<PAGE>
- --------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL
REPORT
YEAR ENDED NOVEMBER 30, 1999
---------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Charts.......................................... 1
Schedules of Investments
The U.S. Large Company Portfolio........................ 10
The Enhanced U.S. Large Company Portfolio............... 10
The U.S. Large Cap Value Portfolio...................... 10
The Tax-Managed U.S. Marketwide Value Portfolio......... 10
The Tax-Managed U.S. 5-10 Value Portfolio............... 11
The U.S. 6-10 Value Portfolio........................... 25
The U.S. 6-10 Small Company Portfolio................... 25
The Tax-Managed U.S. 6-10 Small Company Portfolio....... 26
The U.S. 9-10 Small Company Portfolio................... 50
The DFA Real Estate Securities Portfolio................ 51
The Large Cap International Portfolio................... 53
The Tax-Managed DFA International Value Portfolio....... 63
The International Small Company Portfolio............... 69
The Japanese Small Company Portfolio.................... 69
The Pacific Rim Small Company Portfolio................. 69
The United Kingdom Small Company Portfolio.............. 70
The Continental Small Company Portfolio................. 70
The DFA International Small Cap Value Portfolio......... 71
The Emerging Markets Portfolio.......................... 89
The Emerging Markets Small Cap Portfolio................ 89
The DFA One-Year Fixed Income Portfolio................. 89
The DFA Two-Year Global Fixed Income Portfolio.......... 89
The DFA Five-Year Government Portfolio.................. 90
The DFA Five-Year Global Fixed Income Portfolio......... 91
The DFA Intermediate Government Fixed Income
Portfolio.............................................. 93
Statements of Assets and Liabilities........................ 94
Statements of Operations.................................... 97
Statements of Changes in Net Assets......................... 103
Financial Highlights........................................ 110
Notes to Financial Statements............................... 123
Report of Independent Accountants........................... 132
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Chart........................................... 133
Statement of Assets and Liabilities......................... 134
Statement of Operations..................................... 135
Statements of Changes in Net Assets......................... 136
Financial Highlights........................................ 137
Notes to Financial Statements............................... 138
Report of Independent Accountants........................... 140
</TABLE>
ii
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Charts.......................................... 141
Schedules of Investments
The U.S. Large Company Series........................... 147
The Enhanced U.S. Large Company Series.................. 152
The U.S. Large Cap Value Series......................... 154
The Tax-Managed U.S. Marketwide Value Series............ 156
The U.S. 4-10 Value Series.............................. 162
The U.S. 6-10 Value Series.............................. 167
The U.S. 6-10 Small Company Series...................... 185
The U.S. 9-10 Small Company Series...................... 216
The DFA International Value Series...................... 238
The Japanese Small Company Series....................... 245
The Pacific Rim Small Company Series.................... 252
The United Kingdom Small Company Series................. 261
The Continental Small Company Series.................... 267
The Emerging Markets Series............................. 277
The Emerging Markets Small Cap Series................... 284
The DFA One-Year Fixed Income Series.................... 293
The DFA Two-Year Global Fixed Income Series............. 295
Statements of Assets and Liabilities........................ 297
Statements of Operations.................................... 299
Statements of Changes in Net Assets......................... 302
Financial Highlights........................................ 306
Notes to Financial Statements............................... 313
Report of Independent Accountants........................... 320
</TABLE>
iii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
JANUARY 1991-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX
$10,000 $10,000
Jan-91 $10,440 $10,442
Feb-91 $11,180 $11,190
Mar-91 $11,441 $11,456
Apr-91 $11,461 $11,488
May-91 $11,954 $11,980
Jun-91 $11,409 $11,432
Jul-91 $11,936 $11,967
Aug-91 $12,220 $12,249
Sep-91 $12,008 $12,048
Oct-91 $12,171 $12,209
Nov-91 $11,680 $11,716
Dec-91 $13,012 $13,055
Jan-92 $12,774 $12,812
Feb-92 $12,939 $12,976
Mar-92 $12,690 $12,722
Apr-92 $13,053 $13,092
May-92 $13,126 $13,163
Jun-92 $12,928 $12,972
Jul-92 $13,440 $13,495
Aug-92 $13,168 $13,222
Sep-92 $13,315 $13,374
Oct-92 $13,357 $13,422
Nov-92 $13,810 $13,875
Dec-92 $13,963 $14,056
Jan-93 $14,069 $14,159
Feb-93 $14,250 $14,350
Mar-93 $14,546 $14,659
Apr-93 $14,184 $14,299
May-93 $14,557 $14,686
Jun-93 $14,590 $14,734
Jul-93 $14,526 $14,665
Aug-93 $15,064 $15,223
Sep-93 $14,957 $15,111
Oct-93 $15,259 $15,418
Nov-93 $15,117 $15,273
Dec-93 $15,306 $15,460
Jan-94 $15,800 $15,978
Feb-94 $15,372 $15,547
Mar-94 $14,711 $14,871
Apr-94 $14,910 $15,064
May-94 $15,141 $15,310
Jun-94 $14,774 $14,931
Jul-94 $15,251 $15,426
Aug-94 $15,872 $16,053
Sep-94 $15,504 $15,667
Oct-94 $15,839 $16,025
Nov-94 $15,275 $15,437
Dec-94 $15,503 $15,663
Jan-95 $15,898 $16,070
Feb-95 $16,518 $16,693
Mar-95 $16,995 $17,187
Apr-95 $17,481 $17,688
May-95 $18,184 $18,386
Jun-95 $18,606 $18,818
Jul-95 $19,220 $19,445
Aug-95 $19,255 $19,497
Sep-95 $20,077 $20,314
Oct-95 $19,996 $20,243
Nov-95 $20,856 $21,134
Dec-95 $21,250 $21,525
Jan-96 $21,979 $22,265
Feb-96 $22,164 $22,479
Mar-96 $22,381 $22,695
Apr-96 $22,706 $23,029
May-96 $23,273 $23,623
Jun-96 $23,366 $23,720
Jul-96 $22,327 $22,664
Aug-96 $22,804 $23,145
Sep-96 $24,072 $24,445
Oct-96 $24,727 $25,115
Nov-96 $26,587 $27,021
Dec-96 $26,058 $26,492
Jan-97 $27,681 $28,137
Feb-97 $27,894 $28,365
Mar-97 $26,742 $27,185
Apr-97 $28,336 $28,808
May-97 $30,047 $30,577
Jun-97 $31,387 $31,940
Jul-97 $33,883 $34,476
Aug-97 $31,995 $32,559
Sep-97 $33,739 $34,344
Oct-97 $32,612 $33,197
Nov-97 $34,096 $34,734
Dec-97 $34,676 $35,331
Jan-98 $35,075 $35,723
Feb-98 $37,596 $38,299
Mar-98 $39,503 $40,260
Apr-98 $39,902 $40,666
May-98 $39,211 $39,967
Jun-98 $40,799 $41,590
Jul-98 $40,363 $41,149
Aug-98 $34,551 $35,199
Sep-98 $36,748 $37,455
Oct-98 $39,706 $40,500
Nov-98 $42,128 $42,954
Dec-98 $44,618 $45,428
Jan-99 $46,434 $47,327
Feb-99 $44,985 $45,855
Mar-99 $46,780 $47,690
Apr-99 $48,562 $49,535
May-99 $47,416 $48,366
Jun-99 $50,034 $51,051
Jul-99 $48,463 $49,458
Aug-99 $48,216 $49,210
Sep-99 $46,890 $47,862
Oct-99 $49,862 $50,892
Nov-99 $50,865 $51,925
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS JANUARY 1991
----------------------------------------------------------------
<S> <C> <C> <C>
20.74 27.20 20.01
</TABLE>
- - THE PORTFOLIO PROVIDES ACCESS TO U.S. LARGE COMPANIES BY INVESTING IN THE U.S.
LARGE COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS
PRIMARILY IN THE SECURITIES COMPRISING THE S&P 500 INDEX.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF THE S&P
500 INDEX.
Past performance is not predictive of future performance.
S&P 500 Index is courtesy of -C- STOCKS, BONDS, BILLS AND INFLATION
YEARBOOK-TM-, Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Singuefield).
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
AUGUST 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
ENHANCED U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX
$10,000 $10,000
Aug-96 $10,203 $10,212
Sep-96 $10,802 $10,786
Oct-96 $11,167 $11,081
Nov-96 $12,010 $11,923
Dec-96 $11,709 $11,689
Jan-97 $12,455 $12,415
Feb-97 $12,553 $12,515
Mar-97 $11,947 $11,995
Apr-97 $12,697 $12,711
May-97 $13,525 $13,491
Jun-97 $14,105 $14,093
Jul-97 $15,242 $15,212
Aug-97 $14,407 $14,366
Sep-97 $15,156 $15,153
Oct-97 $14,730 $14,647
Nov-97 $15,279 $15,325
Dec-97 $15,540 $15,589
Jan-98 $15,811 $15,762
Feb-98 $16,881 $16,898
Mar-98 $17,735 $17,764
Apr-98 $17,931 $17,943
May-98 $17,567 $17,634
Jun-98 $18,311 $18,350
Jul-98 $18,075 $18,156
Aug-98 $15,440 $15,531
Sep-98 $16,519 $16,526
Oct-98 $17,884 $17,870
Nov-98 $18,903 $18,953
Dec-98 $20,132 $20,044
Jan-99 $20,864 $20,882
Feb-99 $20,176 $20,233
Mar-99 $21,025 $21,042
Apr-99 $21,820 $21,856
May-99 $21,218 $21,340
Jun-99 $22,451 $22,525
Jul-99 $21,683 $21,822
Aug-99 $21,563 $21,713
Sep-99 $21,044 $21,118
Oct-99 $22,382 $22,455
Nov-99 $22,743 $22,911
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR AUGUST 1996
-------------------------------------------------
<S> <C> <C>
20.31 27.95
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS BY INVESTING IN THE ENHANCED
U.S. LARGE COMPANY SERIES WHICH IN TURN INVESTS IN AN ENHANCED CASH PORTFOLIO
IN COMBINATION WITH THE S&P 500 INDEX FUTURES AND SWAPS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
S&P 500 Index is courtesy of -C- STOCKS, BONDS, BILLS AND INFLATION
YEARBOOK-TM-, Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Singuefield).
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000 VALUE INDEX
APRIL 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. LARGE CAP VALUE PORTFOLIO RUSSELL 1000 VALUE INDEX
$10,000 $10,000
Apr-93 $9,971 $9,872
May-93 $10,079 $10,070
Jun-93 $10,284 $10,292
Jul-93 $10,431 $10,407
Aug-93 $10,686 $10,783
Sep-93 $10,500 $10,800
Oct-93 $10,627 $10,793
Nov-93 $10,519 $10,570
Dec-93 $10,777 $10,771
Jan-94 $11,077 $11,178
Feb-94 $10,579 $10,796
Mar-94 $10,150 $10,394
Apr-94 $10,309 $10,594
May-94 $10,239 $10,716
Jun-94 $10,026 $10,460
Jul-94 $10,460 $10,785
Aug-94 $10,764 $11,095
Sep-94 $10,450 $10,726
Oct-94 $10,653 $10,875
Nov-94 $10,175 $10,436
Dec-94 $10,288 $10,556
Jan-95 $10,525 $10,881
Feb-95 $11,121 $11,311
Mar-95 $11,296 $11,559
Apr-95 $11,699 $11,924
May-95 $12,309 $12,426
Jun-95 $12,578 $12,595
Jul-95 $13,129 $13,033
Aug-95 $13,514 $13,217
Sep-95 $13,981 $13,695
Oct-95 $13,407 $13,560
Nov-95 $14,141 $14,247
Dec-95 $14,235 $14,605
Jan-96 $14,641 $15,060
Feb-96 $14,854 $15,175
Mar-96 $15,367 $15,433
Apr-96 $15,623 $15,492
May-96 $15,880 $15,685
Jun-96 $15,414 $15,698
Jul-96 $14,725 $15,104
Aug-96 $15,317 $15,536
Sep-96 $15,614 $16,155
Oct-96 $16,122 $16,780
Nov-96 $17,289 $17,996
Dec-96 $17,113 $17,766
Jan-97 $17,725 $18,628
Feb-97 $18,071 $18,902
Mar-97 $17,243 $18,221
Apr-97 $17,812 $18,986
May-97 $19,186 $20,048
Jun-97 $19,775 $20,908
Jul-97 $21,758 $22,480
Aug-97 $21,434 $21,680
Sep-97 $22,561 $22,989
Oct-97 $21,404 $22,348
Nov-97 $21,629 $23,336
Dec-97 $21,927 $24,017
Jan-98 $22,212 $23,678
Feb-98 $24,154 $25,272
Mar-98 $25,499 $26,819
Apr-98 $25,642 $26,998
May-98 $25,416 $26,599
Jun-98 $25,355 $26,939
Jul-98 $24,475 $26,465
Aug-98 $20,011 $22,527
Sep-98 $21,026 $23,820
Oct-98 $22,748 $25,666
Nov-98 $24,158 $26,862
Dec-98 $24,554 $27,775
Jan-99 $25,025 $27,998
Feb-99 $24,380 $27,603
Mar-99 $25,170 $28,174
Apr-99 $27,848 $30,806
May-99 $27,812 $30,467
Jun-99 $28,282 $31,350
Jul-99 $27,105 $30,432
Aug-99 $26,129 $29,303
Sep-99 $24,721 $28,280
Oct-99 $25,663 $29,909
Nov-99 $25,247 $29,676
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1993
-----------------------------------------------------------------
<S> <C> <C> <C>
4.51 19.93 14.90
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN THE U.S. LARGE CAP VALUE SERIES OF THE
DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN U.S. LARGE COMPANIES ON
A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE
WEIGHTED MARKETS CAPS OF APPROXIMATELY $12 BILLION AND BOOK-TO-MARKET RATIOS
IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE U.S.
COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS.
RUSSELL 3000 VALUE INDEX
JANUARY 1999-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO RUSSELL 3000 VALUE INDEX
$10,000 $10,000
Jan-99 $10,058 $10,056
Feb-99 $9,690 $9,872
Mar-99 $10,036 $10,056
Apr-99 $11,239 $10,994
May-99 $11,404 $10,905
Jun-99 $11,687 $11,228
Jul-99 $11,240 $10,903
Aug-99 $10,841 $10,500
Sep-99 $10,282 $10,144
Oct-99 $10,439 $10,670
Nov-99 $10,380 $10,595
</TABLE>
<TABLE>
<CAPTION>
FROM
TOTAL RETURN (%) JANUARY 1999
---------------------------------------
<S> <C>
3.80
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS AND MARKET CAPITALIZATION BY INVESTING IN THE
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES WHICH IN TURN INVESTS IN U.S.
COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT
HAVE AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY $10 BILLION AND
BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES. THE
SERIES ALSO SEEKS TO MINIMIZE THE IMPACT OF FEDERAL TAXES ON RETURNS BY
DEFERRING NET CAPITAL GAINS AND MINIMIZING DIVIDEND INCOME.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF U.S.
COMPANIES.
Past performance is not predictive of future performance.
Russell 3000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
JANUARY 1999-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX
$10,000 $10,000
Jan-99 $10,134 $9,773
Feb-99 $9,358 $9,106
Mar-99 $9,367 $9,031
Apr-99 $10,451 $9,855
May-99 $10,921 $10,158
Jun-99 $11,525 $10,526
Jul-99 $11,363 $10,276
Aug-99 $11,047 $9,900
Sep-99 $10,740 $9,702
Oct-99 $10,337 $9,508
Nov-99 $10,730 $9,557
</TABLE>
<TABLE>
<CAPTION>
FROM
JANUARY
TOTAL RETURN (%) 1999
------------------------------------
<S> <C>
7.30
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN U.S. SMALL COMPANIES ON A MARKET
CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE WEIGHTED
MARKET CAPS OF APPROXIMATELY $500 MILLION AND BOOK-TO-MARKET RATIOS IN THE
UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES. THE PORTFOLIO ALSO SEEKS TO
MINIMIZE THE IMPACT OF FEDERAL TAXES ON RETURNS BY DEFERRING NET CAPITAL GAINS
AND MINIMIZING DIVIDEND INCOME.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL U.S.
COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 6-10 VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
APRIL 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. 6-10 VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX
$10,000 $10,000
Apr-93 $9,788 $9,760
May-93 $10,050 $10,067
Jun-93 $10,050 $10,162
Jul-93 $10,353 $10,337
Aug-93 $10,685 $10,741
Sep-93 $11,058 $10,999
Oct-93 $11,431 $11,251
Nov-93 $11,228 $10,964
Dec-93 $11,453 $11,286
Jan-94 $12,044 $11,688
Feb-94 $12,003 $11,654
Mar-94 $11,606 $11,133
Apr-94 $11,687 $11,242
May-94 $11,717 $11,226
Jun-94 $11,503 $10,936
Jul-94 $11,696 $11,138
Aug-94 $12,094 $11,576
Sep-94 $12,053 $11,453
Oct-94 $11,879 $11,243
Nov-94 $11,472 $10,789
Dec-94 $11,591 $11,113
Jan-95 $11,705 $11,060
Feb-95 $12,118 $11,469
Mar-95 $12,262 $11,525
Apr-95 $12,696 $11,867
May-95 $13,046 $12,121
Jun-95 $13,563 $12,536
Jul-95 $14,295 $12,993
Aug-95 $14,750 $13,379
Sep-95 $14,936 $13,579
Oct-95 $14,203 $13,037
Nov-95 $14,731 $13,554
Dec-95 $14,986 $13,974
Jan-96 $14,933 $14,067
Feb-96 $15,260 $14,288
Mar-96 $15,682 $14,588
Apr-96 $16,494 $14,986
May-96 $17,137 $15,365
Jun-96 $16,779 $15,184
Jul-96 $15,735 $14,376
Aug-96 $16,453 $15,000
Sep-96 $17,001 $15,409
Oct-96 $17,126 $15,588
Nov-96 $17,938 $16,427
Dec-96 $18,331 $16,961
Jan-97 $18,797 $17,222
Feb-97 $18,797 $17,385
Mar-97 $18,299 $16,919
Apr-97 $18,224 $17,168
May-97 $19,948 $18,535
Jun-97 $21,194 $19,473
Jul-97 $22,462 $20,290
Aug-97 $23,252 $20,613
Sep-97 $25,040 $21,984
Oct-97 $24,152 $21,386
Nov-97 $23,946 $21,621
Dec-97 $23,968 $22,354
Jan-98 $23,673 $21,949
Feb-98 $25,458 $23,277
Mar-98 $26,494 $24,222
Apr-98 $27,005 $24,341
May-98 $25,971 $23,479
Jun-98 $25,459 $23,346
Jul-98 $23,583 $21,518
Aug-98 $19,237 $18,148
Sep-98 $19,783 $19,173
Oct-98 $20,626 $19,743
Nov-98 $21,719 $20,278
Dec-98 $22,223 $20,915
Jan-99 $22,570 $20,440
Feb-99 $20,710 $19,044
Mar-99 $20,312 $18,888
Apr-99 $22,482 $20,612
May-99 $23,536 $21,245
Jun-99 $24,974 $22,014
Jul-99 $24,862 $21,492
Aug-99 $24,180 $20,706
Sep-99 $23,535 $20,291
Oct-99 $22,730 $19,886
Nov-99 $23,760 $19,989
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1993
----------------------------------------------------------------------
<S> <C> <C> <C>
9.40 15.68 13.86
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN THE U.S. 6-10 VALUE SERIES OF THE DFA
INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN U.S. SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE
WEIGHTED MARKET CAPS OF APPROXIMATELY $400 MILLION AND BOOK-TO-MARKET RATIOS
IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL U.S.
COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
2
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. 6-10 SMALL COMPANY PORTFOLIO VS.
RUSSELL 2000 INDEX
APRIL 1992-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. 6-10 SMALL COMPANY PORTFOLIO RUSSELL 2000 INDEX
$10,000 $10,000
Apr-92 $9,588 $9,649
May-92 $9,567 $9,777
Jun-92 $9,103 $9,318
Jul-92 $9,505 $9,642
Aug-92 $9,309 $9,369
Sep-92 $9,464 $9,585
Oct-92 $9,763 $9,888
Nov-92 $10,670 $10,645
Dec-92 $11,079 $11,015
Jan-93 $11,454 $11,388
Feb-93 $11,193 $11,125
Mar-93 $11,454 $11,485
Apr-93 $11,099 $11,169
May-93 $11,547 $11,663
Jun-93 $11,495 $11,735
Jul-93 $11,579 $11,897
Aug-93 $11,975 $12,411
Sep-93 $12,288 $12,761
Oct-93 $12,548 $13,090
Nov-93 $12,240 $12,664
Dec-93 $12,592 $13,097
Jan-94 $12,970 $13,507
Feb-94 $12,873 $13,458
Mar-94 $12,247 $12,749
Apr-94 $12,269 $12,824
May-94 $12,204 $12,680
Jun-94 $11,848 $12,253
Jul-94 $12,021 $12,454
Aug-94 $12,593 $13,148
Sep-94 $12,657 $13,103
Oct-94 $12,700 $13,051
Nov-94 $12,267 $12,523
Dec-94 $12,423 $12,859
Jan-95 $12,496 $12,697
Feb-95 $12,908 $13,225
Mar-95 $13,151 $13,451
Apr-95 $13,576 $13,750
May-95 $13,854 $13,986
Jun-95 $14,557 $14,712
Jul-95 $15,453 $15,560
Aug-95 $15,889 $15,882
Sep-95 $16,180 $16,166
Oct-95 $15,343 $15,443
Nov-95 $15,794 $16,092
Dec-95 $16,172 $16,517
Jan-96 $16,211 $16,499
Feb-96 $16,752 $17,014
Mar-96 $17,114 $17,366
Apr-96 $18,250 $18,295
May-96 $19,192 $19,016
Jun-96 $18,315 $18,234
Jul-96 $16,791 $16,642
Aug-96 $17,772 $17,609
Sep-96 $18,326 $18,298
Oct-96 $18,055 $18,016
Nov-96 $18,752 $18,758
Dec-96 $19,030 $19,250
Jan-97 $19,659 $19,635
Feb-97 $19,239 $19,159
Mar-97 $18,329 $18,255
Apr-97 $18,118 $18,306
May-97 $20,176 $20,344
Jun-97 $21,213 $21,216
Jul-97 $22,473 $22,203
Aug-97 $23,300 $22,711
Sep-97 $25,092 $24,374
Oct-97 $24,001 $23,304
Nov-97 $23,636 $23,152
Dec-97 $23,640 $23,558
Jan-98 $23,359 $23,185
Feb-98 $25,071 $24,899
Mar-98 $26,114 $25,925
Apr-98 $26,472 $26,067
May-98 $25,085 $24,662
Jun-98 $24,741 $24,714
Jul-98 $22,841 $22,712
Aug-98 $18,138 $18,301
Sep-98 $19,275 $19,734
Oct-98 $20,116 $20,540
Nov-98 $21,439 $21,616
Dec-98 $22,331 $22,954
Jan-99 $22,693 $23,259
Feb-99 $20,760 $21,375
Mar-99 $20,569 $21,709
Apr-99 $22,434 $23,654
May-99 $23,316 $23,999
Jun-99 $24,680 $25,084
Jul-99 $24,473 $24,397
Aug-99 $23,817 $23,494
Sep-99 $23,695 $23,499
Oct-99 $23,418 $23,595
Nov-99 $25,352 $25,004
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1992
--------------------------------------------------------------
<S> <C> <C> <C>
18.25 15.63 12.90
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE U.S. 6-10 SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL COMPANIES
ON MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS IN PUBLICLY TRADED
U.S. SMALL COMPANIES THAT HAVE AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY
$600 MILLION.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF DECILE
6-10 COMPANIES IN THE U.S.
Past performance is not predictive of future performance.
Russell 2000 Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO VS.
RUSSELL 2000 INDEX
JANUARY 1999-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO RUSSELL 2000 INDEX
$10,000 $10,000
Jan-99 $10,219 $10,133
Feb-99 $9,398 $9,312
Mar-99 $9,322 $9,457
Apr-99 $10,277 $10,305
May-99 $10,716 $10,455
Jun-99 $11,346 $10,928
Jul-99 $11,240 $10,629
Aug-99 $10,877 $10,235
Sep-99 $10,829 $10,237
Oct-99 $10,724 $10,279
Nov-99 $11,631 $10,893
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN (%) JANUARY 1999
---------------------------------------
<S> <C>
16.31
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF U.S. SMALL COMPANIES ON A MARKET
CAP-WEIGHTED BASIS. THE PORTFOLIO PROVIDES ACCESS TO PUBLICLY TRADED U.S.
SMALL COMPANIES THAT HAVE AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY
$600 MILLION. THE PORTFOLIO ALSO SEEKS TO MINIMIZE THE IMPACT OF FEDERAL TAXES
ON RETURNS BY DEFERING NET CAPITAL GAINS AND MINIMIZING DIVIDEND INCOME.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF DECILE
6-10 COMPANIES IN THE U.S.
Past performance is not predictive of future performance.
Russell 2000 Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 9-10 SMALL COMPANY PORTFOLIO VS.
CRSP 9-10 INDEX
DECEMBER 1989-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C> <C>
GROWTH OF $10,000
U.S. 9-10 SMALL COMPANY PORTFOLIO CRSP 9-10 INDEX
$10,000 $10,000
Dec-89 $9,866 $9,825
Jan-90 $9,112 $9,198
Feb-90 $9,283 $9,328
Mar-90 $9,624 $9,518
Apr-90 $9,368 $9,222
May-90 $9,894 $9,590
Jun-90 $10,036 $9,654
Jul-90 $9,653 $9,234
Aug-90 $8,402 $8,043
Sep-90 $7,705 $7,290
Oct-90 $7,265 $6,807
Nov-90 $7,592 $7,072
Dec-90 $7,739 $7,071
Jan-91 $8,390 $7,798
Feb-91 $9,323 $8,931
Mar-91 $9,957 $9,645
Apr-91 $9,991 $9,780
May-91 $10,325 $10,039
Jun-91 $9,824 $9,645
Jul-91 $10,224 $9,985
Aug-91 $10,491 $10,289
Sep-91 $10,524 $10,420
Oct-91 $10,858 $10,661
Nov-91 $10,558 $10,290
Dec-91 $11,193 $10,721
Jan-92 $12,456 $12,208
Feb-92 $13,018 $12,864
Mar-92 $12,694 $12,562
Apr-92 $12,183 $11,973
May-92 $12,166 $11,987
Jun-92 $11,534 $11,364
Jul-92 $11,961 $11,727
Aug-92 $11,688 $11,395
Sep-92 $11,841 $11,576
Oct-92 $12,148 $11,894
Nov-92 $13,223 $13,048
Dec-92 $13,806 $13,511
Jan-93 $14,556 $14,293
Feb-93 $14,294 $13,893
Mar-93 $14,707 $14,297
Apr-93 $14,257 $13,859
May-93 $14,745 $14,385
Jun-93 $14,689 $14,411
Jul-93 $14,933 $14,634
Aug-93 $15,439 $15,255
Sep-93 $15,927 $15,725
Oct-93 $16,677 $16,459
Nov-93 $16,385 $16,006
Dec-93 $16,703 $16,194
Jan-94 $17,735 $16,999
Feb-94 $17,694 $16,934
Mar-94 $16,905 $16,111
Apr-94 $17,007 $15,953
May-94 $16,986 $15,940
Jun-94 $16,541 $15,518
Jul-94 $16,845 $15,596
Aug-94 $17,413 $16,293
Sep-94 $17,596 $16,555
Oct-94 $17,798 $16,653
Nov-94 $17,218 $16,010
Dec-94 $17,222 $15,821
Jan-95 $17,709 $16,265
Feb-95 $18,155 $16,794
Mar-95 $18,418 $17,096
Apr-95 $19,067 $17,568
May-95 $19,635 $17,948
Jun-95 $20,750 $18,989
Jul-95 $22,089 $20,193
Aug-95 $22,879 $21,004
Sep-95 $23,325 $21,504
Oct-95 $22,190 $20,392
Nov-95 $22,616 $20,725
Dec-95 $23,156 $20,982
Jan-96 $23,221 $21,276
Feb-96 $24,078 $21,927
Mar-96 $24,627 $22,552
Apr-96 $26,715 $24,459
May-96 $28,716 $26,211
Jun-96 $27,045 $24,659
Jul-96 $24,494 $22,516
Aug-96 $25,660 $23,604
Sep-96 $26,407 $24,390
Oct-96 $25,945 $23,851
Nov-96 $26,692 $24,433
Dec-96 $27,237 $24,938
Jan-97 $28,381 $26,250
Feb-97 $27,796 $25,799
Mar-97 $26,434 $24,336
Apr-97 $25,704 $23,362
May-97 $28,331 $25,939
Jun-97 $29,742 $27,270
Jul-97 $31,542 $28,808
Aug-97 $33,147 $30,116
Sep-97 $35,945 $32,968
Oct-97 $34,557 $32,012
Nov-97 $34,022 $31,359
Dec-97 $33,440 $30,914
Jan-98 $33,243 $30,861
Feb-98 $35,400 $32,848
Mar-98 $37,103 $34,504
Apr-98 $37,726 $35,415
May-98 $35,851 $33,566
Jun-98 $35,113 $32,331
Jul-98 $32,757 $30,330
Aug-98 $26,173 $23,866
Sep-98 $27,138 $24,723
Oct-98 $28,104 $25,655
Nov-98 $30,235 $27,885
Dec-98 $30,997 $28,487
Jan-99 $31,861 $30,179
Feb-99 $29,673 $28,199
Mar-99 $28,548 $27,602
Apr-99 $31,257 $29,939
May-99 $32,467 $30,856
Jun-99 $34,311 $32,053
Jul-99 $34,627 $32,582
Aug-99 $33,965 $31,790
Sep-99 $33,215 $31,504
Oct-99 $32,926 $31,337
Nov-99 $36,123 $34,975
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
------------------------------------------------------------
<S> <C> <C> <C>
19.47 15.97 13.70
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE U.S. 9-10 SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED U.S.
SMALL COMPANIES WITH AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY
$200 MILLION.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF DECILE
9-10 COMPANIES IN THE U.S.
Past performance is not predictive of future performance.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
- --------------------------------------------------------------------------------
3
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500 INDEX & WILSHIRE REIT-ONLY INDEX
JANUARY 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
DFA REAL ESTATE S&P 500 INDEX WILSHIRE REIT-ONLY INDEX
SECURITIES PORTFOLIO
$10,000 $10,000 $10,000
Jan-93 $10,370 $10,073 $10,666
Feb-93 $10,420 $10,209 $11,360
Mar-93 $10,779 $10,428 $12,144
Apr-93 $10,339 $10,173 $11,412
May-93 $10,350 $10,448 $11,202
Jun-93 $10,660 $10,482 $11,627
Jul-93 $10,941 $10,433 $11,752
Aug-93 $11,341 $10,830 $12,029
Sep-93 $11,851 $10,750 $12,511
Oct-93 $11,691 $10,968 $12,125
Nov-93 $11,109 $10,865 $11,507
Dec-93 $11,546 $10,999 $11,514
Jan-94 $11,801 $11,367 $11,792
Feb-94 $11,740 $11,061 $12,316
Mar-94 $11,096 $10,579 $11,816
Apr-94 $11,065 $10,717 $11,978
May-94 $11,004 $10,892 $12,226
Jun-94 $10,729 $10,623 $11,981
Jul-94 $10,760 $10,974 $11,915
Aug-94 $10,944 $11,421 $11,918
Sep-94 $10,588 $11,146 $11,749
Oct-94 $10,148 $11,401 $11,268
Nov-94 $9,804 $10,982 $10,882
Dec-94 $10,577 $11,143 $11,820
Jan-95 $10,278 $11,432 $11,414
Feb-95 $10,449 $11,876 $11,600
Mar-95 $10,428 $12,228 $11,584
Apr-95 $10,375 $12,583 $11,505
May-95 $10,791 $13,080 $11,981
Jun-95 $11,015 $13,388 $12,222
Jul-95 $11,143 $13,834 $12,391
Aug-95 $11,218 $13,871 $12,505
Sep-95 $11,410 $14,452 $12,750
Oct-95 $11,047 $14,402 $12,359
Nov-95 $11,178 $15,035 $12,504
Dec-95 $11,854 $15,313 $13,266
Jan-96 $11,967 $15,840 $13,429
Feb-96 $12,115 $15,992 $13,618
Mar-96 $12,125 $16,146 $13,624
Apr-96 $12,115 $16,383 $13,593
May-96 $12,375 $16,806 $13,917
Jun-96 $12,601 $16,875 $14,182
Jul-96 $12,658 $16,124 $14,202
Aug-96 $13,111 $16,466 $14,774
Sep-96 $13,395 $17,391 $15,138
Oct-96 $13,723 $17,868 $15,539
Nov-96 $14,335 $19,224 $16,281
Dec-96 $15,864 $18,847 $18,180
Jan-97 $15,959 $20,017 $18,289
Feb-97 $15,900 $20,179 $18,225
Mar-97 $15,996 $19,340 $18,363
Apr-97 $15,484 $20,495 $17,691
May-97 $15,938 $21,753 $18,220
Jun-97 $16,784 $22,723 $19,222
Jul-97 $17,225 $24,527 $19,743
Aug-97 $17,143 $23,164 $19,631
Sep-97 $18,704 $24,433 $21,525
Oct-97 $18,181 $23,617 $20,838
Nov-97 $18,515 $24,710 $21,268
Dec-97 $18,937 $25,135 $21,755
Jan-98 $18,712 $25,414 $21,496
Feb-98 $18,399 $27,247 $21,057
Mar-98 $18,889 $28,642 $21,537
Apr-98 $18,286 $28,931 $20,799
May-98 $18,173 $28,434 $20,645
Jun-98 $18,186 $29,588 $20,641
Jul-98 $16,982 $29,274 $19,183
Aug-98 $15,428 $25,041 $17,382
Sep-98 $16,406 $26,646 $18,444
Oct-98 $16,055 $28,813 $18,088
Nov-98 $16,293 $30,559 $18,385
Dec-98 $16,025 $32,319 $18,065
Jan-99 $15,708 $33,670 $17,588
Feb-99 $15,603 $32,623 $17,328
Mar-99 $15,497 $33,928 $17,324
Apr-99 $16,963 $35,241 $18,994
May-99 $17,412 $34,409 $19,500
Jun-99 $17,121 $36,319 $19,154
Jul-99 $16,580 $35,186 $18,503
Aug-99 $16,435 $35,010 $18,370
Sep-99 $15,721 $34,050 $17,571
Oct-99 $15,404 $36,206 $17,202
Nov-99 $15,193 $36,941 $16,959
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS JANUARY 1993
------------------------------------------------------------------------
<S> <C> <C> <C>
-6.75 9.16 6.23
</TABLE>
- - THE PORTFOLIO INVESTS IN EQUITY REITS. THE PORTFOLIO INVESTS ON A MARKET
CAP-WEIGHTED BASIS.
- - THE PORTFOLIO DOES NOT PURCHASE HEALTH CARE REITS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF U.S.
EQUITY REITS.
Past performance is not predictive of future performance.
S&P 500 Index is courtesty of -C- STOCKS, BONDS, BILLS AND INFLATION
YEARBOOK-TM-, Ibbolson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
Valshire REIT-only Index courtesty of Valshire Associates Incorporated.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
AUGUST 1991-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
LARGE CAP INTERNATIONAL PORTFOLIO MSCI EAFE INDEX (NET DIVIDENDS)
$10,000 $10,000
Aug-91 $9,865 $9,797
Sep-91 $10,338 $10,350
Oct-91 $10,636 $10,497
Nov-91 $10,288 $10,006
Dec-91 $10,880 $10,524
Jan-92 $10,540 $10,300
Feb-92 $10,073 $9,931
Mar-92 $9,402 $9,275
Apr-92 $9,392 $9,319
May-92 $9,966 $9,942
Jun-92 $9,539 $9,471
Jul-92 $9,412 $9,229
Aug-92 $10,121 $9,807
Sep-92 $9,868 $9,614
Oct-92 $9,295 $9,109
Nov-92 $9,363 $9,195
Dec-92 $9,451 $9,243
Jan-93 $9,362 $9,242
Feb-93 $9,607 $9,521
Mar-93 $10,364 $10,351
Apr-93 $11,090 $11,334
May-93 $11,326 $11,573
Jun-93 $11,130 $11,392
Jul-93 $11,494 $11,791
Aug-93 $12,103 $12,428
Sep-93 $11,819 $12,148
Oct-93 $12,143 $12,522
Nov-93 $11,194 $11,428
Dec-93 $11,894 $12,253
Jan-94 $12,730 $13,288
Feb-94 $12,362 $13,251
Mar-94 $12,004 $12,680
Apr-94 $12,432 $13,217
May-94 $12,313 $13,142
Jun-94 $12,503 $13,327
Jul-94 $12,661 $13,457
Aug-94 $12,970 $13,776
Sep-94 $12,502 $13,342
Oct-94 $13,010 $13,786
Nov-94 $12,398 $13,123
Dec-94 $12,525 $13,205
Jan-95 $12,164 $12,698
Feb-95 $12,079 $12,663
Mar-95 $12,886 $13,452
Apr-95 $13,342 $13,958
May-95 $13,183 $13,791
Jun-95 $12,981 $13,549
Jul-95 $13,715 $14,393
Aug-95 $13,173 $13,844
Sep-95 $13,396 $14,114
Oct-95 $13,204 $13,735
Nov-95 $13,559 $14,117
Dec-95 $14,159 $14,685
Jan-96 $14,126 $14,746
Feb-96 $14,082 $14,796
Mar-96 $14,374 $15,111
Apr-96 $14,762 $15,551
May-96 $14,579 $15,265
Jun-96 $14,665 $15,350
Jul-96 $14,244 $14,902
Aug-96 $14,308 $14,935
Sep-96 $14,729 $15,332
Oct-96 $14,599 $15,175
Nov-96 $15,278 $15,779
Dec-96 $15,057 $15,576
Jan-97 $14,385 $15,031
Feb-97 $14,605 $15,277
Mar-97 $14,804 $15,332
Apr-97 $14,925 $15,413
May-97 $15,871 $16,417
Jun-97 $16,971 $17,321
Jul-97 $17,268 $17,602
Aug-97 $16,080 $16,287
Sep-97 $17,125 $17,199
Oct-97 $15,716 $15,878
Nov-97 $15,705 $15,716
Dec-97 $15,886 $15,853
Jan-98 $16,469 $16,578
Feb-98 $17,365 $17,642
Mar-98 $17,946 $18,185
Apr-98 $18,058 $18,329
May-98 $18,068 $18,239
Jun-98 $18,292 $18,378
Jul-98 $18,415 $18,563
Aug-98 $16,220 $16,263
Sep-98 $15,704 $15,766
Oct-98 $17,273 $17,408
Nov-98 $18,237 $18,300
Dec-98 $18,778 $19,023
Jan-99 $18,664 $18,966
Feb-99 $18,253 $18,514
Mar-99 $19,084 $19,286
Apr-99 $19,857 $20,067
May-99 $18,832 $19,034
Jun-99 $19,651 $19,776
Jul-99 $20,209 $20,364
Aug-99 $20,347 $20,439
Sep-99 $20,495 $20,645
Oct-99 $21,280 $21,409
Nov-99 $22,089 $22,152
</TABLE>
<TABLE>
<CAPTION>
ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS AUGUST 1991
---------------------------------------------------------------
<S> <C> <C> <C>
21.12 12.24 9.98
</TABLE>
- - THE PORTFOLIO PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN EUROPE, AUSTRALIA
AND THE FAR EAST (CURRENTLY 20 COUNTRIES). INVESTMENT WILL BE APPROXIMATELY
MARKET CAP WEIGHTED. COUNTRY WEIGHTING IS DESIGNED TO REFLECT EACH COUNTRY'S
MARKET CAPITALIZATION RELATIVE TO THE OVERALL INDEX, ADJUSTED TO REFLECT
CROSS-OWNERSHIP.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE VS.
MSCI EAFE INDEX (NET DIVIDENDS)
MAY 1999-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
TAX-MANAGED DFA INTERNATIONAL VALUE MSCI EAFE INDEX (NET DIVIDENDS)
$10,000 $10,000
May-99 $9,529 $9,485
Jun-99 $9,930 $9,855
Jul-99 $10,321 $10,148
Aug-99 $10,472 $10,185
Sep-99 $10,512 $10,288
Oct-99 $10,461 $10,669
Nov-99 $10,261 $11,039
</TABLE>
<TABLE>
<CAPTION>
FROM
TOTAL RETURN (%) MAY 1999
------------------------------------
<S> <C>
2.61
</TABLE>
- - THE PORTFOLIO INVESTS IN COMPANIES WITH MARKET CAPITALIZATION OF AT LEAST
$800 MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF LARGE PUBLICLY
TRADED NON-U.S. COMPANIES. COUNTRY WEIGHTINGS REFLECT THE MSCI EAFE INDEX
MARKET CAPITALIZATION WEIGHT, WITH JAPAN LIMITED TO 38%. THE PORTFOLIO ALSO
SEEKS TO MINIMIZE THE IMPACT OF FEDERAL TAXES ON RETURNS BY DEFERING NET
CAPITAL GAINS AND MINIMIZING DIVIDEND INCOME.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE,
NON-U.S. COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
4
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-EPAC
OCTOBER 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 INTERNATIONAL SMALL COMPANY PORTFOLIO SALOMON SMITH BARNEY EXTENDED MARKET INDEX-EPAC
<S> <C> <C>
$9,930 $10,000
Oct-96 $9,841 $9,961
Nov-96 $9,890 $10,124
Dec-96 $9,569 $9,938
Jan-97 $9,350 $9,723
Feb-97 $9,460 $9,887
Mar-97 $9,281 $9,755
Apr-97 $9,082 $9,609
May-97 $9,739 $10,225
Jun-97 $9,918 $10,456
Jul-97 $9,510 $10,298
Aug-97 $9,083 $9,858
Sep-97 $8,864 $10,034
Oct-97 $8,466 $9,637
Nov-97 $7,779 $9,207
Dec-97 $7,299 $9,003
Jan-98 $7,814 $9,379
Feb-98 $8,611 $10,078
Mar-98 $8,763 $10,552
Apr-98 $8,652 $10,632
May-98 $8,641 $10,830
Jun-98 $8,359 $10,514
Jul-98 $8,167 $10,441
Aug-98 $7,259 $9,161
Sep-98 $7,027 $8,923
Oct-98 $7,471 $9,553
Nov-98 $7,895 $9,859
Dec-98 $7,898 $10,097
Jan-99 $7,774 $10,066
Feb-99 $7,631 $9,871
Mar-99 $7,950 $10,241
Apr-99 $8,702 $10,795
May-99 $8,661 $10,512
Jun-99 $9,278 $10,870
Jul-99 $9,515 $11,277
Aug-99 $9,618 $11,451
Sep-99 $9,566 $11,423
Oct-99 $9,453 $11,309
Nov-99 $9,402 $11,696
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR OCTOBER 1996
--------------------------------------------------
<S> <C> <C>
18.28 -1.93
</TABLE>
- - THE PORTFOLIO INVESTS IN FOUR INTERNATIONAL SERIES OF THE DFA INVESTMENT TRUST
COMPANY. THE PORTFOLIO INVESTS 25% IN THE JAPANESE SMALL COMPANY SERIES, 15%
IN THE PACIFIC RIM SMALL COMPANY SERIES, 40% IN THE CONTINENTAL SMALL COMPANY
SERIES, AND 20% IN THE UNITED KINGDOM SMALL COMPANY SERIES.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-EPAC is courtesy of Salomon Smith
Barney.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-JAPAN
DECEMBER 1989-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
JAPANESE SALOMON SMITH
SMALL COMPANY BARNEY EXTENDED JAPANESE LARGE
PORTFOLIO MARKET INDEX-JAPAN COMPANY STOCKS
$9,900 $10,000 $10,000
Dec-89 $10,303 $10,443 $10,026
Jan-90 $10,119 $10,231 $9,381
Feb-90 $9,771 $9,665 $8,423
Mar-90 $8,252 $8,140 $6,805
Apr-90 $7,523 $7,599 $6,870
May-90 $8,983 $8,923 $7,850
Jun-90 $9,066 $8,997 $7,470
Jul-90 $9,493 $9,448 $7,395
Aug-90 $8,059 $8,115 $6,651
Sep-90 $6,747 $6,619 $5,567
Oct-90 $8,845 $8,513 $6,952
Nov-90 $7,017 $7,048 $6,084
Dec-90 $6,866 $6,875 $6,398
Jan-91 $6,555 $6,693 $6,584
Feb-91 $8,047 $7,975 $7,367
Mar-91 $7,828 $7,780 $6,900
Apr-91 $8,107 $8,020 $7,127
May-91 $7,975 $7,857 $7,071
Jun-91 $7,437 $7,466 $6,562
Jul-91 $7,417 $7,410 $6,779
Aug-91 $6,597 $6,642 $6,400
Sep-91 $7,440 $7,438 $6,960
Oct-91 $7,981 $7,775 $7,299
Nov-91 $7,130 $7,013 $6,750
Dec-91 $7,354 $7,247 $6,963
Jan-92 $7,096 $6,954 $6,651
Feb-92 $6,762 $6,621 $6,091
Mar-92 $5,999 $5,879 $5,432
Apr-92 $5,405 $5,336 $5,099
May-92 $6,145 $5,982 $5,515
Jun-92 $5,576 $5,487 $5,011
Jul-92 $5,147 $5,085 $4,945
Aug-92 $5,846 $5,810 $5,827
Sep-92 $5,797 $5,693 $5,685
Oct-92 $5,458 $5,392 $5,429
Nov-92 $5,489 $5,455 $5,571
Dec-92 $5,434 $5,383 $5,493
Jan-93 $5,318 $5,291 $5,460
Feb-93 $5,602 $5,560 $5,698
Mar-93 $6,499 $6,388 $6,502
Apr-93 $7,633 $7,446 $7,632
May-93 $8,641 $8,201 $7,849
Jun-93 $8,167 $7,795 $7,742
Jul-93 $8,480 $8,132 $8,265
Aug-93 $8,614 $8,323 $8,447
Sep-93 $8,155 $8,010 $8,015
Oct-93 $7,487 $7,432 $7,995
Nov-93 $6,013 $6,152 $6,681
Dec-93 $6,204 $6,289 $6,869
Jan-94 $7,441 $7,318 $8,025
Feb-94 $7,814 $7,711 $8,368
Mar-94 $7,968 $7,807 $8,015
Apr-94 $8,282 $8,105 $8,332
May-94 $8,365 $8,154 $8,527
Jun-94 $9,073 $8,803 $8,964
Jul-94 $8,747 $8,548 $8,640
Aug-94 $8,642 $8,430 $8,700
Sep-94 $8,251 $8,142 $8,472
Oct-94 $8,470 $8,267 $8,725
Nov-94 $7,791 $7,664 $8,284
Dec-94 $8,033 $7,861 $8,392
Jan-95 $7,759 $7,517 $7,848
Feb-95 $7,244 $7,028 $7,511
Mar-95 $7,660 $7,540 $8,191
Apr-95 $7,934 $7,759 $8,603
May-95 $7,110 $7,083 $8,057
Jun-95 $6,732 $6,759 $7,695
Jul-95 $7,283 $7,213 $8,258
Aug-95 $7,289 $7,060 $7,980
Sep-95 $7,038 $6,942 $7,989
Oct-95 $6,789 $6,646 $7,592
Nov-95 $7,282 $6,958 $8,037
Dec-95 $7,746 $7,331 $8,459
Jan-96 $7,912 $7,377 $8,338
Feb-96 $7,766 $7,267 $8,192
Mar-96 $8,038 $7,468 $8,476
Apr-96 $8,879 $8,176 $8,967
May-96 $8,516 $7,800 $8,511
Jun-96 $8,421 $7,790 $8,550
Jul-96 $7,763 $7,351 $8,160
Aug-96 $7,545 $7,043 $7,797
Sep-96 $7,575 $7,103 $8,061
Oct-96 $7,042 $6,649 $7,530
Nov-96 $6,825 $6,495 $7,677
Dec-96 $5,981 $5,843 $7,164
Jan-97 $5,401 $5,297 $6,374
Feb-97 $5,356 $5,294 $6,518
Mar-97 $4,967 $4,996 $6,318
Apr-97 $4,883 $4,993 $6,536
May-97 $5,693 $5,719 $7,269
Jun-97 $5,783 $5,889 $7,803
Jul-97 $5,123 $5,434 $7,562
Aug-97 $4,571 $4,868 $6,889
Sep-97 $3,880 $4,408 $6,811
Oct-97 $3,981 $4,390 $6,180
Nov-97 $3,282 $3,777 $5,798
Dec-97 $2,705 $3,265 $5,481
Jan-98 $3,451 $3,862 $5,956
Feb-98 $3,726 $3,994 $5,990
Mar-98 $3,391 $3,757 $5,584
Apr-98 $3,215 $3,642 $5,562
May-98 $3,078 $3,520 $5,256
Jun-98 $3,149 $3,560 $5,332
Jul-98 $3,117 $3,522 $5,263
Aug-98 $2,782 $3,256 $4,666
Sep-98 $2,631 $3,194 $4,540
Oct-98 $2,959 $3,622 $5,304
Nov-98 $3,205 $3,752 $5,546
Dec-98 $3,139 $3,876 $5,762
Jan-99 $3,214 $3,867 $5,803
Feb-99 $3,090 $3,747 $5,676
Mar-99 $3,448 $4,195 $6,465
Apr-99 $3,803 $4,394 $6,735
May-99 $3,632 $4,233 $6,358
Jun-99 $3,976 $4,556 $6,962
Jul-99 $4,165 $4,885 $7,658
Aug-99 $4,242 $5,104 $7,606
Sep-99 $4,250 $5,306 $8,068
Oct-99 $4,179 $5,302 $8,415
Nov-99 $3,941 $5,284 $8,777
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
------------------------------------------------------------
<S> <C> <C> <C>
22.35 -12.92 -8.89
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE JAPANESE SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES LISTED ON THE LOWER HALF OF COMPANIES ON THE FIRST SECTION OF TOKYO
STOCK EXCHANGE.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN JAPANESE SMALL
COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL CAP
COMPANIES IN JAPAN.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-JAPAN IS A MORE WIDELY
RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN JAPANESE LARGE COMPANY
STOCKS, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-EPAC is courtesy of Salomon Smith
Barney.
Japanese Large Company Stocks courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PACIFIC RIM SMALL COMPANY PORTFOLIO VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-PACIFIC RIM EX. JAPAN
FEBRUARY 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
SALOMON SMITH
PACIFIC RIM BARNEY EXTENDED PACIFIC RIM
SMALL COMPANY MARKET INDEX-PAC LARGE COMPANY
PORTFOLIO RIM EX. JAPAN
$9,850 $10,000 $10,000
Feb-93 $10,580 $11,007 $10,770
Mar-93 $11,125 $11,447 $10,953
Apr-93 $12,215 $12,162 $11,512
May-93 $13,218 $12,917 $11,949
Jun-93 $12,848 $12,323 $11,591
Jul-93 $13,082 $12,722 $11,996
Aug-93 $13,422 $13,442 $12,908
Sep-93 $13,967 $13,572 $13,153
Oct-93 $15,777 $15,990 $15,284
Nov-93 $16,128 $15,906 $14,826
Dec-93 $18,749 $18,878 $17,909
Jan-94 $17,716 $18,347 $17,426
Feb-94 $17,904 $18,109 $16,572
Mar-94 $16,013 $15,950 $14,782
Apr-94 $16,427 $16,193 $15,462
May-94 $16,436 $16,180 $15,972
Jun-94 $15,983 $15,410 $15,270
Jul-94 $16,435 $16,092 $16,079
Aug-94 $17,390 $16,813 $17,156
Sep-94 $17,981 $16,850 $16,710
Oct-94 $18,139 $16,697 $16,978
Nov-94 $16,817 $15,217 $15,619
Dec-94 $16,487 $14,940 $15,385
Jan-95 $14,728 $13,451 $14,062
Feb-95 $15,261 $14,292 $15,370
Mar-95 $15,315 $14,226 $15,539
Apr-95 $15,070 $14,372 $15,741
May-95 $15,593 $14,942 $16,811
Jun-95 $15,657 $14,849 $16,492
Jul-95 $16,670 $15,775 $17,168
Aug-95 $16,361 $15,575 $16,721
Sep-95 $16,500 $15,698 $16,939
Oct-95 $15,999 $15,218 $16,634
Nov-95 $15,765 $15,277 $16,784
Dec-95 $16,016 $15,800 $17,438
Jan-96 $17,122 $17,283 $18,589
Feb-96 $17,223 $17,639 $18,868
Mar-96 $17,494 $17,854 $19,113
Apr-96 $18,893 $18,603 $19,648
May-96 $18,351 $18,340 $19,452
Jun-96 $17,843 $18,302 $19,082
Jul-96 $17,245 $17,500 $18,128
Aug-96 $17,742 $18,527 $18,944
Sep-96 $18,013 $18,920 $19,437
Oct-96 $18,206 $19,308 $19,961
Nov-96 $18,770 $20,540 $21,039
Dec-96 $18,316 $20,606 $21,081
Jan-97 $18,706 $20,651 $20,828
Feb-97 $19,744 $21,737 $21,120
Mar-97 $18,866 $20,770 $20,148
Apr-97 $18,415 $20,357 $19,745
May-97 $19,098 $21,191 $20,970
Jun-97 $19,257 $21,477 $21,431
Jul-97 $19,172 $21,479 $21,388
Aug-97 $18,096 $19,911 $18,415
Sep-97 $17,291 $19,410 $19,041
Oct-97 $13,079 $14,786 $15,005
Nov-97 $11,626 $13,577 $14,539
Dec-97 $10,605 $13,047 $14,583
Jan-98 $9,485 $11,696 $13,693
Feb-98 $12,076 $13,768 $15,802
Mar-98 $11,658 $13,297 $15,628
Apr-98 $10,592 $12,603 $14,534
May-98 $9,216 $11,278 $12,907
Jun-98 $7,894 $10,086 $12,132
Jul-98 $7,367 $9,811 $11,720
Aug-98 $6,220 $8,226 $10,138
Sep-98 $6,638 $9,238 $11,070
Oct-98 $7,785 $10,696 $13,218
Nov-98 $8,838 $11,505 $13,839
Dec-98 $8,582 $11,190 $13,687
Jan-99 $8,569 $11,057 $13,783
Feb-99 $8,205 $11,012 $13,645
Mar-99 $8,513 $11,759 $14,723
Apr-99 $10,721 $13,505 $17,167
May-99 $11,407 $12,985 $15,948
Jun-99 $13,686 $14,152 $17,272
Jul-99 $13,308 $14,123 $17,116
Aug-99 $13,153 $13,887 $16,729
Sep-99 $12,930 $13,738 $16,426
Oct-99 $12,944 $13,468 $16,735
Nov-99 $13,643 $14,259 $18,131
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS FEBRUARY 1993
-------------------------------------------------------------------------
<S> <C> <C> <C>
52.83 -4.39 -4.65
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE PACIFIC RIM SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES LISTED ON THE MAJOR EXCHANGES OF AUSTRALIA, HONG KONG, MALAYSIA, NEW
ZEALAND, AND SINGAPORE.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN PACIFIC RIM SMALL
COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE PACIFIC RIM REGION.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-PACIFIC RIM EX. JAPAN IS A MORE
WIDELY RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN PACIFIC RIM
LARGE COMPANY STOCKS, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-EPAC is courtesy of Salomon Smith
Barney.
Pacific Rim Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
5
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-UNITED KINGDOM
DECEMBER 1989-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
SALOMON SMITH BARNEY
UNITED KINGDOM EXTENDED MARKET UNITED KINGDOM LARGE
SMALL COMPANY PORTFOLIO INDEX-UNITED KINGDOM COMPANY STOCKS
$9,850 $10,000 $10,000
Dec-89 $10,293 $10,771 $10,865
Jan-90 $10,826 $11,055 $11,037
Feb-90 $10,562 $10,496 $10,719
Mar-90 $10,052 $10,212 $10,428
Apr-90 $9,429 $9,603 $9,762
May-90 $10,165 $10,812 $11,109
Jun-90 $10,911 $11,616 $11,776
Jul-90 $11,510 $12,176 $12,356
Aug-90 $10,354 $10,946 $11,564
Sep-90 $9,291 $9,864 $10,531
Oct-90 $9,759 $10,680 $11,327
Nov-90 $9,631 $10,948 $11,768
Dec-90 $9,607 $11,037 $11,786
Jan-91 $9,333 $11,040 $12,087
Feb-91 $10,297 $12,373 $13,066
Mar-91 $10,313 $11,879 $12,369
Apr-91 $10,282 $11,844 $12,456
May-91 $10,038 $11,394 $12,356
Jun-91 $9,237 $10,602 $11,402
Jul-91 $9,668 $11,591 $12,702
Aug-91 $10,013 $12,067 $13,032
Sep-91 $11,069 $12,903 $13,658
Oct-91 $10,967 $12,452 $13,296
Nov-91 $10,840 $11,978 $12,732
Dec-91 $11,025 $12,480 $13,811
Jan-92 $10,879 $12,616 $13,713
Feb-92 $10,826 $12,620 $13,514
Mar-92 $10,282 $11,812 $12,623
Apr-92 $11,428 $13,890 $14,398
May-92 $12,412 $14,690 $15,207
Jun-92 $11,914 $14,253 $14,745
Jul-92 $10,722 $12,982 $14,056
Aug-92 $10,360 $12,783 $14,027
Sep-92 $9,790 $12,401 $13,881
Oct-92 $8,676 $11,398 $12,757
Nov-92 $8,571 $11,621 $12,912
Dec-92 $9,486 $12,585 $13,460
Jan-93 $10,083 $12,816 $13,250
Feb-93 $9,898 $12,637 $12,989
Mar-93 $10,690 $13,813 $14,004
Apr-93 $11,422 $14,529 $14,464
May-93 $11,564 $14,555 $14,577
Jun-93 $11,363 $14,179 $14,355
Jul-93 $11,167 $14,423 $14,319
Aug-93 $12,084 $15,449 $15,339
Sep-93 $12,040 $15,209 $15,197
Oct-93 $12,079 $15,517 $15,729
Nov-93 $11,692 $15,251 $15,668
Dec-93 $12,391 $16,461 $16,904
Jan-94 $14,072 $18,118 $17,826
Feb-94 $14,011 $17,499 $16,998
Mar-94 $13,204 $16,590 $15,965
Apr-94 $13,680 $16,995 $16,468
May-94 $13,254 $16,052 $15,654
Jun-94 $12,850 $15,810 $15,659
Jul-94 $13,165 $16,703 $16,567
Aug-94 $13,624 $17,578 $17,434
Sep-94 $13,442 $16,657 $16,675
Oct-94 $13,696 $17,370 $17,649
Nov-94 $13,078 $16,626 $16,862
Dec-94 $12,966 $16,745 $16,828
Jan-95 $12,927 $16,554 $16,583
Feb-95 $12,724 $16,468 $16,705
Mar-95 $13,254 $17,235 $17,883
Apr-95 $13,594 $17,645 $18,246
May-95 $14,063 $18,201 $18,684
Jun-95 $14,023 $18,046 $18,701
Jul-95 $14,628 $19,430 $19,722
Aug-95 $14,610 $19,355 $19,379
Sep-95 $14,904 $20,032 $20,032
Oct-95 $14,701 $19,778 $20,116
Nov-95 $14,176 $19,467 $20,110
Dec-95 $14,359 $20,030 $20,649
Jan-96 $14,422 $20,090 $20,607
Feb-96 $14,933 $20,922 $20,927
Mar-96 $15,381 $21,637 $21,061
Apr-96 $16,113 $22,634 $21,604
May-96 $16,706 $23,121 $21,989
Jun-96 $16,554 $22,670 $21,758
Jul-96 $15,999 $22,047 $21,714
Aug-96 $16,548 $23,107 $22,863
Sep-96 $16,667 $23,147 $23,293
Oct-96 $17,469 $24,322 $24,471
Nov-96 $17,967 $25,101 $25,680
Dec-96 $18,637 $25,962 $26,638
Jan-97 $18,406 $25,339 $25,799
Feb-97 $19,017 $26,236 $26,568
Mar-97 $19,146 $26,065 $26,911
Apr-97 $18,827 $25,570 $27,123
May-97 $18,731 $25,652 $28,192
Jun-97 $18,526 $25,772 $28,615
Jul-97 $17,915 $25,584 $29,625
Aug-97 $18,377 $26,236 $29,183
Sep-97 $19,042 $27,514 $31,469
Oct-97 $19,715 $27,820 $30,506
Nov-97 $19,484 $27,978 $30,640
Dec-97 $19,295 $28,051 $31,587
Jan-98 $19,395 $28,452 $33,043
Feb-98 $20,127 $30,279 $35,250
Mar-98 $21,785 $33,049 $37,379
Apr-98 $21,855 $33,644 $37,495
May-98 $22,665 $34,610 $36,801
Jun-98 $21,840 $33,166 $36,945
Jul-98 $20,220 $32,092 $36,139
Aug-98 $18,196 $28,806 $33,151
Sep-98 $17,363 $27,890 $32,398
Oct-98 $16,974 $28,707 $34,157
Nov-98 $16,841 $29,123 $35,367
Dec-98 $17,136 $29,289 $36,336
Jan-99 $17,420 $30,150 $36,190
Feb-99 $17,997 $30,789 $37,041
Mar-99 $19,057 $32,055 $38,478
Apr-99 $20,315 $34,045 $40,240
May-99 $20,201 $33,065 $38,268
Jun-99 $20,702 $33,561 $38,452
Jul-99 $22,035 $35,212 $39,267
Aug-99 $22,736 $35,219 $39,322
Sep-99 $22,320 $34,201 $38,803
Oct-99 $22,027 $33,592 $39,766
Nov-99 $22,917 $36,407 $41,078
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
------------------------------------------------------------
<S> <C> <C> <C>
36.08 11.54 8.65
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE U.K. SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY
WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET
CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES IN THE LOWER HALF BY MARKET CAP OF COMPANIES TRADED ON THE
INTERNATIONAL STOCK EXCHANGE OF THE UNITED KINGDOM.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN UNITED KINGDOM
SMALL COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE UNITED KINGDOM.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-UNITED KINGDOM IS A MORE WIDELY
RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN UNITED KINGDOM LARGE
COMPANY STOCKS, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-United Kingdom is courtesy of Salomon
Smith Barney.
United Kingdom Large Company Stocks courtesy of Financial Times--Actuaries All
Share Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-EUROPE EX. UNITED KINGDOM
DECEMBER 1989-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
SALOMON SMITH BARNEY
CONTINENTAL SMALL EXTENDED MARKET INDEX-EUROPE CONTINENTAL LARGE
COMPANY PORTFOLIO EX. UNITED KINGDOM COMPANY STOCKS
$9,850 $10,000 $10,000
Dec-89 $10,633 $10,734 $11,118
Jan-90 $10,583 $10,671 $11,038
Feb-90 $10,401 $10,343 $10,800
Mar-90 $10,878 $10,925 $11,208
Apr-90 $11,148 $11,109 $11,130
May-90 $11,463 $11,537 $11,687
Jun-90 $11,858 $11,910 $11,957
Jul-90 $12,586 $12,599 $12,461
Aug-90 $11,155 $10,950 $10,926
Sep-90 $9,987 $9,483 $9,465
Oct-90 $10,571 $10,255 $10,291
Nov-90 $10,195 $9,965 $10,128
Dec-90 $10,200 $9,927 $9,944
Jan-91 $9,913 $9,862 $10,259
Feb-91 $10,593 $10,625 $11,206
Mar-91 $9,730 $9,835 $10,357
Apr-91 $9,730 $9,849 $10,272
May-91 $9,769 $9,843 $10,733
Jun-91 $9,201 $9,276 $9,841
Jul-91 $9,403 $9,525 $10,235
Aug-91 $9,403 $9,549 $10,376
Sep-91 $9,684 $9,815 $10,637
Oct-91 $9,377 $9,486 $10,452
Nov-91 $9,267 $9,285 $10,384
Dec-91 $9,780 $9,736 $11,152
Jan-92 $9,619 $9,758 $11,226
Feb-92 $9,570 $9,816 $11,386
Mar-92 $9,450 $9,682 $11,151
Apr-92 $9,407 $9,704 $11,331
May-92 $9,771 $10,140 $11,982
Jun-92 $9,813 $10,133 $11,922
Jul-92 $9,568 $9,781 $11,518
Aug-92 $9,604 $9,695 $11,481
Sep-92 $9,049 $9,199 $11,309
Oct-92 $8,335 $8,411 $10,597
Nov-92 $7,984 $8,233 $10,512
Dec-92 $7,840 $8,178 $10,628
Jan-93 $8,085 $8,526 $10,819
Feb-93 $8,085 $8,823 $11,197
Mar-93 $8,518 $9,348 $11,634
Apr-93 $8,893 $9,638 $11,844
May-93 $8,907 $9,776 $12,009
Jun-93 $8,438 $9,339 $11,805
Jul-93 $8,402 $9,580 $11,900
Aug-93 $9,318 $10,483 $13,078
Sep-93 $9,339 $10,500 $13,104
Oct-93 $9,411 $10,925 $13,680
Nov-93 $9,201 $10,637 $13,188
Dec-93 $9,823 $11,418 $14,190
Jan-94 $10,564 $12,242 $14,971
Feb-94 $10,704 $12,102 $14,567
Mar-94 $11,048 $12,182 $14,479
Apr-94 $11,474 $12,578 $15,131
May-94 $11,305 $12,310 $14,571
Jun-94 $11,195 $12,127 $14,323
Jul-94 $11,474 $12,615 $15,068
Aug-94 $11,591 $12,730 $15,354
Sep-94 $11,335 $12,488 $14,801
Oct-94 $11,342 $12,726 $15,334
Nov-94 $10,876 $12,130 $14,798
Dec-94 $10,905 $12,236 $14,931
Jan-95 $10,831 $12,152 $14,886
Feb-95 $11,031 $12,507 $15,362
Mar-95 $11,194 $12,630 $15,854
Apr-95 $11,417 $13,160 $16,520
May-95 $11,603 $13,539 $16,850
Jun-95 $11,760 $13,872 $17,086
Jul-95 $12,050 $14,359 $17,958
Aug-95 $11,464 $13,594 $17,131
Sep-95 $11,470 $13,868 $17,663
Oct-95 $11,099 $13,576 $17,557
Nov-95 $10,731 $13,315 $17,697
Dec-95 $10,907 $13,675 $18,316
Jan-96 $11,132 $13,930 $18,518
Feb-96 $11,613 $14,437 $18,962
Mar-96 $11,798 $14,621 $19,361
Apr-96 $11,798 $14,675 $19,399
May-96 $12,070 $15,074 $19,516
Jun-96 $12,174 $15,442 $19,886
Jul-96 $11,910 $15,131 $19,469
Aug-96 $11,957 $15,460 $19,839
Sep-96 $11,797 $15,424 $20,236
Oct-96 $12,006 $15,509 $20,478
Nov-96 $12,231 $15,891 $21,461
Dec-96 $12,470 $16,172 $21,719
Jan-97 $12,765 $16,476 $22,153
Feb-97 $12,790 $16,639 $22,264
Mar-97 $13,242 $17,165 $23,244
Apr-97 $12,877 $16,810 $22,872
May-97 $13,398 $17,655 $23,832
Jun-97 $13,857 $18,254 $25,453
Jul-97 $13,823 $18,482 $26,649
Aug-97 $13,597 $17,759 $24,624
Sep-97 $14,560 $19,055 $27,136
Oct-97 $14,144 $18,307 $25,670
Nov-97 $13,822 $18,219 $26,209
Dec-97 $13,929 $18,519 $27,153
Jan-98 $14,432 $19,229 $28,212
Feb-98 $15,503 $20,852 $30,553
Mar-98 $16,982 $22,566 $32,998
Apr-98 $17,654 $23,168 $33,889
May-98 $18,583 $24,556 $35,414
Jun-98 $18,099 $23,959 $35,732
Jul-98 $18,166 $24,465 $37,054
Aug-98 $16,261 $21,142 $31,607
Sep-98 $15,493 $20,085 $30,090
Oct-98 $15,938 $21,268 $32,768
Nov-98 $16,507 $22,027 $34,636
Dec-98 $16,654 $22,816 $36,333
Jan-99 $15,798 $22,353 $36,152
Feb-99 $15,494 $21,553 $34,525
Mar-99 $15,256 $21,372 $34,594
Apr-99 $15,700 $22,073 $35,493
May-99 $15,527 $21,664 $33,931
Jun-99 $15,625 $21,985 $34,746
Jul-99 $15,972 $22,438 $34,986
Aug-99 $16,069 $22,783 $35,587
Sep-99 $16,124 $22,617 $35,463
Oct-99 $15,885 $22,508 $36,903
Nov-99 $15,474 $23,006 $38,154
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
-------------------------------------------------------------------
<S> <C> <C> <C>
-7.20 6.98 4.46
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE CONTINENTAL SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES LISTED ON THE MAJOR EXCHANGES OF AUSTRIA, BELGIUM, DENMARK, FINLAND,
FRANCE, GERMANY, IRELAND, ITALY, THE NETHERLANDS, NORWAY, SPAIN, SWEDEN, AND
SWITZERLAND.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN CONTINENTAL SMALL
COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL CAP
COMPANIES IN CONTINENTAL EUROPE.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-EUROPE EX. UNITED KINGDOM IS A
MORE WIDELY RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN EUROPE EX.
UNITED KINGDOM LARGE COMPANY STOCKS, AND IS REPLACING THE LATTER FOR
COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-Europe ex. United Kingdom is courtesy
of Salomon Smith Barney.
Continental Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-EPAC
JANUARY 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA INTERNATIONAL SALOMON SMITH BARNEY
<S> <C> <C>
SMALL CAP VALUE PORTFOLIO EXTENDED MARKET INDEX-EPAC
$9,900 $10,000
Jan-95 $9,831 $9,675
Feb-95 $9,682 $9,534
Mar-95 $9,999 $9,939
Apr-95 $10,256 $10,237
May-95 $10,068 $10,058
Jun-95 $9,880 $9,934
Jul-95 $10,266 $10,513
Aug-95 $10,009 $10,247
Sep-95 $9,860 $10,327
Oct-95 $9,544 $10,030
Nov-95 $9,632 $10,136
Dec-95 $10,015 $10,524
Jan-96 $10,214 $10,712
Feb-96 $10,324 $10,879
Mar-96 $10,463 $11,129
Apr-96 $11,010 $11,714
May-96 $11,070 $11,620
Jun-96 $10,920 $11,621
Jul-96 $10,472 $11,182
Aug-96 $10,422 $11,294
Sep-96 $10,422 $11,358
Oct-96 $10,293 $11,313
Nov-96 $10,402 $11,499
Dec-96 $10,109 $11,287
Jan-97 $9,859 $11,044
Feb-97 $9,942 $11,229
Mar-97 $9,858 $11,080
Apr-97 $9,630 $10,914
May-97 $10,274 $11,613
Jun-97 $10,430 $11,876
Jul-97 $10,025 $11,696
Aug-97 $9,568 $11,197
Sep-97 $9,391 $11,396
Oct-97 $9,017 $10,946
Nov-97 $8,259 $10,457
Dec-97 $7,812 $10,226
Jan-98 $8,372 $10,652
Feb-98 $9,205 $11,447
Mar-98 $9,392 $11,985
Apr-98 $9,228 $12,076
May-98 $9,140 $12,300
Jun-98 $8,877 $11,941
Jul-98 $8,603 $11,859
Aug-98 $7,659 $10,405
Sep-98 $7,461 $10,134
Oct-98 $7,922 $10,850
Nov-98 $8,273 $11,197
Dec-98 $8,225 $11,468
Jan-99 $8,053 $11,432
Feb-99 $7,950 $11,211
Mar-99 $8,419 $11,631
Apr-99 $9,290 $12,260
May-99 $9,210 $11,939
Jun-99 $9,817 $12,346
Jul-99 $10,138 $12,808
Aug-99 $10,184 $13,005
Sep-99 $10,127 $12,974
Oct-99 $9,943 $12,844
Nov-99 $9,726 $13,283
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR JANUARY 1995
--------------------------------------------------
<S> <C> <C>
16.76 -0.56
</TABLE>
- - THIS PORTFOLIO INVESTS IN COMPANIES WITH MARKET CAPITALIZATIONS NO LARGER THAN
$800 MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF SMALL PUBLICLY
TRADED INTERNATIONAL COMPANIES. COUNTRY WEIGHTINGS REFLECT THE MSCI EAFE INDEX
MARKET CAPITALIZATION WEIGHT, WITH JAPAN LIMITED TO 38%.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-EPAC is courtesy of Salomon Smith
Barney.
- --------------------------------------------------------------------------------
6
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS FREE INDEX
MAY 1994-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 EMERGING MARKETS PORTFOLIO MSCI EMERGING MARKETS FREE INDEX
$9,850 $10,000
<S> <C> <C>
May-94 $9,998 $10,320
Jun-94 $10,047 $10,018
Jul-94 $10,775 $10,635
Aug-94 $11,741 $11,942
Sep-94 $11,859 $12,066
Oct-94 $11,505 $11,832
Nov-94 $11,131 $11,204
Dec-94 $10,323 $10,296
Jan-95 $9,367 $9,194
Feb-95 $9,308 $8,950
Mar-95 $9,712 $8,985
Apr-95 $10,185 $9,371
May-95 $10,904 $9,844
Jun-95 $10,963 $9,853
Jul-95 $11,396 $10,059
Aug-95 $10,963 $9,809
Sep-95 $10,755 $9,749
Oct-95 $10,381 $9,367
Nov-95 $10,243 $9,191
Dec-95 $10,544 $9,581
Jan-96 $11,672 $10,253
Feb-96 $11,425 $10,073
Mar-96 $11,514 $10,133
Apr-96 $11,841 $10,502
May-96 $11,841 $10,429
Jun-96 $11,930 $10,472
Jul-96 $10,910 $9,738
Aug-96 $11,216 $9,973
Sep-96 $11,454 $10,045
Oct-96 $11,196 $9,770
Nov-96 $11,593 $9,922
Dec-96 $11,746 $9,954
Jan-97 $12,933 $10,624
Feb-97 $13,092 $11,072
Mar-97 $12,723 $10,754
Apr-97 $12,235 $10,735
May-97 $12,833 $11,014
Jun-97 $13,362 $11,580
Jul-97 $13,371 $11,729
Aug-97 $11,425 $10,223
Sep-97 $11,894 $10,490
Oct-97 $10,128 $8,760
Nov-97 $9,589 $8,435
Dec-97 $9,524 $8,619
Jan-98 $9,339 $7,936
Feb-98 $10,253 $8,760
Mar-98 $10,613 $9,111
Apr-98 $10,438 $8,994
May-98 $9,236 $7,734
Jun-98 $8,403 $6,907
Jul-98 $8,753 $7,101
Aug-98 $6,534 $5,022
Sep-98 $6,554 $5,326
Oct-98 $7,612 $5,880
Nov-98 $8,383 $6,363
Dec-98 $8,625 $6,247
Jan-99 $8,417 $6,142
Feb-99 $8,500 $6,197
Mar-99 $9,270 $6,994
Apr-99 $10,922 $7,849
May-99 $10,902 $7,779
Jun-99 $11,972 $8,646
Jul-99 $11,785 $8,398
Aug-99 $11,734 $8,468
Sep-99 $11,349 $8,171
Oct-99 $11,786 $8,338
Nov-99 $12,856 $9,082
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MAY 1994
-------------------------------------------------------------
<S> <C> <C> <C>
52.60 2.61 4.60
</TABLE>
- - THE PORTFOLIO INVESTS IN THE EMERGING MARKETS SERIES OF THE DFA INVESTMENT
TRUST COMPANY WHICH IN TURN PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN
"EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, GREECE,
INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, PORTUGAL, SOUTH KOREA,
THAILAND, AND TURKEY.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Index courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS FREE INDEX
MARCH 1998-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
EMERGING MARKETS MSCI EMERGING
SMALL CAP MARKETS FREE
PORTFOLIO INDEX
$9,900 $10,000
Mar-98 $10,385 $10,400
Apr-98 $10,643 $10,267
May-98 $9,959 $8,828
Jun-98 $9,326 $7,885
Jul-98 $9,554 $8,106
Aug-98 $7,366 $5,733
Sep-98 $7,079 $6,080
Oct-98 $7,970 $6,712
Nov-98 $8,999 $7,264
Dec-98 $9,301 $7,131
Jan-99 $8,899 $7,011
Feb-99 $8,888 $7,074
Mar-99 $9,743 $7,984
Apr-99 $11,824 $8,960
May-99 $12,235 $8,880
Jun-99 $13,749 $9,870
Jul-99 $13,666 $9,586
Aug-99 $13,923 $9,667
Sep-99 $13,748 $9,328
Oct-99 $14,201 $9,518
Nov-99 $15,323 $10,368
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1998
------------------------------------------------
<S> <C> <C>
68.57 27.62
</TABLE>
- - THE PORTFOLIO INVESTS IN THE EMERGING MARKETS SMALL CAP SERIES OF THE DFA
INVESTMENT TRUST COMPANY WHICH IN TURN PROVIDES ACCESS TO NON-U.S. SMALL
COMPANIES IN "EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, GREECE,
INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, SOUTH KOREA, THAILAND, AND
TURKEY.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Index courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS.
THREE-MONTH U.S. TREASURY BILL INDEX
DECEMBER 1989-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA ONE-YEAR THREE-MONTH
FIXED INCOME U.S. TREASURY
PORTFOLIO BILL INDEX
$10,000 $10,000
Dec-89 $10,067 $10,062
Jan-90 $10,142 $10,132
Feb-90 $10,203 $10,191
Mar-90 $10,269 $10,257
Apr-90 $10,332 $10,331
May-90 $10,421 $10,406
Jun-90 $10,500 $10,474
Jul-90 $10,597 $10,552
Aug-90 $10,661 $10,623
Sep-90 $10,725 $10,689
Oct-90 $10,810 $10,760
Nov-90 $10,888 $10,830
Dec-90 $10,982 $10,910
Jan-91 $11,058 $10,978
Feb-91 $11,126 $11,035
Mar-91 $11,195 $11,092
Apr-91 $11,275 $11,161
May-91 $11,345 $11,217
Jun-91 $11,388 $11,267
Jul-91 $11,468 $11,326
Aug-91 $11,561 $11,384
Sep-91 $11,658 $11,441
Oct-91 $11,730 $11,498
Nov-91 $11,826 $11,553
Dec-91 $11,940 $11,608
Jan-92 $11,980 $11,649
Feb-92 $12,019 $11,683
Mar-92 $12,045 $11,724
Apr-92 $12,124 $11,772
May-92 $12,186 $11,811
Jun-92 $12,266 $11,852
Jul-92 $12,358 $11,898
Aug-92 $12,418 $11,933
Sep-92 $12,498 $11,973
Oct-92 $12,506 $11,998
Nov-92 $12,492 $12,028
Dec-92 $12,560 $12,066
Jan-93 $12,639 $12,101
Feb-93 $12,691 $12,130
Mar-93 $12,750 $12,160
Apr-93 $12,811 $12,190
May-93 $12,820 $12,217
Jun-93 $12,874 $12,254
Jul-93 $12,913 $12,286
Aug-93 $12,974 $12,320
Sep-93 $13,022 $12,353
Oct-93 $13,046 $12,382
Nov-93 $13,070 $12,413
Dec-93 $13,113 $12,450
Jan-94 $13,178 $12,486
Feb-94 $13,152 $12,510
Mar-94 $13,147 $12,546
Apr-94 $13,139 $12,578
May-94 $13,167 $12,615
Jun-94 $13,210 $12,667
Jul-94 $13,288 $12,713
Aug-94 $13,338 $12,757
Sep-94 $13,361 $12,804
Oct-94 $13,405 $12,859
Nov-94 $13,396 $12,911
Dec-94 $13,436 $12,975
Jan-95 $13,562 $13,040
Feb-95 $13,691 $13,103
Mar-95 $13,775 $13,170
Apr-95 $13,864 $13,232
May-95 $14,011 $13,300
Jun-95 $14,090 $13,368
Jul-95 $14,163 $13,432
Aug-95 $14,234 $13,499
Sep-95 $14,296 $13,559
Oct-95 $14,372 $13,623
Nov-95 $14,440 $13,684
Dec-95 $14,508 $13,759
Jan-96 $14,570 $13,822
Feb-96 $14,627 $13,878
Mar-96 $14,691 $13,929
Apr-96 $14,741 $13,989
May-96 $14,790 $14,051
Jun-96 $14,868 $14,108
Jul-96 $14,936 $14,172
Aug-96 $15,008 $14,235
Sep-96 $15,097 $14,302
Oct-96 $15,205 $14,364
Nov-96 $15,294 $14,426
Dec-96 $15,346 $14,489
Jan-97 $15,421 $14,556
Feb-97 $15,484 $14,612
Mar-97 $15,510 $14,674
Apr-97 $15,613 $14,744
May-97 $15,688 $14,819
Jun-97 $15,780 $14,874
Jul-97 $15,888 $14,941
Aug-97 $15,934 $15,005
Sep-97 $16,028 $15,075
Oct-97 $16,121 $15,139
Nov-97 $16,169 $15,198
Dec-97 $16,264 $15,264
Jan-98 $16,360 $15,335
Feb-98 $16,414 $15,391
Mar-98 $16,496 $15,463
Apr-98 $16,557 $15,533
May-98 $16,648 $15,598
Jun-98 $16,712 $15,663
Jul-98 $16,807 $15,732
Aug-98 $16,883 $15,805
Sep-98 $16,960 $15,885
Oct-98 $17,020 $15,947
Nov-98 $17,094 $16,000
Dec-98 $17,189 $16,064
Jan-99 $17,256 $16,122
Feb-99 $17,297 $16,168
Mar-99 $17,383 $16,235
Apr-99 $17,458 $16,293
May-99 $17,495 $16,357
Jun-99 $17,568 $16,425
Jul-99 $17,625 $16,493
Aug-99 $17,651 $16,559
Sep-99 $17,746 $16,633
Oct-99 $17,826 $16,698
Nov-99 $17,912 $16,765
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
---------------------------------------------------------------
<S> <C> <C> <C>
4.78 5.98 6.00
</TABLE>
- - THE PORTFOLIO MAXIMIZES EXPECTED RETURNS BY INVESTING IN THE DFA ONE-YEAR
FIXED INCOME SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH USES A STRATEGY
OF SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT
PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY
AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST
EXPECTED RETURNS. ISSUES WHICH MEET MATURITY AND QUALITY LEVEL ARE FURTHER
EVALUATED FOR BUSINESS RISK. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN
BE DOCUMENTED.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Three-Month U.S. Treasury Bill Index courtesy of Merrill Lynch.
- --------------------------------------------------------------------------------
7
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
MERRILL LYNCH 1-3 YEAR GOVERNMENT
MARCH 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA TWO-YEAR MERRILL LYNCH
GLOBAL FIXED 1-3 YEAR
INCOME PORTFOLIO GOVERNMENT INDEX
$10,000 $10,000
Mar-96 $10,046 $9,991
Apr-96 $10,096 $9,999
May-96 $10,147 $10,020
Jun-96 $10,184 $10,092
Jul-96 $10,256 $10,131
Aug-96 $10,357 $10,166
Sep-96 $10,429 $10,258
Oct-96 $10,520 $10,374
Nov-96 $10,592 $10,454
Dec-96 $10,635 $10,454
Jan-97 $10,709 $10,503
Feb-97 $10,750 $10,528
Mar-97 $10,747 $10,523
Apr-97 $10,811 $10,610
May-97 $10,884 $10,682
Jun-97 $10,962 $10,755
Jul-97 $11,016 $10,874
Aug-97 $11,059 $10,884
Sep-97 $11,128 $10,966
Oct-97 $11,171 $11,047
Nov-97 $11,204 $11,074
Dec-97 $11,260 $11,149
Jan-98 $11,351 $11,257
Feb-98 $11,396 $11,268
Mar-98 $11,458 $11,314
Apr-98 $11,492 $11,367
May-98 $11,561 $11,427
Jun-98 $11,603 $11,487
Jul-98 $11,661 $11,541
Aug-98 $11,741 $11,686
Sep-98 $11,814 $11,841
Oct-98 $11,872 $11,899
Nov-98 $11,918 $11,889
Dec-98 $11,988 $11,930
Jan-99 $12,047 $11,978
Feb-99 $12,094 $11,919
Mar-99 $12,149 $12,003
Apr-99 $12,196 $12,041
May-99 $12,219 $12,034
Jun-99 $12,269 $12,071
Jul-99 $12,294 $12,110
Aug-99 $12,342 $12,145
Sep-99 $12,405 $12,224
Oct-99 $12,429 $12,257
Nov-99 $12,478 $12,280
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1996
---------------------------------------------------
<S> <C> <C>
4.70 6.08
</TABLE>
- - THE PORTFOLIO INVESTS IN THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES OF THE
DFA INVESTMENT TRUST COMPANY, WHICH IN TURN SEEKS TO MAXIMIZE EXPECTED RETURNS
BY SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT
PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY
AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST
EXPECTED RETURNS. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE
DOCUMENTED. INVESTMENTS ARE MADE IN U.S. GOVERNMENT SECURITIES, HIGH-QUALITY
CORPORATE SECURITIES AND CURRENCY HEDGED GLOBAL BONDS WITH A MAXIMUM MATURITY
OF TWO YEARS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Merrill Lynch 1-3 Year Government Index courtesy of Merrill Lynch.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS.
