buenos Aires SA Series A.............. 16,840 20,056
Ledesma SA............................................ 75,000 42,782
Massalin Particulares SA Series B..................... 41,000 281,061
*Morixe Hermanos SA................................... 9,000 6,485
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 22,000 71,554
*Polledo SA Industrial y Constructora y Financiera.... 88,891 112,976
*Quimica Estrella SA Series B......................... 27,200 27,765
*Sociedad Comercial del Plata......................... 150,000 63,648
*Sol Petroleo SA...................................... 25,662 24,269
------------
TOTAL COMMON STOCKS
(Cost $2,018,533).................................... 1,615,249
------------
PREFERRED STOCKS -- (0.0%)
Quimica Estrella SA 10% Cumulative Convertible Series
B
(Cost $3,163)....................................... 3,260 3,034
------------
RIGHTS/WARRANTS -- (0.0%)
*Sol Petroleo SA Rights 05/24/99...................... 10,462 10
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 10
------------
TOTAL -- ARGENTINA
(Cost $2,021,696).................................... 1,618,293
------------
INDONESIA -- (1.4%)
COMMON STOCKS -- (1.4%)
*Medco Energi Corporation Tbk......................... 48,000 18,286
*PT Aneka Kimia Raya Tbk.............................. 49,000 2,258
*PT Anwar Sierad Tbk.................................. 58,000 2,138
*PT Apac Centretex Corporation Tbk.................... 122,000 5,997
*PT Argha Karya Prima Industry Tbk.................... 90,666 3,203
*PT Asahimas Flat Glass Co., Ltd...................... 65,000 6,590
PT Asuransi Lippo Life Insurance Tbk.................. 448,500 30,313
PT Bakrie Sumatra Plantations Tbk..................... 49,000 4,817
*PT Bank Bira Tbk..................................... 162,800 2,501
*PT Bank International Indonesia (Foreign)............ 93,994 2,599
*PT Bank Mashill Utama Tbk............................ 88,400 272
*PT Bank Niaga Tbk.................................... 55,926 3,436
*PT Bank PDFCI (Foreign).............................. 44,000 1,217
*PT Bank Tiara Asia (Foreign)......................... 43,000 3,435
*PT Batu Buana........................................ 77,715 2,149
*PT Bdni Capital Corp. Tbk............................ 364,000 8,946
PT Berlian Laju Tanker Tbk............................ 36,400 5,032
*PT Branta Mulia Tbk.................................. 66,000 2,636
*PT Bukaka Teknik Utam................................ 36,000 1,217
*PT Ciputra Development Tbk........................... 75,000 3,456
PT Citra Marga Nusaphala Persada...................... 150,000 8,295
*PT Darya-Varia Laboratoria........................... 33,000 4,055
</TABLE>
276
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*PT Davomas Adabi..................................... 40,000 $ 2,581
*PT Dharmal Sakti Sejahtera Tbk....................... 258,666 3,973
*PT Dharmala Agrifood Tbk............................. 92,500 568
*PT Dharmala Intiland................................. 277,400 5,113
*PT Duta Anggada Realty Tbk........................... 132,000 4,055
PT Duta Pertiwi....................................... 132,000 8,111
*PT Ever Shine Textile................................ 75,000 5,299
*PT Fajar Surya Wisesa Tbk............................ 53,000 5,373
*PT Ficorinvest Bank (Foreign)........................ 77,000 473
*PT Gajah Tunggal Tbk................................. 236,000 13,776
*PT Great River International......................... 93,000 5,428
*PT GT Petrochem Industries Tbk....................... 246,000 10,581
*PT Hero Supermarket Tbk.............................. 33,000 7,502
*PT Indal Aluminium Industry.......................... 47,000 2,166
*PT Inti Indorayo Utama............................... 63,000 3,677
*PT Jakarta International Hotel and Development Tbk... 57,000 5,253
*PT Kalbe Farma Tbk................................... 64,000 13,173
*PT Karwell Indonesia................................. 138,000 11,871
*PT Kawasan Industry Jababeka Tbk..................... 47,000 2,888
*PT Keramika Indonesia Assosiasi Tbk.................. 100,000 2,919
PT Lippo Securities Tbk............................... 659,600 24,317
*PT Matahari Putra Prima Tbk.......................... 66,000 6,083
PT Mayorah Indah...................................... 114,000 10,507
*PT Miwon Indonesia................................... 20,000 2,458
*PT Modern Bank Tbk................................... 72,333 667
*PT Modern Photo Tbk.................................. 40,000 8,479
*PT Mutlipolar Corporation Tbk........................ 455,000 11,183
*PT Ometraco Corporation Tbk.......................... 38,000 3,736
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 90,000 30,691
*PT Pakuwon Jati Tbk.................................. 63,000 1,355
*PT Panasia Indosyntec Tbk............................ 79,000 3,398
*PT Perdan Inti Investama Tbk......................... 69,333 426
*PT Plaza Indonesia Realty Tbk........................ 20,000 4,055
*PT Prasidha Aneka Niaga Tbk.......................... 84,000 3,097
PT Pudjiadi Prestige, Ltd. Tbk........................ 45,500 1,957
*PT Putra Sejahtera Pioneerindo....................... 29,000 624
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*PT Sekar Bumi Tbk.................................... 60,000 $ 2,120
*PT Sinar Mas Agro Resources and Technology
Corporation Tbk..................................... 74,400 45,257
*PT Sorini Corporation................................ 43,000 1,453
*PT Surabaya Agung Industri Pulp & Paper.............. 64,500 3,765
*PT Suryamas Dutamakmur............................... 125,000 3,456
PT Tempo Scan Pacific................................. 22,000 6,083
*PT Texmaco Jaya Tbk.................................. 93,000 35,143
*PT Ultrajaya Milk Industry & Trading Co.............. 52,000 5,591
*PT Unggul Indah Corp. Tbk............................ 38,000 5,604
*PT United Tractors................................... 20,000 3,318
*PT Wicaksana Overseas International.................. 28,560 1,360
Tamara Bank Tbk....................................... 89,124 1,369
------------
TOTAL -- INDONESIA
(Cost $3,288,352).................................... 465,180
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (4.4%)
Repurchase Agreement, Chase Manhattan Bank N.A. 4.55%,
06/01/99 (Collateralized by U.S. Treasury Notes
5.625%, 12/31/02, valued at $1,526,769) to be
repurchased at $1,492,754.
(Cost $1,492,000)................................... $ 1,492 1,492,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $39,395,987)++..... $ 34,184,565
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
277
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (62.8%)
Abbott Laboratories C.P.
4.750%, 06/08/99................................... $ 1,000 $ 999,057
BP America C.P.
4.920%, 06/01/99................................... 5,000 5,000,000
Bayer Corp. C.P.
4.780%, 06/22/99................................... 9,000 8,974,485
4.800%, 06/25/99................................... 18,000 17,941,680
BellSouth Capital Funding C.P.
4.810%, 07/23/99................................... 4,000 3,972,093
4.800%, 07/26/99................................... 19,000 18,859,795
CC (USA), Inc. C.P.
4.860%, 07/26/99................................... 7,500 7,444,656
Caisse des Depots et Consignations C.P.
4.770%, 06/04/99................................... 12,000 11,995,150
4.770%, 06/08/99................................... 15,000 14,985,854
Campbell Soup Co. C.P.
4.780%, 06/11/99................................... 10,500 10,485,942
Canadian Wheat Board C.P.
4.770%, 07/22/99................................... 12,300 12,215,837
Ciesco L.P. C.P.
4.780%, 07/09/99................................... 16,000 15,918,426
Coca-Cola Co. C.P.
4.750%, 06/08/99................................... 9,000 8,991,512
Corporate Asset Funding Corp. C.P.
4.850%, 06/14/99................................... 24,000 23,958,226
4.840%, 07/07/99................................... 3,000 2,985,510
Dresdner U.S. Finance, Inc. C.P.
4.790%, 06/14/99................................... 27,000 26,953,004
Electricite de France C.P.
4.780%, 06/14/99................................... 13,500 13,476,502
Emerson Electric Co. C.P.
4.770%, 06/09/99................................... 1,000 998,929
Enterprise Funding Corp. C.P.
4.830%, 06/15/99................................... 5,185 5,175,220
Gannett Co. C.P.
4.780%, 06/14/99................................... 14,000 13,975,480
Glaxo Wellcome P.L.C. C.P.
4.770%, 07/19/99................................... 25,000 24,837,333
Govco, Inc. C.P.
4.870%, 06/15/99................................... 4,400 4,391,667
4.850%, 06/25/99................................... 10,000 9,967,600
Kittyhawk Funding Corp. C.P.
4.830%, 06/07/99................................... 10,000 9,991,916
4.800%, 06/11/99................................... 3,000 2,995,983
4.810%, 06/17/99................................... 2,395 2,389,880
Metlife Funding, Inc. C.P.
4.780%, 06/14/99................................... 1,000 998,259
4.780%, 06/16/99................................... 4,000 3,991,966
National Rural Utilities C.P.
4.820%, 06/07/99................................... 5,000 4,995,917
4.820%, 06/17/99................................... 1,800 1,796,112
4.770%, 07/21/99................................... 6,700 6,654,589
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Novartis Finance Corp. C.P.
4.800%, 06/08/99................................... $ 27,500 $ 27,473,798
Oesterreich Kontrollbank C.P.
4.800%, 06/01/99................................... 3,500 3,500,000
Paccar Financial Corp. C.P.
4.780%, 06/02/99................................... 4,000 3,999,461
4.820%, 06/18/99................................... 14,000 13,968,200
4.780%, 08/12/99................................... 8,000 7,922,240
Pfizer, Inc. C.P.
4.750%, 06/04/99................................... 28,000 27,988,682
Procter & Gamble Co. C.P.
4.770%, 06/24/99................................... 13,000 12,960,050
Sara Lee Corp. C.P.
4.750%, 06/02/99................................... 6,600 6,599,110
Sheffield Receivables Corp. C.P.
4.830%, 06/14/99................................... 11,000 10,980,853
4.840%, 06/25/99................................... 13,000 12,958,313
Shell Financial U.K. C.P.
4.790%, 07/02/99................................... 18,000 17,925,134
4.770%, 07/21/99................................... 6,000 5,959,750
Shell Oil Co. C.P.
4.760%, 06/28/99................................... 8,900 8,867,893
Sigma Finance Corp. C.P.
4.880%, 06/01/99................................... 1,031 1,031,000
Smithkline Beecham Corp. C.P.
4.830%, 06/04/99................................... 10,000 9,995,958
Statoil Corp. C.P.
4.830%, 06/18/99................................... 22,600 22,548,666
Swedish Export Credit Corp. C.P.
4.780%, 07/16/99................................... 28,000 27,830,950
Toyota Motor Credit Corp. C.P.
4.790%, 06/22/99................................... 9,500 9,473,344
4.750%, 06/25/99................................... 10,000 9,967,933
USAA Capital Corp. C.P.
4.820%, 07/27/99................................... 3,500 3,473,703
Windmill Funding Corp. C.P.