LEHMAN INTERMEDIATE GOVERNMENT INDEX
DECEMBER 1989-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO LEHMAN INTERMEDIATE GOVERNMENT INDEX
$10,000 $10,000
Dec-89 $10,055 $10,029
Jan-90 $10,112 $9,967
Feb-90 $10,169 $10,004
Mar-90 $10,207 $10,016
Apr-90 $10,234 $9,983
May-90 $10,379 $10,196
Jun-90 $10,469 $10,331
Jul-90 $10,584 $10,476
Aug-90 $10,533 $10,438
Sep-90 $10,629 $10,531
Oct-90 $10,800 $10,677
Nov-90 $10,972 $10,838
Dec-90 $11,143 $10,988
Jan-91 $11,251 $11,101
Feb-91 $11,308 $11,169
Mar-91 $11,349 $11,230
Apr-91 $11,480 $11,346
May-91 $11,538 $11,409
Jun-91 $11,513 $11,419
Jul-91 $11,671 $11,542
Aug-91 $11,906 $11,761
Sep-91 $12,138 $11,961
Oct-91 $12,288 $12,097
Nov-91 $12,446 $12,239
Dec-91 $12,772 $12,536
Jan-92 $12,619 $12,416
Feb-92 $12,647 $12,455
Mar-92 $12,571 $12,405
Apr-92 $12,714 $12,516
May-92 $12,913 $12,703
Jun-92 $13,151 $12,886
Jul-92 $13,447 $13,133
Aug-92 $13,618 $13,267
Sep-92 $13,843 $13,450
Oct-92 $13,609 $13,289
Nov-92 $13,515 $13,234
Dec-92 $13,704 $13,405
Jan-93 $13,971 $13,654
Feb-93 $14,187 $13,855
Mar-93 $14,246 $13,906
Apr-93 $14,370 $14,015
May-93 $14,307 $13,977
Jun-93 $14,533 $14,180
Jul-93 $14,537 $14,208
Aug-93 $14,814 $14,420
Sep-93 $14,870 $14,479
Oct-93 $14,904 $14,514
Nov-93 $14,795 $14,442
Dec-93 $14,843 $14,502
Jan-94 $15,022 $14,645
Feb-94 $14,752 $14,445
Mar-94 $14,494 $14,234
Apr-94 $14,347 $14,141
May-94 $14,369 $14,151
Jun-94 $14,360 $14,154
Jul-94 $14,554 $14,339
Aug-94 $14,596 $14,381
Sep-94 $14,447 $14,262
Oct-94 $14,444 $14,264
Nov-94 $14,333 $14,202
Dec-94 $14,375 $14,249
Jan-95 $14,539 $14,481
Feb-95 $14,693 $14,760
Mar-95 $14,766 $14,841
Apr-95 $14,874 $15,014
May-95 $15,151 $15,437
Jun-95 $15,237 $15,536
Jul-95 $15,298 $15,544
Aug-95 $15,411 $15,671
Sep-95 $15,487 $15,776
Oct-95 $15,595 $15,950
Nov-95 $15,673 $16,144
Dec-95 $15,748 $16,304
Jan-96 $15,824 $16,441
Feb-96 $15,887 $16,267
Mar-96 $15,935 $16,192
Apr-96 $15,967 $16,145
May-96 $16,013 $16,137
Jun-96 $16,157 $16,301
Jul-96 $16,206 $16,352
Aug-96 $16,238 $16,370
Sep-96 $16,433 $16,581
Oct-96 $16,676 $16,853
Nov-96 $16,855 $17,057
Dec-96 $16,789 $16,965
Jan-97 $16,856 $17,029
Feb-97 $16,873 $17,057
Mar-97 $16,822 $16,959
Apr-97 $16,974 $17,151
May-97 $17,091 $17,285
Jun-97 $17,215 $17,433
Jul-97 $17,438 $17,754
Aug-97 $17,438 $17,687
Sep-97 $17,575 $17,879
Oct-97 $17,712 $18,089
Nov-97 $17,764 $18,128
Dec-97 $17,861 $18,275
Jan-98 $17,969 $18,513
Feb-98 $18,039 $18,492
Mar-98 $18,127 $18,550
Apr-98 $18,198 $18,639
May-98 $18,287 $18,767
Jun-98 $18,353 $18,893
Jul-98 $18,443 $18,965
Aug-98 $18,515 $19,323
Sep-98 $18,605 $19,774
Oct-98 $18,678 $19,807
Nov-98 $18,751 $19,746
Dec-98 $18,831 $19,823
Jan-99 $18,907 $19,912
Feb-99 $18,963 $19,639
Mar-99 $19,056 $19,769
Apr-99 $19,131 $19,822
May-99 $19,131 $19,701
Jun-99 $19,198 $19,731
Jul-99 $19,236 $19,733
Aug-99 $19,275 $19,761
Sep-99 $19,407 $19,930
Oct-99 $19,464 $19,970
Nov-99 $19,520 $19,984
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
---------------------------------------------------------------
<S> <C> <C> <C>
4.10 6.37 6.92
</TABLE>
- - THE PORTFOLIO MAXIMIZES EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON
CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A
MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND
IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS.
MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE DOCUMENTED. INVESTMENTS
ARE MADE IN U.S. GOVERNMENT SECURITIES WITH A MAXIMUM MATURITY OF FIVE YEARS.
- - THIS PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Lehman Intermediate Government Index courtesy of Lehman Brothers, Inc.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
LEHMAN INTERMEDIATE GOVERNMENT/CORPORATE INDEX
DECEMBER 1990-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA FIVE-YEAR GLOBAL LEHMAN INTERMEDIATE
FIXED INCOME PORTFOLIO GOVERNMENT/CORPORATE INDEX
$10,000 $10,000
Dec-90 $10,060 $10,137
Jan-91 $10,126 $10,240
Feb-91 $10,185 $10,322
Mar-91 $10,214 $10,393
Apr-91 $10,320 $10,506
May-91 $10,378 $10,570
Jun-91 $10,376 $10,577
Jul-91 $10,479 $10,696
Aug-91 $10,655 $10,900
Sep-91 $10,819 $11,088
Oct-91 $10,942 $11,214
Nov-91 $11,047 $11,343
Dec-91 $11,342 $11,620
Jan-92 $11,199 $11,514
Feb-92 $11,225 $11,559
Mar-92 $11,155 $11,514
Apr-92 $11,255 $11,615
May-92 $11,426 $11,795
Jun-92 $11,620 $11,970
Jul-92 $11,867 $12,208
Aug-92 $12,008 $12,330
Sep-92 $12,196 $12,498
Oct-92 $12,010 $12,335
Nov-92 $11,931 $12,288
Dec-92 $12,078 $12,453
Jan-93 $12,292 $12,695
Feb-93 $12,477 $12,895
Mar-93 $12,508 $12,947
Apr-93 $12,513 $13,050
May-93 $12,506 $13,022
Jun-93 $12,746 $13,226
Jul-93 $12,854 $13,258
Aug-93 $13,093 $13,469
Sep-93 $13,125 $13,524
Oct-93 $13,260 $13,560
Nov-93 $13,294 $13,484
Dec-93 $13,474 $13,546
Jan-94 $13,563 $13,697
Feb-94 $13,251 $13,494
Mar-94 $12,920 $13,271
Apr-94 $12,836 $13,181
May-94 $12,736 $13,190
Jun-94 $12,623 $13,161
Jul-94 $12,717 $13,351
Aug-94 $12,815 $13,392
Sep-94 $12,752 $13,269
Oct-94 $12,776 $13,268
Nov-94 $12,908 $13,208
Dec-94 $12,891 $13,254
Jan-95 $12,995 $13,477
Feb-95 $13,186 $13,756
Mar-95 $13,449 $13,834
Apr-95 $13,632 $14,006
May-95 $13,966 $14,429
Jun-95 $13,992 $14,525
Jul-95 $14,114 $14,527
Aug-95 $14,214 $14,659
Sep-95 $14,415 $14,765
Oct-95 $14,562 $14,929
Nov-95 $14,876 $15,124
Dec-95 $14,961 $15,283
Jan-96 $15,085 $15,414
Feb-96 $14,927 $15,234
Mar-96 $15,037 $15,156
Apr-96 $15,124 $15,103
May-96 $15,271 $15,091
Jun-96 $15,328 $15,251
Jul-96 $15,461 $15,297
Aug-96 $15,698 $15,309
Sep-96 $15,979 $15,522
Oct-96 $16,277 $15,797
Nov-96 $16,531 $16,005
Dec-96 $16,573 $15,903
Jan-97 $16,715 $15,965
Feb-97 $16,874 $15,995
Mar-97 $16,759 $15,885
Apr-97 $16,888 $16,072
May-97 $17,017 $16,206
Jun-97 $17,279 $16,353
Jul-97 $17,489 $16,685
Aug-97 $17,523 $16,602
Sep-97 $17,686 $16,794
Oct-97 $17,751 $16,981
Nov-97 $17,833 $17,018
Dec-97 $17,950 $17,154
Jan-98 $18,128 $17,379
Feb-98 $18,253 $17,365
Mar-98 $18,368 $17,420
Apr-98 $18,440 $17,508
May-98 $18,584 $17,635
Jun-98 $18,665 $17,748
Jul-98 $18,792 $17,810
Aug-98 $18,954 $18,090
Sep-98 $19,183 $18,544
Oct-98 $19,310 $18,525
Nov-98 $19,401 $18,524
Dec-98 $19,453 $18,598
Jan-99 $19,620 $18,700
Feb-99 $19,677 $18,425
Mar-99 $19,823 $18,563
Apr-99 $19,954 $18,621
May-99 $19,954 $18,477
Jun-99 $19,868 $18,490
Jul-99 $19,888 $18,474
Aug-99 $19,946 $18,489
Sep-99 $20,029 $18,660
Oct-99 $20,029 $18,709
Nov-99 $20,105 $18,731
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS DECEMBER 1990
---------------------------------------------------------------------
<S> <C> <C> <C>
3.63 9.27 8.07
</TABLE>
- - THE PORTFOLIO INVESTS IN U.S. AND INTERNATIONAL GOVERNMENT BONDS, DEBT
GUARANTEED BY FOREIGN GOVERNMENTS, HIGH QUALITY CORPORATE DEBT, BANK
OBLIGATIONS, AND DEBT OF SUPRANATIONAL ISSUERS WITH MATURITIES OF 5 YEARS OR
LESS. ELIGIBLE COUNTRIES INCLUDE THE UNITED STATES, CANADA, UNITED KINGDOM,
GERMANY, JAPAN, FRANCE, AUSTRALIA, THE NETHERLANDS, SWEDEN AND DENMARK. THE
PORTFOLIO IS DIVERSIFIED ACROSS COUNTRIES. USING CURRENT PRICES, THE STRATEGY
CREATES A MATRIX OF EXPECTED HORIZON RETURNS FROM DIFFERENT BUY AND SELL
STRATEGIES AND IDENTIFIES THE MATURITY RANGE WITH THE HIGHEST EXPECTED
RETURNS. MATURITIES ARE SHIFTED ONLY IF SUFFICIENT PREMIUMS WARRANT IT.
COUNTRY WEIGHTING IS INCREASED OR REDUCED BASED ON EXPECTED RETURNS. THE
PORTFOLIO MAY BE CONCENTRATED IN THE U.S. IF INTERNATIONAL CURVES ARE
INVERTED.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Lehman Intermediate Government/Corporate Index courtesy of Lehman Brothers, Inc.
- --------------------------------------------------------------------------------
8
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
LEHMAN GOVERNMENT INDEX
NOVEMBER 1990-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA INTERMEDIATE GOVERNMENT LEHMAN
FIXED INCOME GOVERNMENT
PORTFOLIO INDEX
$10,000 $10,000
Nov-90 $10,263 $10,222
Dec-90 $10,450 $10,380
Jan-91 $10,573 $10,492
Feb-91 $10,649 $10,551
Mar-91 $10,680 $10,605
Apr-91 $10,794 $10,722
May-91 $10,862 $10,764
Jun-91 $10,828 $10,749
Jul-91 $10,972 $10,876
Aug-91 $11,234 $11,129
Sep-91 $11,509 $11,362
Oct-91 $11,637 $11,462
Nov-91 $11,796 $11,577
Dec-91 $12,214 $11,972
Jan-92 $11,970 $11,785
Feb-92 $11,985 $11,831
Mar-92 $11,901 $11,762
Apr-92 $12,036 $11,837
May-92 $12,244 $12,056
Jun-92 $12,486 $12,228
Jul-92 $12,862 $12,536
Aug-92 $13,035 $12,653
Sep-92 $13,256 $12,831
Oct-92 $13,018 $12,646
Nov-92 $12,941 $12,625
Dec-92 $13,143 $12,837
Jan-93 $13,459 $13,110
Feb-93 $13,784 $13,373
Mar-93 $13,869 $13,417
Apr-93 $13,982 $13,520
May-93 $13,973 $13,505
Jun-93 $14,293 $13,805
Jul-93 $14,335 $13,889
Aug-93 $14,653 $14,199
Sep-93 $14,773 $14,253
Oct-93 $14,802 $14,307
Nov-93 $14,603 $14,150
Dec-93 $14,671 $14,205
Jan-94 $14,875 $14,399
Feb-94 $14,536 $14,094
Mar-94 $14,183 $13,777
Apr-94 $14,006 $13,668
May-94 $13,989 $13,650
Jun-94 $13,944 $13,619
Jul-94 $14,185 $13,870
Aug-94 $14,232 $13,872
Sep-94 $14,004 $13,677
Oct-94 $13,986 $13,667
Nov-94 $13,915 $13,643
Dec-94 $13,976 $13,726
Jan-95 $14,232 $13,981
Feb-95 $14,607 $14,282
Mar-95 $14,683 $14,372
Apr-95 $14,913 $14,560
May-95 $15,564 $15,147
Jun-95 $15,692 $15,263
Jul-95 $15,613 $15,207
Aug-95 $15,794 $15,385
Sep-95 $15,929 $15,532
Oct-95 $16,152 $15,769
Nov-95 $16,428 $16,015
Dec-95 $16,643 $16,242
Jan-96 $16,776 $16,341
Feb-96 $16,466 $16,008
Mar-96 $16,270 $15,875
Apr-96 $16,120 $15,773
May-96 $16,061 $15,746
Jun-96 $16,277 $15,950
Jul-96 $16,308 $15,989
Aug-96 $16,263 $15,954
Sep-96 $16,555 $16,219
Oct-96 $16,940 $16,576
Nov-96 $17,246 $16,864
Dec-96 $17,037 $16,692
Jan-97 $17,068 $16,711
Feb-97 $17,083 $16,734
Mar-97 $16,873 $16,557
Apr-97 $17,111 $16,795
May-97 $17,270 $16,940
Jun-97 $17,457 $17,129
Jul-97 $17,988 $17,616
Aug-97 $17,763 $17,441
Sep-97 $18,052 $17,703
Oct-97 $18,379 $18,009
Nov-97 $18,412 $18,101
Dec-97 $18,598 $18,291
Jan-98 $18,916 $18,565
Feb-98 $18,882 $18,515
Mar-98 $18,910 $18,567
Apr-98 $18,995 $18,651
May-98 $19,199 $18,843
Jun-98 $19,362 $19,058
Jul-98 $19,397 $19,086
Aug-98 $19,893 $19,582
Sep-98 $20,677 $20,111
Oct-98 $20,503 $20,043
Nov-98 $20,452 $20,049
Dec-98 $20,556 $20,093
Jan-99 $20,628 $20,209
Feb-99 $20,024 $19,728
Mar-99 $20,172 $19,805
Apr-99 $20,190 $19,851
May-99 $19,904 $19,676
Jun-99 $19,824 $19,637
Jul-99 $19,771 $19,607
Aug-99 $19,735 $19,607
Sep-99 $19,942 $19,766
Oct-99 $19,960 $19,798
Nov-99 $19,960 $19,770
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS NOVEMBER 1990
-------------------------------------------------------------------------
<S> <C> <C> <C>
-2.41 7.48 7.91
</TABLE>
- - THE PORTFOLIO EMPLOYS A BUY AND HOLD STRATEGY INVESTING IN GOVERNMENT
SECURITIES WITH A MATURITY GENERALLY BETWEEN FIVE AND FIFTEEN YEARS AND
ORDINARILY MAINTAINING AN AVERAGE WEIGHTED MATURITY OF SEVEN TO TEN YEARS. THE
INVESTMENT UNIVERSE INCLUDES OBLIGATIONS OF THE U.S. GOVERNMENT, U.S.
GOVERNMENT AGENCIES AND AAA-RATED DOLLAR DENOMINATED OBLIGATIONS OF FOREIGN
SECURITIES AND SUPRANATIONALS. PERFORMANCE IS EXPECTED TO MATCH OR EXCEED THE
RETURNS OF THE LEHMAN BROTHERS TREASURY INDEX WITHOUT EXCEEDING THE VOLATILITY
OF THAT INDEX.
- - THIS PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Lehman Government Index courtesy of Lehman Brothers, Inc.
- --------------------------------------------------------------------------------
9
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company.................................. $ 896,411,348
--------------
Total Investments (100%) (Cost $576,265,331)++.......... $ 896,411,348
==============
</TABLE>
- --------------
++The cost for federal income tax purposes is $581,629,649.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The Enhanced U.S. Large Company Series of The
DFA Investment Trust Company.............................. 7,843,258 $ 102,197,652
--------------
Total Investments (100%) (Cost $90,218,205)++........... $ 102,197,652
==============
</TABLE>
- --------------
++The cost for federal income tax purposes is $91,311,653 .
THE U.S. LARGE CAP VALUE PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. 66,211,116 $1,177,895,754
--------------
Total Investments (100%) (Cost $953,668,203)++.......... $1,177,895,754
==============
</TABLE>
- --------------
++The cost for federal income tax purposes is $967,926,204.
THE TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $ 99,587,257
--------------
Total Investments (100%) (Cost $101,234,104)++.......... $ 99,587,257
==============
</TABLE>
- --------------
++The cost for federal income tax purposes is $101,315,480.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
10
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (96.3%)
*3-D Systems Corp..................................... 10,600 $ 81,984
*3Dfx Interactive, Inc................................ 2,700 23,962
*A.C. Moore Arts & Crafts, Inc........................ 6,000 29,625
AAR Corp.............................................. 55,000 907,500
ABC Bancorp........................................... 3,300 43,519
*ABC Rail Products Corp............................... 14,800 164,650
*ACT Manufacturing, Inc............................... 3,700 112,966
*ACT Networks, Inc.................................... 10,900 88,562
*ACX Technologies, Inc................................ 37,800 349,650
*ADE Corp............................................. 12,200 218,456
*AEP Industries, Inc.................................. 5,800 171,100
AK Steel Holding Corp................................. 41,295 683,948
*AMF Bowling, Inc..................................... 10,700 34,106
ASB Financial Corp.................................... 1,300 14,097
*#Aames Financial Corp................................ 2,900 3,081
Abington Bancorp, Inc................................. 3,600 46,237
*Abraxas Petroleum Corp............................... 6,500 6,703
*Accel International Corp............................. 6,800 7,119
Aceto Corp............................................ 6,900 78,056
*Acme Electric Corp................................... 4,000 26,625
*Acorn Products, Inc.................................. 6,000 12,375
*Active Voice Corp.................................... 4,300 116,100
*Acuson Corp.......................................... 1,900 21,969
*Adac Laboratories.................................... 25,000 296,094
Adams Resources & Energy, Inc......................... 2,200 19,250
*Adaptive Broadband Corp.............................. 6,500 259,187
*Adept Technology, Inc................................ 10,200 65,344
*Advance Lighting Technologies, Inc................... 18,500 102,328
*Advanced Communications Group, Inc................... 20,500 162,719
*Advanced Magnetics, Inc.............................. 8,100 28,856
*Advanced Neuromodulation Systems, Inc................ 6,700 50,041
*Advanced Radio Telecom Corp.......................... 19,000 262,437
#Advanta Corp. Class A................................ 11,400 198,787
Advanta Corp. Class B Non-Voting...................... 16,000 206,000
Advest Group, Inc..................................... 4,700 84,306
*Aehr Test Systems.................................... 7,400 36,769
*Aetrium, Inc......................................... 4,400 23,512
*Aftermarket Technology Corp.......................... 20,000 172,500
Agco Corp............................................. 64,000 812,000
*Agribiotech, Inc..................................... 37,800 121,669
*Agribrands International, Inc........................ 12,400 583,575
*Aht Corp............................................. 10,100 45,134
*Air Methods Corp..................................... 5,900 21,203
*Airgas, Inc.......................................... 72,300 704,925
*Airnet Systems, Inc.................................. 10,900 58,587
Alamo Group, Inc...................................... 7,400 74,000
*Alaska Air Group, Inc................................ 1,000 38,000
*Albany International Corp. Class A................... 1,000 16,875
Albemarle Corp........................................ 16,800 325,500
*Aldila, Inc.......................................... 14,000 18,594
Alexander & Baldwin, Inc.............................. 69,600 1,587,750
Alico, Inc............................................ 6,500 104,812
*Align-Rite International, Inc........................ 4,600 87,256
Allen Organ Co. Class B............................... 400 15,225
*Allen Telecom, Inc................................... 27,700 259,687
Alliance Bancorp...................................... 12,700 252,412
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Alliance Pharmaceuticals Corp........................ 9,800 $ 43,794
*Alliance Semiconductor Corp.......................... 40,500 584,719
*Allied Healthcare Products, Inc...................... 3,300 9,591
*#Allied Holdings, Inc................................ 3,300 23,100
Allied Products Corp.................................. 14,100 51,112
*Allied Research Corp................................. 5,600 35,700
*Allin Communications Corp............................ 7,100 35,500
*Allou Health & Beauty Care, Inc. Class A............. 5,400 39,487
*Alltrista Corp....................................... 3,600 77,400
*Alphanet Solutions, Inc.............................. 6,500 30,469
*Alternative Resources Corp........................... 4,600 24,294
*Alterra Healthcare Corp.............................. 50,000 378,125
Ambanc Holding Co., Inc............................... 4,200 66,544
*Ambassadors, Inc..................................... 8,200 100,194
Amcast Industrial Corp................................ 9,300 130,200
Amcol International Corp.............................. 17,100 303,525
*Amerco, Inc.......................................... 27,000 707,062
*America West Holdings Corp.
Class B............................................. 40,000 807,500
American Annuity Group, Inc........................... 11,600 187,050
American Biltrite, Inc................................ 3,400 50,575
American Business Products, Inc....................... 13,300 142,144
*American Coin Merchandising, Inc..................... 4,700 12,191
*American Freightways Corp............................ 30,300 523,622
*American Healthcorp, Inc............................. 400 1,975
*American Homepatient, Inc............................ 4,600 3,378
*American Homestar Corp............................... 12,400 50,956
*American Indemnity Finl Escrow....................... 1,500 1,500
*American Medical Security Group, Inc................. 9,400 55,225
*American Pacific Corp................................ 10,000 73,437
*American Physicians Services Group, Inc.............. 3,300 15,984
*American Precision Industries, Inc................... 5,000 54,375
*American Skiing Co................................... 8,700 34,800
*American Software, Inc. Class A...................... 19,500 96,586
*American Technical Ceramics Corp..................... 3,200 44,400
Americana Bancorp, Inc................................ 2,800 46,637
*Amerihost Properties, Inc............................ 5,900 19,820
*Ameripath, Inc....................................... 20,500 167,523
*Ameristar Casinos, Inc............................... 9,400 37,012
Ameron, Inc........................................... 4,800 207,300
Amerus Life Holdings, Inc. Class A.................... 37,200 876,525
Ampco-Pittsburgh Corp................................. 11,400 140,362
Amplicon, Inc......................................... 1,100 11,619
*Amrep Corp........................................... 8,800 41,800
*Amresco, Inc......................................... 37,800 76,191
*Amtran, Inc.......................................... 9,000 175,500
Amwest Insurance Group, Inc........................... 3,850 26,950
*Anadigics, Inc....................................... 10,600 475,675
Analogic Corp......................................... 1,400 41,781
Andersons, Inc........................................ 8,700 75,853
Angelica Corp......................................... 7,200 72,000
*Anicom, Inc.......................................... 24,800 115,087
Apogee Enterprises, Inc............................... 6,300 37,800
*Apple Orthodontix, Inc............................... 13,500 6,750
*Applied Extrusion Technologies, Inc.................. 13,500 86,484
*Applied Films Corp................................... 3,000 13,406
</TABLE>
11
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Applied Graphics Technologies, Inc................... 21,900 $ 206,681
Applied Industrial Technologies, Inc.................. 27,900 477,787
*#Applied Magnetics Corp.............................. 5,000 2,812
*Applied Microsystems Corp............................ 6,400 54,000
Applied Signal Technologies, Inc...................... 7,500 102,187
*Aquila Biopharmaceuticals, Inc....................... 2,200 3,162
*Arcadia Financial, Ltd............................... 52,100 234,450
*Arch Chemicals, Inc.................................. 15,000 234,375
Arch Coal, Inc........................................ 40,100 390,975
Arctic Cat, Inc....................................... 20,600 209,862
Argonaut Group, Inc................................... 32,100 742,312
*#Ariel Corp.......................................... 9,100 112,897
*Ark Restaurants Corp................................. 2,800 27,300
*Arkansas Best Corp................................... 23,500 294,484
Arnold Industries, Inc................................ 22,200 280,969
*Arqule, Inc.......................................... 12,600 77,175
Arvin Industries, Inc................................. 5,600 148,750
*Asahi/America, Inc................................... 3,400 31,981
*Ascent Entertainment Group, Inc...................... 22,400 270,900
*#Asche Transportation Services, Inc.................. 3,700 11,562
*Ashworth, Inc........................................ 13,800 63,609
*Astea International, Inc............................. 9,900 37,744
Astro-Med, Inc........................................ 5,400 33,412
Atalanta Sosnoff Capital Corp......................... 3,800 31,825
*Atchison Casting Corp................................ 7,000 70,000
*Atlantic American Corp............................... 22,700 64,553
*Atrion Corp.......................................... 2,500 29,531
*Audiovox Corp. Class A............................... 20,200 600,950
*Ault, Inc............................................ 4,700 36,131
*Aurora Foods, Inc.................................... 21,700 195,300
*Auspex Systems, Inc.................................. 23,400 288,844
Avado Brands, Inc..................................... 27,500 133,203
*Aviall, Inc.......................................... 15,100 115,137
*Avid Technology, Inc................................. 12,200 136,106
*Avis Rent A Car, Inc................................. 23,600 451,350
*Avnet, Inc........................................... 5,414 297,432
*Avteam, Inc. Class A................................. 11,300 51,027
*Axsys Technologies, Inc.............................. 4,500 50,625
*Aztar Corp........................................... 58,600 626,287
Aztec Manufacturing Co................................ 3,200 30,400
BHA Group Holdings, Inc. Class A...................... 6,400 58,000
*BI, Inc.............................................. 7,200 53,550
*BJ Services, Co...................................... 12,000 418,500
BMC Industries, Inc................................... 24,100 131,044
BSB Bancorp, Inc...................................... 400 8,325
*BTU International, Inc............................... 8,100 44,044
*BWAY Corp............................................ 8,400 48,300
Bairnco Corp.......................................... 10,100 73,856
Baker (J.), Inc....................................... 16,800 87,675
*Baker (Michael) Corp................................. 500 3,250
Baldwin & Lyons, Inc. Class B......................... 1,500 31,031
*Baldwin Technology, Inc. Class A..................... 15,100 36,806
Bandag, Inc........................................... 8,900 215,825
Bandag, Inc. Class A.................................. 13,000 271,375
*Bank Plus Corp....................................... 21,300 65,231
*Bank United Financial Corp. Class A.................. 19,900 173,814
BankAtlantic Bancorp, Inc. Class A.................... 1,545 7,049
BankAtlantic Bancorp, Inc. Class B.................... 12,300 68,803
Banta Corp............................................ 13,400 293,962
*Barrett Resources Corp............................... 7,100 188,594
*Barringer Technologies, Inc.......................... 6,900 44,634
*Barry (R.G.) Corp.................................... 10,200 43,987
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Basin Exploration, Inc............................... 10,700 $ 188,922
Bassett Furniture Industries, Inc..................... 14,000 222,250
*Battle Mountain Gold Co.............................. 64,000 160,000
Bay View Capital Corp................................. 25,200 422,100
*Baycorp Holdings, Ltd................................ 3,200 25,600
*Bayou Steel Corp. Class A............................ 10,100 31,562
*Be Aerospace, Inc.................................... 800 5,625
*Beazer Homes USA, Inc................................ 8,300 157,181
*Belco Oil & Gas Corp................................. 33,200 205,425
Bell Industries, Inc.................................. 10,600 52,337
*Bell Microproducts, Inc.............................. 14,000 103,250
*Bellwether Exploration Co............................ 21,800 108,319
*Benchmark Electronics, Inc........................... 5,000 111,250
*Benton Oil & Gas Co.................................. 26,800 53,600
Bergen Brunswig Corp. Class A......................... 33,397 275,525
Berkley (W.R.) Corp................................... 24,600 527,362
*Berlitz International, Inc........................... 7,600 149,150
*Bethlehem Steel Corp................................. 59,134 369,587
*Beverly Enterprises.................................. 108,000 432,000
Bindley Western Industries, Inc....................... 18,300 242,475
*Bio Vascular, Inc.................................... 9,300 18,891
*Bioanalytical Systems, Inc........................... 1,600 5,000
*Bionx Implants, Inc.................................. 15,000 39,844
*Bio-Rad Laboratories, Inc. Class A................... 8,900 219,719
*BioReliance Corp..................................... 8,000 58,000
*Biosource International, Inc......................... 8,600 29,025
Birmingham Steel Corp................................. 29,200 211,700
*Black Hawk Gaming & Development, Inc................. 3,600 22,725
Blair Corp............................................ 8,100 117,450
Blimpie International................................. 11,100 22,200
Block Drug Co., Inc. Class A.......................... 15,244 445,887
*Blonder Tongue Laboratories, Inc..................... 700 3,762
*Bluegreen Corp....................................... 32,300 181,687
Bob Evans Farms, Inc.................................. 1,100 16,466
*Boca Research, Inc................................... 8,100 68,344
*Boca Resorts, Inc.................................... 46,700 408,625
*Boise Cascade Office Products Corp................... 74,300 854,450
*Bolle, Inc........................................... 2,500 12,187
*Bombay Co., Inc...................................... 44,700 223,500
*Bon-Ton Stores, Inc.................................. 14,400 70,875
*#Books-a-Million, Inc................................ 8,000 83,250
*Borders Group, Inc................................... 8,500 131,750
*Boron, Lepore and Associates, Inc.................... 20,000 146,875
*Boston Biomedical, Inc............................... 3,300 10,312
*Boston Communications Group, Inc..................... 9,200 50,025
Bostonfed Bancorp, Inc................................ 5,900 96,612
Bowl America, Inc. Class A............................ 3,200 22,800
Bowne & Co., Inc...................................... 38,700 457,144
*Boyd Gaming Corp..................................... 54,800 339,075
*Brass Eagle, Inc..................................... 9,500 72,141
*Bridgestreet Accomodations, Inc...................... 5,400 9,450
*Brightpoint, Inc..................................... 33,500 371,641
*BrightStar Information Technology Group, Inc......... 5,300 40,909
Brookline Bancorp, Inc................................ 19,400 194,606
*Brooks Automation, Inc............................... 6,200 169,725
*Brown & Sharpe Manufacturing Co. Class A............. 7,500 17,812
*Brown (Tom), Inc..................................... 33,100 387,891
Brown Shoe Company, Inc............................... 16,200 255,150
*Brunswick Technologies, Inc.......................... 6,100 25,544
</TABLE>
12
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Brush Wellman, Inc.................................... 21,400 $ 347,750
*Budget Group, Inc.................................... 30,400 237,500
*Buffets, Inc......................................... 25,300 269,603
*Building Materials Holding Corp...................... 19,800 196,762
*Building One Services Corp........................... 900 9,169
Burlington Coat Factory Warehouse Corp................ 39,100 500,969
*Burlington Industries, Inc........................... 5,000 18,437
Bush Industries, Inc. Class A......................... 15,850 253,600
*Business Resource Group.............................. 4,100 18,578
*Butler International, Inc............................ 800 6,100
Butler Manufacturing Co............................... 8,000 171,500
*C.P. Clare Corp...................................... 13,500 87,750
*CB Richard Ellis Services, Inc....................... 30,000 393,750
*CBRL Group, Inc...................................... 56,300 622,819
*CEM Corp............................................. 2,900 26,009
*CFM Technologies, Inc................................ 7,500 83,203
*CICOR International, Inc............................. 11,600 126,150
CKE Restaurants, Inc.................................. 6,000 38,625
CNA Surety Corp....................................... 8,000 89,000
*CNS Income........................................... 16,800 83,212
CPAC, Inc............................................. 6,300 49,711
*CSP, Inc............................................. 4,290 21,182
*CSS Industries, Inc.................................. 19,000 406,125
*CTB International Corp............................... 2,700 17,086
Cadmus Communications Corp............................ 9,300 74,109
Calgon Carbon Corp.................................... 44,700 273,787
*Caliber Learning Network, Inc........................ 8,200 17,169
*California Coastal Communities, Inc.................. 9,800 76,562
*California Micro Devices Corp........................ 8,600 70,412
*Callon Petroleum Co.................................. 8,100 96,187
Cal-Maine Foods, Inc.................................. 12,100 41,216
*Cameron Ashley Building Products, Inc................ 8,500 68,000
Cameron Financial Corp................................ 1,700 21,781
*Cannondale Corp...................................... 8,900 62,578
*Canterbury Information Technology, Inc............... 200 656
*Capital Pacific Holdings, Inc........................ 15,600 38,025
Capital Re Corp....................................... 32,200 442,750
*Capital Senior Living Corp........................... 28,500 142,500
*Capital Trust........................................ 11,300 53,675
Capitol Transamerica Corp............................. 11,200 130,200
*Carbide/Graphite Group, Inc.......................... 12,300 74,184
*Caredata.com, Inc.................................... 6,100 51,850
*Carematrix, Inc...................................... 3,600 7,369
*Caribiner International, Inc......................... 31,300 277,787
*Carmike Cinemas, Inc. Class A........................ 11,600 145,000
Carolina First Corp................................... 11,400 233,344
Carpenter Technology Corp............................. 29,100 763,875
*Carriage Services, Inc. Class A...................... 20,000 102,500
*Carrington Laboratories, Inc......................... 9,600 19,350
*Carson, Inc.......................................... 9,000 31,500
Carter-Wallace, Inc................................... 7,600 137,275
Cascade Corp.......................................... 8,450 80,275
Cash America International, Inc....................... 17,200 149,425
*Casino Data Systems.................................. 17,600 63,525
*Castle & Cooke, Inc.................................. 18,800 237,350
Castle (A.M.) & Co.................................... 13,700 160,975
*Castle Dental Centers, Inc........................... 6,000 23,062
Castle Energy Corp.................................... 1,900 32,181
*Catalina Lighting, Inc............................... 8,600 42,462
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Catherines Stores Corp............................... 8,700 $ 178,622
Cato Corp. Class A.................................... 26,700 348,769
Cavalier Homes, Inc................................... 19,300 83,231
*Cavanaughs Hospitality Corp.......................... 23,500 176,250
*Celadon Group, Inc................................... 6,800 43,775
*Celeritek, Inc....................................... 6,700 49,831
*Centennial Healthcare Corp........................... 700 2,122
*Centigram Communications Corp........................ 8,600 118,250
Central Bancorp, Inc.................................. 2,300 44,850
*Central Garden & Pet Co.............................. 28,400 226,312
Centris Group, Inc.................................... 13,400 164,150
Century Aluminum Co................................... 25,100 246,294
*Ceradyne, Inc........................................ 8,400 42,394
*Cerprobe Corp........................................ 9,000 80,156
*Champion Enterprises, Inc............................ 35,100 300,544
*Champps Entertainment, Inc........................... 12,000 24,375
*Charming Shoppes, Inc................................ 145,700 944,773
*Chart House Enterprises, Inc......................... 11,900 63,219
*Chase Industries, Inc................................ 8,400 74,025
*Check Technology Corp................................ 5,900 14,934
*Checkpoint System, Inc............................... 31,700 251,619
Chemed Corp........................................... 8,300 215,800
*Cherry Corp.......................................... 4,900 56,044
Chesapeake Corp....................................... 23,200 740,950
Chesapeake Utilities Corp............................. 4,000 73,000
*Chic by His, Inc..................................... 11,800 8,850
Chicago Rivet & Machine Co............................ 400 9,300
*Children's Comprehensive Services, Inc............... 3,600 24,637
*Childtime Learning Centers, Inc...................... 1,100 14,231
Chiquita Brands International, Inc.................... 80,700 353,062
*Chromcraft Revington, Inc............................ 200 2,275
*Chronimed, Inc....................................... 5,000 39,687
*Chyron Corp.......................................... 30,000 22,500
*Cidco, Inc........................................... 16,800 135,450
*Ciprico, Inc......................................... 6,500 83,078
Circle International, Inc............................. 8,300 200,756
*Circuit City Stores, Inc. - Carmax Group............. 39,600 94,050
*Citadel Holding Corp................................. 5,900 20,281
*Citation Corp........................................ 17,200 291,325
City Holding Co....................................... 800 13,500
Cleveland Cliffs, Inc................................. 12,100 353,925
*Clintrials Research, Inc............................. 21,800 85,156
Coachmen Industries, Inc.............................. 18,100 259,056
Coastal Bancorp, Inc.................................. 7,200 144,000
*Coastcast Corp....................................... 8,100 105,300
*Cobra Electronic Corp................................ 7,200 36,000
*#Coeur d'Alene Mines Corp. ID........................ 22,000 89,375
*Coherent, Inc........................................ 36,700 970,256
*Coinmach Laundry Corp................................ 12,100 130,075
*Cole National Corp. Class A.......................... 10,700 57,512
Columbus McKinnon Corp................................ 9,700 100,031
*Comdial Corp......................................... 9,100 75,502
*Comfort Systems USA, Inc............................. 27,000 222,750
Commerce Group, Inc................................... 36,600 1,020,225
Commercial Intertech Corp............................. 10,500 131,906
Commercial Metals Co.................................. 15,400 492,800
Commonwealth Bancorp, Inc............................. 19,100 316,344
Commonwealth Industries, Inc.......................... 16,600 215,281
Communications Systems, Inc........................... 3,400 39,737
Community Financial Corp.............................. 2,500 21,484
</TABLE>
13
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Community Financial Group, Inc........................ 3,200 $ 49,100
*Compucom Systems, Inc................................ 47,000 148,344
*CompUSA, Inc......................................... 52,000 305,500
*#Computer Learning Centers, Inc...................... 5,800 19,666
*Comsat Corp. Series 1................................ 9,000 171,000
*Comshare, Inc........................................ 9,100 44,647
*Comstock Resources, Inc.............................. 29,100 101,850
*Concord Camera Corp.................................. 9,800 146,694
*Condor Technology Solutions, Inc..................... 14,400 33,975
*Cone Mills Corp. NC.................................. 30,500 150,594
*Congoleum Corp. Class A.............................. 3,400 11,475
Conning Corp.......................................... 1,400 12,075
*Conso Products Co.................................... 7,400 61,744
*Consolidated Freightways Corp........................ 23,800 216,431
*Consolidated Graphics, Inc........................... 3,000 67,312
*#Consumer Portfolio Services, Inc.................... 5,000 5,000
Cooker Restaurant Corp................................ 7,400 23,125
*Coram Healthcare Corp................................ 12,400 8,525
*Cornell Corrections, Inc............................. 1,700 19,444
*Correctional Services Corp........................... 4,900 21,897
*Corrpro Companies, Inc............................... 8,300 60,175
*Cort Business Services Corp.......................... 20,000 390,000
Corus Bankshares, Inc................................. 12,400 353,400
*Cotelligent Group, Inc............................... 4,600 19,262
Courier Corp.......................................... 1,500 33,469
*Covenant Transport, Inc. Class A..................... 10,200 148,219
*Coventry Health Care, Inc............................ 40,500 234,141
Covest Bancshares, Inc................................ 3,500 45,281
*Craig Corp........................................... 4,300 25,800
*Credit Acceptance Corp............................... 44,600 179,794
*Cross (A.T.) Co. Class A............................. 15,900 83,475
Cross Timbers Oil Co.................................. 26,200 266,912
*Crossman Communities, Inc............................ 4,000 64,125
*Crown Central Petroleum Corp.
Class A............................................. 5,100 33,150
*Crown Central Petroleum Corp.
Class B............................................. 4,800 28,800
Crown Crafts, Inc..................................... 12,900 33,862
*Crown Vantage, Inc................................... 10,800 25,987
Cubic Corp............................................ 8,100 159,469
Culp, Inc............................................. 12,300 76,875
*Curative Health Services, Inc........................ 7,000 55,562
*Cyberoptics Corp..................................... 5,000 92,187
*Cybex International, Inc............................. 8,200 23,062
*Cylink Corp.......................................... 25,100 291,003
*Cypress Semiconductor Corp........................... 27,000 735,750
*Cyrk, Inc............................................ 18,500 137,594
*Cytrx Corp........................................... 1,000 2,531
*D A Consulting Group, Inc............................ 5,000 22,187
*#DRS Technologies, Inc............................... 8,000 69,000
DT Industries, Inc.................................... 7,100 55,469
*DVI, Inc............................................. 19,000 266,000
Dain Rauscher Corp.................................... 11,400 555,037
*Damark International, Inc. Class A................... 7,600 74,575
*Dan River, Inc. (GA) Class A......................... 19,000 102,125
*Darling International, Inc........................... 1,000 2,187
*Data I/O Corp........................................ 5,900 12,722
*Data Systems & Software, Inc......................... 6,800 21,675
*DataTRAK International, Inc.......................... 5,800 20,572
*Dataware Technologies, Inc........................... 2,800 9,581
*Datron Systems, Inc.................................. 2,800 23,100
*Datum, Inc........................................... 6,500 58,297
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Dawson Geophysical Co................................ 7,400 $ 66,369
*Day Runner, Inc...................................... 3,700 26,016
*Dayton Superior Corp. Class A........................ 5,600 102,200
*Deckers Outdoor Corp................................. 9,400 28,053
*Del Global Technologies Corp......................... 7,100 59,795
*Delia's, Inc......................................... 2,400 26,250
*Delphi Financial Group, Inc. Class A................. 15,198 471,138
*#Delta Financial Corp................................ 15,200 70,300
Delta Natural Gas Co., Inc............................ 1,900 29,212
Delta Woodside Industries, Inc........................ 28,900 55,994
Deltic Timber Corp.................................... 1,300 33,475
*Denali, Inc.......................................... 5,300 19,544
Designs, Inc.......................................... 3,000 4,453
*Detection Systems, Inc............................... 7,000 64,750
Detroit Diesel Corp................................... 26,800 492,450
Devon Energy Corp..................................... 16,475 580,744
*Digi International, Inc.............................. 22,700 367,456
Dime Community Bancorp, Inc........................... 12,200 242,856
Dimon, Inc............................................ 13,400 45,225
*Diodes, Inc.......................................... 4,600 70,150
*Discount Auto Parts, Inc............................. 26,500 366,031
*Diversified Corporate Resources, Inc................. 2,000 6,000
*Dixie Group, Inc..................................... 10,600 73,206
*Dollar Thrifty Automotive Group, Inc................. 900 17,775
*Dominion Homes, Inc.................................. 6,600 41,662
Donegal Group, Inc.................................... 5,600 38,150
*Donna Karan International, Inc....................... 18,500 144,531
Donnelly Corp. Class A................................ 5,600 80,850
Downey Financial Corp................................. 28,900 581,612
*Dress Barn, Inc...................................... 21,200 363,050
*Drug Emporium, Inc................................... 12,700 51,395
*Drypers Corp......................................... 13,000 33,516
*Duckwall-Alco Stores, Inc............................ 5,000 39,844
*Ducommun, Inc........................................ 700 6,212
*Dura Automotive Systems, Inc......................... 15,085 312,542
*Dura Pharmaceuticals, Inc............................ 42,000 547,312
Dyersburg Corp........................................ 16,000 11,000
*Dynamics Research Corp............................... 8,800 46,475
*E-Z-Em, Inc. Class A................................. 3,600 20,700
*ECC International Corp............................... 8,200 26,650
*EFTC Corp............................................ 22,100 49,725
*EIS International, Inc............................... 13,900 60,378
EMC Insurance Group, Inc.............................. 12,300 124,922
*EMS Technologies, Inc................................ 9,800 105,962
*ESCO Electronics Corp. Trust Receipts................ 14,700 142,406
Eagle Bancshares, Inc................................. 5,700 91,378
*Eagle Food Centers, Inc.............................. 10,100 14,992
Earthgrains Co........................................ 35,900 650,687
*Echelon International Corp........................... 1,800 40,950
Ecology & Environment, Inc. Class A................... 2,000 11,500
Edelbrock Corp........................................ 4,100 48,944
Edo Corp.............................................. 3,100 17,631
*Educational Insights, Inc............................ 2,800 5,862
*EduTrek International, Inc........................... 4,700 3,819
*Elantec Semiconductor, Inc........................... 6,500 189,922
*Elcom International, Inc............................. 3,900 40,341
*Elcotel, Inc......................................... 1,200 2,756
*Elder-Beerman Stores Corp............................ 5,400 34,762
*Electro Rent Corp.................................... 5,300 62,772
*Electroglas, Inc..................................... 17,200 489,662
*Elite Information Group, Inc......................... 11,000 78,375
</TABLE>
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<TABLE>
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Ellett Brothers, Inc.................................. 4,500 $ 29,812
*Emcor Group, Inc..................................... 5,900 102,881
Empire Federal Bancorp, Inc........................... 1,800 20,812
*Encad, Inc........................................... 11,700 63,619
*Encore Wire Corp..................................... 4,900 34,606
Energen Corp.......................................... 12,000 231,000
Enesco Group, Inc..................................... 3,300 40,219
Engineered Support Systems, Inc....................... 4,300 49,853
Engle Homes, Inc...................................... 11,300 120,416
Enhance Financial Services Group, Inc................. 41,600 712,400
*Enserch Exploration Corp............................. 44,600 117,075
*Epimmune, Inc........................................ 3,200 8,900
*Equity Marketing, Inc................................ 4,400 71,087
Eskimo Pie Corp....................................... 2,800 26,600
Espey Manufacturing & Electronics Corp................ 400 5,850
*Esterline Technologies Corp.......................... 18,300 229,894
Ethyl Corp............................................ 44,900 188,019
*Evans & Sutherland Computer Corp..................... 9,000 116,156
*Exabyte Corp......................................... 21,700 151,561
*Exar Corp............................................ 8,600 419,519
Exide Corp............................................ 30,700 316,594
*Extended Stay America, Inc........................... 206,300 1,585,931
*Extended Systems, Inc................................ 6,500 96,891
Ezcorp, Inc. Class A Non-Voting....................... 11,000 42,281
FBL Financial Group, Inc. Class A..................... 28,600 496,925
*FEI Co............................................... 30,500 251,625
FFLC Bancorp.......................................... 2,900 45,312
FNB Financial Services Corp........................... 2,000 23,250
*FPIC Insurance Group, Inc............................ 3,900 73,369
FSF Financial Corp.................................... 1,400 17,062
*FSI International, Inc............................... 21,800 205,056
*FTI Consulting, Inc.................................. 5,000 28,125
Fab Industries, Inc................................... 4,400 51,700
*Fairchild Corp. Class A.............................. 32,033 232,239
Falcon Products, Inc.................................. 8,200 76,875
*Fansteel, Inc........................................ 6,800 30,600
*Farm Family Holdings, Inc............................ 5,000 203,750
Farrel Corp........................................... 6,000 12,187
*Featherlite Manufacturing, Inc....................... 4,100 27,034
*Fibermark, Inc....................................... 7,400 92,500
Fidelity Bancorp, Inc. Delaware....................... 2,200 38,569
*Fidelity National Corp............................... 7,500 55,547
Fidelity National Financial, Inc...................... 50,100 754,631
*Filenes Basement Corp................................ 25,100 5,271
*Finish Line, Inc. Class A............................ 20,500 135,172
*Finishmaster, Inc.................................... 9,000 60,750
*First Alliance Corp.................................. 5,900 15,303
First American Financial Corp......................... 44,600 574,225
First Bell Bancorp, Inc............................... 3,500 56,109
*First Cash, Inc...................................... 4,800 35,700
First Charter Corp.................................... 1,400 22,619
First Citizens Bancshares, Inc. NC.................... 9,600 698,400
First Defiance Financial Corp......................... 6,900 81,291
First Essex Bancorp................................... 8,800 144,375
First Federal Bancshares of Arkansas, Inc............. 4,600 77,337
*First Investors Financial Services Group, Inc........ 13,000 70,687
First Keystone Financial, Inc......................... 3,500 37,625
First Mariner Bank Corp............................... 3,700 33,878
<CAPTION>
SHARES VALUE+
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First Northern Capital Corp........................... 9,000 $ 96,750
*First Republic Bank.................................. 10,900 256,831
First Savings Bancorp, Inc. North Carolina............ 3,700 71,456
First SecurityFed Financial, Inc...................... 5,500 62,562
First Sentinel Bancorp, Inc........................... 39,000 324,797
First Washington Bancorp, Inc......................... 12,300 203,719
Firstbank Corp........................................ 2,000 26,562
*Firstfed America Bancorp, Inc........................ 3,500 44,187
FirstFed Financial Corp. DE........................... 24,900 384,394
Firstspartan Financial Corp........................... 4,000 74,250
*Fischer Imaging Corp................................. 5,700 9,797
Flag Financial Corp................................... 6,000 42,375
Flagstar Bancorp, Inc................................. 10,600 169,269
*Flander Corp......................................... 30,100 96,884
Fleetwood Enterprises, Inc............................ 23,100 485,100
Fleming Companies, Inc................................ 51,300 618,806
Flexsteel Industries, Inc............................. 7,100 98,512
*Florsheim Group, Inc................................. 8,100 24,047
Flushing Financial Corp............................... 10,200 162,562
*Foilmark, Inc........................................ 1,600 4,800
*Foodarama Supermarkets, Inc.......................... 800 21,400
*#Forcenergy, Inc..................................... 21,700 13,562
*Forest Oil Corp...................................... 35,300 403,744
*Foster (L.B.) Co. Class A............................ 12,000 58,875
Foster Wheeler Corp................................... 43,500 443,156
*Foundation Health Systems, Inc....................... 50,000 421,875
*Four Media Co........................................ 17,300 216,791
Frankfort First Bancorp, Inc.......................... 200 3,000
Franklin Bank National Associaton Southfield, MI...... 3,600 31,444
*Franklin Covey Co.................................... 8,500 62,156
*Franklin Electronic Publishers, Inc.................. 7,100 35,500
Freds, Inc. Class A................................... 11,800 154,137
Freedom Securities Corp............................... 2,400 31,350
Fremont General Corp.................................. 53,100 268,819
Frequency Electronics, Inc............................ 9,200 77,050
*Fresh America Corp................................... 600 2,700
*Fresh Choice, Inc.................................... 2,700 4,725
*Fresh Foods, Inc..................................... 5,700 42,572
*Friede Goldman International......................... 18,069 152,457
*Friedman Billings Ramsey Group, Inc. Class A......... 14,900 88,469
Friedman Industries, Inc.............................. 6,515 23,617
Friedmans, Inc. Class A............................... 12,400 93,387
Frisch's Restaurants, Inc............................. 7,100 68,337
*Fritz Companies, Inc................................. 17,300 170,297
Frontier Insurance Group, Inc......................... 27,300 81,900
Frozen Food Express Industries, Inc................... 17,200 74,712
*G-III Apparel Group, Ltd............................. 7,800 21,937
GA Financial, Inc..................................... 6,500 87,750
*GC Companies, Inc.................................... 7,100 200,131
*GP Strategies Corp................................... 12,600 99,225
*GT Interactive Software Corp......................... 47,100 96,408
*GZA Geoenvironmental Technologies, Inc............... 1,600 6,100
*Gadzooks, Inc........................................ 10,600 90,431
Gainsco, Inc.......................................... 25,000 148,437
*Galey & Lord, Inc.................................... 26,600 66,500
*GameTech International, Inc.......................... 3,100 14,337
Garan, Inc............................................ 5,300 163,637
*Garden Fresh Restaurant Corp......................... 5,000 83,437
</TABLE>
15
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CONTINUED
<TABLE>
<CAPTION>
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*Garden Ridge Corp.................................... 17,500 $ 197,969
*Gasonics International, Inc.......................... 1,400 21,525
*Gehl Co.............................................. 7,500 138,750
Gencorp, Inc.......................................... 9,000 98,437
*General Cigar Holdings, Inc. Class A................. 3,000 22,687
*General Communications, Inc.
Class A............................................. 54,100 221,472
*Genesee & Wyoming, Inc............................... 1,400 16,625
*Genesis Health Ventures, Inc......................... 14,600 41,062
Genesis Worldwide, Inc................................ 4,500 18,844
*Genicom Corp......................................... 13,800 9,919
*Genome Therapeutics Corp............................. 8,000 34,750
*Gensym Corp.......................................... 7,700 37,658
*Gerber Childrenswear, Inc............................ 2,300 10,637
*Getty Petroleum Marketing, Inc....................... 16,700 50,100
*Giant Industries, Inc................................ 13,000 112,937
Gibraltar Steel Corp.................................. 2,000 47,375
*Gibson Greetings, Inc................................ 9,200 87,400
Glatfelter (P.H.) Co.................................. 54,100 696,537
Gleason Corp.......................................... 11,500 204,125
*Glenayre Technologies, Inc........................... 69,900 326,564
*Globe Business Resources, Inc........................ 4,600 58,506
Golden Enterprises, Inc............................... 2,800 7,962
*Golden State Bancorp, Inc............................ 6,200 120,512
*Good Guys, Inc....................................... 17,100 140,006
*Goodys Family Clothing............................... 7,800 51,431
Gorman-Rupp Co........................................ 7,700 137,637
*Gottschalks, Inc..................................... 15,000 135,000
*Government Technology Services, Inc.................. 8,700 27,459
*Gradco Systems, Inc.................................. 9,400 9,841
*Graham Corp.......................................... 1,900 13,537
Grand Premier Financial, Inc.......................... 2,900 48,756
*Grand Union Co....................................... 16,400 173,225
*Greenbriar Corp...................................... 4,700 2,937
Greenbrier Companies, Inc............................. 13,100 131,000
*Grey Wolf, Inc....................................... 21,000 57,750
*Griffin Land & Nurseries, Inc. Class A............... 1,900 20,544
*Griffon Corp......................................... 29,500 226,781
*Group Maintenance America Corp....................... 8,800 80,300
Guarantee Life Companies, Inc......................... 12,700 399,653
Guaranty Federal Bancshares, Inc...................... 5,200 57,850
*Guest Supply, Inc.................................... 5,800 82,650
Guilford Mills, Inc................................... 30,200 218,950
*Gulf Island Fabrication, Inc......................... 9,500 87,578
*Gulfmark Offshore, Inc............................... 7,800 111,881
*Gundle/SLT Environmental, Inc........................ 15,700 64,762
*Gymboree Corp........................................ 31,200 189,150
HCC Insurance Holdings, Inc........................... 16,400 174,250
HF Financial Corp..................................... 4,800 60,900
HMN Financial, Inc.................................... 5,000 63,594
*HMT Technology Corp.................................. 70,000 252,656
*HPSC, Inc............................................ 3,600 35,437
*HS Resources, Inc.................................... 24,700 319,556
*Ha-Lo Industries, Inc................................ 33,100 206,875
Haggar Corp........................................... 8,000 99,500
*Hagler Bailly, Inc................................... 1,900 10,391
Halifax Corp.......................................... 2,000 10,875
Hallmark Capital Corp................................. 2,700 26,578
*Hampton Industries, Inc.............................. 6,600 16,087
Hancock Fabrics, Inc.................................. 11,600 46,400
*Handleman Co......................................... 17,600 271,700
<CAPTION>
SHARES VALUE+
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*Hanger Orthopedic Group, Inc......................... 15,500 $ 158,875
Harbor Florida Bancshares, Inc........................ 14,600 184,781
*Harding Lawson Associates Group, Inc................. 5,800 43,319
Hardinge Brothers, Inc................................ 11,400 155,681
Harleysville Group, Inc............................... 28,800 432,900
Harman International Industries, Inc.................. 13,400 690,100
*Hartmarx Corp........................................ 41,700 158,981
*Harvey Entertainment Co.............................. 4,300 20,962
*Hastings Entertainment, Inc.......................... 10,400 51,025
*Hauser, Inc.......................................... 2,250 5,414
Haven Bancorp, Inc.................................... 9,900 160,256
*Hawaiian Airlines, Inc............................... 59,900 131,031
*Hawk Corp............................................ 16,000 86,000
*Hawker Pacific Aerospace............................. 6,000 27,562
*Hawthorne Financial Corp............................. 5,500 76,312
*Headway Corporate Resources, Inc..................... 11,600 43,137
*Health Management Systems, Inc....................... 16,500 75,797
*Health Risk Management, Inc.......................... 4,100 27,931
*Health Systems Design Corp........................... 5,000 26,562
*Healthcare Recoveries, Inc........................... 7,300 23,839
*Healthcare Services Group, Inc....................... 11,600 94,250
Healthplan Services Corp.............................. 21,900 143,719
Heico Corp............................................ 20,000 342,500
Heilig-Meyers Co...................................... 83,250 301,781
*Heist (C.H.) Corp.................................... 1,100 6,875
*Hello Direct, Inc.................................... 3,900 46,922
Helmerich & Payne, Inc................................ 18,700 423,087
Heritage Financial Corp............................... 9,500 80,453
*Herley Industries, Inc............................... 900 12,403
*Hexcel Corp.......................................... 26,400 156,750
*Hi-Tech Pharmacal, Inc............................... 4,200 20,672
*High Plains Corp..................................... 4,800 6,750
*Highlands Insurance Group, Inc....................... 12,200 88,450
*Hirsch International Corp. Class A................... 8,100 11,517
*Holiday RV Superstores, Inc.......................... 500 2,359
Holly Corp............................................ 7,800 112,125
*Hollywood Park, Inc.................................. 22,700 458,256
*Hologic, Inc......................................... 20,000 107,500
*Home Products International, Inc..................... 7,300 65,472
*Homebase, Inc........................................ 75,600 259,875
*Homestead Village, Inc............................... 40,600 96,425
Horizon Financial Corp................................ 9,200 92,575
*Horizon Health Corp.................................. 8,200 60,987
*Horizon Offshore, Inc................................ 12,800 80,400
Horton (D.R.), Inc.................................... 126,700 1,742,125
*Hospitality Worldwide Services, Inc.................. 11,500 31,625
*Houston Exploration Co............................... 24,500 490,000
*Hovnanian Enterprises, Inc. Class A.................. 16,800 107,100
*Hub Group, Inc. Class A.............................. 7,600 131,575
*Hudson River Bancorp, Inc............................ 2,200 23,994
Huffy Corp............................................ 8,200 53,812
Hughes Supply, Inc.................................... 25,700 608,769
Hunt (J.B.) Transport Services, Inc................... 40,300 532,716
Hunt Corp............................................. 15,100 124,575
Huntco, Inc. Class A.................................. 6,300 13,781
*Hurco Companies, Inc................................. 6,600 25,575
*Hutchinson Technology, Inc........................... 10,500 193,594
*Hypercom Corp........................................ 45,300 427,519
*Hyseq, Inc........................................... 12,100 81,675
*ICT Group, Inc....................................... 10,400 127,400
*IDT Corp............................................. 12,000 272,625
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*IEC Electronics Corp................................. 9,000 $ 20,812
*IFR Systems, Inc..................................... 9,800 37,975
*IHOP Corp............................................ 2,200 34,100
*II-VI, Inc........................................... 8,200 142,475
IMCO Recycling, Inc................................... 17,900 230,462
*IRI International Corp............................... 24,900 105,825
ISB Financial Corp. LA................................ 7,000 112,000
*IT Group, Inc ....................................... 1,200 12,525
*ITEQ, Inc............................................ 25,200 21,656
*ITLA Capital Corp.................................... 7,800 114,319
*IVI Checkmate Corp................................... 13,200 45,787
*Ikon Office Solutions, Inc........................... 200,000 1,337,500
*Ikos Systems, Inc.................................... 3,600 27,787
*Imation Corp......................................... 50,300 1,619,031
*Imperial Credit Industries, Inc...................... 47,700 280,237
Imperial Sugar Co..................................... 56,500 226,000
*In Focus Systems, Inc................................ 15,400 320,994
*Inacom Corp.......................................... 32,140 190,831
Independence Community Bank Corp...................... 17,400 195,206
Independent Bank East................................. 3,444 56,934
*Industrial Distribution Group, Inc................... 10,100 38,506
*Industrial Holdings, Inc............................. 4,500 11,531
*Industri-Matematik International Corp. ADR........... 2,000 5,812
*Inference Corp. Class A.............................. 2,000 9,437
*Infinium Software, Inc............................... 3,300 16,294
*Information Management Associates, Inc............... 12,000 48,187
*Information Resources, Inc........................... 27,800 277,566
Ingles Market, Inc. Class A........................... 12,900 151,172
*Ingram Micro, Inc.................................... 80,800 1,075,650
*Innovative Clinical Solutions, Ltd................... 16,100 8,050
Innovex, Inc.......................................... 8,500 76,766
*Inprise Corp......................................... 29,700 265,444
*Input/Output, Inc.................................... 49,900 268,212
*Inso Corp............................................ 14,900 338,509
*Inspire Insurance Solutions, Inc..................... 15,100 95,083
Insteel Industries, Inc............................... 10,000 84,375
*Insurance Auto Auctions, Inc......................... 13,500 192,797
*IntegraMed America, Inc.............................. 5,100 16,177
*Integrated Device Technology, Inc.................... 26,400 621,225
*Integrated Electrical Services, Inc.................. 15,600 165,750
*Integrated Measurement System, Inc................... 8,900 124,322
*Integrated Orthopedics, Inc.......................... 2,500 3,594
*Integrated Silicon Solution, Inc..................... 19,100 173,989
*Inter Parfums, Inc................................... 7,800 71,662
Interface, Inc. Class A............................... 17,600 79,750
*Intergraph Corp...................................... 63,200 283,412
*Interim Services, Inc................................ 46,600 859,187
*Intermagnetics General Corp.......................... 11,800 78,912
Intermet Corp......................................... 21,900 220,369
International Aluminum Corp........................... 1,700 41,969
International Multifoods Corp......................... 6,900 96,169
*International Rectifier Corp......................... 78,000 1,579,500
International Shipholding Corp........................ 6,400 86,400
*International Speciality Products, Inc............... 31,300 262,137
*International Telecommunication Data Systems, Inc.... 17,800 232,512
*International Total Services, Inc.................... 6,500 8,714
*Interphase Corp...................................... 5,900 175,156
Interpool, Inc........................................ 50,200 445,525
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Intertan, Inc........................................ 15,200 $ 363,850
*Intervoice, Inc...................................... 1,449 21,780
*Invision Technologies, Inc........................... 3,000 12,094
*Ionics, Inc.......................................... 17,000 453,687
*Iridex Corp.......................................... 6,200 57,737
Isco, Inc............................................. 4,500 22,570
*Isle of Capri Casinos, Inc........................... 23,700 305,878
*Isolyser Co., Inc.................................... 8,300 23,603
*#Itron, Inc.......................................... 14,700 93,253
*J & J Snack Foods Corp............................... 10,000 188,437
*J. Alexander's Corp.................................. 7,300 22,356
*J. Jill Group, Inc................................... 5,600 30,537
*JDA Software Group, Inc.............................. 17,600 246,950
*JLK Direct Distribution, Inc. Class A................ 5,000 48,750
*JLM Industries, Inc.................................. 10,500 38,391
JSB Financial, Inc.................................... 12,800 756,800
*Jackpot Enterprises, Inc............................. 8,800 72,050
Jacksonville Bancorp, Inc............................. 2,200 33,962
*Jaco Electronics, Inc................................ 3,400 12,644
*Jacobson Stores, Inc................................. 6,900 47,653
*Jan Bell Marketing, Inc.............................. 28,100 79,031
*Jason, Inc........................................... 17,400 130,500
Jefferies Group, Inc.................................. 3,900 77,512
Jefferson Savings Bancorp, Inc........................ 5,200 62,400
*Johnson Worldwide Associates, Inc. Class A........... 8,200 64,447
*Johnston Industries, Inc............................. 12,800 20,000
*Jones Apparel Group, Inc............................. 15,383 410,534
*Jos. A. Bank Clothiers, Inc.......................... 4,400 12,100
Justin Industries, Inc................................ 27,500 427,109
K Swiss, Inc. Class A................................. 2,800 39,987
K2, Inc............................................... 16,800 123,900
*KBK Capital Corp..................................... 3,800 18,525
KCS Energy, Inc....................................... 26,100 19,575
*KLLM Transport Services, Inc......................... 5,100 32,273
*KVH Industries, Inc.................................. 2,900 8,927
*Kaiser Aluminum Corp................................. 113,650 752,931
*Kaiser Ventures, Inc................................. 9,300 128,456
Kaman Corp. Class A................................... 22,500 267,891
*Kasper A.S.L., Ltd................................... 7,100 20,856
Katy Industries, Inc.................................. 7,700 80,850
*Kellstrom Industries, Inc............................ 7,400 64,981
Kellwood Co........................................... 20,900 433,675
*Kemet Corp........................................... 40,700 1,471,559
*Kendle International, Inc............................ 12,300 99,937
Kennametal, Inc....................................... 31,600 1,050,700
*Kent Electronics Corp................................ 24,600 564,262
Kentucky First Bancorp, Inc........................... 400 4,100
*Kevco, Inc........................................... 10,800 31,387
Kewaunee Scientific Corp.............................. 2,500 25,469
*Key Energy Group, Inc................................ 59,400 297,000
*Key Production Co., Inc.............................. 12,400 100,750
*Key Technology, Inc.................................. 3,900 29,372
*Key Tronic Corp...................................... 11,500 48,156
*Keystone Automotive Industries, Inc.................. 21,400 123,050
*Keystone Consolidated Industries, Inc................ 9,600 37,800
*Kinark Corp.......................................... 6,200 7,750
*Kinnard Investment, Inc.............................. 5,200 29,738
*Kitty Hawk, Inc...................................... 16,400 128,125
Klamath First Bancorp, Inc............................ 8,700 98,963
*Komag, Inc........................................... 52,700 123,516
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
*Kulicke & Soffa Industries, Inc...................... 4,400 $ 156,613
LNR Property Corp..................................... 28,600 504,075
LTV Corp.............................................. 125,200 438,200
*LTX Corp............................................. 15,300 276,834
*Ladd Furniture, Inc.................................. 8,300 175,597
*Ladish Co., Inc...................................... 26,000 178,344
*Lakes Gaming, Inc.................................... 8,800 75,625
*Lam Research Corp.................................... 12,200 944,738
*Lamson & Sessions Co................................. 16,100 84,525
*Lancer Corp.......................................... 7,300 39,238
*Landair Corp......................................... 1,900 9,619
Landamerica Financial Group, Inc...................... 20,100 390,694
*Landrys Seafood Restaurants, Inc..................... 41,200 363,719
*Larscom, Inc......................................... 6,300 28,153
*Layne Christensen Co................................. 11,600 78,300
*Lazare Kaplan International, Inc..................... 12,500 96,875
*Leapnet, Inc......................................... 11,900 64,892
*#Leasing Solutions, Inc.............................. 6,500 1,422
*Lechters, Inc........................................ 22,100 34,531
Lennar Corp........................................... 27,600 450,225
Lesco, Inc............................................ 3,100 46,597
Liberty Corp.......................................... 11,500 526,125
*Liberty Financial Companies, Inc..................... 11,100 260,850
Lifetime Hoan Corp.................................... 5,000 25,469
Lillian Vernon Corp................................... 9,300 111,600
Lindberg Corp......................................... 6,900 60,375
*Loews Cineplex Entertainment Corp.................... 98,800 642,200
*Logic Devices, Inc................................... 6,100 13,534
*Lone Star Steakhouse Saloon.......................... 46,000 347,156
*Lone Star Technologies, Inc.......................... 19,100 483,469
Longview Fibre Co..................................... 59,900 763,725
*Louis Dreyfus Natural Gas Corp....................... 36,500 657,000
Luby's Cafeterias, Inc................................ 8,800 102,300
Lufkin Industries, Inc................................ 6,800 94,775
*Lumisy, Inc.......................................... 15,600 49,725
*Lunar Corp........................................... 9,200 64,113
*Lydall, Inc. DE...................................... 18,700 167,131
*Lynch Corp........................................... 400 9,100
*Lynch Interactive Corp............................... 400 27,300
M.A. Hanna Co......................................... 56,200 586,588
*M.H. Meyerson & Co., Inc............................. 4,000 17,125
*MB Financial, Inc.................................... 5,700 74,278
MDC Holdings, Inc..................................... 32,900 491,444
*MEMC Electronic Materials, Inc....................... 38,000 456,000
MFB Corp.............................................. 1,400 25,813
*MFRI, Inc............................................ 4,900 21,744
MI Schottenstein Homes, Inc........................... 17,100 269,325
*MIM Corp............................................. 10,600 23,188
MMI Companies, Inc.................................... 6,500 26,406
*MRV Communications, Inc.............................. 23,300 744,872
*MS Carriers, Inc..................................... 11,500 301,156
MTS Systems Corp...................................... 7,860 78,723
*Mac-Gray Corp........................................ 3,900 15,356
*Made2Manage Systems, Inc............................. 8,000 54,750
*Magellan Health Services, Inc........................ 45,600 285,000
*Magnetek, Inc........................................ 30,900 206,644
*Magnum Hunter Resources, Inc......................... 22,100 70,444
*Main Street & Main, Inc.............................. 9,300 31,678
*Main Street Bancorp, Inc............................. 1,500 15,891
*Mallon Resources Corp................................ 1,500 9,000
*Manchester Equipment Co., Inc........................ 7,500 23,672
*Manugistic Group, Inc................................ 16,000 269,000
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Marcus Corp........................................... 21,700 $ 276,675
*Marine Drilling Companies, Inc....................... 27,000 455,625
*Marine Transport Corp................................ 6,500 17,266
Maritrans, Inc........................................ 16,400 91,225
Mark IV Industries, Inc............................... 39,900 748,125
*MarkWest Hydrocarbon, Inc............................ 12,000 66,000
*Marlton Technologies, Inc............................ 6,800 12,750
Marsh Supermarkets, Inc. Class A...................... 3,100 42,625
Marsh Supermarkets, Inc. Class B...................... 4,400 45,925
Massbank Corp. Reading, MA............................ 3,300 107,663
*Material Sciences Corp............................... 25,100 274,531
*Matlack Systems, Inc................................. 12,500 49,219
*Matrix Pharmaceutical, Inc........................... 19,700 102,194
*Matrix Service Co.................................... 11,500 52,469
*Maverick Tube Corp................................... 13,900 298,416
*Max & Ermas Restaurants, Inc......................... 1,400 9,538
*Maxco, Inc........................................... 2,700 22,317
*Maxicare Health Plans, Inc........................... 5,000 16,094
*Maxim Group, Inc..................................... 20,400 114,750
*Maxwell Shoe Company, Inc............................ 4,200 36,488
*Maxwell Technologies, Inc............................ 3,600 39,038
*Maxxam, Inc.......................................... 6,500 295,344
*Maynard Oil Co....................................... 5,800 65,794
*Mazel Stores, Inc.................................... 13,000 123,500
*McNaughton Apparel Group, Inc........................ 7,200 50,850
*McWhorter Technologies, Inc.......................... 11,000 151,250
*Meadow Valley Corp................................... 3,400 13,069
Meadowbrook Insurance Group, Inc...................... 10,200 60,563
Medford Bancorp, Inc.................................. 12,400 207,700
*Media 100, Inc....................................... 7,500 104,766
*Medialink Worldwide, Inc............................. 1,000 6,000
*Medical Action Industries, Inc....................... 1,200 3,938
*Medical Alliance, Inc................................ 6,700 12,458
*#Medical Resources, Inc.............................. 7,300 4,220
*Medstone International, Inc.......................... 4,600 27,384
Merchants Group, Inc.................................. 2,200 50,050
Meridian Insurance Group, Inc......................... 5,800 89,538
*Meridian Medical Technology, Inc..................... 3,000 16,594
*Meridian Resource Corp............................... 19,900 73,381
*Merix Corp........................................... 5,700 68,934
*Metal Management, Inc................................ 36,100 82,917
*Metals USA, Inc...................................... 49,000 410,375
*Metatec Corp. Class A................................ 7,200 18,675
*Metrocall, Inc....................................... 37,500 77,344
*Metromedia International Group, Inc.................. 113,500 510,750
*Michael Anthony Jewelers, Inc........................ 8,600 26,875
Michael Foods, Inc.................................... 1,400 35,219
*Michaels Stores, Inc................................. 45,600 1,432,125
*Micro Linear Corp.................................... 13,600 96,900
*Micro Warehouse, Inc................................. 33,000 388,781
*Microage, Inc........................................ 14,700 43,641
*Microcide Pharmaceuticals, Inc....................... 11,500 83,555
MicroFinancial, Inc................................... 3,000 33,938
*Microsemi Corp....................................... 9,400 72,556
*Microtest, Inc....................................... 7,900 54,806
*Microtouch Systems, Inc.............................. 7,300 108,816
*Middleby Corp........................................ 12,500 66,016
Midland Co............................................ 3,700 85,563
*Midway Airlines Corp................................. 9,700 72,447
*Midwest Grain Products, Inc.......................... 9,800 83,606
Mikasa, Inc........................................... 15,300 166,388
*Mikohn Gaming Corp................................... 12,700 65,088
</TABLE>
18
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Milacron, Inc......................................... 18,700 $ 272,319
*Miller Building Systems, Inc......................... 2,900 16,313
*Miller Industries, Inc............................... 75,200 183,300
Minntech Corp......................................... 1,500 14,438
Mississippi Chemical Corp............................. 27,300 145,031
*Mitcham Industries, Inc.............................. 10,300 40,234
Mitchell Energy & Development Corp. Class A........... 19,600 461,825
Mitchell Energy & Development Corp. Class B........... 23,000 529,000
Mobile America Corp................................... 6,700 14,447
*Modtech Holdings, Inc................................ 2,700 19,828
*Monarch Dental Corp.................................. 12,100 24,200
*Monro Muffler Brake, Inc............................. 7,700 54,381
Monterey Bay Bancorp, Inc............................. 2,900 36,431
*Moog, Inc. Class A................................... 2,000 52,500
*Moore Medical Corp................................... 2,600 20,638
Moore Products Co..................................... 2,000 67,313
*Morrison Knudsen Corp................................ 13,500 117,281
*Motor Car Parts & Accessories, Inc................... 7,500 10,832
*Motor Club of America................................ 500 4,938
Movado Group, Inc..................................... 11,800 280,988
*Movie Gallery, Inc................................... 16,100 66,413
*N & F Worldwide Corp................................. 15,100 83,050
*NABI, Inc............................................ 41,800 192,019
NCH Corp.............................................. 6,000 279,750
*NCI Building Systems, Inc............................ 11,200 186,200
*NCO Group, Inc....................................... 1,543 71,460
*NCS Healthcare, Inc.................................. 4,700 12,558
*NMT Medical, Inc..................................... 10,200 21,356
NN Ball & Roller, Inc................................. 2,300 15,381
*NPS Pharmaceuticals, Inc............................. 1,300 7,759
*NS Group, Inc........................................ 23,300 241,738
*Nabors Industries, Inc............................... 19,321 513,221
Nacco Industries, Inc. Class A........................ 9,200 445,625
Nash Finch Co......................................... 11,400 82,294
*Nashua Corp.......................................... 9,500 70,063
*Nastech Pharmaceutical Co., Inc...................... 7,100 13,867
*Nathans Famous, Inc.................................. 4,400 14,781
National City Bancorp................................. 9,000 176,625
*National Discount Brokers Group, Inc................. 1,400 44,975
*National Home Health Care Corp....................... 3,500 14,766
National Presto Industries, Inc....................... 9,600 338,400
*National Processing, Inc............................. 7,600 65,550
*National Record Mart, Inc............................ 3,000 12,047
National Steel Corp. Class B.......................... 27,200 158,100
National Technical Systems, Inc....................... 8,300 31,644
*National Techteam, Inc............................... 23,800 94,456
*Natural Alternatives International, Inc.............. 6,800 23,163
*Natural Microsystems Corp............................ 9,100 331,013
*Natural Wonders, Inc................................. 7,200 11,025
Nelson (Thomas), Inc.................................. 8,400 74,550
*Netmanage, Inc....................................... 50,600 252,209
*NetOptix Corp........................................ 12,100 433,331
*Network Computing Devices, Inc....................... 12,900 83,447
*Network Equipment Technologies, Inc.................. 22,000 270,875
*Neurocrine Biosciences, Inc.......................... 15,700 205,572
*New Brunswick Scientific Co., Inc.................... 5,060 27,830
*New Century Financial Corp........................... 3,600 56,475
*New Mexico & Arizona Land Co......................... 6,450 33,056
*Newcor, Inc.......................................... 3,900 9,994
<CAPTION>
SHARES VALUE+
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Newmil Bancorp, Inc................................... 4,000 $ 51,000
*Newpark Resources, Inc............................... 34,400 206,400
*Niagara Bancorp, Inc................................. 1,000 10,469
*Niagara Corp......................................... 10,100 47,028
*Nobel Learning Communities, Inc...................... 2,100 16,931
*Noodle Kidoodle, Inc................................. 6,700 47,109
*Norstan, Inc......................................... 13,300 95,594
*Nortel Networks Corp................................. 1,860 137,640
North Central Bancshares, Inc......................... 3,500 58,188
*North Face, Inc...................................... 11,300 59,678
Northeast Bancorp..................................... 2,200 17,600
Northland Cranberries, Inc. Class A................... 17,300 102,178
Northrim Bank......................................... 1,700 16,814
*Northwest Pipe Co.................................... 10,400 130,000
*Novacare, Inc........................................ 31,200 25,350
*Novametrix Medical Systems, Inc...................... 5,900 23,600
*Nu Horizons Electronics Corp......................... 9,345 84,689
*Nuevo Energy Co...................................... 27,700 427,619
*Numerex Corp. Class A................................ 11,700 77,878
Nymagic, Inc.......................................... 1,200 17,250
*O'Sullivan Industries Holdings, Inc.................. 19,700 337,363
*O.I. Corp............................................ 4,000 17,000
*ODS Networks, Inc.................................... 14,800 121,175
OEA, Inc.............................................. 14,500 78,844
*OMNI Energy Services Corp............................ 15,300 24,384
*OSI Pharmaceutical, Inc.............................. 15,600 80,194
*OSI Systems, Inc..................................... 9,600 42,300
*Oak Technology, Inc.................................. 39,800 256,213
Oakwood Homes Corp.................................... 81,600 244,800
*Objective Systems Integrators, Inc................... 39,000 155,391
*Oceaneering International, Inc....................... 19,000 247,000
OceanFirst Financial Corp............................. 19,100 353,947
*Ocwen Financial Corp................................. 71,100 462,150
*Officemax, Inc....................................... 200,300 1,226,838
*Offshore Logistics, Inc.............................. 29,800 294,275
*Ogden Corp........................................... 38,900 505,700
Oglebay Norton Co..................................... 3,800 83,956
*#Ohio Casualty Corp.................................. 20,500 315,828
*Old Dominion Freight Lines, Inc...................... 8,500 107,844
Olin Corp............................................. 22,000 394,625
Olsten Corp........................................... 69,200 700,650
*Olympic Steel, Inc................................... 12,800 64,400
*Omega Protein Corp................................... 43,000 112,875
*Omega Worldwide, Inc................................. 9,500 35,922
Omnicare, Inc......................................... 149,800 2,031,663
*Omtool, Ltd.......................................... 8,500 25,234
*On Command Corp...................................... 3,100 46,306
*One Price Clothing Stores, Inc....................... 10,900 28,953
*Ontrack Data International, Inc...................... 10,800 115,763
*Onyx Acceptance Corp................................. 7,400 54,575
*Opta Food Ingredients, Inc........................... 13,300 41,147
*Opti, Inc............................................ 12,100 42,350
*Option Care, Inc..................................... 1,400 4,681
*Orbital Sciences Corp................................ 13,600 188,700
Oregon Steel Mills, Inc............................... 39,200 318,500
Oregon Trail Financial Corp........................... 4,000 44,625
*Oroamerica, Inc...................................... 7,600 52,963
*Ortel Corp........................................... 8,700 553,538
*Orthologic Corp...................................... 28,900 71,347
Oshkosh Truck Corp. Class B........................... 1,500 41,438
*Oshman's Sporting Goods, Inc......................... 5,300 8,944
*Osmonics, Inc........................................ 14,400 129,600
</TABLE>
19
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Outsource International, Inc......................... 9,000 $ 8,297
*Overland Data........................................ 5,700 38,297
Overseas Shipholding Group, Inc....................... 59,000 862,875
Owosso Corp........................................... 6,900 25,444
Oxford Industries, Inc................................ 6,600 140,663
*P-Com, Inc........................................... 26,800 151,588
*PAM Transportation Services, Inc..................... 5,200 53,788
*PBOC Holdings, Inc................................... 11,700 97,256
*PC Service Source, Inc............................... 5,000 12,813
*PLM International, Inc............................... 9,800 55,738
*PMR Corp............................................. 6,500 14,422
*PPT Vision, Inc...................................... 6,500 19,703
PXRE Group, Ltd....................................... 12,000 148,500
*Pameco Corp.......................................... 5,000 21,563
Pamrapo Bancorp, Inc.................................. 3,900 86,775
*Panera Bread CO...................................... 12,300 97,631
*Par Technology Corp.................................. 10,400 52,650
Park Electrochemical Corp............................. 4,500 147,938
*Parker Drilling Co................................... 95,900 377,606
*Park-Ohio Holdings Corp.............................. 11,500 135,844
*Parlex Corp.......................................... 3,700 69,838
*Parlux Fragrances, Inc............................... 13,400 49,413
Patina Oil & Gas Corp................................. 16,800 119,700
Patrick Industries, Inc............................... 6,500 78,406
*Patterson Energy, Inc................................ 29,200 369,563
*Paul Harris Stores, Inc.............................. 12,800 41,400
Paula Financial, Inc.................................. 5,500 33,859
*Paul-Son Gaming Corp................................. 2,200 14,300
*Paxar Corp........................................... 20,500 174,250
*Paxson Communications Corp........................... 60,000 686,250
*Pediatrix Medical Group, Inc......................... 10,200 79,050
Peerless Manufacturing Co............................. 1,200 13,725
Penford Corp.......................................... 7,800 117,000
*Penn Treaty American Corp............................ 7,900 125,413
Penn Virginia Corp.................................... 9,700 173,994
Penn-America Group, Inc............................... 9,500 76,000
Pennfed Financial Services, Inc....................... 9,400 147,756
*Pentacon, Inc........................................ 10,900 30,656
Pep Boys - Manny, Moe & Jack.......................... 59,500 576,406
*Perceptron, Inc...................................... 10,000 43,906
*Perfumania, Inc...................................... 5,200 18,688
*Perini Corp.......................................... 5,800 22,838
*Perrigo Co........................................... 12,400 104,238
*Perry Ellis International, Inc....................... 6,900 78,488
*Per-Se Technologies, Inc............................. 6,600 49,603
*Personnel Group of America, Inc...................... 8,800 68,750
*Petco Animal Supplies, Inc........................... 29,000 402,375
*Petrocorp, Inc....................................... 5,800 35,888
*Petroleum Development Corp........................... 16,700 71,236
*PetSmart, Inc........................................ 33,500 145,516
*Phar-Mor, Inc........................................ 17,000 43,828
*Phelps Dodge Corp.................................... 6,464 336,128
*Philadelphia Consolidated Holding Corp............... 7,300 107,219
*Phillips (R.H.), Inc................................. 2,100 5,873
Phillips-Van Heusen Corp.............................. 36,400 309,400
*Phoenix International, Ltd........................... 8,200 33,313
Phoenix Investment Partners, Ltd...................... 36,500 285,156
*Phoenix Technologies, Ltd............................ 14,800 211,825
*Phycor, Inc.......................................... 300 441
Piccadilly Cafeterias, Inc............................ 11,700 59,231
*Pico Holdings, Inc................................... 12,260 186,582
<CAPTION>
SHARES VALUE+
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*Picturetel Corp...................................... 43,600 $ 215,956
Pier 1 Imports, Inc. DE............................... 27,500 190,781
*Piercing Pagoda, Inc................................. 3,600 47,025
Pilgrim Pride Corp.................................... 15,100 117,025
Pillowtex Corp........................................ 5,200 20,800
*Pioneer Natural Resources Co......................... 113,200 940,975
Pioneer Standard Electronics, Inc..................... 31,600 424,625
Pitt-Des Moines, Inc.................................. 11,700 282,994
Pittston Co. Burlington Group......................... 49,200 467,400
*Planar Systems, Inc.................................. 12,800 83,200
*Plasma-Therm, Inc.................................... 10,200 84,469
*Play By Play Toys and Novelties, Inc................. 8,000 23,625
*Players International, Inc........................... 38,300 298,022
Pocahontas Bancorp, Inc............................... 6,000 38,250
*Polymedica Industries, Inc........................... 7,000 123,813
*Polymer Group, Inc................................... 35,000 658,438
*Pomeroy Computer Resource, Inc....................... 7,300 91,478
Pope & Talbot, Inc.................................... 16,100 192,194
*Praegitzer Industries, Inc........................... 11,500 63,070
Precision Castparts Corp.............................. 7,500 203,906
*Precision Response, Corp............................. 9,500 208,406
*Premiere Technologies, Inc........................... 6,200 47,275
*Premiumwear, Inc..................................... 1,800 9,450
Presidential Life Corp................................ 38,800 686,275
*Price Communications Corp............................ 44,591 1,117,562
*Pride International, Inc............................. 70,800 1,017,750
*Primark Corp......................................... 38,700 1,027,969
*Prime Hospitality Corp............................... 69,000 599,438
*Prime Medical Services, Inc.......................... 19,300 182,747
*Printronix, Inc...................................... 4,300 74,444
*Professionals Group, Inc............................. 400 10,150
*Programmers Paradise, Inc............................ 5,100 34,106
*ProMedCo Management Company.......................... 33,800 70,241
*Protection One, Inc.................................. 189,100 330,925
*Protocol Systems, Inc................................ 10,000 79,063
*Provant, Inc......................................... 3,600 78,975
*Provident Financial Holdings, Inc.................... 5,200 96,525
Pulaski Financial Corp................................ 4,100 44,716
Pulaski Furniture Corp................................ 2,300 38,094
Pulte Corp............................................ 32,400 650,025
*Pure World, Inc...................................... 4,200 11,944
*QEP Co., Inc......................................... 2,000 15,500
*QMS, Inc............................................. 3,761 11,283
*Qad, Inc............................................. 10,100 48,291
*Quaker Fabric Corp................................... 15,400 51,734
*Quality Dining, Inc.................................. 15,100 35,391
Quality Systems, Inc.................................. 5,800 39,150
Quanex Corp........................................... 15,000 317,813
*Quantum Corp.- DLT................................... 3,672 57,834
*Quantum Corp-Hard Disk Drive......................... 1,836 12,623
*Quest Diagnostics, Inc............................... 31,800 967,913
*Quigley Corp......................................... 6,000 12,656
Quipp, Inc............................................ 900 13,725
*Quorum Health Group, Inc............................. 38,500 345,297
*R & B, Inc........................................... 8,200 50,738
*RCM Technologies, Inc................................ 16,700 214,491
*RDO Equipment Co. Class A............................ 6,100 40,031
*RF Monolithics, Inc.................................. 2,100 12,239
RLI Corp.............................................. 10,900 370,600
*RMH Teleservices, Inc................................ 3,400 23,959
RPC, Inc.............................................. 18,600 127,875
*RTI International Metals, Inc........................ 28,200 186,825
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*RTW, Inc............................................. 8,500 $ 44,359
*Racing Champions Corp................................ 5,500 27,328
*Radiance Medical Systems, Inc........................ 11,100 60,356
*Ragen Mackenzie Group, Inc........................... 700 14,219
*Railamerica, Inc..................................... 2,400 19,425
*Railtex, Inc......................................... 13,500 227,813
*RailWorks Corp....................................... 500 5,063
*Rainforest Cafe, Inc................................. 24,300 113,906
#Range Resources Corp................................. 47,900 158,669
Raven Industries, Inc................................. 4,500 65,391
*Raytel Med Corp...................................... 17,400 51,656
*Reading Entertainment, Inc........................... 5,900 34,663
*Read-Rite Corp....................................... 45,400 248,991
*Redhook Ale Brewery, Inc............................. 8,300 20,102
*Reebok International, Ltd............................ 54,200 487,800
*Refac................................................ 4,500 20,813
*Reliability, Inc..................................... 7,100 20,856
Reliance Bancorp, Inc................................. 11,800 464,256
Reliance Group Holdings, Inc.......................... 51,800 207,200
Reliance Steel and Aluminum Co........................ 15,600 380,250
*Remington Oil & Gas Corp............................. 1,200 6,038
*Renaissance Worldwide, Inc........................... 65,000 312,813
*Renex Corp........................................... 15,600 95,063
*Rent-Way, Inc........................................ 12,500 190,625
*#Reptron Electronics, Inc............................ 6,700 46,063
*Republic Bankshares, Inc............................. 10,800 152,213
*Republic First Bancorp, Inc.......................... 5,500 35,406
*Research Partners International, Inc................. 8,800 42,763
*ResortQuest International, Inc....................... 21,000 129,938
Resource America, Inc................................. 23,100 194,184
Resource Bancshares Mortgage Group, Inc............... 12,700 64,294
*Respironics, Inc..................................... 6,000 47,813
*Response Oncology, Inc............................... 6,790 9,548
*Rex Stores Corp...................................... 6,400 238,800
Richardson Electronics, Ltd........................... 9,900 65,897
*Riddell Sports, Inc.................................. 9,000 27,000
Riggs National Corp................................... 27,500 391,016
Riverview Bancorp, Inc................................ 6,100 68,053
*Roadhouse Grill, Inc................................. 10,100 40,084
Roadway Express, Inc.................................. 5,200 103,513
Roanoke Electric Steel Corp........................... 8,800 143,275
Robbins & Myers, Inc.................................. 5,300 106,000
*Robinson Nugent, Inc................................. 3,900 37,294
*Robotic Vision Systems, Inc.......................... 21,000 125,344
*Rochester Medical Corp............................... 300 2,231
*Rock of Ages Co...................................... 9,200 54,913
*Rockshox, Inc........................................ 11,700 8,775
Rock-Tenn Co. Class A................................. 26,300 407,650
*Rocky Shoes & Boots, Inc............................. 5,000 37,656
*Rofin-Sinar Technologies, Inc........................ 10,400 73,450
*Rogue Wave Software, Inc............................. 10,300 81,434
Rollins Truck Leasing Corp............................ 61,700 724,975
*Romac International, Inc............................. 101,900 1,143,191
*Rottlund, Inc........................................ 2,000 5,375
Rouge Industries, Inc. Class A........................ 14,300 108,144
*Rowan Companies, Inc................................. 62,500 1,070,313
*Royal Appliance Manufacturing Co..................... 2,000 11,625
*Rural/Metro Corp..................................... 16,300 94,234
Russ Berrie & Co., Inc................................ 8,100 206,550
Russell Corp.......................................... 40,200 525,113
*Ryans Family Steak Houses, Inc....................... 26,100 256,922
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Ryerson Tull, Inc..................................... 18,900 $ 386,269
Ryland Group, Inc..................................... 21,400 486,850
*S&K Famous Brands, Inc............................... 6,000 45,188
*S3, Inc.............................................. 24,492 206,651
#SCPIE Holdings, Inc.................................. 13,700 476,931
*SED International Holdings, Inc...................... 9,200 18,831
*SEEC, Inc............................................ 6,200 25,381
*SEMX Corp............................................ 5,800 36,975
SJW Corp.............................................. 2,500 301,250
*SMC Corp............................................. 6,500 26,406
*SOS Staffing Services, Inc........................... 11,500 54,625
*SPR, Inc............................................. 4,500 20,813
*SPS Technologies, Inc................................ 1,300 42,575
*SS&C Technologies, Inc............................... 2,000 10,813
*STAR Telecommunications, Inc......................... 14,300 113,059
*STM Wireless, Inc. Class A........................... 8,400 41,213
*Safety 1st, Inc...................................... 5,700 40,434
*Safety Components International, Inc................. 4,500 12,375
*San Filippo (John B.) & Son, Inc..................... 6,500 23,359
Sanderson Farms, Inc.................................. 15,100 140,619
*Santa Fe Snyder Corp................................. 61,400 491,200
Sara Lee Corp......................................... 6,072 147,246
*Saucony, Inc. Class A................................ 2,100 26,250
*Saucony, Inc. Class B................................ 3,000 38,156
*Savoir Technology Group, Inc......................... 11,600 61,988
*Scan-Optics, Inc..................................... 8,800 11,688
*Scheid Vineyards, Inc................................ 3,100 12,594
*Schein (Henry), Inc.................................. 5,900 75,778
*Schieb (Earl), Inc................................... 3,400 12,750
*Schlotzskys, Inc..................................... 14,700 101,522
Schnitzer Steel Industries, Inc.
Class A............................................. 5,100 95,147
*Schuff Steel Company................................. 6,000 23,250
*Schuler Homes, Inc................................... 24,100 155,897
Schulman (A.), Inc.................................... 8,600 136,256
Schweitzer-Maudoit International, Inc................. 8,600 113,950
Scope Industries, Inc................................. 400 22,100
*Seacor Smit, Inc..................................... 16,000 830,000
*Seattle Filmworks, Inc............................... 12,000 38,813
*Segue Software, Inc.................................. 8,000 203,750
*Seibels Bruce Group, Inc............................. 8,700 18,623
*Seitel, Inc.......................................... 28,000 189,000
Selas Corp. of America................................ 6,300 38,981
Selective Insurance Group, Inc........................ 36,500 639,891
*Semitool, Inc........................................ 11,800 134,594
*Sensormatic Electronics Corp......................... 155,800 2,483,063
*Sequa Corp. Class A.................................. 8,900 495,063
*SeraCare, Inc........................................ 1,200 3,825
*Service Experts, Inc................................. 26,000 162,500
*Shaw Group, Inc...................................... 12,700 265,113
*#Sheldahl, Inc....................................... 11,400 46,669
*Shells Seafood Restaurants, Inc...................... 2,200 6,394
*Shiloh Industries, Inc............................... 11,800 102,513
*Shoe Carnival, Inc................................... 3,000 30,563
*Shopko Stores, Inc................................... 9,600 217,800
*Sierra Health Services, Inc.......................... 24,600 230,625
Sifco Industries, Inc................................. 5,100 35,063
*Sight Resource Corp.................................. 7,100 15,309
*Signal Technology Corp............................... 6,700 30,150
*Signature Eyewear, Inc............................... 2,500 7,891
*Silicon Storage Technology, Inc...................... 11,400 301,031
*Silicon Valley Group, Inc............................ 44,700 641,166
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Silverleaf Resorts, Inc.............................. 22,000 $ 160,875
*Simione Central Holdings, Inc........................ 6,800 8,288
*Simon Transportation Services, Inc................... 6,400 36,400
Simpson Industries, Inc............................... 21,800 229,581
*#Simula, Inc......................................... 9,300 52,894
*Sitel Corp........................................... 48,100 285,594
*Sizzler International, Inc........................... 12,900 32,250
Skyline Corp.......................................... 8,900 220,831
Smart & Final Food, Inc............................... 26,000 178,750
Smith (A.O.) Corp..................................... 14,500 319,000
Smith (A.O.) Corp. Convertible
Class A............................................. 5,600 120,400
*Smithway Motor Express Corp.
Class A............................................. 6,700 29,522
*Softech, Inc......................................... 5,900 7,375
*Software Spectrum, Inc............................... 3,700 40,469
*Sola International, Inc.............................. 42,700 608,475
*Sonic Automotive, Inc................................ 7,500 67,500
*Sound Advice, Inc.................................... 900 8,831
South Jersey Industries, Inc.......................... 20,900 612,631
*Southern Energy Homes, Inc........................... 12,500 28,516
*Southwall Technologies, Inc.......................... 7,000 30,516
Southwestern Energy Co................................ 31,200 232,050
Sovereign Bancorp, Inc................................ 33,840 299,801
*Spacehab, Inc........................................ 10,400 51,675
*Spacelabs Medical, Inc............................... 9,700 135,194
Spartan Motors, Inc................................... 15,000 62,813
*Sparton Corp......................................... 9,300 44,175
*Special Metals Corp.................................. 2,500 8,516
*Spectrian Corp....................................... 11,200 304,150
*Spectrum Control, Inc................................ 10,000 107,813
*SpeedFam-IPEC, Inc................................... 25,367 299,648
*Speizman Industries, Inc............................. 2,600 13,325
*Spiegel, Inc. Class A Non-Voting..................... 22,000 175,313
*Splash Technology Holdings, Inc...................... 11,500 81,758
*Sport Chalet, Inc.................................... 2,600 14,991
*Sport Supply Group, Inc.............................. 1,000 6,375
*Sport-Haley, Inc..................................... 3,700 14,569
*Sports Authority, Inc................................ 43,000 91,375
*Sportsman's Guide, Inc............................... 5,100 16,416
Springs Industries, Inc. Class A...................... 11,500 460,000
St. Mary Land & Exploration Co........................ 10,400 220,025
*Staffmark, Inc....................................... 26,300 209,167
*Stage Stores, Inc.................................... 10,100 32,194
Standard Commercial Corp.............................. 15,300 59,288
*Standard Management Corp............................. 8,300 50,059
*Standard Microsystems Corp........................... 18,600 227,269
Standard Motor Products, Inc.
Class A............................................. 6,800 124,525
Standard Pacific Corp. DE............................. 61,300 674,300
*Standard Register Co................................. 17,100 360,169
*Star Buffet, Inc..................................... 2,900 12,144
Starrett (L.S.) Co. Class A........................... 6,700 159,544
*#Starter Corp........................................ 15,000 1,350
State Auto Financial Corp............................. 16,400 158,363
State Financial Services Corp.
Class A............................................. 6,000 94,875
Staten Island Bancorp, Inc............................ 22,800 446,025
Steel Technologies, Inc............................... 13,700 153,697
Stepan Co............................................. 8,100 191,869
Stephan Co............................................ 4,000 16,000
*Sterling Financial Corp. WA.......................... 8,300 105,306
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Stewart & Stevenson Services, Inc..................... 29,400 $ 350,963
Stewart Enterprises, Inc.............................. 67,700 345,905
Stewart Information Services Corp..................... 14,700 198,450
Stifel Financial Corp................................. 7,510 77,916
Stone & Webster, Inc.................................. 14,000 229,250
*Strategic Distribution, Inc.......................... 37,500 59,766
*Stratus Properties, Inc.............................. 12,800 52,400
Stride Rite Corp...................................... 25,311 161,358
*Suburban Lodges of America, Inc...................... 18,300 105,797
*Success Bancshares, Inc.............................. 2,400 28,200
*Successories, Inc.................................... 10,100 27,144
*Summit Design, Inc................................... 33,000 101,063
*#Sun Healthcare Group, Inc........................... 10,000 475
*#Sunbeam Corp........................................ 151,400 747,538
*Sunburst Hospi....................................... 8,200 42,538
*#Sunrise Assisted Living, Inc........................ 8,600 113,144
*Sunrise Medical, Inc................................. 20,900 125,400
*Sunrise Resources, Inc............................... 8,000 40,875
*Sunterra Corp........................................ 28,400 305,300
*Superior National Insurance Group, Inc............... 1,000 3,031
Superior Surgical Manufacturing Co., Inc.............. 7,700 75,075
*Suprema Specialties, Inc............................. 4,000 35,125
*Surety Capital Corp.................................. 3,700 2,775
*Swift Energy Corp.................................... 15,800 175,775
*Swiss Army Brands, Inc............................... 9,400 76,963
*Sybron Chemicals, Inc................................ 2,200 29,975
*Sylvan Learning Systems, Inc......................... 7,900 104,675
*Sylvan, Inc.......................................... 7,200 67,050
*Symmetricom, Inc..................................... 17,200 127,925
*Symons International Group, Inc...................... 9,900 13,458
*Symphonix Devices, Inc............................... 2,300 7,152
*Syms Corp............................................ 18,400 111,550
Synalloy Corp. DE..................................... 6,700 48,156
*Synaptic Pharmaceutical Corp......................... 9,600 43,800
*Synbiotics Corp...................................... 9,200 20,844
*Synthetic Industries, Inc............................ 7,000 228,156
*Systemax, Inc........................................ 4,000 38,750
*T&W Financial Corp................................... 4,000 12,688
*TBA Entertainment Corp............................... 4,600 19,263
*TBC Corp............................................. 25,400 150,019
TCBY Enterprises, Inc................................. 27,200 108,800
*TCSI Corp............................................ 21,400 40,125
*TEAM America Corp.................................... 500 3,188
TF Financial Corp..................................... 1,100 15,159
*TII Industries, Inc.................................. 7,700 9,745
*TMP Worldwide, Inc................................... 977 92,601
*TRC Companies, Inc................................... 7,600 59,850
*TRM Copy Centers Corp................................ 7,700 43,794
Tab Products Co. DE................................... 6,100 46,513
*Tandy Brand Accessories, Inc......................... 6,200 80,794
Tandy Corp............................................ 484 37,087
*Tandy Crafts, Inc.................................... 14,600 48,363
*Team, Inc............................................ 4,800 10,800
*Tech Data Corp....................................... 10,600 260,363
*Tech-Sym Corp........................................ 7,700 145,338
*Tecumseh Products Co. Class A........................ 11,400 547,556
Tecumseh Products Co. Class B......................... 1,000 43,563
*Tegal Corp........................................... 18,700 60,483
Tektronix, Inc........................................ 9,700 329,800
*Telcom Semiconductor, Inc............................ 8,500 91,906
</TABLE>
22
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Telescape International, Inc......................... 300 $ 2,831
Telxon Corp........................................... 17,500 276,172
*Template Software, Inc............................... 2,000 19,000
Terra Industries, Inc................................. 12,500 25,781
*Tesoro Petroleum Corp................................ 42,800 513,600
*Tesseract Group, Inc................................. 10,400 19,500
*Tetra Technologies, Inc.............................. 16,200 125,550
Texas Industries, Inc................................. 24,300 880,875
The Dexter Corp....................................... 4,000 144,500
*Thermedics, Inc...................................... 31,400 178,588
*Thermo Bioanalysis Corp.............................. 11,100 195,638
*Thermo Ecotek Corp................................... 1,000 7,375
*Thermo Optek Corp.................................... 4,450 44,778
*Thermo Sentron, Inc.................................. 9,100 134,794
*Thermo Terratech, Inc................................ 7,800 52,650
Thermoretec Corp...................................... 5,200 34,450
*Thermospectra Corp................................... 1,900 30,281
*Thermotrex Corp...................................... 15,700 127,563
Thomas Industries, Inc................................ 1,300 20,963
*Thomaston Mills, Inc................................. 1,900 2,434
*Thorn Apple Valley, Inc.............................. 6,000 660
*Tier Technologies, Inc. Class B...................... 8,000 57,750
Timberland Bancorp, Inc............................... 5,800 68,331
*Titan Exploration, Inc............................... 18,100 64,481
Titan International, Inc.............................. 22,000 145,750
#Titanium Metals Corp................................. 40,800 221,850
*Today's Man, Inc..................................... 4,900 3,675
*Todd Shipyards Corp.................................. 10,100 88,375
*Toll Brothers, Inc................................... 29,500 527,313
Toro Co............................................... 3,600 116,775
*Total Entertainment Restaurant Corp.................. 1,000 1,703
*Total Renal Care Holdings, Inc....................... 53,900 384,038
*Tower Air, Inc....................................... 18,400 27,313
*Tower Automotive, Inc................................ 14,900 223,500
*Tractor Supply Co.................................... 7,500 127,500
*Trailer Bridge, Inc.................................. 6,000 10,875
*Transact Technologies, Inc........................... 5,500 40,563
*Transcoastal Marine Services, Inc.................... 11,200 36,225
*Transfinancial Holdings, Inc......................... 4,700 24,969
*Transmation, Inc..................................... 7,000 14,219
*Transmedia Network, Inc.............................. 11,100 27,750
*Transportation Components, Inc....................... 30,000 82,500
*Transportation Technologies Industries, Inc.......... 10,000 134,063
Transpro, Inc......................................... 5,000 33,125
Transtechnology Corp.................................. 8,400 73,500
*Transworld Healthcare, Inc........................... 17,100 37,406
*Travel Services International, Inc................... 9,900 99,309
Tremont Corp. DE...................................... 6,000 95,625
*Trend-Lines, Inc. Class A............................ 7,100 10,428
Trenwick Group, Inc................................... 13,030 264,672
*Trex Medical Corp.................................... 32,200 88,550
*Triad Hospitals, Inc................................. 1,500 18,516
*Trico Marine Services, Inc........................... 27,400 204,644
*Trident Microsystems, Inc............................ 14,100 147,609
Trigen Energy Corp.................................... 9,800 159,863
*Triple S Plastics, Inc............................... 3,000 34,875
*Tripos, Inc.......................................... 2,500 24,883
*Triumph Group........................................ 10,700 260,144
*Trump Hotels & Casino Resorts, Inc................... 26,600 103,075
*Tuboscope Vetco International, Inc................... 40,700 579,975
Twin Disc, Inc........................................ 3,700 51,569
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Tyco International, Ltd............................... 2,550 $ 102,159
*Tyler Technologies, Inc.............................. 6,800 28,050
U.S. Bancorp, Inc..................................... 1,300 16,331
*U.S. Home & Garden, Inc.............................. 3,700 8,730
*U.S. Office Products, Co............................. 37,400 137,913
*U.S. Vision, Inc..................................... 3,100 7,847
UMB Financial Corp.................................... 8,700 353,438
*US Liquids, Inc...................................... 200 1,588
*US Oncology, Inc..................................... 78,372 373,492
*US Xpress Enterprises, Inc. Class A.................. 12,700 91,678
*USA Floral Products, Inc............................. 16,000 45,500
*USA Truck, Inc....................................... 4,000 34,625
*UTI Energy Corp...................................... 14,400 291,600
*Ubics, Inc........................................... 4,000 10,375
*Ugly Duckling Corp................................... 15,500 115,281
*Ultimate Electronics, Inc............................ 5,100 119,372
*Ultrak, Inc.......................................... 14,300 67,031
*Ultralife Batteries, Inc............................. 10,900 66,081
*Ultratech Stepper, Inc............................... 14,600 276,031
*#Unapix Entertainment, Inc........................... 6,800 12,750
*Unicapital Corp...................................... 35,800 80,550
Unico American Corp................................... 6,800 46,750
*Unifi, Inc........................................... 46,300 613,475
Unifirst Corp......................................... 10,200 154,913
*Unimark Group, Inc................................... 10,200 13,069
*Uni-Marts, Inc....................................... 8,200 7,175
*Union Acceptance Corp. Class A....................... 3,700 27,172
*Unit Corp............................................ 28,500 163,875
*United Auto Group, Inc............................... 2,800 25,200
United Community Financial Corp....................... 1,300 13,975
United Industrial Corp................................ 14,700 127,706
*United Natural Foods, Inc............................ 14,000 118,125
*United Retail Group, Inc............................. 12,700 117,277
*United Road Services, Inc............................ 5,400 10,209
*United States Energy Corp............................ 8,500 32,938
*United States Home Corp.............................. 18,000 463,500
United Wisconsin Services, Inc........................ 15,000 80,625
*Universal American Financial Corp.................... 9,200 39,100
Universal Forest Products, Inc........................ 500 7,734
*Universal Stainless & Alloy Products, Inc............ 6,600 24,853
*Uno Restaurant Corp.................................. 8,200 90,200
*Unova, Inc........................................... 81,000 1,063,125
*Urocor, Inc.......................................... 13,500 45,773
*Urologix, Inc........................................ 14,900 75,897
*Utilx Corp........................................... 6,900 30,188
*V.I. Technologies, Inc............................... 2,400 14,475
*VTEL Corp............................................ 27,500 98,828
*Vail Resorts, Inc.................................... 2,000 34,375
Valero Energy Corp.................................... 90,000 1,867,500
*Vallen Corp.......................................... 11,000 272,594
*Value City Department Stores, Inc.................... 29,600 493,950
*Valuevision International, Inc. Class A.............. 15,900 715,003
*Vans, Inc............................................ 12,100 145,200
*#Vari L Co., Inc..................................... 6,500 130,203
*Varian Medical Systems, Inc.......................... 12,000 313,500
*Variflex, Inc........................................ 4,800 30,000
*Venator Group, Inc................................... 105,700 726,688
*Verilink Corp........................................ 13,800 45,497
*Veritas DGC, Inc..................................... 31,600 460,175
*Vertex Communications Corp........................... 8,100 172,125
Vesta Insurance Group, Inc............................ 20,500 80,719
</TABLE>
23
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Vestcom Int'l, Inc................................... 10,600 $ 37,100
*Veterinary Centers of America, Inc................... 35,000 392,656
*Viasoft, Inc......................................... 16,900 104,305
*Vicon Industries, Inc................................ 4,500 26,438
*Vicorp Restaurants, Inc.............................. 9,700 170,356
*Video Display Corp................................... 3,700 14,800
Vintage Petroleum, Inc................................ 65,800 703,238
*Vishay Intertechnology, Inc.......................... 49,625 1,436,023
*Vision Twenty-One, Inc............................... 4,300 18,275
*VisionAmerica, Inc................................... 8,400 24,675
*Vivid Technologies, Inc.............................. 10,800 63,956
*Volt Information Sciences, Inc....................... 26,000 580,125
Vulcan International Corp............................. 400 12,400
*Vysis, Inc........................................... 2,000 6,406
WFS Financial, Inc.................................... 20,400 454,538
*#WHX Corp............................................ 16,500 146,438
*WLR Foods, Inc....................................... 17,100 97,256
*WPI Group, Inc....................................... 7,200 19,575
Wabash National Corp.................................. 23,300 342,219
Wackenhut Corp. Class A............................... 3,800 53,913
Wackenhut Corp. Class B Non-Voting.................... 3,600 36,450
*Walker Interactive Systems, Inc...................... 17,400 101,681
*Warrantech Corp...................................... 21,500 21,500
*Washington Homes, Inc................................ 9,400 49,938
Washington Savings Bank FSB Waldorf, MD............... 1,600 5,400
*Waterlink, Inc....................................... 16,000 50,000
Watkins-Johnson Co.................................... 6,700 260,044
Watsco, Inc. Class A.................................. 24,000 261,000
Watts Industries, Inc. Class A........................ 23,200 323,350
*Webb (Del) Corp...................................... 19,200 439,200
*Webco Industries, Inc................................ 2,800 9,100
*Weider Nutrition International, Inc.................. 5,000 16,875
*Weirton Steel Corp................................... 32,000 102,000
Wellman, Inc.......................................... 35,100 559,406
Werner Enterprises, Inc............................... 11,200 168,000
*West Marine, Inc..................................... 15,500 132,234
Westcorp, Inc......................................... 30,200 443,563
Westerfed Financial Corp.............................. 5,400 89,100
Western Ohio Financial Corp........................... 1,600 28,550
*Western Water Co..................................... 3,600 4,838
*Weston (Roy F.), Inc. Class A........................ 6,900 15,309
*Wet Seal, Inc. Class A............................... 3,500 47,578
*Williams Clayton Energy, Inc......................... 8,300 122,944
*Willis Lease Finance Corp............................ 8,000 52,500
*Wilshire Oil Co. of Texas............................ 11,000 42,625
*Windmere Corp........................................ 34,400 492,350
*Wisconsin Central Transportation Corp................ 20,600 289,044
Wiser Oil Co.......................................... 10,200 28,688
Wolohan Lumber Co..................................... 5,600 68,425
*Wolverine Tube, Inc.................................. 16,800 255,150
Wolverine World Wide, Inc............................. 6,500 71,094
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Woodward Governor Co.................................. 11,800 $ 318,231
*Workgroup Technology Corp............................ 8,000 8,750
World Fuel Services Corp.............................. 12,700 101,600
*Worldtex, Inc........................................ 17,100 20,306
XL Capital, Ltd....................................... 12,901 657,951
*Xetel Corp........................................... 8,800 16,363
*Xtra Corp............................................ 17,900 716,000
Yankee Energy Systems, Inc............................ 11,480 490,053
Yardville National Bancorp............................ 3,800 45,600
*Yellow Corp.......................................... 32,100 541,688
York Financial Corp................................... 11,025 139,880
York Group, Inc....................................... 8,500 36,258
*York International Corp.............................. 8,800 196,350
*York Research Corp................................... 5,900 21,756
Zap.com Corp.......................................... 380 855
*Zapata Corp.......................................... 21,000 114,188
*Zaring National Corp................................. 1,800 8,213
*Zemex Corp........................................... 10,200 82,875
Zenith National Insurance Corp........................ 20,100 417,075
*Zing Technologies, Inc............................... 2,000 17,000
*#Zoltek Companies, Inc............................... 17,000 197,094
*Zygo Corp............................................ 8,100 156,431
*Zymetx, Inc.......................................... 1,600 3,375
------------
TOTAL COMMON STOCKS
(Cost $246,756,197).................................. 260,743,006
------------
RIGHTS/WARRANTS -- (0.0%)
*Franklin Covey Co. Rights 11/30/99................... 6,000 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 4,600 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (3.7%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $10,061,400) to be
repurchased at $9,908,459.
(Cost $9,907,000)................................... $ 9,907 9,907,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $256,663,197)++................................ $270,650,006
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $256,831,002.
</TABLE>
See accompanying Notes to Financial Statements.
24
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 VALUE PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. 6-10 Value Series of The DFA
Investment Trust Company.................................. 152,815,850 $2,622,319,986
--------------
Total Investments (100%) (Cost $2,271,454,636)++........ $2,622,319,986
==============
</TABLE>
- --------------
++The cost for federal income tax purposes is $2,333,052,267.
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA
Investment Trust Company.................................. 32,580,504 $ 398,785,369
--------------
Total Investments (100%) (Cost $315,819,081)++.......... $ 398,785,369
==============
</TABLE>
- --------------
++The cost for federal income tax purposes is $328,167,521.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
25
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (92.4%)
*1-800 CONTACTS, Inc.................................. 600 $ 15,900
*3-D Systems Corp..................................... 900 6,961
*3DO Co............................................... 4,000 38,437
*3Dfx Interactive, Inc................................ 2,900 25,737
*4Front Software International, Inc................... 1,300 27,787
*800-Jr Cigar, Inc.................................... 1,300 10,887
*#8X8, Inc............................................ 1,900 8,253
*A.C. Moore Arts & Crafts, Inc........................ 1,000 4,937
*AAON, Inc............................................ 600 7,500
AAR Corp.............................................. 4,100 67,650
ABC Bancorp........................................... 700 9,231
*ABC Rail Products Corp............................... 2,800 31,150
ABM Industries, Inc................................... 2,700 58,050
*ACSYS, Inc........................................... 1,300 2,437
*ACT Manufacturing, Inc............................... 1,450 44,270
*ACT Networks, Inc.................................... 600 4,875
*ACX Technologies, Inc................................ 3,400 31,450
*ADE Corp............................................. 1,300 23,278
*AEP Industries, Inc.................................. 1,100 32,450
*AG Services America, Inc............................. 500 7,344
*AHL Services, Inc.................................... 2,600 47,694
AK Steel Holding Corp................................. 3,024 50,085
*#AMBI, Inc........................................... 4,600 11,356
*AMC Entertainment, Inc............................... 2,900 29,362
*AMF Bowling, Inc..................................... 500 1,594
*AML Communications, Inc.............................. 1,000 4,406
*APAC Teleservices, Inc............................... 5,700 33,309
*ARI Network Services, Inc............................ 500 2,703
*ARIS Corp............................................ 1,100 9,006
*#ASV, Inc............................................ 1,000 14,562
*ATG, Inc............................................. 1,400 6,737
*ATMI, Inc............................................ 2,200 66,894
*ATS Medical, Inc..................................... 1,800 17,156
*AVT Corporation...................................... 1,300 52,203
*Aames Financial Corp................................. 1,200 1,275
*Aavid Thermal Technologies, Inc...................... 1,100 25,403
*Abaxis, Inc.......................................... 2,100 9,844
*Abgenix, Inc......................................... 500 25,594
*Abiomed, Inc......................................... 600 18,450
*#Able Telcom Holding Corp............................ 1,800 18,337
*Acacia Research Corp................................. 1,600 34,400
*Accel International Corp............................. 500 523
*Acceptance Insurance Companies, Inc.................. 1,200 7,650
*Access Worldwide Communications, Inc................. 800 1,250
*Acclaim Entertainment, Inc........................... 8,200 52,916
*Ace Cash Express, Inc................................ 1,500 24,656
*Ace Comm Corp........................................ 1,100 10,897
Aceto Corp............................................ 400 4,525
Ackerley Group, Inc................................... 2,600 42,575
*Acme Electric Corp................................... 500 3,328
*Acorn Products, Inc.................................. 400 825
*Actel Corp........................................... 3,300 77,241
*#Action Performance Companies, Inc................... 2,500 42,266
*Active Voice Corp.................................... 300 8,100
*Activision, Inc...................................... 2,200 33,069
*#Actrade International, Ltd.......................... 1,300 23,034
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Actuate Corp......................................... 2,100 $ 126,722
*Acuson Corp.......................................... 4,000 46,250
*Adac Laboratories.................................... 2,300 27,241
*adam.com, Inc........................................ 300 5,006
*Adaptive Broadband Corp.............................. 1,500 59,812
*Adept Technology, Inc................................ 600 3,844
*Administaff, Inc..................................... 1,400 23,450
*Advance Lighting Technologies, Inc................... 3,000 16,594
*Advance Paradigm, Inc................................ 700 27,781
*Advanced Communications Group, Inc................... 3,000 23,812
*Advanced Communications Systems, Inc................. 900 13,697
*Advanced Digital Information Corp.................... 2,000 89,250
*Advanced Energy Industries, Inc...................... 1,700 57,216
*Advanced Fibre Communications........................ 4,600 127,650
*Advanced Magnetics, Inc.............................. 400 1,425
Advanced Marketing Services, Inc...................... 1,300 26,528
*Advanced Neuromodulation Systems, Inc................ 500 3,734
*Advanced Polymer Systems, Inc........................ 2,000 7,187
*Advanced Radio Telecom Corp.......................... 3,300 45,581
*Advanced Technical Products, Inc..................... 100 1,331
*#Advanced Tissue Sciences, Inc....................... 5,800 18,397
#Advanta Corp. Class A................................ 700 12,206
Advanta Corp. Class B Non-Voting...................... 1,500 19,312
*#Advantage Learning Systems, Inc..................... 5,100 125,906
*Advantica Restaurant Group, Inc...................... 4,300 7,458
*Advent Software, Inc................................. 750 41,812
Advest Group, Inc..................................... 1,300 23,319
*Advo, Inc............................................ 3,200 65,800
*Aehr Test Systems.................................... 700 3,478
*Aerial Communications, Inc........................... 3,200 131,900
*Aeroflex, Inc........................................ 1,800 14,850
*Aerosonic Corp. DE................................... 500 5,687
*Aerovox, Inc......................................... 600 1,650
*Aetrium, Inc......................................... 600 3,206
*Affiliated Managers Group, Inc....................... 3,500 104,125
*Affymetrix, Inc...................................... 1,500 146,344
*Aftermarket Technology Corp.......................... 2,000 17,250
*Ag-Chem Equipment Co., Inc........................... 600 7,537
Agco Corp............................................. 6,000 76,125
*Agribiotech, Inc..................................... 3,800 12,231
*Agribrands International, Inc........................ 500 23,531
*Aht Corp............................................. 700 3,128
Air Express International Corp........................ 2,200 70,950
*Air Methods Corp..................................... 800 2,875
*Airgas, Inc.......................................... 4,600 44,850
*Airnet Systems, Inc.................................. 1,700 9,137
*Airtran Holdings, Inc................................ 8,100 37,083
*Akorn, Inc........................................... 2,000 9,187
*Aksys, Ltd........................................... 1,500 7,312
Alabama National Bancorporation....................... 700 15,837
Alamo Group, Inc...................................... 1,000 10,000
*Alaris Medical, Inc.................................. 8,900 17,800
*Albany International Corp. Class A................... 3,400 57,375
*Aldila, Inc.......................................... 600 797
*Alexion Pharmaceuticals, Inc......................... 1,700 29,697
Alfa Corp............................................. 3,500 61,469
</TABLE>
26
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Algos Pharmaceutical Corp............................ 1,900 $ 22,919
Alico, Inc............................................ 500 8,062
*Align-Rite International, Inc........................ 200 3,794
*Alkermes, Inc........................................ 2,500 106,406
*Allen Telecom, Inc................................... 3,300 30,937
Alliance Bancorp...................................... 1,700 33,787
*Alliance Gaming Corp................................. 600 1,987
*Alliance Pharmaceuticals Corp........................ 6,500 29,047
*Alliance Semiconductor Corp.......................... 6,200 89,512
*Allied Healthcare Products, Inc...................... 800 2,325
*Allied Holdings, Inc................................. 800 5,600
Allied Products Corp.................................. 1,200 4,350
*Allied Research Corp................................. 500 3,187
*Allin Communications Corp............................ 600 3,000
*Allou Health & Beauty Care, Inc. Class A............. 500 3,656
*Alltrista Corp....................................... 700 15,050
*Alpha Industries, Inc................................ 1,050 63,558
*Alpha Microsystems, Inc.............................. 1,700 7,358
*Alpha Technologies Group, Inc........................ 700 4,353
*Alphanet Solutions, Inc.............................. 900 4,219
Alpharma, Inc. Class A................................ 2,700 86,400
*Alpine Group, Inc.................................... 2,200 27,775
*Alternative Resources Corp........................... 2,400 12,675
*Alterra Healthcare Corp.............................. 1,800 13,612
*Alyn Corp............................................ 700 1,630
*Alysis Technologies, Inc............................. 600 2,944
Ambanc Holding Co., Inc............................... 300 4,753
*Ambassadors, Inc..................................... 900 10,997
Amcast Industrial Corp................................ 1,400 19,600
Amcol International Corp.............................. 4,000 71,000
Amcore Financial, Inc................................. 4,200 105,787
*Amerco, Inc.......................................... 1,200 31,425
*America Services Group, Inc.......................... 200 2,812
*America West Holdings Corp. Class B.................. 3,800 76,712
*American Aircarriers Support, Inc.................... 700 5,523
American Bank of Connecticut.......................... 500 12,062
American Business Products, Inc....................... 1,500 16,031
*American Classic Voyages Co.......................... 2,800 82,250
*American Coin Merchandising, Inc..................... 600 1,556
*American Freightways Corp............................ 4,800 82,950
*American Healthcorp, Inc............................. 1,300 6,419
*American Homestar Corp............................... 1,800 7,397
*American Italian Pasta Co............................ 1,800 54,112
*American Medical Security Group, Inc................. 1,700 9,987
*American Mobile Satellite Corp....................... 4,800 75,750
*American Pacific Corp................................ 500 3,672
*American Precision Industries, Inc................... 500 5,437
*#American Retirement Corp............................ 2,600 22,425
*American Science & Engineering, Inc.................. 500 4,250
*American Shared Hospital Services.................... 600 2,625
*American Skiing Co................................... 1,600 6,400
*American Software, Inc. Class A...................... 1,800 8,916
American States Water Company......................... 600 22,762
*American Superconductor Corp......................... 2,300 43,700
*American Wagering, Inc............................... 500 2,687
American Woodmark Corp................................ 1,200 24,787
*#American Xtal Technology, Inc....................... 1,900 30,103
*Amerihost Properties, Inc............................ 300 1,008
*Ameripath, Inc....................................... 1,900 15,527
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Amerus Life Holdings, Inc. Class A.................... 3,900 $ 91,894
*Ames Department Stores, Inc.......................... 1,500 39,797
Ametek, Inc........................................... 3,300 66,000
*Ampex Corp. Class A.................................. 5,800 26,462
*Amphenol Corp........................................ 1,200 81,975
Amplicon, Inc......................................... 1,200 12,675
*Amrep Corp........................................... 700 3,325
*Amresco, Inc......................................... 1,000 2,016
*Amtran, Inc.......................................... 1,200 23,400
Amwest Insurance Group, Inc........................... 200 1,400
*Anacomp, Inc......................................... 1,400 25,156
*Anadigics, Inc....................................... 2,200 98,725
Analogic Corp......................................... 1,900 56,703
*Analogy, Inc......................................... 600 1,125
Analysts International Corp........................... 3,400 40,269
*#Analytical Surveys, Inc............................. 1,000 14,000
*Anaren Microwave, Inc................................ 600 26,137
Anchor Bancorp Wisconsin, Inc......................... 2,500 39,922
Andersons, Inc........................................ 700 6,103
Andover Bancorp, Inc. DE.............................. 1,000 30,031
*Andrea Electronics Corp.............................. 2,000 15,625
*#Anesta Corp......................................... 1,300 19,094
*Angeion Corp......................................... 600 1,294
*Anicom, Inc.......................................... 2,500 11,602
*Anika Therapeutics, Inc.............................. 600 3,731
*Anixter International, Inc........................... 2,700 55,012
*Ansoft Corp.......................................... 1,800 13,219
*AnswerThink Consulting Group, Inc.................... 5,200 134,712
*Ansys, Inc........................................... 2,500 23,008
*Antec Corp........................................... 2,300 128,800
*Anthony and Sylvan Pools Corp........................ 325 2,204
*Apex, Inc............................................ 3,100 72,656
*Aphton Corp.......................................... 1,600 22,600
Apogee Enterprises, Inc............................... 3,300 19,800
*Apple Orthodontix, Inc............................... 700 350
Applebees International, Inc.......................... 1,200 36,112
*Applied Analytical Industries, Inc................... 1,900 16,150
*Applied Digital Solutions, Inc....................... 4,000 25,125
*Applied Extrusion Technologies, Inc.................. 700 4,484
*Applied Graphics Technologies, Inc................... 2,200 20,762
Applied Industrial Technologies, Inc.................. 2,200 37,675
*Applied Innovation, Inc.............................. 1,600 9,575
*Applied Microsystems Corp............................ 700 5,906
*Applied Science & Technology, Inc.................... 1,100 25,816
Applied Signal Technologies, Inc...................... 600 8,175
*Applix, Inc.......................................... 1,100 19,491
*Apria Healthcare Group, Inc.......................... 2,200 30,662
*Aquila Biopharmaceuticals, Inc....................... 500 719
*Aradigm Corp......................................... 1,300 8,734
*Arcadia Financial, Ltd............................... 3,900 17,550
*Arch Chemicals, Inc.................................. 2,300 35,937
Arch Coal, Inc........................................ 4,600 44,850
*Arch Communications Group, Inc....................... 7,200 45,787
Arctic Cat, Inc....................................... 2,100 21,394
*Ardent Software, Inc................................. 1,878 49,239
Area Bancshares Corp.................................. 1,700 43,244
Argonaut Group, Inc................................... 2,900 67,062
*Argosy Gaming Corp................................... 4,200 59,325
*Arguss Holdings, Inc................................. 1,200 16,462
*#Ariel Corp.......................................... 1,500 18,609
*Ark Restaurants Corp................................. 200 1,950
*Arkansas Best Corp................................... 2,000 25,062
</TABLE>
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<TABLE>
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Arm Financial Group, Inc. Class A..................... 2,000 $ 122
*Armor Holdings, Inc.................................. 2,900 34,256
Arnold Industries, Inc................................ 3,000 37,969
*Aronex Pharmaceuticals, Inc.......................... 2,700 8,859
*Arqule, Inc.......................................... 1,300 7,962
Arrow Financial Corp.................................. 375 7,535
Arrow International, Inc.............................. 2,300 68,856
*Artesyn Technologies, Inc............................ 3,700 80,591
*Arthrocare Corp...................................... 600 36,394
*Artisan Components, Inc.............................. 1,300 16,859
*Artisoft, Inc........................................ 1,500 20,297
*Asahi/America, Inc................................... 200 1,881
*Ascent Entertainment Group, Inc...................... 3,000 36,281
*Ascent Pediatrics, Inc............................... 500 773
*#Asche Transportation Services, Inc.................. 300 937
*Ashworth, Inc........................................ 1,700 7,836
*Aspect Development, Inc.............................. 3,100 147,250
*Aspect Telecommunications Corp....................... 4,900 162,006
*Aspen Technology, Inc................................ 3,000 56,437
*Assisted Living Concepts, Inc........................ 1,000 1,562
*Associated Materials, Inc............................ 700 10,478
*Astea International, Inc............................. 1,000 3,812
*Astec Industries, Inc................................ 1,900 47,916
Astro-Med, Inc........................................ 500 3,094
*Astronics Corp....................................... 300 2,869
*AstroPower, Inc...................................... 900 11,334
*Asyst Technologies, Inc.............................. 1,200 48,075
*At Home Corp......................................... 828 40,236
*Atlantic American Corp............................... 2,500 7,109
*Atlantic Coast Airlines, Inc......................... 2,800 57,925
*Atlantic Data Services, Inc.......................... 1,900 6,828
*Atrix Labs, Inc...................................... 700 4,112
*Atwood Oceanics, Inc................................. 1,400 47,075
*Audiovox Corp. Class A............................... 1,500 44,625
*Ault, Inc............................................ 300 2,306
*Aurora Biosciences Corp.............................. 2,600 30,794
*Aurora Foods, Inc.................................... 4,000 36,000
*Auspex Systems, Inc.................................. 3,300 40,734
Authentic Fitness Corp................................ 2,300 47,581
Autocam Corp.......................................... 400 6,812
*Autote Corp. Class A................................. 2,700 6,750
Avado Brands, Inc..................................... 3,400 16,469
*Avant Corp........................................... 3,500 54,797
*Avant Immunotherapeutics, Inc........................ 1,900 4,661
*Avi Biopharma, Inc................................... 1,300 8,816
*Aviall, Inc.......................................... 1,800 13,725
*#Aviation Sales Co................................... 1,800 25,425
*Avid Technology, Inc................................. 2,500 27,891
*#Avigen, Inc......................................... 1,000 29,812
*#Aviron.............................................. 1,600 25,650
*Avis Rent A Car, Inc................................. 3,700 70,762
*Avnet, Inc........................................... 67 3,681
*Avteam, Inc. Class A................................. 1,100 4,967
*Aware, Inc........................................... 2,200 83,462
*Axent Technologies, Inc.............................. 3,400 74,800
*Axys Pharmaceuticals, Inc............................ 3,700 15,147
*Aztar Corp........................................... 5,300 56,644
Aztec Manufacturing Co................................ 600 5,700
B B & T Corp.......................................... 1,218 39,128
BEI Technologies, Inc................................. 500 6,375
BHA Group Holdings, Inc. Class A...................... 500 4,531
*BI, Inc.............................................. 500 3,719
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
BMC Industries, Inc................................... 3,300 $ 17,944
*BOK Financial Corp................................... 1,442 30,597
BSB Bancorp, Inc...................................... 900 18,731
BT Financial Corp..................................... 1,300 28,559
*BTG, Inc............................................. 500 3,344
*BTU International, Inc............................... 700 3,806
*BWAY Corp............................................ 900 5,175
*Bacou USA, Inc....................................... 1,800 28,800
Bairnco Corp.......................................... 500 3,656
Baker (J.), Inc....................................... 1,400 7,306
*Baker (Michael) Corp................................. 700 4,550
*Balance Bar Co....................................... 1,000 11,062
Balchem Corp.......................................... 500 4,312
Baldor Electric Co.................................... 3,900 76,294
Baldwin & Lyons, Inc. Class B......................... 1,100 22,756
*Baldwin Technology, Inc. Class A..................... 1,500 3,656
*Ballantyne Omaha, Inc................................ 1,545 8,304
*#Bally Total Fitness Holding Corp.................... 2,800 63,700
Bancfirst Ohio Corp................................... 500 12,094
Bancwest Corp......................................... 164 7,226
Bandag, Inc........................................... 700 16,975
Bandag, Inc. Class A.................................. 1,300 27,137
Bangor Hydro-Electric Co.............................. 500 8,031
Bank of Granite Corp.................................. 1,100 24,819
*Bank Plus Corp....................................... 1,900 5,819
*Bank United Financial Corp. Class A.................. 2,200 19,216
BankAtlantic Bancorp, Inc. Class A.................... 150 684
BankAtlantic Bancorp, Inc. Class B.................... 1,000 5,594
*BankFirst Corp....................................... 1,100 10,312
BankNorth Group, Inc. DE.............................. 1,500 45,562
Banta Corp............................................ 2,900 63,619
*Banyan System, Inc................................... 2,900 41,778
Barnes Group, Inc..................................... 2,000 32,500
*Barnett, Inc......................................... 1,600 14,125
*Barra, Inc........................................... 1,400 40,819
*Barrett Business Services, Inc....................... 500 3,250
*Barringer Technologies, Inc.......................... 500 3,234
*Barry (R.G.) Corp.................................... 1,100 4,744
*Basin Exploration, Inc............................... 2,200 38,844
Bassett Furniture Industries, Inc..................... 1,300 20,637
*Battle Mountain Gold Co.............................. 10,600 26,500
Bay View Capital Corp................................. 3,096 51,858
*Baycorp Holdings, Ltd................................ 700 5,600
*Bayou Steel Corp. Class A............................ 1,300 4,062
*Be Aerospace, Inc.................................... 3,000 21,094
Beauticontrol Cosmetics, Inc.......................... 300 937
*Beazer Homes USA, Inc................................ 600 11,362
*#Bebe Stores, Inc.................................... 2,400 74,250
*Belco Oil & Gas Corp................................. 3,200 19,800
Belden, Inc........................................... 2,500 50,000
Bell Industries, Inc.................................. 1,200 5,925
*Bell Microproducts, Inc.............................. 600 4,425
*Bellwether Exploration Co............................ 1,400 6,956
*Ben & Jerry's Homemade, Inc. Class A................. 300 5,437
*Bentley Pharmaceuticals, Inc......................... 800 3,400
*Benton Oil & Gas Co.................................. 2,700 5,400
Berkley (W.R.) Corp................................... 2,600 55,737
Berry Petroleum Corp. Class A......................... 2,100 29,137
*Best Software, Inc................................... 1,200 31,162
*Beverly Enterprises.................................. 12,300 49,200
*#Beyond.com Corp..................................... 4,300 44,209
</TABLE>
28
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Big Flower Holdings, Inc............................. 2,000 $ 62,375
*Billing Information Concepts Corp.................... 4,500 24,820
Bindley Western Industries, Inc....................... 3,066 40,624
*BindView Development Corp............................ 2,300 68,425
*Bio Technology General Corp.......................... 6,300 75,797
*Bio Vascular, Inc.................................... 600 1,219
*Bioanalytical Systems, Inc........................... 300 937
*Biocryst Pharmaceuticals, Inc........................ 1,500 38,391
*#Biomatrix, Inc...................................... 2,800 65,800
*Bionx Implants, Inc.................................. 500 1,328
*Bio-Rad Laboratories, Inc. Class A................... 600 14,812
*BioReliance Corp..................................... 500 3,625
*Biosite Diagnostics, Inc............................. 1,300 16,981
*Biosource International, Inc......................... 500 1,687
*Biospecifics Technologies Corp....................... 500 828
*#Biospherics, Inc.................................... 1,100 6,205
*BioTransplant, Inc................................... 900 5,231
*Biovail Corporation International.................... 130 9,109
Birmingham Steel Corp................................. 3,000 21,750
*Black Box Corp....................................... 1,100 65,484
Black Hills Corp...................................... 900 19,687
Blair Corp............................................ 600 8,700
Blanch (E.W.) Holdings, Inc........................... 300 17,400
Blimpie International................................. 900 1,800
Block Drug Co., Inc. Class A.......................... 1,751 51,217
*Blonder Tongue Laboratories, Inc..................... 500 2,687
*#Blue Rhino Corp..................................... 700 6,169
*Blue Wave Systems, Inc............................... 1,300 7,841
*Bluegreen Corp....................................... 2,300 12,937
Bob Evans Farms, Inc.................................. 3,000 44,906
*Boca Research, Inc................................... 1,100 9,281
*Boca Resorts, Inc.................................... 4,900 42,875
*#Bogen Communications International, Inc............. 700 5,370
*Boise Cascade Office Products Corp................... 6,000 69,000
*Bolder Technologies Corp............................. 1,400 15,225
*Bolle, Inc........................................... 400 1,950
*Bolt Technology Corp................................. 500 1,969
*Bombay Co., Inc...................................... 4,400 22,000
*Bon-Ton Stores, Inc.................................. 1,000 4,922
*#Books-a-Million, Inc................................ 1,800 18,731
*Boron, Lepore and Associates, Inc.................... 1,300 9,547
Boston Acoustics, Inc................................. 300 4,425
*Boston Beer Company, Inc. Class A.................... 1,600 11,500
*Boston Biomedical, Inc............................... 500 1,562
*Boston Communications Group, Inc..................... 1,500 8,156
*Boston Private Financial Holdings, Inc............... 1,100 9,952
Bostonfed Bancorp, Inc................................ 500 8,187
Bowne & Co., Inc...................................... 4,400 51,975
*Boyd Gaming Corp..................................... 7,500 46,406
Brady (W.H.) Co. Class A.............................. 2,100 64,444
*Brass Eagle, Inc..................................... 700 5,316
*Brauns Fashions Corp................................. 300 6,450
Brenton Banks, Inc.................................... 3,880 42,801
*Bridgestreet Accomodations, Inc...................... 500 875
*Brightpoint, Inc..................................... 6,400 71,000
*BrightStar Information Technology Group, Inc......... 500 3,859
*Brilliant Digital Entertainment, Inc................. 1,100 3,987
*Brio Technology, Inc................................. 1,200 45,112
*Bristol Hotels & Resorts, Inc........................ 1,400 7,087
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*#Britesmile, Inc..................................... 1,800 $ 17,325
*#Broadband Technologies, Inc......................... 900 4,036
*Brookdale Living Communities......................... 800 10,625
Brooke Group, Ltd..................................... 2,205 38,450
Brookline Bancorp, Inc................................ 2,900 29,091
*Brooks Automation, Inc............................... 1,300 35,587
*Brookstone, Inc...................................... 500 8,406
*Brooktrout Technology, Inc........................... 900 14,400
*Brown & Sharpe Manufacturing Co. Class A............. 1,300 3,087
*Brown (Tom), Inc..................................... 2,900 33,984
Brown and Brown, Inc.................................. 1,300 50,700
Brown Shoe Company, Inc............................... 1,800 28,350
*Brunswick Technologies, Inc.......................... 500 2,094
Brush Wellman, Inc.................................... 1,600 26,000
*Buckeye Technology, Inc.............................. 4,200 66,675
*#Buckle, Inc......................................... 2,200 34,100
*Budget Group, Inc.................................... 2,200 17,187
*Buffets, Inc......................................... 5,000 53,281
*Building Materials Holding Corp...................... 1,100 10,931
*Building One Services Corp........................... 2,500 25,469
*Bull Run Corp. GA.................................... 2,200 8,937
Burlington Coat Factory Warehouse Corp................ 1,700 21,781
*Burlington Industries, Inc........................... 1,400 5,162
*Burns International Services Corp.................... 2,400 21,450
*Bush Boake Allen, Inc................................ 1,900 47,737
Bush Industries, Inc. Class A......................... 700 11,200
*Business Resource Group.............................. 300 1,359
*Butler International, Inc............................ 750 5,719
Butler Manufacturing Co............................... 400 8,575
C & D Technologies, Inc............................... 1,300 50,862
*C-COR Electronics, Inc............................... 1,100 56,409
*#C-Phone Corp........................................ 500 797
*C.P. Clare Corp...................................... 1,100 7,150
*#C3, Inc............................................. 500 4,187
*CB Richard Ellis Services, Inc....................... 2,100 27,562
CCBT Financial Companies, Inc......................... 900 13,612
*CCC Information Services Group, Inc.................. 2,400 26,475
*CDI Corp............................................. 1,900 46,075
*CDNOW/N2K, Inc....................................... 3,000 45,562
*CEM Corp............................................. 200 1,794
*CFI Proservices, Inc................................. 300 2,564
*CFM Technologies, Inc................................ 800 8,875
CFW Communications Co................................. 1,300 31,606
*CICOR International, Inc............................. 750 8,156
CKE Restaurants, Inc.................................. 6,300 40,556
CMP Media Group, Inc.................................. 1,300 35,181
CNA Surety Corp....................................... 5,300 58,962
*CNS Income........................................... 1,600 7,925
CPAC, Inc............................................. 300 2,367
CPI Corp.............................................. 600 14,850
*CSK Auto Corp........................................ 2,800 49,700
*CSS Industries, Inc.................................. 1,000 21,375
*CTB International Corp............................... 1,200 7,594
*CTC Communications Group, Inc........................ 1,400 34,300
CTG Resources, Inc.................................... 600 21,525
CTS Corp.............................................. 200 16,037
*CUNO, Inc............................................ 1,600 32,500
*CV Therapeutics, Inc................................. 1,900 32,894
CVB Financial Corp.................................... 1,700 42,075
*CVF Technologies Corp................................ 600 1,650
</TABLE>
29
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Cable Design Techologies Corp........................ 3,400 $ 81,387
Cabot Oil & Gas Corp. Class A......................... 3,000 45,937
*Cache, Inc........................................... 900 3,994
*Caci International, Inc. Class A..................... 700 15,531
*Cade Industries, Inc................................. 2,200 11,034
*Cadiz, Inc........................................... 3,900 33,272
Cadmus Communications Corp............................ 1,100 8,766
*Caere Corp........................................... 1,200 8,512
*Cal Dive International, Inc.......................... 1,500 54,656
Calgon Carbon Corp.................................... 3,900 23,887
*Caliber Learning Network, Inc........................ 1,000 2,094
*California Amplifier, Inc............................ 1,200 28,237
*California Coastal Communities, Inc.................. 700 5,469
*California Micro Devices Corp........................ 600 4,912
California Water Service Group........................ 500 15,812
*Callon Petroleum Co.................................. 500 5,937
Cal-Maine Foods, Inc.................................. 800 2,725
Cambrex Corp.......................................... 2,500 78,750
*#Cambridge Heart, Inc................................ 1,200 3,169
*Cameron Ashley Building Products, Inc................ 900 7,200
Cameron Financial Corp................................ 100 1,281
*Candela Laser Corp................................... 500 7,500
*Candies, Inc......................................... 1,700 1,753
*Cannondale Corp...................................... 500 3,516
*Cantel Industries, Inc. Class B...................... 200 978
*Canterbury Information Technology, Inc............... 900 2,953
*Capital Crossing Bank................................ 200 2,762
*Capital Pacific Holdings, Inc........................ 1,400 3,412
Capital Re Corp....................................... 2,100 28,875
*Capital Senior Living Corp........................... 2,400 12,000
Capitol Bancorp, Ltd.................................. 300 3,487
Capitol Transamerica Corp............................. 700 8,137
Caraustar Industries, Inc............................. 2,300 56,134
*Carbide/Graphite Group, Inc.......................... 1,000 6,031
Carbo Ceramics, Inc................................... 1,500 38,625
*Cardiac Pathways Corp................................ 120 259
*Cardima, Inc......................................... 1,600 3,025
*Caredata.com, Inc.................................... 700 5,950
*Career Education Corp................................ 500 16,406
*Carematrix, Inc...................................... 700 1,433
*Carey International, Inc............................. 1,000 21,687
*Caribiner International, Inc......................... 2,400 21,300
*Carmike Cinemas, Inc. Class A........................ 600 7,500
Carolina First Corp................................... 3,100 63,453
Carpenter Technology Corp............................. 2,600 68,250
*Carreker-Antinori, Inc............................... 2,200 15,537
*Carriage Services, Inc. Class A...................... 1,200 6,150
*Carrington Laboratories, Inc......................... 600 1,209
*Carson, Inc.......................................... 1,200 4,200
Carter-Wallace, Inc................................... 3,300 59,606
Cascade Corp.......................................... 1,400 13,300
Cascade Natural Gas Corp.............................. 700 12,294
*Casella Waste Systems, Inc. Class A.................. 1,300 21,409
Casey's General Stores, Inc........................... 5,300 67,741
Cash America International, Inc....................... 3,100 26,931
*Casino Data Systems.................................. 1,600 5,775
*Castle & Cooke, Inc.................................. 1,700 21,462
Castle (A.M.) & Co.................................... 1,400 16,450
*Castle Dental Centers, Inc........................... 400 1,537
*Catalina Lighting, Inc............................... 700 3,456
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Catalyst International, Inc.......................... 500 $ 4,031
*Catalytica, Inc...................................... 2,800 29,662
Cathay Bancorp, Inc................................... 600 24,281
*Catherines Stores Corp............................... 500 10,266
Cato Corp. Class A.................................... 2,200 28,737
Cavalier Homes, Inc................................... 2,000 8,625
*Cavanaughs Hospitality Corp.......................... 1,000 7,500
*Celadon Group, Inc................................... 800 5,150
*Celeritek, Inc....................................... 500 3,719
*Celestial Seasonings, Inc............................ 500 10,359
*Celgene Corp......................................... 1,700 101,734
*#Cell Genesys, Inc................................... 2,900 26,553
*Cellegy Pharmaceuticals, Inc......................... 1,000 3,437
*#Cellnet Data Systems, Inc........................... 4,300 6,114
*Cellstar Corp........................................ 7,200 70,087
*Cel-Sci Corp......................................... 1,300 3,169
Cenit Bancorp, Inc.................................... 200 3,600
*Centennial Bancorp................................... 1,816 19,352
*Centennial Cellular Corp............................. 1,500 89,906
*Centennial Healthcare Corp........................... 600 1,819
*#CenterSpan Communication Corp....................... 200 3,131
*Centigram Communications Corp........................ 500 6,875
Central Bancorp, Inc.................................. 100 1,950
*Central Garden & Pet Co.............................. 2,900 23,109
Central Hudson Gas & Electric Corp.................... 1,100 36,781
Central Vermont Public Service Corp................... 700 8,662
Centris Group, Inc.................................... 1,400 17,150
Century Aluminum Co................................... 2,000 19,625
Century South Banks, Inc.............................. 600 14,006
*Cephalon, Inc........................................ 2,900 64,072
*Ceradyne, Inc........................................ 400 2,019
*Cerner Corp.......................................... 4,000 75,875
*Cerus Corp........................................... 1,200 32,025
*Champion Enterprises, Inc............................ 4,800 41,100
Champion Industries, Inc.............................. 1,000 4,875
*Championship Auto Racing Teams, Inc.................. 1,600 38,200
*Champps Entertainment, Inc........................... 600 1,219
*Charles River Associates, Inc........................ 700 21,262
*Charming Shoppes, Inc................................ 11,800 76,516
*Chart House Enterprises, Inc......................... 800 4,250
Chart Industries, Inc................................. 2,400 8,850
*Chase Industries, Inc................................ 1,100 9,694
*Chattem, Inc......................................... 600 11,606
*Chaus (Bernard), Inc................................. 2,400 5,700
*Check Technology Corp................................ 600 1,519
*Checkpoint System, Inc............................... 3,600 28,575
*Cheesecake Factory, Inc.............................. 2,000 61,812
Chemed Corp........................................... 1,100 28,600
*Chemfab Corp......................................... 500 8,000
Chemfirst, Inc........................................ 1,400 32,725
Chemical Financial Corp............................... 1,400 44,581
*Chesapeake Biological Laboratories, Inc. Class A..... 600 1,725
Chesapeake Corp....................................... 2,200 70,262
*#Chesapeake Energy Corp.............................. 11,700 35,100
Chesapeake Utilities Corp............................. 500 9,125
*Chic by His, Inc..................................... 400 300
*Chicos Fas, Inc...................................... 500 19,203
*Children's Comprehensive Services, Inc............... 500 3,422
*#Childrens Place Retail Stores, Inc.................. 3,100 76,337
</TABLE>
30
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Childtime Learning Centers, Inc...................... 500 $ 6,469
Chiquita Brands International, Inc.................... 7,900 34,562
*Chirex, Inc.......................................... 1,500 52,078
Chittenden Corp....................................... 1,421 45,916
*Cholestech Corp...................................... 1,200 7,575
*ChromaVision Medical Systems, Inc.................... 1,400 20,212
*Chromcraft Revington, Inc............................ 800 9,100
*Chronimed, Inc....................................... 1,500 11,906
Church & Dwight Co., Inc.............................. 2,600 72,800
*#Churchill Downs, Inc................................ 1,000 22,781
*Chyron Corp.......................................... 3,300 2,475
*Cidco, Inc........................................... 1,200 9,675
*Cima Laboratories, Inc............................... 600 6,075
*Ciprico, Inc......................................... 500 6,391
Circle International, Inc............................. 1,700 41,119
*Circuit City Stores, Inc. - Carmax Group............. 2,900 6,887
*Cirrus Logic, Inc.................................... 6,100 84,637
*Citadel Holding Corp................................. 700 2,406
*Citation Corp........................................ 1,800 30,487
Citizens Banking Corp................................. 1,700 43,084
*Citizens, Inc. Class A............................... 2,140 13,910
City Holding Co....................................... 1,700 28,687
Clarcor, Inc.......................................... 2,900 50,387
*Clarify, Inc......................................... 2,200 205,425
*Clark/Bardes Holdings, Inc........................... 1,200 15,225
Cleveland Cliffs, Inc................................. 700 20,475
*click2learn.com, Inc................................. 1,100 8,112
*ClickAction, Inc..................................... 200 3,750
*Clintrials Research, Inc............................. 1,800 7,031
*#Closure Medical Corp................................ 1,600 22,250
*CoStar Group, Inc.................................... 1,300 29,859
Coachmen Industries, Inc.............................. 1,700 24,331
Coastal Bancorp, Inc.................................. 500 10,000
*Coastcast Corp....................................... 800 10,400
*Cobra Electronic Corp................................ 300 1,500
*#Coeur d'Alene Mines Corp. ID........................ 2,200 8,937
*Cogeneration Corporation of America.................. 300 7,397
*Cognitronics Corp.................................... 500 8,625
*Coherent, Inc........................................ 2,400 63,450
Cohu, Inc............................................. 2,000 45,875
*Coinmach Laundry Corp................................ 1,100 11,825
*Coinstar, Inc........................................ 2,000 20,937
*Coldwater Creek, Inc................................. 1,000 28,062
*Cole (Kenneth) Productions, Inc. Class A............. 500 22,937
*Cole National Corp. Class A.......................... 1,500 8,062
*Collagenex Pharmaceuticals, Inc...................... 1,000 22,312
*Collateral Therapeutics, Inc......................... 1,100 20,075
Collins & Aikman Corp................................. 7,400 37,925
Collins Industries, Inc............................... 700 4,441
Colorado Business Bankshares, Inc..................... 700 9,756
*Colorado MEDtech, Inc................................ 1,300 16,412
*Columbia Banking System, Inc......................... 735 11,990
*Columbia Laboratories, Inc........................... 3,500 27,781
*Columbia Sportswear Co............................... 2,500 51,172
Columbus McKinnon Corp................................ 1,400 14,437
*Com21, Inc........................................... 1,700 37,506
*Comarco, Inc......................................... 200 3,625
*Comdial Corp......................................... 600 4,978
*Comforce Corp........................................ 1,600 2,600
*Comfort Systems USA, Inc............................. 4,700 38,775
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Commercial Intertech Corp............................. 1,400 $ 17,587
Commercial Metals Co.................................. 1,500 48,000
Commonwealth Bancorp, Inc............................. 1,400 23,187
Commonwealth Industries, Inc.......................... 1,600 20,750
Communications Systems, Inc........................... 600 7,012
Community Bank System, Inc............................ 500 13,187
Community Financial Group, Inc........................ 100 1,534
Community Savings Bankshares, Inc..................... 800 10,175
Community Trust Bancorp, Inc.......................... 1,150 24,581
Community West Bancshares............................. 500 6,937
*Comnet Cellular, Inc................................. 2,300 72,953
*Competitive Technologies, Inc........................ 600 3,412
*Complete Business Solutions, Inc..................... 3,700 69,953
*Comptek Research, Inc................................ 500 6,625
*Compucom Systems, Inc................................ 5,700 17,991
*CompUSA, Inc......................................... 11,000 64,625
*Computer Horizons Corp............................... 3,100 43,594
*#Computer Learning Centers, Inc...................... 1,700 5,764
*Computer Motion, Inc................................. 900 10,181
*Computer Network Technology Corp..................... 2,800 56,437
*Computer Outsourcing Services, Inc................... 500 12,750
*Computer Sciences Corp............................... 507 33,082
Computer Task Group, Inc.............................. 1,800 26,662
*CompX International, Inc............................. 600 10,987
*Comshare, Inc........................................ 1,200 5,887
*Comstock Resources, Inc.............................. 3,000 10,500
*Comtech Telecommunications Corp...................... 500 9,250
*Concentric Network Corp.............................. 1,500 42,703
*Concord Camera Corp.................................. 700 10,478
*Concord Communications, Inc.......................... 1,200 64,050
*Concurrent Computer Corp............................. 4,800 62,550
*Condor Technology Solutions, Inc..................... 1,200 2,831
*Cone Mills Corp. NC.................................. 3,100 15,306
*Congoleum Corp. Class A.............................. 500 1,687
*Conmed Corp.......................................... 1,500 37,828
Connecticut Energy Corp............................... 700 27,606
Connecticut Water Services, Inc....................... 200 6,725
*ConnectInc.com Co.................................... 1,500 6,141
Conning Corp.......................................... 1,000 8,625
*Connitics Corp....................................... 1,100 7,459
*Conso Products Co.................................... 500 4,172
*Consolidated Delivery and Logistics, Inc............. 900 3,544
*Consolidated Freightways Corp........................ 2,300 20,916
*Consolidated Products, Inc........................... 2,600 27,300
*#Converse, Inc....................................... 1,700 3,400
Cooper Companies, Inc................................. 1,700 42,925
*Copart, Inc.......................................... 2,700 69,862
*Cor Therapeutics, Inc................................ 3,000 58,781
*Core Materials Corp.................................. 1,000 1,687
*Core, Inc............................................ 500 3,258
*Corixa Corp.......................................... 2,200 37,194
*Cornell Corrections, Inc............................. 600 6,862
*Correctional Services Corp........................... 1,100 4,916
*Corrpro Companies, Inc............................... 800 5,800
*Corsair Communications, Inc.......................... 1,700 18,116
*Cort Business Services Corp.......................... 1,300 25,350
Corus Bankshares, Inc................................. 1,400 39,900
*Corvas International, Inc............................ 1,500 4,031
*Cost Plus, Inc....................................... 1,950 71,906
*Cotelligent Group, Inc............................... 700 2,931
*#Coulter Pharmaceutical, Inc......................... 1,700 28,953
</TABLE>
31
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
#Counsel Corp......................................... 2,200 $ 5,087
*Covance, Inc......................................... 7,100 77,212
*Covenant Transport, Inc. Class A..................... 1,300 18,891
*Coventry Health Care, Inc............................ 5,900 34,109
*Covol Technologies, Inc.............................. 1,100 1,031
*#Coyote Network Systems, Inc......................... 1,000 4,844
Craftmade International, Inc.......................... 500 4,516
*Craig (Jenny), Inc................................... 2,100 4,725
Crawford & Co. Class A................................ 1,600 17,800
Crawford & Co. Class B................................ 2,500 32,031
*Creative Biomolecules, Inc........................... 3,500 11,922
*Creative Computers, Inc.............................. 700 6,716
*Credence Systems Corp................................ 2,000 115,625
*Credit Acceptance Corp............................... 5,600 22,575
*#Creditrust Corp..................................... 1,300 22,831
*Cree Research, Inc................................... 1,600 91,300
*Crescent Operating, Inc.............................. 1,100 3,334
*Cross (A.T.) Co. Class A............................. 1,500 7,875
Cross Timbers Oil Co.................................. 4,900 49,919
*Crossman Communities, Inc............................ 1,200 19,237
*Crown Central Petroleum Corp.
Class A............................................. 500 3,250
*Crown Central Petroleum Corp.
Class B............................................. 500 3,000
Crown Crafts, Inc..................................... 600 1,575
*Crown Resources Corp................................. 1,500 3,070
*Crown Vantage, Inc................................... 1,000 2,406
*Cryolife, Inc........................................ 1,500 20,250
Cubic Corp............................................ 700 13,781
*Cubist Pharmaceuticals, Inc.......................... 1,700 17,106
Culp, Inc............................................. 1,300 8,125
*Cunningham Graphics International, Inc............... 500 6,469
*CuraGen Corp......................................... 1,600 39,600
Curtiss-Wright Corp................................... 700 26,600
*Cutter & Buck, Inc................................... 900 14,062
*Cybercash, Inc....................................... 2,400 26,175
*#Cyberian Outpost, Inc............................... 2,800 33,512
*Cyberonics, Inc...................................... 1,700 29,537
*Cyberoptics Corp..................................... 200 3,687
*CyberShop.com, Inc................................... 1,000 11,344
*Cybex Corp........................................... 1,300 55,981
*Cybex International, Inc............................. 900 2,531
*Cygnus, Inc.......................................... 2,900 28,909
*Cylink Corp.......................................... 3,500 40,578
*Cymer, Inc........................................... 2,700 107,831
*Cyrk, Inc............................................ 1,000 7,437
*Cytrx Corp........................................... 800 2,025
*Cytyc Corp........................................... 1,800 78,412
*D & K Healthcare Resources, Inc...................... 500 8,625
*DBT Online, Inc...................................... 2,400 46,200
*DII Group, Inc....................................... 1,600 101,100
*#DRS Technologies, Inc............................... 600 5,175
*DSET Corp............................................ 1,300 33,922
*DSP Group, Inc....................................... 1,100 76,244
DT Industries, Inc.................................... 1,000 7,812
*DVI, Inc............................................. 1,400 19,600
Dain Rauscher Corp.................................... 400 19,475
*Daisytek International Corp.......................... 1,700 33,841
*Dal-Tile International, Inc.......................... 6,400 65,600
*Damark International, Inc. Class A................... 300 2,944
*Dan River, Inc. (GA) Class A......................... 2,100 11,287
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Danaher Corp.......................................... 119 $ 5,846
*Danielson Holding Corp............................... 1,800 9,000
*Daou Systems, Inc.................................... 1,400 5,512
*Darling International, Inc........................... 600 1,312
*Data Broadcasting Corp............................... 4,100 46,253
*Data Dimensions, Inc................................. 1,600 5,350
*#Data Race, Inc...................................... 1,800 5,484
Data Research Association, Inc........................ 500 4,844
*Data Systems & Software, Inc......................... 700 2,231
*#Data Transmission Network Corp...................... 1,400 28,919
*Dataram Corp......................................... 500 9,281
*Datascope Corp....................................... 1,500 55,641
*Datastream Systems, Inc.............................. 2,000 27,875
*DataTRAK International, Inc.......................... 600 2,128
*Dataware Technologies, Inc........................... 600 2,053
*Datron Systems, Inc.................................. 100 825
*Datum, Inc........................................... 300 2,691
*Dave and Busters, Inc................................ 1,000 10,312
Davel Communications, Inc............................. 1,100 3,884
*Davox Corp........................................... 1,600 26,450
*Dawson Geophysical Co................................ 300 2,691
*Daxor Corp........................................... 500 7,562
*Day Runner, Inc...................................... 800 5,625
*Dayton Superior Corp. Class A........................ 400 7,300
Deb Shops, Inc........................................ 1,600 31,350
*Deckers Outdoor Corp................................. 900 2,686
*Decora Industries, Inc............................... 500 1,641
*Del Global Technologies Corp......................... 500 4,211
*Delhaize America, Inc................................ 2,000 44,125
*Delhaize America, Inc................................ 2,500 57,500
*Delia's, Inc......................................... 1,500 16,406
*Delphi Financial Group, Inc. Class A................. 1,530 47,430
*#Delta Financial Corp................................ 1,500 6,937
Delta Woodside Industries, Inc........................ 2,400 4,650
*Deltek Systems, Inc.................................. 1,800 23,175
Deltic Timber Corp.................................... 1,300 33,475
*Denali, Inc.......................................... 100 369
*Dendrite International, Inc.......................... 2,250 62,016
*#Dense-Pac Microsystems, Inc......................... 1,900 13,597
*Department 56, Inc................................... 1,800 33,637
*DepoMed, Inc......................................... 500 3,500
*Detection Systems, Inc............................... 300 2,775
Detroit Diesel Corp................................... 2,500 45,937
*Diacrin, Inc......................................... 1,100 6,566
Diagnostic Products Corp.............................. 1,400 35,262
*Diametrics Medical, Inc.............................. 3,100 20,344
*Diamond Technology Partners,
Class A............................................. 900 47,109
*Dianon Systems, Inc.................................. 700 7,000
*Diedrich Coffee, Inc................................. 1,300 6,662
*Digene Corp.......................................... 1,400 25,200
*Digi International, Inc.............................. 1,500 24,281
*#Digital Biometrics, Inc............................. 1,500 5,742
*Digital Courier Technologies, Inc.................... 1,000 7,687
*Digital Lightwave, Inc............................... 2,700 85,641
*Digital Microwave Corp............................... 4,000 63,250
*Digital River, Inc................................... 2,100 63,787
Dime Bancorp, Inc..................................... 90 1,642
Dime Community Bancorp, Inc........................... 1,300 25,878
Dimon, Inc............................................ 4,500 15,187
*Diodes, Inc.......................................... 600 9,150
*Discount Auto Parts, Inc............................. 1,700 23,481
</TABLE>
32
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Dixie Group, Inc..................................... 700 $ 4,834
*DocuCorp International, Inc.......................... 500 2,328
*Documentum, Inc...................................... 1,700 57,587
*Dollar Thrifty Automotive Group, Inc................. 2,400 47,400
*Dominion Homes, Inc.................................. 300 1,894
Donegal Group, Inc.................................... 1,000 6,812
*Donna Karan International, Inc....................... 2,200 17,187
Donnelly Corp. Class A................................ 600 8,662
*Dot Hill Systems Corp................................ 440 2,502
*#DoubleClick, Inc.................................... 630 100,820
Downey Financial Corp................................. 2,800 56,350
*Dress Barn, Inc...................................... 2,000 34,250
*Drew Industries, Inc................................. 1,400 13,300
*Drexler Technology Corp.............................. 1,000 7,781
Dreyer's Grand Ice Cream, Inc......................... 2,700 44,887
*Dril-Quip, Inc....................................... 1,700 41,862
*Drug Emporium, Inc................................... 900 3,642
*Drypers Corp......................................... 1,800 4,641
*DuPont Photomasks, Inc............................... 1,000 61,656
*DualStar Technologies Corp........................... 900 6,286
*#Duane Reade, Inc.................................... 1,700 37,612
*Duckwall-Alco Stores, Inc............................ 300 2,391
*Ducommun, Inc........................................ 700 6,212
*Dura Automotive Systems, Inc......................... 1,374 28,468
*Dura Pharmaceuticals, Inc............................ 5,300 69,066
*Duramed Pharmaceuticals, Inc......................... 1,800 14,344
Dyersburg Corp........................................ 500 344
*Dynamics Research Corp............................... 500 2,641
E'town Corp........................................... 300 18,862
*E4L, Inc............................................. 3,100 9,687
*ECC International Corp............................... 500 1,625
EFC Bancorp, Inc...................................... 500 5,375
*EFTC Corp............................................ 1,600 3,600
*EIS International, Inc............................... 1,100 4,778
*EMC Corp. MA......................................... 1,437 120,079
EMC Insurance Group, Inc.............................. 700 7,109
*EMCORE Corp.......................................... 1,300 29,697
*EMS Technologies, Inc................................ 600 6,487
*EPIX Medical, Inc.................................... 1,200 11,175
*ESCO Electronics Corp. Trust Receipts................ 1,200 11,625
Eagle Bancshares, Inc................................. 500 8,016
*Eagle Food Centers, Inc.............................. 700 1,039
*Eagle Point Software Corp............................ 200 1,062
*Eagle USA Airfreight, Inc............................ 1,800 60,637
*#EarthShell Corp..................................... 10,000 29,687
East West Bancorp, Inc................................ 2,300 28,103
Eastern Utilities Associates.......................... 1,300 39,487
*Echelon Corp......................................... 4,000 55,750
*Eclipse Surgical Technologies, Inc................... 3,000 29,906
*Eco Soil Systems, Inc................................ 1,700 5,791
Edo Corp.............................................. 700 3,981
*Education Management Corp............................ 3,000 28,266
*#eFax.com, Inc....................................... 600 4,706
*#Egghead.com, Inc.................................... 2,000 36,187
*eGlobe, Inc.......................................... 1,800 5,794
*El Paso Electric Co.................................. 3,500 31,500
*Elantec Semiconductor, Inc........................... 600 17,531
*Elcom International, Inc............................. 3,300 34,134
Elcor Corp............................................ 2,000 64,750
*Elder-Beerman Stores Corp............................ 1,600 10,300
*Electro Rent Corp.................................... 2,400 28,425
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Electro Scientific Industries, Inc................... 1,300 $ 75,969
*Electroglas, Inc..................................... 2,000 56,937
*Electronic Processing, Inc........................... 200 2,287
*Elite Information Group, Inc......................... 600 4,275
Ellett Brothers, Inc.................................. 200 1,325
*Embrex, Inc.......................................... 500 4,531
*Emcee Broadcast Products, Inc........................ 500 2,203
*Emcor Group, Inc..................................... 800 13,950
*#Emeritus Corp....................................... 800 5,250
*Emisphere Technologies, Inc.......................... 1,200 22,537
Empire District Electric Co........................... 1,100 26,262
Empire Federal Bancorp, Inc........................... 100 1,156
*Emulex Corp.......................................... 600 97,425
*En Pointe Technologies, Inc.......................... 300 2,887
*Encad, Inc........................................... 800 4,350
*Encore Med Corp...................................... 400 819
*Encore Wire Corp..................................... 1,500 10,594
*Endocardial Solutions, Inc........................... 600 5,166
*Endosonics Corp...................................... 1,700 8,553
Energen Corp.......................................... 3,600 69,300
*#Energy Biosystems Corp.............................. 700 1,531
*Energy Conversion Devices, Inc....................... 1,300 13,650
Enesco Group, Inc..................................... 1,500 18,281
Engineered Support Systems, Inc....................... 700 8,116
*#Engineering Animation, Inc.......................... 1,200 9,975
Engle Homes, Inc...................................... 1,300 13,853
Enhance Financial Services Group, Inc................. 3,800 65,075
Ennis Business Forms, Inc............................. 1,600 14,350
*Enserch Exploration Corp............................. 4,200 11,025
*Entrade, Inc......................................... 500 11,531
*#Entremed, Inc....................................... 1,800 40,556
*Environmental Elements Corp.......................... 900 1,969
*Environmental Tectonics Corp......................... 700 6,737
*Enzo Biochem, Inc.................................... 3,000 78,375
*Enzon, Inc........................................... 3,600 121,387
*Epicor Software Corp................................. 2,600 15,234
*Epimmune, Inc........................................ 600 1,669
*Epitope, Inc......................................... 1,400 6,344
*Equinox Systems, Inc................................. 300 3,694
*Equity Marketing, Inc................................ 600 9,694
*eShare Technologies, Inc............................. 1,600 14,300
Eskimo Pie Corp....................................... 200 1,900
*e.spire Communications, Inc.......................... 6,000 44,531
*Ess Technology, Inc.................................. 4,100 88,406
*Esterline Technologies Corp.......................... 1,700 21,356
*Etec Systems, Inc.................................... 2,100 90,366
Ethyl Corp............................................ 10,000 41,875
*Evans & Sutherland Computer Corp..................... 1,100 14,197
*Evergreen Resources, Inc............................. 1,400 29,356
*Evolving Systems, Inc................................ 1,000 8,906
*Exabyte Corp......................................... 2,300 16,064
*Exactech, Inc........................................ 100 1,312
*Exar Corp............................................ 600 29,269
*Excalibur Technologies Corp.......................... 1,400 18,637
*Excel Legacy Corp.................................... 3,700 14,800
*Excel Technology, Inc................................ 1,100 16,122
*#Excelsior-Henderson Motorcycle Manufacturing Co..... 1,100 739
*Executone Information Systems, Inc................... 7,600 20,425
Exide Corp............................................ 2,600 26,812
*Extended Systems, Inc................................ 900 13,416
</TABLE>
33
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ezcorp, Inc. Class A Non-Voting....................... 1,100 $ 4,228
*Ezenia! Inc.......................................... 1,100 6,703
F & M Bancorp (MD).................................... 910 22,409
F & M National Corp................................... 1,854 52,607
F.N.B. Corp........................................... 2,400 62,100
FBL Financial Group, Inc. Class A..................... 3,400 59,075
FCNB Corp............................................. 1,000 17,875
*FEI Co............................................... 2,700 22,275
FFY Financial Corp.................................... 400 6,175
*FPIC Insurance Group, Inc............................ 600 11,287
*FSI International, Inc............................... 2,900 27,278
*FTI Consulting, Inc.................................. 500 2,812
*FVC.COM, Inc......................................... 1,700 16,734
*FX Energy, Inc....................................... 1,000 5,375
*FYI, Inc............................................. 1,400 45,106
*Factory 2-U Stores, Inc.............................. 1,200 28,725
Factset Research Systems, Inc......................... 100 6,200
Fair, Isaac & Co., Inc................................ 1,400 59,500
*Fairchild Corp. Class A.............................. 1,357 9,838
*Fairfield Communities, Inc........................... 4,000 47,750
Falcon Products, Inc.................................. 600 5,625
*Farm Family Holdings, Inc............................ 500 20,375
*Faro Technologies, Inc............................... 1,100 3,403
*Faroudja, Inc........................................ 1,000 4,969
*Farr Co.............................................. 1,100 10,828
Fedders Corp.......................................... 2,100 11,287
*Fibermark, Inc....................................... 500 6,250
Fidelity Bancorp, Inc. Delaware....................... 100 1,753
*Fidelity National Corp............................... 1,000 7,406
Fidelity National Financial, Inc...................... 3,200 48,200
*Filenes Basement Corp................................ 800 168
*Filenet Corp......................................... 3,200 64,300
*Financial Federal Corp............................... 1,500 31,031
*Finish Line, Inc. Class A............................ 1,900 12,528
*Finlay Enterprises, Inc.............................. 700 10,128
*First Alliance Corp.................................. 2,200 5,706
*First Cash, Inc...................................... 500 3,719
First Charter Corp.................................... 1,900 30,697
First Commonwealth Financial Corp..................... 4,200 48,825
*First Consulting Group, Inc.......................... 2,800 26,425
First Defiance Financial Corp......................... 600 7,069
First Essex Bancorp................................... 500 8,203
First Federal Capital Corp............................ 1,900 28,144
First Financial Holdings, Inc......................... 900 16,284
First Indiana Corp.................................... 1,300 30,387
First International Bancorp, Inc...................... 800 6,725
*First Investors Financial Services Group, Inc........ 400 2,175
First Keystone Financial, Inc......................... 300 3,225
First Mariner Bank Corp............................... 200 1,831
First Merchants Corp.................................. 1,200 32,625
First Mutual Bancshares, Inc.......................... 220 2,592
First Northern Capital Corp........................... 900 9,675
*First Republic Bank.................................. 600 14,137
First Savings Bancorp, Inc. North Carolina............ 200 3,862
First SecurityFed Financial, Inc...................... 500 5,687
First Sentinel Bancorp, Inc........................... 4,300 35,811
*First Sierra Financial, Inc.......................... 1,800 38,362
First Source Corp..................................... 1,550 41,802
First United Corp..................................... 500 7,125
First Washington Bancorp, Inc......................... 1,400 23,187
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
First Years, Inc...................................... 900 $ 7,622
Firstbank Corp........................................ 100 1,328
Firstfed America Bancorp, Inc......................... 600 7,575
*FirstFed Financial Corp. DE.......................... 1,900 29,331
*Firstwave Technologies, Inc.......................... 600 2,175
Flag Financial Corp................................... 700 4,944
Flagstar Bancorp, Inc................................. 1,200 19,162
*Flander Corp......................................... 2,600 8,369
Fleetwood Enterprises, Inc............................ 3,000 63,000
Fleming Companies, Inc................................ 4,700 56,694
Flexsteel Industries, Inc............................. 800 11,100
*flightserv.com....................................... 3,700 28,212
*Flir Systems, Inc.................................... 1,400 21,481
Florida Rock Industries, Inc.......................... 1,900 59,375
*Florsheim Group, Inc................................. 500 1,484
*Flow International Corp.............................. 1,500 15,375
Flowserve Corp........................................ 4,500 78,187
Flushing Financial Corp............................... 1,200 19,125
*Focal, Inc........................................... 1,300 6,317
*Foilmark, Inc........................................ 800 2,400
Foothill Independent Bancorp.......................... 600 8,287
*Footstar, Inc........................................ 1,600 53,100
*Forcenergy, Inc...................................... 1,600 1,000
Foremost Corp. of America............................. 2,700 76,275
*Forest Oil Corp...................................... 4,500 51,469
*Forrester Resh, Inc.................................. 600 29,512
*Forward Air Corp., Inc............................... 1,300 40,706
*Fossil, Inc.......................................... 2,100 44,166
*Foster (L.B.) Co. Class A............................ 700 3,434
Foster Wheeler Corp................................... 4,900 49,919
*Fountain Powerboat Industries, Inc................... 500 1,484
*#Four Kids Entertainment, Inc........................ 1,000 53,219
*Four Media Co........................................ 2,400 30,075
*Fourth Shift Corp.................................... 700 2,844
*Franklin Covey Co.................................... 2,000 14,625
*Franklin Electronic Publishers, Inc.................. 500 2,500
Freds, Inc. Class A................................... 1,400 18,287
Freedom Securities Corp............................... 2,000 26,125
Fremont General Corp.................................. 8,400 42,525
*French Fragrances, Inc............................... 1,400 10,369
Frequency Electronics, Inc............................ 500 4,187
*Fresh America Corp................................... 300 1,350
*Fresh Foods, Inc..................................... 500 3,734
*Friede Goldman International......................... 3,383 28,544
*Friedman Billings Ramsey Group, Inc. Class A......... 1,300 7,719
Friedman Industries, Inc.............................. 700 2,537
Friedmans, Inc. Class A............................... 900 6,778
*Friendly Ice Cream Corp.............................. 700 3,434
Frisch's Restaurants, Inc............................. 600 5,775
*Fritz Companies, Inc................................. 4,400 43,312
*Frontier Airlines, Inc............................... 1,700 17,744
Frontier Insurance Group, Inc......................... 1,100 3,300
*Frontier Oil Corp.................................... 3,300 17,944
Frozen Food Express Industries, Inc................... 1,600 6,950
*FuelCell Energy, Inc................................. 800 19,150
Fuller (H.B.) Co...................................... 900 49,078
*Funco, Inc........................................... 300 5,194
*Fusion Medical Technologies, Inc..................... 500 6,781
*G-III Apparel Group, Ltd............................. 800 2,250
GA Financial, Inc..................................... 500 6,750
GBC Bancorp........................................... 900 19,041
</TABLE>
34
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*GC Companies, Inc.................................... 800 $ 22,550
*#GK Intelligent Systems, Inc......................... 1,400 483
*GP Strategies Corp................................... 1,100 8,662
*GRC International, Inc............................... 1,500 15,656
*GT Interactive Software Corp......................... 7,300 14,942
*GTS Duratek, Inc..................................... 1,400 9,931
*Gadzooks, Inc........................................ 1,100 9,384
Gainsco, Inc.......................................... 2,100 12,469
*Galey & Lord, Inc.................................... 800 2,000
*GameTech International, Inc.......................... 700 3,237
Garan, Inc............................................ 500 15,437
*Garden Fresh Restaurant Corp......................... 300 5,006
*Garden Ridge Corp.................................... 1,700 19,231
*#Gardenburger, Inc................................... 600 4,762
*Gardner Denver Machinery, Inc........................ 1,500 24,562
*Gasonics International, Inc.......................... 1,400 21,525
*Gaylord Container Corp. Class A...................... 5,300 33,125
*Geerling & Wade, Inc................................. 200 1,875
*Gehl Co.............................................. 500 9,250
*#Geltex Pharmaceuticals, Inc......................... 1,700 18,009
Gencor Industries, Inc................................ 500 3,156
Gencorp, Inc.......................................... 2,100 22,969
*Gene Logic, Inc...................................... 1,600 9,850
*Genelabs Technologies, Inc........................... 4,400 16,981
General Binding Corp.................................. 900 7,341
General Cable Corp.................................... 4,000 31,000
General Chemical Group, Inc........................... 1,700 4,781
*General Cigar Holdings, Inc. Class A................. 1,500 11,344
*General Communications, Inc.