4.820%, 06/11/99................................... 21,000 20,971,883
4.820%, 07/09/99................................... 7,000 6,964,311
------------
TOTAL COMMERCIAL PAPER
(Cost $571,695,402).................................. 571,679,812
------------
AGENCY OBLIGATIONS -- (14.5%)
Federal Farm Credit Bank
5.125%, 04/02/01................................... 28,000 27,749,591
Federal Home Loan Bank
5.375%, 03/02/01................................... 27,000 26,879,639
5.125%, 04/17/01................................... 23,000 22,786,187
Federal National Mortgage Association
5.310%, 05/18/01................................... 27,000 26,830,929
5.440%, 05/21/01................................... 28,000 27,891,144
------------
TOTAL AGENCY OBLIGATIONS
(Cost $132,674,271).................................. 132,137,490
------------
</TABLE>
278
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
BONDS -- (13.5%)
American International Group, Inc. Medium Term Notes
5.375%, 03/26/01................................... $ 6,464 $ 6,416,167
Associates Corp. of North America Corporate Bonds
5.850%, 01/15/01................................... 10,000 9,997,000
Associates Corp. of North America Medium Term Notes
5.600%, 01/15/01................................... 10,000 9,998,000
Citicorp Corporate Bonds
5.625%, 02/15/01................................... 7,600 7,565,800
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 15,000 14,871,000
General Electric Capital Corp. Medium Term Notes
5.190%, 01/16/01................................... 14,000 13,902,000
Interamerican Development Bank Corporate Bonds
5.125%, 02/22/01................................... 14,468 14,323,320
Norwest Financial, Inc. Corporate Bonds
5.500%, 03/19/01................................... 18,000 17,820,000
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 28,000 27,781,600
------------
TOTAL BONDS
(Cost $123,498,540).................................. 122,674,887
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
VARIABLE RATE
OBLIGATIONS -- (9.0%)
Chase Manhattan Corp.
***5.298%, 08/24/99................................ $ 26,000 $ 26,000,000
FCC National Bank
***5.036%, 07/29/99................................ 13,000 13,000,000
Key Bank N.A.
***5.245%, 08/02/99................................ 15,000 14,998,500
NationsBank Corporation
***5.098%, 08/26/99................................ 28,000 27,904,800
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $81,995,108)................................... 81,903,300
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc.
4.60%, 06/01/99 (Collateralized by U.S. Treasury
Notes 6.25%, 01/31/02, valued at $2,333,925) to
be repurchased at $2,298,174
(Cost $2,297,000)................................ 2,297 2,297,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $912,160,321)++................................ $910,692,489
------------
------------
- --------------------
+ 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.
279
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (46.8%)
BONDS -- (31.9%)
Abbey National Treasury Services P.L.C.
5.750%, 03/06/01................................... 9,000 $ 8,968,500
Belgium (Kingdom of)
5.375%, 02/28/01................................... 5,000 4,962,950
Canada Mortgage and Housing Corp. Medium Term Notes
6.125%, 12/01/00................................... 12,000 12,027,600
Canadian Government Medium Term Notes
5.500%, 01/30/01................................... 4,700 4,681,200
Export-Import Bank of Japan
8.375%, 02/26/01................................... 10,000 10,391,600
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 10,000 10,000,000
Japanese Development Bank Medium Term Notes
8.375%, 02/15/01................................... 4,000 4,148,000
KFW International Finance, Inc.
5.750%, 12/01/00................................... 8,000 8,032,000
Landesbank Baden-Wuerttemberg
6.250%, 02/07/01................................... 4,500 4,523,670
Landesbank Rheinland-Pfalz Girozentrale Mainz
5.500%, 02/28/01................................... 5,000 4,960,500
Natexis Banque Medium Term Notes
6.000%, 11/06/00................................... 9,000 9,027,900
Nederlandse Waterschapsbank N.V. Medium Term Notes
5.500%, 02/20/01................................... 12,700 12,620,625
Oesterreichische Kontrollbank AG
8.500%, 03/06/01................................... 8,000 8,332,000
Rabobank Nederland
6.000%, 03/12/01................................... 4,500 4,509,225
Societe Nationale des Chemins de fer Belgium Medium
Term Notes
8.250%, 02/02/00................................... 4,000 4,060,000
Statoil Den Norske Stats Oljeselskap AS
6.250%, 10/10/00................................... 12,000 12,056,400
Toyota Motor Credit Corp.
6.125%, 10/11/00................................... 5,679 5,692,060
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 13,000 12,898,600
Wal-Mart Stores, Inc. Medium Term Notes
6.125%, 11/21/00................................... 5,000 5,009,000
------------
TOTAL BONDS
(Cost $147,679,754).................................. 146,901,830
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (6.9%)
Caisse des Depots et Consignations C.P.
4.770%, 06/04/99................................... 13,000 $ 12,994,745
Corporate Asset Funding Corp. C.P.
4.840%, 07/07/99................................... 6,000 5,971,020
Enterprise Funding Corp. C.P.
4.900%, 07/13/99................................... 3,000 2,982,990
Paccar Financial Corp. C.P.
4.820%, 06/18/99................................... 6,000 5,986,372
Toyota Motor Credit Corp. C.P.
4.750%, 06/25/99................................... 4,000 3,987,173
------------
TOTAL COMMERCIAL PAPER
(Cost $31,922,319)................................... 31,922,300
------------
VARIABLE RATE OBLIGATIONS -- (5.2%)
***Chase Manhattan Corp.
*5.298%, 08/24/99.................................. 12,000 12,000,000
***Key Bank N.A.
5.245%, 08/02/99................................... 12,000 11,998,800
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $24,000,000)................................... 23,998,800
------------
AGENCY OBLIGATIONS -- (2.8%)
Federal National Mortgage Association
5.440%, 05/21/01................................... 13,000 12,949,460
------------
TOTAL -- UNITED STATES
(Cost $216,580,562).................................. 215,772,390
------------
GERMANY -- (21.5%)
BONDS -- (21.5%)
Allgemeine Hypotheken-Bank AG
4.500%, 12/20/99................................... 4,602 4,857,695
5.750%, 03/13/00................................... 5,113 5,479,769
Autobahnen und Schnellstrassenfinanzierungs AG Asfinag
7.125%, 12/22/99................................... 3,500 1,914,177
Baden-Wuerttemberg L-Finance NV
7.000%, 03/08/00................................... 15,374 8,469,802
Bank Austria Investment Bank AG
4.500%, 12/30/99................................... 4,000 2,157,693
Bayerische Landesbank Girozentrale
5.250%, 01/14/00................................... 15,000 8,138,660
Belgium (Kingdom of)
7.250%, 10/18/99................................... 10,140 5,514,203
Council of Europe
6.375%, 05/16/00................................... 10,368 5,737,408
DSL Finance NV
7.375%, 02/15/00................................... 10,008 5,521,606
6.125%, 08/01/00................................... 11,000 6,092,434
Dresdner Finance BV
6.500%, 05/22/00................................... 4,090 4,424,446
Federal National Mortgage Association
6.000%, 08/23/00................................... 18,680 10,361,041
</TABLE>
280
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Hypothekenbank AG, Essen
3.500%, 01/28/00................................... 8,181 $ 8,639,324
International Finance Corp.
5.750%, 07/11/00................................... 21,000 11,569,263
Kreditanstalt fuer Wiederaufbau
4.000%, 02/02/00................................... 3,579 3,775,214
NV Bank Nederlandse Gemeenten BNG, Den Haag
7.000%, 02/03/00................................... 12,000 6,601,385
------------
TOTAL -- GERMANY
(Cost $106,267,056).................................. 99,254,120
------------
FRANCE -- (14.8%)
BONDS -- (14.8%)
Administration des Postes Telegraphes et Telephones
8.900%, 04/21/00................................... 23,270 3,896,978
Caisse Autonome de Refinancement SA
7.750%, 12/06/99................................... 67,990 11,100,025
Charbonnages de France
10.000%, 05/09/00.................................. 47,095 7,995,002
9.200%, 05/06/01................................... 5,300 6,176,258
Comptoir des Entrepreneurs SA
6.500%, 08/09/00................................... 5,810 6,311,733
Credit Local de France SA
9.250%, 12/07/99................................... 11,000 1,808,656
8.900%, 05/28/00................................... 58,000 9,776,006
Denmark (Kingdom of)
5.500%, 10/26/99................................... 68,000 10,954,242
France Telecom SA
8.600%, 02/17/00................................... 49,335 8,171,591
Ville de Paris
8.250%, 12/15/99................................... 11,240 1,841,847
------------
TOTAL -- FRANCE
(Cost $72,475,733)................................... 68,032,338
------------
AUSTRALIA -- (7.8%)
BONDS -- (7.8%)
ABN-AMRO Australia, Ltd.
9.500%, 09/08/99................................... 4,000 2,642,763
7.500%, 03/08/00................................... 5,000 3,319,799
DB Australia, Ltd.
9.000%, 10/05/99................................... 5,000 3,307,704
Federal National Mortgage Association
5.750%, 09/05/00................................... 15,000 9,874,073
International Finance Corp.
8.250%, 08/12/99................................... 2,894 1,903,146
J.P. Morgan Australia, Ltd.
6.750%, 02/24/00................................... 5,000 3,300,838
State Bank of New South Wales
14.250%, 09/28/99.................................. 3,196 2,148,345
Toronto Dominion Australia, Ltd.
8.750%, 07/20/99................................... 3,000 1,969,911
Toyota Finance Australia, Ltd.
8.250%, 07/26/99................................... 11,626 7,631,781
------------
TOTAL BONDS
(Cost $38,115,172)................................... 36,098,360
------------
FACE AMOUNT@ VALUE+
------------ ------------
(000)
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $513)........................ $ 526
------------
TOTAL -- AUSTRALIA
(Cost $38,115,685)................................... 36,098,886
------------
SWEDEN -- (3.0%)
BONDS -- (3.0%)
KFW International Finance, Inc.
7.500%, 05/30/00................................... 15,600 1,890,562
Swedish Government Bond
10.250%, 05/05/00.................................. 98,000 12,150,938
------------
TOTAL -- SWEDEN
(Cost $14,879,420)................................... 14,041,500
------------
EMU -- (2.6%)
BONDS -- (2.6%)
General Electric Capital Corp.
3.000%, 02/08/01................................... 11,400 11,952,132
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency (Cost $1).............................. 1
------------
TOTAL -- EMU
(Cost $12,166,997)................................... 11,952,133
------------
NETHERLANDS -- (1.2%)
BONDS -- (1.2%)
ABN-AMRO Bank NV
6.625%, 04/05/00................................... 8,000 3,919,179
6.375%, 04/21/00................................... 3,000 1,466,846
------------
TOTAL -- NETHERLANDS
(Cost $5,432,327).................................... 5,386,025
------------
CANADA -- (1.1%)
BONDS -- (1.1%)
Canada (Government of)
7.500%, 03/01/01
(Cost $4,745,433)................................ 7,000 4,928,800
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $17).......................... 18
------------
TOTAL -- CANADA
(Cost $4,745,450).................................... 4,928,818
------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $5,485,000) to be
repurchased at $5,399,758........................... 5,397 5,397,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $476,060,230)++.... $460,863,210
------------
------------
- --------------------
+ See Note B to Financial Statements.
@ Denominated in local currency.
* Non-Income Producing Securities
*** 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.
281
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE
LARGE U.S. LARGE LARGE CAP TAX-MANAGED U.S.