Class A............................................. 5,400 22,106
*#General Datacomm Industries, Inc.................... 1,700 10,412
General Electric Co................................... 340 44,278
*#General Magic, Inc.................................. 3,700 9,655
*General Semiconductor, Inc........................... 4,400 60,500
*Genesco, Inc......................................... 2,400 33,600
*Genesis Health Ventures, Inc......................... 1,200 3,375
*Genesys Telecommunications Laboratories, Inc......... 2,400 123,225
*Genlyte Group, Inc................................... 1,400 33,687
*Genome Therapeutics Corp............................. 2,200 9,556
*Genrad, Inc.......................................... 3,600 63,675
*Gensym Corp.......................................... 300 1,467
Gentek, Inc........................................... 1,700 19,869
*#Genus, Inc.......................................... 1,800 6,891
*Genzyme Transgenics Corp............................. 2,000 16,750
Geon Co............................................... 2,100 63,525
Georgia Gulf Corp..................................... 3,100 79,050
*Geoworks............................................. 1,800 11,784
*Gerber Childrenswear, Inc............................ 1,000 4,625
Gerber Scientific, Inc................................ 2,300 44,275
*#Geron Corp.......................................... 1,600 17,150
*Getty Petroleum Marketing, Inc....................... 1,400 4,200
Getty Realty Corp. (Holding Co.)...................... 700 8,969
*Giant Cement Holding, Inc............................ 500 15,422
*Giant Industries, Inc................................ 1,100 9,556
Gibraltar Steel Corp.................................. 1,100 26,056
*Gibson Greetings, Inc................................ 1,600 15,200
*Giga Information Group, Inc.......................... 1,000 4,312
*Gilead Sciences, Inc................................. 1,060 50,847
*Gilman & Ciocia, Inc................................. 1,300 11,944
Glatfelter (P.H.) Co.................................. 4,200 54,075
Gleason Corp.......................................... 700 12,425
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Glenayre Technologies, Inc........................... 6,100 $ 28,498
*#Gliatech, Inc....................................... 600 7,969
*Global Imaging Systems, Inc.......................... 1,900 30,637
*Global Payment Technologies, Inc..................... 500 4,453
*#Global Sports, Inc.................................. 1,800 39,150
*Global Technologies, Ltd............................. 200 1,562
*Global Vacation Group, Inc........................... 1,500 6,000
*Globe Business Resources, Inc........................ 600 7,631
*Globecomm Systems, Inc............................... 900 16,847
Gold Banc Corp........................................ 1,700 17,372
Golden Enterprises, Inc............................... 600 1,706
*Golden State Vintners, Inc........................... 500 1,742
*Good Guys, Inc....................................... 2,000 16,375
*Goodys Family Clothing............................... 4,000 26,375
Gorman-Rupp Co........................................ 600 10,725
*Gottschalks, Inc..................................... 1,300 11,700
*Government Technology Services, Inc.................. 600 1,894
Graco, Inc............................................ 2,000 65,875
Grand Premier Financial, Inc.......................... 1,900 31,944
*Grand Union Co....................................... 400 4,225
Granite Construction, Inc............................. 3,300 62,700
Granite State Bankshares, Inc......................... 300 6,619
Gray Communications Systems, Inc...................... 700 12,162
*Great Plains Software................................ 1,400 74,944
Greater Bay Bancorp................................... 1,100 46,166
Greenbrier Companies, Inc............................. 1,400 14,000
*Grey Wolf, Inc....................................... 16,500 45,375
*Griffon Corp......................................... 3,600 27,675
*Group 1 Automotive, Inc.............................. 2,100 30,450
*Group Maintenance America Corp....................... 3,800 34,675
*Grow Biz International, Inc.......................... 300 1,294
*Grubb & Ellis Co..................................... 2,000 12,000
Guarantee Life Companies, Inc......................... 900 28,322
Guaranty Federal Bancshares, Inc...................... 300 3,337
*Guess, Inc........................................... 4,300 77,131
*Guest Supply, Inc.................................... 600 8,550
Guilford Mills, Inc................................... 2,300 16,675
*Guilford Pharmaceuticals, Inc........................ 1,900 28,025
*Guitar Center, Inc................................... 2,000 21,375
*Gulf Island Fabrication, Inc......................... 1,400 12,906
*Gulfmark Offshore, Inc............................... 1,000 14,344
*#Gumtech International, Inc.......................... 700 10,981
*Gymboree Corp........................................ 2,400 14,550
HCC Insurance Holdings, Inc........................... 5,800 61,625
HF Financial Corp..................................... 500 6,344
*HIE, Inc............................................. 2,500 6,016
HMN Financial, Inc.................................... 400 5,087
*HMT Technology Corp.................................. 5,400 19,491
*HNC Software, Inc.................................... 1,300 92,381
*HS Resources, Inc.................................... 1,700 21,994
*HTE, Inc............................................. 1,700 5,047
*Ha-Lo Industries, Inc................................ 24,900 155,625
*Hadco Corp........................................... 1,400 66,150
*Haemonetics Corp..................................... 3,200 72,000
Haggar Corp........................................... 600 7,462
*Hagler Bailly, Inc................................... 1,100 6,016
*Hain Food Group, Inc................................. 1,400 31,981
*Hall Kinion Associates, Inc.......................... 1,200 21,562
*Halsey Drug Co., Inc................................. 1,100 1,719
*Hambrecht & Quist Group, Inc......................... 300 14,925
*Hamilton Bancorp, Inc................................ 1,000 19,312
</TABLE>
35
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Hammons (John Q.) Hotels, Inc. Class A............... 600 $ 2,175
*Hampton Industries, Inc.............................. 600 1,462
Hancock Fabrics, Inc.................................. 2,000 8,000
Hancock Holding Co.................................... 1,100 44,447
*Handleman Co......................................... 3,200 49,400
*Hanger Orthopedic Group, Inc......................... 1,900 19,475
*Hanover Direct, Inc.................................. 22,600 87,575
*Harbinger Corp....................................... 3,800 66,619
Harbor Florida Bancshares, Inc........................ 3,500 44,297
*Harding Lawson Associates Group, Inc................. 500 3,734
Hardinge Brothers, Inc................................ 1,200 16,387
*Harken Energy Corp................................... 1,000 1,000
Harland (John H.) Co.................................. 3,700 68,681
Harleysville Group, Inc............................... 2,600 39,081
Harleysville National Corp. PA........................ 315 10,218
Harman International Industries, Inc.................. 100 5,150
Harmon Industries, Inc................................ 700 8,750
*Harmonic Lightwaves, Inc............................. 1,600 96,300
Harris Financial, Inc................................. 4,000 35,250
*Hastings Entertainment, Inc.......................... 900 4,416
*Hauppauge Digital, Inc............................... 200 4,869
*Hauser, Inc.......................................... 175 421
Haven Bancorp, Inc.................................... 600 9,712
*Hawaiian Airlines, Inc............................... 4,100 8,969
*Hawk Corp............................................ 600 3,225
*Hawker Pacific Aerospace............................. 700 3,216
Hawkins Chemical, Inc................................. 600 4,969
*Hawthorne Financial Corp............................. 300 4,162
*Hayes Lemmerz International, Inc..................... 3,000 49,125
*Headway Corporate Resources, Inc..................... 1,000 3,719
*Health Management Systems, Inc....................... 1,700 7,809
*Health Risk Management, Inc.......................... 500 3,406
*Health Systems Design Corp........................... 700 3,719
*Healthcare Recoveries, Inc........................... 700 2,286
*Healthcare Services Group, Inc....................... 1,100 8,937
Healthplan Services Corp.............................. 1,400 9,187
*Heartland Express, Inc............................... 3,200 47,700
*Heartport, Inc....................................... 2,500 12,422
*Hearx, Ltd........................................... 1,000 4,000
*Hecla Mining Co...................................... 6,700 13,819
Heico Corp............................................ 800 13,700
Heilig-Meyers Co...................................... 6,400 23,200
Helix Technology Corp................................. 1,800 72,787
*Hello Direct, Inc.................................... 300 3,609
*Helmstar Group, Inc.................................. 500 2,062
*#Hemispherx Biopharma, Inc........................... 2,600 23,887
Henry Jack & Associates, Inc.......................... 2,000 79,437
Herbalife International, Inc. Class A................. 1,000 14,469
Heritage Financial Corp............................... 1,100 9,316
*Herley Industries, Inc............................... 500 6,891
*Heska Corp........................................... 2,700 5,737
*Hexcel Corp.......................................... 3,600 21,375
*Hi-Shear Technology Corp............................. 300 900
*Hi-Tech Pharmacal, Inc............................... 200 984
*Hibbett Sporting Goods, Inc.......................... 500 6,500
*Highlands Insurance Group, Inc....................... 1,300 9,425
Hilb Rogal Hamilton Co................................ 1,300 35,262
*Hines Horticulture, Inc.............................. 2,200 19,594
*Hoenig Group, Inc.................................... 800 7,925
*Holiday RV Superstores, Inc.......................... 600 2,831
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*#Hollis-Eden Pharmaceuticals, Inc.................... 1,100 $ 17,737
Holly Corp............................................ 700 10,062
*Hollywood Casino Corp. Class A....................... 2,500 8,437
*Hollywood Entertainment Corp......................... 4,600 65,119
*Hollywood Park, Inc.................................. 3,100 62,581
*Hologic, Inc......................................... 1,500 8,062
*Holt's Cigar Holdings, Inc........................... 204 931
Home Federal Bancorp.................................. 500 11,687
*Home Products International, Inc..................... 400 3,587
*Homebase, Inc........................................ 3,800 13,062
Hooper Holmes, Inc.................................... 2,900 68,512
Horizon Financial Corp................................ 900 9,056
*Horizon Health Corp.................................. 500 3,719
*Horizon Medical Products, Inc........................ 1,600 5,100
*Horizon Offshore, Inc................................ 1,900 11,934
*Horizon Pharmacies, Inc.............................. 600 1,762
*Hospitality Worldwide Services, Inc.................. 1,300 3,575
*Hot Topic, Inc....................................... 200 8,844
*Houston Exploration Co............................... 2,900 58,000
*Hovnanian Enterprises, Inc. Class A.................. 1,400 8,925
*Hub Group, Inc. Class A.............................. 400 6,925
*Hudson River Bancorp, Inc............................ 1,700 18,541
*Hudson Technologies, Inc............................. 500 984
Huffy Corp............................................ 1,100 7,219
Hughes Supply, Inc.................................... 2,300 54,481
Hunt (J.B.) Transport Services, Inc................... 4,300 56,841
Hunt Corp............................................. 1,200 9,900
Huntco, Inc. Class A.................................. 500 1,094
*Hurco Companies, Inc................................. 300 1,162
*Hutchinson Technology, Inc........................... 3,000 55,312
*Hypercom Corp........................................ 4,000 37,750
*HyperFeed Technologies, Inc.......................... 1,500 7,805
*Hyperion Solutions Corp.............................. 3,100 84,959
*Hyseq, Inc........................................... 1,300 8,775
*I-Stat Corp.......................................... 1,600 21,400
*ICT Group, Inc....................................... 1,200 14,700
*ICU Medical, Inc..................................... 500 7,672
*IDEXX Laboratories, Inc.............................. 4,000 74,250
*IDG Books Worldwide, Inc............................. 1,700 25,925
*IDT Corp............................................. 2,800 63,612
*IDX Systems Corp..................................... 3,300 70,022
*IEC Electronics Corp................................. 400 925
*IFR Systems, Inc..................................... 500 1,937
*#IGEN, Inc........................................... 1,500 38,437
*IHOP Corp............................................ 1,800 27,900
*II-VI, Inc........................................... 800 13,900
IMCO Recycling, Inc................................... 1,600 20,600
*IMR Global Corp...................................... 4,400 50,187
*IRI International Corp............................... 1,000 4,250
ISB Financial Corp. LA................................ 300 4,800
*ISOCOR............................................... 1,200 27,900
*IT Group, Inc ....................................... 2,300 24,006
*ITEQ, Inc............................................ 800 688
*ITI Technologies, Inc................................ 800 23,950
*ITLA Capital Corp.................................... 500 7,328
*ITT Educational Services, Inc........................ 2,600 45,825
*IVI Checkmate Corp................................... 1,800 6,244
*Ibis Technology Corp................................. 800 32,450
*Identix, Inc......................................... 3,700 32,606
*Ikos Systems, Inc.................................... 500 3,859
*Il Fornaio (America) Corp............................ 300 1,814
*Image Entertainment, Inc............................. 1,600 9,250
</TABLE>
36
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Imation Corp......................................... 1,000 $ 32,187
*Imclone Systems, Inc................................. 2,500 90,781
*Immucor, Inc......................................... 500 6,187
*Immune Response Corp. DE............................. 2,500 11,172
*#Immunogen, Inc...................................... 2,300 7,978
*#Immunomedics, Inc................................... 1,500 3,492
*Impath, Inc.......................................... 800 17,850
*Impco Technologies, Inc.............................. 600 7,725
*Imperial Bancorp..................................... 2,700 64,800
*Imperial Credit Industries, Inc...................... 3,700 21,737
Imperial Sugar Co..................................... 3,400 13,600
*In Focus Systems, Inc................................ 2,200 45,856
*In Home Health, Inc.................................. 700 2,056
*Inacom Corp.......................................... 5,500 32,656
*Incyte Pharmaceuticals, Inc.......................... 2,500 72,344
Independence Community Bank Corp...................... 59 662
Independent Bank Corp. MA............................. 1,000 13,656
Independent Bank East................................. 693 11,456
*Individual Investor Group, Inc....................... 900 2,559
*Indus International, Inc............................. 3,200 29,850
Industrial Bancorp, Inc............................... 200 3,475
*Industrial Distribution Group, Inc................... 800 3,050
*Industrial Holdings, Inc............................. 1,800 4,612
*#Industri-Matematik International Corp. ADR.......... 3,800 11,044
*Inference Corp. Class A.............................. 300 1,416
*Infinium Software, Inc............................... 800 3,950
*#Infocure Corp....................................... 3,300 53,109
*#Infonautics Corp. Class A........................... 600 4,659
*#Information Architects Corp......................... 1,800 7,875
*Information Management Associates, Inc............... 800 3,212
*#Information Resource Engineering, Inc............... 300 4,903
*Information Resources, Inc........................... 3,000 29,953
*infoUSA, Inc......................................... 2,500 15,703
Ingles Market, Inc. Class A........................... 600 7,031
*#Inhale Therapeutic Systems.......................... 1,700 52,541
*Innerdyne, Inc....................................... 200 750
*Innotrac Corp........................................ 2,100 30,712
*Innovasive Devices, Inc.............................. 900 6,947
*#Innovative Gaming Corp. of America.................. 700 1,203
Innovex, Inc.......................................... 1,500 13,547
*Inprise Corp......................................... 5,800 51,837
*Input/Output, Inc.................................... 6,100 32,787
*Insight Enterprises, Inc............................. 2,600 87,262
*Insignia Financial Group, Inc........................ 2,100 17,062
*Insite Vision, Inc................................... 2,300 5,894
*Insituform Technologies, Inc. Class A................ 2,400 60,150
*Inso Corp............................................ 1,600 36,350
*Inspire Insurance Solutions, Inc..................... 1,900 11,964
Insteel Industries, Inc............................... 500 4,219
*Insurance Auto Auctions, Inc......................... 600 8,569
*Insurance Management Solutions, Inc.................. 1,000 3,000
*Integra Lifesciences Corp............................ 1,600 10,075
*IntegraMed America, Inc.............................. 500 1,586
*Integrated Device Technology, Inc.................... 5,300 124,716
*Integrated Electrical Services, Inc.................. 900 9,562
*Integrated Health Services, Inc...................... 500 187
*Integrated Measurement System, Inc................... 500 6,984
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Integrated Silicon Solution, Inc..................... 1,800 $ 16,397
*Integrated Systems, Inc.............................. 2,300 66,269
*#Intellidata Technologies Corp....................... 2,200 10,828
*Intelligent Life Corp................................ 1,000 4,344
*#Intelligroup, Inc................................... 1,600 24,650
*IntelliQuest Information Group, Inc.................. 800 9,725
*Inter Parfums, Inc................................... 600 5,512
*InterCept Group, Inc................................. 1,000 16,844
*InterDent, Inc....................................... 2,100 17,850
*Interdigital Communications Corp..................... 5,800 58,725
*Intergraph Corp...................................... 4,900 21,973
*Interleaf, Inc....................................... 900 33,131
*Interlink Electronics................................ 500 14,953
*Interlinq Software Corp.............................. 300 1,303
*Intermagnetics General Corp.......................... 800 5,350
Intermet Corp......................................... 2,500 25,156
*International FiberCom, Inc.......................... 3,400 24,172
*#International Microcomputer Software, Inc........... 300 675
International Multifoods Corp......................... 2,200 30,662
*International Rectifier Corp......................... 3,300 66,825
International Shipholding Corp........................ 600 8,100
*International Speciality Products, Inc............... 6,800 56,950
*International Speedway Corp.
Class A............................................. 312 20,543
*International Telecommunication Data Systems, Inc.... 1,700 22,206
*International Total Services, Inc.................... 300 402
*Interneuron Pharmaceuticals, Inc..................... 2,700 8,944
*Interphase Corp...................................... 500 14,844
Interpool, Inc........................................ 2,800 24,850
*Interpore International.............................. 1,100 7,322
*Interstate National Dealers Services, Inc............ 200 1,219
*Intertan, Inc........................................ 1,300 31,119
Inter-Tel, Inc........................................ 3,500 69,891
*Intervoice, Inc...................................... 3,817 57,374
*Intervu, Inc......................................... 1,300 81,128
Interwest Bancorp..................................... 1,600 32,800
*Intevac, Inc......................................... 800 3,150
*IntraNet Solutions, Inc.............................. 1,500 33,047
Invacare Corp......................................... 2,900 61,081
*Investment Technology Group, Inc..................... 1,600 42,900
Investors Financial Services Corp..................... 1,500 68,672
*Invision Technologies, Inc........................... 800 3,225
*Invivo Corp.......................................... 200 2,587
*Iomed, Inc........................................... 700 2,712
*Ionics, Inc.......................................... 1,600 42,700
Irwin Financial Corp.................................. 2,200 45,444
*Isis Pharmaceuticals, Inc............................ 2,800 43,837
*Isle of Capri Casinos, Inc........................... 2,400 30,975
*Isolyser Co., Inc.................................... 4,000 11,375
*#Itron, Inc.......................................... 1,500 9,516
*J & J Snack Foods Corp............................... 600 11,306
*J. Alexander's Corp.................................. 700 2,144
*J. Jill Group, Inc................................... 600 3,272
*JDA Software Group, Inc.............................. 2,400 33,675
JLG Industries, Inc................................... 3,300 45,169
*JLM Industries, Inc.................................. 500 1,828
*JPM Co............................................... 900 8,100
*JPS Industries, Inc.................................. 1,200 3,600
*JWGenesis Financial Corp............................. 300 4,838
</TABLE>
37
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Jackpot Enterprises, Inc............................. 600 $ 4,913
*Jakks Pacific, Inc................................... 1,950 47,227
*Jan Bell Marketing, Inc.............................. 2,800 7,875
*Jason, Inc........................................... 1,300 9,750
*Javelin Systems, Inc................................. 900 10,350
Jefferies Group, Inc.................................. 2,900 57,638
*Johnson Worldwide Associates, Inc. Class A........... 300 2,358
*Johnston Industries, Inc............................. 700 1,094
*Jones Apparel Group, Inc............................. 501 13,370
*Jones Lang LaSalle, Inc.............................. 3,700 44,863
Jostens, Inc.......................................... 4,100 75,338
*Journal Register Co.................................. 3,200 38,200
*Juno Lighting, Inc................................... 70 812
Justin Industries, Inc................................ 2,300 35,722
K Swiss, Inc. Class A................................. 800 11,425
*#K-Tel International, Inc............................ 1,000 6,594
*K-V Pharmaceutical Co. Class A....................... 1,200 23,250
*K-V Pharmaceutical Co. Class B....................... 600 11,550
K2, Inc............................................... 1,700 12,538
KCS Energy, Inc....................................... 1,900 1,425
*KTI, Inc............................................. 600 4,950
*KVH Industries, Inc.................................. 700 2,155
*Kaiser Aluminum Corp................................. 9,500 62,938
*Kaiser Ventures, Inc................................. 700 9,669
Kaman Corp. Class A................................... 2,300 27,384
*Kaneb Services, Inc.................................. 3,100 13,563
*Kasper A.S.L., Ltd................................... 500 1,469
Katy Industries, Inc.................................. 800 8,400
*Kellstrom Industries, Inc............................ 1,400 12,294
Kellwood Co........................................... 3,300 68,475
*Kemet Corp........................................... 2,500 90,391
*Kendle International, Inc............................ 1,100 8,938
Kennametal, Inc....................................... 900 29,925
*Kennedy-Wilson, Inc.................................. 1,100 8,319
*Kensey Nash Corp..................................... 400 5,213
*Kent Electronics Corp................................ 2,800 64,225
*#Keravision, Inc..................................... 1,800 16,031
*Kevco, Inc........................................... 1,000 2,906
*Key Energy Group, Inc................................ 9,900 49,500
*Key Production Co., Inc.............................. 1,200 9,750
*Key Technology, Inc.................................. 500 3,766
*Key Tronic Corp...................................... 1,000 4,188
*Keystone Automotive Industries, Inc.................. 1,700 9,775
*Keystone Consolidated Industries, Inc................ 1,000 3,938
*Kinnard Investment, Inc.............................. 300 1,716
*Kirby Corp........................................... 2,000 36,750
*Kitty Hawk, Inc...................................... 1,700 13,281
Klamath First Bancorp, Inc............................ 600 6,825
*Knight Transportation, Inc........................... 1,500 20,953
Kollmorgen Corp....................................... 700 6,388
*Kopin Corp........................................... 800 52,100
*Kronos, Inc.......................................... 750 38,859
*Kulicke & Soffa Industries, Inc...................... 2,300 81,866
*LCA-Vision, Inc...................................... 6,100 25,734
*LCC International, Inc. Class A...................... 1,000 14,344
*LLEX Oncology, Inc................................... 2,000 34,875
*LMI Aerospace, Inc................................... 800 2,613
LNR Property Corp..................................... 2,600 45,825
LSB Industries, Inc................................... 700 547
LSI Industries, Inc................................... 1,200 28,988
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*#LSI Logic Corp...................................... 121 $ 7,313
LTV Corp.............................................. 10,000 35,000
*LTX Corp............................................. 3,600 65,138
*La Jolla Pharmceutical Co............................ 1,300 2,478
*LaBarge, Inc......................................... 500 625
LabOne, Inc........................................... 900 6,919
*Labor Ready, Inc..................................... 5,100 64,706
*Laboratory Corp. of America Holdings, Inc............ 4,000 15,000
*Ladd Furniture, Inc.................................. 500 10,578
*Ladish Co., Inc...................................... 1,000 6,859
*Lakes Gaming, Inc.................................... 1,100 9,453
*Lamson & Sessions Co................................. 1,300 6,825
Lance, Inc............................................ 3,600 37,463
*Lancer Corp.......................................... 600 3,225
Landamerica Financial Group, Inc...................... 1,400 27,213
Landauer, Inc......................................... 900 22,275
*Landec Corp.......................................... 900 5,625
*Landrys Seafood Restaurants, Inc..................... 2,600 22,953
*Landstar Systems, Inc................................ 1,200 48,038
*Laser Vision Centers, Inc............................ 2,500 36,094
*LaserSight Corporation............................... 2,100 26,841
*Lason, Inc........................................... 2,300 56,206
Lawson Products, Inc.................................. 1,200 27,488
*Layne Christensen Co................................. 1,200 8,100
*Lazare Kaplan International, Inc..................... 500 3,875
*Leapnet, Inc......................................... 1,400 7,634
*Learn2.com, Inc...................................... 5,100 15,380
*Learning Tree International, Inc..................... 2,200 54,863
*#Leasing Solutions, Inc.............................. 500 109
*Lechters, Inc........................................ 1,100 1,719
*Lecroy Corp.......................................... 800 11,200
Lesco, Inc............................................ 500 7,516
*LeukoSite, Inc....................................... 1,500 61,266
*Level 8 Systems, Inc................................. 500 10,391
Libbey, Inc........................................... 1,600 42,400
Liberty Bancorp, Inc.................................. 200 1,294
*Life Financial Corp.................................. 700 2,789
*Lifecell Corp........................................ 1,200 6,375
*Lifecore Biomedical, Inc............................. 1,500 23,203
Lifetime Hoan Corp.................................... 500 2,547
*Ligand Pharmaceuticals, Inc. Class B................. 5,700 65,372
*Lightbridge, Inc..................................... 1,600 32,400
Lillian Vernon Corp................................... 600 7,200
Lilly Industry, Inc. Class A.......................... 2,300 32,056
Lindsay Manufacturer Co............................... 1,300 21,856
*Liposome Co., Inc.................................... 4,700 58,309
*Lithia Motors, Inc. Class A.......................... 300 5,681
*Littlefuse, Inc...................................... 1,900 39,841
*Lodgenet Entertainment Corp.......................... 1,400 25,156
*Loews Cineplex Entertainment Corp.................... 6,800 44,200
*Logic Devices, Inc................................... 300 666
*#Logility, Inc....................................... 1,000 7,219
*Lojack Corp.......................................... 1,800 14,006
*Lone Star Steakhouse Saloon.......................... 4,000 30,188
*Lone Star Technologies, Inc.......................... 2,300 58,219
Longview Fibre Co..................................... 6,200 79,050
*Loronix Information Systems, Inc..................... 200 3,919
*Louis Dreyfus Natural Gas Corp....................... 1,200 21,600
Luby's Cafeterias, Inc................................ 2,400 27,900
Lufkin Industries, Inc................................ 800 11,150
*Lumisy, Inc.......................................... 600 1,913
</TABLE>
38
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Lunar Corp........................................... 600 $ 4,181
*Lydall, Inc. DE...................................... 1,600 14,300
*Lynx Therapeutics, Inc............................... 700 8,050
M.A. Hanna Co......................................... 4,900 51,144
*M.H. Meyerson & Co., Inc............................. 300 1,284
MAF Bancorp, Inc...................................... 2,900 64,253
*MAI Systems Corp..................................... 1,100 756
*MB Financial, Inc.................................... 400 5,213
MDC Holdings, Inc..................................... 2,300 34,356
*MECH Financial, Inc.................................. 500 17,266
*MEMC Electronic Materials, Inc....................... 1,200 14,400
MFB Corp.............................................. 100 1,844
*MGI Pharma, Inc...................................... 1,500 19,078
MI Schottenstein Homes, Inc........................... 600 9,450
*MIPS Technologies, Inc............................... 1,300 57,403
MMI Companies, Inc.................................... 5,000 20,313
MOCON, Inc............................................ 300 2,091
*MRV Communications, Inc.............................. 2,400 76,725
*MS Carriers, Inc..................................... 1,500 39,281
*MSC Industrial Direct Co., Inc.
Class A............................................. 3,400 30,813
*MSC Software Corp.................................... 1,400 11,725
MTS Systems Corp...................................... 2,100 21,033
MYR Group, Inc........................................ 600 11,175
*Mace Security International, Inc..................... 1,600 11,950
*Mac-Gray Corp........................................ 1,000 3,938
*Mackie Designs, Inc.................................. 300 1,575
*Madden (Steven), Ltd................................. 1,100 13,991
*Made2Manage Systems, Inc............................. 200 1,369
Madison Gas & Electric Co............................. 1,000 19,344
*Magainin Pharmaceuticals, Inc........................ 1,400 2,122
*Magellan Health Services, Inc........................ 3,200 20,000
*Magnetek, Inc........................................ 3,200 21,400
*Magnum Hunter Resources, Inc......................... 2,100 6,694
*Mail-Well, Inc....................................... 4,900 58,494
*Main Street & Main, Inc.............................. 600 2,044
*Main Street Bancorp, Inc............................. 1,000 10,594
*Mallon Resources Corp................................ 500 3,000
*Manchester Equipment Co., Inc........................ 400 1,263
*Manhattan Associates, Inc............................ 2,400 12,600
Manitowoc Co., Inc.................................... 600 18,300
*Manugistic Group, Inc................................ 3,300 55,481
*Mapics, Inc.......................................... 1,900 17,991
*Mapinfo Corp......................................... 300 7,181
Marcus Corp........................................... 1,000 12,750
*Marine Drilling Companies, Inc....................... 3,400 57,375
*Marine Transport Corp................................ 2,000 5,313
Maritrans, Inc........................................ 1,100 6,119
*Marketing Services, Inc.............................. 3,000 54,094
*MarkWest Hydrocarbon, Inc............................ 500 2,750
*Marlton Technologies, Inc............................ 500 938
Marsh Supermarkets, Inc. Class B...................... 200 2,088
*Martek Biosciences Corp.............................. 1,600 16,700
*Marvel Enterprises, Inc.............................. 2,300 14,375
MascoTech, Inc........................................ 100 1,200
Massbank Corp. Reading, MA............................ 100 3,263
*Mastec, Inc.......................................... 1,800 74,138
*Mastech Corp......................................... 2,500 47,188
*Matria Healthcare, Inc............................... 4,400 17,119
*Matritech, Inc....................................... 2,200 7,116
*Matrix Bancorp, Inc.................................. 700 10,172
*Matrix Pharmaceutical, Inc........................... 2,200 11,413
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Matrix Service Co.................................... 1,200 $ 5,475
Matthews International Corp. Class A.................. 1,300 29,494
*Mattson Technology, Inc.............................. 1,500 24,281
*Maui Land & Pineapple Company, Inc................... 400 7,450
*Maverick Tube Corp................................... 2,100 45,084
*Maxicare Health Plans, Inc........................... 1,800 5,794
*Maxim Group, Inc..................................... 1,900 10,688
*#Maxim Pharmaceuticals, Inc.......................... 1,200 16,950
*Maximus, Inc......................................... 2,100 58,800
*Maxtor Corp.......................................... 10,500 63,984
*Maxwell Shoe Company, Inc............................ 900 7,819
*Maxwell Technologies, Inc............................ 1,000 10,844
*Maynard Oil Co....................................... 200 2,269
*Mazel Stores, Inc.................................... 600 5,700
McGrath Rent Corp..................................... 1,300 23,441
*McMoran Exploration Co............................... 1,400 30,538
*McNaughton Apparel Group, Inc........................ 500 3,531
*McWhorter Technologies, Inc.......................... 1,000 13,750
*Meade Instruments Corp............................... 500 15,234
*Meadow Valley Corp................................... 200 769
Meadowbrook Insurance Group, Inc...................... 900 5,344
*Measurement Specialties, Inc......................... 500 8,938
*Mechanical Dynamics, Inc............................. 300 1,369
*Mecon, Inc........................................... 800 8,625
*Medarex, Inc......................................... 3,200 36,600
*Medco Research, Inc.................................. 700 18,638
Medford Bancorp, Inc.................................. 600 10,050
*Media 100, Inc....................................... 1,000 13,969
*Media Arts Group, Inc................................ 1,300 5,038
*MediaBay, Inc........................................ 600 7,763
*Medialink Worldwide, Inc............................. 600 3,600
*Medical Action Industries, Inc....................... 600 1,969
*Medical Assurance, Inc............................... 2,300 50,456
*Medical Manager Corp................................. 875 52,965
*Medicalcontrol, Inc.................................. 200 1,250
*Medicis Pharmaceutical Corp.
Class A............................................. 2,500 87,813
*Medimmune, Inc....................................... 405 48,663
*Medstone International, Inc.......................... 200 1,191
*Memberworks, Inc..................................... 1,600 39,950
*Mens Warehouse, Inc.................................. 301 7,713
Mentor Corp. MN....................................... 2,200 51,288
*Mentor Graphics Corp................................. 8,000 71,875
Merchants Bancshares, Inc............................. 200 4,513
*Mercury Air Group, Inc............................... 700 5,600
*Mercury Computer Systems, Inc........................ 1,000 57,094
Meridian Diagnostics, Inc............................. 1,700 12,538
Meridian Insurance Group, Inc......................... 200 3,088
*Meridian Resource Corp............................... 5,000 18,438
*MeriStar Hotels & Resorts, Inc....................... 2,800 9,450
*Merit Medical Systems, Inc........................... 700 4,638
*Merix Corp........................................... 300 3,628
*Mesa Air Group, Inc.................................. 4,100 20,756
*Mesa Labs, Inc....................................... 200 744
*Mesaba Holdings, Inc................................. 2,000 24,688
*Messagemedia, Inc.................................... 4,300 71,353
*Meta Group, Inc...................................... 800 13,250
*Metacreations Corp................................... 2,400 16,875
*Metal Management, Inc................................ 2,600 5,972
*Metals USA, Inc...................................... 4,500 37,688
*Metamor Worldwide, Inc............................... 3,400 89,781
</TABLE>
39
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Metatec Corp. Class A................................ 400 $ 1,038
Methode Electronics, Inc. Class A..................... 3,400 92,331
Met-Pro Corp.......................................... 700 7,306
*Metricom, Inc........................................ 1,900 112,338
*#Metro Information Services, Inc..................... 1,500 22,313
*Metro One Telecommunications, Inc.................... 1,400 14,088
*Metrocall, Inc....................................... 4,200 8,663
*Metrologic Instruments, Inc.......................... 500 6,844
Metrowest Bank MA..................................... 1,400 8,750
*Miami Computer Supply Corp........................... 1,200 33,600
*Michael Anthony Jewelers, Inc........................ 700 2,188
Michael Foods, Inc.................................... 2,100 52,828
*Michaels Stores, Inc................................. 900 28,266
*Micro Component Technology, Inc...................... 700 3,259
*Micro Linear Corp.................................... 1,000 7,125
*Micro Warehouse, Inc................................. 4,300 50,659
*Microage, Inc........................................ 2,100 6,234
*Microcide Pharmaceuticals, Inc....................... 700 5,086
MicroFinancial, Inc................................... 500 5,656
*Micrografx, Inc...................................... 800 3,875
*Micros Systems, Inc.................................. 1,600 81,250
*Microsemi Corp....................................... 800 6,175
*Microtest, Inc....................................... 800 5,550
*Micro-Therapeutics, Inc.............................. 800 7,525
*Microtouch Systems, Inc.............................. 500 7,453
*#Microvision, Inc.................................... 1,000 16,188
*Microware Systems Corp............................... 1,800 10,519
*Microwave Power Dynamics, Inc........................ 700 5,327
Mid America Banccorp.................................. 1,200 34,425
*Mid Atlantic Medical Services, Inc................... 6,000 48,000
Midas, Inc............................................ 1,700 36,550
Midcoast Energy Resources, Inc........................ 1,300 24,375
*Middleby Corp........................................ 700 3,697
*Midway Airlines Corp................................. 900 6,722
*Midway Games, Inc.................................... 3,800 82,175
*Midwest Express Holdings, Inc........................ 1,700 49,194
*Midwest Grain Products, Inc.......................... 600 5,119
Mikasa, Inc........................................... 1,800 19,575
*Mikohn Gaming Corp................................... 700 3,588
Milacron, Inc......................................... 3,300 48,056
*Miller Industries, Inc............................... 3,800 9,263
Minntech Corp......................................... 800 7,700
*#Miravant Medical Technologies....................... 1,800 24,750
Mississippi Chemical Corp............................. 2,600 13,813
*Mitcham Industries, Inc.............................. 1,100 4,297
Mitchell Energy & Development Corp. Class A........... 1,500 35,344
Mobile America Corp................................... 500 1,078
*Mobile Mini, Inc..................................... 1,100 18,941
*Mobius Management Systems, Inc....................... 1,700 10,439
*Modtech Holdings, Inc................................ 1,310 9,620
*Molecular Biosystems, Inc............................ 1,200 1,575
*Monaco Coach Corp.................................... 2,300 49,450
*Monarch Dental Corp.................................. 1,700 3,400
*Mondavi (Robert) Corp. Class A....................... 1,000 38,375
*Monro Muffler Brake, Inc............................. 400 2,825
*Monterey Pasta Co.................................... 600 2,213
*Moog, Inc. Class A................................... 300 7,875
Morgan Keegan, Inc.................................... 3,300 55,069
*Morrison Knudsen Corp................................ 5,700 49,519
Morrison Management Specialists, Inc.................. 1,200 25,200
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Morton's Restaurant Group, Inc....................... 600 $ 8,963
*#Mossimo, Inc........................................ 1,100 8,525
*Mother's Work, Inc................................... 200 2,163
*Motor Car Parts & Accessories, Inc................... 200 289
Movado Group, Inc..................................... 500 11,906
*Movie Gallery, Inc................................... 900 3,713
*Multiple Zones International, Inc.................... 1,600 16,525
*Musicland Stores Corp................................ 3,600 28,575
Myers Industries, Inc................................. 1,980 29,700
*Myriad Genetics, Inc................................. 1,100 36,403
*N & F Worldwide Corp................................. 2,100 11,550
*NABI, Inc............................................ 3,500 16,078
NBT Bancorp........................................... 1,260 21,499
*NBTY, Inc............................................ 6,500 63,680
NCH Corp.............................................. 200 9,325
*NCI Building Systems, Inc............................ 1,800 29,925
*NCO Group, Inc....................................... 332 15,376
*NCS Healthcare, Inc.................................. 1,600 4,275
*NFO Worldwide, Inc................................... 2,200 28,738
NL Industries, Inc.................................... 5,200 70,850
*NMT Medical, Inc..................................... 1,000 2,094
NN Ball & Roller, Inc................................. 1,500 10,031
*NPC International, Inc............................... 2,500 31,328
*NPS Pharmaceuticals, Inc............................. 1,100 6,566
*NS Group, Inc........................................ 2,100 21,788
NUI Corp.............................................. 700 17,631
*NYFIX, Inc........................................... 1,350 36,281
*Nanometrics, Inc..................................... 700 15,706
*Napro Biotherapeutics, Inc........................... 2,300 6,433
Nash Finch Co......................................... 1,400 10,106
*Nashua Corp.......................................... 600 4,425
*Nastech Pharmaceutical Co., Inc...................... 300 586
*Nathans Famous, Inc.................................. 200 672
*National Beverage Corp............................... 1,500 12,188
National City Bancorp................................. 1,100 21,588
National City Bankshares, Inc......................... 1,260 36,973
*National Dentex Corp................................. 200 3,438
*National Discount Brokers Group, Inc................. 2,000 64,250
*National Equipment Services, Inc..................... 2,900 28,275
*National Home Health Care Corp....................... 500 2,109
National Penn Bancshares, Inc......................... 1,700 45,581
National Presto Industries, Inc....................... 500 17,625
*National Processing, Inc............................. 5,000 43,125
*National Record Mart, Inc............................ 200 803
*National RV Holdings, Inc............................ 1,300 24,213
*National Standard Co................................. 600 2,325
National Steel Corp. Class B.......................... 2,000 11,625
National Technical Systems, Inc....................... 500 1,906
*National Techteam, Inc............................... 700 2,778
*Natural Alternatives International, Inc.............. 300 1,022
*Natural Microsystems Corp............................ 1,300 47,288
*Natural Wonders, Inc................................. 400 613
Natures Sunshine Products, Inc........................ 1,800 15,131
*Nautica Enterprises, Inc............................. 4,200 55,256
*Navarre Corp......................................... 2,800 21,088
*Navigant Consulting, Inc............................. 2,500 26,563
*Navigant International, Inc.......................... 1,300 12,106
*Neff Corp. Class A................................... 1,600 13,800
Nelson (Thomas), Inc.................................. 1,300 11,538
*Neogen Corp.......................................... 200 1,259
*NeoMagic Corp........................................ 3,000 27,281
*Neopharm, Inc........................................ 800 13,300
</TABLE>
40
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Neose Technologies, Inc.............................. 1,000 $ 15,188
*#Neotherapeutics, Inc................................ 400 4,750
*NetMoves Corporation................................. 1,600 8,700
*Netopia, Inc......................................... 1,300 72,231
*NetOptix Corp........................................ 1,000 35,813
*#Netrix Corp......................................... 1,100 9,934
*Netspeak Corp........................................ 1,300 21,084
*Network Computing Devices, Inc....................... 1,600 10,350
*Network Equipment Technologies, Inc.................. 2,600 32,013
*Network Event Theater, Inc........................... 2,000 47,813
*Network Peripherals, Inc............................. 1,300 44,809
*Neurocrine Biosciences, Inc.......................... 1,900 24,878
*Neurogen Corp........................................ 1,500 22,031
*New Brunswick Scientific Co., Inc.................... 500 2,750
*New Century Financial Corp........................... 1,500 23,531
New England Business Services, Inc.................... 1,400 31,675
New England Community Bancorp, Inc. Class A........... 500 14,109
*#New Era of Networks, Inc............................ 3,100 149,866
*New Horizons Worldwide, Inc.......................... 875 12,031
New Jersey Resources Corp............................. 1,800 72,450
*New Mexico & Arizona Land Co......................... 500 2,563
*Newpark Resources, Inc............................... 4,100 24,600
Newport Corp.......................................... 600 15,300
*Newsedge Corp........................................ 1,700 17,106
*Niagara Bancorp, Inc................................. 2,700 28,266
*Niagara Corp......................................... 1,000 4,656
*Nobel Learning Communities, Inc...................... 600 4,838
*Nobility Homes....................................... 200 1,169
*#Noble International, Ltd............................ 900 12,572
*Noodle Kidoodle, Inc................................. 500 3,516
*Norstan, Inc......................................... 1,300 9,344
*Nortek, Inc.......................................... 800 20,600
*Nortel Networks Corp................................. 558 41,292
*North American Scientific, Inc....................... 1,000 8,781
*North Face, Inc...................................... 500 2,641
North Pittsburgh Systems, Inc......................... 1,200 19,425
*Northfield Laboratories, Inc......................... 1,400 16,669
Northland Cranberries, Inc. Class A................... 1,800 10,631
Northwest Bancorp, Inc................................ 4,700 38,261
Northwest Natural Gas Co.............................. 1,600 40,150
*Northwest Pipe Co.................................... 600 7,500
Northwestern Corp..................................... 700 14,788
*Novadigm, Inc........................................ 1,800 31,050
*Novametrix Medical Systems, Inc...................... 600 2,400
*Novavax, Inc......................................... 1,500 7,313
*Noven Pharmaceuticals, Inc........................... 2,600 33,638
*Novoste Corp......................................... 1,400 21,131
*Nstor Technology..................................... 2,300 4,313
*Nu Horizons Electronics Corp......................... 1,130 10,241
*Nuevo Energy Co...................................... 2,000 30,875
*#Number Nine Visual Technology Corp.................. 700 667
*Numerex Corp. Class A................................ 1,100 7,322
*Nutraceutical International Corp..................... 1,100 4,933
*#Nutrition for Life International, Inc............... 500 1,336
Nymagic, Inc.......................................... 800 11,500
*O'Charleys, Inc...................................... 1,500 19,875
*O'Sullivan Industries Holdings, Inc.................. 1,600 27,400
*OAO Technology Solutions, Inc........................ 1,100 4,297
*ODS Networks, Inc.................................... 1,900 15,556
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
OEA, Inc.............................................. 2,100 $ 11,419
*OMNI Energy Services Corp............................ 1,100 1,753
*OSI Pharmaceutical, Inc.............................. 2,100 10,795
*OSI Systems, Inc..................................... 1,000 4,406
*Oak Industries, Inc.................................. 1,800 135,563
*Oak Technology, Inc.................................. 4,900 31,544
*Oakley, Inc.......................................... 7,600 45,600
Oakwood Homes Corp.................................... 1,900 5,700
*Object Design, Inc................................... 3,400 23,481
*Objective Systems Integrators, Inc................... 3,200 12,750
*Ocean Energy, Inc.................................... 1,900 14,488
*Oceaneering International, Inc....................... 2,300 29,900
OceanFirst Financial Corp............................. 1,000 18,531
*Ocular Sciences, Inc................................. 2,300 42,550
*Ocwen Financial Corp................................. 8,900 57,850
*Odwalla, Inc......................................... 300 1,547
*Officemax, Inc....................................... 2,500 15,313
*Offshore Logistics, Inc.............................. 1,900 18,763
*Ogden Corp........................................... 3,000 39,000
*Old Dominion Freight Lines, Inc...................... 400 5,075
Old Kent Financial Corp............................... 326 13,223
Olin Corp............................................. 4,400 78,925
Olsten Corp........................................... 3,400 34,425
*Olympic Steel, Inc................................... 1,000 5,031
Omega Financial Corp.................................. 600 18,263
*Omega Protein Corp................................... 2,400 6,300
*Omega Research, Inc.................................. 2,700 15,525
*Omega Worldwide, Inc................................. 500 1,891
*Omni Nutraceuticals, Inc............................. 1,800 3,431
*Omnipoint Corp....................................... 3,400 275,188
*Omtool, Ltd.......................................... 1,300 3,859
*On Assignment, Inc................................... 700 19,666
*On Command Corp...................................... 3,000 44,813
*#On Technology Corp.................................. 1,300 11,639
*On-Point Technology Systems, Inc..................... 900 2,011
*One Price Clothing Stores, Inc....................... 700 1,859
Oneida, Ltd........................................... 1,700 38,038
*Ontrack Data International, Inc...................... 1,000 10,719
*Onyx Acceptance Corp................................. 300 2,213
*Onyx Pharmacueticals, Inc............................ 1,200 10,275
*Open Market, Inc..................................... 3,600 132,638
*Open Plan Systems, Inc............................... 200 444
*Openroute Networks, Inc.............................. 1,500 13,266
*Opta Food Ingredients, Inc........................... 1,300 4,022
*Opti, Inc............................................ 700 2,450
*#Optical Cable Corp.................................. 3,800 71,131
Optical Coating Laboratory, Inc....................... 800 157,375
*Optika Imaging Systems, Inc.......................... 700 3,675
*Orbital Sciences Corp................................ 4,500 62,438
Oregon Steel Mills, Inc............................... 3,100 25,188
*#Organogenesis, Inc.................................. 3,000 27,938
*Oroamerica, Inc...................................... 300 2,091
*Orphan Medical, Inc.................................. 300 1,838
*Ortel Corp........................................... 800 50,900
*Orthodontic Centers of America, Inc.................. 5,800 70,688
*Orthologic Corp...................................... 3,100 7,653
Oshkosh B'Gosh, Inc. Class A.......................... 1,700 34,531
Oshkosh Truck Corp. Class B........................... 1,250 34,531
*Oshman's Sporting Goods, Inc......................... 600 1,013
*Osicom Technologies, Inc............................. 900 17,803
*Osmonics, Inc........................................ 1,700 15,300
*Osteotech, Inc....................................... 1,100 15,434
</TABLE>
41
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ottawa Financial Corp................................. 720 $ 14,288
Otter Tail Power Co................................... 400 15,988
*Outsource International, Inc......................... 900 830
*Overland Data........................................ 500 3,359
Overseas Shipholding Group, Inc....................... 3,600 52,650
Owens & Minor, Inc.................................... 3,300 30,938
Owosso Corp........................................... 300 1,106
Oxford Industries, Inc................................ 600 12,788
*#Oxigene, Inc........................................ 1,000 16,188
*P-Com, Inc........................................... 7,700 43,553
*PAM Transportation Services, Inc..................... 900 9,309
*PBOC Holdings, Inc................................... 2,500 20,781
*PC Connection, Inc................................... 1,900 52,309
*PCD, Inc............................................. 900 7,369
PFF Bancorp, Inc...................................... 1,400 30,800
*PJ America, Inc...................................... 600 9,600
*PLM International, Inc............................... 500 2,844
*PMR Corp............................................. 500 1,109
*PPT Vision, Inc...................................... 500 1,516
*PRI Automation, Inc.................................. 2,200 104,156
*PSC, Inc............................................. 800 5,800
*PSS World Medical, Inc............................... 7,100 71,222
*PSW Technologies, Inc................................ 500 5,906
PXRE Group, Ltd....................................... 900 11,138
Pacific Bank, N.A..................................... 400 11,050
*#Pacific Gateway Exchange, Inc....................... 1,900 34,616
*Pacific Sunwear of California, Inc................... 3,100 95,713
*Packaged Ice, Inc.................................... 1,000 3,531
*Pagasus Systems, Inc................................. 1,300 66,381
*Pagemart Wireless, Inc. Class A...................... 2,000 17,188
*Pairgain Technologies, Inc........................... 7,100 108,497
*Palm Harbor Homes, Inc............................... 2,400 43,800
*Pameco Corp.......................................... 1,000 4,313
*Panavision, Inc...................................... 500 2,344
*Panera Bread CO...................................... 700 5,556
*Panja, Inc........................................... 500 8,219
*Par Technology Corp.................................. 800 4,050
*Paravant, Inc........................................ 1,200 3,188
*Parexel International Corp........................... 1,600 19,150
Park Electrochemical Corp............................. 700 23,013
*Parker Drilling Co................................... 9,300 36,619
*#Parkervision, Inc................................... 1,200 28,200
*Park-Ohio Holdings Corp.............................. 1,300 15,356
*Parlux Fragrances, Inc............................... 1,600 5,900
*Pathogenesis Corp.................................... 1,600 31,100
*Patient Infosy....................................... 800 1,450
Patina Oil & Gas Corp................................. 1,400 9,975
Patrick Industries, Inc............................... 300 3,619
Patriot Bank Corp..................................... 500 4,078
*Patterson Energy, Inc................................ 3,400 43,031
*Paul Harris Stores, Inc.............................. 700 2,264
Paula Financial, Inc.................................. 300 1,847
*Paxar Corp........................................... 4,700 39,950
*Paxson Communications Corp........................... 6,400 73,200
*Peapod, Inc.......................................... 1,700 14,822
*#Pediatrix Medical Group, Inc........................ 1,600 12,400
*Peerless Systems Corp................................ 1,400 12,053
*Pegasus Communications Corp. Class A................. 700 45,850
*Pegasystems, Inc..................................... 2,800 20,869
Penford Corp.......................................... 500 7,500
*Penn National Gaming, Inc............................ 1,500 11,555
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Penn Treaty American Corp............................ 500 $ 7,938
Penn Virginia Corp.................................... 800 14,350
*Pennaco Energy, Inc.................................. 1,500 13,969
Penn-America Group, Inc............................... 600 4,800
Pennfed Financial Services, Inc....................... 1,100 17,291
*Pentacon, Inc........................................ 1,300 3,656
Penton Media, Inc..................................... 3,800 72,675
*Penwest Pharmaceuticals Company...................... 1,300 17,509
Peoples Bancshares, Inc. Massachusetts................ 200 3,944
Pep Boys - Manny, Moe & Jack.......................... 6,300 61,031
*Perceptron, Inc...................................... 1,000 4,391
*Performance Food Group Co............................ 1,700 42,766
*Performance Technologies, Inc........................ 1,350 27,506
*Perfumania, Inc...................................... 500 1,797
*Pericom Semiconductor Corp........................... 500 11,641
*Perini Corp.......................................... 500 1,969
*Perrigo Co........................................... 7,700 64,728
*Perry Ellis International, Inc....................... 100 1,138
*Per-Se Technologies, Inc............................. 2,833 21,294
*Personnel Group of America, Inc...................... 3,200 25,000
*Pervasive Software, Inc.............................. 1,500 20,484
*Petco Animal Supplies, Inc........................... 2,100 29,138
*Petroglyph Energy, Inc............................... 500 1,188
*Petroleum Development Corp........................... 1,600 6,825
*PetSmart, Inc........................................ 11,600 50,388
*Pharmaceutical Resources, Inc........................ 2,900 17,400
Pharmacia & Upjohn, Inc............................... 609 33,305
*Pharmacopeia, Inc.................................... 2,000 34,375
*Pharmacyclics........................................ 800 27,600
*Pharmanetics, Inc.................................... 400 2,488
*Pharmchem Laboratories, Inc.......................... 300 956
*Phar-Mor, Inc........................................ 800 2,063
*Philadelphia Consolidated Holding Corp............... 1,300 19,094
Philadelphia Suburban Corp............................ 1,800 41,625
*Phillips (R.H.), Inc................................. 300 839
Phillips-Van Heusen Corp.............................. 3,300 28,050
*#Phoenix International, Ltd.......................... 1,000 4,063
Phoenix Investment Partners, Ltd...................... 5,300 41,406
*Phoenix Technologies, Ltd............................ 2,700 38,644
*Photon Dynamics, Inc................................. 500 19,094
*Photronics, Inc...................................... 2,900 69,691
Piccadilly Cafeterias, Inc............................ 700 3,544
*Pico Holdings, Inc................................... 1,300 19,784
*Picturetel Corp...................................... 4,800 23,775
Pier 1 Imports, Inc. DE............................... 9,700 67,294
*Pierce Leahy Corp.................................... 1,700 54,400
*Piercing Pagoda, Inc................................. 600 7,838
Pilgrim Pride Corp.................................... 3,300 25,575
Pilgrim's Pride Corp.................................. 900 5,288
#Pillowtex Corp....................................... 1,400 5,600
*#Pilot Network Services, Inc......................... 1,400 23,756
*Pinnacle Systems, Inc................................ 1,400 46,113
*Pioneer Group, Inc................................... 3,200 47,400
*Pioneer Natural Resources Co......................... 3,000 24,938
Pioneer Standard Electronics, Inc..................... 3,300 44,344
Pitt-Des Moines, Inc.................................. 300 7,256
Pittston Co. Burlington Group......................... 2,100 19,950
*Plains Resources, Inc................................ 1,700 18,700
*Planar Systems, Inc.................................. 1,100 7,150
*Plasma-Therm, Inc.................................... 1,100 9,109
</TABLE>
42
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Play By Play Toys and Novelties, Inc................. 500 $ 1,477
*Playboy Enterprises, Inc. Class A.................... 500 8,594
*Playboy Enterprises, Inc. Class B.................... 2,100 43,706
*Playcore, Inc........................................ 800 7,100
*Players International, Inc........................... 2,100 16,341
*Plexus Corp.......................................... 1,600 63,050
Pocahontas Bancorp, Inc............................... 300 1,913
Pogo Producing Co..................................... 2,600 46,800
*Policy Management Systems Corp....................... 900 18,113
*Polycom, Inc......................................... 1,900 121,659
*Polymedica Industries, Inc........................... 1,500 26,531
*Polymer Group, Inc................................... 2,900 54,556
*Polyvision Corp...................................... 600 1,163
*Pomeroy Computer Resource, Inc....................... 1,200 15,038
Pope & Talbot, Inc.................................... 1,600 19,100
*#Possis Medical, Inc................................. 1,500 12,609
*Powercerv Corp....................................... 1,200 3,113
*Power-One, Inc....................................... 2,100 49,219
*Powertel, Inc........................................ 1,600 137,100
*Powerwave Technologies, Inc.......................... 2,000 119,438
*Praegitzer Industries, Inc........................... 1,300 7,130
*Precision Response, Corp............................. 2,200 48,263
Premier Bancshares, Inc............................... 3,100 51,344
*Premier Research Worldwide, Ltd...................... 700 7,416
*Premiere Technologies, Inc........................... 5,600 42,700
*Premisys Communications, Inc......................... 2,400 23,813
*Pre-Paid Legal Services, Inc......................... 2,300 54,913
Presidential Life Corp................................ 3,700 65,444
*Presstek, Inc........................................ 3,200 35,400
*#Preview Travel, Inc................................. 1,000 46,438
*Price Communications Corp............................ 3,543 88,796
*Pricesmart, Inc...................................... 400 15,575
*Pride International, Inc............................. 5,000 71,875
*Prima Energy Corp.................................... 500 12,625
*Primark Corp......................................... 2,100 55,781
Prime Bancshares, Inc................................. 1,000 27,031
*Prime Hospitality Corp............................... 5,100 44,306
*Prime Medical Services, Inc.......................... 1,600 15,150
*Primex Technologies, Inc............................. 1,000 20,375
*Primix Solutions, Inc................................ 1,500 13,102
*Primus Telecommunications Group, Inc................. 2,800 83,213
*Princeton Video Image, Inc........................... 800 5,500
*Printrak International, Inc.......................... 1,200 9,338
*Printronix, Inc...................................... 800 13,850
*Priority Healthcare Corp............................. 1,900 46,906
*ProBusiness Services, Inc............................ 2,100 60,309
*Procom Technology, Inc............................... 1,300 41,031
*Professional Detailing, Inc.......................... 1,200 31,950
*Progenics Pharmaceuticals, Inc....................... 900 25,819
*Programmers Paradise, Inc............................ 500 3,344
Progress Financial Corp............................... 315 4,115
*Progress Software Corp............................... 1,800 71,831
*Project Software & Development, Inc.................. 600 53,513
*ProMedCo Management Company.......................... 2,100 4,364
*Prophet 21, Inc...................................... 100 772
*Protection One, Inc.................................. 11,200 19,600
*Protein Design Labs, Inc............................. 1,900 76,119
*Protocol Systems, Inc................................ 800 6,325
*Provant, Inc......................................... 3,000 65,813
*Provident American Corp.............................. 1,200 36,188
*Provident Bancorp, Inc............................... 1,000 16,344
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Provident Bankshares Corp............................. 3,080 $ 61,119
*Provident Financial Holdings, Inc.................... 200 3,713
*Province Healthcare Co............................... 1,600 32,950
*Proxim, Inc.......................................... 700 39,288
*Proxymed, Inc........................................ 1,800 19,969
#Psychemedics Corp.................................... 2,200 9,900
*Public Service Co. of New Mexico..................... 2,700 44,888
Public Service Co. of North Carolina.................. 600 19,275
*Puma Technology, Inc................................. 1,100 55,103
*Pure World, Inc...................................... 550 1,564
*QMS, Inc............................................. 205 615
*QRS Corp............................................. 900 52,538
*Qad, Inc............................................. 3,600 17,213
*QuadraMed Corp....................................... 1,300 8,856
Quaker Chemical Corp.................................. 900 14,063
*Quaker Fabric Corp................................... 1,700 5,711
*Quality Dining, Inc.................................. 800 1,875
Quality Systems, Inc.................................. 300 2,025
Quanex Corp........................................... 1,400 29,663
*Quantum Corp.- DLT................................... 354 5,576
*Quantum Corp-Hard Disk Drive......................... 177 1,217
Queens County Bancorp................................. 2,600 75,481
*Quest Diagnostics, Inc............................... 1,900 57,831
*Quest Educational Corporation........................ 2,700 23,330
*Questcor Pharmaceuticals, Inc........................ 1,000 1,188
*Quidel Corp.......................................... 2,100 12,338
*#Quigley Corp........................................ 900 1,898
*Quiksilver, Inc...................................... 2,500 37,813
*Quintel Entertainment, Inc........................... 500 3,031
Quipp, Inc............................................ 100 1,525
Quixote Corp.......................................... 900 14,400
*Quorum Health Group, Inc............................. 7,300 65,472
*R & B, Inc........................................... 800 4,950
*R H Donnelley Corp................................... 4,000 74,500
*RCM Technologies, Inc................................ 700 8,991
*RDO Equipment Co. Class A............................ 600 3,938
*RF Monolithics, Inc.................................. 300 1,748
RLI Corp.............................................. 700 23,800
*RMH Teleservices, Inc................................ 700 4,933
*RMI.Net, Inc......................................... 1,500 12,938
RPC, Inc.............................................. 2,900 19,938
*RSA Security, Inc.................................... 1,500 56,063
*RTI International Metals, Inc........................ 2,100 13,913
*RTW, Inc............................................. 600 3,131
*RWD Technologies, Inc................................ 1,700 14,238
*Racing Champions Corp................................ 1,600 7,950
*Radiance Medical Systems, Inc........................ 1,000 5,438
*Radiant Systems, Inc................................. 2,000 49,563
*Radiologix, Inc...................................... 1,900 9,025
*RadiSys Corp......................................... 211 9,471
*Ragen Mackenzie Group, Inc........................... 1,500 30,469
*Railamerica, Inc..................................... 1,100 8,903
*Railtex, Inc......................................... 800 13,500
*Rainbow Rentals, Inc................................. 500 4,406
*Rainbow Technologies, Inc............................ 1,400 23,756
*Rainforest Cafe, Inc................................. 2,500 11,719
*Ralcorp Holdings, Inc................................ 2,700 52,819
Range Resources Corp.................................. 4,500 14,906
*Rare Hospitality International, Inc.................. 1,100 23,134
*Rare Medium Corp..................................... 3,600 100,350
*Rawlings Sporting Goods, Inc......................... 500 3,844
*Rayovac Corp......................................... 300 7,256
</TABLE>
43
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Raytel Med Corp...................................... 900 $ 2,672
*Read-Rite Corp....................................... 5,000 27,422
*#Redhook Ale Brewery, Inc............................ 900 2,180
*Reebok International, Ltd............................ 22,100 198,900
Regal Beloit Corp..................................... 1,900 41,800
*Regeneron Pharmaceuticals, Inc....................... 2,700 20,756
*Rehabcare Group, Inc................................. 700 14,088
*Rehabilicare, Inc.................................... 700 2,888
*Reliability, Inc..................................... 600 1,763
Reliance Bancorp, Inc................................. 900 35,409
Reliance Group Holdings, Inc.......................... 13,800 55,200
Reliance Steel and Aluminum Co........................ 2,550 62,156
Reliastar Financial Corp.............................. 250 10,875
*Relm Wireless Corp................................... 500 2,063
*Remec, Inc........................................... 2,200 28,188
*Remedy Corp.......................................... 2,600 90,838
*RemedyTemp, Inc...................................... 700 10,916
*Remington Oil & Gas Corp............................. 1,900 9,559
*Renaissance Worldwide, Inc........................... 6,800 32,725
*Renex Corp........................................... 500 3,047
*Rent-A-Center, Inc................................... 2,200 40,219
*Rentrak Corp......................................... 500 2,703
*Rent-Way, Inc........................................ 1,700 25,925
*#Repligen Corp....................................... 2,200 9,831
*Reptron Electronics, Inc............................. 600 4,125
*Republic Bancorp, Inc................................ 1,500 13,219
Republic Bancorp, Inc................................. 4,128 56,760
*Republic Bankshares, Inc............................. 900 12,684
*Republic First Bancorp, Inc.......................... 600 3,863
Republic Group, Inc................................... 1,400 22,225
Republic Security Financial Corp...................... 6,100 49,086
*#Res-Care, Inc....................................... 2,900 34,528
*ResMed, Inc.......................................... 1,300 52,081
*ResortQuest International, Inc....................... 1,800 11,138
Resource America, Inc................................. 2,200 18,494
Resource Bancshares Mortgage Group, Inc............... 2,100 10,631
*Respironics, Inc..................................... 2,700 21,516
*#Restoration Hardware, Inc........................... 1,700 13,866
*#Revlon, Inc......................................... 2,000 20,500
*Rex Stores Corp...................................... 1,100 41,044
*Ribozyme Pharmaceuticals............................. 1,000 7,813
Richardson Electronics, Ltd........................... 900 5,991
Richmond County Financial Corp........................ 2,400 41,175
*Riddell Sports, Inc.................................. 500 1,500
Riggs National Corp................................... 2,800 39,813
*Right Management Consultants, Inc.................... 300 3,291
*Rimage Corp.......................................... 200 3,213
Riverview Bancorp, Inc................................ 500 5,578
Rivianna Foods, Inc................................... 1,300 24,781
*Roadhouse Grill, Inc................................. 900 3,572
Roadway Express, Inc.................................. 1,900 37,822
Roanoke Electric Steel Corp........................... 700 11,397
Robbins & Myers, Inc.................................. 700 14,000
*Roberts Pharmaceutical Corp.......................... 1,600 51,700
*Robertson-Ceco Corp.................................. 500 4,000
*Robotic Vision Systems, Inc.......................... 3,300 19,697
*Rochester Medical Corp............................... 500 3,719
*Rock Financial Corp.................................. 1,500 42,938
*Rock of Ages Co...................................... 400 2,388
Rock-Tenn Co. Class A................................. 2,300 35,650
*Rocky Shoes & Boots, Inc............................. 300 2,259
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Rofin-Sinar Technologies, Inc........................ 1,400 $ 9,888
*Rogers Corp.......................................... 500 20,156
*Rogue Wave Software, Inc............................. 1,000 7,906
*Rohn Industries, Inc................................. 1,400 4,944
Rollins Truck Leasing Corp............................ 5,700 66,975
Rollins, Inc.......................................... 3,600 57,600
*Romac International, Inc............................. 4,700 52,728
*Ross Systems, Inc.................................... 2,000 4,969
Rouge Industries, Inc. Class A........................ 1,200 9,075
Rowe Furniture Corp................................... 880 8,195
*Royal Appliance Manufacturing Co..................... 1,900 11,044
Ruby Tuesday, Inc..................................... 3,200 64,400
*Rural Cellular Corp. Class A......................... 300 23,906
*Rural/Metro Corp..................................... 1,700 9,828
*Rush Enterprises, Inc................................ 500 7,656
Russ Berrie & Co., Inc................................ 2,100 53,550
Russell Corp.......................................... 3,100 40,494
*Ryans Family Steak Houses, Inc....................... 4,500 44,297
Ryerson Tull, Inc..................................... 2,500 51,094
Ryland Group, Inc..................................... 1,500 34,125
S&T Bancorp, Inc...................................... 200 4,713
*S1 Corporation....................................... 595 28,802
*S3, Inc.............................................. 7,120 60,075
*SAGA Systems, Inc.................................... 4,500 95,906
*SBE, Inc............................................. 100 641
*SBS Technologies, Inc................................ 200 6,706
*SCB Computer Technology, Inc......................... 1,000 2,969
*SCC Communications Corp.............................. 1,100 7,047
*#SCM Microsystems, Inc............................... 1,300 81,738
*SCP Pool Corp........................................ 800 18,875
#SCPIE Holdings, Inc.................................. 1,100 38,294
*SED International Holdings, Inc...................... 500 1,023
*SEEC, Inc............................................ 500 2,047
SEMCO Energy, Inc..................................... 500 6,969
*SICOR, Inc........................................... 8,000 38,000
*SLI, Inc............................................. 3,600 46,575
*SM&A Corp............................................ 1,700 10,784
*SMC Corp............................................. 300 1,219
*SOS Staffing Services, Inc........................... 100 475
*SPAR Group, Inc...................................... 1,000 4,000
*SPR, Inc............................................. 1,200 5,550
*SPS Technologies, Inc................................ 1,300 42,575
*SPSS, Inc............................................ 500 11,453
*SRS Labs, Inc........................................ 900 5,498
*SSE Telecom, Inc..................................... 200 1,238
*STAR Telecommunications, Inc......................... 7,000 55,344
*STM Wireless, Inc. Class A........................... 1,000 4,906
*SVI Holdings, Inc.................................... 3,900 53,625
*#Sabratek Corp....................................... 600 309
*Safeguard Health Enterprises, Inc.................... 500 320
*Safeskin Corp........................................ 5,500 66,859
*Safety 1st, Inc...................................... 500 3,547
*Safety Components International, Inc................. 500 1,375
*Saga Communications, Inc. Class A.................... 1,100 27,363
*#Salton/Maxim Housewares, Inc........................ 1,250 30,859
*#Samsonite Corp...................................... 1,800 10,659
*San Filippo (John B.) & Son, Inc..................... 500 1,797
*#Sanchez Computer Associates, Inc.................... 1,600 62,700
Sanderson Farms, Inc.................................. 900 8,381
*Sandisk Corp......................................... 1,300 85,841
*Sangstat Medical Corp................................ 1,500 35,344
*Santa Cruz Operation, Inc............................ 4,000 59,875
</TABLE>
44
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Santa Fe Snyder Corp................................. 2,350 $ 18,800
Sara Lee Corp......................................... 517 12,537
*Satcon Technology Corp............................... 1,000 7,641
Sauer, Inc............................................ 3,300 42,694
*Savoir Technology Group, Inc......................... 600 3,206
*Sawtek, Inc.......................................... 2,800 127,750
*Scan-Optics, Inc..................................... 700 930
*ScanSoft, Inc........................................ 3,200 19,900
*ScanSource, Inc...................................... 300 11,644
Schawk, Inc. Class A.................................. 500 4,250
*Schein (Henry), Inc.................................. 4,900 62,934
*Schein Pharmaceutical, Inc........................... 3,900 34,856
*#Schick Technologies, Inc............................ 500 429
*Schlotzskys, Inc..................................... 500 3,453
*Schmitt Industries, Inc.............................. 1,000 2,625
Schnitzer Steel Industries, Inc.
Class A............................................. 600 11,194
Schulman (A.), Inc.................................... 3,700 58,622
Schweitzer-Maudoit International, Inc................. 1,300 17,225
*Scientific Games Holdings Corp....................... 1,200 21,375
*Scios-Nova, Inc...................................... 3,500 13,453
*Scott Technologies, Inc.............................. 1,800 37,463
*Seachange International, Inc......................... 1,300 33,069
*Seacor Smit, Inc..................................... 500 25,938
*Seattle Filmworks, Inc............................... 1,600 5,175
Seaway Food Town, Inc................................. 700 15,881
Second Bancorp, Inc................................... 900 21,628
*Secure Computing Corp................................ 1,700 13,520
*Segue Software, Inc.................................. 900 22,922
*Seibels Bruce Group, Inc............................. 400 856
*Seitel, Inc.......................................... 1,900 12,825
Selas Corp. of America................................ 500 3,094
*Select Comfort Corp.................................. 1,000 5,469
Selective Insurance Group, Inc........................ 3,300 57,853
*#Selfcare, Inc....................................... 1,300 5,200
*Semitool, Inc........................................ 1,400 15,969
*Semtech Corp......................................... 600 29,269
*Sensory Science Corp................................. 1,200 2,325
*SeraCare, Inc........................................ 500 1,594
*Service Experts, Inc................................. 2,000 12,500
*Sharper Image Corp................................... 900 18,225
*Shaw Group, Inc...................................... 1,100 22,963
*Sheffield Medical Technologies, Inc.................. 2,500 7,188
*Sheldahl, Inc........................................ 900 3,684
*Shells Seafood Restaurants, Inc...................... 300 872
*Shiloh Industries, Inc............................... 1,300 11,294
*Shoe Carnival, Inc................................... 1,300 13,244
*Shoe Pavilion, Inc................................... 700 1,553
*Shop At Home, Inc.................................... 3,600 45,563
*Shopko Stores, Inc................................... 1,800 40,838
*Shorewood Packaging Corp............................. 2,800 45,850
*Shuffle Master, Inc.................................. 700 5,753
*Sierra Health Services, Inc.......................... 2,700 25,313
Sifco Industries, Inc................................. 500 3,438
*Sight Resource Corp.................................. 900 1,941
*Sigma Designs, Inc................................... 1,900 12,914
*Signal Technology Corp............................... 900 4,050
*Signature Eyewear, Inc............................... 200 631
*Silgan Holdings, Inc................................. 2,100 31,697
*Silicon Storage Technology, Inc...................... 2,400 63,375
*Silicon Valley Bancshares............................ 1,700 62,581
*Silicon Valley Group, Inc............................ 4,000 57,375
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Silverleaf Resorts, Inc.............................. 1,300 $ 9,506
*Simon Transportation Services, Inc................... 300 1,706
Simpson Industries, Inc............................... 1,800 18,956
*#Simula, Inc......................................... 900 5,119
*Sipex Corp........................................... 1,800 24,919
*Sirena Apparel Group, Inc............................ 300 0
*#Sirius Satellite Radio, Inc......................... 2,300 61,884
*Sitel Corp........................................... 8,100 48,094
*Sizzler International, Inc........................... 3,500 8,750
Sky Financial Group, Inc.............................. 532 12,352
Skyline Corp.......................................... 1,100 27,294
*#SkyMall, Inc........................................ 900 9,338
Skywest, Inc.......................................... 2,500 61,406
Smart & Final Food, Inc............................... 2,600 17,875
*Smart Modular Technologies, Inc...................... 2,300 96,600
Smith (A.O.) Corp..................................... 1,500 33,000
*Smithway Motor Express Corp.
Class A............................................. 400 1,763
Smucker (J.M.) Co. Class A............................ 1,400 28,175
Smucker (J.M.) Co. Class B............................ 1,500 24,750
*Softnet Systems, Inc................................. 1,600 49,250
*Software Spectrum, Inc............................... 500 5,469
*Sola International, Inc.............................. 3,000 42,750
*Sonic Automotive, Inc................................ 2,800 25,200
*Sonic Corp........................................... 1,900 51,359
*Sonic Solutions...................................... 1,100 3,163
*Sonus Pharmaceuticals, Inc........................... 500 1,172
*Sound Advice, Inc.................................... 200 1,963
*#Source Media, Inc................................... 1,500 25,781
South Jersey Industries, Inc.......................... 1,100 32,244
*Southern Energy Homes, Inc........................... 1,100 2,509
*Southern Union Co.................................... 3,573 68,780
*Southwall Technologies, Inc.......................... 400 1,744
*Southwest Bancorporation of Texas, Inc............... 3,400 63,963
Southwest Securities Group, Inc....................... 1,400 39,725
Southwest Water Co.................................... 300 5,006
Southwestern Energy Co................................ 2,500 18,594
Sovereign Bancorp, Inc................................ 1,600 14,175
*Spacehab, Inc........................................ 600 2,981
*Spacelabs Medical, Inc............................... 900 12,544
Spartan Motors, Inc................................... 1,100 4,606
*Sparton Corp......................................... 700 3,325
*Spatial Technology, Inc.............................. 800 3,300
*Specialty Care Network, Inc.......................... 500 1,484
*Specialty Equipment Co., Inc......................... 1,900 42,038
*SpectraLink Corp..................................... 1,700 17,903
*Spectranetics Corp................................... 2,300 10,602
*Spectra-Physics Laser, Inc........................... 1,400 19,819
*Spectrian Corp....................................... 900 24,441
*Spectrum Control, Inc................................ 1,000 10,781
*SpectRx, Inc......................................... 700 8,138
*SpeedFam-IPEC, Inc................................... 3,552 41,958
*Speizman Industries, Inc............................. 200 1,025
*Splash Technology Holdings, Inc...................... 700 4,977
*Sport Supply Group, Inc.............................. 500 3,188
*Sports Authority, Inc................................ 2,900 6,163
*SportsLine USA, Inc.................................. 2,300 110,041
*Sportsman's Guide, Inc............................... 200 644
Springs Industries, Inc. Class A...................... 1,000 40,000
*Spyglass, Inc........................................ 2,000 56,938
St. Francis Capital Corp.............................. 1,000 20,031
</TABLE>
45
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
St. Joseph Light & Power Co........................... 300 $ 6,281
St. Mary Land & Exploration Co........................ 700 14,809
*Staar Surgical Co.................................... 1,000 9,938
*Staff Leasing, Inc................................... 2,200 18,425
*Staffmark, Inc....................................... 2,600 20,678
*Stage Stores, Inc.................................... 3,200 10,200
*Standard Automotive Corp............................. 600 5,400
Standard Commercial Corp.............................. 1,200 4,650
*Standard Management Corp............................. 800 4,825
*Standard Microsystems Corp........................... 1,400 17,106
Standard Motor Products, Inc.
Class A............................................. 1,300 23,806
Standard Pacific Corp. DE............................. 3,500 38,500
*Standard Register Co................................. 2,400 50,550
Standex International Corp............................ 1,000 21,125
*Stanford Telecommunications, Inc..................... 500 17,047
*Stanley Furniture, Inc............................... 600 12,225
*Star Buffet, Inc..................................... 200 838
Starrett (L.S.) Co. Class A........................... 500 11,906
*Startec Global Communications Corp................... 900 18,084
*StarTek, Inc......................................... 1,700 38,994
*#Starter Corp........................................ 800 72
State Auto Financial Corp............................. 4,900 47,316
State Financial Services Corp.
Class A............................................. 800 12,650
*Statewide Financial Corp............................. 500 11,875
*Station Casinos, Inc................................. 2,800 67,200
Steel Technologies, Inc............................... 1,100 12,341
*Stein Mart, Inc...................................... 5,400 32,653
*Steinway Musical Instruments, Inc.................... 900 18,000
Stepan Co............................................. 600 14,213
*Stericycle, Inc...................................... 1,200 20,925
Sterling Bancorp...................................... 600 11,250
Sterling Bancshares................................... 2,900 37,066
*#Sterling Vision, Inc................................ 1,500 3,023
Stewart & Stevenson Services, Inc..................... 2,200 26,263
Stewart Enterprises, Inc.............................. 13,000 66,422
Stewart Information Services Corp..................... 1,200 16,200
Stifel Financial Corp................................. 700 7,263
Stone & Webster, Inc.................................. 1,300 21,288
*Stone Energy Corp.................................... 500 19,469
*Stoneridge, Inc...................................... 2,500 33,750
*Strategic Diagnostics, Inc........................... 1,200 9,375
*Strattec Security Corp............................... 200 7,000
#Strayer Ed, Inc...................................... 1,200 24,713
Stride Rite Corp...................................... 4,600 29,325
*Structural Dynamics Research Corp.................... 3,600 38,363
Sturm Ruger & Co., Inc................................ 3,200 28,800
*Styleclick.com, Inc.................................. 300 4,331
*Suburban Lodges of America, Inc...................... 600 3,469
*Success Bancshares, Inc.............................. 100 1,175
*Successories, Inc.................................... 500 1,344
*Summa Industries, Inc................................ 500 6,156
Summit Bancorp........................................ 540 17,618
*Summit Design, Inc................................... 1,600 4,900
*Summit Technology, Inc............................... 1,700 32,619
*Sun Bancorp, Inc..................................... 1,000 11,406
*Sun Microsystems..................................... 600 79,331
*#Sunbeam Corp........................................ 9,600 47,400
*Sunglass Hut International, Inc...................... 5,500 67,203
*Sunquest Information Systems, Inc.................... 1,100 14,988
*Sunrise Medical, Inc................................. 2,700 16,200
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Sunrise Resources, Inc............................... 700 $ 3,577
*#Sunrise Technologies International, Inc............. 5,500 57,234
*#SunSource, Inc...................................... 700 3,456
*Sunterra Corp........................................ 3,600 38,700
*Superconductor Technologies, Inc..................... 400 1,188
*#Supergen, Inc....................................... 2,300 76,763
*Superior Consultant Holdings Corp.................... 800 11,650
*Superior Energy Services, Inc........................ 5,900 38,534
*Superior National Insurance Group, Inc............... 1,800 5,456
Superior Surgical Manufacturing Co., Inc.............. 500 4,875
Superior Telecom, Inc................................. 1,800 29,363
*Supertex, Inc........................................ 1,200 18,563
*Supervalu, Inc....................................... 26 505
*Suprema Specialties, Inc............................. 200 1,756
*Supreme Industries, Inc.............................. 850 6,379
*SurModics, Inc....................................... 700 14,897
Susquehanna Bancshares, Inc........................... 3,700 63,941
*Swift Energy Corp.................................... 1,800 20,025
*Swiss Army Brands, Inc............................... 700 5,731
*Sybase, Inc.......................................... 4,100 66,241
*Sylvan, Inc.......................................... 600 5,588
*Symix Systems, Inc................................... 800 10,075
*Symmetricom, Inc..................................... 1,500 11,156
*Symons International Group, Inc...................... 1,000 1,359
*Symphonix Devices, Inc............................... 1,300 4,042
*Syms Corp............................................ 1,000 6,063
Synalloy Corp. DE..................................... 300 2,156
*Synaptic Pharmaceutical Corp......................... 1,100 5,019
*Synbiotics Corp...................................... 500 1,133
*Syncor International Corp. DE........................ 1,200 33,600
*Syntel, Inc.......................................... 4,200 52,369
*Synthetech, Inc...................................... 1,700 6,163
*Syntroleum Corp...................................... 3,200 31,550
*System Software Associates, Inc...................... 350 766
*Systemax, Inc........................................ 3,600 34,875
*Systems & Computer Technology Corp................... 3,800 54,269
*#T-HQ, Inc........................................... 900 48,263
*T-Netix, Inc......................................... 800 3,150
*TALK.com, Inc........................................ 5,500 92,641
*TALX Corp............................................ 600 8,063
*TBA Entertainment Corp............................... 200 838
*TBC Corp............................................. 1,900 11,222
TCBY Enterprises, Inc................................. 1,700 6,800
*TCSI Corp............................................ 700 1,313
*TESSCO Technologies, Inc............................. 200 3,963
TJ International, Inc................................. 1,200 49,988
*TMP Worldwide, Inc................................... 66 6,256
*TRC Companies, Inc................................... 600 4,725
*#TREEV, Inc.......................................... 1,300 4,144
*TRM Copy Centers Corp................................ 400 2,275
*TRO Learning, Inc.................................... 600 3,806
*TSI International, Inc............................... 2,000 87,125
TSI, Inc. MN.......................................... 1,200 13,913
*TSR, Inc............................................. 300 2,292
Tab Products Co. DE................................... 500 3,813
*Taco Cabana, Inc..................................... 1,200 10,388
*Tag-It Pacific, Inc.................................. 800 3,800
*Take Two Interactive Software........................ 2,100 26,972
</TABLE>
46
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Tandy Brand Accessories, Inc......................... 300 $ 3,909
Tandy Corp............................................ 121 9,272
*Tandy Crafts, Inc.................................... 1,200 3,975
*Targeted Genetics Corp............................... 1,000 2,656
*#Tarrant Apparel Group............................... 1,000 11,250
Tasty Baking Co....................................... 700 6,694
*Techne Corp.......................................... 1,400 67,944
*Technisource, Inc.................................... 600 2,513
Technitrol, Inc....................................... 1,300 55,738
*Technology Solutions Corp............................ 3,800 104,263
*Tech-Sym Corp........................................ 200 3,775
*Tegal Corp........................................... 1,000 3,234
Tejon Ranch Co........................................ 1,300 31,281
*Tekelec.............................................. 4,400 78,375
*Telcom Semiconductor, Inc............................ 1,300 14,056
*Telescan, Inc........................................ 1,500 40,453
*Telescape International, Inc......................... 300 2,831
*Teletech Holdings, Inc............................... 2,900 60,175
*Teltrend, Inc........................................ 300 6,281
Telxon Corp........................................... 1,500 23,672
*Template Software, Inc............................... 500 4,750
*#Tera Computer Co.................................... 2,900 10,784
*Terex Corp........................................... 600 16,800
Terra Industries, Inc................................. 2,700 5,569
*Tesoro Petroleum Corp................................ 3,200 38,400
*Tesseract Group, Inc................................. 500 938
*Tetra Tech, Inc...................................... 3,850 43,914
*Tetra Technologies, Inc.............................. 1,400 10,850
*Texas Biotechnology Corp............................. 3,800 16,150
Texas Industries, Inc................................. 1,900 68,875
Texas Instruments, Inc................................ 652 62,633
Texas Regional Banchshares, Inc. Class A.............. 1,600 44,350
The Dexter Corp....................................... 1,500 54,188
*Theragenics Corp..................................... 2,400 22,950
*Thermedics, Inc...................................... 3,800 21,613
*Thermo Bioanalysis Corp.............................. 1,800 31,725
*Thermo Cardiosystems, Inc............................ 4,600 31,913
*Thermo Ecotek Corp................................... 1,000 7,375
*#Thermo Fibertek, Inc................................ 4,300 30,369
*Thermo Optek Corp.................................... 1,100 11,069
*Thermo Sentron, Inc.................................. 800 11,850
*Thermo Vision Corp................................... 900 6,188
*#Thermolase Corp..................................... 1,200 2,475
*ThermoQuest Corp..................................... 2,500 25,781
*Thermotrex Corp...................................... 700 5,688
*Thistle Group Holdings Co............................ 800 6,025
*Thomas Group, Inc.................................... 500 4,063
Thomas Industries, Inc................................ 1,900 30,638
Thor Industries, Inc.................................. 1,200 33,525
*Thoratec Laboratories Corp........................... 1,800 14,288
*Three-Five Systems, Inc.............................. 1,100 46,750
*Tier Technologies, Inc. Class B...................... 1,000 7,219
Timberland Bancorp, Inc............................... 400 4,713
Timberline Software Corp.............................. 1,200 16,313
*Titan Corp........................................... 3,700 100,131
*Titan Exploration, Inc............................... 4,500 16,031
Titan International, Inc.............................. 600 3,975
*Titan Pharmaceuticals, Inc........................... 1,700 24,438
Titanium Metals Corp.................................. 3,800 20,663
*Todd Shipyards Corp.................................. 800 7,000
Todd-AO Corp. Class A................................. 700 12,425
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Tokheim Corp......................................... 1,000 $ 3,188
*Toll Brothers, Inc................................... 4,000 71,500
*Tollgrade Communications, Inc........................ 300 8,494
*Topps, Inc........................................... 4,200 47,906
*Toreador Royalty Corp................................ 500 2,250
Toro Co............................................... 1,200 38,925
*Total Entertainment Restaurant Corp.................. 500 852
*Total Renal Care Holdings, Inc....................... 8,400 59,850
*Towne Services, Inc.................................. 3,000 6,656
*#Toymax International, Inc........................... 1,000 7,438
*Track Data Corp...................................... 2,400 14,850
*Tractor Supply Co.................................... 700 11,900
*Trammell Crow Co..................................... 4,300 52,675
*#Trans World Airlines, Inc........................... 5,900 19,175
*Trans World Entertainment Corp....................... 5,800 63,800
*Transact Technologies, Inc........................... 600 4,425
*Transaction Network Services, Inc.................... 900 41,288
*Transcoastal Marine Services, Inc.................... 1,100 3,558
*#Transkaryotic Therapies, Inc........................ 600 27,544
*Transmation, Inc..................................... 300 609
*Transmedia Network, Inc.............................. 1,200 3,000
*Transmontaigne Oil Co................................ 1,500 10,125
*Transportation Components, Inc....................... 1,300 3,575
*Transportation Technologies Industries, Inc.......... 1,100 14,747
Transpro, Inc......................................... 600 3,975
Transtechnology Corp.................................. 600 5,250
*#Transtexas Gas Corp................................. 300 60
*Transworld Healthcare, Inc........................... 900 1,969
*Travel Services International, Inc................... 1,500 15,047
Tremont Corp. DE...................................... 600 9,563
*Trendwest Resorts, Inc............................... 1,500 31,125
Trenwick Group, Inc................................... 2,025 41,133
*Trex Medical Corp.................................... 3,200 8,800
*Triad Guaranty, Inc.................................. 1,100 24,991
Triangle Bancorp, Inc................................. 2,500 50,938
*Triangle Pharmaceuticals, Inc........................ 3,800 74,694
*Triarc Companies, Inc. Class A....................... 2,000 38,875
Trico Bancshares...................................... 300 6,216
*Trico Marine Services, Inc........................... 2,800 20,913
*Trident Microsystems, Inc............................ 1,200 12,563
Trigen Energy Corp.................................... 1,100 17,944
*Trimble Navigation, Ltd.............................. 2,300 38,741
*Trimeris, Inc........................................ 1,400 29,794
*TriPath Imaging, Inc................................. 2,111 13,853
*Tripos, Inc.......................................... 200 1,991
*Triquint Semiconductor, Inc.......................... 600 51,188
*Tristar Aerospace Co................................. 1,700 16,044
*Triumph Group........................................ 600 14,588
*Tropical Sportswear International Corp............... 700 12,644
*Trump Hotels & Casino Resorts, Inc................... 2,200 8,525
Trust Co. of New Jersey............................... 2,400 52,800
Trustco Bank Corp. NY................................. 3,000 43,594
*Tuboscope Vetco International, Inc................... 4,000 57,000
*#TurboChef Technologies, Inc......................... 1,100 7,356
Tuscarora, Inc........................................ 900 10,913
*Twinlab Corp......................................... 3,500 34,125
Tyco International, Ltd............................... 971 38,901
*Tyler Technologies, Inc.............................. 3,900 16,088
U.S. Bancorp, Inc..................................... 1,200 15,075
*U.S. Home & Garden, Inc.............................. 1,000 2,359
</TABLE>
47
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*U.S. Office Products, Co............................. 3,700 $ 13,644
*UCBH Holdings, Inc................................... 900 19,491
*URS Corp............................................. 1,600 31,200
*US Can Corp.......................................... 1,100 19,663
*US LEC Corp.......................................... 600 15,956
*US Liquids, Inc...................................... 1,100 8,731
*US Oncology, Inc..................................... 6,214 29,614
*US Xpress Enterprises, Inc. Class A.................. 1,100 7,941
*USA Detergents, Inc.................................. 1,400 5,994
*USA Floral Products, Inc............................. 1,500 4,266
*USA Truck, Inc....................................... 900 7,791
*USData Corp.......................................... 1,000 9,688
*UTI Energy Corp...................................... 1,500 30,375
*Ubics, Inc........................................... 300 778
*#uBid, Inc........................................... 493 19,443
*Ugly Duckling Corp................................... 1,600 11,900
*Ultimate Electronics, Inc............................ 1,100 25,747
*Ultimate Software Group, Inc......................... 100 1,091
*Ultrak, Inc.......................................... 1,300 6,094
*Ultralife Batteries, Inc............................. 1,200 7,275
*Ultratech Stepper, Inc............................... 2,400 45,375
Umpqua Holdings Corp.................................. 800 7,175
Unico American Corp................................... 300 2,063
*UniComp, Inc......................................... 800 3,000
*Unifab International, Inc............................ 500 3,016
Unifirst Corp......................................... 500 7,594
*Unify Corp........................................... 800 39,675
*Union Acceptance Corp. Class A....................... 200 1,469
*Unique Mobility, Inc................................. 1,700 5,844
*Uniroyal Technology Corp............................. 1,200 20,025
*Unisource Energy Corp................................ 1,000 11,250
*Unit Corp............................................ 3,400 19,550
*United Auto Group, Inc............................... 2,100 18,900
United Community Financial Corp....................... 2,900 31,175
United Industrial Corp................................ 1,200 10,425
United National Bancorp............................... 1,590 34,881
*United Natural Foods, Inc............................ 1,500 12,656
*United Payors & United Providors, Inc................ 1,700 27,306
*United Retail Group, Inc............................. 1,000 9,234
*United Road Services, Inc............................ 1,600 3,025
*United States Energy Corp............................ 400 1,550
*United States Home Corp.............................. 1,100 28,325
United Wisconsin Services, Inc........................ 1,700 9,138
*Universal American Financial Corp.................... 1,000 4,250
*Universal Electronics, Inc........................... 300 11,344
Universal Forest Products, Inc........................ 2,100 32,484
*Universal Stainless & Alloy Products, Inc............ 300 1,130
*Urban Outfitters, Inc................................ 1,600 32,350
*Urocor, Inc.......................................... 900 3,052
*Urologix, Inc........................................ 1,300 6,622
*Ursus Telecom Corp................................... 500 9,031
*Utah Medical, Inc.................................... 500 3,406
*#V-ONE Corp.......................................... 600 8,081
*V.I. Technologies, Inc............................... 2,600 15,681
*VDI Media............................................ 800 10,550
*VISTA Information Solutions, Inc..................... 1,800 5,344
VRB Bancorp........................................... 700 4,484
*VTEL Corp............................................ 2,700 9,703
*#Vail Resorts, Inc................................... 400 6,875
*Valence Technology, Inc.............................. 2,800 25,506
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*#Valentis, Inc....................................... 2,900 $ 13,050
*Vallen Corp.......................................... 500 12,391
Valley National Bancorp............................... 178 4,472
*Valley National Gases, Inc........................... 500 1,688
Valmont Industries, Inc............................... 2,200 38,775
*Value City Department Stores, Inc.................... 3,200 53,400
*Valuevision International, Inc. Class A.............. 2,100 94,434
*Vans, Inc............................................ 1,300 15,600
*Vantive Corp......................................... 3,000 46,875
*Varco International, Inc............................. 3,200 34,200
*#Vari L Co., Inc..................................... 400 8,013
*Varian Medical Systems, Inc.......................... 3,100 80,988
*Variflex, Inc........................................ 300 1,875
*Veeco Instruments, Inc............................... 1,300 53,625
*Venator Group, Inc................................... 67,000 460,625
*#Ventana Medical Systems, Inc........................ 1,100 23,753
Ventas, Inc........................................... 500 2,469
*Veramark Technologies, Inc........................... 400 4,788
*Verilink Corp........................................ 1,500 4,945
*Veritas DGC, Inc..................................... 2,100 30,581
*Verity, Inc.......................................... 600 62,081
*#Vertel Corp......................................... 2,500 4,688
*Vertex Communications Corp........................... 300 6,375
*Vertex Pharmaceuticals, Inc.......................... 1,800 47,756
Vesta Insurance Group, Inc............................ 1,700 6,694
*Vestcom International, Inc........................... 1,000 3,500
*Veterinary Centers of America, Inc................... 1,700 19,072
*Viasat, Inc.......................................... 900 23,316
*Viasoft, Inc......................................... 900 5,555
*Viatel, Inc.......................................... 700 29,225
*Vical, Inc........................................... 1,800 39,038
*Vicon Industries, Inc................................ 300 1,763
*Vicor Corp........................................... 1,000 32,375
*Vicorp Restaurants, Inc.............................. 800 14,050
*Vidamed, Inc......................................... 1,800 3,769
Vintage Petroleum, Inc................................ 4,500 48,094
Virco Manufacturing Corp.............................. 1,050 14,306
*Virtualfund.Com, Inc................................. 1,600 3,300
*Vision Twenty-One, Inc............................... 1,900 8,075
*VisionAmerica, Inc................................... 800 2,350
*Vista Eyecare, Inc................................... 1,500 1,781
Vital Signs, Inc...................................... 1,100 25,713
*#Vitech America, Inc................................. 1,200 9,131
*Vivid Technologies, Inc.............................. 500 2,961
*#Vivus, Inc.......................................... 2,900 6,480
*Vlasic Foods International, Inc...................... 4,800 37,200
*Volt Information Sciences, Inc....................... 1,400 31,238
*Vysis, Inc........................................... 400 1,281
WD-40 Co.............................................. 1,600 37,250
WFS Financial, Inc.................................... 2,500 55,703
*#WHX Corp............................................ 1,400 12,425
*WLR Foods, Inc....................................... 1,200 6,825
*WMS Industries, Inc.................................. 3,000 34,125
*WPI Group, Inc....................................... 300 816
Wabash National Corp.................................. 2,300 33,781
Wackenhut Corp. Class B Non-Voting.................... 1,000 10,125
*Wackenhut Corrections Corp........................... 2,500 30,156
*Walker Interactive Systems, Inc...................... 1,300 7,597
*Wall Street Deli, Inc................................ 100 138
Walter Industries, Inc................................ 5,100 54,188
*Warrantech Corp...................................... 800 800
Warren Bancorp, Inc................................... 700 5,709
</TABLE>
48
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Warwick Community Bancorp, Inc....................... 600 $ 6,225
*Washington Homes, Inc................................ 700 3,719
Washington Mutual, Inc................................ 285 8,265
*Waste Connections, Inc............................... 1,800 23,794
*Waste Industries, Inc................................ 1,000 12,906
*Waterlink, Inc....................................... 1,000 3,125
Watkins-Johnson Co.................................... 500 19,406
Watsco, Inc. Class A.................................. 2,700 29,363
Watts Industries, Inc. Class A........................ 1,500 20,906
Wausau-Mosinee Paper Corp............................. 2,600 34,450
*Wave Technologies International, Inc................. 200 625
*#Wavo Corp........................................... 2,900 11,555
*Webb (Del) Corp...................................... 1,500 34,313
*Webhire, Inc......................................... 700 6,038
*Weider Nutrition International, Inc.................. 900 3,038
*Weirton Steel Corp................................... 2,900 9,244
Wellman, Inc.......................................... 3,100 49,406
*Wells-Gardner Electronics Corp....................... 500 1,563
Wesbanco, Inc......................................... 1,800 41,288
*Wesley Jessen Vision Care, Inc....................... 1,400 40,294
West Coast Bancorp.................................... 990 14,633
*West Marine, Inc..................................... 1,900 16,209
West Pharmaceutical Services, Inc..................... 1,200 41,925
*West Teleservices Corp............................... 5,100 87,338
*Westaff, Inc......................................... 1,400 9,778
Westcorp, Inc......................................... 2,900 42,594
*Westell Technologies, Inc............................ 1,600 14,525
*#Western Digital Corp................................ 9,100 35,831
Western Ohio Financial Corp........................... 100 1,784
*Western Water Co..................................... 400 538
Westinghouse Air Brake Co............................. 1,782 32,299
*Wet Seal, Inc. Class A............................... 1,000 13,594
*White Cap Industries, Inc............................ 900 12,909
*White Electronics Designs Corp....................... 600 2,138
*White Pine Software, Inc............................. 1,000 16,125
*Whitehall Jewellers, Inc............................. 1,100 34,719
*Whitman Education Group, Inc......................... 900 1,969
*Wickes Lumber Co..................................... 400 2,031
*#Wild Oats Markets, Inc.............................. 1,300 46,475
*Williams Clayton Energy, Inc......................... 1,100 16,294
*Willis Lease Finance Corp............................ 500 3,281
*Wilmar Industries, Inc............................... 1,200 16,425
*Wilshire Oil Co. of Texas............................ 800 3,100
*Wilsons The Leather Experts, Inc..................... 1,100 20,144
*Wind River Systems, Inc.............................. 3,200 110,500
*Windmere Corp........................................ 1,800 25,763
Winnebago Industries, Inc............................. 2,500 47,188
Wiser Oil Co.......................................... 800 2,250
Wolohan Lumber Co..................................... 500 6,109
*Wolverine Tube, Inc.................................. 1,100 16,706
Wolverine World Wide, Inc............................. 4,900 53,594
Woodhead Industries, Inc.............................. 1,100 14,575
Woodward Governor Co.................................. 700 18,878
*Workflow Management, Inc............................. 1,400 32,988
*World Acceptance Corp................................ 1,500 7,359
*World Access, Inc.................................... 4,500 68,344
World Fuel Services Corp.............................. 1,500 12,000
*#Worldtalk Communications Corp....................... 200 1,775
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wynns International, Inc.............................. 1,700 $ 25,713
X-Rite, Inc........................................... 2,100 13,978
*Xceed, Inc........................................... 1,800 47,419
*Xetel Corp........................................... 300 558
*Xicor, Inc........................................... 1,600 15,250
*Xionics Document Technologies, Inc................... 1,000 7,406
*Xircom, Inc.......................................... 1,000 52,469
*Xoma, Ltd............................................ 4,700 13,953
*Xtra Corp............................................ 600 24,000
Yankee Energy Systems, Inc............................ 600 25,613
Yardville National Bancorp............................ 300 3,600
*Yellow Corp.......................................... 2,000 33,750
York Financial Corp................................... 735 9,325
York Group, Inc....................................... 500 2,133
*York Research Corp................................... 700 2,581
*Young Broadcasting, Inc. Class A..................... 1,400 56,219
*Zamba Corporation.................................... 3,300 17,016
Zap.com Corp.......................................... 34 76
*Zapata Corp.......................................... 1,700 9,244
*Zemex Corp........................................... 800 6,500
Zenith National Insurance Corp........................ 1,400 29,050
*#ZixIt Corp.......................................... 1,500 64,500
*Zoll Medical Corp.................................... 300 10,294
*#Zoltek Companies, Inc............................... 1,800 20,869
*Zoran Corp........................................... 1,000 39,875
*Zygo Corp............................................ 1,000 19,313
*Zymetx, Inc.......................................... 200 422
-----------
TOTAL COMMON STOCKS
(Cost $58,585,512)................................... 66,346,988
-----------
</TABLE>
<TABLE>
<CAPTION>
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Franklin Covey Co. Rights 11/30/99................... 2,000 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 1,100 0
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (7.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $5,562,400) to be
repurchased at $5,474,806.
(Cost $5,474,000)................................... $ 5,474 5,474,000
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $64,059,512)++..... $71,820,988
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $64,080,302.
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. 9-10 Small Company Series of The DFA
Investment Trust Company.................................. 138,553,073 $1,323,181,847
--------------
Total Investments (100%) (Cost $956,551,186)++.......... $1,323,181,847
==============
</TABLE>
- --------------
++The cost for federal income tax purposes is $997,903,225.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
50
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (96.8%)
AMB Property Corp..................................... 108,500 $ 2,170,000
AMLI Residential Properties Trust..................... 20,100 428,381
Acadia Realty Trust................................... 30,100 142,975
Aegis Realty, Inc..................................... 9,600 89,400
Agree Realty Corp..................................... 5,400 78,637
*Alexander's, Inc..................................... 6,000 444,000
Alexandria Real Estate Equities, Inc.................. 17,000 498,312
American Industrial Properties........................ 26,600 332,500
American Realty Trust, Inc............................ 14,000 238,000
Apartment Investment & Management Co. Class A......... 78,646 2,924,648
Archstone Communities Trust........................... 170,700 3,424,669
Arden Realty Group, Inc............................... 78,700 1,514,975
Asset Investors Corp.................................. 4,800 62,700
Associated Estates Realty Corp........................ 26,700 198,581
AvalonBay Communities, Inc............................ 81,600 2,641,800
BRE Properties, Inc. Class A.......................... 55,200 1,269,600
Banyan Strategic Realty Trust......................... 16,700 98,634
Bedford Property Investors, Inc....................... 27,050 463,231
Boddie-Noell Properties, Inc.......................... 7,400 68,450
Boston Properties, Inc................................ 83,900 2,375,419
Boykin Lodging Trust, Inc............................. 21,400 263,487
Bradley Real Estate, Inc.............................. 29,800 536,400
Brandywine Realty Trust............................... 47,100 791,869
Burnham Pacific Properties, Inc....................... 39,700 389,556
CBL & Associates Properties, Inc...................... 30,600 667,462
Cabot Industrial Trust................................ 54,300 997,762
Camden Property Trust................................. 51,100 1,366,925
Capital Automotive REIT............................... 26,700 362,953
Captec Net Lease Realty, Inc.......................... 11,900 125,322
Carramerica Realty Corp............................... 78,800 1,635,100
Center Trust, Inc..................................... 33,900 347,475
Centerpoint Properties Corp........................... 23,000 799,250
Chateau Communities, Inc.............................. 34,500 897,000
Chelsea GCA Realty, Inc............................... 19,600 606,375
Colonial Properties Trust............................. 30,800 758,450
Commercial Net Lease Realty, Inc...................... 37,600 404,200
Continental Mortgage & Equity Trust................... 2,700 40,500
Cornerstone Properties, Inc........................... 156,400 2,160,275
Cornerstone Realty Income Trust, Inc.................. 48,300 489,037
Corporate Office Properties Trust..................... 20,900 161,975
#Cousins Properties, Inc.............................. 39,000 1,345,500
Crescent Real Estate Equities, Inc.................... 149,300 2,528,769
Crown American Realty Trust........................... 32,600 207,825
Developers Diversified Realty Corp.................... 74,400 1,036,950
Duke Realty Investments, Inc.......................... 145,600 2,693,600
Eastgroup Properties, Inc............................. 20,000 347,500
Entertainment Properties Trust........................ 18,700 245,437
Equity Inns, Inc...................................... 45,200 319,225
Equity Office Properties Trust........................ 307,262 6,740,560
Equity Residential Properties Corp.................... 157,900 6,345,606
Essex Property Trust.................................. 23,200 752,550
Federal Realty Investment Trust....................... 48,900 880,200
Felcor Lodging Trust, Inc............................. 84,800 1,441,600
First Industrial Realty Trust, Inc.................... 46,200 1,178,100
First Union Real Estate Equity & Mortgage
Investments......................................... 54,800 280,850
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
First Washington Realty Trust, Inc.................... 11,700 $ 209,137
Franchise Financial Corp.............................. 67,900 1,510,775
Franklin Select Realty Trust Class A.................. 14,800 105,450
Gables Residential Trust.............................. 31,800 755,250
General Growth Properties............................. 64,300 1,924,981
Glenborough Realty Trust, Inc......................... 38,000 498,750
Glimcher Realty Trust................................. 29,600 421,800
Golf Trust America, Inc............................... 9,400 159,800
Great Lakes Reit, Inc................................. 20,200 294,162
Grove Property Trust.................................. 10,900 141,700
*HMG Courtland Properties, Inc........................ 1,100 4,469
Highwood Properties, Inc.............................. 74,900 1,647,800
Home Properties of New York, Inc...................... 23,000 589,375
Hospitality Properties Trust.......................... 68,400 1,265,400
*Host Funding, Inc.................................... 1,100 2,887
Humphrey Hospitality Trust............................ 19,800 127,462
IRT Property Co....................................... 40,300 314,844
Income Opportunity Realty Investors, Inc.............. 1,400 7,875
Innkeepers USA Trust.................................. 43,200 340,200
*Interstate Hotels Corp............................... 7,760 27,160
JDN Realty Corp....................................... 40,300 662,431
JP Realty, Inc........................................ 21,400 365,137
Jameson Inns, Inc..................................... 13,300 110,348
Keystone Property Trust............................... 7,500 115,312
Kilroy Realty Corp.................................... 33,600 638,400
Kimco Realty Corp..................................... 73,700 2,450,525
Koger Equity, Inc..................................... 34,300 538,081
Konover Property Trust, Inc........................... 38,700 229,781
Kranzco Realty Trust, Inc............................. 13,200 101,475
Lasalle Hotel Properties Trust........................ 18,500 219,688
Lexington Corporate Properties Trust.................. 20,800 219,700
Liberty Property Trust................................ 80,900 1,845,531
MGI Properties........................................ 16,800 102,900
Macerich Co........................................... 41,300 820,838
Mack-California Realty Corp........................... 73,300 1,809,594
Malan Realty Investors, Inc........................... 6,500 89,375
Manufactured Home Communities, Inc.................... 31,600 748,525
Meristar Hospitality Corp............................. 58,000 899,000
Mid-America Apartment Communities, Inc................ 23,100 512,531
Mid-Atlantic Realty Trust............................. 16,300 165,038
Mills Corp............................................ 29,000 489,375
Monmouth Real Estate Investment Corp. Class A......... 8,800 44,825
National Golf Properties, Inc......................... 15,700 328,719
New Plan Excel Realty Trust, Inc...................... 107,700 1,750,125
One Liberty Properties, Inc........................... 3,500 45,938
PS Business Parks, Inc................................ 29,500 641,625
Pacific Gulf Properties, Inc.......................... 24,500 493,063
Pan Pacific Retail Properties, Inc.................... 27,200 462,400
Parkway Properties, Inc............................... 12,400 370,450
Pennsylvania Real Estate Investment Trust............. 16,100 274,706
Philips International Realty Corp..................... 8,600 140,825
Post Properties, Inc.................................. 47,900 1,826,188
Prentiss Properties Trust............................. 47,200 955,800
</TABLE>
51
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Prime Group Realty Trust.............................. 18,400 $ 258,750
Prime Retail, Inc..................................... 52,500 334,688
Prologis Trust........................................ 197,300 3,588,394
*Property Capital Trust, Inc.......................... 155 121
Public Storage, Inc................................... 156,900 3,579,281
RFS Hotel Investors, Inc.............................. 30,300 337,088
Ramco-Gershenson Properties Trust..................... 9,000 117,000
Realty Income Corp.................................... 32,600 711,088
Reckson Associates Realty Corp........................ 48,900 987,169
Reckson Associates Realty Corp........................ 9,801 204,596
Regency Realty Corp................................... 73,700 1,492,425
Roberts Realty Investment............................. 5,800 43,863
Rouse Co.............................................. 82,400 1,807,650
SL Green Realty Corp.................................. 29,600 597,550
Saul Centers, Inc..................................... 16,400 243,950
Shurgard Storage Centers, Inc. Class A................ 36,100 805,481
Simon Property Group, Inc............................. 210,900 4,916,606
Sizeler Property Investors, Inc....................... 9,500 77,781
Smith (Charles E.) Residential Realty, Inc............ 23,500 763,750
Sovran Self Storage, Inc.............................. 15,500 310,000
Spieker Properties, Inc............................... 77,100 2,698,500
*Starwood Financial Inc............................... 32,775 589,950
Starwood Hotels and Resorts Worldwide, Inc............ 6,050 134,991
Storage USA, Inc...................................... 34,300 926,100
Summit Properties, Inc................................ 35,300 644,225
Sun Communities, Inc.................................. 22,200 674,325
Tanger Factory Outlet Centers, Inc.................... 9,800 211,925
Tarragon Realty Investors, Inc........................ 6,107 67,559
Taubman Centers, Inc.................................. 66,700 725,363
Town & Country Trust.................................. 19,300 338,956
Transcontinental Realty Investors, Inc................ 5,600 71,750
U.S. Restaurant Properties, Inc....................... 18,900 281,138
United Dominion Realty Trust, Inc..................... 129,100 1,395,894
United Mobile Homes, Inc.............................. 9,000 75,375
Urban Shopping Centers, Inc........................... 21,500 554,969
Urstadt Biddle Properties Class A..................... 5,100 38,888
Urstadt Biddle Properties, Inc........................ 7,000 50,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Vornado Realty Trust.................................. 110,400 $ 3,484,500
Walden Residential Properties, Inc.................... 31,000 635,500
Washington Real Estate Investment Trust............... 42,800 660,725
Weingarten Realty Investors........................... 34,300 1,288,394
Western Properties Trust.............................. 21,100 208,363
Westfield America, Inc................................ 89,900 1,213,650
Winston Hotels, Inc................................... 20,100 170,850
*Wyndham International, Inc........................... 248,504 698,918
------------
TOTAL COMMON STOCKS
(Cost $145,041,593).................................. 129,446,872
------------
RIGHTS/WARRANTS -- (0.0%)
*Wyndham International, Inc. Rights 12/08/99
(Cost $0)........................................... 248,504 0
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (3.2%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $4,381,413) to be
repurchased at $4,312,635.
(Cost $4,312,000)................................... $ 4,312 4,312,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $149,353,593)++................................ $133,758,872
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $149,357,374.
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (26.1%)
COMMON STOCKS -- (25.8%)
Acom Co., Ltd......................................... 4,000 $ 490,091
Advantest Corp........................................ 2,870 478,029
Ajinomoto Co., Inc.................................... 17,000 177,012
*All Nippon Airways Co., Ltd.......................... 24,000 76,332
Alps Electric Co., Ltd................................ 4,000 73,983
Amada Co., Ltd........................................ 7,000 39,732
Aoyama Trading Co., Ltd............................... 900 21,402
Arabian Oil Co., Ltd.................................. 1,000 17,625
Asahi Bank, Ltd....................................... 90,000 629,740
Asahi Breweries, Ltd.................................. 12,000 141,508
Asahi Chemical Industry Co., Ltd...................... 41,000 223,086
Asahi Glass Co., Ltd.................................. 33,000 265,137
Asatsu-Dk, Inc........................................ 1,200 57,543
*Ashikaga Bank, Ltd................................... 12,000 25,835
Autobacs Seven Co., Ltd............................... 1,000 38,753
Bank of Fukuoka, Ltd.................................. 15,000 113,764
Bank of Tokyo-Mitsubishi, Ltd......................... 134,200 1,938,437
Bank of Yokohama, Ltd................................. 32,000 144,992
Bridgestone Corp...................................... 24,000 591,868
Brother Industries, Ltd............................... 6,000 15,266
CSK Corp.............................................. 1,600 222,342
Canon, Inc............................................ 25,000 733,963
Casio Computer Co., Ltd............................... 6,000 40,867
Chiba Bank, Ltd....................................... 16,000 85,649
Chubu Electric Power Co., Ltd......................... 14,100 245,613
Chugai Pharmaceutical Co., Ltd........................ 5,000 54,362
Chugoku Electric Power Co., Ltd....................... 6,600 97,529
Citizen Watch Co., Ltd................................ 7,000 42,883
Cosmo Oil Co., Ltd.................................... 15,000 23,487
Credit Saison Co., Ltd................................ 3,800 76,606
Dai Nippon Ink & Chemicals, Inc....................... 16,000 60,596
Dai Nippon Printing Co., Ltd.......................... 20,000 347,409
*Dai Nippon Printing Co., Ltd......................... 4,000 22,430
Daicel Chemical Industries, Ltd....................... 7,000 20,688
*Daiei, Inc........................................... 16,000 59,500
Daifuku Co., Ltd...................................... 3,000 15,384
Dai-Ichi Pharmaceutical Co., Ltd...................... 6,000 84,259
Daikin Industries, Ltd................................ 7,000 90,767
Daimaru, Inc.......................................... 5,000 17,126
Daito Trust Construction Co., Ltd..................... 3,400 42,922
Daiwa Bank, Ltd....................................... 76,000 256,593
Daiwa House Industry Co., Ltd......................... 13,000 117,043
*Daiwa Securities Co., Ltd............................ 38,000 542,193
Denki Kagaku Kogyo KK................................. 10,000 34,741
Denso Corp............................................ 26,000 561,041
East Japan Railway Co................................. 115 675,246
Ebara Corp............................................ 7,000 79,121
Elsai Co., Ltd........................................ 7,000 154,817
Fanuc, Ltd............................................ 6,900 573,959
Fuji Bank, Ltd........................................ 99,000 1,183,911
Fuji Photo Film Co., Ltd.............................. 14,000 568,576
Fujikura, Ltd......................................... 9,000 44,038
Fujita Kanko, Inc..................................... 2,000 13,290
Fujitsu, Ltd.......................................... 55,000 1,948,426
Furukawa Electric Co., Ltd............................ 17,000 181,504
Gunma Bank, Ltd....................................... 12,000 82,674
Hankyu Corp........................................... 18,000 63,414
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Hankyu Department Stores, Inc......................... 3,000 $ 14,386
*Hanwa Co., Ltd....................................... 2,000 2,290
Higo Bank, Ltd........................................ 5,000 21,921
Hirose Electric Co., Ltd.............................. 1,000 166,854
*Hitachi Zosen Corp................................... 17,000 13,143
Hitachi, Ltd.......................................... 96,000 1,324,656
*Hokuriku Bank, Ltd................................... 12,000 28,302
Honda Motor Co., Ltd.................................. 28,000 1,150,853
House Foods Corp...................................... 2,000 28,399
Hoya Corp............................................. 3,000 217,253
Inax Corp............................................. 6,000 35,524
Industrial Bank of Japan.............................. 76,120 896,143
Isetan Co., Ltd....................................... 3,000 22,900
Ishikawajima-Harima Heavy Industries Co., Ltd......... 32,000 39,771
*Itochu Corp.......................................... 35,000 208,250
Itoham Foods, Inc..................................... 5,000 22,361
Ito-Yokado Co., Ltd................................... 12,000 1,291,774
Japan Air Lines Co., Ltd.............................. 47,000 149,944
Japan Energy Corp..................................... 21,000 20,551
Joyo Bank, Ltd........................................ 22,000 101,404
Jusco Co., Ltd........................................ 8,000 152,586
Kajima Corp........................................... 22,000 74,062
Kamigumi Co., Ltd..................................... 5,000 21,285
Kandenko Co., Ltd..................................... 3,000 15,795
*Kanebo, Ltd.......................................... 11,000 18,515
Kaneka Corp........................................... 10,000 127,318
Kansai Electric Power Co., Inc........................ 28,200 539,797
Kao Corp.............................................. 18,000 533,738
Katokichi Co., Ltd.................................... 1,000 25,102
Kawasaki Heavy Industries, Ltd........................ 33,000 45,212
Kawasaki Kisen Kaisha, Ltd............................ 11,000 17,224
Kawasaki Steel Corp................................... 81,000 166,463
Keihin Electric Express Railway Co., Ltd.............. 13,000 48,980
*Kikkoman Corp........................................ 3,000 23,076
Kinden Corp........................................... 6,000 48,207
Kinki Nippon Railway Co., Ltd......................... 43,000 178,842
Kirin Brewery Co., Ltd................................ 27,000 311,787
Kissei Pharmaceutical Co., Ltd........................ 1,000 16,754
*Kobe Steel, Ltd...................................... 42,000 32,059
Kokuyo Co., Ltd....................................... 2,000 30,729
Komatsu, Ltd.......................................... 26,000 146,303
Komori Corp........................................... 2,000 39,243
Konami Co., Ltd....................................... 1,350 180,995
Konica Corp........................................... 5,000 20,062
Koyo Seiko Co......................................... 4,000 39,145
Kubota Corp........................................... 40,000 156,579
Kuraray Co., Ltd...................................... 9,000 101,287
Kurita Water Industries, Ltd.......................... 3,000 57,249
#Kyocera Corp......................................... 5,500 662,573
Kyowa Exeo Corp....................................... 3,000 28,595
Kyowa Hakko Kogyo Co., Ltd............................ 11,000 75,461
Kyushu Electric Power Co., Inc........................ 8,500 123,193
Lion Corp............................................. 5,000 19,181
Makita Corp........................................... 4,000 36,405
*Marubeni Corp........................................ 40,000 155,404
Marui Co., Ltd........................................ 9,000 153,956
</TABLE>
53
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Matsushita Communication Industrial Co., Ltd.......... 1,000 $ 191,809
Matsushita Electric Industrial Co., Ltd............... 59,000 1,492,538
Matsushita Electric Works, Ltd........................ 14,000 134,951
Meiji Milk Products Co., Ltd.......................... 6,000 19,729
Meiji Seika Kaisha, Ltd. Tokyo........................ 9,000 59,011
Meitec Corp........................................... 1,000 36,698
Minebea Co., Ltd...................................... 11,000 171,483
Mitsubishi Chemical Corp.............................. 60,000 247,786
Mitsubishi Corp....................................... 45,000 392,376
Mitsubishi Electric Corp.............................. 62,000 367,686
Mitsubishi Estate Co., Ltd............................ 37,000 398,297
Mitsubishi Gas Chemical Co., Inc...................... 8,000 18,320
Mitsubishi Heavy Industries, Ltd...................... 90,000 291,530
Mitsubishi Logistics Corp............................. 4,000 33,821
*Mitsubishi Materials Corp............................ 24,000 51,671
Mitsubishi Rayon Co. Ltd.............................. 15,000 37,138
Mitsubishi Trust & Banking Corp....................... 37,000 427,264
Mitsui & Co., Ltd..................................... 42,000 319,362
*Mitsui Engineering and Shipbuilding Co., Ltd......... 17,000 13,309
Mitsui Fudosan Co., Ltd............................... 20,000 159,123
Mitsui Marine & Fire Insurance Co., Ltd............... 22,000 123,149
Mitsui Mining and Smelting Co., Ltd................... 14,000 73,298
Mitsui O.S.K. Lines, Ltd.............................. 28,000 51,514
Mitsui Trust & Banking Co., Ltd....................... 41,000 126,388
*Mitsukoshi, Ltd...................................... 12,000 57,190
Mori Seiki Co., Ltd................................... 2,000 27,401
Murata Manufacturing Co., Ltd......................... 6,000 977,638
Mycal Corp............................................ 7,000 33,978
NEC Corp.............................................. 47,000 1,096,981
NGK Insulators, Ltd................................... 9,000 70,460
NGK Spark Plug Co., Ltd............................... 5,000 35,866
*NKK Corp............................................. 63,000 49,939
NSK, Ltd.............................................. 14,000 119,059
NTN Corp.............................................. 7,000 24,319
Nagoya Railroad Co., Ltd.............................. 14,000 40,965
Namco, Ltd............................................ 1,500 87,635
Nichido Fire and Marine Insurance Co., Ltd............ 10,000 52,747
*Nichiei Co., Ltd..................................... 1,000 24,465
Nichirei Corp......................................... 7,000 19,523
Nikko Securities Co., Ltd............................. 24,000 298,282
Nikon Corp............................................ 10,000 253,462
Nintendo Co., Ltd., Kyoto............................. 4,000 657,631
Nippon COMSYS Corp.................................... 3,000 65,763
*Nippon Credit Bank, Ltd.............................. 26,000 0
Nippon Express Co., Ltd............................... 31,000 178,989
Nippon Fire and Marine Insurance Co., Ltd............. 13,000 44,654
Nippon Meat Packers, Inc., Osaka...................... 6,000 76,508
Nippon Mitsubishi Oil Company......................... 39,000 172,129
Nippon Paper Industries Co., Ltd...................... 27,000 197,906
Nippon Sheet Glass Co., Ltd........................... 8,000 46,347
Nippon Shinpan Co., Ltd............................... 6,000 17,674
Nippon Shokubai Co., Ltd.............................. 4,000 18,398
Nippon Steel Corp..................................... 196,000 441,161
Nippon Telegraph & Telephone Corp..................... 918 8,220,089
Nippon Yusen KK....................................... 30,000 121,251
Nishimatsu Construction Co., Ltd...................... 4,000 17,967
*Nissan Motor Co., Ltd................................ 114,000 529,921
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Nisshin Flour Milling Co., Ltd........................ 6,000 $ 43,920
*Nisshinbo Industries, Inc............................ 5,000 25,248
Nissin Food Products Co., Ltd......................... 3,000 74,571
Nitto Denko Corp...................................... 4,000 160,885
Nomura Securities Co., Ltd............................ 56,000 997,406
Noritake Co., Ltd..................................... 4,000 17,224
Obayashi Corp......................................... 17,000 87,175
Odakyu Electric Railway Co., Ltd...................... 13,000 42,492
Oji Paper Co., Ltd.................................... 27,000 173,068
Okumura Corp.......................................... 5,000 16,881
Olympus Optical Co., Ltd.............................. 6,000 65,176
*Omron Corp........................................... 7,000 171,943
Onward Kashiyama Co., Ltd............................. 4,000 53,198
Orient Corp........................................... 7,000 22,675
Oriental Land Co., Ltd................................ 2,000 188,873
Orix Corp............................................. 1,900 309,028
Osaka Gas Co., Ltd.................................... 67,000 180,310
Pioneer Electronic.................................... 4,000 89,054
Promise Co., Ltd...................................... 3,000 195,234
*Q.P. Corp............................................ 3,000 20,991
Ricoh Co., Ltd., Tokyo................................ 5,000 92,479
Rohm Co., Ltd......................................... 3,000 807,359
SMC Corp.............................................. 1,900 335,059
Sakura Bank, Ltd...................................... 118,000 871,850
Sanden Corp........................................... 3,000 19,054
Sankyo Co., Ltd....................................... 13,000 319,323
Sanrio Co., Ltd....................................... 2,000 80,834
Sanwa Shutter Corp.................................... 4,000 13,701
Sanyo Electric........................................ 54,000 214,024
Sapporo Breweries, Ltd................................ 5,000 17,615
Secom Co., Ltd........................................ 4,000 450,164
#Sega Enterprises, Ltd................................ 2,600 91,090
Seibu Railway Co., Ltd................................ 8,000 112,345
Seino Transportation Co., Ltd......................... 3,000 18,055
*Seiyu, Ltd........................................... 4,000 16,441
Sekisui Chemical Co., Ltd............................. 12,000 56,955
Sekisui House, Ltd.................................... 19,000 184,078
Seven-Eleven Japan Co., Ltd........................... 14,000 2,274,306
Seventy-seven (77) Bank, Ltd.......................... 10,000 113,520
Sharp Corp. Osaka..................................... 32,000 652,933
Shikoku Electric Power Co., Inc....................... 4,200 60,009
Shimachu Co., Ltd..................................... 1,000 14,190
Shimamura Co., Ltd.................................... 1,000 190,830
Shimano, Inc.......................................... 3,000 58,717
Shimizu Corp.......................................... 17,000 57,562
Shin-Etsu Chemical Co., Ltd........................... 11,000 433,821
Shionogi & Co., Ltd................................... 9,000 106,571
Shiseido Co., Ltd..................................... 11,000 176,542
Shizuoka Bank, Ltd.................................... 23,000 245,339
*Showa Denko KK....................................... 21,000 32,059
Showa Shell Sekiyu KK................................. 9,000 51,348
Skylark Co., Ltd...................................... 3,000 65,176
Snow Brand Milk Products Co., Ltd..................... 5,000 20,306
Softbank Corp......................................... 1,000 721,241
Sony Corp............................................. 11,900 2,201,007
Sumitomo Bank, Ltd.................................... 90,000 1,378,382
Sumitomo Chemical Co., Ltd............................ 43,000 241,121
Sumitomo Corp......................................... 28,000 272,643
Sumitomo Electric Industries, Ltd..................... 20,000 226,256
Sumitomo Forestry Co., Ltd............................ 3,000 21,432
*Sumitomo Heavy Industries, Ltd....................... 9,000 26,599
</TABLE>
54
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sumitomo Marine & Fire Insurance Co., Ltd............. 19,000 $ 133,689
*Sumitomo Metal Industries, Ltd. Osaka................ 90,000 86,314
*Sumitomo Metal Mining Co., Ltd....................... 12,000 27,362
Sumitomo Osaka Cement Co., Ltd........................ 8,000 10,882
TDK Corp.............................................. 1,000 109,605
Taiheiyo Cement Corp.................................. 23,000 45,241
Taisei Corp........................................... 24,000 50,966
Taisho Pharmaceutical Co., Ltd........................ 9,000 295,053
Taiyo Yuden Co., Ltd.................................. 3,000 130,939
Takara Shuzo Co., Ltd................................. 6,000 82,321
Takara Standard Co., Ltd.............................. 3,000 15,413
Takashimaya Co., Ltd.................................. 6,000 50,555
Takeda Chemical Industries, Ltd....................... 25,000 1,472,818
Takefuji Corp......................................... 4,000 571,512
Takuma Co., Ltd....................................... 2,000 14,386
Teijin, Ltd........................................... 21,000 94,123
Teikoku Oil Co., Ltd.................................. 6,000 20,727
Terumo Corp........................................... 6,000 182,023
Tobu Railway Co., Ltd................................. 21,000 63,091
Toda Corp............................................. 8,000 30,376
Toho Co., Ltd......................................... 400 61,496
Tohuku Electric Power Co., Inc........................ 13,500 195,660
Tokai Bank, Ltd....................................... 65,000 449,723
Tokio Marine & Fire Insurance Co., Ltd................ 44,000 559,769
Tokyo Broadcasting System, Inc........................ 5,000 142,389
*Tokyo Dome Corp...................................... 4,000 20,238
Tokyo Electric Power Co., Ltd......................... 39,000 1,097,274
Tokyo Electron, Ltd................................... 5,000 518,667
Tokyo Gas Co., Ltd.................................... 70,000 151,392
Tokyo Steel Manufacturing Co., Ltd.................... 3,700 14,665
Tokyo Style Co., Ltd.................................. 2,000 17,811
Tokyu Corp............................................ 25,000 64,589
Toppan Printing Co., Ltd.............................. 18,000 214,376
Toray Industries, Inc................................. 35,000 170,230
Toshiba Corp.......................................... 93,000 683,495
Tosoh Corp............................................ 12,000 45,799
Tostem Corp........................................... 5,000 89,788
Toto, Ltd............................................. 9,000 55,047
Toyo Information System Co., Ltd...................... 1,000 66,840
Toyo Seikan Kaisha, Ltd............................... 5,300 94,916
Toyo Trust & Banking Co., Ltd......................... 12,000 63,649
Toyobo Co., Ltd....................................... 14,000 20,277
Toyoda Automatic Loom Works, Ltd...................... 6,000 113,030
Toyota Motor Corp..................................... 108,000 3,656,896
Tsubakimoto Chain Co.................................. 4,000 18,711
UNY Co., Ltd.......................................... 4,000 41,885
Ube Industries, Ltd................................... 16,000 39,145
Uni-Charm Corp........................................ 2,000 121,348
Wacoal Corp........................................... 4,000 35,661
Yakult Honsha Co., Ltd................................ 4,000 43,059
Yamaguchi Bank........................................ 3,000 25,835
Yamaha Corp........................................... 4,000 36,639
Yamanouchi Pharmaceutical Co., Ltd.................... 10,000 435,485
Yamato Transport Co., Ltd............................. 12,000 399,276
Yamazaki Baking Co., Ltd.............................. 4,000 42,276
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Yasuda Trust & Banking Co., Ltd...................... 66,000 $ 127,240
Yokogawa Electric Corp................................ 4,000 26,109
------------
TOTAL COMMON STOCKS
(Cost $56,896,094)................................... 74,245,263
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Japanese Yen
(Cost $790,928)..................................... 791,056
------------
TOTAL -- JAPAN
(Cost $57,687,022)................................... 75,036,319
------------
UNITED KINGDOM -- (20.1%)
COMMON STOCKS -- (18.5%)
Abbey National P.L.C.................................. 40,300 680,374
Airtours P.L.C........................................ 13,000 87,324
Allied Zurich P.L.C................................... 44,499 537,934
Amec P.L.C............................................ 5,000 18,834
Amvescap P.L.C........................................ 19,500 201,100
Anglian Water P.L.C................................... 6,593 69,515
Arjo Wiggins Appleton P.L.C........................... 20,200 61,450
*Arm Holdings P.L.C................................... 3,000 147,143
Associated British Foods P.L.C........................ 20,720 103,210
BAA P.L.C............................................. 29,807 210,547
BBA Group P.L.C....................................... 12,067 96,288
BG P.L.C.............................................. 111,353 584,378
BOC Group P.L.C....................................... 11,178 230,197
BP Amoco P.L.C........................................ 563,470 5,725,695
BPB P.L.C............................................. 10,400 54,538
Barclays P.L.C........................................ 42,962 1,238,511
Barratt Developments P.L.C............................ 4,000 19,304
Bass P.L.C............................................ 25,428 286,331
Berkeley Group P.L.C.................................. 2,300 24,196
Blue Circle Industries P.L.C.......................... 20,639 118,257
Boots Co., P.L.C...................................... 24,422 243,302
Bowthorpe P.L.C....................................... 3,046 37,404
British Aerospace P.L.C............................... 82,887 473,604
British Airways P.L.C................................. 28,000 167,569
British American Tobacco P.L.C........................ 61,499 386,413
British Land Co. P.L.C................................ 13,600 98,015
British Sky Broadcasting Group P.L.C.................. 49,000 643,073
British Telecommunications P.L.C...................... 190,655 3,821,537
Bunzl P.L.C........................................... 11,105 58,544
Burmah Castrol P.L.C.................................. 7,379 137,858
CGU P.L.C............................................. 37,150 562,107
Cable and Wireless P.L.C.............................. 68,440 877,491
Cadbury Schweppes P.L.C............................... 58,449 370,507
Capita Group P.L.C.................................... 6,000 108,416
Caradon P.L.C......................................... 9,000 23,150
Carillion P.L.C....................................... 4,383 7,784
Carlton Communications P.L.C.......................... 16,282 142,888
*Celltech P.L.C....................................... 4,000 33,288
Centrica P.L.C........................................ 112,600 333,571
Cobham P.L.C.......................................... 1,540 17,893
Compass Group P.L.C................................... 19,000 229,987
*Corus Group P.L.C.................................... 88,385 179,484
De la Rue P.L.C....................................... 5,000 31,058
Diageo P.L.C.......................................... 99,104 896,554
Dixons Group P.L.C.................................... 12,000 261,077
EMI Group P.L.C....................................... 20,688 169,857
Electrocomponents P.L.C............................... 12,117 119,460
Elementis P.L.C....................................... 11,213 13,573
</TABLE>
55
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
FKI P.L.C............................................. 14,000 $ 42,589
GKN P.L.C............................................. 20,254 316,620
Glaxo Wellcome P.L.C.................................. 105,419 3,153,198
Granada Group P.L.C................................... 52,136 427,643
Great Portland Estates P.L.C.......................... 6,900 20,880
Great Universal Stores P.L.C.......................... 26,400 176,810
HSBC Holdings P.L.C................................... 244,546 3,152,928
Halifax P.L.C......................................... 62,950 720,376
Hammerson P.L.C....................................... 7,500 54,650
Hanson P.L.C.......................................... 17,100 142,577
Hays P.L.C............................................ 24,000 353,582
Hepworth P.L.C........................................ 6,000 18,921
Hilton Group P.L.C.................................... 40,000 128,372
Hyder P.L.C........................................... 2,090 14,247
IMI P.L.C............................................. 9,000 37,054
Imperial Chemical Industries P.L.C.................... 19,100 194,693
Invensys P.L.C........................................ 108,481 504,514
Jarvis P.L.C.......................................... 3,000 14,394
Johnson Matthey P.L.C................................. 5,000 52,958
Kingfisher P.L.C...................................... 38,531 355,325
*Laird Group P.L.C.................................... 3,700 14,644
Land Securities P.L.C................................. 14,000 161,660
Lasmo P.L.C........................................... 35,400 69,914
Legal and General Group P.L.C......................... 145,000 398,377
Lex Service P.L.C..................................... 2,500 18,913
Lloyds TSB Group P.L.C................................ 156,852 2,004,803
Logica P.L.C.......................................... 11,530 278,214
Lonmin P.L.C.......................................... 3,439 30,892
MEPC P.L.C............................................ 7,000 52,400
Marconi P.L.C......................................... 76,181 972,494
Marks & Spencer P.L.C................................. 81,460 326,302
Meyer International P.L.C............................. 3,000 17,846
Misys P.L.C........................................... 16,060 173,937
National Grid Group P.L.C............................. 41,000 314,425
National Power P.L.C.................................. 35,202 225,247
Next P.L.C............................................ 10,630 86,346
Nycomed Amersham P.L.C................................ 18,000 115,105
Ocean Group P.L.C..................................... 3,123 54,714
Pearson P.L.C......................................... 17,217 410,777
Peninsular & Oriental Steam Navigation Co............. 19,188 281,466
Pilkington P.L.C...................................... 20,570 28,667
Provident Financial P.L.C............................. 6,000 65,269
Prudential Corp. P.L.C................................ 55,798 914,917
Psion P.L.C........................................... 2,000 81,674
RMC Group P.L.C....................................... 6,000 73,296
Racal Electronics P.L.C............................... 6,464 53,973
*Railtrack Group P.L.C................................ 14,197 218,203
Rank Group P.L.C...................................... 16,000 49,884
Reed International P.L.C.............................. 30,000 187,542
Rentokill Initial P.L.C............................... 81,000 309,945
Reuters Holdings Group P.L.C.......................... 39,640 442,892
Rexam P.L.C........................................... 7,401 29,381
Rio Tinto P.L.C....................................... 30,219 592,000
Rolls-Royce P.L.C..................................... 40,666 123,385
Royal & Sun Alliance Insurance Group P.L.C............ 40,384 247,954
Royal Bank of Scotland Group P.L.C.................... 25,276 487,516
Rugby Group P.L.C..................................... 13,000 26,347
Safeway P.L.C......................................... 26,024 76,473
Sage Group P.L.C...................................... 3,530 243,500
Sainsbury (J.) P.L.C.................................. 51,633 254,522
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Schroders P.L.C....................................... 6,000 $ 112,477
Scottish & Newcastle P.L.C............................ 17,600 134,692
Scottish Hydro-Electric P.L.C......................... 24,000 176,982
Scottish Power P.L.C.................................. 31,000 272,791
Sema Group P.L.C...................................... 13,000 222,167
Seton Healthcare Group P.L.C.......................... 3,000 30,078
Slough Estates P.L.C.................................. 9,100 50,583
Smith and Nephew P.L.C................................ 32,000 110,853
Smithkline Beecham P.L.C.............................. 151,810 2,026,194
Smiths Industries P.L.C............................... 9,160 120,872
St. James Place Capital P.L.C......................... 11,000 36,178
Stagecoach Holdings P.L.C............................. 36,420 90,925
TI Group P.L.C........................................ 13,000 88,825
Tarmac P.L.C.......................................... 4,439 39,168
Tate & Lyle P.L.C..................................... 12,900 87,988
Taylor Woodrow P.L.C.................................. 8,766 21,012
Tesco P.L.C........................................... 193,967 523,642
Thames Water P.L.C.................................... 9,469 131,434
Unigate P.L.C......................................... 5,800 27,736
Unilever P.L.C........................................ 82,628 602,739
United Biscuits Holdings P.L.C........................ 12,611 45,795
United Utilities P.L.C................................ 14,400 134,170
Vodafone Group P.L.C.................................. 821,335 3,862,308
WPP Group P.L.C....................................... 13,200 193,524
Williams P.L.C........................................ 19,000 98,274
Wimpey (George) P.L.C................................. 8,100 16,191
Wolseley P.L.C........................................ 15,081 111,031
Zeneca Group P.L.C.................................... 51,600 2,299,504
TOTAL COMMON STOCKS
(Cost $39,316,832)................................... 53,006,870
------------
INVESTMENT IN CURRENCY -- (1.6%)
*British Pound Sterling
(cost $4,593,271)................................... 4,577,743
------------
</TABLE>
<TABLE>
BONDS -- (0.0%)
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
British Aerospace P.L.C.
7.450%, 11/30/03
(Cost $16,353)................................... 10 16,268
------------
TOTAL -- UNITED KINGDOM
(Cost $43,926,456)................................... 57,600,881
------------
<CAPTION>
SHARES
------------
<S> <C> <C>
FRANCE -- (9.0%)
COMMON STOCKS -- (9.0%)
AXA-UAP............................................... 11,292 1,522,412
Accor SA.............................................. 1,108 251,463
Air Liquide........................................... 2,637 387,123
Air Liquide Prime Fidelite............................ 2,076 300,347
Alcatel Alsthom Cie Generale d'Electricite SA......... 6,400 1,240,485
Banque Nationale de Paris............................. 9,069 830,963
Bouygues.............................................. 754 347,710
Canal Plus SA......................................... 4,032 333,307
Cap Gemini SA......................................... 2,400 424,343
Carrefour............................................. 8,750 1,524,175
Casino Guichard Perrachon............................. 1,900 237,223
Cie Generale d'Optique Essilor International SA....... 270 75,849
*Club Mediterranee SA................................. 300 30,358
</TABLE>
56
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Coflexip SA........................................... 300 $ 24,769
Compagnie Francaise d'Etudes et de Construction
Technip SA.......................................... 500 47,852
*Credit National...................................... 800 58,762
Dassault Systemes SA.................................. 3,600 165,834
Eridania Beghin-Say SA................................ 800 89,412
France Telecom SA..................................... 33,000 3,824,459
GTM Entrepose......................................... 400 37,879
Generale des Establissements Michelin SA Series B..... 4,409 176,687
Groupe Danone......................................... 2,346 544,005
*Groupement pour le Financement de la Construction
SA.................................................. 384 44,464
Imetal................................................ 400 51,553
L'Oreal............................................... 2,140 1,408,122
LVMH (Louis Vuitton Moet Hennessy).................... 3,117 1,011,214
LaFarge SA............................................ 3,333 314,285
Lagardere SCA......................................... 3,900 183,777
Legrand SA............................................ 600 126,566
Lyonnais des Eaux SA.................................. 4,854 715,031
Pathe SA.............................................. 500 56,939
Pechiney SA Series A.................................. 1,655 95,901
Pernod-Ricard......................................... 1,760 100,302
Peugeot SA............................................ 1,550 303,551
Pinault Printemps Redoute SA.......................... 3,700 771,175
Rhone-Poulenc SA Series A............................. 11,965 740,915
SEB SA................................................ 300 17,278
SEITA (Societe Nationale d'Exploitation Industrielle
des Tabacs et Allumettas)........................... 1,200 61,621
Saint-Gobain.......................................... 2,784 473,736
Sanofi Synthelabo..................................... 23,556 970,076
Schneider SA.......................................... 5,059 341,287
Sidel SA.............................................. 1,000 93,842
Simco SA.............................................. 600 50,143
*Societe EuraFrance, Paris............................ 100 59,406
Societe Generale Paris................................ 2,482 534,806
Sodexho Alliance SA................................... 900 161,756
Ste Bic............................................... 1,700 66,757
Thomson-CSF........................................... 5,324 154,441
*Total SA............................................. 19,206 2,554,586
Usinor................................................ 6,600 101,011
Valeo SA.............................................. 2,600 174,091
Vivendi SA............................................ 19,022 1,522,664
*Zodiac SA............................................ 100 18,225
------------
TOTAL COMMON STOCKS
(Cost $17,002,304)................................... 25,754,938
------------
RIGHTS/WARRANTS -- (0.0%)
*Banque Nationale de Paris Certified Value Guarantee
Rights 07/15/02
(Cost $5,148)....................................... 1,521 6,524
------------
TOTAL -- FRANCE
(Cost $17,007,452)................................... 25,761,462
------------
GERMANY -- (8.8%)
COMMON STOCKS -- (8.8%)
AGIV AG fuer Industrie & Verkehrswesen................ 900 16,719
AXA Colonia Konzern AG................................ 650 61,194
Aachener und Muenchener Beteiligungs AG............... 1,500 101,645
Adidas-Salomon AG..................................... 1,200 $ 88,445
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Allianz AG............................................ 7,100 2,063,887
BASF AG............................................... 17,900 822,763
Bayer AG.............................................. 20,500 863,834
Bayerische Motorenwerke AG............................ 16,250 435,227
Bayerische Vereinsbank AG............................. 10,900 676,064
Beiersdorf AG......................................... 2,300 151,919
Bilfinger & Berger Bau AG, Mannheim................... 800 14,741
Buderus AG............................................ 1,400 22,202
*Celanese AG.......................................... 1,200 18,486
Commerzbank AG........................................ 8,490 273,551
Continental AG........................................ 2,900 57,231
DaimlerChrysler AG, Stuttgart......................... 28,952 1,956,059
Degussa-Huels AG...................................... 2,700 91,073
Deutsche Bank AG...................................... 17,688 1,151,405
Deutsche Lufthansa AG................................. 10,700 235,944
Deutsche Telekom AG................................... 87,820 4,907,578
Douglas Holding AG.................................... 900 38,967
Dresdner Bank AG...................................... 15,780 730,879
Em TV & Merchandising AG.............................. 3,100 230,949
Fresenius Medical Care AG............................. 2,000 163,317
Gehe AG............................................... 2,100 86,270
Heidelberger Zement AG, Heidelberg.................... 1,100 83,068
Hochtief AG........................................... 1,510 57,699
#Hoechst AG........................................... 12,000 535,261
Karstadt Quelle AG.................................... 1,500 51,049
Linde AG.............................................. 2,900 144,539
*MAN AG............................................... 2,750 83,622
Mannesmann AG......................................... 11,280 2,296,524
Merck KGAA............................................ 1,200 36,248
Metro AG.............................................. 8,440 448,276
Munchener Rueckversicherungs.......................... 5,000 1,040,618
Preussag AG........................................... 4,836 241,761
RWE AG................................................ 13,250 504,299
RWE AG................................................ 800 24,165
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung).................................. 1,700 563,152
*SGL Carbon AG........................................ 400 21,064
Schering AG........................................... 1,800 212,413
Siemens AG............................................ 17,450 1,742,962
*Thyssen Krupp AG..................................... 14,400 370,454
Veba AG............................................... 12,500 607,530
Viag AG............................................... 15,496 255,104
Volkswagen AG......................................... 8,720 413,980
Wcm Beteiligungs...................................... 4,600 181,099
------------
TOTAL -- GERMANY
(Cost $18,345,636)................................... 25,175,236
------------
SWITZERLAND -- (6.0%)
COMMON STOCKS -- (5.7%)
*ABB, Ltd............................................. 10,320 1,020,077
Adecco SA............................................. 586 374,612
Alusuisse Lonza Group AG.............................. 160 97,355
Credit Suisse Holding, Zuerich (Namen)................ 9,360 1,750,352
Financiere Richemont AG............................... 106 236,536
Fischer (Georg) AG, Schaffhausen (Namen).............. 70 21,758
Forbo Holding AG, Eglisau............................. 47 21,685
Holderbank Financiere Glarus AG, Glarus............... 284 355,786
</TABLE>
57
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Interallianz Bank AG, Zuerich......................... 110 $ 26,551
Kuoni Reisen Holding AG............................... 6 24,043
Nestle SA, Cham et Vevey.............................. 1,353 2,434,053
Novartis AG, Basel.................................... 2,481 3,866,036
Roche Holding AG, Basel............................... 79 1,318,421
*SGS Societe Generale de Surveillance Holding SA...... 48 47,943
Sairgroup, Zuerich.................................... 437 89,961
Schindler Holding AG, Hergiswil....................... 36 52,386
Schneizerische Rueckversicherangs-Gesellschaft........ 492 1,003,558
Sika Finanz AG, Baar.................................. 60 19,310
*Sulzer AG, Winterthur................................ 90 56,063
Swatch Group AG....................................... 123 105,691
Swatch Group AG (Namen)............................... 512 88,022
Swisscom AG........................................... 872 295,987
United Bank of Switzerland............................ 7,387 2,019,854
Zurich Allied AG...................................... 1,672 957,452
------------
TOTAL COMMON STOCKS
(Cost $11,563,875)................................... 16,283,492
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Swiss Francs
(Cost $1,054,739)................................... 1,054,738
------------
TOTAL -- SWITZERLAND
(Cost $12,618,614)................................... 17,338,230
------------
NETHERLANDS -- (4.8%)
COMMON STOCKS -- (4.8%)
ABN Amro Holding NV................................... 41,362 1,006,605
AKZO Nobel NV......................................... 8,000 342,342
*ASM Lithography Holding NV........................... 3,900 378,942
Aegon NV.............................................. 19,013 1,722,955
Asr Verzekeringsgroep NV.............................. 406 23,465
*Baan Company NV...................................... 4,700 62,988
Buhrmann NV........................................... 1,241 19,505
Elsevier NV........................................... 17,500 172,329
Getronics NV.......................................... 2,977 182,098
Hagemeyer NV.......................................... 2,800 62,391
Heineken NV........................................... 8,550 413,226
IHC Caland NV......................................... 600 23,199
Ing Groep NV.......................................... 26,532 1,492,018
KLM (Koninklijke Luchtvaart Mij) NV................... 2,377 58,159
Koninklijke Ahold NV.................................. 17,369 552,815
Koninklijke KPN NV.................................... 13,463 749,631
*Koninklijke Vopak NV................................. 800 21,064
Oce NV................................................ 1,531 26,669
*Philips Electronics NV............................... 9,644 1,173,504
Royal Dutch Petroleum Co., Den Haag................... 61,100 3,594,661
Stork NV.............................................. 800 11,156
TNT Post Groep NV..................................... 13,458 344,187
Unilever NV........................................... 17,142 944,125
*Unilever NV.......................................... 19,200 96,468
Vedior NV, Amsterdam.................................. 2,600 28,666
Wolters Kluwer NV..................................... 10,900 328,703
------------
TOTAL -- NETHERLANDS
(Cost $10,347,036)................................... 13,831,871
------------
ITALY -- (3.5%)
COMMON STOCKS -- (3.5%)
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Alitalia Linee Aeree Italiane SpA Series A............ 40,000 $ 96,661
Alleanza Assicurazioni SpA............................ 13,612 124,037
Alleanza Assicurazioni SpA (Risp)..................... 124 694
Assicurazioni Generali SpA, Trieste................... 28,654 825,148
Autogrill SpA, Novara................................. 4,000 42,088
Banca Commerciale Italiana SpA........................ 34,000 172,883
Banca di Roma......................................... 136,500 182,795
Banca Popolare di Milano.............................. 7,000 39,822
#Banco Ambrosiano Veneto SpA.......................... 73,000 311,652
#Benetton Group SpA................................... 50,500 102,204
*Beni Stabili SpA, Roma............................... 38,607 13,567
Bulgari SpA........................................... 7,000 53,919
Cartiere Burgo SpA.................................... 3,000 20,389
*Compagnia di Partecipazioni Assicurative Industriali
SpA................................................. 20,150 23,616
Credito Italiano...................................... 134,000 624,693
ENI SpA............................................... 228,000 1,248,862
Edison SpA............................................ 18,000 135,930
*Fabbrica Italiana Magneti Marelli SpA................ 7,500 25,298
Fiat SpA.............................................. 8,990 245,850
HPI SpA (Holding di Partecipazioni Industriale)....... 18,000 12,814
INA (Istituto Nazionale delle Assicurazioni SpA)...... 98,000 273,330
ITALGAS SpA, Torino................................... 17,000 66,757
Ifil Finanziaria Partecipazioni SpA................... 4,500 34,889
*Ing C.Olivetti & C SpA, Ivrea........................ 130,900 279,419
Italcementi Fabbriche Riunite Cemento SpA, Bergamo.... 4,500 55,052
La Fondiara Assicurazioni SpA......................... 4,200 21,525
Mediaset SpA.......................................... 33,000 375,468
Mediobanca SpA........................................ 16,000 147,569
Mondadori (Arnoldo) Editore SpA....................... 3,000 61,440
Montedison SpA........................................ 63,090 96,557
Parmalat Finanziaria SpA.............................. 35,000 40,703
Pirelli SpA........................................... 45,000 102,853
RAS SpA (Riunione Adriatica di Sicurta)............... 15,336 130,327
Rinascente per l'Esercizio di Grande Magazzini SpA.... 6,000 36,973
*SAI SpA (Sta Assicuratrice Industriale SpA).......... 2,000 17,782
San Paolo-Imi SpA..................................... 38,607 482,024
Seat Pagine Gialle SpA................................ 86,000 174,916
#Sirti SpA............................................ 4,000 24,206
Snia BPD SpA.......................................... 20,000 20,279
*Tecnost SpA.......................................... 106,179 248,566
Telecom Italia Mobile SpA............................. 185,740 1,458,750
Telecom Italia SpA, Torino............................ 135,000 1,487,072
Unione Immobiliare SpA................................ 115,000 56,275
------------
TOTAL -- ITALY
(Cost $8,090,708).................................... 9,995,654
------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Acerinox SA........................................... 1,500 46,141
Aguas de Barcelona SA................................. 2,700 41,404
*Aguas de Barcelona SA EM99........................... 27 405
</TABLE>
58
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Argentaria Caja Postal y Banco Hipotecario SA......... 13,200 $ 301,704
Autopistas Concesionaria Espanola SA.................. 6,635 67,943
Azucarera Ebro Agricolas SA........................... 900 14,472
#Banco Bilbao Vizcaya SA.............................. 63,300 882,743
Banco Financiero...................................... 2,100 61,531
Banco Popular Espanol SA, Madrid...................... 2,000 129,284
Banco Santander Central Hispanoamerica SA............. 109,984 1,208,189
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 900 15,360
Cortefiel SA.......................................... 1,000 22,856
ENDESA SA, Madrid..................................... 31,700 628,791
Fomento de Construcciones y Contratas SA.............. 6,000 126,807
Gas Natural SA, Buenos Aires.......................... 13,400 336,363
Grupo Dragados SA, Madrid............................. 4,100 37,567
Iberdrola SA.......................................... 27,000 376,254
Metrovacesa SA........................................ 735 13,062
OCP Construcciones SA, Madrid......................... 1,100 26,571
Repsol SA............................................. 35,600 777,840
*Sol Melia SA......................................... 4,600 54,376
Tabacalera SA......................................... 4,100 67,662
*Tele Pizza SA........................................ 4,400 20,202
*Telefonica de Espana SA.............................. 95,874 1,996,329
*Telefonica de Espana SA EM99......................... 1,724 35,911
Union Electrica Fenosa SA............................. 8,200 138,213
Vallehermoso SA....................................... 1,900 14,119
Zardoya Otis SA....................................... 3,000 31,747
*Zardoya Otis SA EM99................................. 300 3,143
------------
TOTAL -- SPAIN
(Cost $5,458,399).................................... 7,476,989
------------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
Asea AB............................................... 3,102 305,053
Assidomaen AB......................................... 1,900 31,961
Astrazeneca P.L.C..................................... 18,161 811,804
Atlas Copco AB Series A............................... 2,900 75,050
Atlas Copco AB Series B............................... 1,700 43,395
*Boliden, Ltd......................................... 859 2,324
Drott Series B........................................ 2,400 26,538
Electrolux AB Series B................................ 10,300 201,128
Fastighets AB Balder.................................. 420 4,990
Foreningssparbanken AB Series A....................... 14,900 229,607
Gambro AB Series A.................................... 4,000 41,407
Hennes & Mauritz AB Series B.......................... 20,600 654,273
Mandamus AB........................................... 225 1,337
*Netcom AB Series B................................... 2,400 124,361
Om Gruppen AB......................................... 1,500 22,938
SSAB Swedish Steel Series A........................... 1,700 21,797
Sandvik AB Series A................................... 4,600 129,596
Sandvik AB Series B................................... 1,300 36,931
Securitas AB Series B................................. 7,400 123,173
Skandia Insurance AB.................................. 14,400 344,711
Skandinaviska Enskilda Banken Series A................ 15,900 151,499
Skanska AB............................................ 2,400 81,590
Svenska Cellulosa AB Series B......................... 5,600 155,793
Svenska Handelsbanken Series A........................ 20,000 272,908
*Svenska Kullagerfabriken AB
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Series A............................................ 1,300 $ 27,755
Svenska Kullagerfabriken AB
Series B............................................ 1,300 28,979
Swedish Match AB (Frueher Svenska Taendsticks AB)..... 8,800 31,469
Sydkraft AB Series C.................................. 2,400 42,630
Telefon AB L.M. Ericsson Series A..................... 3,000 149,629
Telefon AB L.M. Ericsson Series B..................... 55,500 2,693,053
Trelleborg AB Series B................................ 2,200 18,245
Volvo AB Series A..................................... 3,300 79,578
Volvo AB Series B..................................... 8,500 206,475
Wm-Data AB Series B................................... 1,700 94,188
------------
TOTAL COMMON STOCKS
(Cost $4,618,483).................................... 7,266,165
------------
RIGHTS/WARRANTS -- (0.0%)
*Skandinaviska Enskilda Banken Rights 12/14/99
(Cost $0)........................................... 15,900 17,207
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $22).......................................... 22
------------
TOTAL -- SWEDEN
(Cost $4,618,505).................................... 7,283,394
------------
AUSTRALIA -- (2.4%)
COMMON STOCKS -- (2.3%)
AMP, Ltd.............................................. 32,903 308,509
Amcor, Ltd............................................ 17,677 76,726
Australia & New Zealand Banking Group, Ltd............ 33,278 239,255
Boral, Ltd............................................ 26,250 38,880
Brambles Industries, Ltd.............................. 6,288 172,462
Broken Hill Proprietary Co., Ltd...................... 53,663 588,342
CSL, Ltd.............................................. 2,475 33,984
CSR, Ltd.............................................. 53,442 128,075
Coca-Cola Amatil, Ltd................................. 24,347 76,302
Coles Myer, Ltd....................................... 32,109 163,289
Colonial, Ltd......................................... 25,510 101,676
Commonwealth Bank of Australia........................ 12,026 198,304
Faulding (F.H.) and Co., Ltd.......................... 3,367 20,978
Fosters Brewing Group, Ltd............................ 47,716 127,911
Futuris Corp., Ltd.................................... 13,344 17,813
*GIO Australia Holdings, Ltd.......................... 9,878 15,384
Goodman Fielder, Ltd.................................. 17,315 15,520
Hardie (James) Industries, Ltd........................ 8,791 22,353
Leighton Holdings, Ltd................................ 5,652 21,162
Lend Lease Corp., Ltd................................. 14,154 180,399
MIM Holdings.......................................... 52,008 43,309
Mayne Nickless, Ltd................................... 6,783 17,679
National Australia Bank, Ltd.......................... 45,115 651,010
*Newcrest Mining, Ltd................................. 6,972 22,204
News Corp., Ltd....................................... 64,704 502,624
News Corp., Ltd....................................... 19,674 170,213
Normandy Mining, Ltd.................................. 49,399 35,484
North, Ltd............................................ 21,076 41,399
Orica, Ltd............................................ 4,594 23,877
Pacific Dunlop, Ltd................................... 19,238 25,804
Pioneer International, Ltd............................ 18,861 55,272
QBE Insurance Group, Ltd.............................. 6,632 26,391
Rio Tinto, Ltd........................................ 16,672 291,978
</TABLE>
59
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@
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(000)
<S> <C> <C>
Santos, Ltd........................................... 13,811 $ 36,874
Smith (Howard), Ltd................................... 3,257 22,503
Southcorp, Ltd........................................ 13,704 48,104
Suncorp-Metway Limited................................ 3,841 19,851
Tabcorp Holdings, Ltd................................. 6,574 44,874
Telstra Corp., Ltd.................................... 195,200 1,136,622
The Australian Gas Light Company...................... 7,216 40,174
WMC, Ltd.............................................. 30,370 139,387
Wesfarmers, Ltd....................................... 5,621 41,806
Westpac Banking Corp.................................. 56,312 378,907
Woodside Petroleum, Ltd............................... 6,666 47,460
Woolworths, Ltd....................................... 33,485 113,028
------------
TOTAL COMMON STOCKS
(Cost $5,559,376).................................... 6,524,158
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $283,499)..................................... 282,691
------------
TOTAL -- AUSTRALIA
(Cost $5,842,875).................................... 6,806,849
------------
FINLAND -- (2.3%)
COMMON STOCKS -- (2.3%)
Kemira Oyj............................................ 3,200 18,623
Kesko Oyj............................................. 2,800 29,941
Merita Oyj, Helsinki.................................. 22,400 134,875
Metra Oyj Series B.................................... 1,200 20,154
*Metso Oyj............................................ 2,132 23,077
Nokia Oyj............................................. 35,684 5,051,724
Outokumpu Oyj Series A................................ 3,100 35,115
Pohjola Group Insurance Corp.
Series A............................................ 900 50,747
Sampo Insurance Co., Ltd.............................. 1,500 49,086
Sonera Group Oyj...................................... 21,226 876,473
Stockmann Oy AB....................................... 600 9,122
Tietoenator Corp...................................... 2,200 98,574
Upm-Kymmene Oyj....................................... 7,600 254,058
------------
TOTAL -- FINLAND
(Cost $3,392,976).................................... 6,651,569
------------
HONG KONG -- (2.3%)
COMMON STOCKS -- (2.2%)
Bank of East Asia, Ltd................................ 32,000 77,050
CLP Holdings, Ltd..................................... 64,500 300,640
Cathay Pacific Airways, Ltd........................... 93,000 176,027
Cheung Kong Holdings, Ltd............................. 68,000 763,929
Citic Pacific, Ltd.................................... 24,000 64,895
Hang Lung Development Co., Ltd........................ 21,000 21,767
Hang Seng Bank, Ltd................................... 57,100 634,123
Henderson Land Development Co., Ltd................... 18,000 97,342
*Hong Kong & Shanghai Hotels, Ltd..................... 27,500 16,465
Hong Kong and China Gas Co., Ltd...................... 129,600 168,541
Hong Kong Electric Holdings, Ltd...................... 32,400 102,209
Hong Kong Telecommunications, Ltd..................... 362,258 986,522
Hutchison Whampoa, Ltd................................ 115,000 1,414,099
Hysan Development Co., Ltd............................ 18,413 21,930
Johnson Electric Holdings, Ltd........................ 24,000 171,507
New World Development Co., Ltd........................ 55,558 110,166
*Shangri-La Asia, Ltd................................. 32,000 37,495
Sino Land Co., Ltd.................................... 74,000 35,254
South China Morning Post (Holdings),
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Ltd................................................. 40,000 $ 33,220
Sung Hungkai Properties, Ltd.......................... 71,506 653,701
Swire Pacific, Ltd. Series A.......................... 27,000 155,052
Television Broadcasts, Ltd............................ 12,000 78,028
Wharf Holdings, Ltd................................... 62,542 158,641
Wing Lung Bank, Ltd................................... 5,500 22,591
------------
TOTAL COMMON STOCKS
(Cost $5,136,313).................................... 6,301,194
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $284,672)..................................... 284,707
------------
TOTAL -- HONG KONG
(Cost $5,420,985).................................... 6,585,901
------------
EMU -- (1.6%)
INVESTMENT IN CURRENCY -- (1.6%)
*Euro Currency
(Cost $4,709,770)................................... 4,686,742
------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
Barco NV.............................................. 200 23,762
Cimenteries CBR Cementsedrijoen....................... 400 40,880
Colruyt SA Halle...................................... 1,000 50,848
D'Ieteren SA.......................................... 160 62,218
*Dolmen Computer Applications......................... 100 1,863
Electrabel SA......................................... 1,900 606,065
Etablissement Delhaize Freres & Cie le Lion SA
Molenbeek-Saint-Jean................................ 1,400 107,133
*Fortis AG............................................ 931 3,937
Fortis AG Series B.................................... 25,379 874,706
Fortis AG VVPR........................................ 8,379 84
Glaverbel SA.......................................... 200 17,721
Ing Groep NV.......................................... 1,231 69,039
KBC Bancassurance Holding SA.......................... 10,500 492,670
Solvay SA............................................. 2,900 216,078
Suez Lyonnaise des Eaux............................... 2,300 338,344
*Suez Lyonnaise des Eaux SA VVPR...................... 2,300 23
UCB SA................................................ 3,900 158,017
Union Miniere SA...................................... 600 22,074
------------
TOTAL COMMON STOCKS
(Cost $2,937,015).................................... 3,085,462
------------
RIGHTS/WARRANTS -- (0.0%)
*Ing Groep NV Warrants 01/05/08
(Cost $0)........................................... 200 4,209
------------
TOTAL -- BELGIUM
(Cost $2,937,015).................................... 3,089,671
------------
SINGAPORE -- (0.9%)
COMMON STOCKS -- (0.9%)
Cerebos Pacific, Ltd.................................. 10,000 22,857
City Developments, Ltd................................ 26,000 147,799
Creative Technology Co., Ltd.......................... 3,000 45,893
Cycle & Carriage, Ltd................................. 7,000 25,417
DBS Group Holdings, Ltd............................... 12,000 155,716
DBS Land, Ltd......................................... 37,500 73,215
Fraser & Neave, Ltd................................... 10,000 43,751
Keppel Bank of Singapore, Ltd......................... 35,750 72,778
Keppel Corp., Ltd..................................... 25,000 66,370
Keppel Land, Ltd...................................... 22,000 35,619
</TABLE>
60
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CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Natsteel, Ltd......................................... 12,000 $ 22,000
*Neptune Orient Lines, Ltd............................ 23,000 34,227
Overseas Chinese Banking Corp., Ltd................... 14,000 105,001
Parkway Holdings, Ltd................................. 10,000 20,238
Sembcorp Industries, Ltd.............................. 52,000 69,334
Singapore Airlines, Ltd............................... 9,000 91,072
*Singapore Airlines, Ltd.............................. 4,000 40,239
Singapore Land, Ltd................................... 11,000 25,929
Singapore Press Holdings.............................. 4,000 75,001
Singapore Press Holdings, Ltd......................... 12,000 225,003
Singapore Technologies Engineering, Ltd............... 84,000 125,501
#Singapore Telecommunications, Ltd.................... 535,000 1,012,691
United Industrial Corp., Ltd.......................... 32,000 17,334
United Overseas Bank, Ltd............................. 10,000 89,287
Wing Tai Holdings, Ltd................................ 19,000 18,435
------------
TOTAL COMMON STOCKS
(Cost $2,519,663).................................... 2,660,707
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $13,428)...................................... 13,335
------------
TOTAL -- SINGAPORE
(Cost $2,533,091).................................... 2,674,042
------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S.
Series B............................................ 290 9,539
*Carlsberg A.S. Series A.............................. 680 25,772
*Carlsberg A.S. Series B.............................. 1,530 60,472
Dampskibsselskabet AF 1912 A.S........................ 33 348,411
Dampskibsselskabet Svendborg A.S...................... 22 330,543
Danisco A.S........................................... 1,380 56,412
Den Danske Bank A.S................................... 1,540 175,099
Falck A.S............................................. 410 40,790
Fls Industries........................................ 890 24,214
GN Great Nordic, Ltd.................................. 590 22,201
*ISS International Service System A.S................. 1,030 59,950
Kapital Holdings A.S.................................. 670 32,512
Novo Nordisk A.S. Series B............................ 2,080 271,690
Tele Danmark A.S...................................... 6,960 448,435
Unidanmark A.S. Series A.............................. 1,950 147,811
------------
TOTAL COMMON STOCKS
(Cost $1,973,192).................................... 2,053,851
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Danish Krone
(Cost $144,619)..................................... 144,564
------------
TOTAL -- DENMARK
(Cost $2,117,811).................................... 2,198,415
------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A.............................. 1,100 16,237
Christiania Bank Og Kreditkasse....................... 17,700 81,677
Den Norske Bank ASA Series A.......................... 25,900 104,737
Dyno Industrier ASA................................... 1,300 31,687
Elkem ASA............................................. 1,300 23,544
*Kvaerner ASA......................................... 1,700 32,053
Merkantildata ASA..................................... 2,200 22,651
*NCL Holding ASA...................................... 7,000 19,711
Norsk Hydro ASA....................................... 10,700 418,097
Norske Skogindustrier ASA Series A.................... 900 39,856
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Orkla ASA Series A.................................... 6,971 $ 107,226
*Petroleum Geo Services ASA........................... 2,200 34,113
Schibsted ASA......................................... 1,600 24,412
*Storebrand ASA....................................... 11,200 78,496
Tomra Systems ASA..................................... 1,000 35,105
------------
TOTAL COMMON STOCKS
(Cost $1,145,829).................................... 1,069,602
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Norwegian Krone
(Cost $197,204)..................................... 195,182
------------
TOTAL -- NORWAY
(Cost $1,343,033).................................... 1,264,784
------------
IRELAND -- (0.4%)
COMMON STOCKS -- (0.4%)
Allied Irish Banks P.L.C.............................. 29,207 377,012
CRH P.L.C............................................. 13,087 262,357
DCC P.L.C............................................. 2,178 15,790
Eircom P.L.C.......................................... 48,130 191,423
Fyffes P.L.C.......................................... 9,933 16,202
Greencore Group P.L.C................................. 4,792 13,027
Independent Newspapers P.L.C.......................... 5,910 30,944
Irish Permanent P.L.C................................. 9,882 98,506
Jefferson Smurfit Group P.L.C......................... 37,203 101,140
Kerry Group P.L.C..................................... 3,000 36,097
*Ryanair Holdings P.L.C............................... 5,625 54,938
Waterford Wedgwood P.L.C.............................. 18,396 17,596
------------
TOTAL -- IRELAND
(Cost $1,292,962).................................... 1,215,032
------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
BPI SGPS SA........................................... 19,500 81,286
Banco Comercial Portugues SA.......................... 33,500 192,940
Banco Espirito Santo e Comercial de Lisboa............ 3,900 97,386
Brisa Auto Estradas de Portugal SA.................... 7,500 55,429
Cimpor Cimentos de Portugal SA........................ 4,780 74,841
Companhia de Seguros Tranquilidade SA................. 700 17,903
Electricidade de Portugal SA.......................... 9,900 154,906
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 2,900 65,699
Portugal Telecom SA................................... 34,500 331,744
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 3,700 138,066
------------
TOTAL -- PORTUGAL
(Cost $1,239,296).................................... 1,210,200
------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Austria Tabak AG...................................... 855 39,170
Austrian Airlines/Oesterreichische Luftverkehrs....... 754 14,007
Bank Austria AG....................................... 4,346 229,780
Bohler Uddeholm AG.................................... 480 20,106
Flughafen Wien AG..................................... 579 20,113
Mayr Melnhof Karton AG................................ 472 19,675
*Oesterreichische Elektrizitaetswirtschafts AG........ 594 76,550
</TABLE>
61
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Omv AG................................................ 1,325 $ 120,085
Va Technologie AG..................................... 435 26,652
Wienerberger AG....................................... 3,035 59,590
------------
TOTAL -- AUSTRIA
(Cost $719,927)...................................... 625,728
------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
*Brierley Investments, Ltd............................ 41,700 9,990
Carter Holt Harvey, Ltd............................... 50,100 60,776
Fletcher Challenge, Ltd............................... 9,880 22,258
*Lion Nathan, Ltd..................................... 17,600 39,024
Telecom Corporation of New Zealand, Ltd............... 66,200 282,759
------------
TOTAL COMMON STOCKS
(Cost $439,478)...................................... 414,807
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $27).......................................... 27
------------
TOTAL -- NEW ZEALAND
(Cost $439,505)...................................... 414,834
------------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (3.5%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
7.50%, 11/15/01, valued at $10,194,913) to be
repurchased at $10,040,478.