COMPANY COMPANY VALUE MARKETWIDE
SERIES SERIES SERIES VALUE SERIES
---------- ------------ ----------- ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.............................. $2,249,745 $ 74,989 $ 1,910,106 $ 70,848
Collateral for Securities Loaned.................. 282,817 -- 95,996 1,497
Receivables
Dividends Interest............................ 4,408 1,214 5,265 137
Investment Securities Sold.................... 566 -- 1,184 32
Fund Shares Sold.............................. 318 -- 246 572
Unrealized Gain on Forward Currency Contracts..... -- 324 -- --
Unrealized Gain on Swap Contract.................. -- 236 -- --
Prepaid Expenses and Other Assets................. 41 613 8 2
---------- ------------ ----------- ----------------
Total Assets.............................. 2,537,895 77,376 2,012,805 73,088
---------- ------------ ----------- ----------------
LIABILITIES:
Payable for Securities Loaned..................... 282,817 -- 95,996 1,497
Payable for Investment Securities Purchased....... 10,849 -- 3,742 344
Payable for Fund Shares Redeemed.................. -- 32 2,205 --
Accrued Expenses and Other Liabilities............ 136 27 340 38
---------- ------------ ----------- ----------------
Total Liabilities......................... 293,802 59 102,283 1,879
---------- ------------ ----------- ----------------
NET ASSETS........................................ $2,244,093 $ 77,317 $ 1,910,522 $ 71,209
---------- ------------ ----------- ----------------
---------- ------------ ----------- ----------------
SHARES OUTSTANDING $.01 PAR VALUE................. N/A 6,055,647 96,310,399 N/A
---------- ------------ ----------- ----------------
---------- ------------ ----------- ----------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................... N/A $ 12.77 $ 19.84 N/A
---------- ------------ ----------- ----------------
---------- ------------ ----------- ----------------
Investments at Cost............................... $1,493,651 $ 75,492 $ 1,533,129 $ 62,405
---------- ------------ ----------- ----------------
---------- ------------ ----------- ----------------
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE U.S. THE U.S.
4-10 6-10 6-10 SMALL 9-10 SMALL
VALUE VALUE COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------- ------------ -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.................................... $ 258,345 $ 2,724,846 $ 551,389 $ 1,402,307
Collateral for Securities Loaned........................ 9,296 70,643 34,946 68,432
Receivables
Dividends and Interest.............................. 366 2,118 417 759
Investment Securities Sold.......................... 681 4,270 762 4,714
Fund Shares Sold.................................... -- 646 484 --
Prepaid Expenses and Other Assets....................... 1 12 3 27
------------ ------------- ------------ -------------
Total Assets.................................... 268,689 2,802,535 588,001 1,476,239
------------ ------------- ------------ -------------
LIABILITIES:
Payable for Securities Loaned........................... 9,296 70,643 34,946 68,432
Payable for Investment Securities Purchased............. 9,251 26,446 669 901
Payable for Fund Shares Redeemed........................ -- 1,360 -- 573
Accrued Expenses and Other Liabilities.................. 27 670 94 257
------------ ------------- ------------ -------------
Total Liabilities............................... 18,574 99,119 35,709 70,163
------------ ------------- ------------ -------------
NET ASSETS.............................................. $ 250,115 $ 2,703,416 $ 552,292 $ 1,406,076
------------ ------------- ------------ -------------
------------ ------------- ------------ -------------
SHARES OUTSTANDING $.01 PAR VALUE....................... 25,938,031 158,211,668 48,798,550 163,143,068
------------ ------------- ------------ -------------
------------ ------------- ------------ -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................. $ 9.64 $ 17.09 $ 11.32 $ 8.62
------------ ------------- ------------ -------------
------------ ------------- ------------ -------------
Investments at Cost..................................... $ 256,411 $ 2,597,007 $ 556,972 $ 1,331,609
------------ ------------- ------------ -------------
------------ ------------- ------------ -------------
</TABLE>
See accompanying Notes to Financial Statements.
282
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
THE THE THE UNITED
THE DFA JAPANESE PACIFIC RIM KINGDOM
INTERNATIONAL SMALL SMALL SMALL
VALUE COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------- ----------- ----------- -----------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................................. $ 1,670,873 $ 187,164 $ 174,731 $ 130,376
Collateral for Securities Loaned................................. 227,054 29,494 4,717 --
Receivables
Dividends, Interest and Tax Reclaims......................... 12,282 1,368 443 831
Investment Securities Sold................................... 22,817 1 18 735
Fund Shares Sold............................................. 1,314 -- -- --
Prepaid Expenses and Other Assets................................ 26 17 58 17
------------- ----------- ----------- -----------
Total Assets............................................. 1,934,366 218,044 179,967 131,959
------------- ----------- ----------- -----------
LIABILITIES:
Payable for Securities Loaned.................................... 227,054 29,494 4,717 --
Payable for Investment Securities Purchased...................... -- 140 3,072 111
Payable for Fund Shares Redeemed................................. 1,006 -- 118 --
Accrued Expenses and Other Liabilities........................... 495 70 25 46
------------- ----------- ----------- -----------
Total Liabilities........................................ 228,555 29,704 7,932 157
------------- ----------- ----------- -----------
NET ASSETS....................................................... $ 1,705,811 $ 188,340 $ 172,035 $ 131,802
------------- ----------- ----------- -----------
------------- ----------- ----------- -----------
SHARES OUTSTANDING $.01 PAR VALUE................................ 138,093,497 N/A N/A N/A
------------- ----------- ----------- -----------
------------- ----------- ----------- -----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 12.35 N/A N/A N/A
------------- ----------- ----------- -----------
------------- ----------- ----------- -----------
Investments at Cost.............................................. $ 1,537,118 $ 368,609 $ 244,162 $ 117,121
------------- ----------- ----------- -----------
------------- ----------- ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
THE
CONTINENTAL THE THE DFA THE DFA
SMALL EMERGING THE EMERGING ONE-YEAR TWO-YEAR
COMPANY MARKETS MARKETS SMALL FIXED INCOME GLOBAL FIXED
SERIES SERIES CAP SERIES SERIES INCOME SERIES
------------ ----------- --------------- ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments at Value............................... $ 245,553 $ 298,457 $ 34,185 $ 910,692 $ 460,863
Collateral for Securities Loaned................... 14,982 -- -- -- --
Receivables
Dividends, Interest and Tax Reclaims........... 1,657 703 63 2,586 10,379
Investment Securities Sold..................... -- -- 903 -- --
Fund Shares Sold............................... 5,351 26 -- -- --
Unrealized Gain on Forward Currency Contracts...... -- -- -- -- 2,905
Prepaid Expenses and Other Assets.................. 17 1,999 17 5 22
------------ ----------- --------------- ------------- -------------
Total Assets............................... 267,560 301,185 35,168 913,283 474,169
------------ ----------- --------------- ------------- -------------
LIABILITIES:
Payable for Securities Loaned...................... 14,982 -- -- -- --
Payable for Investment Securities Purchased........ 201 7,987 2,033 -- 1,494
Payable for Fund Shares Redeemed................... 182 3,383 117 1,498 --
Accrued Expenses and Other Liabilities............. 66 123 60 124 90
------------ ----------- --------------- ------------- -------------
Total Liabilities.......................... 15,431 11,493 2,210 1,622 1,584
------------ ----------- --------------- ------------- -------------
NET ASSETS......................................... $ 252,128 $ 289,692 $ 32,958 $ 911,661 $ 472,585
------------ ----------- --------------- ------------- -------------
------------ ----------- --------------- ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE.................. N/A N/A N/A 91,131,758 45,802,411
------------ ----------- --------------- ------------- -------------
------------ ----------- --------------- ------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE............................................ N/A N/A N/A $ 10.00 $ 10.32
------------ ----------- --------------- ------------- -------------
------------ ----------- --------------- ------------- -------------
Investments at Cost................................ $ 203,298 $ 302,885 $ 39,396 $ 912,160 $ 476,060
------------ ----------- --------------- ------------- -------------
------------ ----------- --------------- ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
283
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP THE TAX-MANAGED 4-10 6-10
COMPANY COMPANY VALUE U.S. MARKETWIDE VALUE VALUE
SERIES SERIES SERIES VALUE SERIES (1) SERIES SERIES
-------- ------------ --------- ---------------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends........................ $ 13,618 -- $ 17,481 $ 367 $ 1,450 $ 11,525
Interest......................... 253 $1,630 498 81 136 801
Income from Securities Lending... 64 -- 41 1 17 661
-------- ------------ --------- ------- -------- --------
Total Investment Income.... 13,935 1,630 18,020 449 1,603 12,987
-------- ------------ --------- ------- -------- --------
EXPENSES
Investment Advisory Services..... 245 18 903 44 113 2,455
Accounting & Transfer Agent
Fees........................... 146 37 366 19 18 496
Custodian's Fees................. 116 8 125 3 16 169
Legal Fees....................... 10 -- 12 -- 1 17
Audit Fees....................... 9 1 16 1 1 22
Shareholders' Reports............ 9 -- 15 2 -- 21
Trustees' Fees and Expenses...... 2 -- 3 -- -- 5
Other............................ 40 6 23 33 2 49
-------- ------------ --------- ------- -------- --------
Total Expenses............. 577 70 1,463 102 151 3,234
-------- ------------ --------- ------- -------- --------
NET INVESTMENT INCOME............ 13,358 1,560 16,557 347 1,452 9,753
-------- ------------ --------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on
Investment Securities.......... 1,322 197 194,883 (238) 7,106 137,207
Net Realized Gain on Foreign
Currency Transactions.......... -- 2,727 -- -- -- --
Net Realized Gain on Futures..... -- 10,788 -- -- -- --
Net Realized Gain on Swap
Contracts...................... -- 230 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency............. 195,732 (2,742) 45,351 8,443 19,365 61,393
Translation of Foreign Currency
Denominated Amounts.......... -- 417 -- -- -- --
Futures........................ -- (5,781) -- -- -- --
Swap Contracts................. -- 392 -- -- -- --
-------- ------------ --------- ------- -------- --------
NET GAIN ON INVESTMENT
SECURITIES AND FOREIGN
CURRENCY..................... 197,054 6,228 240,234 8,205 26,471 198,600
-------- ------------ --------- ------- -------- --------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS......... $210,412 $7,788 $ 256,791 $8,552 $ 27,923 $208,353
-------- ------------ --------- ------- -------- --------
-------- ------------ --------- ------- -------- --------
</TABLE>
<TABLE>
<C> <S>
- ----------------
(1) For the period December 14, 1998 (commencement of operations) to May 31,
1999.
</TABLE>
See accompanying Notes to Financial Statements.
284
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE PACIFIC
6-10 SMALL 9-10 SMALL THE DFA THE JAPANESE RIM SMALL
COMPANY COMPANY INTERNATIONAL SMALL COMPANY COMPANY
SERIES SERIES VALUE SERIES SERIES SERIES
----------- ----------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $2,623,
$252 and $45, respectively)................................ $ 2,057 $ 4,255 $ 24,515 $ 1,427 $ 2,003
Interest..................................................... 223 530 355 66 62
Income from Securities Lending............................... 329 806 700 261 38
----------- ----------- ------------ -------------- -----------
Total Investment Income................................ 2,609 5,591 25,570 1,754 2,103
----------- ----------- ------------ -------------- -----------
EXPENSES
Investment Advisory Services................................. 80 668 1,726 96 70
Accounting & Transfer Agent Fees............................. 108 273 417 117 86
Custodian's Fees............................................. 37 92 232 47 50
Legal Fees................................................... 4 10 19 1 19
Audit Fees................................................... 5 15 17 2 1
Shareholders' Reports........................................ 4 14 16 2 1
Trustees' Fees and Expenses.................................. 1 3 4 1 --
Other........................................................ 8 12 57 6 5
----------- ----------- ------------ -------------- -----------
Total Expenses......................................... 247 1,087 2,488 272 232
----------- ----------- ------------ -------------- -----------
NET INVESTMENT INCOME........................................ 2,362 4,504 23,082 1,482 1,871
----------- ----------- ------------ -------------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities............ 29,081 98,060 57,159 (6,799) (2,761)
Net Realized Gain (Loss) on Foreign Currency Transactions.... -- -- (429) 113 1,271
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 11,752 (3,760) (11,745) 30,304 38,494
Translation of Foreign Currency Denominated Amounts........ -- -- (343) (65) 5
----------- ----------- ------------ -------------- -----------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY..... 40,833 94,300 44,642 23,553 37,009
----------- ----------- ------------ -------------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........... $ 43,195 $ 98,804 $ 67,724 $ 25,035 $ 38,880
----------- ----------- ------------ -------------- -----------
----------- ----------- ------------ -------------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
285
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED THE THE DFA
KINGDOM CONTINENTAL THE THE EMERGING THE DFA TWO-YEAR
SMALL SMALL EMERGING MARKETS ONE-YEAR GLOBAL FIXED
COMPANY COMPANY MARKETS SMALL CAP FIXED INCOME INCOME
SERIES SERIES SERIES SERIES SERIES SERIES
---------- ----------- -------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $339, $406, $363,
$44, $0 and $0,
respectively).................. $ 2,843 $ 3,026 $ 3,035 $ 345 -- --
Interest......................... 53 79 266 75 $22,892 $ 9,984
Income from Securities Lending... -- 67 -- -- -- --
---------- ----------- -------- ------------ ------------ ------------
Total Investment Income.... 2,896 3,172 3,301 420 22,892 9,984
---------- ----------- -------- ------------ ------------ ------------
EXPENSES
Investment Advisory Services..... 68 141 125 26 226 113
Accounting & Transfer Agent
Fees........................... 83 172 153 16 113 200
Custodian's Fees................. 20 59 298 38 39 27
Legal Fees....................... 1 2 1 6 6 3
Audit Fees....................... 2 3 2 -- 8 4
Shareholders' Reports............ 1 3 2 -- 7 4
Trustees' Fees and Expenses...... -- 1 1 -- 2 1
Other............................ 5 10 14 8 8 5
---------- ----------- -------- ------------ ------------ ------------
Total Expenses............. 180 391 596 94 409 357
---------- ----------- -------- ------------ ------------ ------------
NET INVESTMENT INCOME............ 2,716 2,781 2,705 326 22,483 9,627
---------- ----------- -------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain on Investment
Securities..................... 6,324 20,318 2,956 2,313 8 114
Net Realized Gain (Loss) on
Foreign Currency
Transactions................... (36) (184) (153) (38) -- 18,286
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency............... 16,350 (40,122) 62,573 5,983 (1,589) (17,979)
Translation of Foreign Currency
Denominated Amounts.......... (5) (199) (28) 2 -- 2,037
---------- ----------- -------- ------------ ------------ ------------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN
CURRENCY..................... 22,633 (20,187) 65,348 8,260 (1,581) 2,458
---------- ----------- -------- ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... $25,349 $(17,406) $68,053 $8,586 $20,902 $12,085
---------- ----------- -------- ------------ ------------ ------------
---------- ----------- -------- ------------ ------------ ------------
</TABLE>
See accompanying Notes to Financial Statements.
286
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE TAX-
MANAGED
U.S.
THE ENHANCED MARKETWIDE
THE U.S. LARGE COMPANY U.S. LARGE THE U.S. LARGE CAP VALUE VALUE
SERIES COMPANY SERIES SERIES SERIES
------------------------ ---------------------- ------------------------ -----------
YEAR
SIX MONTHS YEAR ENDED SIX MONTHS ENDED SIX MONTHS YEAR ENDED DEC. 14,
ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30, 1998 TO MAY
31, 1999 1998 31, 1999 1998 31, 1999 1998 31, 1999
----------- ---------- ----------- -------- ----------- ---------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 13,358 $ 17,285 $ 1,560 $ 2,325 $ 16,557 $ 27,904 $ 347
Net Realized Gain (Loss) on
Investment Securities..... 1,322 1,283 197 (42) 194,883 136,077 (238)
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- -- 2,727 (1,368) -- -- --
Net Realized Gain on
Futures................... -- -- 10,788 1,793 -- -- --
Net Realized Gain on Swap
Contracts................. -- -- 230 1,096 -- -- --
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 195,732 265,133 (2,742) 2,561 45,351 12,481 8,443
Translation of Foreign
Currency Denominated
Amounts................. -- -- 417 (306) -- -- --
Futures................... -- -- (5,781) 5,481 -- -- --
Swap Contracts............ -- -- 392 (214) -- -- --
----------- ---------- ----------- -------- ----------- ---------- -----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 210,412 283,701 7,788 11,326 256,791 176,462 8,552
----------- ---------- ----------- -------- ----------- ---------- -----------
Distributions From:
Net Investment Income....... -- -- (474) (2,417) (8,508) (28,682) --
Net Realized Gains.......... -- -- (7,564) (6,017) (135,996) (82,634) --
----------- ---------- ----------- -------- ----------- ---------- -----------
Total Distributions....... -- -- (8,038) (8,434) (144,504) (111,316) --
----------- ---------- ----------- -------- ----------- ---------- -----------
Capital Share Transactions
(1):
Shares Issued............... -- -- 12,469 17,062 111,414 281,067 --
Shares Issued in Lieu of
Cash Distributions........ -- -- 8,038 6,608 142,397 91,193 --
Shares Redeemed............. -- -- (4,462) (12,656) (211,483) (171,495) --
----------- ---------- ----------- -------- ----------- ---------- -----------
Net Increase from
Capital Share
Transactions.......... -- -- 16,045 11,014 42,328 200,765 --
----------- ---------- ----------- -------- ----------- ---------- -----------
Transactions in Interest
Contributions............... 575,725 604,903 -- -- -- -- 63,731
Withdrawals................. (99,218) (153,923) -- -- -- -- (1,074)
----------- ---------- ----------- -------- ----------- ---------- -----------
Net Increase from
Transactions in
Interest.............. 476,507 450,980 -- -- -- -- 62,657
----------- ---------- ----------- -------- ----------- ---------- -----------
Total Increase............ 686,919 734,681 15,795 13,906 154,615 265,911 71,209
NET ASSETS
Beginning of Period......... 1,557,174 822,493 61,522 47,616 1,755,907 1,489,996 --
----------- ---------- ----------- -------- ----------- ---------- -----------
End of Period............... $2,244,093 $1,557,174 $77,317 $ 61,522 $1,910,522 $1,755,907 $ 71,209
----------- ---------- ----------- -------- ----------- ---------- -----------
----------- ---------- ----------- -------- ----------- ---------- -----------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. N/A N/A 983 1,427 6,017 15,137 N/A
Shares Issued in Lieu of
Cash Distributions....... 675 602 8,341 5,270
Shares Redeemed............ (353) (1,070) (11,483) (9,356)
----------- -------- ----------- ----------
1,305 959 2,875 11,051
----------- -------- ----------- ----------
----------- -------- ----------- ----------
<CAPTION>
THE U.S. 4-10
VALUE SERIES
----------------------
SIX MONTHS FEB. 6
ENDED MAY TO NOV.
31, 1999 30, 1998
----------- --------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 1,452 $ 1,359
Net Realized Gain (Loss) on
Investment Securities..... 7,106 971
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- --
Net Realized Gain on
Futures................... -- --
Net Realized Gain on Swap
Contracts................. -- --
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 19,365 (17,431)
Translation of Foreign
Currency Denominated
Amounts................. -- --
Futures................... -- --
Swap Contracts............ -- --
----------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 27,923 (15,101)
----------- --------
Distributions From:
Net Investment Income....... (515) (1,136)
Net Realized Gains.......... (979) --
----------- --------
Total Distributions....... (1,494) (1,136)
----------- --------
Capital Share Transactions
(1):
Shares Issued............... 42,950 194,343
Shares Issued in Lieu of
Cash Distributions........ 1,494 1,136
Shares Redeemed............. -- --
----------- --------
Net Increase from
Capital Share
Transactions.......... 44,444 195,479
----------- --------
Transactions in Interest
Contributions............... -- --
Withdrawals................. -- --
----------- --------
Net Increase from
Transactions in
Interest.............. -- --
----------- --------
Total Increase............ 70,873 179,242
NET ASSETS
Beginning of Period......... 179,242 --
----------- --------
End of Period............... $250,115 $179,242
----------- --------
----------- --------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 4,977 20,653
Shares Issued in Lieu of
Cash Distributions....... 178 130
Shares Redeemed............ -- --
----------- --------
5,155 20,783
----------- --------
----------- --------
</TABLE>
See accompanying Notes to Financial Statements.
287
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
INTERNATIONAL
THE U.S. 6-10 THE U.S. 6-10 SMALL THE U.S. 9-10 VALUE
VALUE SERIES COMPANY SERIES SMALL COMPANY SERIES SERIES
------------------------ ------------------------ ------------------------ -----------
YEAR
SIX MONTHS YEAR ENDED SIX MONTHS ENDED SIX MONTHS YEAR ENDED SIX MONTHS
ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY
31, 1999 1998 31, 1999 1998 31, 1999 1998 31, 1999
----------- ---------- ------------ --------- ----------- ---------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 9,753 $ 18,469 $ 2,362 $ 4,396 $ 4,504 $ 9,211 $ 23,082
Net Realized Gain on
Investment Securities..... 137,207 204,982 29,081 49,168 98,060 124,420 57,159
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- -- -- -- -- -- (429)
Change in Unrealized
Appreciation
(Depreciation) of:........