(Cost $10,039,000).................................. $ 10,039 10,039,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $220,128,074)++.... $286,962,803
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $221,253,107.
@ Denominated in local currency.
</TABLE>
See accompanying Notes to Financial Statements.
62
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (26.6%)
COMMON STOCKS -- (25.3%)
Aichi Bank, Ltd....................................... 300 $ 23,252
Aisin Seiki Co., Ltd.................................. 4,000 60,831
Akita Bank, Ltd....................................... 4,000 16,049
Amada Co., Ltd........................................ 6,000 34,056
Aomori Bank, Ltd...................................... 5,000 20,796
*Ashikaga Bank, Ltd................................... 11,000 23,682
Bandai Co., Ltd....................................... 2,000 72,222
Bank of Iwate, Ltd.................................... 200 8,905
Bank of Kyoto, Ltd.................................... 5,000 29,358
Bank of Nagoya, Ltd................................... 5,000 30,826
Bank of Yokohama, Ltd................................. 26,000 117,806
Best Denki Co., Ltd................................... 1,000 9,786
Brother Industries, Ltd............................... 6,000 15,266
Canon Sales Co., Inc.................................. 3,000 41,102
Casio Computer Co., Ltd............................... 7,000 47,678
Chiba Bank, Ltd....................................... 18,000 96,355
Chiyoda Fire and Marine Insurance Co., Ltd............ 11,000 35,739
Chudenko Corp......................................... 1,000 17,439
Chugoku Bank, Ltd..................................... 5,000 56,368
Chuo Trust and Banking Co., Ltd....................... 9,000 88,076
Citizen Watch Co., Ltd................................ 9,000 55,135
Cosmo Oil Co., Ltd.................................... 10,000 15,658
Dai Nippon Pharmaceutical Co., Ltd.................... 2,000 13,387
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 11,000 47,042
Daicel Chemical Industries, Ltd....................... 6,000 17,733
Daido Steel Co., Ltd.................................. 25,000 39,879
Daio Paper Corp....................................... 6,000 46,034
Daishi Bank, Ltd...................................... 6,000 23,604
Daito Trust Construction Co., Ltd..................... 3,100 39,135
Daiwa Bank, Ltd....................................... 40,000 135,049
Daiwa House Industry Co., Ltd......................... 15,000 135,049
*Daiwa Securities Co., Ltd............................ 17,000 242,560
Denki Kagaku Kogyo KK................................. 4,000 13,896
Dowa Fire & Marine Insurance Co., Ltd................. 5,000 12,967
Eighteenth Bank, Ltd.................................. 2,000 7,751
Ezaki Glico Co., Ltd.................................. 2,000 9,590
Fukuoka City Bank, Ltd................................ 2,000 9,493
Fukuyama Transporting Co., Ltd........................ 8,000 57,151
Futaba Industrial Co., Ltd............................ 1,000 11,606
*General Sekiyu KK.................................... 6,000 14,679
Higo Bank, Ltd........................................ 7,000 30,689
*Hino Motors, Ltd..................................... 8,000 25,444
Hitachi Cable, Ltd.................................... 8,000 47,208
Hitachi Construction Machinery Co., Ltd............... 3,000 15,413
Hitachi Maxell, Ltd................................... 1,000 26,814
Hitachi Metals, Ltd................................... 7,000 32,196
Hitachi, Ltd.......................................... 77,000 1,062,484
Hokkoku Bank, Ltd..................................... 10,000 41,591
Hokuetsu Paper Mills, Ltd............................. 3,000 23,252
*Hokuriku Bank, Ltd................................... 20,000 47,169
House Foods Corp...................................... 2,000 28,399
Hyakugo Bank, Ltd. (105th Bank)....................... 6,000 28,654
Hyakujishi Bank, Ltd.................................. 9,000 57,954
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Inax Corp............................................. 4,000 $ 23,682
Ishikawajima-Harima Heavy Industries Co., Ltd......... 27,000 33,557
*Itochu Corp.......................................... 31,000 184,450
Itoham Foods, Inc..................................... 6,000 26,834
Izumiya Co., Ltd...................................... 5,000 44,527
Japan Energy Corp..................................... 23,000 22,508
Juroku Bank, Ltd...................................... 6,000 27,362
Kagoshima Bank, Ltd................................... 2,000 8,827
Kajima Corp........................................... 21,000 70,695
Kamigumi Co., Ltd..................................... 8,000 34,056
Kandenko Co., Ltd..................................... 6,000 31,590
Kansai Paint Co., Ltd., Osaka......................... 3,000 7,545
Katokichi Co., Ltd.................................... 1,000 25,102
Kinden Corp........................................... 7,000 56,241
Kissei Pharmaceutical Co., Ltd........................ 1,000 16,754
Kiyo Bank, Ltd........................................ 16,000 45,095
Koa Fire & Marine Insurance Co., Ltd.................. 3,000 9,072
*Kobe Steel, Ltd...................................... 83,000 63,356
Koito Manufacturing Co., Ltd.......................... 3,000 14,092
Kokuyo Co., Ltd....................................... 3,000 46,093
Komatsu, Ltd.......................................... 27,000 151,930
Komori Corp........................................... 2,000 39,243
Konica Corp........................................... 5,000 20,062
Kyushu Matsushita Electric Co., Ltd................... 3,000 38,401
Lintec Corp........................................... 2,000 20,845
Makita Corp........................................... 4,000 36,405
*Marubeni Corp........................................ 43,000 167,060
Maruichi Steel Tube, Ltd.............................. 1,000 12,722
Matsushita Electric Industrial Co., Ltd............... 60,000 1,517,835
Michinoku Bank, Ltd................................... 3,000 18,055
Mitsubishi Gas Chemical Co., Inc...................... 11,000 25,190
Mitsubishi Heavy Industries, Ltd...................... 96,000 310,965
*Mitsubishi Materials Corp............................ 31,000 66,742
Mitsui Trust & Banking Co., Ltd....................... 17,000 52,405
Mori Seiki Co., Ltd................................... 2,000 27,401
Mycal Corp............................................ 7,000 33,978
*NKK Corp............................................. 197,000 156,158
NOK Corp.............................................. 2,000 7,340
NTN Corp.............................................. 13,000 45,163
Nanto Bank, Ltd....................................... 7,000 54,940
*National House Industrial Co., Ltd................... 3,000 21,138
*New Japan Securities Co., Ltd........................ 21,000 60,625
Nichirei Corp......................................... 3,000 8,367
Nippon Kayaku Co., Ltd................................ 5,000 23,487
Nippon Mitsubishi Oil Company......................... 85,000 375,153
Nippon Sanso Corp..................................... 5,000 15,658
Nippon Sheet Glass Co., Ltd........................... 7,000 40,554
Nippon Shinpan Co., Ltd............................... 15,000 44,185
Nippon Shokubai Co., Ltd.............................. 2,000 9,199
Nishimatsu Construction Co., Ltd...................... 8,000 35,935
Nishi-Nippon Bank, Ltd................................ 10,000 42,863
*Nissan Motor Co., Ltd................................ 25,000 116,211
Nissei Sangyo Co., Ltd................................ 1,000 14,777
Nisshin Steel Co., Ltd................................ 57,000 58,570
*Nisshinbo Industries, Inc............................ 11,000 55,546
*Nissho Iwai Corp..................................... 50,000 45,016
Noritz Corp........................................... 1,000 11,567
</TABLE>
63
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Okumura Corp.......................................... 7,000 $ 23,634
*Omron Corp........................................... 2,000 49,127
Pioneer Electronic.................................... 5,000 111,318
*Q.P. Corp............................................ 3,000 20,991
Ryosan Co., Ltd....................................... 1,000 24,465
Sakura Bank, Ltd...................................... 73,000 539,365
San In Godo Bank, Ltd................................. 4,000 29,554
Sanwa Shutter Corp.................................... 5,000 17,126
Sanyo Electric........................................ 54,000 214,023
Seino Transportation Co., Ltd......................... 8,000 48,148
Sekisui Chemical Co., Ltd............................. 16,000 75,941
Sekisui House, Ltd.................................... 20,000 193,766
Shiga Bank, Ltd....................................... 3,000 14,679
Shimachu Co., Ltd..................................... 1,000 14,190
Shimadzu Corp......................................... 5,000 20,551
Shimizu Corp.......................................... 18,000 60,948
Showa Shell Sekiyu KK................................. 11,000 62,759
Snow Brand Milk Products Co., Ltd..................... 6,000 24,368
Stanley Electric Co., Ltd............................. 4,000 22,430
Sumitomo Forestry Co., Ltd............................ 3,000 21,432
*Sumitomo Metal Industries, Ltd. Osaka................ 106,000 101,659
*Sumitomo Metal Mining Co., Ltd....................... 12,000 27,362
Sumitomo Osaka Cement Co., Ltd........................ 4,000 5,441
Sumitomo Realty & Development Co., Ltd................ 6,000 22,312
Sumitomo Trust & Banking Co., Ltd..................... 18,000 154,308
Suruga Bank, Ltd...................................... 4,000 73,631
TEC Corp.............................................. 4,000 12,565
Taiheiyo Cement Corp.................................. 55,000 108,186
Taisei Corp........................................... 28,000 59,461
Takara Standard Co., Ltd.............................. 1,000 5,138
Tanabe Seiyaku Co., Ltd............................... 4,000 24,896
Teikoku Oil Co., Ltd.................................. 3,000 10,364
Thermal Engineering Co., Ltd.......................... 1,000 6,664
Toda Corp............................................. 7,000 26,579
Toho Bank, Ltd........................................ 2,000 9,062
Tokuyama Corp......................................... 3,000 11,420
Tokyo Style Co., Ltd.................................. 3,000 26,716
Toto, Ltd............................................. 10,000 61,164
Toyo Seikan Kaisha, Ltd............................... 6,000 107,452
Toyo Suisan Kaisha, Ltd............................... 1,000 7,731
Toyo Trust & Banking Co., Ltd......................... 26,000 137,907
Toyobo Co., Ltd....................................... 15,000 21,725
Toyoda Machine Works, Ltd............................. 3,000 19,964
Toyota Tsusho Corp.................................... 3,000 9,395
Victor Co. of Japan, Ltd.............................. 7,000 48,021
Wacoal Corp........................................... 4,000 35,661
Yamaguchi Bank........................................ 5,000 43,059
Yamaha Corp........................................... 3,000 27,480
Yamatake-Honeywell Co., Ltd........................... 1,000 7,291
*Yasuda Trust & Banking Co., Ltd...................... 85,000 163,869
Yodogawa Steel Works, Ltd............................. 5,000 15,903
Yokogawa Electric Corp................................ 7,000 45,692
Yokohama Rubber Co., Ltd.............................. 3,000 6,958
Zexel Corp............................................ 19,000 39,047
-----------
TOTAL COMMON STOCKS
(Cost $9,679,582).................................... 10,906,284
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (1.3%)
*Japanese Yen
(Cost $553,342)..................................... $ 554,151
-----------
TOTAL -- JAPAN
(Cost $10,232,924)................................... 11,460,435
-----------
UNITED KINGDOM -- (20.6%)
COMMON STOCKS -- (18.2%)
Aggregate Industries P.L.C............................ 24,000 27,044
*Allied Domecq P.L.C. (New)........................... 40,100 213,158
Antofagasta Holdings P.L.C............................ 8,200 55,049
Arjo Wiggins Appleton P.L.C........................... 31,600 96,130
Arriva P.L.C.......................................... 6,570 32,151
Associated British Foods P.L.C........................ 28,920 144,056
Associated British Ports Holdings P.L.C............... 10,200 48,331
BAA P.L.C............................................. 34,654 244,784
BPB P.L.C............................................. 15,300 80,233
Barratt Developments P.L.C............................ 4,000 19,304
Beazer Group P.L.C.................................... 3,000 7,000
Berkeley Group P.L.C.................................. 4,760 50,074
Blue Circle Industries P.L.C.......................... 25,000 143,244
Britannic P.L.C....................................... 7,000 118,179
British Airways P.L.C................................. 39,000 233,400
British Land Co. P.L.C................................ 19,400 139,816
British Vita P.L.C.................................... 4,800 18,463
*British-Borneo Petroleum Syndicate P.L.C............. 9,800 29,188
Brixton Estate P.L.C.................................. 5,100 18,439
Burford Holdings P.L.C................................ 4,000 6,785
CGU P.L.C............................................. 47,421 717,515
Capital Shopping Centres P.L.C........................ 15,000 94,249
Caradon P.L.C......................................... 13,000 33,439
Carillion P.L.C....................................... 2,940 5,221
Chelsfield P.L.C...................................... 7,000 36,624
Chorion P.L.C......................................... 1,168 744
Cookson Group P.L.C................................... 9,000 35,442
*Corus Group P.L.C.................................... 177,900 361,262
Elementis P.L.C....................................... 10,194 12,339
Enterprise Oil P.L.C.................................. 3,000 21,502
Glynwed International P.L.C........................... 5,000 17,759
Great Universal Stores P.L.C.......................... 30,700 205,608
Hammerson P.L.C....................................... 10,800 78,696
Hanson P.L.C.......................................... 23,600 196,773
Hilton Group P.L.C.................................... 55,200 177,154
IMI P.L.C............................................. 10,000 41,172
Johnson Matthey P.L.C................................. 5,000 52,958
Lasmo P.L.C........................................... 13,900 27,452
Lex Service P.L.C..................................... 2,300 17,400
Lonmin P.L.C.......................................... 4,328 38,878
Marks & Spencer P.L.C................................. 93,280 373,648
Millennium and Copthorne Hotels P.L.C................. 8,650 52,697
Morgan Crucible Company P.L.C......................... 8,000 34,466
Morrison (Wm.) Supermarkets P.L.C..................... 10,019 20,425
Norwich Union P.L.C................................... 52,000 367,518
Peninsular & Oriental Steam Navigation Co............. 24,000 352,053
Pilkington P.L.C...................................... 35,628 49,652
Pillar Property P.L.C................................. 1,700 8,664
RMC Group P.L.C....................................... 9,000 109,945
*Railtrack Group P.L.C................................ 18,151 278,975
</TABLE>
64
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Rank Group P.L.C...................................... 28,000 $ 87,296
Rexam P.L.C........................................... 5,122 20,330
Rio Tinto P.L.C....................................... 16,148 316,345
Rolls-Royce P.L.C..................................... 55,312 167,823
Royal & Sun Alliance Insurance Group P.L.C............ 51,700 317,433
Safeway P.L.C......................................... 37,901 111,374
Sainsbury (J.) P.L.C.................................. 69,689 343,528
Scottish & Newcastle P.L.C............................ 22,600 172,957
Signet Group P.L.C.................................... 45,000 43,362
Slough Estates P.L.C.................................. 14,900 82,822
Smith (David S.) Holdings P.L.C....................... 14,000 38,575
Tarmac P.L.C.......................................... 5,611 49,509
Tate & Lyle P.L.C..................................... 12,500 85,260
Taylor Woodrow P.L.C.................................. 14,463 34,668
Thistle Hotels P.L.C.................................. 17,000 48,060
Trinity P.L.C......................................... 4,130 36,145
Unigate P.L.C......................................... 5,100 24,389
United Assurance Group P.L.C.......................... 13,000 75,574
United Biscuits Holdings P.L.C........................ 10,100 36,677
Weir Group P.L.C...................................... 3,000 13,212
Whitbread P.L.C....................................... 16,000 153,282
Wilson Bowden P.L.C................................... 2,000 21,661
Wimpey (George) P.L.C................................. 7,900 15,791
-----------
TOTAL COMMON STOCKS
(Cost $8,885,679).................................... 7,841,131
-----------
INVESTMENT IN CURRENCY -- (2.4%)
*British Pound Sterling
(Cost $1,034,046)................................... 1,023,779
-----------
TOTAL -- UNITED KINGDOM
(Cost $9,919,725).................................... 8,864,910
-----------
FRANCE -- (8.7%)
COMMON STOCKS -- (8.7%)
AGF (Assurances Generales de France SA)............... 7,200 395,827
Banque Nationale de Paris............................. 3,900 357,344
Christian Dior SA..................................... 1,200 215,675
Colas SA.............................................. 100 19,614
Eiffage SA............................................ 500 32,774
Eridania Beghin-Say SA................................ 1,000 111,765
Esso SA............................................... 300 22,655
*Euro Disney SCA...................................... 41,250 37,796
Faurecia SA........................................... 400 22,252
Fonciere Lyonnaise SA................................. 300 38,634
GTM Entrepose......................................... 400 37,879
Generale des Establissements Michelin SA Series B..... 5,300 212,393
Imetal................................................ 500 64,441
LaFarge SA............................................ 1,550 146,157
Labinal SA............................................ 200 21,950
Pechiney SA Series A.................................. 1,700 98,509
Pernod-Ricard......................................... 2,200 125,378
Peugeot SA............................................ 1,900 372,095
Rallye SA............................................. 700 49,337
Rue Imperiale de Lyon................................. 19 35,603
SEB SA................................................ 400 23,038
Saint-Gobain.......................................... 3,400 578,557
Societe des Ciments de Francais....................... 1,500 92,130
Societe Generale Paris................................ 1,800 387,853
Thomson-CSF........................................... 1,800 52,215
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Union Assurances Federales SA......................... 400 $ 48,331
Usinor................................................ 9,500 145,395
-----------
TOTAL -- FRANCE
(Cost $3,666,784).................................... 3,745,597
-----------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
AGIV AG fuer Industrie & Verkehrswesen................ 400 7,431
BASF AG............................................... 12,400 569,959
BHW Holding AG, Berlin................................ 3,500 61,672
*Bankgesellschaft Berlin AG........................... 2,600 40,578
Bayer AG.............................................. 14,200 598,363
Bayerische Motorenwerke AG............................ 2,600 69,636
Bayerische Vereinsbank AG............................. 6,000 372,145
Bilfinger & Berger Bau AG, Mannheim................... 300 5,528
Commerzbank AG........................................ 9,550 307,705
Continental AG........................................ 2,400 47,364
Deutsche Bank AG...................................... 11,900 774,633
Deutsche Lufthansa AG................................. 5,300 116,869
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 700 52,791
Dresdner Bank AG...................................... 8,000 370,534
Fresenius Medical Care AG............................. 600 48,995
Heidelberger Zement AG, Heidelberg.................... 220 16,614
Hochtief AG........................................... 1,050 40,122
Linde AG.............................................. 2,133 106,311
*MAN AG............................................... 2,150 65,377
Merck KGAA............................................ 400 12,083
Vereins & Westbank AG................................. 600 17,157
-----------
TOTAL -- GERMANY
(Cost $3,586,580).................................... 3,701,867
-----------
SWITZERLAND -- (6.3%)
COMMON STOCKS -- (5.9%)
Ascom Holding AG, Bern................................ 20 42,555
Baloise-Holding, Basel................................ 360 288,972
Ciba Spezialitaetenchemie Holding AG.................. 4,400 318,063
Financiere Richemont AG............................... 95 211,990
Helvetia Patria Holding, St. Gallen................... 180 139,168
Interallianz Bank AG, Zuerich......................... 450 108,619
Jelmoli Holding AG, Zuerich........................... 10 11,157
*Oerlikon-Buehrle Holding AG, Zuerich................. 200 34,321
Roche Holding AG, Basel............................... 35 584,111
Sairgroup, Zuerich.................................... 840 172,923
Saurer AG, Arbon...................................... 20 9,366
Schindler Holding AG, Hergiswil....................... 50 72,758
Schweizerische Lebensversicherungs und
Rentenanstalt....................................... 300 169,152
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 60 32,963
Sika Finanz AG, Baar.................................. 160 51,493
*Sulzer AG, Winterthur................................ 220 137,044
Sulzer Medic AG....................................... 390 73,544
Swatch Group AG....................................... 90 77,335
-----------
TOTAL COMMON STOCKS
(Cost $2,569,420).................................... 2,535,534
-----------
</TABLE>
65
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.4%)
*Swiss Francs
(Cost $190,320)..................................... $ 189,983
-----------
TOTAL -- SWITZERLAND
(Cost $2,759,740).................................... 2,725,517
-----------
NETHERLANDS -- (4.8%)
COMMON STOCKS -- (4.8%)
ABN Amro Holding NV................................... 18,041 439,054
Asr Verzekeringsgroep NV.............................. 300 17,339
Buhrmann NV........................................... 400 6,287
DSM NV................................................ 1,106 37,863
Fortis (NL)........................................... 1,800 61,676
Ing Groep NV.......................................... 11,900 669,192
Ispat International NV................................ 1,400 20,158
KLM (Koninklijke Luchtvaart Mij) NV................... 230 5,627
Koninklijke KPN NV.................................... 4,753 264,651
*Philips Electronics NV............................... 4,272 519,827
Vendex NV (non-food).................................. 303 7,993
-----------
TOTAL -- NETHERLANDS
(Cost $1,874,417).................................... 2,049,667
-----------
ITALY -- (3.4%)
COMMON STOCKS -- (3.4%)
Banca di Roma......................................... 172,500 231,005
Banca Popolare di Milano.............................. 8,000 45,511
Banca Toscana......................................... 5,000 17,822
CIR SpA (Cie Industriale Riunite), Torino............. 17,500 42,113
Cartiere Burgo SpA.................................... 4,000 27,186
*Compagnia di Partecipazioni Assicurative Industriali
SpA................................................. 40,900 47,936
*Fabbrica Italiana Magneti Marelli SpA................ 2,500 8,433
Fiat SpA.............................................. 11,000 300,818
*Fiat SpA............................................. 3,000 38,665
INA (Istituto Nazionale delle Assicurazioni SpA)...... 52,000 145,032
Ifil Finanziaria Partecipazioni SpA................... 6,000 46,518
Italcementi Fabbriche Riunite Cemento SpA, Bergamo.... 5,000 61,168
Montedison SpA........................................ 78,800 120,601
Parmalat Finanziaria SpA.............................. 20,000 23,259
RAS SpA (Riunione Adriatica di Sicurta)............... 13,250 112,600
*SAI SpA (Sta Assicuratrice Industriale SpA).......... 3,500 31,118
Sirti SpA............................................. 6,500 39,334
Snia BPD SpA.......................................... 10,000 10,139
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 2,500 27,916
Unione Immobiliare SpA................................ 148,000 72,423
-----------
TOTAL -- ITALY
(Cost $1,567,083).................................... 1,449,597
-----------
SPAIN -- (2.4%)
COMMON STOCKS -- (2.4%)
Aceralia Corporacion Siderurgica SA................... 7,600 88,997
Acerinox SA........................................... 2,300 70,749
Aumar (Autopistas del Mare Nostrum SA)................ 4,000 68,589
Autopistas Concesionaria Espanola SA.................. 14,440 147,866
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Azucarera Ebro Agricolas SA........................... 4,000 $ 64,320
Banco Pastor SA, La Coruna............................ 500 19,101
Cementos Portland SA.................................. 1,100 27,523
Cia Espanola de Petroleous SA......................... 16,300 164,123
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 3,300 56,320
ENDESA SA, Madrid..................................... 8,400 166,620
Hidroelectrica del Cantabrico SA...................... 6,200 88,958
Metrovacesa SA........................................ 1,100 19,549
Vallehermoso SA....................................... 5,200 38,640
-----------
TOTAL -- SPAIN
(Cost $1,127,213).................................... 1,021,355
-----------
AUSTRALIA -- (2.3%)
COMMON STOCKS -- (2.2%)
Boral, Ltd............................................ 40,877 60,545
CSR, Ltd.............................................. 25,997 62,302
Colonial, Ltd......................................... 26,863 107,069
*GIO Australia Holdings, Ltd.......................... 10,499 16,351
Goodman Fielder, Ltd.................................. 39,162 35,101
MIM Holdings.......................................... 42,758 35,607
Mayne Nickless, Ltd................................... 5,213 13,587
Normandy Mining, Ltd.................................. 54,950 39,472
North, Ltd............................................ 19,098 37,513
Pacific Dunlop, Ltd................................... 23,828 31,960
*Pasminco, Ltd........................................ 16,418 15,655
Pioneer International, Ltd............................ 18,790 55,064
Quantas Airways, Ltd.................................. 7,770 20,399
Rio Tinto, Ltd........................................ 11,550 202,276
Santos, Ltd........................................... 18,673 49,854
St. George Bank, Ltd.................................. 11,592 70,594
Suncorp-Metway Limited................................ 4,757 24,585
WMC, Ltd.............................................. 13,026 59,785
-----------
TOTAL COMMON STOCKS
(Cost $961,141)...................................... 937,719
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $39,619)...................................... 39,509
-----------
TOTAL -- AUSTRALIA
(Cost $1,000,760).................................... 977,228
-----------
EMU -- (2.2%)
INVESTMENT IN CURRENCY -- (2.2%)
*Euro Currency
(Cost $983,069)..................................... 964,578
-----------
HONG KONG -- (2.2%)
COMMON STOCKS -- (2.1%)
Amoy Properties, Ltd.................................. 88,500 68,371
Great Eagle Holdings, Ltd............................. 12,000 21,245
Hang Lung Development Co., Ltd........................ 43,000 44,570
*Hong Kong & Shanghai Hotels, Ltd..................... 31,500 18,860
Hysan Development Co., Ltd............................ 39,000 46,450
Kerry Properties, Ltd................................. 19,000 22,629
New World Development Co., Ltd........................ 65,000 128,888
*Shangri-La Asia, Ltd................................. 46,000 53,899
Shangri-La Hotel, Ltd................................. 20,000 21,374
Sino Land Co., Ltd.................................... 90,000 42,877
Swire Pacific, Ltd. Series A.......................... 28,000 160,795
*Tsim Sha Tsui Properties, Ltd........................ 42,000 26,769
</TABLE>
66
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wharf Holdings, Ltd................................... 69,600 $ 176,544
Wheelock and Co., Ltd................................. 78,000 79,342
-----------
TOTAL COMMON STOCKS
(Cost $995,690)...................................... 912,613
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $39,270)...................................... 39,282
-----------
TOTAL -- HONG KONG
(Cost $1,034,960).................................... 951,895
-----------
SWEDEN -- (2.1%)
COMMON STOCKS -- (2.1%)
Assidomaen AB......................................... 4,450 74,855
*Avesta Sheffield AB.................................. 3,600 17,447
Gambro AB Series A.................................... 6,400 66,251
*Gambro AB Series B................................... 800 8,234
Kinnevik Industrifoervaltnings AB Series B............ 1,100 28,338
Mo Och Domsjoe AB Series B............................ 3,300 107,916
NCC AB Series B....................................... 2,500 26,026
Perstorp AB Series B.................................. 1,300 11,010
SSAB Swedish Steel Series A........................... 1,900 24,362
Svedala Industri...................................... 600 10,058
Svenska Cellulosa AB Series B......................... 5,800 161,357
*Svenska Kullagerfabriken AB Series A................. 600 12,810
Svenska Kullagerfabriken AB Series B.................. 500 11,146
Trelleborg AB Series B................................ 3,100 25,709
Volvo AB Series A..................................... 4,000 96,459
Volvo AB Series B..................................... 8,900 216,191
-----------
TOTAL COMMON STOCKS
(Cost $911,400)...................................... 898,169
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $57).......................................... 57
-----------
TOTAL -- SWEDEN
(Cost $911,457)...................................... 898,226
-----------
FINLAND -- (2.0%)
COMMON STOCKS -- (2.0%)
Huhtamaki Van Leer Oyj................................ 1,200 36,490
Kemira Oyj............................................ 12,700 73,912
Kesko Oyj............................................. 11,900 127,248
Metra Oyj Series B.................................... 3,700 62,141
Metsa-Serla Oyj Series B.............................. 17,000 167,747
*Metso Oyj............................................ 16,542 179,051
Outokumpu Oyj Series A................................ 15,100 171,045
Rautaruukki Oy Series K............................... 2,100 12,475
Upm-Kymmene Oyj....................................... 800 26,743
-----------
TOTAL -- FINLAND
(Cost $891,743)...................................... 856,852
-----------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
*Bekaert SA........................................... 1,000 50,797
Cimenteries CBR Cementsedrijoen....................... 700 71,539
Solvay SA............................................. 3,300 245,882
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Tessenderlo Chemie.................................... 800 $ 35,765
Union Miniere SA...................................... 2,100 77,178
-----------
TOTAL -- BELGIUM
(Cost $463,826)...................................... 481,161
-----------
SINGAPORE -- (1.0%)
COMMON STOCKS -- (0.9%)
Fraser & Neave, Ltd................................... 20,000 87,501
Keppel Corp., Ltd..................................... 53,000 140,704
Keppel Land, Ltd...................................... 55,000 89,049
Singapore Land, Ltd................................... 27,000 63,644
United Industrial Corp., Ltd.......................... 45,000 24,375
-----------
TOTAL COMMON STOCKS
(Cost $439,482)...................................... 405,273
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars
(Cost $42,697)...................................... 42,373
-----------
TOTAL -- SINGAPORE
(Cost $482,179)...................................... 447,646
-----------
DENMARK -- (1.0%)
COMMON STOCKS -- (0.8%)
*Carlsberg A.S. Series B.............................. 1,100 43,477
Danisco A.S........................................... 680 27,797
Den Danske Bank A.S................................... 930 105,741
Fls Industries........................................ 290 7,890
*Jyske Bank A.S....................................... 2,640 52,237
Kapital Holdings A.S.................................. 1,171 56,824
Unidanmark A.S. Series A.............................. 680 51,544
-----------
TOTAL COMMON STOCKS
(Cost $328,077)...................................... 345,510
-----------
INVESTMENT IN CURRENCY -- (0.2%)
*Danish Krone
(Cost $70,931)...................................... 70,688
-----------
TOTAL -- DENMARK
(Cost $399,008)...................................... 416,198
-----------
IRELAND -- (0.5%)
COMMON STOCKS -- (0.5%)
Independent Newspapers P.L.C.......................... 12,100 63,353
Jefferson Smurfit Group P.L.C......................... 59,962 163,013
-----------
TOTAL -- IRELAND
(Cost $225,566)...................................... 226,366
-----------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A.............................. 4,600 67,903
Christiania Bank Og Kreditkasse....................... 3,700 17,074
Den Norske Bank ASA Series A.......................... 11,900 48,122
*Kvaerner ASA......................................... 1,900 35,825
Norske Skogindustrier ASA Series A.................... 500 22,142
-----------
TOTAL COMMON STOCKS
(Cost $183,524)...................................... 191,066
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Norwegian Krone
(Cost $27,036)...................................... 26,997
-----------
TOTAL -- NORWAY
(Cost $210,560)...................................... 218,063
-----------
</TABLE>
67
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
PORTUGAL -- (0.4%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (0.4%)
Banco Espirito Santo e Comercial de Lisboa............ 500 $ 12,486
Cimpor Cimentos de Portugal SA........................ 2,160 33,819
Portugal Telecom SA................................... 13,000 125,005
-----------
TOTAL -- PORTUGAL
(Cost $162,672)...................................... 171,310
-----------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bank Austria AG....................................... 1,478 78,144
Voest-Alpine Stahl AG................................. 227 7,641
-----------
TOTAL -- AUSTRIA
(Cost $85,793)....................................... 85,785
-----------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Carter Holt Harvey, Ltd............................... 35,500 43,065
*Lion Nathan, Ltd..................................... 11,200 24,833
-----------
TOTAL COMMON STOCKS
(Cost $72,564)....................................... 67,898
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $96).......................................... 96
-----------
TOTAL -- NEW ZEALAND
(Cost $72,660)....................................... 67,994
-----------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (2.9%)
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $1,285,938) to be
repurchased at $1,261,186.
(Cost $1,261,000)................................... $ 1,261 $ 1,261,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $42,919,719)++................................. $43,043,247
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $42,918,719.
</TABLE>
See accompanying Notes to Financial Statements.
68
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The Continental Small Company Series of The
DFA Investment Trust Company (36.5%) (Cost $87,401,724)... $ 91,572,482
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (23.2%) (Cost $94,100,022)....... 58,083,535
Investment in The Pacific Rim Small Company Series of The
DFA Investment Trust Company (20.7%) (Cost $60,777,409)... 51,922,518
Investment in The United Kingdom Small Company Series of The
DFA Investment Trust Company (19.2%) (Cost $41,862,647)... 48,270,157
Temporary Cash Investments (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99
(Collateralized by U.S. Treasury Notes 4.50%, 01/31/01,
valued at $1,058,675)
to be repurchased at $1,034,152 (Cost $1,034,000)....... 1,034,000
------------
Total Investments (100%) (Cost $285,175,802)++.......... $250,882,692
============
</TABLE>
- --------------
++The cost for federal income tax purposes is 285,292,377.
THE JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The Japanese Small Company Series of The DFA
Investment
Trust Company............................................. $144,593,941
------------
Total Investments (100%) (Cost $277,909,683)++.......... $144,593,941
============
</TABLE>
- --------------
++The cost for federal income tax purposes is $280,999,626.
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The Pacific Rim Small Company Series of The
DFA Investment
Trust Company............................................. $131,808,240
------------
Total Investments (100%) (Cost $154,906,888)++.......... $131,808,240
============
</TABLE>
- --------------
++The cost for federal income tax purposes is $155,417,026.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
69
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The United Kingdom Small Company Series of The
DFA Investment Trust Company.............................. $83,853,220
-----------
Total Investments (100%) (Cost $65,778,444)++........... $83,853,220
===========
</TABLE>
- --------------
++The cost for federal income tax purposes is $65,850,184.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. $160,799,972
------------
Total Investments (100%) (Cost $131,816,175)++.......... $160,799,972
============
</TABLE>
- --------------
++The cost for federal income tax purposes is $132,111,182.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
70
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (27.4%)
COMMON STOCKS -- (27.4%)
Achilles Corp......................................... 75,000 $ 124,774
Aica Kogyo Co., Ltd................................... 75,000 491,021
*Aichi Corp........................................... 63,200 149,055
#Aichi Machine Industry Co., Ltd...................... 86,000 180,946
Aichi Steel Works, Ltd................................ 261,000 664,089
Aida Engineering, Ltd................................. 84,000 265,518
*Akai Electric Co., Ltd............................... 95,000 63,219
Amada Metrecs Co., Ltd................................ 71,000 338,376
#Amada Sonoike Co., Ltd............................... 133,000 262,915
*#Amada Wasino Co., Ltd............................... 150,000 154,132
Ando Corp............................................. 177,000 356,823
*#Aoki Corp........................................... 361,000 183,706
Aoki International Co., Ltd........................... 63,000 229,349
Arai-Gumi, Ltd........................................ 19,600 36,827
Araya Industrial Co., Ltd............................. 194,000 243,010
Asahi Kogyosha Co., Ltd............................... 114,000 314,606
*Asahi Tec Corp....................................... 45,000 85,874
Asanuma Corp.......................................... 325,000 524,783
Ashimori Industry Co., Ltd............................ 44,000 97,314
*Asics Corp........................................... 384,000 511,073
*Atsugi Nylon Industrial Co., Ltd..................... 352,000 434,036
Azel Corp., Tokyo..................................... 152,000 498,312
#Bandai Co., Ltd...................................... 29,000 1,047,218
Bank of Okinawa, Ltd.................................. 36,700 1,009,218
*#Bank of Osaka, Ltd.................................. 223,000 394,999
Bank of the Ryukyus, Ltd.............................. 48,490 711,797
Brother Industries, Ltd............................... 349,000 887,997
Bunka Shutter Co., Ltd................................ 129,000 301,717
*Cabin Co., Ltd....................................... 164,000 248,764
Calpis Co., Ltd....................................... 71,000 323,785
Central Finance Co., Ltd.............................. 387,000 1,102,089
#Cesar Co............................................. 41,000 108,333
*#Chiba Kogyo Bank, Ltd............................... 48,500 559,588
*Chisan Tokan Co., Ltd................................ 165,000 185,693
*Chiyoda Corp......................................... 191,000 386,916
Chuetsu Pulp and Paper Co., Ltd....................... 215,000 378,725
Chugoku Marine Paints, Ltd............................ 60,000 137,398
Chuo Spring Co., Ltd., Nagoya......................... 222,000 727,797
#Chuo Trust and Banking Co., Ltd...................... 290,000 2,837,989
Cleanup Corp.......................................... 68,000 306,111
D'urban, Inc.......................................... 39,000 81,675
Dai-Dan Co., Ltd...................................... 42,000 267,162
Daido Hoxan, Inc...................................... 124,000 349,484
Daido Steel Co., Ltd.................................. 562,000 896,472
*Daido Steel Sheet Corp............................... 45,000 108,333
Daidoh, Ltd........................................... 91,000 225,307
*#Daiei OMC, Inc...................................... 264,000 1,061,839
Daiho Corp............................................ 83,000 149,454
Daiichi Cement Co., Ltd............................... 77,000 106,248
*Dai-Ichi Hotel, Ltd., Tokyo.......................... 121,000 165,778
*#Dai-Ichi Katei Denki Co., Ltd....................... 225,000 187,160
*Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 19,000 98,547
Daiken Corp........................................... 65,000 209,913
*#Daikyo, Inc......................................... 176,000 508,098
Daio Paper Corp....................................... 128,750 987,816
*Daisue Construction Co., Ltd......................... 25,000 24,465
*#Daiwa Danchi Co., Ltd............................... 170,000 399,276
Daiwabo Co., Ltd...................................... 215,000 279,836
<CAPTION>
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*Danto Corp........................................... 10,000 $ 41,004
Deodeo Corp........................................... 57,600 623,997
Descente, Ltd......................................... 202,000 484,318
*Dijet Industrial Co., Ltd............................ 10,000 14,875
Eagle Industry Co., Ltd............................... 35,000 118,511
Exedy Corp............................................ 16,000 187,894
*#First Baking Co., Ltd............................... 70,000 207,565
Fuji Denki Reiki Co., Ltd............................. 67,000 344,229
Fuji Kiko Co., Ltd.................................... 45,000 77,066
*Fujii & Co., Ltd..................................... 9,000 8,896
Fujirebio, Inc........................................ 91,000 597,553
*#Fujita Corp......................................... 491,000 331,546
Fukuda Corp........................................... 80,000 247,394
Fukushima Bank, Ltd................................... 32,000 100,210
*Furukawa Co., Ltd.................................... 87,000 144,737
*#Gakken Co., Ltd..................................... 127,000 254,783
Gastec Service, Inc................................... 98,000 555,287
*Godo Steel, Ltd...................................... 206,000 251,994
*Goldwin, Inc......................................... 54,000 81,910
*Graphtec Corp........................................ 99,000 184,078
Gun-Ei Chemical Industry Co., Ltd..................... 306,000 524,049
*Gunze Sangyo, Inc., Tokyo............................ 222,000 282,429
Gunze, Ltd............................................ 315,000 878,553
*Hanshin Sogo Bank, Ltd............................... 198,000 387,532
#Harima Chemicals, Inc................................ 83,000 302,158
*#Hazama Corp......................................... 305,000 194,011
Heiwado Co., Ltd...................................... 73,000 514,361
Hibiya Engineering, Ltd............................... 53,000 383,814
Hisaka Works, Ltd..................................... 106,000 477,174
Hitachi Koki Co., Ltd................................. 153,000 453,677
Hitachi Medical Corp.................................. 39,000 482,801
Hitachi Plant Engineering & Construction Co., Ltd..... 48,000 118,374
Hochiki Corp.......................................... 17,000 56,231
*Hodogaya Chemical Co., Ltd........................... 32,000 53,237
Hokkai Can Co., Ltd., Tokyo........................... 125,000 307,041
*Hokkaido Bank, Ltd................................... 477,000 756,216
Hokkaido Gas Co., Ltd................................. 8,000 14,797
Hokko Chemical Industry Co., Ltd...................... 12,000 28,889
Hokuriku Electrical Construction Co., Ltd............. 81,000 217,987
Hokushin Co., Ltd..................................... 32,600 70,824
Honen Corp............................................ 67,000 129,168
Ichikawa Co., Ltd..................................... 117,000 196,937
Ichiken Co., Ltd...................................... 45,000 59,451
Idec Izumi Corp....................................... 130,000 1,590,253
*Ikegami Tsushinki Co., Ltd........................... 129,000 310,554
Inaba Denki Sangyo Co., Ltd........................... 9,000 128,943
Inabata and Co., Ltd., Osaka.......................... 178,000 726,388
Intec, Inc............................................ 32,000 501,678
*Inui Steamship Co., Ltd.............................. 32,000 26,932
Ishizuka Glass Co., Ltd............................... 119,000 223,594
Itochu Fuel Corp...................................... 140,000 439,790
Itoki Crebio Corp..................................... 63,000 184,342
*Iwasaki Electric Co., Ltd............................ 60,000 140,921
*#Iwatsu Electric Co., Ltd............................ 76,000 204,531
Izumi Co., Ltd........................................ 82,000 593,825
#Izumiya Co., Ltd..................................... 151,000 1,344,718
*#JGC Corp............................................ 226,000 621,480
JMS Co., Ltd.......................................... 135,000 628,859
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Japan Oil Transportation Co., Ltd..................... 41,000 $ 71,018
*Japan Paperboard Industries Co., Ltd., Tokyo......... 35,000 84,601
*Japan Steel Works, Ltd............................... 237,000 343,260
Japan Transcity Corp.................................. 79,000 158,487
Japan Vilene Co., Ltd................................. 202,000 472,457
#Joban Kosan Co., Ltd................................. 87,000 144,737
#Joshin Denki Co., Ltd................................ 71,000 204,276
*#Jujiya Co., Ltd..................................... 265,000 272,300
Juken Sangyo Co., Ltd................................. 38,000 203,043
Kaga Electronics Co., Ltd............................. 7,000 78,505
Kahma Co., Ltd........................................ 41,000 263,209
*#Kamagai Gumi Co., Ltd............................... 878,000 738,934
Kamei Corp............................................ 65,000 368,302
Kanaden Corp.......................................... 11,000 68,249
#Kanamoto Co., Ltd.................................... 10,000 60,479
Kanematsu Electronics, Ltd............................ 87,000 495,513
Kansei Corp........................................... 89,000 243,871
#Kanto Auto Works, Ltd., Yokosuka..................... 220,000 1,836,473
#Kanto Bank, Ltd...................................... 30,700 414,601
Kanto Natural Gas Development Co., Ltd................ 198,000 885,511
Kasei (C.I.) Co., Ltd................................. 12,000 48,265
#Kasumi Co., Ltd...................................... 43,000 195,674
Kato Works Co., Ltd................................... 100,000 169,301
Katsumura Construction Co., Ltd....................... 24,000 38,284
Kawada Industries, Inc................................ 95,000 219,406
*Kawashima Textile Manufacturers, Ltd................. 306,000 398,278
Kawasho Corp.......................................... 425,000 565,641
Kawasho Gecoss Corp................................... 45,300 188,408
Kayaba Industry Co., Ltd.............................. 80,000 169,888
Keihin Co., Ltd....................................... 34,000 50,908
Keiyo Co., Ltd........................................ 35,000 188,384
Kinki Sharyo Co., Ltd., Nagaokakyo.................... 52,000 80,403
Kinseki, Ltd.......................................... 67,000 379,635
*Kinsho-Mataichi Corp................................. 51,000 52,405
Kioritz Corp.......................................... 237,000 331,663
Kitagawa Iron Works Co., Ltd.......................... 41,000 64,599
Kitano Construction Corp.............................. 98,000 244,556
*Kitz Corp............................................ 197,000 381,719
#Kiyo Bank, Ltd....................................... 375,000 1,056,906
Kokune Corp........................................... 99,000 116,260
Kokusai Kogyo Co., Ltd................................ 71,000 479,424
Komai Tekko, Inc...................................... 63,000 255,243
*Komatsu Construction Co., Ltd........................ 16,000 20,355
*Komatsu Forklift Co., Ltd............................ 111,000 186,838
Komatsu Zenoah Co..................................... 1,000 3,053
*Kosei Securities Co., Ltd............................ 118,000 254,049
*Krosaki Corp......................................... 32,000 72,026
Kumiai Chemical Industry Co., Ltd., Tokyo............. 66,000 122,719
Kurabo Industries, Ltd................................ 337,000 491,393
Kurimoto, Ltd......................................... 171,000 379,870
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 39,000 217,547
Kyosan Electric Manufacturing Co., Ltd................ 21,000 49,733
Kyowa Leather Cloth Co., Ltd.......................... 75,000 331,751
Kyudenko Corp......................................... 107,000 412,565
#Kyushu Bank, Ltd..................................... 314,000 943,367
Life Corp............................................. 14,000 76,724
#MR Max Corp.......................................... 39,000 147,321
Maeda Corp............................................ 244,000 752,165
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Maeda Road Construction Co., Ltd...................... 103,000 $ 517,091
Magara Construction Co., Ltd.......................... 57,000 103,753
*Marudai Food Co., Ltd................................ 170,000 309,439
Maruetsu, Inc......................................... 192,000 717,757
#Marusan Securities Co., Ltd.......................... 25,000 166,365
Maruzen Showa Unyu Co., Ltd........................... 143,000 279,884
Matsui Construction Co., Ltd.......................... 90,000 267,750
Matsuo Bridge Co., Ltd................................ 90,000 189,362
*Meiko National Securities Letters of Guarantee....... 62,000 164,427
Meito Sangyo Co., Ltd................................. 90,000 989,969
#Mitsuba Corp......................................... 72,000 465,039
Mitsubishi Cable Industries, Ltd...................... 67,000 102,285
Mitsubishi Paper Mills, Ltd........................... 419,000 651,964
*Mitsubishi Steel Manufacturing Co., Ltd.............. 185,000 175,613
*Mitsui Construction Co., Ltd......................... 199,000 185,008
Mitsui Home Co., Ltd.................................. 23,000 107,364
Mitsui Matsushima Co., Ltd............................ 55,000 105,495
*Mitsui Mining Co., Ltd............................... 129,000 155,277
Mitsui Wood Systems, Inc.............................. 37,000 62,641
Mitsuuroko Co., Ltd................................... 174,000 861,613
Miyazaki Bank, Ltd.................................... 127,260 511,854
Miyuki Keori Co., Ltd................................. 124,000 527,866
Mizuno Corp........................................... 176,000 501,208
Morita Corp........................................... 117,000 408,759
*Morozoff, Ltd., Osaka................................ 119,000 237,569
Mory Industries, Inc.................................. 56,000 149,063
*#Mutoh Industries, Ltd............................... 147,000 798,405
Mutow Co., Ltd........................................ 89,000 796,937
Nabco, Ltd............................................ 107,000 179,058
Nagase & Co., Ltd..................................... 196,000 807,516
*#Naigai Co., Ltd..................................... 140,000 150,707
Nakamuraya Co., Ltd................................... 8,000 23,409
*#Nakano Corp......................................... 157,000 173,616
#Nakayama Steel Works, Ltd............................ 151,000 232,001
Neturen Co., Ltd., Tokyo.............................. 73,000 211,460
*#New Japan Securities Co., Ltd....................... 541,000 1,561,824
#Nichia Steel Works, Ltd.............................. 156,200 764,300
Nichimen Corp......................................... 148,000 178,147
Nichimo Co., Ltd...................................... 127,000 211,283
*Nichimo Corp......................................... 104,000 117,043
Nichireki Co., Ltd.................................... 32,000 164,721
Nihon Kohden Corp..................................... 82,000 248,764
Nihon Matai Co., Ltd.................................. 119,000 294,632
Nihon Nohyaku Co., Ltd................................ 90,000 200,812
Nihon Parkerizing Co., Ltd............................ 228,000 736,311
Nihon Tokushu Toryo Co., Ltd.......................... 79,000 178,588
Niigata Chuo Bank, Ltd................................ 321,000 3,141
Nikko Co., Ltd., Akashi............................... 123,000 298,517
Nippon Beet Sugar Manufacturing Co., Ltd.............. 217,000 369,506
Nippon Chemical Industrial Co., Ltd................... 47,000 127,866
#Nippon Chemi-Con Corp................................ 119,000 372,657
*#Nippon Chemiphar Co., Ltd........................... 115,000 307,237
*Nippon Columbia Co., Ltd............................. 35,000 68,846
*Nippon Concrete Industries Co., Ltd.................. 23,000 25,884
Nippon Conlux Co., Ltd................................ 78,000 396,927
*Nippon Conveyor Co., Ltd............................. 52,000 61,575
Nippon Denko Co., Ltd................................. 137,000 209,150
Nippon Densetsu Kogyo Co., Ltd........................ 86,000 256,691
Nippon Fine Chemical Co., Ltd......................... 9,000 35,935
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*Nippon Formula Feed Manufacturing Co., Ltd........... 35,000 $ 46,582
Nippon Hodo Co., Ltd.................................. 151,000 784,665
Nippon Hume Pipe Co., Ltd............................. 95,000 287,273
Nippon Koei Co., Ltd., Tokyo.......................... 121,000 288,927
*Nippon Koshuha Steel Co., Ltd........................ 133,000 149,679
Nippon Light Metal Co., Ltd........................... 525,000 621,666
Nippon Metal Industry Co., Ltd........................ 238,000 323,746
Nippon Mitsubishi Oil Company......................... 265,050 1,169,815
Nippon Paint Co., Ltd................................. 315,000 699,760
Nippon Piston Ring Co., Ltd........................... 8,000 11,352
Nippon Road Co., Ltd.................................. 125,000 238,538
*Nippon Seisen Co., Ltd............................... 35,000 85,286
Nippon Shinpan Co., Ltd............................... 386,000 1,137,016
Nippon Suisan Kaisha, Ltd............................. 104,000 202,535
Nippon Synthetic Chemical Industry Co., Ltd........... 133,000 249,900
*Nippon Valqua Industries, Ltd........................ 153,000 262,025
*Nippon Yakin Kogyo Co., Ltd.......................... 237,000 287,596
*Nissan Construction Co., Ltd......................... 106,000 124,480
*#Nissan Diesel Motor Co., Ltd........................ 179,000 173,421
Nissan Shatai Co., Ltd................................ 55,000 86,118
Nisshin Oil Mills, Ltd................................ 189,000 689,896
*Nisshinbo Industries, Inc............................ 9,000 45,447
Nissin Electric Co., Ltd.............................. 152,000 319,812
Nittetsu Mining Co., Ltd.............................. 77,000 184,616
*Nitto Construction Co., Ltd.......................... 10,000 23,487
Nittoc Construction Co., Ltd.......................... 73,000 189,313
Noritz Corp........................................... 70,000 809,708
#Obayashi Road Corp................................... 152,000 403,112
Ohki Corp............................................. 168,000 381,426
*Ohkura Electric Co., Ltd............................. 12,000 28,771
Okabe Co., Ltd........................................ 98,000 292,509
Okamura Corp.......................................... 43,000 124,558
#Okasan Securities Co., Ltd........................... 284,000 1,586,964
*Oki Electric Cable Co., Ltd.......................... 10,000 21,040
Okura Industrial Co., Ltd............................. 180,000 641,190
Ono Sokki Co., Ltd.................................... 9,000 23,780
*Optec Dai-Ichi Denko Co., Ltd........................ 52,333 44,556
Oriental Construction Co., Ltd........................ 9,000 47,385
Osaki Electric Co., Ltd............................... 29,000 143,602
P.S.C. Corp........................................... 21,000 98,850
Pacific Industrial Co., Ltd........................... 187,000 565,474
Parco Co., Ltd........................................ 77,000 265,244
#Pokka Corp........................................... 110,000 624,358
*Prima Meat Packers, Ltd.............................. 93,000 171,101
#Rengo Co., Ltd....................................... 313,600 1,773,849
*Renown Look, Inc..................................... 114,000 180,731
*Renown, Inc.......................................... 357,000 929,314
Rheon Automatic Machinery Co., Ltd.................... 93,000 354,034
*Rhythm Watch Co., Ltd................................ 120,000 339,384
Ryoden Trading Co., Ltd............................... 85,000 299,457
S.T. Chemical Co., Ltd................................ 115,000 725,889
SXL Corp.............................................. 108,000 295,934
Sagami Co., Ltd....................................... 141,000 324,265
Sakai Chemical Industry Co., Ltd...................... 202,000 1,403,532
Sakai Heavy Industries, Ltd........................... 43,000 100,993
*Sakurada Co., Ltd.................................... 36,000 35,935
San-Ai Oil Co., Ltd................................... 100,000 293,585
Sankei Building Co., Ltd.............................. 36,000 120,135
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 49,000 60,899
*Sankyo Aluminum Industry Co., Ltd.................... 328,000 320,986
<CAPTION>
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Sankyo Seiko Co., Ltd................................. 75,000 $ 198,170
Sanyo Industries, Ltd., Tokyo......................... 121,000 203,670
Sanyo Special Steel Co., Ltd.......................... 248,000 381,034
Sata Construction Co., Ltd., Gumma.................... 134,000 249,156
Sato Shoji Corp....................................... 49,000 155,365
*Seikitokyu Kogyo Co., Ltd............................ 211,000 206,488
Seiyo Food Systems, Inc............................... 74,000 291,119
Sekisui Jushi Co., Ltd................................ 35,000 147,282
*Sekisui Plastics Co., Ltd............................ 148,000 273,739
Senko Co., Ltd........................................ 150,000 378,725
Senshukai Co., Ltd.................................... 88,000 1,575,104
Shibuya Kogyo Co., Ltd................................ 61,000 546,812
Shin Nippon Air Technologies Co., Ltd................. 44,620 211,780
Shinagawa Fuel Co., Ltd............................... 86,000 328,228
#Shinko Shoji Co., Ltd................................ 40,000 387,532
*Shinmaywa Industries, Ltd............................ 154,000 302,921
*#Shokusan Jutaku Sogo Co., Ltd....................... 116,000 156,657
Showa Highpolymer Co., Ltd............................ 26,000 83,965
Showa Sangyo Co., Ltd................................. 146,000 298,615
Sintokogio, Ltd., Nagoya.............................. 113,000 294,153
Soda Nikka Co., Ltd................................... 82,000 149,259
*#Sogo Co., Ltd....................................... 52,000 68,699
*Sokkisha Co., Ltd.................................... 35,000 64,050
Sotetsu Rosen Co., Ltd................................ 2,000 10,569
Star Micronics Co., Ltd............................... 74,000 941,429
*Suminoe Textile Co., Ltd............................. 46,000 76,078
Sumitomo Densetsu Co., Ltd............................ 12,000 64,706
Sumitomo Osaka Cement Co., Ltd........................ 594,000 808,005
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 40,000 133,092
Sumitomo Seika Chemicals Co., Ltd..................... 10,000 26,912
Sun Wave Corp......................................... 70,000 152,762
SunTelephone Co., Ltd................................. 78,000 272,506
*#Suzutan Co., Ltd.................................... 156,000 320,595
TYK Corp.............................................. 36,000 82,791
Tabai Espec Corp...................................... 8,000 54,020
Tadano, Ltd........................................... 49,000 112,688
Taihei Dengyo Kaisha, Ltd............................. 58,000 154,954
Taihei Kogyo Co., Ltd................................. 101,000 190,762
Taiheiyo Cement Corp.................................. 463,800 912,304
*Taiheiyo Securities Co., Ltd......................... 392,000 786,417
Taikisha, Ltd......................................... 13,000 104,321
*Taisei Prefab Construction Co., Ltd.................. 265,000 251,553
Taisei Rotec Corp..................................... 220,000 419,827
Taiyo Toyo Sanso Co., Ltd............................. 102,000 190,654
#Takada Kiko Co., Ltd................................. 73,000 328,620
*Taka-Q Co., Ltd...................................... 98,000 157,283
Takara Co., Ltd....................................... 97,000 365,464
Takiron Co., Ltd...................................... 157,000 559,260
Tamura Corp........................................... 73,000 288,614
Tasaki Shinju Co., Ltd................................ 65,000 276,704
*Tatsuta Electric Wire & Cable Co., Ltd............... 55,000 105,495
*#Tayca Corp.......................................... 169,000 562,313
Teikoku Hormone Manufacturing Co., Ltd................ 76,000 563,018
Teikoku Tsushin Kogyo Co., Ltd........................ 63,000 179,410
*Tekken Corp.......................................... 204,000 279,493
Tenma Corp............................................ 32,000 363,889
Tetra Co., Ltd., Tokyo................................ 31,000 70,686
Titan Kogyo KK........................................ 86,000 152,332
Toa Doro Kogyo Co., Ltd............................... 76,000 195,606
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*Toa Wool Spinning & Weaving Co., Ltd................. 185,000 $ 208,201
*Toagosei Co., Ltd.................................... 353,000 642,540
*Tobu Store Co., Ltd.................................. 168,000 345,256
#Tochigi Bank, Ltd.................................... 86,000 568,087
Tochigi Fuji Industrial Co., Ltd...................... 125,000 236,091
#Toda Kogyo Corp...................................... 156,000 668,669
Toenec Corp........................................... 124,000 463,551
Tohto Suisan Co., Ltd................................. 135,000 529,774
Tokai Maruman Securities Co., Ltd..................... 100,000 724,177
#Tokai Rika Co., Ltd.................................. 68,000 654,812
*Tokai Senko KK, Nagoya............................... 118,000 198,620
Tokico, Ltd........................................... 160,000 256,789
*Tokimec, Inc......................................... 107,000 170,681
#Tokushu Paper Manufacturing Co., Ltd................. 42,000 196,467
Tokyo Denki Komusho Co., Ltd.......................... 82,000 319,381
*Tokyo Nissan Auto Sales Co., Ltd..................... 34,000 82,184
*#Tokyo Securities Co., Ltd........................... 271,000 1,095,297
Tokyo Steel Manufacturing Co., Ltd.................... 215,100 852,527
#Tokyo Tatemono Co., Ltd.............................. 294,000 655,986
*#Tokyo Tekko Co., Ltd................................ 170,000 133,092
*Tokyu Car Corp....................................... 175,000 178,108
*#Tokyu Construction Co., Ltd......................... 223,000 165,856
*Tokyu Department Store Co., Ltd...................... 329,000 389,578
*Tokyu Hotel Chain Co., Ltd........................... 81,000 133,170
*Tokyu Tourist Corp................................... 54,000 64,471
Toli Corp............................................. 49,000 100,700
Tomoe Corp............................................ 50,000 112,541
Tomoku Co., Ltd....................................... 99,000 179,234
Tonami Transportation Co., Ltd........................ 126,000 240,446
Topcon Corp........................................... 129,000 482,243
Topre Corp............................................ 92,000 297,108
Torishima Pump Manufacturing Co., Ltd., Osaka......... 93,000 397,720
Toshiba Engineering & Construction Co., Ltd........... 21,000 48,911
Toshiba Tungaloy Co., Ltd............................. 38,000 97,803
Tosho Printing Co., Ltd............................... 24,000 58,952
*Tostem Viva Corp..................................... 87,000 242,648
Totenko Co., Ltd...................................... 83,000 934,090
Totetsu Kogyo Co., Ltd................................ 117,000 272,506
*Totoku Electric Co., Ltd., Tokyo..................... 57,000 118,814
*Toyo Communication Equipment Co., Ltd................ 42,000 460,341
*#Toyo Construction Co., Ltd.......................... 266,000 268,121
*Toyo Electric Co., Ltd............................... 14,000 20,140
*Toyo Engineering Corp................................ 226,000 225,591
Toyo Ink Manufacturing Co., Ltd....................... 378,000 813,818
*#Toyo Kanetsu KK..................................... 182,000 260,038
Toyo Radiator Co., Ltd................................ 93,000 266,663
*#Toyo Securities Co., Ltd............................ 267,000 796,937
#Toyo Shutter Co., Ltd................................ 66,000 83,319
Toyo Wharf & Warehouse Co., Ltd....................... 41,000 61,389
Toyota Tsusho Corp.................................... 20,000 62,631
Tsubaki Nakashima Co., Ltd............................ 28,000 389,098
*Tsudakoma Corp....................................... 118,000 167,441
*Tsugami Corp......................................... 282,000 612,653
*Tsumura & Co., Inc................................... 44,000 185,154
Tsurumi Manufacturing Co., Ltd........................ 7,000 35,827
Tsutsunaka Plastic Industry Co., Ltd.................. 61,000 186,250
U-Shin, Ltd........................................... 9,000 46,592
Uchida Yoko Co., Ltd.................................. 101,000 721,534
<CAPTION>
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Ueki Corp............................................. 113,000 $ 226,697
Unisia Jecs Corp...................................... 130,000 156,481
*Utoc Corp............................................ 22,000 31,003
Wakachiku Construction Co., Ltd....................... 167,000 299,075
Yahagi Construction Co., Ltd.......................... 130,000 522,875
Yamamura Glass Co., Ltd............................... 227,000 410,970
Yamatane Corp......................................... 105,000 148,994
*#Yamatane Securities Co., Ltd........................ 83,000 180,320
*Yamato International, Inc............................ 72,000 101,463
Yodogawa Steel Works, Ltd............................. 8,000 25,444
Yokogawa Bridge Corp.................................. 66,000 193,766
Yokohama Reito Co., Ltd............................... 8,000 47,522
Yondenko Corp......................................... 139,650 505,656
Yorozu Corp........................................... 7,000 29,799
Yuasa Trading Co., Ltd................................ 57,000 91,481
Yurtec Corp........................................... 80,000 331,164
Zexel Corp............................................ 10,000 20,551
------------
TOTAL COMMON STOCKS
(Cost $203,950,966).................................. 142,896,589
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $74,528)...................................... 76,066
------------
TOTAL -- JAPAN
(Cost $204,025,494).................................. 142,972,655
------------
</TABLE>
<TABLE>
UNITED KINGDOM -- (18.3%)
COMMON STOCKS -- (18.1%)
<CAPTION>
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<S> <C> <C>
600 Group P.L.C....................................... 155,890 162,628
AIM Group P.L.C....................................... 32,556 141,297
ANS P.L.C............................................. 85,000 216,609
API Group P.L.C....................................... 16,000 85,369
ASDA Property Holdings P.L.C.......................... 140,000 345,618
*ASW Holdings P.L.C................................... 1,067,640 187,048
Abbeycrest P.L.C...................................... 70,000 142,149
*Acatos & Hutcheson P.L.C............................. 100,404 158,315
Adam & Harvey Group P.L.C............................. 8,000 25,483
Aggregate Industries P.L.C............................ 5,615 6,327
Airflow Streamlines P.L.C............................. 19,305 44,584
Airsprung Furniture Group P.L.C....................... 80,900 182,323
Alexanders Holdings P.L.C............................. 71,000 20,920
Alexandra Workwear P.L.C.............................. 46,000 102,571
Alldays P.L.C......................................... 200,000 230,943
Allders P.L.C......................................... 156,842 348,476
Allied Leisure P.L.C.................................. 623,596 347,623
Allied London Properties P.L.C........................ 210,148 418,381
Allied Textile Companies P.L.C........................ 126,205 225,129
Alumasc Group P.L.C................................... 150,000 259,214
Amstrad P.L.C......................................... 86,077 303,667
*Anglesey Mining P.L.C................................ 100,000 5,574
Anglo Eastern Plantations P.L.C....................... 57,195 46,458
Anite Group P.L.C..................................... 800,000 1,140,380
Antofagasta Holdings P.L.C............................ 15,800 106,070
Apollo Metals P.L.C................................... 32,231 48,511
Arcadia Group P.L.C................................... 215,588 327,918
Armitage Brothers P.L.C............................... 10,000 28,669
*Armour Trust P.L.C................................... 225,000 57,338
Ascot P.L.C........................................... 174,615 869,097
Ash & Lacy P.L.C...................................... 150,000 296,244
Ashtenne Holdings P.L.C............................... 50,000 141,751
Austin Reed Group P.L.C............................... 138,001 172,540
Avesco P.L.C.......................................... 38,571 489,924
Avon Rubber P.L.C..................................... 48,840 363,659
*Azlan Group P.L.C.................................... 185,000 262,240
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
BICC P.L.C............................................ 137,650 $ 243,353
BLP Group P.L.C....................................... 35,000 47,941
*BS P.L.C............................................. 5,000 13,538
BSS Group P.L.C....................................... 77,000 613,193
Babcock International Group P.L.C..................... 300,000 468,257
Baggeridge Brick P.L.C................................ 96,100 159,947
Baird (William) P.L.C................................. 236,500 207,172
Banks (Sidney C.) P.L.C............................... 48,771 186,427
Barlows P.L.C......................................... 100,000 97,155
Barr (A.G.) P.L.C..................................... 7,500 50,170
Baynes (Charles) P.L.C................................ 200,000 159,271
Beale P.L.C........................................... 10,000 15,927
Beattie (James) P.L.C................................. 145,000 354,497
Beazer Group P.L.C.................................... 177,241 413,560
Belhaven Brewery Group P.L.C.......................... 12,000 40,041
Bellway P.L.C......................................... 54,000 296,292
Bemrose Corp. P.L.C................................... 14,065 58,580
Benchmark Group P.L.C................................. 92,000 317,236
Bentalls P.L.C........................................ 111,883 116,719
Bett Brothers P.L.C................................... 71,892 265,075
Birse Group P.L.C..................................... 529,277 96,943
Black Arrow Group P.L.C............................... 35,000 49,334
Blagden Industries P.L.C.............................. 181,983 233,326
Blockleys P.L.C....................................... 45,346 28,528
Body Shop International P.L.C......................... 180,000 382,728
Boot (Henry) & Sons P.L.C............................. 50,000 167,235
Bourne End Properties P.L.C........................... 289,475 265,104
Breedon P.L.C......................................... 16,000 31,472
Bristol United Press P.L.C............................ 61,511 707,827
Bristol Water Holdings P.L.C.......................... 4,000 82,502
Britannia Group P.L.C................................. 90,000 66,655
*British Biotech P.L.C................................ 640,896 303,677
British Mohair Holdings P.L.C......................... 10,000 18,714
British Polythene Industries P.L.C.................... 22,960 102,026
*British-Borneo Petroleum Syndicate P.L.C............. 306,485 912,825
Brooke Industrial Holdings P.L.C...................... 25,000 27,275
Brooks Service Group P.L.C............................ 15,000 39,778
Brown & Jackson P.L.C................................. 458,200 1,521,591
Brunel Holdings P.L.C................................. 200,000 19,113
Bryant Group P.L.C.................................... 590,267 1,363,180
Budgens P.L.C......................................... 327,148 306,118
Bullough P.L.C........................................ 235,000 262,001
Burford Holdings P.L.C................................ 300,000 508,871
*Burn Stewart Distillers P.L.C........................ 200,395 73,409
Burndene Investments P.L.C............................ 229,402 131,533
Burtonwood Brewery P.L.C.............................. 37,080 106,599
*CLS Holdings P.L.C................................... 254,181 564,747
CNC Properties P.L.C.................................. 97,796 165,885
Caffyns P.L.C......................................... 2,500 13,936
*Cairn Energy P.L.C................................... 100,290 214,841
*Cambridge Antibody Technology Group P.L.C............ 32,000 146,020
Cambridge Water P.L.C................................. 3,000 20,307
Cannons Group P.L.C................................... 134,444 387,576
Cape P.L.C............................................ 237,482 247,747
Capital & Regional Properties P.L.C................... 176,852 661,934
Carbo P.L.C........................................... 412,000 104,991
Carclo Engineering Group P.L.C........................ 144,314 320,641
Carr's Milling Industries P.L.C....................... 11,000 18,834
*Cathay International P.L.C........................... 920,000 87,918
*Channel Holdings P.L.C............................... 350,000 16,723
Chapelthorpe P.L.C.................................... 376,040 191,655
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Chloride Group P.L.C.................................. 316,000 $ 495,747
Chorion P.L.C......................................... 87,600 55,809
*Churchill China P.L.C................................ 30,000 31,058
Clarkson (Horace) P.L.C............................... 75,061 106,400
Clinton Cards P.L.C................................... 107,415 485,014
Close Brothers Group P.L.C............................ 10,988 173,257
*Clubhaus P.L.C....................................... 67,733 76,594
Coats Viyella P.L.C................................... 924,730 699,593
Colefax & Fowler Group P.L.C.......................... 96,000 138,375
Community Hospitals Group P.L.C....................... 67,000 462,061
Cook (D.C.) Holdings, Ltd............................. 200,000 27,076
Cornwell Parker P.L.C................................. 153,333 146,529
Cosalt P.L.C.......................................... 20,000 70,239
*Costain Group P.L.C.................................. 73,000 23,254
Country Gardens P.L.C................................. 24,000 89,255
Countryside Property P.L.C............................ 144,855 311,461
Countrywide Assured Group P.L.C....................... 94,783 233,991
Courtaulds Textiles P.L.C............................. 202,150 241,475
Courts P.L.C.......................................... 141,633 817,729
Cox Insurance Holdings P.L.C.......................... 70,000 222,979
Cpl Aromas P.L.C...................................... 15,000 21,740
Cradley Group Holdings P.L.C.......................... 38,466 20,524
*Creighton Naturally P.L.C............................ 100,000 14,334
Crest Nicholson P.L.C................................. 545,000 1,319,401
Cropper (James) P.L.C................................. 14,000 45,822
*DRS Data Research Services P.L.C..................... 51,000 15,839
DTZ Holdings P.L.C.................................... 42,423 121,284
Daejan Holdings P.L.C................................. 34,500 685,482
*Dana Petroleum P.L.C., UK............................ 233,333 62,248
Dawson Group P.L.C.................................... 68,000 184,117
*Dawson International P.L.C........................... 606,389 333,202
Delancey Estates P.L.C................................ 63,465 86,930
Delta P.L.C........................................... 216,000 404,230
Delyn Group P.L.C. ................................... 18,000 34,259
Dencora P.L.C......................................... 25,000 79,038
Denmans Electrical P.L.C.............................. 53,568 113,900
Derwent Valley Holdings P.L.C......................... 94,000 845,888
Development Securities P.L.C.......................... 70,000 285,971
Dewhirst Group P.L.C.................................. 132,000 141,910
Diploma P.L.C......................................... 286,078 842,933
Dixon Motors P.L.C.................................... 165,000 328,496
Dolphin Packaging P.L.C............................... 21,000 83,617
Domino Printing Sciences P.L.C........................ 88,000 1,002,133
East Surrey Holdings P.L.C............................ 27,000 97,617
Eldridge Pope & Co. P.L.C............................. 25,000 90,386
Eleco Holdings P.L.C.................................. 68,900 30,178
Electronic Data Processing P.L.C...................... 55,900 110,845
Elementis P.L.C....................................... 853,698 1,033,367
Emess P.L.C........................................... 200,000 125,028
*Energy Technique P.L.C............................... 25,000 4,977
Ennstone P.L.C........................................ 232,000 147,803
Enterprise Inns P.L.C................................. 6,307 43,596
Epwin Group P.L.C..................................... 180,000 571,942
Estates & General P.L.C............................... 75,000 107,508
Eurocopy P.L.C........................................ 156,700 54,907
European Motor Holdings P.L.C......................... 271,675 257,456
Europower P.L.C....................................... 114,104 17,719
Eve Group P.L.C....................................... 10,000 45,790
FII Group P.L.C....................................... 104,900 43,440
Fenner P.L.C.......................................... 175,000 239,703
Ferguson International Holdings P.L.C................. 88,836 48,814
Fine Art Developments P.L.C........................... 295,000 725,917
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Finelist Group P.L.C.................................. 150,000 $ 287,882
Finlay (James) P.L.C.................................. 199,130 231,524
First Leisure Corp. P.L.C............................. 127,900 461,398
Firth Rixson P.L.C.................................... 466,666 509,136
Fisher (Albert) Group P.L.C........................... 55,000 75,335
Folkes Group P.L.C.................................... 15,000 19,949
Fortress Holdings P.L.C............................... 200,000 84,414
*Freeport Leisure P.L.C............................... 12,000 124,900
*French P.L.C......................................... 17,000 21,255
Friendly Hotels P.L.C................................. 37,061 65,225
Frogmore Estates P.L.C................................ 103,039 781,170
Fuller, Smith & Turner P.L.C. Series A................ 7,000 69,402
Fulmar P.L.C.......................................... 32,500 42,187
*GBE International P.L.C.............................. 309,427 0
GEI International P.L.C............................... 156,716 30,576
Galliford P.L.C....................................... 160,000 62,434
Garban Intercapital P.L.C............................. 41,977 130,706
Garton Engineering P.L.C.............................. 6,000 10,512
Gaskell P.L.C......................................... 40,000 53,834
Gerrard Group P.L.C................................... 75,010 555,532
Gleeson (M.J.) Group P.L.C............................ 18,829 227,917
Glenchewton P.L.C..................................... 100,000 83,617
Goodwin P.L.C......................................... 5,000 5,853
Gowrings P.L.C........................................ 15,000 26,877
Grainger Trust, Ltd................................... 42,000 277,609
Grampian Holdings P.L.C............................... 64,713 94,308
Grantchester Holdings P.L.C........................... 116,930 299,839
Greene King P.L.C..................................... 135,026 1,088,190
*Greenwich Resources P.L.C............................ 156,000 17,392
Haden Maclellan Holdings P.L.C........................ 64,000 43,831
Halstead (James) Group P.L.C.......................... 74,338 278,237
*Hampton Trust P.L.C.................................. 200,491 46,302
Hanover International P.L.C........................... 25,365 50,095
Hardys & Hansons P.L.C................................ 96,200 362,362
Hartstone Group P.L.C................................. 1,182,431 169,494
Harvey's Furnishing P.L.C............................. 350,000 744,194
Hawtin P.L.C.......................................... 150,000 44,795
Haynes Publishing Group P.L.C......................... 23,932 79,092
Hazlewood Foods P.L.C................................. 395,500 585,823
Headway P.L.C......................................... 25,000 18,515
Helical Bar P.L.C..................................... 34,500 325,020
Hewden-Stuart P.L.C................................... 140,000 259,771
Hi-Tech Sports P.L.C.................................. 92,142 26,416
Hickson International P.L.C........................... 853,872 523,589
Highbury House Communications P.L.C................... 283,333 292,196
Hill & Smith Holdings P.L.C........................... 74,890 84,687
Holidaybreak P.L.C.................................... 8,550 48,207
Holt (Joseph) P.L.C................................... 5,878 155,642
Horace Small Apparel P.L.C............................ 48,000 24,082
House of Fraser P.L.C................................. 140,000 131,558
*Howard Holdings P.L.C................................ 100,000 93,970
Hunting P.L.C......................................... 37,015 64,850
*Huntingdon Life Sciences Group P.L.C................. 773,340 166,280
IAF Group P.L.C....................................... 66,500 80,496
Iceland Group P.L.C................................... 23,000 84,621
Inchcape P.L.C........................................ 84,666 364,091
Independent Insurance Group P.L.C..................... 220,000 986,365
Industrial Control Services Group P.L.C............... 200,000 91,581
Intelek P.L.C......................................... 25,000 12,144
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Inveresk P.L.C........................................ 124,500 $ 58,496
Jacobs (John I.) P.L.C................................ 133,169 150,591
Jarvis Hotels P.L.C................................... 400,000 726,276
Jarvis Porter Group P.L.C............................. 51,000 92,600
John David Sports P.L.C............................... 200,000 495,333
Johnson Group Cleaners P.L.C.......................... 37,000 181,800
Johnston Group P.L.C.................................. 21,000 122,081
Joseph (Leopold) Holdings P.L.C....................... 9,000 95,324
*Kalamazoo Computer Group P.L.C....................... 12,200 14,670
Kelsey Industries P.L.C............................... 3,000 29,147
*Kenwood Appliances P.L.C............................. 119,108 127,102
Kier Group P.L.C...................................... 12,052 57,778
Kunick P.L.C.......................................... 799,000 302,237
Laing (John) P.L.C.................................... 73,279 346,052
*Laird Group P.L.C.................................... 92,400 365,709
Lambert Fenchurch P.L.C............................... 62,220 139,729
Lambert Howarth Group P.L.C........................... 15,073 60,978
Lamont Holdings P.L.C................................. 100,000 40,614
Lands' End, Inc....................................... 25,000 62,713
*Laura Ashley Holdings P.L.C.......................... 300,000 71,672
Leeds Group P.L.C..................................... 241,639 173,187
Leicester City P.L.C.................................. 100,000 76,450
*Liberty P.L.C........................................ 69,900 158,646
*Lilleshall P.L.C..................................... 29,000 35,334
Linden P.L.C.......................................... 45,535 158,465
Linton Park P.L.C..................................... 30,500 150,591
*Lionheart P.L.C...................................... 100,000 47,383
Locker (Thomas) Holdings P.L.C........................ 419,082 138,501
London Clubs International P.L.C...................... 291,000 535,318
*London Forfeiting Co................................. 66,200 39,539
London Industrial P.L.C............................... 30,822 368,179
London Merchant Securities P.L.C...................... 355,222 882,594
Lookers P.L.C......................................... 168,983 203,201
Low & Bonar P.L.C..................................... 120,000 302,933
MFI Furniture Group P.L.C............................. 333,100 205,581
MS International P.L.C................................ 49,000 19,901
MacDonald Hotels P.L.C................................ 18,000 58,771
MacFarlane Group Clansman P.L.C....................... 71,000 89,335
*Mackie International Group P.L.C..................... 33,250 0
Mallett P.L.C......................................... 25,000 56,342
Manganese Bronze Holdings P.L.C....................... 10,000 33,845
Mansfield Brewery P.L.C............................... 162,608 928,470
Marshalls P.L.C....................................... 225,001 852,900
Martin International Holdings P.L.C................... 226,800 55,990
Marylebone Warwick Balfour Group P.L.C................ 36,770 86,382
Matthews (Bernard) P.L.C.............................. 219,058 409,953
Mayborn Group P.L.C................................... 50,000 51,763
McAlpine (Alfred) P.L.C............................... 126,000 472,605
McCarthy & Stone P.L.C................................ 155,000 543,114
McKay Securities P.L.C................................ 94,000 224,572
McLeod Russell Holdings P.L.C......................... 31,000 34,809
Mentmore Abbey P.L.C.................................. 300,380 734,372
*Merant P.L.C......................................... 87,500 627,130
Merchant Retail Group P.L.C........................... 153,000 171,798
Meristem P.L.C........................................ 66,000 21,549
*Merrydown P.L.C...................................... 94,172 41,997
Mersey Docks & Harbour Co. P.L.C...................... 45,030 318,077
Microgen Holdings P.L.C............................... 45,600 265,091
Mid-States P.L.C...................................... 50,000 17,918
Molins P.L.C.......................................... 57,750 128,771
Moorfield Estates P.L.C............................... 493,333 243,578
Mowlem (John) & Co. P.L.C............................. 446,215 831,509
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Mucklow (A & J) Group P.L.C........................... 160,000 $ 475,265
Nightfreight P.L.C.................................... 75,000 65,699
Norcor Holdings P.L.C................................. 33,000 21,024
Northamber P.L.C...................................... 9,000 15,768
Northern Leisure P.L.C................................ 15,882 43,002
Old English Pub Company P.L.C......................... 10,000 26,678
*Oliver Group P.L.C................................... 43,000 11,985
*Orb Estates P.L.C.................................... 40,000 26,120
Orbis P.L.C........................................... 63,000 20,570
Owen (H.R.) P.L.C..................................... 70,000 126,541
Oxford Instruments P.L.C.............................. 143,399 494,471
*Oxford Molecular Group P.L.C......................... 48,000 19,113
*PGA European Tour Courses P.L.C...................... 80,000 46,507
*PPL Therapeutics P.L.C............................... 27,000 30,962
*Paladin Resources P.L.C.............................. 204,394 89,524
Panther Securities P.L.C.............................. 40,000 83,777
*Partners Holdings P.L.C.............................. 80,000 46,507
Partridge Fine Arts P.L.C............................. 33,000 37,580
Paterson Zochonis P.L.C............................... 40,000 258,019
Peel Holdings P.L.C................................... 74,000 677,698
Pendragon P.L.C....................................... 95,000 221,665
*Peptide Therapeutics Group P.L.C..................... 180,000 103,208
Perry Group P.L.C..................................... 79,000 144,698
Persimmon P.L.C....................................... 212,237 843,390
Peterhouse Group P.L.C................................ 29,584 111,200
Photo-Me International P.L.C.......................... 137,500 817,956
Pifco Holdings P.L.C.................................. 19,500 43,792
Pillar Property P.L.C................................. 51,363 261,784
Pittards P.L.C........................................ 39,000 29,505
*Plantation & General Investment P.L.C................ 64,601 40,642
Plysu P.L.C........................................... 111,942 339,645
Portmeirion Potteries (Holdings) P.L.C................ 16,044 39,608
*Premier Consolidated Oilfields P.L.C................. 2,628,330 659,321
*Princedale Group P.L.C............................... 100,000 12,343
*Probus Estates P.L.C................................. 416,666 29,863
*Property Partnerships P.L.C.......................... 10,000 12,742
*Provalis P.L.C....................................... 110,769 25,581
Prowting P.L.C........................................ 113,261 211,961
QS Holdings P.L.C..................................... 102,000 73,918
*Quadrant Group P.L.C................................. 5,900 7,048
*Quality Software Products Holdings P.L.C............. 13,750 143,991
Queensborough Holdings P.L.C.......................... 187,000 46,165
Quick Group P.L.C..................................... 195,974 234,097
Quintain Estates & Development P.L.C.................. 153,155 436,637
*Quintain Estates Letters of Entitlement.............. 42,000 0
RCO Holdings P.L.C.................................... 20,000 66,097
RJB Mining P.L.C...................................... 500,000 270,761
Radamec Group P.L.C................................... 20,000 10,034
Raglan Property P.L.C................................. 313,895 151,233
Ransom (William) & Son P.L.C.......................... 75,000 53,157
Reed Executive P.L.C.................................. 15,000 46,348
Reg Vardy P.L.C....................................... 101,000 440,767
Regal Hotel Group P.L.C............................... 1,450,000 363,735
Renold P.L.C.......................................... 38,000 68,088
*Richards P.L.C....................................... 62,000 5,431
Richardsons Westgarth P.L.C........................... 41,017 42,790
Roseby's P.L.C........................................ 45,000 235,084
Rowe Evans Investments P.L.C.......................... 95,900 101,573
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Royal Doulton P.L.C.................................. 147,000 $ 215,398
Ruberoid P.L.C........................................ 204,100 360,830
Rugby Estates P.L.C................................... 32,000 81,547
Russell (Alexander) P.L.C............................. 40,000 82,821
Rutland Trust P.L.C................................... 182,210 111,730
S & U P.L.C........................................... 7,000 24,862
*SEP Industrial Holdings P.L.C........................ 370,000 85,449
Safeland P.L.C........................................ 100,000 55,745
*Safestore P.L.C...................................... 35,897 38,306
Salvesen (Christian) P.L.C............................ 74,500 146,541
Sanderson Bramall Motor Group P.L.C................... 108,720 238,094
Save Group P.L.C...................................... 196,000 84,286
Saville (J.) Gordon Group P.L.C....................... 587,302 710,905
Savills P.L.C......................................... 21,000 73,750
Scapa Group P.L.C..................................... 69,600 176,810
Scottish Metropolitan Property P.L.C.................. 407,167 564,194
Seacon Holdings P.L.C................................. 50,000 27,474
*Semara Holdings P.L.C................................ 109,000 115,448
Seton Healthcare Group P.L.C.......................... 12,776 128,094
Shaftesbury P.L.C..................................... 150,000 609,212
Shani Group P.L.C..................................... 30,000 18,396
Sharpe & Fisher P.L.C................................. 66,651 352,968
*Sheffield United P.L.C............................... 88,000 23,126
Sherwood Group P.L.C.................................. 202,000 44,238
*ShopRite Group P.L.C................................. 146,000 43,600
Silentnight Holdings P.L.C............................ 30,000 118,975
Simon Engineering P.L.C............................... 175,847 219,858
Sinclair (William) Holdings P.L.C..................... 40,000 72,946
Sirdar P.L.C.......................................... 119,721 129,663
Slug and Lettuce Group P.L.C.......................... 32,000 79,253
Smart (J.) & Co. (Contractors) P.L.C.................. 8,000 34,721
Smith (David S.) Holdings P.L.C....................... 47,000 129,503
Smith (James) Estates P.L.C........................... 95,000 216,370
*Soco International P.L.C............................. 29,000 35,796
*Solvera P.L.C........................................ 99,000 7,490
St. Ives P.L.C........................................ 9,377 91,103
St. Modwen Properties P.L.C........................... 214,000 333,171
Stadium Group P.L.C................................... 1,591 2,268
Stanley Leisure Organisation P.L.C.................... 152,932 554,136
Stat-Plus Group P.L.C................................. 25,300 50,369
Staveley Industries P.L.C............................. 65,000 68,845
Stirling Group P.L.C.................................. 214,889 78,719
*Stoddard Sekers International P.L.C.................. 98,000 7,804
Storehouse P.L.C...................................... 694,930 536,809
Stratagem Group P.L.C................................. 47,000 49,032
Stylo P.L.C........................................... 16,588 8,058
Swallowfield P.L.C.................................... 25,000 24,488
Swan Hill Group P.L.C................................. 87,000 87,296
Syltone P.L.C......................................... 29,000 47,805
TGI Group P.L.C....................................... 39,000 32,611
TT Group P.L.C........................................ 93,160 177,310
*Tadpole Technology P.L.C............................. 53,280 39,035
*Tandem Group P.L.C................................... 472,000 60,141