Investment Securities and
Foreign Currency........ 61,393 (454,998) 11,752 (109,532) (3,760) (302,212) (11,745)
Translation of Foreign
Currency Denominated
Amounts................. -- -- -- -- -- -- (343)
----------- ---------- ------------ --------- ----------- ---------- -----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 208,353 (231,547) 43,195 (55,968) 98,804 (168,581) 67,724
----------- ---------- ------------ --------- ----------- ---------- -----------
Distributions From:
Net Investment Income....... (2,224) (20,925) (709) (4,534) (1,353) (8,876) (6,867)
Net Realized Gains.......... (205,075) (201,111) (49,223) (33,011) (124,444) -- (3,807)
----------- ---------- ------------ --------- ----------- ---------- -----------
Total Distributions....... (207,299) (222,036) (49,932) (37,545) (125,797) (8,876) (10,674)
----------- ---------- ------------ --------- ----------- ---------- -----------
Capital Share Transactions
(1):
Shares Issued............... 249,162 554,989 51,629 264,712 43,060 1,711,220 74,411
Shares Issued in Lieu of
Cash Distributions........ 201,819 215,595 48,766 35,644 124,959 8,876 10,674
Shares Redeemed............. (184,353) (105,535) (88,169) (92,873) (74,574) (203,015) (156,573)
----------- ---------- ------------ --------- ----------- ---------- -----------
Net Increase (Decrease)
from Capital Share
Transactions............ 266,628 665,049 12,226 207,483 93,445 1,517,081 (71,488)
----------- ---------- ------------ --------- ----------- ---------- -----------
Total Increase (Decrease)... 267,682 211,466 5,489 113,970 66,452 1,339,624 (14,438)
NET ASSETS
Beginning of Period......... 2,435,734 2,224,268 546,803 432,833 1,339,624 -- 1,720,249
----------- ---------- ------------ --------- ----------- ---------- -----------
End of Period............... $2,703,416 $2,435,734 $552,292 $ 546,803 $1,406,076 $1,339,624 $1,705,811
----------- ---------- ------------ --------- ----------- ---------- -----------
----------- ---------- ------------ --------- ----------- ---------- -----------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 15,507 29,754 4,806 20,734 5,160 171,341 6,110
Shares Issued in Lieu of
Cash Distributions....... 13,071 11,637 4,735 2,923 15,898 1,001 902
Shares Redeemed............ (11,488) (5,674) (8,476) (7,232) (9,093) (21,164) (12,834)
----------- ---------- ------------ --------- ----------- ---------- -----------
17,090 35,717 1,065 16,425 11,965 151,178 (5,822)
----------- ---------- ------------ --------- ----------- ---------- -----------
----------- ---------- ------------ --------- ----------- ---------- -----------
<CAPTION>
YEAR ENDED
NOV. 30,
1998
----------
<S> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 32,873
Net Realized Gain on
Investment Securities..... 11,162
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. 895
Change in Unrealized
Appreciation
(Depreciation) of:........
Investment Securities and
Foreign Currency........ 151,571
Translation of Foreign
Currency Denominated
Amounts................. 158
----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 196,659
----------
Distributions From:
Net Investment Income....... (39,352)
Net Realized Gains.......... (4,181)
----------
Total Distributions....... (43,533)
----------
Capital Share Transactions
(1):
Shares Issued............... 161,527
Shares Issued in Lieu of
Cash Distributions........ 43,533
Shares Redeemed............. (220,023)
----------
Net Increase (Decrease)
from Capital Share
Transactions............ (14,963)
----------
Total Increase (Decrease)... 138,163
NET ASSETS
Beginning of Period......... 1,582,086
----------
End of Period............... $1,720,249
----------
----------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 13,637
Shares Issued in Lieu of
Cash Distributions....... 3,743
Shares Redeemed............ (18,668)
----------
(1,288)
----------
----------
</TABLE>
See accompanying Notes to Financial Statements.
288
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED KINGDOM
THE JAPANESE SMALL THE PACIFIC RIM SMALL COMPANY SERIES THE CONTINENTAL SMALL
COMPANY SERIES SMALL COMPANY SERIES COMPANY SERIES
---------------------- ----------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1999 1998 31, 1999 1998 31, 1999 1998 31, 1999 1998
----------- -------- ------------ -------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 1,482 $ 2,336 $ 1,871 $ 5,316 $ 2,716 $ 5,274 $ 2,781 $ 5,872
Net Realized Gain (Loss) on
Investment Securities..... (6,799) (10,275) (2,761) (1,183) 6,324 10,257 20,318 23,994
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. 113 (236) 1,271 (172) (36) (136) (184) (112)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 30,304 5,881 38,494 (37,439) 16,350 (33,198) (40,122) 32,006
Translation of Foreign
Currency
Denominated Amounts..... (65) 107 5 (2) (5) (8) (199) 243
----------- -------- ------------ -------- ----------- -------- ----------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 25,035 (2,187) 38,880 (33,480) 25,349 (17,811) (17,406) 62,003
----------- -------- ------------ -------- ----------- -------- ----------- --------
Transactions in Interest
Contributions............... 23,846 41,191 11,961 45,429 19,354 23,056 38,807 17,001
Withdrawals................. (50,545) (24,342) (18,687) (19,863) (40,387) (49,610) (73,675) (98,212)
----------- -------- ------------ -------- ----------- -------- ----------- --------
Net Increase (Decrease)
from Transactions in
Interest................ (26,699) 16,849 (6,726) 25,566 (21,033) (26,554) (34,868) (81,211)
----------- -------- ------------ -------- ----------- -------- ----------- --------
Total Increase
(Decrease).............. (1,664) 14,662 32,154 (7,914) 4,316 (44,365) (52,274) (19,208)
NET ASSETS
Beginning of Period......... 190,004 175,342 139,881 147,795 127,486 171,851 304,402 323,610
----------- -------- ------------ -------- ----------- -------- ----------- --------
End of Period............... $188,340 $190,004 $172,035 $139,881 $131,802 $127,486 $252,128 $304,402
----------- -------- ------------ -------- ----------- -------- ----------- --------
----------- -------- ------------ -------- ----------- -------- ----------- --------
</TABLE>
See accompanying Notes to Financial Statements.
289
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE EMERGING MARKETS THE DFA TWO-YEAR
THE EMERGING THE DFA ONE-YEAR GLOBAL FIXED INCOME
MARKETS SERIES SMALL CAP SERIES FIXED INCOME SERIES SERIES
---------------------- ----------------------- ----------------------- ----------------------
YEAR YEAR YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1999 1998 31, 1999 1998 31, 1999 1998 31, 1999 1998
----------- -------- ------------ -------- ----------- --------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 2,705 $ 3,655 $ 326 $ 432 $ 22,483 $ 47,135 $ 9,627 $ 18,277
Net Realized Gain (Loss) on
Investment Securities..... 2,956 (23,765) 2,313 1,465 8 1,543 114 619
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. (153) (370) (38) (76) -- -- 18,286 122
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 62,573 (9,240) 5,983 (5,203) (1,589) (855) (17,979) 10,856
Translation of Foreign
Currency
Denominated Amounts..... (28) 9 2 1 -- -- 2,037 (3,047)
----------- -------- ------------ -------- ----------- --------- ----------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 68,053 (29,711) 8,586 (3,381) 20,902 47,823 12,085 26,827
----------- -------- ------------ -------- ----------- --------- ----------- --------
Distributions From:
Net Investment Income....... -- -- -- -- (22,418) (47,176) (6,570) (25,765)
Net Realized Gains.......... -- -- -- -- -- -- (603) (898)
----------- -------- ------------ -------- ----------- --------- ----------- --------
Total Distributions....... -- -- -- -- (22,418) (47,176) (7,173) (26,663)
----------- -------- ------------ -------- ----------- --------- ----------- --------
Capital Share Transactions
(1):
Shares Issued............... -- -- -- -- 119,946 296,278 46,065 84,005
Shares Issued in Lieu of
Cash Distributions........ -- -- -- -- 20,446 36,947 7,140 26,663
Shares Redeemed............. -- -- -- -- (97,208) (246,115) (26,374) (88,897)
----------- -------- ------------ -------- ----------- --------- ----------- --------
Net Increase from Capital
Share
Transactions............ -- -- -- -- 43,184 87,110 26,831 21,771
----------- --------- ----------- --------
Transactions in Interest
Contributions............... 17,443 79,412 3,593 5,772 -- -- -- --
Withdrawals................. (27,436) (39,010) (620) (441) -- -- -- --
----------- -------- ------------ -------- ----------- --------- ----------- --------
Net Increase (Decrease)
from Transactions in
Interest................ (9,993) 40,402 2,973 5,331 -- -- -- --
----------- -------- ------------ -------- ----------- --------- ----------- --------
Total Increase............ 58,060 10,691 11,559 1,950 41,668 87,757 31,743 21,935
NET ASSETS
Beginning of Period......... 231,632 220,941 21,399 19,449 869,993 782,236 440,842 418,907
----------- -------- ------------ -------- ----------- --------- ----------- --------
End of Period............... $289,692 $231,632 $32,958 $21,399 $911,661 $ 869,993 $472,585 $440,842
----------- -------- ------------ -------- ----------- --------- ----------- --------
----------- -------- ------------ -------- ----------- --------- ----------- --------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. N/A N/A N/A N/A 11,986 29,600 4,494 8,348
Shares Issued in Lieu of
Cash Distributions....... 2,050 3,702 702 2,679
Shares Redeemed............ (9,721) (24,593) (2,577) (8,840)
----------- --------- ----------- --------
4,315 8,709 2,619 2,187
----------- --------- ----------- --------
----------- --------- ----------- --------
</TABLE>
See accompanying Notes to Financial Statements.
290
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY SERIES
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period
(1)................................... N/A N/A N/A $ 13.48 $ 10.11 $ 10.27
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS (1)
Net Investment Income................. -- -- -- 0.15 0.30 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized)........... -- -- -- 1.41 3.36 (0.14)
------------ ------------ ------------ ------------ ------------ ------------
Total From Investment Operations.... -- -- -- 1.56 3.66 0.14
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income................. -- -- -- (0.16) (0.29) (0.29)
Net Realized Gains.................... -- -- -- (0.08) -- (0.01)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions................. -- -- -- (0.24) (0.29) (0.30)
- ---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period (1)...... N/A N/A N/A $ 14.80 $ 13.48 $ 10.11
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Total Return (1)........................ N/A N/A N/A 11.60%# 36.77% 1.30%
- ---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,244,093 $ 1,557,174 $ 822,493 $ 466,441 $ 97,118 $ 48,657
Ratio of Expenses to Average Net
Assets................................ 0.06%* 0.06% 0.07% 0.12% 0.02% 0.02%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses)............................. 0.06%* 0.06% 0.07% 0.12% 0.18% 0.33%
Ratio of Net Investment Income to
Average Net Assets.................... 1.37%* 1.47% 1.75% 2.12% 2.61% 2.83%
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers
and Assumption of Expenses)........... 1.37%* 1.47% 1.75% 2.12% 2.45% 2.52%
Portfolio Turnover Rate................. 5.01%* 9.31% 4.28% 14.09% 2.38% 8.52%
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S. LARGE COMPANY SERIES
-----------------------------------------------
SIX MONTHS YEAR YEAR JULY 3
ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
- ---------------------------------------- -----------------------------------
<S> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period
(1)...................................$ 12.95 $ 12.56 $ 11.76 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS (1)
Net Investment Income................. 0.27 0.29 0.51 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 1.21 2.13 2.25 1.74
----------- ----------- ----------- -----------
Total From Investment Operations.... 1.48 2.42 2.76 1.90
- ---------------------------------------- -----------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income................. (0.08) (0.45) (0.54) (0.14)
Net Realized Gains.................... (1.58) (1.58) (1.42) --
----------- ----------- ----------- -----------
Total Distributions................. (1.66) (2.03) (1.96) (0.14)
- ---------------------------------------- -----------------------------------
Net Asset Value, End of Period (1)......$ 12.77 $ 12.95 $ 12.56 $ 11.76
- ---------------------------------------- -----------------------------------
- ---------------------------------------- -----------------------------------
Total Return (1)........................ 12.42%# 24.00% 27.63% 18.95%#
- ---------------------------------------- -----------------------------------
Net Assets, End of Period (thousands)...$77,317 $61,522 $47,616 $29,213
Ratio of Expenses to Average Net
Assets................................ 0.20%* 0.21% 0.25% 0.29%*
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses)............................. 0.20%* 0.21% 0.25% 0.29%*
Ratio of Net Investment Income to
Average Net Assets.................... 4.35%* 4.42% 4.59% 4.60%*
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers
and Assumption of Expenses)........... 4.35%* 4.42% 4.59% 4.60%*
Portfolio Turnover Rate................. 72.31%* 86.98% 193.78% 211.07%*
- ---------------------------------------- -----------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) For the U.S. Large Company Series, items are calculated for the period December 1, 1995 through May 31, 1996. Effective
June 1, 1996, this Series was reorganized as a partnership, and these items are no longer applicable.
</TABLE>
See accompanying Notes to Financial Statements.
291
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59
------------ ------------ ------------ ------------ ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.17 0.31 0.32 0.31 0.32 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 2.43 1.71 3.38 2.57 3.53 (0.65)
------------ ------------ ------------ ------------ ----------- -----------
Total From Investment Operations.... 2.60 2.02 3.70 2.88 3.85 (0.32)
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.09) (0.32) (0.31) (0.31) (0.31) (0.35)
Net Realized Gains.................... (1.46) (1.00) (0.82) (0.34) (0.17) --
------------ ------------ ------------ ------------ ----------- -----------
Total Distributions........... (1.55) (1.32) (1.13) (0.65) (0.48) (0.35)
- -------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 19.84 $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
Total Return............................ 15.20%# 11.93% 25.31% 22.48% 39.26% (3.13)%
- -------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $1,910,522 $ 1,755,907 $ 1,489,996 $ 987,942 $ 423,027 $ 198,848
Ratio of Expenses to Average Net
Assets................................ 0.16%* 0.16% 0.18% 0.19% 0.21% 0.22%
Ratio of Net Investment Income to
Average Net Assets.................... 1.84%* 1.67% 1.96% 2.37% 2.84% 3.72%
Portfolio Turnover Rate................. 37.54%* 24.70% 17.71% 20.12% 29.41% 39.33%
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE TAX
MANAGED
U.S.
MARKETWIDE
SERIES THE U.S. 4-10 VALUE
----------- SERIES
DEC. 14, -----------------------
1998 SIX MONTHS FEB. 6
TO ENDED TO
MAY 31, MAY 31, NOV. 30,
1999 1999 1998
- ---------------------------------------- -----------------------
<S> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period.... N/A $ 8.62 $ 10.00
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. -- 0.05 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized)........... -- 1.03 (1.39)
----------- ----------- -----------
Total From Investment Operations.... -- 1.08 (1.32)
- ---------------------------------------- -----------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- (0.02) (0.06)
Net Realized Gains.................... -- (0.04) --
----------- ----------- -----------
Total Distributions........... N/A (0.06) (0.06)
- ---------------------------------------- -----------------------
Net Asset Value, End of Period.......... -- $ 9.64 $ 8.62
- ---------------------------------------- -----------------------
- ---------------------------------------- -----------------------
Total Return............................ N/A 12.61%# (13.26)%#
- ---------------------------------------- -----------------------
Net Assets, End of Period (thousands)...$71,209 $250,115 $ 179,242
Ratio of Expenses to Average Net
Assets................................ 0.45%*(a) 0.13%* 0.17%(a)*
Ratio of Net Investment Income to
Average Net Assets.................... 1.66%*(a) 1.29%* 1.95%(a)*
Portfolio Turnover Rate................. 4.77%* 27.02%* 10.46%*
- ---------------------------------------- -----------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Because of commencement of operations and related preliminary transaction costs, including organization costs, these
ratios are not necessarily indicative of future ratios.
</TABLE>
See accompanying Notes to Financial Statements.
292
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE SERIES
------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 17.26 $ 21.10 $ 16.58 $ 14.02 $ 11.15
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.06 0.14 0.15 0.15 0.14
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.27 (1.92) 5.23 2.88 3.06
------------ ------------ ------------ ------------ ------------
Total From Investment
Operations.............. 1.33 (1.78) 5.38 3.03 3.20
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.02) (0.16) (0.12) (0.15) (0.14)
Net Realized Gains.......... (1.48) (1.90) (0.74) (0.32) (0.19)
------------ ------------ ------------ ------------ ------------
Total Distributions....... (1.50) (2.06) (0.86) (0.47) (0.33)
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 17.09 $ 17.26 $ 21.10 $ 16.58 $ 14.02
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.................. 8.58%# (9.05)% 33.93% 22.14% 28.81%
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $2,703,416 $ 2,435,734 $ 2,224,268 $ 1,248,213 $ 624,343
Ratio of Expenses to Average
Net Assets.................. 0.26%* 0.26% 0.28% 0.29% 0.32%
Ratio of Net Investment Income
to Average Net Assets....... 0.80%* 0.78% 0.86% 1.11% 1.22%
Portfolio Turnover Rate....... 27.01%* 22.51% 25.47% 14.91% 20.62%
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY SERIES
-------------------------------------------------------------------
YEAR SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, MAY 31, NOV. 30, NOV. 30, NOV. 30,
1994 1999 1998 1997 1996
- ------------------------------ -------------------------------------------------------------------
<S> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 11.04 $ 11.46 $ 13.82 $ 12.56 $ 11.26
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.12 0.05 0.10 0.11 0.13
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.16 0.87 (1.28) 2.81 1.92
------------ ------------ ------------ ------------ ------------
Total From Investment
Operations.............. 0.28 0.92 (1.18) 2.92 2.05
- ------------------------------ -------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.12) (0.02) (0.10) (0.10) (0.13)
Net Realized Gains.......... (0.05) (1.04) (1.08) (1.56) (0.62)
------------ ------------ ------------ ------------ ------------
Total Distributions....... (0.17) (1.06) (1.18) (1.66) (0.75)
- ------------------------------ -------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 11.15 $ 11.32 $ 11.46 $ 13.82 $ 12.56
- ------------------------------ -------------------------------------------------------------------------------------
- ------------------------------ -------------------------------------------------------------------------------------
Total Return.................. 2.52% 8.91%# (8.98)% 26.47% 19.17%
- ------------------------------ -------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 350,277 $ 552,292 $ 546,803 $ 432,833 $ 268,401
Ratio of Expenses to Average
Net Assets.................. 0.32% 0.09%* 0.09% 0.11% 0.13%
Ratio of Net Investment Income
to Average Net Assets....... 1.50% 0.89%* 0.88% 0.96% 1.05%
Portfolio Turnover Rate....... 8.22% 26.79%* 29.15% 30.04% 32.38%
- ------------------------------ -------------------------------------------------------------------
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1995 1994
- ------------------------------
Net Asset Value, Beginning of
Period...................... $ 9.54 $ 10.39
------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.12 0.12
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.50 (0.07)
------------ ------------
Total From Investment
Operations.............. 2.62 0.05
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.12) (0.11)
Net Realized Gains.......... (0.78) (0.79)
------------ ------------
Total Distributions....... (0.90) (0.90)
- ------------------------------
Net Asset Value, End of
Period...................... $ 11.26 $ 9.54
- ------------------------------
- ------------------------------
Total Return.................. 29.19% 0.59%
- ------------------------------
Net Assets, End of Period
(thousands)................. $ 221,984 $ 143,630
Ratio of Expenses to Average
Net Assets.................. 0.15% 0.17%
Ratio of Net Investment Income
to Average Net Assets....... 1.18% 1.11%
Portfolio Turnover Rate....... 21.16% 27.65%
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
293
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL COMPANY
SERIES THE DFA INTERNATIONAL VALUE SERIES
------------------------------ ------------------------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, NOV. 30,
1999 1998 1999 1998 1997
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 8.86 $ 10.00 $ 11.95 $ 10.90 $ 11.79
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.03 0.06 0.17 0.22 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.57 (1.14) 0.31 1.13 (0.67)
------------ ------------ ------------ ------------ ------------
Total From Investment
Operations.............. 0.60 (1.08) 0.48 1.35 (0.43)
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.01) (0.06) (0.05) (0.27) (0.22)
Net Realized Gains.......... (0.83) -- (0.03) (0.03) (0.24)
------------ ------------ ------------ ------------ ------------
Total Distributions....... (0.84) (0.06) (0.08) (0.30) (0.46)
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 8.62 $ 8.86 $ 12.35 $ 11.95 $ 10.90
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.................. 7.65%# (10.81)% 4.00%# 12.50% (3.84)%
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $1,406,076 $ 1,339,624 $1,705,811 $ 1,720,249 $ 1,582,086
Ratio of Expenses to Average
Net Assets.................. 0.16%* 0.16% 0.29%* 0.29% 0.32%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)................... 0.16%* 0.16% 0.29%* 0.29% 0.32%
Ratio of Net Investment Income
to Average Net Assets....... 0.68%* 0.63% 2.68%* 1.90% 2.09%
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 0.68%* 0.63% 2.68%* 1.90% 2.09%
Portfolio Turnover Rate....... 21.31%* 26.44% 6.60%* 15.41% 22.55%
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE JAPANESE SMALL COMPANY
SERIES
------------------------------
YEAR YEAR FEB. 16 SIX MONTHS YEAR
ENDED ENDED TO ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30,
1996 1995 1994 1999 1998
- ------------------------------ ------------
<S> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 10.55 $ 10.06 $ 10.00 N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.23 0.20 0.13 -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.32 0.52 0.07 -- --
------------ ------------ ------------ ------------ ------------
Total From Investment
Operations.............. 1.55 0.72 0.20 -- --
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.23) (0.21) (0.13) -- --
Net Realized Gains.......... (0.08) (0.02) (0.01) -- --
------------ ------------ ------------ ------------ ------------
Total Distributions....... (0.31) (0.23) (0.14) -- --
- ------------------------------
Net Asset Value, End of
Period...................... $ 11.79 $ 10.55 $ 10.06 N/A+ N/A+
- ------------------------------
- ------------------------------
Total Return.................. 14.85% 7.20% 1.99%# N/A+ N/A+
- ------------------------------
Net Assets, End of Period
(thousands)................. $ 1,356,852 $ 609,386 $ 348,381 $ 188,340 $ 190,004
Ratio of Expenses to Average
Net Assets.................. 0.36% 0.42% 0.45%* 0.29%* 0.28%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)................... 0.36% 0.42% 0.48%* 0.29%* 0.28%
Ratio of Net Investment Income
to Average Net Assets....... 2.23% 2.14% 1.84%* 1.55%* 1.29%
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 2.23% 2.14% 1.81%* 1.55%* 1.29%
Portfolio Turnover Rate....... 12.23% 9.75% 1.90%* 5.58%* 8.14%
- ------------------------------
<CAPTION>
YEAR AUG. 9
ENDED TO
NOV. 30, NOV. 30,
1997 1996
- ------------------------------
Net Asset Value, Beginning of
Period...................... N/A+ N/A+
------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... -- --
------------ ------------
Total From Investment
Operations.............. -- --
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- --
Net Realized Gains.......... -- --
------------ ------------
Total Distributions....... -- --
- ------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+
- ------------------------------
- ------------------------------
Total Return.................. N/A+ N/A+
- ------------------------------
Net Assets, End of Period
(thousands)................. $ 175,342 $ 329,682
Ratio of Expenses to Average
Net Assets.................. 0.29% 0.29%*
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)................... 0.29% 0.29%*
Ratio of Net Investment Income
to Average Net Assets....... 0.93% 0.76%*
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 0.93% 0.76%*
Portfolio Turnover Rate....... 13.17% 1.67%*
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The Japanese Small Company Series is organized as a Partnership.