*Tay Homes P.L.C...................................... 103,937 134,916
Tbi P.L.C............................................. 221,000 262,232
Telemetrix P.L.C...................................... 170,214 603,201
Tex Holdings P.L.C.................................... 11,000 22,338
The Cardiff Property P.L.C............................ 4,000 22,202
Thorpe (F.W.) P.L.C................................... 15,000 28,310
Tilbury Douglas P.L.C................................. 33,652 150,074
Time Products P.L.C................................... 81,758 134,774
Tinsley (Eliza) Group P.L.C........................... 27,781 37,610
</TABLE>
77
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Tops Estates P.L.C.................................... 82,557 $ 214,985
*Tottenham Hotspur P.L.C.............................. 70,000 73,583
Town Centre Securities (New) P.L.C.................... 227,419 297,014
Transport Development Group P.L.C..................... 285,056 844,461
Transtec P.L.C........................................ 305,000 34,004
*Tring International Group P.L.C...................... 60,000 0
Try Group P.L.C....................................... 91,160 43,557
UCM Group P.L.C....................................... 46,000 63,008
UK Land............................................... 16,000 45,233
Ugland International Holdings P.L.C................... 146,666 117,966
*Union P.L.C.......................................... 100,000 46,985
United Industries P.L.C............................... 81,822 81,449
*United Overseas Group P.L.C.......................... 78,000 19,566
*Utility Cable P.L.C.................................. 200,000 0
*Vanguard Medica Group P.L.C.......................... 18,000 37,986
Vaux Group P.L.C...................................... 177,391 1,097,638
*Vert (Jacques) P.L.C................................. 45,000 12,901
Vibroplant P.L.C...................................... 185,000 172,371
Vickers P.L.C......................................... 227,200 902,850
Viglen Technology P.L.C............................... 137,200 172,631
*Villiers Group P.L.C................................. 167,000 49,872
Vtr P.L.C............................................. 13,000 23,604
Walker Greenbank P.L.C................................ 144,910 108,476
Ward Holdings P.L.C................................... 206,900 148,289
Warner Estate Holdings P.L.C.......................... 99,000 372,909
Warnford Investments P.L.C............................ 12,000 70,239
Wassall P.L.C......................................... 94,000 390,007
Waterman Partnership Holdings P.L.C................... 25,000 40,415
Wates City of London Properties P.L.C................. 381,099 518,968
Wembley P.L.C......................................... 53,000 309,376
Wescol Group P.L.C.................................... 31,000 22,959
Westbury P.L.C........................................ 162,482 689,667
Whitecroft P.L.C...................................... 70,000 64,107
*Wilshaw P.L.C........................................ 28,000 22,075
Wilson (Connolly) Holdings P.L.C...................... 415,400 893,176
Wimpey (George) P.L.C................................. 184,300 368,388
Wintrust P.L.C........................................ 24,000 174,880
Wolstenholme Rink P.L.C............................... 4,000 29,306
Wolverhampton & Dudley Breweries P.L.C................ 137,050 1,178,717
Wyevale Garden Centres P.L.C.......................... 50,000 385,038
*YJL P.L.C............................................ 29,000 5,774
Yorklyde P.L.C........................................ 14,000 15,832
Yorkshire Group P.L.C................................. 117,096 172,512
Young & Co's Brewery P.L.C. Class A................... 5,000 64,903
Young (H.) Holdings P.L.C............................. 38,666 60,044
Zotefoams P.L.C....................................... 20,000 39,499
------------
TOTAL COMMON STOCKS
(Cost $94,804,222)................................... 94,463,273
------------
INVESTMENT IN CURRENCY -- (0.2%)
*British Pound Sterling
(Cost $1,309,858)................................... 1,294,125
------------
TOTAL -- UNITED KINGDOM
(Cost $96,114,080)................................... 95,757,398
------------
</TABLE>
<TABLE>
FRANCE -- (7.1%)
COMMON STOCKS -- (7.1%)
<CAPTION>
------ ------
<S> <C> <C>
Agricole de la Crau................................... 204 15,508
Alain Manoukian SA.................................... 9,565 404,304
*Arbel SA............................................. 1,583 17,613
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 100 $ 12,989
Bains de Mer et du Cercle des Etrangers a Monaco...... 6,329 1,051,477
Bazar de l'Hotel de Ville SA.......................... 9,361 1,149,907
Burelle SA............................................ 10,986 752,746
*CEE (Continentale d'Equipements Electriques)......... 2,215 58,477
CPR (Cie Parisienne de Reescompte).................... 17,123 670,844
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 6,010 375,186
Cambodge.............................................. 399 243,058
*Cascades SA.......................................... 22,612 77,638
Christian Dalloz SA................................... 2,000 92,634
Cie Francaise des Ferrailles.......................... 9,710 303,083
*Cofigeo (Cie Financiere Geo)......................... 205 28,072
Conflandey SA......................................... 1,939 56,560
Continentale d'Entreprises SA......................... 19,198 777,075
Crometal SA........................................... 1,120 59,543
*DMC (Dollfus Mieg et Cie)............................ 38,146 243,895
*Desquenne et Giral SA................................ 4,761 92,280
Didot-Bottin.......................................... 1,204 74,313
Dietrich et Cie....................................... 38,762 2,322,223
Exacompta Clairefontaine SA........................... 1,233 103,044
Explosifs et de Produits Chimiques.................... 312 47,908
Faurecia SA........................................... 7,425 413,057
Fimalac SA............................................ 10,590 1,172,923
Fonderies Franco Belge................................ 913 72,624
Forges Stephanoises SA................................ 300 22,353
France-Africaine de Recherches Petrolieres
Francarep........................................... 1,822 91,727
Gantois Series A...................................... 465 57,121
Gascogne SA........................................... 10,334 812,644
Gautier France SA..................................... 2,227 114,808
*Gel 2000 SA.......................................... 4,629 5,686
*#Generale de Geophysique SA.......................... 4,268 217,018
Geodis SA............................................. 3,300 199,364
Gevelot............................................... 2,400 106,327
Groupe Guillin SA..................................... 480 11,116
Groupe Zannier SA..................................... 26,650 956,616
Guerbet SA............................................ 15,148 320,299
Hbs Technologie SA.................................... 405 14,521
*ICBT Groupe SA....................................... 8,110 108,606
IMS International Metal Service SA.................... 13,100 118,712
Immobanque............................................ 9,394 1,002,622
Immobiliere Complexes Commerciaux SA.................. 6,452 224,127
*Immobiliere et Hoteliere SA.......................... 27,700 26,775
Jet Multimedia SA..................................... 200 61,219
Legris Industries SA.................................. 8,500 325,225
#Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 12,163 1,383,885
Maire (Henri)......................................... 1,252 18,897
*Marie Brizard & Roger International SA............... 3,181 192,495
Matussiere et Forest SA............................... 7,020 61,141
*Metaleurop SA........................................ 43,410 345,301
Michel Thierry SA..................................... 3,269 434,480
*Mors................................................. 37,132 13,086
*NAF NAF SA........................................... 36,191 455,503
Nord-Est SA........................................... 22,587 607,226
</TABLE>
78
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Nordon & Cie......................................... 1,600 $ 111,160
PSB Industries SA..................................... 1,838 141,575
Papiers Peints (Societe Francaise des)................ 70 6,837
*Paul Predault SA..................................... 6,400 79,262
*Pier Import Europe SA................................ 18,642 171,749
Plastic Omnium........................................ 8,895 904,582
Radiall SA............................................ 200 16,483
*Remy Cointreau SA.................................... 26,500 533,650
Robertet SA........................................... 200 29,200
*Rochette............................................. 138,121 929,003
Rougier SA............................................ 2,715 162,792
*Rouleau-Guichard SA.................................. 2,495 97,473
#Rue Imperiale de Lyon................................ 2,500 4,684,542
*SDR de Bretagne SA................................... 3,200 28,515
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................. 4,135 113,247
Sabeton............................................... 1,846 302,970
*Saupiquet............................................ 2,210 169,117
Sechilienne........................................... 100 24,769
Securidev SA.......................................... 16,908 160,881
*Sediver Societe Europeenne d'Isolateurs en Verne et
Composite........................................... 125 2,517
*Selectibanque SA..................................... 46,567 655,959
Signaux et d'Equipements Electroniques SA............. 13,500 542,903
Signaux Girod SA...................................... 5,407 121,407
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,483 578,302
Skis Rossignol SA..................................... 7,216 103,899
Smoby SA.............................................. 1,600 68,629
Societe des Immeubles de France....................... 146,528 2,809,107
Societe Financiere Immobail SA........................ 9,997 367,404
#Sommer-Allibert SA................................... 19,000 466,984
Sucriere de Pithiviers-le-Vieil....................... 340 120,402
Sylea SA.............................................. 4,300 219,944
Teisseire France SA................................... 6,492 139,493
Tivoly SA............................................. 1,904 33,933
*Trouvay et Cauvin SA................................. 9,481 115,128
Union du Credit Bail Immobiliere Unibail.............. 3,962 514,618
VM Materiaux SA....................................... 1,636 70,009
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 43,572 1,697,850
Via Banque............................................ 21,658 584,214
*Vilmorin et Cie SA................................... 2,100 162,602
------------
TOTAL COMMON STOCKS
(Cost $35,761,214)................................... 37,040,992
------------
RIGHTS/WARRANTS -- (0.0%)
*Alain Manoukian SA Warrants 06/30/01................. 1,367 3,180
*#Continental d'Enterprises SA Warrants 10/31/01...... 22,587 25,244
------------
TOTAL RIGHTS/WARRANTS
(Cost $30,655)....................................... 28,424
------------
TOTAL -- FRANCE
(Cost $35,791,869)................................... 37,069,416
------------
</TABLE>
<TABLE>
GERMANY -- (6.5%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (6.5%)
*A. Friedrich Flender AG.............................. 98,320 $ 791,977
*Aigner (Etienne) AG.................................. 454 59,426
Andreae-Noris Zahn AG, Anzag.......................... 3,550 89,719
Anterra Vermoegensverwaltungs AG...................... 3,920 292,078
Balcke-Duerr AG....................................... 56,700 513,814
Bayerische Handelsbank AG............................. 51,240 1,650,973
*Beta Systems Software AG............................. 12,200 135,124
Bien-Haus AG.......................................... 8,000 140,803
Bilfinger & Berger Bau AG, Mannheim................... 32,800 604,374
Biotest AG............................................ 5,400 88,898
*Bremer Woll-Kaemmerei AG............................. 53,100 178,041
Brillant AG........................................... 300 38,362
Brueder Mannesmann AG................................. 10,100 80,441
*Campina AG........................................... 4,774 302,833
Cewe Color Holding AG................................. 5,000 113,275
Deutsche Verkehrs-Bank AG............................. 7,546 642,028
*Dierig Holding AG.................................... 1,250 110,758
Duerr Beteiligungs AG................................. 5,900 130,991
Dyckerhoff AG......................................... 16,200 484,454
Dyckerhoff and Widmann AG............................. 122,240 855,419
Escada AG............................................. 5,709 652,434
Eurobike AG........................................... 18,900 211,235
Fag Kugelfischer Georg Schaeffer AG................... 178,050 1,269,276
Fuchs Petrolub AG Oel & Chemie........................ 4,100 258,015
Grammer AG............................................ 23,600 211,487
Heilit & Woerner Bau AG............................... 8,542 455,844
*Herlitz AG........................................... 13,643 196,439
*#Holzmann (Philipp) AG............................... 6,200 161,062
Hucke AG.............................................. 20,900 84,176
Hutschenreuther AG.................................... 8,591 66,606
Iwka AG............................................... 20,300 389,378
K & S Aktiengesellschaft AG........................... 80,800 1,061,702
KSB AG................................................ 2,850 304,181
*Kaufring AG.......................................... 12,600 148,435
Km-Europa Metal AG.................................... 35,200 2,085,787
*Leica Camera AG...................................... 4,000 30,811
Leoni AG.............................................. 5,400 163,116
*Loesch Umweltschutz AG............................... 16,000 74,107
*Mauser Waldeck AG.................................... 1,151 103,144
*Mvs Miete Vertrieb Service AG........................ 45,052 127,014
*Neue Baumwoll-Spinnerei ud Weberei Hof AG............ 16,730 133,077
Norddeutsche Steingutfabrik AG........................ 8,015 107,334
Nuernberger Hypothekenbank AG......................... 30,440 1,103,387
*Otto Reichelt AG..................................... 44,954 307,792
*Pfaff (G.M.) AG...................................... 80,930 73,339
Phoenix AG, Hamburg................................... 50,693 673,756
Plettac AG............................................ 8,100 216,128
*Praktiker Bau und Heimwerkermaerkt AG................ 111,500 1,844,562
*Reichelbraeu AG, Kulmbach............................ 318 44,827
Rheinboden Hypothekenbank AG.......................... 39,000 903,178
Rheinmetall Berlin AG................................. 60,000 900,157
Salamander AG......................................... 129,990 1,701,508
Salzgitter AG......................................... 210,850 1,730,262
Schmalbach-Lubeca AG.................................. 12,670 1,620,172
Scor Deutschland Rueckversicherungs AG................ 1,249 154,811
Sinn AG............................................... 1,001 141,105
Stern-Brauerei Carl Funke AG.......................... 300 15,103
</TABLE>
79
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Stoehr & Co. AG...................................... 44,310 $ 227,537
*Strabag AG........................................... 25,750 972,275
Sueddeutsche Bodencreditbank AG....................... 45,740 1,681,008
*Tiptel AG............................................ 13,600 89,694
*Triton-Belco AG, Hamburg............................. 2,977 50,958
Tucher Braeu AG....................................... 1,047 67,469
VK Muehlen AG......................................... 2,302 146,025
Varta AG.............................................. 56,110 579,088
Walter AG............................................. 16,900 297,787
Walter Bau AG......................................... 4,427 361,057
Weru AG............................................... 1,050 274,880
Westag and Getalit AG, Rheda-Wiedenbrueck............. 19,800 314,995
Windhoff AG........................................... 2,000 12,385
Wuerttembergische Metallwarenfabrik AG................ 64,620 979,229
*Zanders Feinpapiere AG............................... 10,902 713,510
------------
TOTAL -- GERMANY
(Cost $43,095,533)................................... 33,796,432
------------
</TABLE>
<TABLE>
SINGAPORE -- (5.1%)
COMMON STOCKS -- (5.0%)
<CAPTION>
------ ------
<S> <C> <C>
*Alliance Technology & Development, Ltd............... 3,000 687
Apollo Enterprises, Ltd............................... 240,000 128,573
*Bonvests Holdings, Ltd............................... 614,000 297,867
*CK Tang, Ltd......................................... 306,000 97,448
Carnaudmetalbox Asia, Ltd............................. 163,000 222,187
Chevalier Singapore Holdings, Ltd..................... 200,000 48,810
Chuan Hup Holdings, Ltd............................... 516,000 672,651
Cosco Investment (Singapore), Ltd..................... 223,000 153,978
First Capital Corp., Ltd.............................. 745,000 1,002,214
Focal Finance, Ltd.................................... 101,000 131,662
*General Magnetics, Ltd............................... 187,000 53,429
Haw Par Brothers International, Ltd................... 411,000 709,473
Hind Hotels International, Ltd........................ 147,000 217,878
Hong Fok Corp., Ltd................................... 366,000 315,897
Hotel Grand Central, Ltd.............................. 327,700 175,556
Hotel Plaza, Ltd...................................... 892,000 345,123
Hotel Properties, Ltd................................. 1,075,000 985,428
Hour Glass, Ltd....................................... 210,000 88,751
Hwa Hong Corp., Ltd................................... 402,000 504,899
Hwa Tat Lee, Ltd...................................... 330,000 67,769
*IPC Corp., Ltd....................................... 3,248,000 541,340
Insurance Corp. of Singapore, Ltd..................... 112,000 453,339
Intraco, Ltd.......................................... 215,000 190,687
Isetan (Singapore), Ltd............................... 76,000 110,835
Jack Chia-MPH, Ltd.................................... 332,000 162,050
Jurong Engineering, Ltd............................... 91,000 142,460
Keppel Land, Ltd...................................... 1,271,000 2,057,834
Keppel Marine Industries, Ltd......................... 409,000 503,952
Keppel Tatlee Finance, Ltd............................ 160,000 125,716
LC Development, Ltd................................... 1,544,363 367,710
Lee Kim Tah Holdings, Ltd............................. 72,000 42,000
Liang Court Holdings, Ltd............................. 1,236,600 548,380
*Lim Kah Ngam, Ltd.................................... 386,000 93,055
*Low Keng Huat Singapore, Ltd......................... 232,000 63,525
Metro Holdings, Ltd................................... 274,800 353,318
*Neptune Orient Lines, Ltd............................ 1,830,000 2,723,247
Orchard Parade Holdings, Ltd.......................... 766,000 506,113
*Osprey Maritime, Ltd................................. 886,000 319,069
Pacific Carriers, Ltd................................. 669,000 438,041
Prima, Ltd............................................ 83,000 225,288
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Republic Hotels and Resorts, Ltd...................... 552,000 $ 377,862
SNP Corp., Ltd........................................ 72,500 57,828
*SPP, Ltd............................................. 55,000 10,967
*Scotts Holdings, Ltd................................. 531,000 227,574
Sembcorp Industries, Ltd.............................. 157,729 210,308
Singapore Land, Ltd................................... 245,000 577,507
Singapura Building Society, Ltd....................... 84,000 62,501
*Singatronics, Ltd.................................... 433,000 119,850
Ssangyong Cement (Singapore), Ltd..................... 9,000 9,750
Straits Trading Co., Ltd.............................. 701,000 742,735
Tibs Holdings, Ltd.................................... 203,000 232,003
Times Publishing, Ltd................................. 271,000 564,590
*Tuan Sing Holdings, Ltd.............................. 2,931,000 636,802
United Engineers, Ltd................................. 404,000 420,838
United Industrial Corp., Ltd.......................... 3,541,000 1,918,064
United Overseas Finance, Ltd.......................... 129,000 148,198
United Overseas Land, Ltd............................. 1,535,000 1,334,004
*Van der Horst, Ltd................................... 232,000 90,453
Vickers Ballas Holdings, Ltd.......................... 543,000 358,772
WBL Corp., Ltd........................................ 297,000 374,790
Wing Tai Holdings, Ltd................................ 1,639,000 1,590,239
------------
TOTAL COMMON STOCKS
(Cost $24,903,009)................................... 26,253,874
------------
PREFERRED STOCKS -- (0.1%)
First Capital Corp., Ltd. 7% Non-Redeemable
Convertible
(Cost $103,604)..................................... 174,000 228,896
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $8,652)....................................... 8,604
------------
TOTAL -- SINGAPORE
(Cost $25,015,265)................................... 26,491,374
------------
</TABLE>
<TABLE>
SWITZERLAND -- (4.7%)
COMMON STOCKS -- (4.7%)
<CAPTION>
------ ------
<S> <C> <C>
AFG Arbonia Foster Holding AG, Arbon.................. 150 73,450
*Attisholz Holding AG, Attisholz...................... 1,670 942,661
Banque Cantonale de Geneve............................ 450 78,070
Banque Privee Edmond de Rothschild SA, Geneve......... 105 462,008
Bobst SA, Prilly...................................... 2,130 2,476,931
Bucher Holding AG, Niederweningen..................... 2,125 1,703,067
Caisse d'Epargne Cantonale Vaudoise, Lausanne......... 1,900 322,463
Calida Holding AG..................................... 400 80,459
Canon (Schweiz) AG, Dietlikon......................... 9,900 539,843
*Carlo Gavazzi Holding AG, Baar Series B.............. 253 171,595
Cie Financiere Tradition.............................. 750 59,637
Coop Bank, Basel...................................... 370 253,042
Daetwyler Holding AG, Atldorf......................... 940 1,353,088
Financiere Michelin, Granges-Paccot................... 740 301,883
Forbo Holding AG, Eglisau............................. 7,331 3,382,376
Galenica Holding AG, Bern Series B.................... 3,115 2,016,777
Golay-Buchel Holding SA, Lausanne..................... 125 111,573
Industrieholding Cham AG, Cham........................ 650 467,006
*Keramik Holding AG Laufen, Laufen.................... 1,540 556,610
Kuehne & Nagel International AG, Schindellegi......... 700 501,609
Lem Holdings AG, Lyss................................. 180 28,286
*Maag Holding AG, Zuerich............................. 1,900 412,036
</TABLE>
80
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Moevenpick-Holding, Zuerich........................... 470 $ 221,576
*Nextrom Holding SA................................... 200 22,629
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 1,666 3,024,369
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich..... 50 11,786
UMS Schweizerische Metallwerke Holding AG, Bern....... 3,200 252,942
Unigestion Holding, Geneve............................ 9,200 560,947
Valiant Holding....................................... 550 241,313
Vaudoise Assurances Holding, Lausanne................. 189 392,166
Von Roll Holding AG, Gerlafingen...................... 15,045 215,147
WMH Walter Meier Holding AG, Staefa................... 260 223,084
Zehnder Holding AG.................................... 50 27,029
Zellweger Luwa AG, Uster.............................. 590 318,572
*Zschokke Holding SA, Geneve.......................... 1,950 611,643
*Zueblin Holding AG................................... 440 3,374
Zuercher Ziegeleien Holding, Zuerich.................. 2,000 2,049,180
------------
TOTAL COMMON STOCKS
(Cost $22,146,857)................................... 24,470,227
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $45).......................................... 44
------------
TOTAL -- SWITZERLAND
(Cost $22,146,902)................................... 24,470,271
------------
</TABLE>
<TABLE>
HONG KONG -- (4.6%)
COMMON STOCKS -- (4.5%)
<CAPTION>
------ ------
<S> <C> <C>
ALCO Holdings, Ltd.................................... 710,000 66,736
Acme Landis Holdings, Ltd............................. 130,000 6,277
*Allied Group, Ltd.................................... 5,364,000 531,812
*Allied Properties (Hong Kong), Ltd................... 6,468,000 328,962
Applied International Holdings, Ltd................... 1,150,000 42,201
*Asia Commercial Holdings, Ltd........................ 35,960 2,454
*Asia Securities International, Ltd................... 2,326,000 170,712
Asia Standard International Group, Ltd................ 3,658,000 513,392
Associated International Hotels, Ltd.................. 758,000 322,078
Beauforte Investors Corp., Ltd........................ 44,000 63,169
*Burlingame International Co., Ltd.................... 675,000 17,904
Burwill Holdings, Ltd................................. 385,000 42,136
*CCT Telecom Holdings, Ltd............................ 752,000 317,108
CDL Hotels International, Ltd......................... 2,559,620 790,980
*CNT Group, Ltd....................................... 1,428,000 44,496
*Capetronic International Holdings, Ltd............... 107,000 53,042
*Century City International Holdings, Ltd............. 2,863,067 92,162
Champion Technology Holdings, Ltd..................... 6,437,837 377,164
Chen Hsong Holdings, Ltd.............................. 322,000 104,688
Cheuk Nang Properties (Holdings), Ltd................. 318,000 40,945
*Cheung Wah Development Co., Ltd...................... 898,000 26,825
*Chevalier Construction Holdings, Ltd................. 194,857 4,215
Chevalier Development International, Ltd.............. 625,852 74,138
Chevalier International Holdings, Ltd................. 1,507,404 106,751
*China Aerospace International Holdings, Ltd.......... 873,000 98,918
China Foods Holdings, Ltd............................. 1,032,000 194,004
*China Investments Holdings, Ltd...................... 989,000 22,158
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
China Online (Bermuda), Ltd........................... 7,640,000 $ 173,135
*China Overseas Land & Investment, Ltd................ 3,256,000 301,853
China Travel International Investment, Ltd............ 1,722,000 279,372
*Chinese Estates Holdings, Ltd........................ 2,675,131 396,115
*Chinney Investments, Ltd............................. 752,000 46,961
Chow Sang Sang Holdings International, Ltd............ 738,000 161,541
Chuangs China Investments, Ltd........................ 884,000 71,709
Chuang's Consortium International, Ltd................ 3,051,760 137,530
*City Chiu Chow (Holdings), Ltd....................... 298,000 6,907
*Companion Building Material International Holdings,
Ltd................................................. 2,206,000 31,529
Continental Holdings, Ltd............................. 382,000 15,248
*Continental Mariner Investment Co., Ltd.............. 417,000 57,988
Cosmos Machinery Enterprises, Ltd..................... 140,000 7,391
*Crocodile Garments, Ltd.............................. 986,000 21,075
*Culturecom Holdings, Ltd............................. 1,326,000 79,392
*Dransfield Holdings, Ltd............................. 1,952,000 35,690
Dynamic Holdings, Ltd................................. 482,000 71,371
*Easyknit International Holdings, Ltd................. 200,150 8,118
*Emperor (China Concept) Investments, Ltd............. 2,790,000 27,302
*Emporer International Holdings, Ltd.................. 812,000 73,187
*Evergo China Holdings, Ltd........................... 1,296,000 22,695
*Fairwood Holdings, Ltd............................... 675,000 15,470
*Fairyoung Holdings, Ltd.............................. 990,000 39,516
Far East Consortium International, Ltd................ 1,812,301 133,010
*Far East Holdings International, Ltd................. 408,000 22,327
Fountain Set Holdings, Ltd............................ 1,350,000 173,825
*Four Seas Travel International, Ltd.................. 1,180,000 77,487
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 670,000 6,815
*G-Prop Holdings, Ltd................................. 53,435 8,944
Golden Resources Development International, Ltd....... 722,000 43,693
Goldlion Holdings, Ltd................................ 1,092,000 120,920
Grand Hotel Holdings, Ltd. Series A................... 372,000 49,814
Grande Holdings, Ltd.................................. 506,000 224,775
Great Eagle Holdings, Ltd............................. 698,910 1,237,378
Great Wall Electronic International, Ltd.............. 2,278,566 121,755
*Guangzhou Investment Co., Ltd........................ 3,038,000 226,879
*Guoco Land (Philippines), Ltd........................ 88,000 24,361
Harbour Centre Development, Ltd....................... 590,000 436,816
Harbour Ring International Holdings, Ltd.............. 3,430,000 123,660
Henderson China Holdings, Ltd......................... 438,000 250,965
High Fashion International, Ltd....................... 800,000 92,707
*Hon Kwok Land Investment Co., Ltd.................... 1,096,000 63,504
*#Hong Kong & Shanghai Hotels, Ltd.................... 1,789,124 1,071,203
Hong Kong Ferry (Holdings) Co., Ltd................... 349,000 319,053
*Hong Kong Parkview Group, Ltd........................ 648,000 352,517
Hop Hing Holdings, Ltd................................ 604,000 37,330
Hopewell Holdings, Ltd................................ 1,208,800 680,943
*Hualing Holdings, Ltd................................ 784,000 25,237
*Huey Tai International, Ltd.......................... 2,920,260 195,526
*Hwa Kay Thai Holdings, Ltd........................... 323,560 10,332
*Innovative International (Holdings), Ltd............. 539,439 11,461
</TABLE>
81
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Jinhui Holdings Co., Ltd............................. 978,000 $ 32,741
*Joyce Boutique Holdings, Ltd......................... 808,000 20,287
*K Wah International Holdings, Ltd.................... 871,672 48,823
*KTP Holdings, Ltd.................................... 758,000 33,184
*Kader Holdings Co., Ltd.............................. 857,000 24,828
Keck Seng Investments (Hong Kong), Ltd................ 570,000 77,062
Kee-Shing Holdings Co., Ltd........................... 256,000 29,666
*King Fook Holdings, Ltd.............................. 338,000 12,186
*Kong Tai International Holdings Co., Ltd............. 5,175,000 26,653
Kumagai Gumi Hong Kong, Ltd........................... 424,000 156,958
*Kwong Sang Hong International, Ltd................... 1,060,000 94,175
*Lai Sun Development Co., Ltd......................... 2,698,800 118,148
*Lai Sun Garment (International), Ltd................. 2,700,000 93,866
*Lai Sun Hotels International, Ltd.................... 1,532,000 106,520
*Lam Soon (Hong Kong), Ltd............................ 203,250 39,255
*Lam Soon Food Industries, Ltd........................ 156,000 31,335
Leefung-Asco Printers Holdings, Ltd................... 128,000 25,546
*Linkful International Holdings, Ltd.................. 582,000 8,243
*Lippo, Ltd........................................... 751,000 152,783
Liu Chong Hing Investment, Ltd........................ 626,000 392,941
*Luks Industrial Co., Ltd............................. 613,800 94,839
*Magnificent Estates, Ltd............................. 5,014,600 51,654
*Mansion Holdings, Ltd................................ 113,200 1,122
*Megga (S.) International Holdings, Ltd............... 1,399,200 14,773
Melbourne Enterprises, Ltd............................ 41,000 176,323
*Melco International Development, Ltd................. 170,000 21,889
*Min Xin Holdings, Ltd................................ 432,000 38,937
Miramar Hotel & Investment Co., Ltd................... 600,000 536,926
*Mui Hong Kong, Ltd................................... 2,050,000 25,868
*Nam Hing Holdings, Ltd............................... 538,000 16,556
Nanyang Holdings, Ltd................................. 80,850 72,871
*National Electronics Holdings, Ltd................... 1,106,000 28,482
*New World Cyberbase, Ltd............................. 56,540 15,288
*Nph International Holdings, Ltd...................... 408,000 10,192
#Onfem Holdings, Ltd.................................. 684,000 58,127
Orient Power Holdings, Ltd............................ 441,000 26,688
*Oriental Metals Holdings Co., Ltd.................... 796,000 86,094
*Pacific Concord Holding, Ltd......................... 3,156,349 345,448
*Pacific Plywood Holdings, Ltd........................ 1,854,000 29,124
Playmate Toys Holdings, Ltd........................... 234,000 12,353
Pokfulam Development Co., Ltd......................... 244,000 73,045
*Poly Investments Holdings, Ltd....................... 1,428,000 73,547
Prestige Properties Holdings, Ltd..................... 1,166,000 54,048
*QPL International Holdings, Ltd...................... 651,000 253,562
*RJP Electronics, Ltd................................. 1,350,000 19,816
Realty Development Corp., Ltd. Series A............... 213,000 320,881
*Regal Hotels International Holdings, Ltd............. 4,988,179 385,365
*Rhine Holdings, Ltd.................................. 260,000 0
*Rivera Holdings, Ltd................................. 1,912,000 24,619
*Ryoden Development, Ltd.............................. 2,410,000 152,052
*S.A.S.Dragon Holdings, Ltd........................... 94,400 5,044
SIS International Holdings, Ltd....................... 326,000 29,803
San Miguel Brewery Hong Kong, Ltd..................... 812,400 133,893
Sea Holdings, Ltd..................................... 1,208,000 435,515
*Seapower Resources International, Ltd................ 2,785,000 57,375
*Semi-Tech (Global) Co., Ltd.......................... 1,950,339 52,485
*Shangri-La Asia, Ltd................................. 837,403 981,193
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Shaw Brothers Hong Kong, Ltd.......................... 158,000 $ 164,786
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,177,000 122,755
*Shenzhen International Holdings, Ltd................. 2,862,500 47,915
*Shougang Concord Century Holdings, Ltd............... 1,000,000 28,842
*Shougang Concord International Enterprises Co.,
Ltd................................................. 2,196,000 87,654
*Shun Ho Construction (Holdings), Ltd................. 814,380 33,031
*Shun Ho Resources Holdings, Ltd...................... 510,000 19,700
*Shun Shing Holdings, Ltd............................. 726,000 112,175
#Shun Tak Holdings, Ltd............................... 1,924,000 401,327
*Silver Grant International Industries, Ltd........... 748,000 72,234
*Sincere Co., Ltd..................................... 872,000 51,087
Sing Tao Holdings, Ltd................................ 410,000 67,573
*Singamas Container Holdings, Ltd..................... 360,000 21,786
*Sino Foundations Holdings, Ltd....................... 618,000 17,108
South China Brokerage Co., Ltd........................ 4,418,000 101,826
South China Holdings, Ltd............................. 846,000 106,752
South China Industries, Ltd........................... 1,182,000 88,272
*South Sea Development Co., Ltd....................... 967,000 52,294
Starlight International Holdings, Ltd................. 708,000 61,078
*Stelux Holdings International, Ltd................... 1,862,552 69,548
Sun Fook Kong Holdings, Ltd........................... 1,018,000 340,800
Sun Hung Kai & Co., Ltd............................... 1,488,000 176,266
*Swank International Manufacturing Co., Ltd........... 226,000 2,473
Tai Cheung Holdings, Ltd.............................. 1,377,000 290,775
Tai Sang Land Development, Ltd........................ 640,900 173,296
*Tak Sing Alliance Holdings, Ltd...................... 1,299,335 65,248
*Tak Wing Investment Holdings, Ltd.................... 370,000 27,155
Tan Chong International Limited....................... 2,943,000 647,985
Tern Properties Co., Ltd.............................. 168,000 31,474
*Tian An China Investments Co., Ltd................... 2,287,000 89,814
Tian Teck Land, Ltd................................... 800,000 135,970
*Top Form International, Ltd.......................... 494,000 8,778
*Tse Sui Luen Jewellry (International), Ltd........... 395,830 14,526
*Tung Fong Hung Holdings, Ltd......................... 694,200 34,413
Tungtex (Holdings) Co., Ltd........................... 558,000 76,877
*Tysan Holdings, Ltd.................................. 614,000 31,623
*UDL Holdings, Ltd.................................... 1,504,000 6,197
*USI Holdings, Ltd.................................... 671,999 128,924
*Wah Nam Group, Ltd................................... 630,000 4,218
*Winfoong International, Ltd.......................... 1,525,000 71,671
*Wing Fai International, Ltd.......................... 342,000 15,853
Wing On Co. International, Ltd........................ 588,000 272,558
Wing Shan International, Ltd.......................... 1,130,000 81,479
Winsor Industrial Corp., Ltd.......................... 394,500 62,986
*Winsor Properties Holdings, Ltd...................... 110,000 28,681
*Wo Kee Hong (Holdings), Ltd.......................... 2,722,400 38,559
*Wong's Kong King International (Holdings), Ltd....... 874,000 25,883
World Houseware (Holdings), Ltd....................... 618,266 25,076
*Yaohan International Holdings, Ltd................... 1,660,000 0
*Yau Lee Holdings, Ltd................................ 2,631,000 37,264
*Yoshiya International Corp., Ltd..................... 720,000 46,353
Yugang International, Ltd............................. 1,258,000 49,404
------------
TOTAL COMMON STOCKS
(Cost $33,393,539)................................... 23,691,078
------------
</TABLE>
82
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.1%)
*Grande Holdings, Ltd. Warrants 10/15/00.............. 89,600 $ 2,884
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 120,800 0
*Mansion Holdings, Ltd. Warrants 07/28/01............. 113,200 364
Process Automation (Holdings), Ltd. Warrants
03/28/01............................................ 4,000,000 177,688
------------
TOTAL RIGHTS/WARRANTS
(Cost $26,323)....................................... 180,936
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $38,391)...................................... 38,420
------------
TOTAL -- HONG KONG
(Cost $33,458,253)................................... 23,910,434
------------
</TABLE>
<TABLE>
AUSTRALIA -- (4.3%)
COMMON STOCKS -- (4.3%)
<CAPTION>
------ ------
<S> <C> <C>
A.P. Eagers, Ltd...................................... 21,493 52,602
*Adelaide Brighton, Ltd............................... 584,871 275,127
*Aerodata Holdings, Ltd............................... 52,987 3,031
*An Feng Kingstream Steel, Ltd........................ 81,521 10,364
*Anzoil NL............................................ 38,461 3,056
Ashton Mining, Ltd.................................... 448,960 219,755
Asia Pacific Specialty Chemicals, Ltd................. 94,300 44,359
Atkins Carlyle, Ltd................................... 48,820 117,929
*AuIron Energy, Ltd................................... 184,462 28,142
*AuIron Energy, Ltd. Issue 99......................... 92,231 14,071
*Aurora Gold, Ltd..................................... 230,029 56,297
Ausdrill, Ltd......................................... 143,070 39,107
Australian Hospital Care, Ltd......................... 237,300 102,576
Australian Oil & Gas Corp., Ltd....................... 74,040 82,365
*Australian Resources, Ltd............................ 352,493 51,537
Avatar Industries, Ltd................................ 253,698 45,962
BT Hotel Group BHT.................................... 344,036 196,828
*Beach Petroleum NL................................... 824,454 14,150
Boag (J.) & Son, Ltd.................................. 61,100 35,345
Bridgestone Australia, Ltd............................ 26,822 39,386
Bristile, Ltd......................................... 82,699 59,405
Caltex Australia, Ltd................................. 386,100 620,957
*Cambridge Gulf Exploration NL........................ 93,366 4,155
Capral Aluminium, Ltd................................. 435,676 553,904
*Centaur Mining & Exploration, Ltd.................... 620,579 92,706
Centennial Coal, Ltd.................................. 57,778 22,037
Central Equity, Ltd................................... 155,382 235,082
Centro Properties, Ltd................................ 182,735 314,798
*Climax Mining, Ltd................................... 139,697 12,876
Consolidated Paper Industries, Ltd.................... 57,537 90,341
*Consolidated Rutile, Ltd............................. 437,974 194,889
*Coplex Resources NL.................................. 351,512 20,111
Coventry Group, Ltd................................... 66,628 192,712
Crane (G.E) Holdings, Ltd............................. 55,072 274,816
*Crevet, Ltd.......................................... 46,997 13,743
*Croesus Mining NL.................................... 154,735 28,033
*Cudgen RZ, Ltd....................................... 47,724 19,719
*Cumnock Coal, Ltd.................................... 40,710 7,246
*Denehurst, Ltd....................................... 78,163 3,627
*Devex, Ltd........................................... 141,218 40,396
Devine, Ltd........................................... 81,701 27,526
Dome Resources NL..................................... 195,839 33,613
*Dominion Mining, Ltd................................. 116,119 27,312
ERG, Ltd.............................................. 296,242 1,544,192
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
#Email, Ltd........................................... 418,227 $ 638,064
*Emporer Mines, Ltd................................... 135,024 61,799
*Energy Equity Corp., Ltd............................. 393,461 55,026
Energy Resources of Australia, Ltd. Series A.......... 200,366 261,107
Finemore Holdings, Ltd................................ 48,477 40,677
Forest Place Group, Ltd............................... 70,986 27,075
Forrester Parker Group, Ltd........................... 169,862 122,016
GUD Holdings, Ltd..................................... 96,340 86,351
Gazal Corp., Ltd...................................... 89,069 107,577
*General Gold Resources NL............................ 169,056 8,060
George Weston Foods, Ltd.............................. 87,356 360,950
*Gold Mines of Australia, Ltd......................... 39,934 1,853
Goldfields, Ltd....................................... 482,474 312,835
Gowing Bros., Ltd..................................... 70,907 91,050
Grand Hotel Group..................................... 70,000 54,732
Green's Foods, Ltd.................................... 81,301 30,492
*HIH Insurance, Ltd................................... 101,695 104,080
Hancock and Gore, Ltd................................. 59,605 49,446
Harris Scarfe Holdings, Ltd........................... 56,000 65,857
*Healthscope, Ltd..................................... 127,219 25,474
Henry Walker Group, Ltd............................... 125,880 121,630
*Holyman, Ltd......................................... 92,339 62,220
Homestake Mining Co................................... 68,662 545,591
*Hudson Conway, Ltd................................... 89,183 380,404
Hudson Timber & Hardware, Ltd......................... 74,375 27,895
Iama, Ltd............................................. 174,262 262,538
*Intag International, Ltd............................. 93,568 1,784
Ipoh, Ltd............................................. 208,463 249,131
Ipswich and West Moreton Building Society, Ltd........ 34,551 57,105
#Jones (David), Ltd................................... 561,900 525,070
Jupiters, Ltd......................................... 596,821 1,250,088
*Kidston Gold Mines, Ltd.............................. 198,750 45,483
*Lachlan Resources NL................................. 217,903 6,926
*MRI Holdings, Ltd.................................... 87,075 14,945
MacMahon Holdings, Ltd................................ 305,720 51,500
Magellan Petroleum Australia, Ltd..................... 29,537 33,422
Maxi-Cube, Ltd........................................ 137,613 18,370
McPherson's, Ltd...................................... 32,730 22,470
Metalcorp, Ltd........................................ 114,399 138,171
Mirvac, Ltd........................................... 201,768 406,330
*New Hampton Goldfields NL............................ 145,700 23,155
*Newcrest Mining, Ltd................................. 474,531 1,511,274
Normandy Mt. Leyshon, Ltd............................. 123,978 161,562
*Novus Petroleum, Ltd................................. 184,239 178,019
*Orbital Engine Corp., Ltd............................ 165,000 94,399
PMP Communications, Ltd............................... 724,135 1,036,642
Pacific Hydro, Ltd.................................... 85,391 65,681
Parbury, Ltd.......................................... 179,796 45,717
*Payce Consolidated, Ltd.............................. 74,466 35,029
*Peptide Technology, Ltd.............................. 153,432 48,767
*Perilya Mines NL..................................... 167,228 28,171
Permanent Trustee Co., Ltd............................ 18,736 137,086
*Petroz NL............................................ 181,023 39,700
*Petsec Energy, Ltd................................... 153,726 21,499
Pirelli Cables Australia, Ltd......................... 168,560 70,720
Portman Mining, Ltd................................... 222,395 88,499
Prime Television, Ltd................................. 149,969 156,346
Publishing and Broadcasting, Ltd...................... 130,837 859,987
QCT Resources, Ltd.................................... 984,333 576,918
Reinsurance Australia Corp., Ltd...................... 287,432 127,901
Resolute, Ltd......................................... 445,413 131,661
</TABLE>
83
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ridley Corp., Ltd..................................... 337,565 $ 149,995
Schaffer Corp., Ltd................................... 14,106 24,749
Scott Corp., Ltd...................................... 42,741 40,755
Sea World Property Trust.............................. 61,000 30,246
*Solution 6 Holdings, Ltd............................. 6,950 49,040
Southern Cross Broadcasting (Australia), Ltd.......... 47,717 244,180
Spicers Paper, Ltd.................................... 245,591 296,624
*St. Barbara Mines, Ltd............................... 329,338 25,123
*Star Mining Corp. NL................................. 302,691 1,539
Tassal, Ltd........................................... 42,438 28,326
*Techniche, Ltd....................................... 34,687 104,737
Thakral Holdings Group................................ 860,604 393,892
*Thakral Holdings Group Issue 99...................... 38,891 17,553
Ticor, Ltd............................................ 482,210 352,513
*Titan Resources NL................................... 125,121 10,340
Tourism Assets Holdings, Ltd.......................... 381,768 160,171
*Union Gold Mining Co. NL............................. 118,986 62,023
Village Roadshow, Ltd................................. 337,512 674,548
Visions Systems, Ltd.................................. 18,982 78,433
Walker Corp., Ltd..................................... 526,496 267,748
Wattyl, Ltd........................................... 82,417 229,997
Western Metals, Ltd................................... 293,365 100,703
Westralian Sands, Ltd................................. 389,396 926,019
White (Joe) Maltings, Ltd............................. 38,847 80,257
Wide Bay Capricorn Building Society, Ltd.............. 28,497 64,309
Yates (Arthur) and Co. Property, Ltd.................. 353,792 179,920
------------
TOTAL COMMON STOCKS
(Cost $26,564,396)................................... 22,624,252
------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $34,337)...................................... 18,246 34,332
------------
OPTIONS -- (0.0%)
*Eagers (A.P.), Ltd. Options 01/31/03................. 4,174 929
TOTAL OPTIONS.......................................... 929
------------
RIGHTS/WARRANTS -- (0.0%)
*Bristile, Ltd. Rights 12/07/99....................... 33,079 105
*Green's Foods, Ltd. Rights 12/20/99.................. 20,325 904
*Pacific Hydro, Ltd. Rights 12/17/99.................. 84,291 12,324
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 13,333
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $10).......................................... 10
------------
TOTAL -- AUSTRALIA
(Cost $26,598,743)................................... 22,672,856
------------
</TABLE>
<TABLE>
SWEDEN -- (3.0%)
COMMON STOCKS -- (2.9%)
<CAPTION>
------ ------
<S> <C> <C>
Alma Industri & Handel AB Series B.................... 8,000 141,630
*Althin Medical AB Series B........................... 23,800 159,580
Anders Dioes AB....................................... 10,300 58,279
Angpannefoereningen AB Series B....................... 7,650 88,639
*Argonaut AB Series A................................. 62,600 58,174
*Argonaut AB Series B................................. 571,480 531,075
*Avesta Sheffield AB.................................. 214,800 1,041,021
B & N Bylock & Nordsjoefrakt AB Series B.............. 99,200 141,197
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Beijer AB Series B.................................... 8,000 $ 90,342
Berg (C.F.) & Co. AB Series B......................... 19,200 49,688
Bong Ljungdahl AB..................................... 15,200 175,226
Boras Waefveri AB Series B............................ 15,900 86,037
#Capona AB............................................ 74,742 307,724
Castellum AB.......................................... 41,100 391,611
Catena AB Series A.................................... 3,300 26,397
Celsius Industrier AB Series B........................ 42,900 878,081
*Cloetta AB Series B.................................. 3,200 51,947
Concordia Maritime AB Series B........................ 136,100 144,088
Diligentia AB......................................... 108,370 822,236
*Elekta AB............................................ 5,600 17,523
Esselte AB Series A................................... 15,700 107,116
Esselte AB Series B................................... 12,400 86,060
*Evidentia Fastigheter AB Series A.................... 40,410 356,515
*Evidentia Fastigheter AB Series B.................... 3,900 34,637
FFNS Gruppen AB Series B.............................. 47,050 498,116
*Fagerlid Industrier AB............................... 51,750 114,445
Fastighets AB Tornet.................................. 24,250 322,343
*Fastighits AB Celtica................................ 11,000 59,522
*Firefly AB........................................... 5,800 3,070
Geveko AB Series B.................................... 19,900 290,270
Gorthon Lines AB Series B............................. 69,300 181,788
#Gunnebo AB........................................... 12,100 96,788
ICB Shipping AB Series B.............................. 135,200 1,017,852
*Intelligent Micro Systems Data AB.................... 7,500 93,959
Jacobson and Widmark AB............................... 31,000 364,661
*Kjessler & Mannerstrale AB........................... 20,200 114,057
*Kjessler & Mannerstrale AB New Shares................ 20,200 54,652
*Klippans Finpappersbruk AB........................... 30,800 94,200
Ljungberg Gruppen AB Series B......................... 2,100 22,233
Matteus AB............................................ 64,080 216,338
*Meda AB Series A..................................... 12,700 92,624
*Meto AG.............................................. 8,200 61,251
Monark Stiga AB....................................... 22,300 119,094
Munksjo AB............................................ 14,300 111,022
*NH Nordiska Holding AB............................... 86,500 142,453
Naerkes Elektriska AB Series B........................ 26,100 211,845
Norrporten Fastighets AB.............................. 5,500 71,168
PEAB AB Series B...................................... 48,800 101,032
Pandox Hotelfastigheter AB............................ 4,900 38,042
*Perbio Science AB.................................... 3,800 15,422
Perstorp AB Series B.................................. 7,600 64,369
Piren AB.............................................. 97,647 614,526
Platzer Bygg AB Series B.............................. 236,100 251,346
Rottneros Bruk AB..................................... 1,191,000 1,372,985
Salus Ansvar AB Series B.............................. 11,800 21,793
*Scandiaconsult AB.................................... 31,700 384,082
Scribona AB Series A.................................. 15,700 47,094
Scribona AB Series B.................................. 12,400 39,092
Spendrups Bryggeri AB Series B........................ 47,200 180,448
*Stena Line AB Series B............................... 303,500 285,612
Sweco AB Series B..................................... 47,050 243,523
Wallenstam Byggnads AB Series B....................... 79,600 397,951
Westergyllen AB Series B.............................. 6,800 86,389
Wihlborg & Son AB Series B............................ 560,350 639,380
------------
TOTAL COMMON STOCKS
(Cost $16,711,091)................................... 14,981,660
------------
</TABLE>
84
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
BONDS -- (0.1%)
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Wihlborgs Fastigheter AB 5.83% Notes 12/02/02
(Cost $452,917)..................................... 57 $ 625,754
------------
</TABLE>
<TABLE>
RIGHTS/WARRANTS -- (0.0%)
<CAPTION>
SHARES
------
------- ------
(000)
<S> <C> <C>
*Elekta AB Series B Rights 12/21/99................... 5,600 8,959
*Wallenstam Byggnads AB Redemption Rights 12/16/99.... 79,600 23,128
*Wihlborgs Fastigheter AB Warrants 12/20/02........... 169,740 10,183
------------
TOTAL RIGHTS/WARRANTS
(Cost $85,873)....................................... 42,270
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $27,364)...................................... 27,099
------------
TOTAL -- SWEDEN
(Cost $17,277,245)................................... 15,676,783
------------
ITALY -- (2.9%)
COMMON STOCKS -- (2.9%)
*Ansaldo Trasporti SpA................................ 497,000 589,498
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 172,500 526,275
*Bastogi SpA.......................................... 450,000 45,310
*Brioschi Finanziaria SpA, Milano..................... 100,000 20,138
CEMENTIR (Cementarie del Tirreno SpA), Roma........... 1,680,000 2,046,800
CMI SpA............................................... 22,000 34,999
Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica...................................... 165,000 150,852
Caltagirone SpA....................................... 1,145,000 1,446,872
Cementeria di Augusta SpA............................. 142,500 279,789
#Cia Assicuratrice Unipol SpA......................... 331,598 1,252,056
*Dalmine SpA.......................................... 770,000 160,488
Danieli & C.Officine Meccaniche SpA................... 24,000 135,326
*#FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)........ 527,000 1,236,367
*Fabbrica Italiana Magneti Marelli SpA................ 190,000 640,884
Finarte Casa d'Aste SpA (Milano)...................... 135,000 490,706
*Finarte Partecipazioni Pro Arte SpA.................. 277,050 251,062
*Fincasa 44 SpA....................................... 175,000 52,862
Gabetti Holding SpA................................... 175,000 281,928
Giovanni Crespi SpA................................... 40,000 60,413
*Grassetto SpA........................................ 110,000 0
Impregilo SpA......................................... 655,000 415,492
Ipi SpA............................................... 223,750 765,989
Italmobiliare SpA, Milano............................. 15,030 346,557
Linificio and Canapificio Nazionale SpA............... 46,250 64,032
Maffei SpA............................................ 90,500 107,617
Marangoni SpA, Rovereto............................... 68,000 199,243
Montefibre SpA, Milano................................ 262,464 158,034
*Necchi SpA........................................... 62,500 16,928
*Premafin Finanziaria SpA............................. 1,092,000 566,253
*Premaimm SpA......................................... 523,000 180,098
*Ratti SpA............................................ 20,000 44,102
Riva Finanziaria SpA.................................. 86,000 294,414
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
SAES Getters SpA...................................... 9,000 $ 119,618
SISA (Societa Imballaggi Speciali Asti SpA)........... 175,000 119,819
SMI STA Metallurgica Italiana SpA..................... 490,000 288,624
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 640,000 454,307
Saiag SpA (Industrie Articoli Gomma).................. 10,000 51,049
Vianini Industria SpA................................. 315,000 241,049
Vianini Lavori SpA.................................... 448,250 690,546
Zucchi (Vincenzo) SpA................................. 74,000 454,509
------------
TOTAL -- ITALY
(Cost $11,756,093)................................... 15,280,905
------------
</TABLE>
<TABLE>
NETHERLANDS -- (2.7%)
COMMON STOCKS -- (2.7%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
ACF Holding NV (Certificate).......................... 53,200 776,713
Bam Groep NV.......................................... 18,217 878,604
#Begemann Groep NV.................................... 46,384 364,287
*Begemann Groep NV Series B........................... 44,600 89,814
Econosto NV........................................... 23,124 201,400
Gamma Holding NV...................................... 55,716 2,229,964
Gemeenschappeljk Bezit Crown van Gelder NV............ 40,320 499,351
Geveke NV............................................. 1,030 40,447
Hollandsche Beton Groep NV............................ 33,163 298,853
Kas-Associatie NV..................................... 86,050 866,426
Koninklijke Ten Cate NV............................... 39,230 1,406,206
Koninklijke Ubbink NV................................. 900 33,982
MacIntosh NV.......................................... 63,909 1,608,729
Nagron Nationaal Grondbezit NV........................ 2,218 46,229
Nedlloyd Groep NV, Rotterdam.......................... 35,875 951,817
Norit NV.............................................. 78,571 585,430
Polynorm NV........................................... 13,226 783,045
Roto Smeets de Boer NV................................ 20,100 548,461
*Sphinx NV............................................ 36,562 460,172
Stork NV.............................................. 27,615 385,102
*Textielgroep Twenthe NV.............................. 1,200 85,787
*Tulip Computers NV................................... 38,643 161,473
*Van Dorp Groep NV.................................... 11,632 132,347
Vredestein NV......................................... 64,470 697,826
------------
TOTAL -- NETHERLANDS
(Cost $17,188,701)................................... 14,132,465
------------
</TABLE>
<TABLE>
SPAIN -- (2.4%)
COMMON STOCKS -- (2.4%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*BAMI SA (Inmobiliara de Construcciones y Terrenos)... 43,440 137,341
Banco de Valencia SA.................................. 3,700 30,922
Banco Guipuzcoano SA.................................. 84,686 1,048,812
Banco Pastor SA, La Coruna............................ 21,384 816,897
Banco Zaragozano SA................................... 155,400 1,416,056
Bodegas y Bebedas SA.................................. 23,836 216,241
CAF (Construcciones y Auxiliar de Ferrocarriles SA)... 3,770 84,232
Cristaleria Espanola SA, Madrid....................... 14,400 601,716
Elecnor SA............................................ 5,770 223,675
#Empresa Nacional de Celulosa SA...................... 54,900 1,039,228
Energia e Industrias Aragonesas SA.................... 41,200 200,781
*Ercros SA............................................ 102,700 62,044
*Espanola del Zinc SA................................. 4,200 19,453
*#Europistas Concesionaria Espanola SA................ 158,900 903,968
</TABLE>
85
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Europistas Concesionaria Espanola SA Em 99........... 73,338 $ 400,968
Fabricacion de Automoviles Renault de Espana SA....... 12,690 503,429
*Filo SA.............................................. 135,044 175,407
Global Steel Wire SA.................................. 12,900 25,198
*Grupo Fosforera SA................................... 12,060 0
Inbesos SA............................................ 16,000 53,164
*Inmobiliaria Urbis SA................................ 288,600 1,476,185
*LSB (La Seda de Barcelona SA) Series B............... 25,100 103,366
*Nueva Montana Quijano SA Series B.................... 122,740 74,151
Omsa Alimentacion SA.................................. 38,675 266,359
Papelera de Navarra SA................................ 7,851 146,244
Pescanova SA.......................................... 24,900 265,758
Reno de Medici SpA.................................... 303,261 714,518
Tableros de Fibras SA Series B........................ 22,732 274,663
Tavex Algodonera SA................................... 53,400 125,279
Transportes Ferroviarios Especiales Tranfesa.......... 25,580 324,785
Unipapel SA........................................... 34,058 288,058
Uralita SA............................................ 88,000 602,521
VT Holding A.S........................................ 12,539 122,466
------------
TOTAL -- SPAIN
(Cost $10,138,693)................................... 12,743,885
------------
NORWAY -- (2.0%)
COMMON STOCKS -- (2.0%)
*Askia Invest ASA..................................... 93,000 20,188
Awilco ASA Series A................................... 45,200 72,889
Bonheur ASA........................................... 9,555 213,347
*Braathens S.A.F.E. ASA............................... 86,300 363,976
*Broevig Offshore ASA................................. 6,600 39,298
*C. Tybring-Gjedde ASA................................ 38,000 80,134
*Choice Hotel Scandinavia ASA......................... 13,000 30,639
Dyno Industrier ASA................................... 68,522 1,670,225
Elkem ASA............................................. 132,052 2,391,555
Farstad Shipping ASA.................................. 38,000 106,059
*Fesil ASA............................................ 19,257 69,274
Ganger Rolf ASA....................................... 6,550 142,188
*Gresvig ASA.......................................... 13,300 135,284
Hafslund ASA.......................................... 45,500 248,340
Hydralift AS.......................................... 15,000 65,124
*Kenor ASA............................................ 24,000 9,229
*Kvaerner ASA......................................... 33,600 633,527
Kverneland ASA........................................ 21,732 390,886
Leif Hoegh & Co. ASA.................................. 80,400 837,757
Moelven Industrier ASA................................ 179,016 172,098
*#Nera ASA............................................ 157,700 492,963
*Nomadic Shipping ASA................................. 33,021 25,806
Nordlandsbanken ASA................................... 16,808 464,947
*Ocean Rig ASA........................................ 305,100 41,631
Odfjell ASA Series A.................................. 52,474 611,864
*Raufoss Ammunisjonfabrikker ASA...................... 3,100 20,381
Sagatex AS............................................ 18,200 68,858
Sas Norge ASA Series B................................ 19,700 210,159
Scana Industrier ASA.................................. 6,700 13,464
*Sensonor ASA......................................... 57,632 78,639
Smedvig ASA........................................... 30,600 332,133
Ugland Nordic Shipping ASA............................ 4,900 36,470
Veidekke ASA.......................................... 3,000 46,331
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Waterfront Shipping ASA.............................. 240 $ 3,840
Wilhelmsen (Wilhelm), Ltd. ASA........................ 3,850 100,291
------------
TOTAL COMMON STOCKS
(Cost $11,546,111)................................... 10,239,794
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $1,457)....................................... 1,428
------------
TOTAL -- NORWAY
(Cost $11,547,568)................................... 10,241,222
------------
</TABLE>
<TABLE>
DENMARK -- (1.9%)
COMMON STOCKS -- (1.9%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Aalborg Portland Holding A.S. Series A................ 22,780 431,683
*Aalborg Portland Holding A.S. Series B............... 5,950 111,762
Aarhus Oliefabrik A.S. Aeries A....................... 6,770 160,365
*Albani Bryggerierne Series B......................... 1,140 72,525
Alm Brand A.S. Series B............................... 28,044 451,721
Amagerbanken A.S...................................... 3,842 163,814
Ambu International A.S. Series B...................... 608 36,952
Amtssparekassen Fyn A.S............................... 4,181 207,131
Andersen & Martini Series B........................... 500 16,243
Bording (F.E.) A.S. Series B.......................... 475 20,574
*Brodrene Hartmann A.S. Series B...................... 6,560 133,192
Chemitalic A.S........................................ 2,230 21,129
Cubic Modulsystem A.S. Series B....................... 400 27,072
*DFDS A.S., Copenhagen................................ 4,300 199,057
*Dalhoff, Larsen & Hornemann A.S. Series B............ 1,813 48,344
Dampskibsselsk et Torm A.S............................ 3,657 126,226
Dampskibsselskabet Norden A.S......................... 937 69,757
*Dansk Data Elektronik A.S............................ 1,190 37,853
Denka Holding A.S..................................... 400 44,127
*Dfds New Shares...................................... 2,580 119,434
Djursland Bank........................................ 473 32,012
*East Asiatic Co., Ltd................................ 46,252 444,500
Egnsbank Fyn Aktieselskab............................. 300 40,607
Egnsbank Han Herred................................... 2,545 64,763
Egnsbank Nord A.S..................................... 708 59,129
Ejendamsselskabet Norden A.S.......................... 5,934 222,088
*Foras Holding A.S. Series A.......................... 12,362 86,091
Forsikringsselskabet Codan A.S........................ 9,847 799,721
*Forsikringsselskabet Codan A.S. Issue 99............. 728 57,296
Forstaedernes Bank.................................... 4,715 82,533
Fredgaard Radio A.S................................... 2,177 147,337
Haandvaerkerbanken I Naestved......................... 622 42,096
*Harboes Bryggeri A.S................................. 460 32,378
Hedegaard (Peder P.) A.S.............................. 1,406 58,616
Henriksen Og Henriksen Holding A.S. Series B.......... 500 36,208
Hoejgaard Holding A.S. Series A....................... 10,380 177,032
Hoffman & Sonner A.S. Series B........................ 1,261 36,868
Hojgaard Holdings A.S. Series B....................... 7,075 121,268
*Junckers (F.) Industrier A.S......................... 3,475 56,444
Kompan A.S............................................ 310 18,463
#Korn-Og Foderstof Kompagnet A.S...................... 26,230 621,326
Lan & Spar Bank A.S................................... 5,706 162,966
*#Lauritzen (J.) Holding Series B..................... 5,218 522,660
Lokalbanken I Nordsjaelland A.S....................... 690 49,500
Midtbank A.S.......................................... 5,700 175,911
</TABLE>
86
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Migatronic Series B................................... 1,294 $ 21,894
Moens Bank A.S........................................ 424 17,217
Morso Bank............................................ 240 18,030
Naestved Diskontobanken............................... 651 53,752
Nordvestbank.......................................... 1,060 95,844
Norresundby Bank...................................... 439 50,509
*Ntr Holdings A.S..................................... 1,650 26,801
Obtec A.S............................................. 510 31,755
Ove Arkil Series B.................................... 680 41,419
Per Aarsleff A.S. Series B............................ 1,050 42,638
*Rederiet Knud I. Larsen A.S.......................... 3,619 245
Ringkjoebing Bank..................................... 688 64,257
Ringkjoebing Landbobank............................... 513 125,684
Salling Bank.......................................... 500 20,980
Sanistal A.S. Series B................................ 920 29,264
*Scanbox Danmark A.S. Series B........................ 3,400 35,897
Skaelskor Bank........................................ 540 28,506
Skjern Bank A.S....................................... 306 18,846
Spaencom A.S.......................................... 300 17,055
Spar Nord Holding..................................... 11,919 451,732
Sparbank Vest A.S..................................... 2,374 154,243
Sparekassen Faaborg A.S............................... 1,634 139,340
Sydbank A.S........................................... 15,770 648,916
*Thrigetitan A.S. Series A............................ 100 5,414
*Topdanmark A.S....................................... 24,600 542,757
Torsana A.S. Series B................................. 200 11,289
Totalbanken A.S....................................... 600 30,862
Vestfyns Bank......................................... 500 20,304
Vestjysk Bank......................................... 1,576 78,930
Vt Holdings Shares A.................................. 420 17,624
Vt Holdings Shares B.................................. 3,780 147,867
Wessel & Vett Magasin du Nord A.S. Series C........... 6,498 408,993
------------
TOTAL COMMON STOCKS
(Cost $13,042,040)................................... 10,045,638
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $4)........................................... 4
------------
TOTAL -- DENMARK
(Cost $13,042,044)................................... 10,045,642
------------
</TABLE>
<TABLE>
FINLAND -- (1.6%)
COMMON STOCKS -- (1.6%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Amer Group P.L.C...................................... 80,600 1,570,351
Bank of Aland, Ltd.................................... 5,700 91,828
*Benefon Oy........................................... 19,000 133,916
*Efore Oy............................................. 4,700 23,662
Finnair Oyj........................................... 153,300 671,448
Finvest Oyj........................................... 120,395 206,081
*Hk Ruokatalo Oy Series A............................. 16,100 36,961
Honkarakenne Oy Series B.............................. 15,900 92,855
Ilkka-Yhtyma Oyj...................................... 2,400 45,068
Interavanti Oy........................................ 45,000 48,029
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B.... 11,601 60,741
Kemira Oyj............................................ 89,800 522,619
Kesko Oyj............................................. 55,800 596,677
#Kone Corp............................................ 27,000 1,114,624
Laennen Tehtaat Oy.................................... 12,500 131,399
Lemminkainen Oy....................................... 23,600 237,625
Leo Longlife Oy....................................... 7,800 56,547
*Metsaemarkka Oyj Series B............................ 1,300 8,377
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Okobank Class A....................................... 61,140 $ 615,611
*Olvi Oyj Series A.................................... 7,500 149,523
Partek Oyj............................................ 88,300 986,880
*Polar Real Estate Corp. Series K..................... 302,400 97,434
Raute Oy Series A..................................... 11,200 92,585
Santasalo-Jot Oy...................................... 17,300 84,483
*Silja Oy AB Series A................................. 82,700 166,539
Tamfelt Oyj........................................... 700 16,035
Tulikivi Oy........................................... 5,900 75,743
Turkistuottajat Oy.................................... 500 3,927
Yit-Yhtymae Oyj....................................... 53,100 529,310
------------
TOTAL -- FINLAND
(Cost $9,626,046).................................... 8,466,878
------------
</TABLE>
<TABLE>
NEW ZEALAND -- (1.3%)
COMMON STOCKS -- (1.3%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*AFFCO Holdings, Ltd.................................. 732,400 126,923
CDL Hotels NZ, Ltd.................................... 723,600 106,957
CDL Investments NZ, Ltd............................... 480,354 58,761
Cavalier Corp., Ltd................................... 53,900 87,913
Ceramco Corp., Ltd.................................... 111,100 93,436
Colonial Motor Co., Ltd............................... 86,200 109,840
DB Group, Ltd......................................... 361,000 430,564
Donaghys, Ltd......................................... 80,971 60,255
*Evergreen Forests, Ltd............................... 470,500 124,703
Independent Newspapers, Ltd. (Auckland)............... 461,847 1,906,768
*New Zealand Oil & Gas, Ltd........................... 273,900 60,031
Northland Port Corp. (New Zealand), Ltd............... 111,426 75,536
*Otter Gold Mines, Ltd................................ 185,306 88,783
PDL Holdings, Ltd..................................... 48,600 138,720
*Richina Pacific, Ltd................................. 204,626 55,278
Sanford, Ltd.......................................... 214,000 605,371
Shortland Properties, Ltd............................. 762,100 248,603
South Port New Zealand, Ltd........................... 91,400 40,996
St. Lukes Group, Ltd.................................. 633,673 503,854
Steel & Tube Holdings, Ltd............................ 250,000 198,783
Tasman Agriculture, Ltd............................... 476,200 182,039
Taylors Group, Ltd.................................... 42,000 25,261
Tourism Holdings, Ltd................................. 192,285 303,824
*Trans Tasman Properties, Ltd......................... 1,297,240 185,137
Tranz Rail Holdings, Ltd.............................. 432,300 782,219
Williams & Kettle, Ltd................................ 21,022 22,287
*Wrightson, Ltd....................................... 480,700 100,455
------------
TOTAL COMMON STOCKS
(Cost $6,346,327).................................... 6,723,297
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $14,965)...................................... 14,892
------------
TOTAL -- NEW ZEALAND
(Cost $6,361,292).................................... 6,738,189
------------
</TABLE>
<TABLE>
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Banque Belgo-Zairoise Belgolaise SA................... 83 16,798
Belge des Betons...................................... 626 252,125
CFE (Compagnie Francois d'Entreprises)................ 2,996 530,023
#CMB (Cie Martime Belge).............................. 25,800 1,240,435
Cofinimmo SA.......................................... 6,105 630,072
Engrais Rosier SA..................................... 200 17,540
</TABLE>
87
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Floridienne NV........................................ 1,900 $ 108,663
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA)..................................... 1,800 449
Ibel (Nouvelle)....................................... 6,969 421,020
Immobel (Cie Immobiliere de Belgique SA).............. 17,260 981,906
*Ipso-Ilg SA.......................................... 3,600 168,915
La Promotion Internationale Prominter................. 312 25,242
*Papeteries de Catala SA.............................. 450 74,308
Plantations Nord-Sumatra SA........................... 421 44,552
Quick Restaurants SA.................................. 10,952 371,624
*Recticel SA.......................................... 58,686 564,311
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 275 27,689
Sapec SA.............................................. 6,401 248,136
*Spector Photo Group SA............................... 11,701 441,810
*Ter Beke NV.......................................... 1,600 90,217
Uco Textiles NV....................................... 2,200 240,565
------------
TOTAL -- BELGIUM
(Cost $7,437,186).................................... 6,496,400
------------
</TABLE>
<TABLE>
AUSTRIA -- (1.0%)
COMMON STOCKS -- (1.0%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*ATB Austria Antriebstechnik AG....................... 4,110 24,002
Allgemeine Sparkasse Baugesellschaft.................. 120 10,270
*Austria Mikro Systeme International AG............... 7,169 228,534
BBAG Oesterreichische Brau-Beteiligungs............... 17,055 729,830
Bau Holding AG........................................ 15,853 511,588
Bohler Uddeholm AG.................................... 26,290 1,101,196
Brau Union Goess-Reinighaus AG........................ 23,900 1,046,810
Flughafen Wien AG..................................... 37,104 1,288,904
Frauenthal Keramik AG................................. 1,308 26,999
*General Partners Inmobilienbesitz AG................. 5,900 17,762
Linz Textil Holding AG................................ 100 30,207
Rosenbauer International AG........................... 1,462 45,634
*Vogel and Noot Waermetechnik AG...................... 8,125 110,443
------------
TOTAL -- AUSTRIA
(Cost $6,013,996).................................... 5,172,179
------------
</TABLE>
<TABLE>
IRELAND -- (0.9%)
COMMON STOCKS -- (0.9%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Abbey P.L.C........................................... 82,403 282,100
*Arcon International Resources P.L.C.................. 441,600 102,268
Ardagh P.L.C.......................................... 73,853 107,824
Arnotts P.L.C......................................... 38,564 260,158
Barlo Group P.L.C..................................... 362,398 328,405
*Crean (James), Ltd................................... 69,119 27,838
*Dragon Oil P.L.C..................................... 105,000 30,660
*Dunloe Ewart P.L.C................................... 459,449 189,671
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Golden Vale P.L.C..................................... 338,225 $ 340,554
Green Proper Co....................................... 236,779 1,370,856
Greencore Group P.L.C................................. 143,779 390,877
IFG Group P.L.C....................................... 83,471 84,046
Irish Continental Group P.L.C......................... 19,681 196,184
Jurys Hotel Group P.L.C............................... 83,726 640,700
*Oakhill Group P.L.C.................................. 69,119 26,446
Readymix P.L.C........................................ 80,250 113,124
Ryan Hotels P.L.C..................................... 160,078 128,944
Silvermines Group P.L.C............................... 195,374 92,458
------------
TOTAL -- IRELAND
(Cost $5,093,835).................................... 4,713,113
------------
</TABLE>
<TABLE>
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Aokam Perdana Berhad................................. 10,333 50,169
*Idris Hydraulic (Malaysia) Berhad.................... 87,000 15,225
*MBF Holdings Berhad.................................. 1,521,000 82,054
*Promet Berhad........................................ 201,000 15,340
*Rekapacific Berhad................................... 130,000 15,737
*Silverstone Berhad................................... 66,920 0
*Taiping Consolidated Berhad.......................... 332,000 18,347
*Westmont Industries Berhad........................... 361,000 84,550
*Wing Tiek Holdings Berhad............................ 86,000 20,142
------------
TOTAL -- MALAYSIA
(Cost $1,663,182).................................... 301,564
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $58,485)...................................... 57,670
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (1.0%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $5,448,181) to be
repurchased at $5,361,789.
(Cost $5,361,000)................................... $ 5,361 5,361,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $608,811,505)++................................ $522,568,731
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $610,245,895.
@ Denominated in local currency.
</TABLE>
See accompanying Notes to Financial Statements.
88
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $330,718,190
------------
Total Investments (100%) (Cost $278,712,103)++.......... $330,718,190
============
</TABLE>
- --------------
++The cost for federal income tax purposes is $284,226,845.
THE EMERGING MARKETS SMALL CAP PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The Emerging Markets Small Cap Series of The
DFA Investment Trust Company.............................. $11,697,503
-----------
(100%) (Cost $11,376,993)++............................. $11,697,503
===========
</TABLE>
- --------------
++The cost for federal income tax purposes is $11,446,533.
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The
DFA Investment Trust Company.............................. 71,473,617 $712,591,961
------------
Total Investments (100%) (Cost $708,846,889)++.......... $712,591,961
============
</TABLE>
- --------------
++The cost for federal income tax purposes is $713,317,466.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company.......................... 52,572,808 $531,511,089
------------
Total Investments (100%) (Cost $529,180,193)++.......... $531,511,089
============
</TABLE>
- --------------
++The cost for federal income tax purposes is $531,497,838 .
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
89
<PAGE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (93.2%)
Federal Farm Credit Bank
5.570%, 03/23/01................................... $ 5,950 $ 5,905,375
5.125%, 04/02/01................................... 8,000 7,890,644
5.875%, 07/02/01................................... 10,000 9,937,500
5.250%, 05/01/02................................... 50,000 48,771,825
Federal Home Loan Bank
5.625%, 02/15/01................................... 4,000 3,974,742
5.375%, 03/02/01................................... 30,000 29,713,587
5.625%, 03/19/01................................... 27,000 26,812,766
5.125%, 04/17/01................................... 28,000 27,606,275
5.875%, 08/15/01................................... 13,000 12,918,786
5.875%, 09/17/01................................... 27,750 27,563,626
------------
TOTAL AGENCY OBLIGATIONS
(Cost $202,981,906).................................. 201,095,126
------------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (6.0%)
U.S. Treasury Notes
4.625%, 12/31/00
(Cost $12,881,190)............................... 13,000 12,826,841
------------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $1,794,488) to be
repurchased at $1,763,260.
(Cost $1,763,000)................................ 1,763 1,763,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $217,626,096)++................................ $215,684,967
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
90
<PAGE>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
JAPAN -- (22.1%)
BONDS -- (22.1%)
Asian Development Bank
5.000%, 02/05/03................................... 1,600,000 $ 17,776,381
Credit Local de France SA
6.000%, 10/31/01................................... 400,000 4,337,622
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 868,000 8,954,791
Eksportfinans ASA
2.650%, 07/10/02................................... 360,000 3,718,901
European Investment Bank
4.625%, 02/26/03................................... 1,500,000 16,552,327
Export-Import Bank Japan
4.625%, 07/23/03................................... 9,850 9,848,413
Inter-American Development Bank
2.250%, 02/05/02................................... 1,358,000 13,797,281
Nordic Investment Bank
2.600%, 06/28/02................................... 60,000 619,171
Tokyo Electric Power Co., Inc.
4.750%, 02/25/03................................... 15,000 7,673,548
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03................................... 1,580,000 17,462,949
------------
TOTAL -- JAPAN
(Cost $89,132,292)................................... 100,741,384
------------
UNITED STATES -- (20.7%)
BONDS -- (17.7%)
Amoco Canada Eurobond
7.250%, 09/17/02................................... 4,800 4,851,360
Credit Locale de France Holding SA Eurobond
7.125%, 02/18/02................................... 4,900 4,924,500
France Telecom SA Eurobond
6.875%, 10/01/01................................... 9,232 9,254,157
General Electric Capital Corp. Medium Term Notes
5.440%, 01/14/02................................... 5,000 4,881,250
5.510%, 03/01/02................................... 6,700 6,618,260
Glaxo K.K. Eurobond
7.000%, 05/02/02................................... 11,385 11,433,955
Helaba International Finance Eurobond
6.875%, 04/29/02................................... 10,820 10,842,722
KFW International Finance, Inc.
6.250%, 10/15/03................................... 4,600 4,857,244
LB Baden-Wuertemberg Medium Term Notes
7.875%, 10/15/01................................... 10,000 10,220,000
Wal-Mart Stores, Inc. Medium Term Notes
6.150%, 08/10/01................................... 12,700 12,652,375
------------
TOTAL BONDS
(Cost $82,123,818)................................... 80,535,823
------------
COMMERCIAL PAPER -- (3.0%)
Corporate Asset Funding Co. C.P.
5.920%, 01/28/00................................... 9,000 8,914,590
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Sheffield Receivables Corp. C.P.
6.020%, 01/26/00................................... 5,000 $ 4,954,422
------------
TOTAL COMMERCIAL PAPER
(Cost $13,867,338)................................... 13,869,012
------------
TOTAL -- UNITED STATES
(Cost $95,991,156)................................... 94,404,835
------------
FRANCE -- (14.7%)
BONDS -- (14.7%)
Belgium (Kingdom of)
6.875%, 05/30/02................................... 35,000 5,672,247
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 7,500 7,747,748
Caisse Nationale d'Autoroutes
5.500%, 02/14/02................................... 74,200 11,615,137
Credit Local de France SA Euro Eurobond
6.000%, 07/01/02................................... 20,000 3,175,893
Departemente des Hautes de Seine
7.000%, 07/21/03................................... 26,610 4,367,670
Electricite de France
3.750%, 10/28/03................................... 12,150 11,805,500
French Government Note
4.500%, 07/12/02................................... 7,000 7,086,270
French Government Note
4.500%, 07/12/03................................... 5,000 5,034,436
KFW International Finance, Inc.
8.750%, 06/26/02................................... 33,800 5,713,317
Toyota Motor Credit Corp. Euro Eurobond
6.250%, 04/11/02................................... 30,000 4,766,142
------------
TOTAL -- FRANCE
(Cost $71,827,158)................................... 66,984,360
------------
GERMANY -- (7.5%)
BONDS -- (7.5%)
Deutsche Bahn Finance BV
6.875%, 07/19/02................................... 7,100 3,835,374
German Gov't Treuhandanstalt
6.625%, 07/09/03................................... 12,000 12,880,100
Japan Finance Corp. for Small Business
4.500%, 08/07/02................................... 17,400 8,942,521
Landwirtschaftliche Rentenbank
5.000%, 07/30/02................................... 9,000 4,649,999
Tokyo Electric Power Co., Inc.
7.625%, 11/06/02................................... 7,000 3,887,663
------------
TOTAL -- GERMANY
(Cost $37,823,961)................................... 34,195,657
------------
AUSTRALIA -- (7.3%)
BONDS -- (7.3%)
Airservices Australia
7.375%, 11/15/01................................... 2,750 1,774,177
Alberta (Province of)
7.000%, 03/20/02................................... 5,500 3,520,033
</TABLE>
91
<PAGE>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Federal National Mortgage Association
6.500%, 07/10/02................................... 19,350 $ 12,246,353
New South Wales Treasury Corp.
8.750%, 04/18/02................................... 2,000 1,329,341
5.500%, 10/01/02................................... 10,000 6,178,207
State Bank of New South Wales
11.750%, 08/16/01.................................. 3,800 2,614,401
10.750%, 03/12/02.................................. 2,000 1,379,942
9.250%, 02/18/03................................... 3,800 2,583,481
State Bank of South Australia
11.000%, 04/10/02.................................. 2,000 1,387,443
------------
TOTAL -- AUSTRALIA
(Cost $35,669,399)................................... 33,013,378
------------
SWEDEN -- (5.9%)
BONDS -- (5.9%)
Eksportfinans ASA
7.500%, 08/16/01................................... 39,000 4,752,830
Nordic Investment Bank, Helsinki
7.500%, 02/28/01................................... 47,100 5,711,146
Sweden (Kingdom of)
5.000%, 01/15/04................................... 94,000 10,966,800
Toyota Motor Credit Corp.
7.500%, 08/06/01................................... 43,000 5,242,829
------------
TOTAL BONDS
(Cost $28,935,442)................................... 26,673,605
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $346)............................ 334
------------
TOTAL -- SWEDEN
(Cost $28,935,788)................................... 26,673,939
------------
UNITED KINGDOM -- (5.2%)
BONDS -- (5.2%)
Abbey National Treasury
4.875%, 02/24/03................................... 11,000 11,102,340
Federal National Mortgage Association
6.875%, 06/07/02................................... 8,000 12,750,599
------------
TOTAL BONDS
(Cost $25,042,898)................................... 23,852,939
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $74).................... 74
------------
TOTAL -- UNITED KINGDOM
(Cost $25,042,972)................................... 23,853,013
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
AUSTRIA -- (5.0%)
BONDS -- (5.0%)
Bank Austria Investment Bank AG
4.750%, 03/17/03................................... 11,500 $ 11,546,780
Republic of Austria
4.300%, 07/15/03................................... 11,450 11,376,676
------------
TOTAL -- AUSTRIA
(Cost $24,344,676)................................... 22,923,456
------------
CANADA -- (4.8%)
BONDS -- (4.8%)
Canada (Government of)
9.750%, 06/01/01................................... 11,000 7,878,691
Canada Mortgage and Housing
6.250%, 01/02/02................................... 14,600 9,948,734
Toyota Credit Canada, Inc.
7.375%, 12/31/01................................... 5,603 3,868,965
------------
TOTAL -- CANADA
(Cost $22,425,430)................................... 21,696,390
------------
NETHERLANDS -- (2.7%)
BONDS -- (2.7%)
Netherland Government Bond
6.500%, 04/15/03
(Cost $12,595,062)............................... 11,500 12,245,006
------------
DENMARK -- (2.7%)
BONDS -- (2.7%)
Kingdom of Denmark
8.000%, 05/15/03
(Cost $13,507,206)............................... 82,000 12,143,785
------------
TEMPORARY CASH
INVESTMENTS -- (1.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
7.50%, 11/15/01, valued at $6,475,981) to be
repurchased at $6,378,939 (Cost $6,378,000)......... 6,378 6,378,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $463,673,100)++................................ $455,253,203
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ 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.
92
<PAGE>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (62.5%)
Farm Credit System Financial Assistance Corp.
8.800%, 06/10/05................................... $ 1,000 $ 1,092,500
Federal Farm Credit Bank
6.300%, 08/08/07................................... 3,000 2,910,000
6.400%, 10/09/07................................... 2,500 2,439,661
6.000%, 01/07/08................................... 5,000 4,750,757
6.450%, 10/07/09................................... 2,000 1,948,728
7.160%, 05/19/10................................... 3,000 3,066,280
6.135%, 12/13/10................................... 4,000 3,779,606
6.740%, 04/11/11................................... 1,000 985,884
6.260%, 12/02/11................................... 2,000 1,893,578
6.280%, 11/26/12................................... 1,000 942,477
6.060%, 05/28/13................................... 3,600 3,310,606
Federal Home Loan Bank
5.440%, 10/15/03................................... 8,550 8,229,661
7.445%, 03/29/05................................... 3,000 3,110,459
5.935%, 04/22/05................................... 2,000 1,937,724
6.010%, 05/20/05................................... 11,000 10,691,254
5.265%, 11/25/05................................... 6,000 5,587,044
6.440%, 11/28/05................................... 1,350 1,334,208
6.375%, 08/15/06................................... 8,000 7,826,686
6.900%, 02/07/07................................... 9,000 9,059,397
6.370%, 09/26/07................................... 7,425 7,232,996
6.200%, 10/10/07................................... 2,000 1,927,695
5.895%, 01/14/08................................... 2,100 1,981,535
6.030%, 01/30/08................................... 2,000 1,903,356
5.905%, 03/27/08................................... 4,000 3,750,714
6.185%, 05/06/08................................... 1,000 960,362
6.045%, 05/22/08................................... 1,000 951,345
5.945%, 07/28/08................................... 6,000 5,664,194
5.550%, 11/17/08................................... 5,000 4,582,556
5.545%, 02/17/09................................... 3,000 2,743,236
5.950%, 03/16/09................................... 5,550 5,224,778
5.863%, 04/22/09................................... 9,000 8,415,210
Federal Home Loan Mortgage Corp.
7.350%, 03/22/05................................... 2,000 2,065,021
6.130%, 02/27/06................................... 1,000 971,215
7.100%, 04/10/07................................... 2,000 2,035,180
6.480%, 12/05/11................................... 2,000 1,929,012
Federal National Mortgage Association
6.480%, 06/28/04................................... 2,000 1,990,537
7.400%, 07/01/04................................... 1,000 1,030,323
7.875%, 02/24/05................................... 2,000 2,109,946
7.375%, 03/28/05................................... 1,000 1,033,707
6.220%, 03/13/06................................... 3,070 2,993,563
6.890%, 04/25/06................................... 1,525 1,538,940
6.570%, 08/22/07................................... 2,000 1,972,453
6.470%, 09/25/12................................... 3,410 3,269,022
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
Student Loan Marketing Association
5.850%, 06/01/07................................... $ 1,000 $ 944,927
Tennessee Valley Authority
6.375%, 06/15/05................................... 5,000 4,900,000
5.375%, 11/13/08................................... 5,000 4,509,389
6.000%, 03/15/13................................... 5,000 4,593,750
------------
TOTAL AGENCY OBLIGATIONS
(Cost $165,956,516).................................. 158,121,472
------------
</TABLE>
<TABLE>
U.S. TREASURY OBLIGATIONS -- (35.9%)
U.S. Treasury Bonds
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
12.375%, 05/15/04.................................. 6,000 7,403,454
13.750%, 08/15/04.................................. 6,000 7,796,767
11.625%, 11/15/04.................................. 7,000 8,564,292
12.000%, 05/15/05.................................. 10,000 12,590,618
10.750%, 08/15/05.................................. 8,000 9,669,314
9.375%, 02/15/06................................... 11,000 12,694,520
U.S. Treasury Notes
7.250%, 05/15/04................................... 3,000 3,123,729
7.000%, 07/15/06................................... 10,000 10,388,889
6.500%, 10/15/06................................... 1,000 1,011,957
6.625%, 05/15/07................................... 2,000 2,039,242
6.125%, 08/15/07................................... 5,000 4,949,496
5.625%, 05/15/08................................... 11,000 10,525,527
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $93,638,302)................................... 90,757,805
------------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $4,028,650) to be
repurchased at $3,963,583.