</TABLE>
See accompanying Notes to Financial Statements.
294
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE UNITED
KINGDOM
SMALL
COMPANY
THE PACIFIC RIM SMALL COMPANY SERIES SERIES
------------------------------------------------------------------ ------------
SIX MONTHS YEAR YEAR AUG. 9 SIX MONTHS
ENDED ENDED ENDED TO ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, MAY 31,
1999 1998 1997 1996 1999
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period...................... N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- -- -- -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total From Investment
Operations.............. -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- -- -- -- --
Net Realized Gains.......... -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions....... -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+ N/A+ N/A+ N/A+
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.................. N/A+ N/A+ N/A+ N/A+ N/A+
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 172,035 $ 139,881 $ 147,795 $ 231,481 $ 131,802
Ratio of Expenses to Average
Net Assets.................. 0.33%* 0.38% 0.40% 0.45%* 0.27%*
Ratio of Net Investment Income
to Average Net Assets....... 2.69%* 4.01% 2.45% 2.50%* 4.03%*
Portfolio Turnover Rate....... 7.82%* 25.84% 24.00% 8.04%* 5.92%*
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE CONTINENTAL SMALL COMPANY
SERIES
------------------------------
YEAR YEAR AUG. 9 SIX MONTHS YEAR
ENDED ENDED TO ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30,
1998 1997 1996 1999 1998
- ------------------------------ ------------
<S> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- -- -- -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total From Investment
Operations.............. -- -- -- -- --
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- -- -- -- --
Net Realized Gains.......... -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions....... -- -- -- -- --
- ------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+ N/A+ N/A+ N/A+
- ------------------------------
- ------------------------------
Total Return.................. N/A+ N/A+ N/A+ N/A+ N/A+
- ------------------------------
Net Assets, End of Period
(thousands)................. $ 127,485 $ 171,851 $ 182,625 $ 252,128 $ 304,402
Ratio of Expenses to Average
Net Assets.................. 0.26% 0.25% 0.29%* 0.28%* 0.27%
Ratio of Net Investment Income
to Average Net Assets....... 3.66% 2.86% 2.94%* 2.03%* 1.76%
Portfolio Turnover Rate....... 11.26% 4.26% 4.55%* 4.16%* 0.74%
- ------------------------------
<CAPTION>
YEAR AUG. 9
ENDED TO
NOV. 30, NOV. 30,
1997 1996
- ------------------------------
Net Asset Value, Beginning of
Period...................... N/A+ N/A+
------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... -- --
------------ ------------
Total From Investment
Operations.............. -- --
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- --
Net Realized Gains.......... -- --
------------ ------------
Total Distributions....... -- --
- ------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+
- ------------------------------
- ------------------------------
Total Return.................. N/A+ N/A+
- ------------------------------
Net Assets, End of Period
(thousands)................. $ 323,610 $ 335,882
Ratio of Expenses to Average
Net Assets.................. 0.29% 0.31%*
Ratio of Net Investment Income
to Average Net Assets....... 1.84% 0.27%*
Portfolio Turnover Rate....... 3.46% 6.69%*
- ------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Pacific Rim Small Company Series, The United Kingdom Small Company Series and The Continental Small
Company Series are organized as Partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
295
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING MARKETS SERIES
-----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
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 N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- -- -- -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations.............. -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- -- -- -- --
Net Realized Gains.......... -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions....... -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+ N/A+ N/A+ N/A+
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.................. N/A+ N/A+ N/A+ N/A+ N/A+
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $289,692 $ 231,632 $ 220,941 $ 162,075 $ 49,351
Ratio of Expenses to Average
Net Assets.................. 0.48%* 0.53% 0.54% 0.66% 0.87%
Ratio of Net Investment Income
to Average Net Assets....... 2.17%* 1.66% 1.63% 1.63% 1.70%
Portfolio Turnover Rate....... 17.44%* 9.76% 0.54% 0.37% 8.17%
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING MARKETS
SMALL CAP SERIES
-----------------------------------------------
DEC. 2,
APRIL 25 SIX MONTHS YEAR 1996
TO ENDED ENDED TO
NOV. 30, MAY 31, NOV. 30, NOV. 30,
1994 1999 1998 1997
- ------------------------------ -----------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- -- -- --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... -- -- -- --
----------- ----------- ----------- -----------
Total From Investment
Operations.............. -- -- -- --
- ------------------------------ -----------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- -- -- --
Net Realized Gains.......... -- -- -- --
----------- ----------- ----------- -----------
Total Distributions....... -- -- -- --
- ------------------------------ -----------------------------------------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+ N/A+ N/A+
- ------------------------------ -----------------------------------------------
- ------------------------------ -----------------------------------------------
Total Return.................. N/A+ N/A+ N/A+ N/A+
- ------------------------------ -----------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 15,724 $ 32,958 $ 32,958 $ 19,449
Ratio of Expenses to Average
Net Assets.................. 1.49%* 0.73%* 0.88% 0.90%*
Ratio of Net Investment Income
to Average Net Assets....... 0.56%* 2.54%* 2.32% 1.90%*
Portfolio Turnover Rate....... 1.28%* 30.09%* 13.41% 2.54%*
- ------------------------------ -----------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as a partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
296
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME SERIES (1)
-----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
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...................... $ 10.02 $ 10.01 $ 10.03 $ 10.00 $ 9.84
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.25 0.56 0.59 0.56 0.60
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.02) 0.02 (0.02) 0.03 0.16
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations.............. 0.23 0.58 0.57 0.59 0.76
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.25) (0.57) (0.59) (0.56) (0.60)
Net Realized Gains.......... -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions....... (0.25) (0.57) (0.59) (0.56) (0.60)
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.00 $ 10.02 $ 10.01 $ 10.03 $ 10.00
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.................. 2.32%# 5.92% 5.83% 6.10% 7.91%
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $911,661 $ 869,993 $ 782,236 $ 859,293 $ 705,554
Ratio of Expenses to Average
Net Assets.................. 0.09%* 0.09% 0.10% 0.09% 0.10%
Ratio of Net Investment Income
to Average Net Assets....... 4.99%* 5.61% 5.85% 5.62% 6.04%
Portfolio Turnover Rate....... 63.46%* 23.62% 82.84% 95.84% 81.31%
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
-----------------------------------------------------------------
YEAR SIX MONTHS YEAR YEAR FEB. 9
ENDED ENDED ENDED ENDED TO
NOV. 30, MAY 31, NOV. 30, NOV. 30, NOV. 30,
1994 1999 1998 1997 1996
- ------------------------------ -----------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.06 $ 10.21 $ 10.22 $ 10.34 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.44 0.22 0.44 0.48 0.34
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.18) 0.05 0.19 0.12 0.25
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations.............. 0.26 0.27 0.63 0.60 0.59
- ------------------------------ -----------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.43) (0.16) (0.62) (0.71) (0.25)
Net Realized Gains.......... (0.05) -- (0.02) (0.01) --
----------- ----------- ----------- ----------- -----------
Total Distributions....... (0.48) (0.16) (0.64) (0.72) (0.25)
- ------------------------------ -----------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 9.84 $ 10.32 $ 10.21 $ 10.22 $ 10.34
- ------------------------------ -----------------------------------------------------------------
- ------------------------------ -----------------------------------------------------------------
Total Return.................. 2.61% 2.72%# 6.48% 5.96% 6.01%#
- ------------------------------ -----------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 592,286 $472,585 $ 440,842 $ 418,907 $ 319,272
Ratio of Expenses to Average
Net Assets.................. 0.10% 0.16%* 0.16% 0.18% 0.20%*
Ratio of Net Investment Income
to Average Net Assets....... 4.41% 4.26%* 4.28% 4.64% 4.51%*
Portfolio Turnover Rate....... 140.82% 44.46%* 112.93% 119.27% 87.07%*
- ------------------------------ -----------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) Restated to reflect a 900% stock dividend as January 2, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
297
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 1999, the Trust consisted of seventeen investment portfolios (collectively,
the "Series"):
<TABLE>
<S> <C>
The U.S. Large Company Series The DFA International Value Series
The Enhanced U.S. Large Company Series The Japanese Small Company Series
The U.S. Large Cap Value Series The Pacific Rim Small Company Series
The Tax-Managed U.S. Marketwide Value Series The United Kingdom Small Company Series
The U.S. 4-10 Value Series The Continental Small Company Series
The U.S. 6-10 Value Series The Emerging Markets Series
The U.S. 6-10 Small Company Series The Emerging Markets Small Cap Series
The U.S. 9-10 Small Company Series (the "International Equity Portfolios")
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
</TABLE>
Effective August 1, 1997, The U.S. Small Cap Value Series changed its name
to The U.S. 6-10 Value Series.
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company, a newly created series. This
portfolio invests solely in this series. The series will also issue its shares
to other investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
Fixed income instruments held by The Enhanced U.S. Large Company Series and
The Fixed Income Portfolios are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Enhanced U.S. Large Company Series, the International Equity Portfolios
and The DFA Two-Year Global Fixed Income Series whose values are initially
expressed in foreign currencies are translated to U.S. dollars at the 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
298
<PAGE>
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement. The Enhanced U.S. Large Company Series and The DFA
Two-Year Global Fixed Income Series also enter into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are also marked to market daily based on daily
exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. FEDERAL INCOME TAXES: It the intention of The Enhanced U.S. Large
Company Series, The U.S. Large Cap Value Series, The U.S. 4-10 Value Series, The
U.S. 6-10 Value Series, The U.S. 6-10 Small Company Series, The U.S. 9-10 Small
Company Series, The DFA International Value Series, The DFA One-Year Fixed
Income Series and The DFA Two-Year Global Fixed Income Series to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for federal taxes is required in the financial
statements.
The U.S. Large Company Series, The Tax-Managed U.S. Marketwide Value Series,
The Japanese Small Company Series, The Pacific Rim Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Emerging Markets Series and The Emerging Markets Small Cap Series are treated as
partnerships for federal income tax purposes. Any interest, dividends and gains
or losses of these Series will be deemed to have been "passed through" to their
Feeder Funds.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of Trustees.
299
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Trust. For the six months ended May 31,1999, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on the following effective annual rates:
<TABLE>
<S> <C>
The U.S. Large Company Series................................... .025 of 1%
The Enhanced U.S. Large Company Series.......................... .05 of 1%
The U.S. Large Cap Value Series................................. .10 of 1%
The Tax-Managed U.S. Marketwide Value Series.................... .20 of 1%
The U.S. 4-10 Value Series...................................... .10 of 1%
The U.S. 6-10 Value Series...................................... .20 of 1%
The U.S. 6-10 Small Company Series.............................. .03 of 1%
The U.S. 9-10 Small Company Series.............................. .10 of 1%
The DFA International Value Series.............................. .20 of 1%
The Japanese Small Company Series............................... .10 of 1%
The Pacific Rim Small Company Series............................ .10 of 1%
The United Kingdom Small Company Series......................... .10 of 1%
The Continental Small Company Series............................ .10 of 1%
The Emerging Markets Series..................................... .10 of 1%
The Emerging Markets Small Cap Series........................... .20 of 1%
The DFA One-Year Fixed Income Series............................ .05 of 1%
The DFA Two-Year Global Fixed Income Series..................... .05 of 1%
</TABLE>
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1999, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- --------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. Large Company Series............................ -- -- $ 534,220 $ 48,497
The Enhanced U.S. Large Company Series................... -- -- 41,526 16,759
The U.S. Large Cap Value Series.......................... -- -- 334,959 413,648
The Tax-Managed U.S. Marketwide Value Series............. -- -- 60,994 967
The U.S. 4-10 Value Series............................... -- -- 73,153 29,355
The U.S. 6-10 Value Series............................... -- -- 331,787 354,178
The U.S. 6-10 Small Company Series....................... -- -- 70,726 115,212
The U.S. 9-10 Small Company Series....................... -- -- 140,837 194,760
The DFA International Value Series....................... -- -- 55,994 134,228
The Japanese Small Company Series........................ -- -- 5,197 33,358
The Pacific Rim Small Company Series..................... -- -- 5,417 13,761
The United Kingdom Small Company Series.................. -- -- 3,859 22,427
The Continental Small Company Series..................... -- -- 5,720 29,139
The Emerging Markets Series.............................. -- -- 21,441 28,634
The Emerging Markets Small Cap Series.................... -- -- 7,410 3,801
The DFA One-Year Fixed Income Series..................... $ 173,987 -- 123,163 55,397
The DFA Two-Year Global Fixed Income Series.............. -- -- 334,443 94,440
</TABLE>
300
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1999, gross unrealized appreciation and depreciation for federal
income tax purposes of futures, swap contracts, investment securities and
foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Series.............................. $ 762,721 $ (18,756) $ 743,965
The Enhanced U.S. Large Company Series..................... 290 (792) (502)
The U.S. Large Cap Value Series............................ 447,977 (71,000) 376,977
The Tax-Managed U.S. Marketwide Value Series............... 9,575 (1,132) 8,443
The U.S. 4-10 Value Series................................. 30,605 (28,671) 1,934
The U.S. 6-10 Value Series................................. 574,829 (446,990) (127,839)
The U.S. 6-10 Small Company Series......................... 101,726 (110,742) (9,016)
The U.S. 9-10 Small Company Series......................... 394,011 (323,314) 70,697
The DFA International Value Series......................... 352,500 (218,745) 133,755
The Japanese Small Company Series.......................... 8,693 (190,138) (181,445)
The Pacific Rim Small Company Series....................... 22,828 (92,259) (69,431)
The United Kingdom Small Company Series.................... 46,055 (32,803) 13,255
The Continental Small Company Series....................... 77,238 (34,983) 42,255
The Emerging Markets Series................................ 64,784 (69,212) (4,428)
The Emerging Markets Small Cap Series...................... 8,376 (13,587) (5,211)
The DFA One-Year Fixed Income Series....................... 213 (1,681) (1,468)
The DFA Two-Year Global Fixed Income Series................ -- (15,197) (15,197)
</TABLE>
At November 30, 1998, The DFA One-Year Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $324,000 of
which $23,000 and $301,000 expire on November 30, 2002 and 2004, respectively.
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 1999 NET ASSETS CONSIST OF:
-----------------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED APPRECIATION
NET NET REALIZED (DEPRECIATION) OF UNREALIZED
INVESTMENT UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS)
------------- ------------ -------------- -------------- -------------------- -------------
<S> <C> <C> <C> <C> <C> <C>
The Enhanced U.S. Large
Company Series........... $ 68,341 $ 1,510 $ 5,626 $ 1,359 $ 174 $ 307
The U.S. Large Cap Value
Series................... 1,329,649 9,020 194,876 -- 376,977 --
The U.S. 4-10 Value
Series................... 239,923 1,160 7,098 -- 1,934 --
The U.S. 6-10 Value
Series................... 2,430,044 8,574 136,959 -- 127,839 --
The U.S. 6-10 Small
Company Series........... 528,151 1,924 27,800 -- (5,583) --
The U.S. 9-10 Small
Company Series........... 1,233,857 3,486 98,036 -- 70,697 --
The DFA International
Value Series............. 1,494,885 11,491 66,312 (429) 133,755 (203)
The DFA One-Year Fixed
Income Series............ 909,621 3,832 (324) -- (1,468) --
The DFA Two-Year Global
Fixed Income Series...... 462,382 4,342 83 18,286 (15,197) 2,689
<CAPTION>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
------------- -------------
<S> <C> <C>
The Enhanced U.S. Large
Company Series........... $ 77,317 Unlimited
The U.S. Large Cap Value
Series................... 1,910,522 Unlimited
The U.S. 4-10 Value
Series................... 250,115 Unlimited
The U.S. 6-10 Value
Series................... 2,703,416 Unlimited
The U.S. 6-10 Small
Company Series........... 552,292 Unlimited
The U.S. 9-10 Small
Company Series........... 1,406,076 Unlimited
The DFA International
Value Series............. 1,705,811 Unlimited
The DFA One-Year Fixed
Income Series............ 911,661 Unlimited
The DFA Two-Year Global
Fixed Income Series...... 472,585 Unlimited
</TABLE>
301
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk and concentrations of credit risk. These instruments and their significant
corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on May 31, 1999.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies. At May 31, 1999, The Enhanced U.S. Large
Company and The DFA Two-Year Global Fixed Income Series had entered into the
following contracts and the related net unrealized foreign exchange gain (loss)
is reflected in the accompanying financial statements:
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT EXCHANGE
DATE CURRENCY SOLD CONTRACT AMOUNT MAY 31, 1999 GAIN (LOSS)
- ------------ ---------------------------------------- ------------------ ------------------ ---------------
<C> <C> <S> <C> <C> <C>
06/18/99.... 1,036,923 Australian Dollars $ 680,743 $ 677,966 $ 2,777
06/22/99.... 20,954,816 Euro Dollars 22,193,463 21,910,554 282,909
06/23/99.... 19,428,060 Swedish Krona 2,304,092 2,266,104 37,988
------------------ ------------------ ---------------
$ 25,178,298 $ 24,854,624 $ 323,674
------------------ ------------------ ---------------
------------------ ------------------ ---------------
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT EXCHANGE
DATE CURRENCY SOLD CONTRACT AMOUNT MAY 31, 1999 GAIN (LOSS)
- ------------ ---------------------------------------- ------------------ ------------------ ---------------
<C> <C> <S> <C> <C> <C>
06/07/99 Canadian Dollars $ 5,137,600 $ 5,074,025 $ 63,575
06/18/99 Australian Dollars 38,029,799 37,874,675 155,124
06/22/99 Euro Dollars 192,023,385 189,575,539 2,447,846
06/23/99 Swedish Krona 14,475,326 14,236,668 238,658
------------------ ------------------ ---------------
$ 249,666,110 $ 246,760,907 $ 2,905,203
------------------ ------------------ ---------------
------------------ ------------------ ---------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed
Income Series will enter into forward contracts only for hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
4. FUTURES CONTRACTS: During the six months ended May 31, 1999, The
Enhanced U.S. Large Company Series (ENHANCED) entered into futures contracts in
accordance with its investment objectives. Upon entering into a futures
contract, the Enhanced deposits cash or pledges U.S. Government securities to a
broker, equal to the
302
<PAGE>
minimum "initial margin" requirements of the exchange on which the contract is
traded. Subsequent payments are received from or paid to the broker each day,
based on the daily fluctuation in the market value of the contract. These
receipts or payments are known as "variation margin" and are recorded daily by
Enhanced as unrealized gains or losses until the contracts are closed. When the
contracts are closed, Enhanced records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
At May 31, 1999, Enhanced had outstanding 216 long futures contracts on the
S & P 500 Index, 214 of which expire on June 18, 1999, and two of which expire
on September 17, 1999. The value of such contracts on May 31, 1999 was
$70,055,250, which resulted in an unrealized gain of $439,291.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the contract is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the counter
party, the accumulated net unrealized gain or loss, which will then be recorded
as realized.
At May 31, 1999, Enhanced had an outstanding equity index swap with Morgan
Stanley dated January 15, 1999 (which represents approximately 10% of the net
assets of Enhanced), terminating on July 15,1999. The notional value of the swap
was $6,999,554, and Enhanced had recorded net unrealized appreciation of
$235,866, consisting of $129,544 owed to Morgan Stanley and $365,410 owed to
Enhanced. Payments made by Enhanced are based on the London Interbank Offered
Rate (LIBOR) plus 0.10% per annum calculated on the original notional amount
plus accumulated interest added on the monthly LIBOR reset date. Payments
received by Enhanced are based on the daily value of the S & P 500 Index plus
accumulated dividends as expressed in Index points calculated on the original
notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the six months ended May 31, 1999 borrowings
under the line were as follows:
<TABLE>
<CAPTION>
MAXIMUM
WEIGHTED AMOUNT
AVERAGE WEIGHTED NUMBER OF INTEREST BORROWED
INTEREST AVERAGE LOAN DAYS EXPENSE DURING
RATE BALANCE OUTSTANDING INCURRED THE PERIOD
------- ------------- ------------- --------- -----------
<S> <C> <C> <C> <C> <C>
The U.S. Large Company Series........... 5.23% $ 1,235,074 8 $ 4,845 $12,530,000
The U.S. Large Cap Value Series......... 5.55% 2,389,000 12 7,365 7,639,000
The U.S. 6-10 Value Series.............. 5.27% 6,294,593 8 24,866 32,110,000
The U.S. 6-10 Small Company Series...... 6.13% 3,385,000 4 2,306 3,385,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
1999.
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or
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<PAGE>
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Portfolio
or, at the option of the lending agent, replace the loaned securities. Such cash
collateral for May 31, 1999 was reinvested into overnight repurchase agreements
with Salomon Brothers, Barclays de Zotte 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 value of collateral on overnight repurchase agreements at May 31,
1999, was as follows:
<TABLE>
<CAPTION>
VALUE OF
COLLATERAL ON
VALUE OF OVERNIGHT
VALUE COLLATERAL AND REPURCHASE
DOMESTIC EQUITY PORTFOLIOS OF SECURITIES INDEMNIFICATION AGREEMENTS
- ----------------------------------------------------------------- ------------------ ------------------ ------------------
<S> <C> <C> <C>
The U.S. Large Company Series.................................... $ 279,424,038 $ 282,817,000 $ 284,549,509
The U.S. Large Cap Value Series.................................. 92,025,925 95,995,560 96,583,619
The Tax-Managed U.S. Marketwide Value Series..................... 1,417,176 1,497,300 1,506,472
The U.S. 4-10 Value Series....................................... 8,330,496 9,296,478 9,353,427
The U.S. 6-10 Value Series....................................... 43,048,053 70,643,163 71,075,916
The U.S. 6-10 Small Company Series............................... 28,518,878 34,945,681 35,159,755
The U.S. 9-10 Small Company Series............................... 50,187,021 68,432,335 68,851,545
INTERNATIONAL EQUITY PORTFOLIOS
- -----------------------------------------------------------------
The DFA International Value Series............................... 211,296,713 227,053,514 258,880,663
The Japanese Small Company Series................................ 26,504,218 29,493,703 31,237,967
The Pacific Rim Small Company Series............................. 3,918,012 4,717,274 4,852,459
The Continental Small Company Series............................. 14,195,658 14,982,452 16,359,575
</TABLE>
K. SUBSEQUENT EVENT:
The Pacific Rim Small Company Series, which had ceased offering its shares
to new investors on September 10, 1998, re-opened to new investors on June 14,
1999.
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