(Cost $3,963,000)................................ 3,963 3,963,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $263,557,818)++................................ $252,842,277
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
93
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
<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.......................... $ 896,411 $ 102,198 $ 1,177,896 $ 99,587
Receivable for Fund Shares Sold............... 897 65 1,218 321
Prepaid Expenses and Other Assets............. 44 21 29 16
----------- ---------- ----------- ----------
Total Assets.......................... 897,352 102,284 1,179,143 99,924
----------- ---------- ----------- ----------
LIABILITIES:
Payable for Investment Securities Purchased... 230 29 47 286
Payable for Fund Shares Redeemed.............. 667 36 1,171 35
Accrued Expenses and Other Liabilities........ 51 19 163 24
----------- ---------- ----------- ----------
Total Liabilities..................... 948 84 1,381 345
----------- ---------- ----------- ----------
NET ASSETS.................................... $ 896,404 $ 102,200 $ 1,177,762 $ 99,579
=========== ========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE............. 21,823,569 6,760,285 58,635,297 9,356,400
=========== ========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE....................................... $ 41.08 $ 15.12 $ 20.09 $ 10.64
=========== ========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE............... $ 41.08 $ 15.12 $ 20.09 $ 10.64
=========== ========== =========== ==========
Investments at Cost........................... $ 576,265 $ 90,218 $ 953,668 $ 101,234
=========== ========== =========== ==========
</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...................... $ 270,650 $ 2,622,320 $ 398,785 $ 71,821
Collateral for Securities Loaned.......... 4,134 -- -- 3,676
Receivables
Dividends and Interest................ 235 -- -- 36
Investment Securities Sold............ 561 691 66 71
Fund Shares Sold...................... 771 502 167 76
Prepaid Expenses and Other Assets......... 4 14 12 6
----------- ------------ ----------- ----------
Total Assets...................... 276,355 2,623,527 399,030 75,686
----------- ------------ ----------- ----------
LIABILITIES:
Payable for Collateral on Securities
Loaned.................................. 4,134 -- -- 3,676
Payable for Securities Purchased.......... 5,341 -- -- 4,649
Payable for Fund Shares Redeemed.......... 13 1,193 233 51
Accrued Expenses and Other Liabilities.... 132 688 132 36
----------- ------------ ----------- ----------
Total Liabilities................. 9,620 1,881 365 8,412
----------- ------------ ----------- ----------
NET ASSETS................................ $ 266,735 $ 2,621,646 $ 398,665 $ 67,274
=========== ============ =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE......... 23,837,201 136,740,270 27,166,170 5,517,449
=========== ============ =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE................................... $ 11.19 $ 19.17 $ 14.68 $ 12.19
=========== ============ =========== ==========
PUBLIC OFFERING PRICE PER SHARE........... $ 11.19 $ 19.17 $ 14.68 $ 12.19
=========== ============ =========== ==========
Investments at Cost....................... $ 256,663 $ 2,271,455 $ 315,819 $ 64,060
=========== ============ =========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
94
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
<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.......................... $ 1,323,182 $ 133,759 $ 286,963 $ 43,043
Collateral for Securities Loaned.............. -- 1,362 3,475 --
Cash.......................................... -- -- 15 15
Receivables
Dividends, Interest and Tax Reclaims...... -- 418 488 74
Investment Securities Sold................ 15,871 -- -- 14
Fund Shares Sold.......................... 387 126 212 107
Prepaid Expenses and Other Assets............. 17 7 2 6
------------ ----------- ----------- ----------
Total Assets.......................... 1,339,457 135,672 291,155 43,259
------------ ----------- ----------- ----------
LIABILITIES:
Payable for Collateral on Securities Loaned... -- 1,362 3,475 --
Payable for Investment Securities Purchased... -- 3,891 19,135 3,989
Payable for Fund Shares Redeemed.............. 16,258 326 108 3
Accrued Expenses and Other Liabilities........ 609 54 97 25
------------ ----------- ----------- ----------
Total Liabilities..................... 16,867 5,633 22,815 4,017
------------ ----------- ----------- ----------
NET ASSETS.................................... $ 1,322,590 $ 130,039 $ 268,340 $ 39,242
============ =========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE............. 105,458,381 11,312,030 13,822,447 3,832,693
============ =========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE....................................... $ 12.54 $ 11.50 $ 19.41 $ 10.24
============ =========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE............... $ 12.54 $ 11.50 $ 19.41 $ 10.24
============ =========== =========== ==========
Investments at Cost........................... $ 956,551 $ 152,098 $ 220,128 $ 42,920
============ =========== =========== ==========
</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................... $ 250,883 $ 144,594 $ 131,808 $ 83,853
Cash................................... 16 -- -- --
Receivables
Investment Securities Sold......... -- -- 9 3
Fund Shares Sold................... 102 20 11 14
Prepaid Expenses and Other Assets...... 22 5 7 5
----------- ----------- ----------- ----------
Total Assets................... 251,023 144,619 131,835 83,875
----------- ----------- ----------- ----------
LIABILITIES:
Payable for Fund Shares Redeemed....... 497 23 2 17
Accrued Expenses and Other
Liabilities.......................... 84 63 51 32
----------- ----------- ----------- ----------
Total Liabilities.............. 581 86 53 49
----------- ----------- ----------- ----------
NET ASSETS............................. $ 250,442 $ 144,533 $ 131,782 $ 83,826
=========== =========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE...... 27,425,556 13,009,806 13,503,753 3,461,168
=========== =========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE............................ $ 9.13 $ 11.11 $ 9.76 $ 24.22
=========== =========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE........ $ 9.19 $ 11.17 $ 9.86 $ 24.22
=========== =========== =========== ==========
Investments at Cost.................... $ 285,176 $ 277,910 $ 154,907 $ 65,779
=========== =========== =========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
95
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
<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............................. $ 160,800 $ 522,569 $ 330,718 $ 11,698
Collateral for Securities Loaned................. -- 37,621 -- --
Cash............................................. -- 1,341 -- --
Receivables
Dividends, Interest and Tax Reclaims......... -- 1,865 -- --
Investment Securities Sold................... -- 1,381 479 7
Fund Shares Sold............................. 38 248 108 21
Prepaid Expenses and Other Assets................ 8 7 4 47
----------- ----------- ----------- --------
Total Assets............................. 160,846 565,032 331,309 11,773
----------- ----------- ----------- --------
LIABILITIES:
Payable for Collateral on Securities Loaned...... -- 37,621 -- --
Payable for Investment Securities Purchased...... 1 1,410 -- --
Payable for Fund Shares Redeemed................. 36 483 587 28
Accrued Expenses and Other Liabilities........... 66 385 118 11
----------- ----------- ----------- --------
Total Liabilities........................ 103 39,899 705 39
----------- ----------- ----------- --------
NET ASSETS....................................... $ 160,743 $ 525,133 $ 330,604 $ 11,734
=========== =========== =========== ========
SHARES OUTSTANDING $.01 PAR VALUE................ 11,250,380 61,886,911 26,717,849 788,789
=========== =========== =========== ========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE... $ 14.29 $ 8.49 $ 12.37 $ 14.88
=========== =========== =========== ========
PUBLIC OFFERING PRICE PER SHARE.................. $ 14.43 $ 8.55 $ 12.43 $ 15.03
=========== =========== =========== ========
Investments at Cost.............................. $ 131,816 $ 608,812 $ 278,712 $ 11,377
=========== =========== =========== ========
</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................... $ 712,592 $ 531,511 $ 215,685 $ 455,253 $ 252,842
Cash................................... -- -- -- 16 --
Receivables
Investment Securities Sold......... 609 148 -- -- --
Fund Shares Sold................... 287 464 953 996 65
Interest Receivable................ -- -- 2,501 11,726 3,505
Unrealized Gain on Forward Currency
Contracts............................ -- -- -- 4,711 --
Prepaid Expenses and Other Assets...... 5 39 9 1 16
----------- ----------- ----------- ----------- -----------
Total Assets................... 713,493 532,162 219,148 472,703 256,428
----------- ----------- ----------- ----------- -----------
LIABILITIES:
Payable for Fund Shares Redeemed....... 896 612 72 197 5
Accrued Expenses and Other
Liabilities.......................... 77 62 54 172 47
----------- ----------- ----------- ----------- -----------
Total Liabilities.............. 973 674 126 369 52
----------- ----------- ----------- ----------- -----------
NET ASSETS............................. $ 712,520 $ 531,488 $ 219,022 $ 472,334 $ 256,376
=========== =========== =========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE...... 70,091,171 51,543,578 21,348,310 44,838,057 23,646,496
=========== =========== =========== =========== ===========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE............................ $ 10.17 $ 10.31 $ 10.26 $ 10.53 $ 10.84
=========== =========== =========== =========== ===========
PUBLIC OFFERING PRICE PER SHARE........ $ 10.17 $ 10.31 $ 10.26 $ 10.53 $ 10.84
=========== =========== =========== =========== ===========
Investments at Cost.................... $ 708,847 $ 529,180 $ 217,626 $ 463,673 $ 263,558
=========== =========== =========== =========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
96
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(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...................... -- $ 5,126 $ 21,122 --
Net Investment Income from
The DFA Investment Trust Company.............. $ 9,326 -- -- $ 885
-------- ------- -------- -------
Total Investment Income................... 9,326 5,126 21,122 885
-------- ------- -------- -------
EXPENSES
Administrative Services......................... 1,580 118 1,760 82
Accounting & Transfer Agent Fees................ 167 19 39 66
Legal Fees...................................... 14 2 25 15
Audit Fees...................................... 3 -- 3 --
Filing Fees..................................... 65 17 94 10
Shareholders' Reports........................... 33 2 31 10
Directors' Fees and Expenses.................... 7 1 12 1
Offering Costs.................................. -- -- -- 25
Other........................................... 1 8 2 4
-------- ------- -------- -------
Total Expenses............................ 1,870 167 1,966 213
Less: Expenses Waived........................... (1,208) -- -- --
-------- ------- -------- -------
Net Expenses.................................... 662 167 1,966 213
-------- ------- -------- -------
NET INVESTMENT INCOME........................... 8,664 4,959 19,156 672
-------- ------- -------- -------
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....................................... 3,541 (217) (7,441) (784)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... 114,630 1,797 (50,776) (1,647)
-------- ------- -------- -------
NET GAIN (LOSS) ON INVESTMENT SECURITIES........ 118,171 9,144 24,540 (2,431)
-------- ------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $126,835 $14,103 $ 43,696 $(1,759)
======== ======= ======== =======
</TABLE>
- --------------
(1) For the period December 14, 1998 (commencement of operations) to
November 30, 1999.
See accompanying Notes to Financial Statements.
97
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE TAX-MANAGED
THE TAX-MANAGED THE U.S. 6-10 SMALL U.S. 6-10 SMALL
U.S. 5-10 VALUE 6-10 VALUE COMPANY COMPANY
PORTFOLIO(1) PORTFOLIO PORTFOLIO PORTFOLIO(2)
--------------- ---------- ---------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends....................................... $ 1,848 -- -- $ 242
Interest........................................ 389 -- -- 103
Income from Securities Lending.................. 111 -- -- 43
Income Distributions Received from
The DFA Investment Trust Company.............. -- $ 20,371 $ 3,338 --
------- -------- ------- ------
Total Investment Income................... 2,348 20,371 3,338 388
------- -------- ------- ------
EXPENSES
Investment Advisory Services.................... 932 -- -- 176
Administrative Services......................... -- 7,603 1,111 --
Accounting & Transfer Agent Fees................ 79 31 26 21
Custodian's Fee................................. 26 -- -- 5
Legal Fees...................................... 25 54 7 15
Audit Fees...................................... 20 7 1 7
Filing Fees..................................... 18 209 37 8
Shareholders' Reports........................... 32 54 3 5
Directors' Fees and Expenses.................... 2 28 4 1
Offering Costs.................................. 25 -- -- 25
Other........................................... 3 5 1 --
------- -------- ------- ------
Total Expenses............................ 1,162 7,991 1,190 263
------- -------- ------- ------
NET INVESTMENT INCOME........................... 1,186 12,380 2,148 125
------- -------- ------- ------
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...... (1,321) (62,945) (6,417) (521)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... 13,987 75,688 33,606 7,761
------- -------- ------- ------
NET GAIN ON INVESTMENT SECURITIES............... 12,666 210,972 56,190 7,240
------- -------- ------- ------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $13,852 $223,352 $58,338 $7,365
======= ======== ======= ======
</TABLE>
- --------------
(1) For the period December 11, 1998 (commencement of operations) to
November 30, 1999.
(2) For the period December 15, 1998 (commencement of operations) to
November 30, 1999.
See accompanying Notes to Financial Statements.
98
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<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(1)
---------- ----------- ------------- -----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $240 and $22, respectively)............... -- $ 8,440 $ 3,007 $ 280
Interest........................................ -- 107 307 65
Income from Securities Lending.................. -- 4 67 --
Income Distributions Received from
The DFA Investment Trust Company.............. $ 10,140 -- -- --
-------- ------- ------- -----
Total Investment Income................... $ 10,140 8,551 3,381 345
-------- ------- ------- -----
EXPENSES
Investment Advisory Services.................... -- 352 442 72
Administrative Services......................... 5,437 -- -- --
Accounting & Transfer Agent Fees................ 19 125 225 20
Custodian Fee................................... -- 15 173 78
Legal Fees...................................... 400 2 6 1
Audit Fees...................................... 4 14 26 2
Filing Fees..................................... 108 28 37 12
Shareholders' Reports........................... 52 5 12 2
Directors' Fees and Expenses.................... 15 1 2 --
Offering Costs.................................. -- -- -- 36
Other........................................... 5 4 11 2
-------- ------- ------- -----
Total Expenses............................ 6,040 546 934 225
-------- ------- ------- -----
NET INVESTMENT INCOME........................... 4,100 8,005 2,447 120
-------- ------- ------- -----
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.................................... (26,576) (2,177) 2,341 (1)
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. -- -- 38 (27)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 138,716 (15,378) 31,929 124
Translation of Foreign Currency Denominated
Amounts..................................... -- -- (21) 17
-------- ------- ------- -----
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. 236,584 (17,555) 34,287 113
-------- ------- ------- -----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $240,684 $(9,550) $36,734 $ 233
======== ======= ======= =====
</TABLE>
- --------------
(1) For the period April 16, 1999 (commencement of operations) to November 30,
1999.
See accompanying Notes to Financial Statements.
99
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(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
Net Investment Income from
The DFA Investment Trust Company.............. $ 5,391 $ 1,473 $ 3,383 $ 3,151
Interest........................................ 42 -- -- --
------- ------- ------- -------
Total Investment Income................... 5,433 1,473 3,383 3,151
------- ------- ------- -------
EXPENSES
Administrative Services......................... 990 555 458 353
Accounting & Transfer Agent Fees................ 31 38 39 38
Legal Fees...................................... 6 2 2 1
Audit Fees...................................... 1 1 -- --
Filing Fees..................................... 39 17 18 14
Shareholders' Reports........................... 8 4 2 1
Directors' Fees and Expenses.................... 2 2 1 1
Other........................................... 12 1 1 1
------- ------- ------- -------
Total Expenses............................ 1,089 620 521 409
------- ------- ------- -------
NET INVESTMENT INCOME........................... 4,344 853 2,862 2,742
------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities.................................... 1,375 (2,827) (8,428) 9,684
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. 581 95 1,861 (44)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 30,163 30,596 56,978 15,043
Translation of Foreign Currency Denominated
Amounts..................................... (31) (21) 3 (5)
------- ------- ------- -------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY...................................... 32,088 27,843 50,414 24,678
------- ------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $36,432 $28,696 $53,276 $27,420
======= ======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
100
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(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,
$1,248, $0 and $0, respectively).............. -- $12,227 -- --
Interest........................................ -- 524 -- --
Income from Securities Lending.................. -- 477 -- --
Net Investment Income from
The DFA Investment Trust Company.............. $ 3,572 -- $ 3,687 $ 171
-------- ------- -------- ------
Total Investment Income................... 3,572 13,228 3,687 171
-------- ------- -------- ------
EXPENSES
Investment Advisory Services.................... -- 3,257 -- --
Administrative Services......................... 716 -- 1,093 42
Accounting & Transfer Agent Fees................ 38 500 67 38
Custodian's Fee................................. -- 244 -- --
Legal Fees...................................... 1 10 5 --
Audit Fees...................................... 1 53 1 --
Filing Fees..................................... 14 46 37 14
Shareholders' Reports........................... 5 32 18 --
Directors' Fees and Expenses.................... 1 5 3 --
Other........................................... 1 36 4 8
-------- ------- -------- ------
Total Expenses............................ 777 4,183 1,228 102
-------- ------- -------- ------
NET INVESTMENT INCOME........................... 2,795 9,045 2,459 69
-------- ------- -------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities....................................... 22,262 (3,062) (2,112) 4,443
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. (181) 749 (217) (28)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency.................................. (36,037) 71,809 115,475 650
Translation of Foreign Currency Denominated
Amounts..................................... (26) (73) 2 --
-------- ------- -------- ------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. (13,982) 69,423 113,148 5,065
-------- ------- -------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $(11,187) $78,468 $115,607 $5,134
======== ======= ======== ======
</TABLE>
See accompanying Notes to Financial Statements.
101
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(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........................................ -- -- $11,089 $ 17,373 $ 14,127
Income Distributions Received from
The DFA Investment Trust Company.............. $40,385 $27,143 -- -- --
------- ------- ------- -------- --------
Total Investment Income................... 40,385 27,143 11,089 17,373 14,127
------- ------- ------- -------- --------
EXPENSES
Investment Advisory Services.................... -- -- 424 1,083 304
Administrative Services......................... 779 476 -- -- --
Accounting & Transfer Agent Fees................ 23 19 92 397 98
Custodian's Fee................................. -- -- 18 52 21
Legal Fees...................................... 18 10 5 9 6
Audit Fees...................................... 2 1 19 53 25
Filing Fees..................................... 46 35 24 69 35
Shareholders' Reports........................... 22 22 8 24 6
Directors' Fees and Expenses.................... 10 5 3 5 3
Other........................................... 1 10 4 3 9
------- ------- ------- -------- --------
Total Expenses............................ 901 578 597 1,695 507
------- ------- ------- -------- --------
NET INVESTMENT INCOME........................... 39,484 26,565 10,492 15,678 13,620
------- ------- ------- -------- --------
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.................................... (251) (179) (71) (275) 897
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- -- 5,791 --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (3,559) (5,218) (1,947) (11,004) (20,215)
Translation of Foreign Currency Denominated
Amounts..................................... -- -- -- 5,025 --
------- ------- ------- -------- --------
NET LOSS ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY...................................... (3,810) (4,794) (2,018) (463) (19,318)
------- ------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $35,674 $21,771 $ 8,474 $ 15,215 $ (5,698)
======= ======= ======= ======== ========
</TABLE>
See accompanying Notes to Financial Statements.
102
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE TAX-
THE ENHANCED MANAGED
THE U.S. U.S. LARGE THE U.S. U.S.
LARGE COMPANY COMPANY LARGE CAP VALUE MARKETWIDE
PORTFOLIO PORTFOLIO PORTFOLIO VALUE PORTFOLIO
----------------------- --------------------- ---------------------- ---------------
YEAR YEAR YEAR YEAR YEAR YEAR DEC. 14, 1998
ENDED ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998 1999
---------- ---------- --------- --------- ---------- ---------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 8,664 $ 6,218 $ 4,959 $ 2,385 $ 19,156 $ 15,524 $ 672
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..... 3,541 616 (217) (734) (7,441) (4,583) (784)
Change in Unrealized
Appreciation
(Depreciation) of
Investment Securities..... 114,630 85,494 1,797 3,627 (50,776) 39,784 (1,647)
--------- --------- -------- -------- ---------- ---------- --------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 126,835 92,328 14,103 11,201 43,696 97,547 (1,759)
--------- --------- -------- -------- ---------- ---------- --------
Distributions From:
Net Investment Income....... (8,675) (5,855) (2,213) (2,692) (19,128) (14,645) (371)
Net Realized Gains.......... (2,638) (834) (6,137) (4,915) (34,355) (36,941) --
--------- --------- -------- -------- ---------- ---------- --------
Total Distributions....... (11,313) (6,689) (8,350) (7,607) (53,483) (51,586) (371)
--------- --------- -------- -------- ---------- ---------- --------
Capital Share Transactions
(1):
Shares Issued............... 410,028 215,482 39,614 20,928 359,265 332,100 111,478
Shares Issued in Lieu of
Cash Distributions........ 10,994 5,414 8,350 5,780 51,364 40,279 350
Shares Redeemed............. (190,102) (100,110) (13,053) (16,408) (303,550) (177,873) (10,119)
--------- --------- -------- -------- ---------- ---------- --------
Net Increase From Capital
Shares Transactions..... 230,920 120,786 34,911 10,300 107,079 194,506 101,709
--------- --------- -------- -------- ---------- ---------- --------
Total Increase............ 346,442 206,425 40,664 13,894 97,292 240,467 99,579
NET ASSETS
Beginning of Period......... 549,962 343,537 61,536 47,642 1,080,470 840,003 --
--------- --------- -------- -------- ---------- ---------- --------
End of Period............... $ 896,404 $ 549,962 $102,200 $ 61,536 $1,177,762 $1,080,470 $ 99,579
========= ========= ======== ======== ========== ========== ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 10,590 6,823 2,744 1,587 17,181 16,676 10,292
Shares Issued in Lieu of
Cash Distributions....... 295 180 610 479 2,606 2,190 31
Shares Redeemed............ (4,949) (3,176) (907) (1,253) (14,603) (9,117) (967)
--------- --------- -------- -------- ---------- ---------- --------
5,936 3,827 2,447 813 5,184 9,749 9,356
========= ========= ======== ======== ========== ========== ========
</TABLE>
See accompanying Notes to Financial Statements.
103
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE TAX- THE TAX-
MANAGED MANAGED
U.S. 5-10 THE U.S. THE U.S. 6-10 U.S. 6-10 SMALL
VALUE 6-10 VALUE SMALL COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ---------------------- --------------------- ---------------
DEC. 11, 1998 YEAR YEAR YEAR YEAR DEC. 15, 1998
TO ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1999 1998 1999 1998 1999
-------------- ---------- ---------- ---------- --------- ---------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 1,186 $ 12,380 $ 12,919 $ 2,148 $ 1,625 $ 125
Capital Gain Distributions
Received from
The DFA Investment Trust
Company................... -- 198,229 189,783 29,001 25,514 --
Net Realized Loss on
Investment Securities..... (1,321) (62,945) (5,236) (6,417) (2,676) (521)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities....... 13,987 75,688 (427,856) 33,606 (53,552) 7,761
-------- ---------- ---------- -------- -------- -------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.................. 13,852 223,352 (230,390) 58,338 (29,089) 7,365
-------- ---------- ---------- -------- -------- -------
Distributions From:
Net Investment Income....... -- (10,123) (9,211) (1,506) (1,600) --
Net Realized Gains.......... -- (176,392) (87,388) (29,653) (30,255) --
-------- ---------- ---------- -------- -------- -------
Total Distributions....... -- (186,515) (96,599) (31,159) (31,855) --
-------- ---------- ---------- -------- -------- -------
Capital Share Transactions
(1):
Shares Issued............... 270,629 650,160 817,555 118,196 136,597 62,862
Shares Issued in Lieu of
Cash Distributions........ -- 181,035 82,593 29,993 29,641 --
Shares Redeemed............. (17,746) (596,480) (321,719) (101,293) (118,696) (2,953)
-------- ---------- ---------- -------- -------- -------
Net Increase From Capital
Shares Transactions..... 252,883 234,715 578,429 46,896 47,542 59,909
-------- ---------- ---------- -------- -------- -------
Total Increase
(Decrease).............. 266,735 271,552 251,440 74,075 (13,402) 67,274
NET ASSETS
Beginning of Period......... -- 2,350,094 2,098,654 324,590 337,992 --
-------- ---------- ---------- -------- -------- -------
End of Period............... $266,735 $2,621,646 $2,350,094 $398,665 $324,590 $67,274
======== ========== ========== ======== ======== =======
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 25,504 35,506 39,986 8,945 9,329 5,782
Shares Issued in Lieu of
Cash Distributions....... -- 10,538 4,021 2,438 2,014 --
Shares Redeemed............ (1,667) (32,442) (15,865) (7,789) (7,783) (265)
-------- ---------- ---------- -------- -------- -------
23,837 13,602 28,142 3,594 3,560 5,517
======== ========== ========== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements.
104
<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
---------------------- --------------------- --------------------- ---------------
YEAR YEAR YEAR YEAR YEAR YEAR APRIL 16
ENDED ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998 1999
---------- ---------- ---------- --------- ---------- --------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 4,100 $ 2,639 $ 8,005 $ 6,214 $ 2,447 $ 1,614 $ 120
Capital Gain Distributions
Received from The DFA
Investment Trust
Company................... 124,444 -- -- -- -- -- --
Net Realized Gain (Loss) on
Investment Securities..... (26,576) (28,940) (2,177) (391) 2,341 75 (1)
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- -- -- -- 38 12 (27)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 138,716 (148,754) (15,378) (19,644) 31,929 13,019 124
Translation of Foreign
Currency Denominated
Amounts................. -- -- -- -- (21) 32 17
---------- ---------- -------- -------- -------- -------- -------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 240,684 (175,055) (9,550) (13,821) 36,734 14,752 233
---------- ---------- -------- -------- -------- -------- -------
Distributions From:
Net Investment Income....... (2,799) (2,802) (5,286) (4,644) (1,826) (1,509) --
Net Realized Gains.......... (16,080) (203,659) -- -- (1) -- --
---------- ---------- -------- -------- -------- -------- -------
Total Distributions..... (18,879) (206,461) (5,286) (4,644) (1,827) (1,509) --
---------- ---------- -------- -------- -------- -------- -------
Capital Share Transactions
(1):
Shares Issued............... 226,404 353,806 75,298 46,933 146,668 35,615 40,399
Shares Issued in Lieu of
Cash Distributions........ 18,041 177,758 5,012 3,540 1,827 1,509 --
Shares Redeemed............. (482,170) (320,965) (41,979) (20,536) (29,655) (22,997) (1,390)
---------- ---------- -------- -------- -------- -------- -------
Net Increase (Decrease)
From Capital Shares
Transactions.......... (237,725) 210,599 38,331 29,937 118,840 14,127 39,009
---------- ---------- -------- -------- -------- -------- -------
Total Increase
(Decrease)............ (15,920) (170,917) 23,495 11,472 153,747 27,370 39,242
NET ASSETS
Beginning of Period......... 1,338,510 1,509,427 106,544 95,072 114,593 87,223 --
---------- ---------- -------- -------- -------- -------- -------
End of Period............... $1,322,590 $1,338,510 $130,039 $106,544 $268,340 $114,593 $39,242
========== ========== ======== ======== ======== ======== =======
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 20,476 30,328 6,151 3,339 8,388 2,321 3,967
Shares Issued in Lieu of
Cash Distributions....... 1,753 15,525 417 242 112 109 --
Shares Redeemed............ (42,507) (27,978) (3,450) (1,509) (1,715) (1,506) (134)
---------- ---------- -------- -------- -------- -------- -------
(20,278) 17,875 3,118 2,072 6,785 924 3,833
========== ========== ======== ======== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements.
105
<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
--------------------- --------------------- ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 4,344 $ 5,017 $ 853 $ 972 $ 2,862 $ 3,209
Net Realized Gain (Loss) on Investment Securities....... 1,375 101 (2,827) (8,019) (8,428) (950)
Net Realized Gain (Loss) on Foreign Currency
Transactions.......................................... 581 (177) 95 (151) 1,861 (133)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ 30,163 (4,354) 30,596 4,531 56,978 (28,633)
Translation of Foreign Currency Denominated Amounts... (31) 95 (21) 67 3 (1)
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................ 36,432 682 28,696 (2,600) 53,276 (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........................................... 87,035 127,735 28,169 34,679 14,250 26,870
Shares Issued in Lieu of Cash Distributions............. 5,036 2,942 827 1,284 2,995 9,479
Shares Redeemed......................................... (147,017) (84,894) (32,046) (26,382) (25,074) (22,352)
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) From Capital Shares
Transactions...................................... (54,946) 45,783 (3,050) 9,581 (7,829) 13,997
-------- -------- -------- -------- -------- --------
Total Increase (Decrease)........................... (23,550) 43,523 24,819 5,697 42,452 (21,990)
NET ASSETS
Beginning of Period..................................... 273,992 230,469 119,714 114,017 89,330 111,320
-------- -------- -------- -------- -------- --------
End of Period........................................... $250,442 $273,992 $144,533 $119,714 $131,782 $ 89,330
======== ======== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................... 10,458 16,168 2,930 3,866 2,288 3,947
Shares Issued in Lieu of Cash Distributions............ 671 410 94 169 487 1,218
Shares Redeemed........................................ (18,732) (11,004) (3,166) (2,950) (2,899) (3,228)
-------- -------- -------- -------- -------- --------
(7,603) 5,574 (142) 1,085 (124) 1,937
======== ======== ======== ======== ======== ========
</TABLE>
See accompanying Notes to Financial Statements.
106
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED THE DFA
KINGDOM THE CONTINENTAL INTERNATIONAL THE EMERGING
SMALL COMPANY SMALL COMPANY SMALL CAP VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- --------------------- --------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998 1999 1998
---------- --------- ---------- --------- ---------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income......... $ 2,742 $ 3,110 $ 2,795 $ 2,999 $ 9,045 $ 8,857 $ 2,459 $ 2,526
Net Realized Gain (Loss) on
Investment Securities....... 9,684 10,986 22,262 20,674 (3,062) 9,582 (2,112) (22,594)
Net Realized Gain (Loss) on
Foreign Currency
Transactions................ (44) (95) (181) (99) 749 (303) (217) (354)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency.......... 15,043 (24,506) (36,037) 20,213 71,809 (21,770) 115,475 (8,906)
Translation of Foreign
Currency Denominated
Amounts................... (5) (6) (26) 186 (73) 78 2 9
-------- -------- -------- -------- --------- --------- --------- --------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 27,420 (10,511) (11,187) 43,973 78,468 (3,556) 115,607 (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............ (10,988) (12,752) (20,671) (16,007) (9,575) (14,868) -- (40)
-------- -------- -------- -------- --------- --------- --------- --------
Total Distributions....... (13,920) (16,567) (23,959) (19,603) (18,194) (21,232) (2,457) (5,315)
-------- -------- -------- -------- --------- --------- --------- --------
Capital Share Transactions (1):
Shares Issued................. 19,031 2,757 34,846 8,192 111,025 157,631 78,830 126,740
Shares Issued in Lieu of Cash
Distributions............... 13,920 16,567 23,959 19,603 18,194 21,232 2,457 5,315
Shares Redeemed............... (41,856) (43,906) (62,754) (85,071) (115,161) (134,531) (89,060) (84,242)
-------- -------- -------- -------- --------- --------- --------- --------
Net Increase (Decrease)
From Capital Shares
Transactions............ (8,905) (24,582) (3,949) (57,276) 14,058 44,332 (7,773) 47,813
-------- -------- -------- -------- --------- --------- --------- --------
Total Increase
(Decrease).............. 4,595 (51,660) (39,095) (32,906) 74,332 19,544 105,377 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................. $ 83,826 $ 79,231 $160,743 $199,838 $ 525,133 $ 450,801 $ 330,604 $225,227
======== ======== ======== ======== ========= ========= ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................ 929 108 2,465 469 14,193 20,265 8,017 14,812
Shares Issued in Lieu of Cash
Distributions.............. 779 663 1,618 1,342 2,592 3,002 304 599
Shares Redeemed.............. (1,911) (1,669) (4,302) (4,942) (14,709) (17,729) (9,211) (9,868)
-------- -------- -------- -------- --------- --------- --------- --------
(203) (898) (219) (3,131) 2,076 5,538 (890) 5,543
======== ======== ======== ======== ========= ========= ========= ========
</TABLE>
See accompanying Notes to Financial Statements.
107
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE EMERGING
MARKETS THE DFA ONE-YEAR THE DFA TWO-YEAR
SMALL CAP FIXED INCOME GLOBAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- ----------------------- -----------------------
YEAR MARCH 5 YEAR YEAR YEAR YEAR
ENDED TO ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998
--------- --------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................ $ 69 $ (5) $ 39,484 $ 42,219 $ 26,565 $ 25,217
Capital Gain Distributions Received from
The DFA Investment Trust Company.................. -- -- -- -- 603 897
Net Realized Gain (Loss) on Investment Securities... 4,443 181 (251) 354 (179) (1,915)
Net Realized Gain (Loss) on Foreign Currency
Transactions...................................... (28) (6) -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........ 650 (329) (3,559) 77 (5,218) 2,141
------- ------ --------- --------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations............................... 5,134 (159) 35,674 42,650 21,771 26,340
------- ------ --------- --------- --------- ---------
Distributions From:
Net Investment Income............................... 0 -- (39,523) (42,291) (16,258) (32,465)
Net Realized Gains.................................. (218) -- (528) (380) (603) (816)
------- ------ --------- --------- --------- ---------
Total Distributions............................. (218) -- (40,051) (42,671) (16,861) (33,281)
------- ------ --------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued....................................... 5,778 5,624 462,552 352,543 207,875 141,638
Shares Issued in Lieu of Cash Distributions......... 218 -- 36,060 32,442 16,643 16,434
Shares Redeemed..................................... (4,199) (444) (534,225) (384,691) (138,825) (129,151)
------- ------ --------- --------- --------- ---------
Net Increase (Decrease) From Capital Shares
Transactions.................................. 1,797 5,180 (35,613) 294 85,693 28,921
------- ------ --------- --------- --------- ---------
Total Increase (Decrease)....................... 6,713 5,021 (39,990) 273 90,603 21,980
NET ASSETS
Beginning of Period................................. 5,021 -- 752,510 752,237 440,885 418,905
------- ------ --------- --------- --------- ---------
End of Period....................................... $11,734 $5,021 $ 712,520 $ 752,510 $ 531,488 $ 440,885
======= ====== ========= ========= ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................................... 545 615 45,404 34,520 20,273 14,058
Shares Issued in Lieu of Cash Distributions........ 25 -- 3,549 3,187 1,631 1,653
Shares Redeemed.................................... (333) (63) (52,459) (37,674) (13,544) (12,799)
------- ------ --------- --------- --------- ---------
237 552 (3,506) 33 8,360 2,912
======= ====== ========= ========= ========= =========
</TABLE>
See accompanying Notes to Financial Statements.
108
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA FIVE-YEAR THE DFA FIVE-YEAR INTERMEDIATE
GOVERNMENT GLOBAL FIXED GOVERNMENT FIXED
PORTFOLIO INCOME PORTFOLIO INCOME PORTFOLIO
--------------------- --------------------- ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 10,492 $ 10,938 $ 15,678 $ 11,692 $ 13,620 $ 9,240
Net Realized Gain (Loss) on Investment Securities....... (71) 259 (275) 2,462 897 1,592
Net Realized Gain on Foreign Currency Transactions...... -- -- 5,791 7,244 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ (1,947) 96 (11,004) 8,878 (20,215) 6,122
Translation of Foreign Currency Denominated Amounts... -- -- 5,025 (5,046) -- --
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................ 8,474 11,293 15,215 25,230 (5,698) 16,954
-------- -------- -------- -------- -------- --------
Distributions From:
Net Investment Income................................... (10,408) (11,268) (9,462) (25,763) (12,605) (8,667)
Net Realized Gains...................................... -- -- (9,686) (1,482) (1,590) (583)
-------- -------- -------- -------- -------- --------
Total Distributions................................. (10,408) (11,268) (19,148) (27,245) (14,195) (9,250)
-------- -------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................... 77,618 75,970 166,651 148,062 52,035 110,800
Shares Issued in Lieu of Cash Distributions............. 10,236 8,763 18,863 17,181 14,167 1,503
Shares Redeemed......................................... (77,884) (78,149) (80,866) (41,687) (28,968) (17,527)
-------- -------- -------- -------- -------- --------
Net Increase From Capital Shares Transactions....... 9,970 6,584 104,648 123,556 37,234 94,776
-------- -------- -------- -------- -------- --------
Total Increase...................................... 8,036 6,609 100,715 121,541 17,341 102,480
NET ASSETS
Beginning of Period..................................... 210,986 204,377 371,619 250,078 239,035 136,555
-------- -------- -------- -------- -------- --------
End of Period........................................... $219,022 $210,986 $472,334 $371,619 $256,376 $239,035
======== ======== ======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................... 7,620 7,436 15,818 14,232 4,688 9,587
Shares Issued in Lieu of Cash Distributions............ 1,018 870 1,801 1,691 1,270 134
Shares Redeemed........................................ (7,676) (7,639) (7,678) (4,002) (2,609) (1,535)
-------- -------- -------- -------- -------- --------
962 667 9,941 11,921 3,349 8,186
======== ======== ======== ======== ======== ========
</TABLE>
See accompanying Notes to Financial Statements.
109
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 34.61 $ 28.48 $ 22.73 $ 18.12 $ 13.58
-------- -------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.45 0.43 0.42 0.41 0.35
Net Gains on Securities (Realized and
Unrealized)......................... 6.67 6.20 5.89 4.52 4.57
-------- -------- -------- -------- -------
Total From Investment Operations.... 7.12 6.63 6.31 4.93 4.92
- --------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.48) (0.43) (0.43) (0.31) (0.36)
Net Realized Gains.................... (0.17) (0.07) (0.13) (0.01) (0.02)
-------- -------- -------- -------- -------
Total Distributions................. (0.65) (0.50) (0.56) (0.32) (0.38)
- --------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 41.08 $ 34.61 $ 28.48 $ 22.73 $ 18.12
============================================================================================
Total Return............................ 20.76% 23.56% 28.26% 27.49% 36.54%
- --------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $896,404 $549,962 $343,537 $187,757 $97,111
Ratio of Expenses to Average Net
Assets................................ 0.15% 0.15% 0.15% 0.21% 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%
Ratio of Net Investment Income to
Average Net Assets.................... 1.18% 1.39% 1.66% 2.10% 2.29%
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers
and Assumption of Expenses)........... 1.02% 1.21% 1.46% 1.85% 2.23%
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 4.27% 9.31% 4.28% 14.09% 2.38%
- --------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR JULY 3,
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
<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................. 1.54 0.63 0.54 0.12
Net Gains on Securities (Realized and
Unrealized)......................... 1.12 2.15 2.40 1.71
-------- ------- ------- -------
Total From Investment Operations.... 2.66 2.78 2.94 1.83
- ----------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (1.14) (0.72) (0.55) --
Net Realized Gains.................... (0.67) (1.40) (0.61) --
-------- ------- ------- -------
Total Distributions................. (1.81) (2.12) (1.16) --
- ----------------------------------------
Net Asset Value, End of Period.......... $ 15.12 $ 14.27 $ 13.61 $ 11.83
========================================
Total Return............................ 20.31% 23.73% 27.22% 18.30%#
- ----------------------------------------
Net Assets, End of Period (thousands)... $102,200 $61,536 $47,642 $29,236
Ratio of Expenses to Average Net
Assets................................ 0.40%(a) 0.45%(a) 0.52%(a) 0.65%*(a)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses)............................. 0.40%(a) 0.46%(a) 0.54%(a) 0.65%*(a)
Ratio of Net Investment Income to
Average Net Assets.................... 6.27% 4.54% 4.51% 3.44%*
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers
and Assumption of Expenses)........... 6.27% 4.53% 4.49% 3.44%*
Portfolio Turnover Rate................. N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 82.40% 86.98% 193.78% 211.07%*
- ----------------------------------------
</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.
</TABLE>
See accompanying Notes to Financial Statements.
110
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE PORTFOLIO
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 20.21 $ 19.22 $ 15.98 $ 13.29 $ 9.91
---------- ---------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.34 0.31 0.29 0.30 0.29
Net Gains on Securities (Realized and
Unrealized)......................... 0.54 1.83 3.60 2.62 3.55
---------- ---------- -------- -------- --------
Total From Investment Operations.... 0.88 2.14 3.89 2.92 3.84
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.35) (0.31) (0.30) (0.23) (0.29)
Net Realized Gains.................... (0.65) (0.84) (0.35) -- (0.17)
---------- ---------- -------- -------- --------
Total Distributions................. (1.00) (1.15) (0.65) (0.23) (0.46)
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 20.09 $ 20.21 $ 19.22 $ 15.98 $ 13.29
====================================================================================================================
Total Return............................ 4.51% 11.69% 25.10% 22.20% 39.13%
- --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $1,177,762 $1,080,470 $840,003 $541,149 $280,915
Ratio of Expenses to Average Net
Assets................................ 0.33%(b) 0.33%(b) 0.35%(b) 0.36%(b) 0.42%(b)
Ratio of Net Investment Income to
Average Net Assets.................... 1.63% 1.57% 1.70% 2.17% 2.49%
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 42.96% 24.70% 17.71% 20.12% 29.41%
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE VALUE U.S. 5-10 VALUE
PORTFOLIO PORTFOLIO
------------------------ ------------------------
DEC. 14, 1998 DEC. 11, 1998
TO TO
NOV. 30, NOV. 30,
1999 1999
<S> <C> <C>
- ----------------------------------------
Net Asset Value, Beginning of Period.... $ 10.00 $ 10.00
------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.10 0.05
Net Gains on Securities (Realized and
Unrealized)......................... 0.61 1.14
------- --------
Total From Investment Operations.... 0.71 1.19
- ----------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.07) --
Net Realized Gains.................... -- --
------- --------
Total Distributions................. (0.07) --
- ----------------------------------------
Net Asset Value, End of Period.......... $ 10.64 $ 11.19
========================================
Total Return............................ 7.02%# 11.90%#
- ----------------------------------------
Net Assets, End of Period (thousands)... $99,579 $266,735
Ratio of Expenses to Average Net
Assets................................ 0.69%*(a)(b) 0.64%*(a)
Ratio of Net Investment Income to
Average Net Assets.................... 1.27%*(a) 0.66%*(a)
Portfolio Turnover Rate................. N/A 15.24%*
Portfolio Turnover Rate of Master Fund
Series................................ 9.72%* N/A
- ----------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
(a) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
(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.
111
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 19.09 $ 22.09 $ 17.00 $ 14.03 $ 11.13
---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.09 0.12 0.07 0.11 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 1.52 (2.10) 5.49 2.93 3.06
---------- ---------- ---------- ---------- --------
Total From Investment Operations.... 1.61 (1.98) 5.56 3.04 3.16
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.08) (0.10) (0.11) (0.02) (0.10)
Net Realized Gains.................... (1.45) (0.92) (0.36) (0.05) (0.16)
---------- ---------- ---------- ---------- --------
Total Distributions................. (1.53) (1.02) (0.47) (0.07) (0.26)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 19.17 $ 19.09 $ 22.09 $ 17.00 $ 14.03
======================================================================================================
Total Return............................ 9.39% (9.32)% 33.57% 21.70% 28.41%
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,621,646 $2,350,094 $2,098,654 $1,207,298 $609,950
Ratio of Expenses to Average Net
Assets**.............................. 0.58% 0.58% 0.60% 0.61% 0.64%
Ratio of Net Investment Income to
Average Net Assets.................... 0.49% 0.57% 0.37% 0.78% 0.85%
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 29.41% 22.51% 25.47% 14.91% 20.62%
- ------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ----------------------------------------
Net Asset Value, Beginning of Period.... $ 13.77 $ 16.89 $ 14.53 $ 12.64 $ 11.08
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.08 0.08 0.09 0.11 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 2.18 (1.55) 3.42 2.20 2.81
-------- -------- -------- -------- --------
Total From Investment Operations.... 2.26 (1.47) 3.51 2.31 2.90
- ----------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.07) (0.08) (0.12) (0.02) (0.14)
Net Realized Gains.................... (1.28) (1.57) (1.03) (0.40) (1.20)
-------- -------- -------- -------- --------
Total Distributions................. (1.35) (1.65) (1.15) (0.42) (1.34)
- ----------------------------------------
Net Asset Value, End of Period.......... $ 14.68 $ 13.77 $ 16.89 $ 14.53 $ 12.64
========================================
Total Return............................ 18.26% (9.27)% 26.12% 18.73% 28.75%
- ----------------------------------------
Net Assets, End of Period (thousands)... $398,665 $324,590 $337,992 $234,194 $186,644
Ratio of Expenses to Average Net
Assets**.............................. 0.43% 0.43% 0.45% 0.48% 0.49%
Ratio of Net Investment Income to
Average Net Assets.................... 0.62% 0.47% 0.48% 0.75% 0.83%
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 28.51% 29.15% 30.04% 32.38% 21.16%
- ----------------------------------------
</TABLE>
<TABLE>
<C> <S>
** Represents the combined ratios for the respective portfolio
and its respective pro-rata share of its Master Fund Series.
N/A Refer to Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
112
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE TAX-MANAGED
U.S. 6-10 SMALL COMPANY
PORTFOLIO THE U.S. 9-10 SMALL COMPANY PORTFOLIO
----------------------- ---------------------------------------------------------------------
DEC. 15, 1998 YEAR YEAR YEAR YEAR YEAR
TO ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period......................... $ 10.00 $ 10.65 $ 13.99 $ 12.14 $ 11.03 $ 8.49
------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.......... 0.02 0.04 0.02 0.03 0.03 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 2.17 2.00 (1.44) 3.01 1.85 2.61
------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations................. 2.19 2.04 (1.42) 3.04 1.88 2.66
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income.......... -- (0.02) (0.03) (0.03) (0.01) (0.04)
Net Realized Gains............. -- (0.13) (1.89) (1.16) (0.76) (0.08)
------- ---------- ---------- ---------- ---------- --------
Total Distributions.......... -- (0.15) (1.92) (1.19) (0.77) (0.12)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period... $ 12.19 $ 12.54 $ 10.65 $ 13.99 $ 12.14 $ 11.03
=================================================================================================================================
Total Return..................... 21.90%# 19.47% (11.14)% 27.46% 18.05% 31.37%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................... $67,274 $1,322,590 $1,338,510 $1,509,427 $1,181,804 $925,474
Ratio of Expenses to Average Net
Assets......................... 0.78%*(a) 0.61%(b) 0.59%(b) 0.60% 0.61% 0.62%
Ratio of Net Investment Income to
Average Net Assets............. 0.37%*(a) 0.30% 0.18% 0.21% 0.22% 0.45%
Portfolio Turnover Rate.......... 8.92%* N/A N/A 27.81% 23.68% 24.65%
Portfolio Turnover Rate of Master
Fund Series.................... N/A 22.51% 26.44% N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
(a) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
(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.
113
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 13.00 $ 15.53 $ 12.65 $ 10.00 $ 9.28
-------- --------- --------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.77 0.74 0.88 0.71 0.61
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (1.62) (2.52) 2.68 2.08 0.68
-------- --------- --------- ------- -------
Total From Investment Operations.... (0.85) (1.78) 3.56 2.79 1.29
- -----------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.65) (0.75) (0.68) (0.14) (0.46)
Net Realized Gains.................... -- -- -- -- --
Tax Return of Capital................. -- -- -- -- (0.11)
-------- --------- --------- ------- -------
Total Distributions................. (0.65) (0.75) (0.68) (0.14) (0.57)
- -----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 11.50 $ 13.00 $ 15.53 $ 12.65 $ 10.00
=====================================================================================================
Total Return............................ (6.75)% (12.01)% 29.13% 28.24% 14.00%
- -----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $130,039 $ 106,544 $ 95,072 $64,390 $43,435
Ratio of Expenses to Average Net
Assets................................ 0.47% 0.46% 0.48% 0.71% 0.82%
Ratio of Net Investment Income to
Average Net Assets.................... 6.82% 5.95% 5.73% 7.08% 6.76%
Portfolio Turnover Rate................. 7.71% 2.55% 30.73% 11.25% 0.66%
- -----------------------------------------------------------------------------------------------------
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ----------------------------------------
Net Asset Value, Beginning of Period.... $ 16.28 $ 14.27 $ 14.18 $ 12.60 $ 11.91
-------- -------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.20 0.23 0.23 0.21 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 3.19 2.03 0.15 1.39 0.95
-------- -------- ------- ------- -------
Total From Investment Operations.... 3.39 2.26 0.38 1.60 1.10
- ----------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.26) (0.25) (0.21) (0.02) (0.18)
Net Realized Gains.................... -- -- (0.08) -- (0.23)
Tax Return of Capital................. -- -- -- -- --
-------- -------- ------- ------- -------
Total Distributions................. (0.26) (0.25) (0.29) (0.02) (0.41)
- ----------------------------------------
Net Asset Value, End of Period.......... $ 19.41 $ 16.28 $ 14.27 $ 14.18 $ 12.60
========================================
Total Return............................ 21.12% 16.13% 2.80% 12.68% 9.37%
- ----------------------------------------
Net Assets, End of Period (thousands)... $268,340 $114,593 $87,223 $79,322 $67,940
Ratio of Expenses to Average Net
Assets................................ 0.53% 0.47% 0.47% 0.58% 0.57%
Ratio of Net Investment Income to
Average Net Assets.................... 1.38% 1.63% 1.69% 1.57% 1.84%
Portfolio Turnover Rate................. 1.73% 4.36% 2.31% 17.65% 24.44%
- ----------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
114
<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
----------------- ----------------------------------------------------------
APR. 16, 1999 YEAR YEAR YEAR OCT. 1,
TO ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1999 1998 1997 1996
<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................. 0.03 0.15 0.15 0.10 0.01
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 0.21 1.31 (0.04) (2.22) (0.05)
--------- -------- -------- -------- --------
Total From Investment Operations.... 0.24 1.46 0.11 (2.12) (0.04)
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- (0.15) (0.11) (0.02) --
Net Realized Gains.................... -- -- -- -- --
--------- -------- -------- -------- --------
Total Distributions................. -- (0.15) (0.11) (0.02) --
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.24 $ 9.13 $ 7.82 $ 7.82 $ 9.96
=======================================================================================================================
Total Return............................ 2.40%# 19.07% 1.49% (21.35)% (0.40)%#
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 39,242 $250,442 $273,992 $230,469 $104,118
Ratio of Expenses to Average Net
Assets**.............................. 1.56%*(a) 0.75% 0.73% 0.75% 0.70%*
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses)............................. 1.56%*(a) 0.75% 0.73% 0.75% 0.79%*
Ratio of Net Investment Income to
Average Net Assets.................... 0.83%*(a) 1.76% 1.62% 1.46% 0.54%*
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers
and Assumption of Expenses)........... 0.83%*(a) 1.76% 1.62% 1.46% 0.45%*
Portfolio Turnover Rate................. 0.12%* 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
years.
*** Refer to the respective Master Fund Series
(a) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
</TABLE>
See accompanying Notes to Financial Statements.
115
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE JAPANESE SMALL COMPANY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 9.10 $ 9.45 $ 21.03 $ 22.78 $ 25.06
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.05 0.07 0.09 0.07 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 2.02 (0.31) (10.45) (1.45) (1.65)
-------- -------- -------- -------- --------
Total From Investment Operations.... 2.07 (0.24) (10.36) (1.38) (1.59)
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.06) (0.11) (0.06) (0.01) (0.06)
Net Realized Gains.................... -- -- (1.16) (0.36) (0.63)
-------- -------- -------- -------- --------
Total Distributions................. (0.06) (0.11) (1.22) (0.37) (0.69)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 11.11 $ 9.10 $ 9.45 $ 21.03 $ 22.78
======================================================================================================
Total Return............................ 22.96% (2.37)% (51.90)% (6.28)% (6.54)%
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $144,533 $119,714 $114,017 $294,120 $371,113
Ratio of Expenses to Average Net
Assets**.............................. 0.73% 0.74% 0.73% 0.72% 0.74%
Ratio of Net Investment Income to
Average Net Assets.................... 0.61% 0.85% 0.50% 0.24% 0.25%
Portfolio Turnover Rate................. N/A N/A N/A 18.52%*(a) 7.79%
Portfolio Turnover Rate of Master Fund
Series................................ 6.21% 8.14% 13.17% 1.67%*(b) N/A
- ------------------------------------------------------------------------------------------------------
<CAPTION>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ----------------------------------------
Net Asset Value, Beginning of Period.... $ 6.55 $ 9.52 $ 16.63 $ 14.38 $ 15.98
-------- ------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.20 0.25 0.32 0.27 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 3.23 (2.40) (6.22) 2.40 (1.33)
-------- ------- -------- -------- --------
Total From Investment Operations.... 3.43 (2.15) (5.90) 2.67 (0.99)
- ----------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.22) (0.32) (0.33) (0.02) (0.34)
Net Realized Gains.................... -- (0.50) (0.88) (0.40) (0.27)
-------- ------- -------- -------- --------
Total Distributions................. (0.22) (0.82) (1.21) (0.42) (0.61)
- ----------------------------------------
Net Asset Value, End of Period.......... $ 9.76 $ 6.55 $ 9.52 $ 16.63 $ 14.38
========================================
Total Return............................ 54.36% (23.98)% (38.07)% 19.06% (6.27)%
- ----------------------------------------
Net Assets, End of Period (thousands)... $131,782 $89,330 $111,320 $215,542 $193,137
Ratio of Expenses to Average Net
Assets**.............................. 0.94% 0.84% 0.84% 0.84% 0.83%
Ratio of Net Investment Income to
Average Net Assets.................... 2.50% 3.51% 1.95% 1.70% 2.22%
Portfolio Turnover Rate................. N/A N/A N/A 7.05%*(a) 5.95%
Portfolio Turnover Rate of Master Fund
Series................................ 33.65% 25.84% 24.00% 8.04%(b) N/A
- ----------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
** Represents the combined ratios for the respective portfolio
and its respective pro-rata share of its Master Fund Series.
N/A Refer to the respective 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.
116
<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 YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 21.63 $ 28.69 $ 28.47 $ 24.09 $ 23.20
--------- --------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).......... 0.77 0.87 0.81 0.72 0.84
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 5.67 (4.27) 1.46 5.31 1.12
--------- --------- -------- -------- --------
Total From Investment Operations.... 6.44 (3.40) 2.27 6.03 1.96
- ---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.81) (0.84) (0.73) (0.06) (0.76)
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)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 24.22 $ 21.63 $ 28.69 $ 28.47 $ 24.09
=========================================================================================================
Total Return............................ 36.08% (13.56)% 8.45% 26.76% 8.39%
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 83,826 $ 79,231 $130,891 $166,789 $167,730
Ratio of Expenses to Average Net
Assets**.............................. 0.72% 0.72% 0.70% 0.73% 0.72%
Ratio of Net Investment Income to
Average Net Assets.................... 3.11% 2.87% 2.40% 2.49% 2.51%
Portfolio Turnover Rate................. N/A N/A N/A 3.72%*(a) 7.82%
Portfolio Turnover Rate of Master Fund
Series................................ 4.95% 11.26% 4.26% 4.55%*(b) N/A
- ---------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
** Represents the combined ratios for the portfolio and its
pro-rata share of its Master Fund Series for the period
ended November 30, 1996 and subsequent periods.
(a) Portfolio turnover calculated for the period December 1,
1995 to August 9, 1996 (through the date on which the
portfolio transferred its investable assets to its
corresponding Master Fund Series in a tax-free exchange).
(b) Calculated for the period August 9 to November 30, 1996.
N/A Refer to the Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
117
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 17.42 $ 15.94 $ 15.26 $ 14.13 $ 14.63
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.24 0.28 0.29 0.30 0.29
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (1.26) 2.55 1.55 1.58 (0.48)
--------- --------- --------- --------- ---------
Total From Investment Operations.... (1.02) 2.83 1.84 1.88 (0.19)
- ---------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.29) (0.25) (0.29) (0.02) (0.29)
Net Realized Gains.................... (1.82) (1.10) (0.87) (0.73) (0.02)
--------- --------- --------- --------- ---------
Total Distributions................. (2.11) (1.35) (1.16) (0.75) (0.31)
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 14.29 $ 17.42 $ 15.94 $ 15.26 $ 14.13
===============================================================================================================
Total Return............................ (6.26%) 19.42% 13.02% 13.96% (1.33)%
- ---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 160,743 $ 199,838 $ 232,744 $ 299,325 $ 314,116
Ratio of Expenses to Average Net
Assets................................ 0.70%** 0.70%** 0.72%** 0.73%** 0.74%
Ratio of Net Investment Income to
Average Net Assets.................... 1.56% 1.32% 1.41% 1.81% 1.69%
Portfolio Turnover Rate................. N/A N/A N/A 3.67%*(a) 9.79%
Portfolio Turnover Rate of Master Fund
Series................................ 10.74% 0.74% 3.46% 6.69%*(b) N/A
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERNATIONAL
SMALL CAP VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR DEC. 30,
ENDED ENDED ENDED ENDED 1994 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<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................. 0.14 0.15 0.12 0.11 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 1.12 (0.16) (2.19) 0.66 (0.32)
-------- -------- -------- -------- --------
Total From Investment Operations.... 1.26 (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)
-------- -------- -------- -------- --------
Total Distributions................. (0.31) (0.40) (0.43) -- (0.05)
- ----------------------------------------
Net Asset Value, End of Period.......... $ 8.49 $ 7.54 $ 7.95 $ 10.45 $ 9.68
========================================
Total Return............................ 17.54% 0.17% (20.60)% 8.01% (2.73)%#
- ----------------------------------------
Net Assets, End of Period (thousands)... $525,133 $450,801 $431,257 $375,488 $147,125
Ratio of Expenses to Average Net
Assets................................ 0.83% 0.86% 0.90% 0.99% 1.23%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.81% 1.85% 1.47% 1.38% 1.43%*
Portfolio Turnover Rate................. 16.05% 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>
* 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) Items calculated for the period August 9 to November 30,
1996.
</TABLE>
See accompanying Notes to Financial Statements.
118
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING MARKETS PORTFOLIO
-----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 8.16 $ 9.61 $ 11.71 $ 10.35 $ 11.30
-------- -------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.08 0.13 0.12 0.09 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 4.22 (1.32) (2.13) 1.27 (0.96)
-------- -------- -------- -------- -------
Total From Investment Operations.... 4.30 (1.19) (2.01) 1.36 (0.90)
- -----------------------------------------------------------------------------------------------
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.......... $ 12.37 $ 8.16 $ 9.61 $ 11.71 $ 10.35
===============================================================================================
Total Return............................ 53.34% (12.57)% (17.27)% 13.18% (7.96)%
- -----------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $330,604 $225,227 $212,048 $162,025 $49,337
Ratio of Expenses to Average Net
Assets**.............................. 0.91% 1.00% 0.99% 1.15% 1.58%
Ratio of Net Investment Income to
Average Net Assets.................... 0.90% 1.19% 1.19% 1.14% 0.98%
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 15.59% 9.76% 0.54% 0.37% 8.17%
- -----------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING
MARKETS
SMALL CAP PORTFOLIO
--------------------
YEAR MARCH 6,
ENDED TO
NOV. 30, NOV. 30,
1999 1998
<S> <C> <C>
- ----------------------------------------
Net Asset Value, Beginning of Period.... $ 9.09 $10.00
------- ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.04 (0.01)
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 6.11 (0.90)
------- ------
Total From Investment Operations.... 6.15 (0.91)
- ----------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- --
Net Realized Gains.................... (0.36) --
------- ------
Total Distributions................. (.36) --
- ----------------------------------------
Net Asset Value, End of Period.......... $ 14.88 $ 9.09
========================================
Total Return............................ 70.30% (9.10)%#
- ----------------------------------------
Net Assets, End of Period (thousands)... $11,734 $5,021
Ratio of Expenses to Average Net
Assets**.............................. 1.77% 2.36%*(a)
Ratio of Net Investment Income to
Average Net Assets.................... 0.73% (0.29)%*(a)
Portfolio Turnover Rate................. N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 23.98% 13.41%
- ----------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for The Emerging Markets
Portfolio and The Emerging Markets Small Cap Portfolio and
their respective pro-rata share of their Master Fund
Series for the period ended November 30, 1996 and subsequent
periods.
(a) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
N/A Refer to Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
119
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO (1)
--------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period...................... $ 10.22 $ 10.23 $ 10.24 $ 10.21 $ 10.05
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.52 0.57 0.59 0.56 0.60
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.04) -- (0.01) 0.03 0.17
-------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.48 0.57 0.58 0.59 0.77
- ----------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.52) (0.57) (0.59) (0.56) (0.60)
Net Realized Gains.......... (0.01) (0.01) -- -- (0.01)
-------- -------- -------- -------- --------
Total Distributions....... (0.53) (0.58) (0.59) (0.56) (0.61)
- ----------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.17 $ 10.22 $ 10.23 $ 10.24 $ 10.21
==================================================================================
Total Return.................. 4.80% 5.74% 5.84% 5.94% 7.80%
- ----------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $712,520 $752,510 $752,237 $854,521 $704,950
Ratio of Expenses to Average
Net Assets**................ 0.21% 0.21% 0.22% 0.21% 0.20%
Ratio of Net Investment Income
to Average Net Assets....... 5.07% 5.51% 5.79% 5.39% 5.86%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 57.58% 23.62% 82.84% 95.84% 81.31%
- ----------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR GLOBAL
FIXED INCOME PORTFOLIO
----------------------------------------
YEAR YEAR YEAR FEB. 9,
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
<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....... 0.56 0.61 0.69 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.09) 0.01 (0.12) 0.35
-------- -------- -------- --------
Total From Investment
Operations.............. 0.47 0.62 0.57 0.59
- ------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.36) (0.79) (0.53) (0.22)
Net Realized Gains.......... (0.01) (0.02) (0.01) --
-------- -------- -------- --------
Total Distributions....... (.37) (0.81) (0.54) (0.22)
- ------------------------------
Net Asset Value, End of
Period...................... $ 10.31 $ 10.21 $ 10.40 $ 10.37
==============================
Total Return.................. 4.69% 6.39% 5.66% 6.01%#
- ------------------------------
Net Assets, End of Period
(thousands)................. $531,488 $440,885 $418,905 $319,343
Ratio of Expenses to Average
Net Assets**................ 0.27% 0.29% 0.34% 0.33%*
Ratio of Net Investment Income
to Average Net Assets....... 5.59% 5.90% 6.70% 3.10%*
Portfolio Turnover Rate....... N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 78.15% 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, 1995 and subsequent periods.
N/A Refer to Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
120
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................... $ 10.35 $ 10.36 $ 10.42 $ 10.05 $ 9.75
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.49 0.54 0.59 0.65 0.59
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.08) 0.01 (0.06) 0.09 0.30
-------- -------- -------- -------- --------
Total From Investment
Operations................... 0.41 0.55 0.53 0.74 0.89
- ---------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.50) (0.56) (0.59) (0.37) (0.59)
Net Realized Gains............... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............ (0.50) (0.56) (0.59) (0.37) (0.59)
- ---------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 10.26 $ 10.35 $ 10.36 $ 10.42 $ 10.05
=======================================================================================
Total Return....................... 4.11% 5.50% 5.39% 7.51% 9.35%
- ---------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $219,022 $210,986 $204,377 $174,386 $300,921
Ratio of Expenses to Average Net
Assets........................... 0.28% 0.29% 0.29% 0.30% 0.28%
Ratio of Net Investment Income to
Average Net Assets............... 4.95% 5.18% 5.95% 5.63% 6.14%
Portfolio Turnover Rate............ 57.35% 6.93% 27.78% 211.97% 398.09%
- ---------------------------------------------------------------------------------------
<CAPTION>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- -----------------------------------
Net Asset Value, Beginning of
Period........................... $ 10.65 $ 10.88 $ 11.04 $ 10.51 $ 9.81
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.37 0.45 0.48 0.50 0.39
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.01 0.42 0.33 0.61 1.08
-------- -------- -------- -------- --------
Total From Investment
Operations................... 0.38 0.87 0.81 1.11 1.47
- -----------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.22) (1.04) (0.88) (0.58) (0.77)
Net Realized Gains............... (0.28) (0.06) (0.09) -- --
-------- -------- -------- -------- --------
Total Distributions............ (0.50) (1.10) (0.97) (0.58) (0.77)
- -----------------------------------
Net Asset Value, End of Period..... $ 10.53 $ 10.65 $ 10.88 $ 11.04 $ 10.51
===================================
Total Return....................... 3.63% 8.78% 7.87% 11.13% 15.23%
- -----------------------------------
Net Assets, End of Period
(thousands) $472,334 $371,619 $250,078 $165,772 $208,166
Ratio of Expenses to Average Net
Assets........................... 0.39% 0.41% 0.42% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets............... 3.62% 3.87% 4.50% 4.88% 5.80%
Portfolio Turnover Rate............ 58.80% 74.36% 95.12% 97.78% 130.41%
- -----------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
See accompanying Notes to Financial Statements.
121
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 11.78 $ 11.28 $ 11.22 $ 11.24 $ 10.22
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.61 0.61 0.66 0.65 0.70
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (0.89) 0.59 0.06 (0.13) 1.11
-------- -------- -------- -------- --------
Total From Investment Operations.... (0.28) 1.20 0.72 0.52 1.81
- --------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.58) (0.65) (0.66) (0.50) (0.70)
Net Realized Gains.................... (0.08) (0.05) -- (0.04) (0.09)
-------- -------- -------- -------- --------
Total Distributions................. (0.66) (0.70) (0.66) (0.54) (0.79)
- --------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.84 $ 11.78 $ 11.28 $ 11.22 $ 11.24
========================================================================================================
Total Return............................ (2.41)% 11.07% 6.75% 4.98% 18.04%
- --------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $256,376 $239,035 $136,555 $107,944 $ 78,087
Ratio of Expenses to Average Net
Assets................................ 0.21% 0.24% 0.25% 0.26% 0.27%
Ratio of Net Investment Income to
Average Net Assets.................... 5.58% 5.77% 6.20% 6.22% 6.44%
Portfolio Turnover Rate................. 13.05% 23.79% 24.06% 30.84% 40.79%
- --------------------------------------------------------------------------------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
See accompanying Notes to Financial Statements.
122
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-five of the Fund's thirty-eight portfolios (the "Portfolios") are
included in this report. Of the remaining thirteen 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 five
have 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 11/30/99
- ------------------------------------------------ ------------------------------------------- -----------
<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 66%
The Tax-Managed U.S. Marketwide Value Portfolio The Tax-Managed U.S. Marketwide Value 79%
Series
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 68%
The U.S. 9-10 Small Company Portfolio The U.S. 9-10 Small Company Series 100%
The International Small Company Portfolio The Japanese Small Company Series 29%
The Pacific Rim Small Company Series 28%
The United Kingdom Small Company Series 37%
The Continental Small Company Series 36%
The Japanese Small Company Portfolio The Japanese Small Company Series 71%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 72%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 63%
The Continental Small Company Portfolio The Continental Small Company Series 64%
The Emerging Markets Portfolio The Emerging Markets Series 96%
The Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 29%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 87%
The DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
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.
123
<PAGE>
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 Five-Year
Global Fixed Income Portfolio and The DFA Intermediate Government 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
Five-Year 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
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.
124
<PAGE>
3. FEDERAL INCOME TAXES: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions from The DFA
Investment Trust Company and/or foreign currency and foreign taxes on capital
gains. 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 year ended November 30, 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...... .10 of 1%(a)
</TABLE>
(a) 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.
125
<PAGE>
For the year ended November 30, 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 November 30, 1999, approximately $1,208,000 of previously waived fees
are subject to future reimbursement to the Advisor over various periods not
exceeding November 30, 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 November 30, 1999, there
were no previously waived fees subject to future reimbursement by the Advisor.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
126
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 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
--------- -------- --------- ---------
<S> <C> <C> <C> <C>
(000) (000) (000) (000)
The Tax-Managed U.S. 5-10 Value Portfolio................... -- -- $273,838 $ 26,969
The Tax-Managed U.S. 6-10 Small Company Portfolio........... -- -- 61,997 2,994
The DFA Real Estate Securities Portfolio.................... -- -- 49,840 8,874
The Large Cap International Portfolio....................... -- -- 130,782 2,959
The DFA Tax-Managed International Value Portfolio........... -- -- 38,968 63
The DFA International Small Cap Value Portfolio............. -- -- 88,304 78,265
The DFA Five-Year Government Portfolio...................... $80,714 $68,376 202,858 --
The DFA Five-Year Global Fixed Income Portfolio............. -- -- 349,889 222,676
The DFA Intermediate Government Fixed Income Portfolio...... 23,987 15,516 45,480 15,359
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 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 UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Portfolio........................... $337,376 $(22,595) $ 314,781
The Enhanced U.S. Large Company Portfolio.................. 10,886 -- 10,886
The U.S. Large Cap Value Portfolio......................... 209,970 -- 209,970
The Tax-Managed U.S. Marketwide Value Portfolio............ 8,711 (10,439) (1,728)
The Tax-Managed U.S. 5-10 Value Portfolio.................. 44,024 (30,205) 13,819
The U.S. 6-10 Value Portfolio.............................. 289,268 -- 289,268
The U.S. 6-10 Small Company Portfolio...................... 70,617 -- 70,617
The Tax-Managed U.S. 6-10 Small Company Portfolio.......... 13,812 (6,071) 7,741
The U.S. 9-10 Small Company Portfolio...................... 325,279 -- 325,279
The DFA Real Estate Securities Portfolio................... 5,356 (20,954) (15,598)
The Large Cap International Portfolio...................... 76,064 (10,354) 65,710
The Tax-Managed DFA International Value Portfolio.......... 2,927 (2,803) 124
The International Small Company Portfolio.................. 10,427 (44,838) (34,409)
The Japanese Small Company Portfolio....................... 11,337 (147,743) (136,406)
The Pacific Rim Small Company Portfolio.................... -- (23,609) (23,609)
The United Kingdom Small Company Portfolio................. 70,453 (52,450) 18,003
The Continental Small Company Portfolio.................... 72,449 (43,760) 28,689
The DFA International Small Cap Value Portfolio............ 77,544 (165,221) (87,677)
The Emerging Markets Portfolio............................. 105,686 (59,195) 46,491
The Emerging Markets Small Cap Portfolio................... 293 (42) 251
The DFA One-Year Fixed Income Portfolio.................... -- (725) (725)
The DFA Two-Year Global Fixed Income Portfolio............. 13 -- 13
The DFA Five-Year Government Portfolio..................... -- (1,941) (1,941)
The DFA Five-Year Global Fixed Income Portfolio............ -- (8,420) (8,420)
The DFA Intermediate Government Fixed Income Portfolio..... 123 (10,839) (10,716)
</TABLE>
127
<PAGE>
At November 30, 1999, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
EXPIRES ON NOVEMBER 30,
------------------------------------------
2002 2003 2004 2005 2006 2007 TOTAL
---- ------ ---- ------ ------- ------- -------
(AMOUNTS IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
The Tax-Managed U.S. Marketwide Portfolio..... -- -- -- -- -- $ 703 $ 703
The Tax-Managed 5-10 Value Portfolio.......... -- -- -- -- -- 1,153 1,153
The Tax-Managed 6-10 Small Company
Portfolio.................................... -- -- -- -- -- 500 500
The DFA Real Estate Securities Portfolio...... $134 -- $381 -- $ 127 2,173 2,815
The Tax-Managed DFA International Value
Portfolio.................................... -- -- -- -- -- 1 1
The International Small Company Portfolio..... -- -- -- -- -- 55 55
The Japanese Small Company Portfolio.......... -- -- -- $1,532 7,918 2,826 12,276
The Pacific Rim Small Company Portfolio....... -- -- -- -- -- 10,439 10,439
The DFA International Small Cap Value
Portfolio.................................... -- -- -- -- -- 4,269 4,269
The Emerging Markets Portfolio................ -- -- -- -- 19,586 1,825 21,411
The One-Year Fixed Income Portfolio........... -- -- -- -- -- 184 184
The DFA Five-Year Government Portfolio........ -- $7,871 887 -- -- 70 8,828
The Five-Year Global Fixed Income Portfolio... -- -- -- -- -- 275 275
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1999 NET ASSETS CONSIST OF:
-------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED ACCUMULATED APPRECIATION UNREALIZED
NET NET REALIZED (DEPRECIATION) OF NET FOREIGN
INVESTMENT ACCUMULATED FOREIGN INVESTMENT EXCHANGE
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
---------- ------------- ------------ ------------ ----------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The U.S. Large Company
Portfolio............... $ 574,426 $ 1,356 $ 476 -- $ 320,146 -- $ 896,404
The Enhanced U.S. Large
Company Portfolio....... 84,173 2,810 3,238 -- 11,979 -- 102,200
The U.S. Large Cap Value
Portfolio............... 881,345 3,789 68,400 -- 224,228 -- 1,177,762
The Tax-Managed U.S.
Marketwide Value
Portfolio............... 101,683 327 (784) -- (1,647) -- 99,579
The Tax-Managed U.S. 5-10
Value Portfolio......... 252,858 1,211 (1,321) -- 13,987 -- 266,735
The U.S. 6-10 Value
Portfolio............... 2,162,659 10,838 97,284 -- 350,865 -- 2,621,646
The U.S. 6-10 Small
Company Portfolio....... 304,869 1,778 9,052 -- 82,966 -- 398,665
The Tax-Managed U.S. 6-10
Small Company
Portfolio............... 59,884 150 (521) -- 7,761 -- 67,274
The U.S. 9-10 Small
Company Portfolio....... 900,648 8,355 46,956 -- 366,631 -- 1,322,590
The DFA Real Estate
Securities Portfolio.... 142,233 6,219 (2,818) -- (15,595) -- 130,039
The Large Cap
International
Portfolio............... 197,633 2,074 1,755 $ 38 66,835 $ 5 268,340
The Tax-Managed DFA
International Value
Portfolio............... 39,036 93 (1) (27) 124 17 39,242
The International Small
Company Portfolio....... 279,844 3,735 588 581 (34,293) (13) 250,442
The Japanese Small
Company Portfolio....... 292,602 502 (15,366) 95 (133,316) 16 144,533
The Pacific Rim Small
Company Portfolio....... 160,671 1,758 (9,409) 1,861 (23,099) -- 131,782
The United Kingdom Small
Company Portfolio....... 53,555 2,820 9,424 (44) 18,075 (4) 83,826
<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............... 200,000,000
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............... 300,000,000
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
</TABLE>
128
<PAGE>
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1999 NET ASSETS CONSIST OF:
-------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED ACCUMULATED APPRECIATION UNREALIZED
NET NET REALIZED (DEPRECIATION) OF NET FOREIGN
INVESTMENT ACCUMULATED FOREIGN INVESTMENT EXCHANGE
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
---------- ------------- ------------ ------------ ----------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The Continental Small
Company Portfolio....... $ 107,585 $ 3,204 $ 21,162 $ (181) $ 28,984 $ (11) $ 160,743
The DFA International
Small Cap Value
Portfolio............... 604,982 8,277 (2,604) 749 (86,242) (29) 525,133
The Emerging Markets
Portfolio............... 303,447 91 (24,722) (217) 52,006 (1) 330,604
The Emerging Markets
Small Cap Portfolio..... 6,977 58 4,406 (28) 321 -- 11,734
The DFA One-Year Fixed
Income Portfolio........ 713,429 -- (4,654) -- 3,745 -- 712,520
The DFA Two-Year Global
Fixed Income
Portfolio............... 521,060 10,390 (2,294) -- 2,332 -- 531,488
The DFA Five-Year
Government Portfolio.... 224,195 5,595 (8,827) -- (1,941) -- 219,022
The DFA Five-Year Global
Fixed Income
Portfolio............... 465,928 11,888 (7,498) 5,791 (8,420) 4,645 472,334
The DFA Intermediate
Government Fixed Income
Portfolio............... 262,590 3,610 892 -- (10,716) -- 256,376
<CAPTION>
NUMBER OF
SHARES
AUTHORIZED
-----------------
<S> <C>
The Continental Small
Company Portfolio....... 50,000,000
The DFA International
Small Cap Value
Portfolio............... 200,000,000
The Emerging Markets
Portfolio............... 100,000,000
The Emerging Markets
Small Cap Portfolio..... 100,000,000
The DFA One-Year Fixed
Income Portfolio........ 300,000,000
The DFA Two-Year Global
Fixed Income
Portfolio............... 200,000,000
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 November 30, 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
November 30, 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
VALUE AT FOREIGN
EXPIRATION CONTRACT NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD AMOUNT 1999 GAIN
- --------------------- -------------------------------------- ------------- ------------- -----------
<C> <C> <S> <C> <C> <C>
12/22/99 54,012,233 Australian Dollar $ 34,464,968 $ 34,334,683 $ 130,285
12/22/99 94,096,822 Danish Krone 13,037,149 12,736,734 300,415
12/27/99 236,634,730 Swedish Krona 28,287,614 27,835,974 451,640
12/29/99 174,016,063 European Currency Unit 178,845,135 175,214,530 3,630,605
12/29/99 8,687,249,757 Japanese Yen 85,061,692 85,014,897 46,795
12/29/99 32,918,267 Canadian Dollar 22,430,185 22,346,254 83,931
12/30/99 8,043,698 British Pounds 12,878,163 12,811,278 66,885
------------ ------------ ----------
$375,004,906 $370,294,350 $4,710,556
============ ============ ==========
</TABLE>
129
<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 year ended November 30, 1999, borrowings
under the line were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
<S> <C> <C> <C> <C> <C>
The DFA Real Estate Securities
Portfolio............................. 5.35% $470,424 17 $1,468 $1,440,000
The International Small Company
Portfolio............................. 5.25% 320,000 1 47 320,000
The United Kingdom Small Company
Portfolio............................. 5.71% 70,350 6 67 205,000
</TABLE>
There were no outstanding borrowings under the line of credit at November 30,
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.
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio, The Continental
Small Company Portfolio and The Emerging Markets Small Cap Portfolio 1.00% of
the net asset value of their shares. The reimbursement fee for The DFA
International Small Cap Value Portfolio and The International Small Company
Portfolio is .675% of the net asset value of its shares.
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
November 30, 1999 was
130
<PAGE>
reinvested into overnight repurchase agreements with JP Morgan 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 November 30, 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......... $ 3,018,845 $ 4,133,760 $ 4,221,003
The Tax-Managed U.S. 6-10 Small Company
Portfolio....................................... 3,274,026 3,675,952 3,753,533
The DFA Real Estate Securities Portfolio.......... 1,342,050 1,361,500 1,390,234
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIOS
- -------------------------------
<S> <C> <C> <C>
The Large Cap International Portfolio............. 3,281,168 3,474,660 3,789,640
The DFA International Small Cap Value Portfolio... 33,526,293 37,620,993 38,872,598
</TABLE>
131
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The U.S. Large Company Portfolio,
The Enhanced U.S. Large Company Portfolio, The U.S. Large Cap Value Portfolio,
The Tax-Managed U.S. Marketwide Value Portfolio, The Tax-Managed U.S. 5-10 Value
Portfolio, The U.S. 6-10 Value Portfolio, The U.S. 6-10 Small Company Portfolio,
The Tax-Managed U.S. 6-10 Small Company Portfolio, The U.S. 9-10 Small Company
Portfolio, The DFA Real Estate Securities Portfolio, The Large Cap International
Portfolio, The Tax-Managed DFA International Value Portfolio, The International
Small Company Portfolio, The Japanese Small Company Portfolio, The Pacific Rim
Small Company Portfolio, The United Kingdom Small Company Portfolio, The
Continental Small Company Portfolio, The DFA International Small Cap Value
Portfolio, The Emerging Markets Portfolio, The Emerging Markets Small Cap
Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA Two-Year Global
Fixed Income Portfolio, The DFA Five-Year Government Portfolio, The DFA
Five-Year Global Fixed Income Portfolio and The DFA Intermediate Government
Fixed Income Portfolio (constituting DFA Investment Dimensions Group Inc.,
hereafter referred to as the "Fund"), at November 30, 1999, and the results of
each of their operations, the changes in each of their net assets and the
financial highlights for each of the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 1999 by
correspondence with the custodians and brokers, provide a reasonable basis for
the opinion expressed above.
PRICEWATERHOUSECOOPERS LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
132
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
- --------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
MARCH 1994-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA INTERNATIONAL MSCI EAFE INDEX
VALUE PORTFOLIO (NET DIVIDENDS)
$10,000 $10,000
Mar-94 $9,733 $9,569
Apr-94 $10,060 $9,975
May-94 $10,119 $9,918
Jun-94 $10,234 $10,058
Jul-94 $10,433 $10,155
Aug-94 $10,593 $10,396
Sep-94 $10,220 $10,068
Oct-94 $10,649 $10,404
Nov-94 $10,086 $9,903
Dec-94 $10,144 $9,966
Jan-95 $9,743 $9,583
Feb-95 $9,722 $9,556
Mar-95 $10,292 $10,152
Apr-95 $10,613 $10,533
May-95 $10,543 $10,408
Jun-95 $10,439 $10,225
Jul-95 $11,026 $10,862
Aug-95 $10,642 $10,448
Sep-95 $10,708 $10,652
Oct-95 $10,504 $10,365
Nov-95 $10,787 $10,653
Dec-95 $11,310 $11,083
Jan-96 $11,423 $11,128
Feb-96 $11,485 $11,166
Mar-96 $11,651 $11,404
Apr-96 $12,102 $11,736
May-96 $11,989 $11,520
Jun-96 $12,027 $11,584
Jul-96 $11,707 $11,246
Aug-96 $11,748 $11,271
Sep-96 $11,951 $11,570
Oct-96 $11,836 $11,452
Nov-96 $12,365 $11,908
Dec-96 $12,193 $11,755
Jan-97 $11,787 $11,343
Feb-97 $11,895 $11,529
Mar-97 $11,934 $11,571
Apr-97 $11,869 $11,632
May-97 $12,768 $12,389
Jun-97 $13,313 $13,072
Jul-97 $13,497 $13,284
Aug-97 $12,613 $12,291
Sep-97 $13,069 $12,980
Oct-97 $12,387 $11,983
Nov-97 $11,856 $11,861
Dec-97 $11,811 $11,964
Jan-98 $12,518 $12,511
Feb-98 $13,337 $13,314
Mar-98 $13,926 $13,724
Apr-98 $13,971 $13,832
May-98 $14,092 $13,764
Jun-98 $13,957 $13,869
Jul-98 $14,113 $14,009
Aug-98 $12,263 $12,273
Sep-98 $11,600 $11,898
Oct-98 $12,754 $13,138
Nov-98 $13,314 $13,810
Dec-98 $13,567 $14,356
Jan-99 $13,295 $14,313
Feb-99 $12,956 $13,972
Mar-99 $13,748 $14,555
Apr-99 $14,563 $15,144
May-99 $13,828 $14,364
Jun-99 $14,445 $14,924
Jul-99 $14,960 $15,368
Aug-99 $15,108 $15,425
Sep-99 $15,166 $15,580
Oct-99 $15,085 $16,157
Nov-99 $15,039 $16,717
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1994
--------------------------------------------------
<S> <C> <C> <C>
12.96 8.32 7.35
</TABLE>
- - THE PORTFOLIO INVESTS IN THE DFA INTERNATIONAL VALUE SERIES OF THE DFA
INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN COMPANIES WITH MARKET
CAPITALIZATION OF AT LEAST $800 MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER
30% OF LARGE PUBLICLY TRADED NON-U.S. COMPANIES. COUNTRY WEIGHTINGS REFLECT
THE MSCI EAFE INDEX MARKET CAPITALIZATION WEIGHT, WITH JAPAN LIMITED TO 38%.
- - THE PORTFOLIOS' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE,
NON-U.S. COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
133
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA International Value Series of The DFA
Investment Trust Company
(34,431,106 Shares, Cost $363,132)++ at Value+............ $ 453,802
Receivable for Investment Securities Sold................... 252
Receivable for Fund Shares Sold............................. 337
Prepaid Expenses and Other Assets........................... 24
-----------
Total Assets............................................ 454,415
-----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 589
Accrued Expenses............................................ 113
-----------
Total Liabilities....................................... 702
-----------
NET ASSETS.................................................. $ 453,713
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 34,711,781
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 13.07
===========
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 359,050
Undistributed Net Investment Income......................... 798
Undistributed Net Realized Gain............................. 3,195
Unrealized Appreciation of Investment Securities............ 90,670
-----------
Total Net Assets........................................ $ 453,713
===========
</TABLE>
- --------------
+ See Note B to the financial statements.
++ The cost for federal income tax purposes is $369,069.
See accompanying Notes to Financial Statements.
134
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received From The DFA Investment
Trust Company.......................................... $11,497
-------
EXPENSES
Administrative Services................................. 940
Accounting & Transfer Agent Fees........................ 32
Legal Fees.............................................. 27
Audit Fees.............................................. 5
Filing Fees............................................. 40
Shareholders' Reports................................... 41
Directors' Fees and Expenses............................ 10
Other................................................... 4
-------
Total Expenses...................................... 1,099
-------
NET INVESTMENT INCOME................................... 10,398
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment
Trust Company............................................. 966
Net Realized Gain on Investment Securities.................. 4,109
Change in Unrealized Appreciation of Investment
Securities................................................ 42,239
-------
NET GAIN ON INVESTMENT SECURITIES....................... 47,314
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $57,712
=======
</TABLE>
See accompanying Notes to Financial Statements.
135
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1999 1998
---------- ----------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 10,398 $ 8,434
Capital Gain Distributions Received from The DFA
Investment Trust Company.............................. 966 974
Net Realized Gain (Loss) on Investment Securities....... 4,109 (2,087)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. 42,239 38,017
--------- ---------
Net Increase in Net Assets Resulting from
Operations........................................ 57,712 45,338
--------- ---------
Distributions From:
Net Investment Income................................... (10,602) (8,141)
Net Realized Gains...................................... (1,572) (4,616)
--------- ---------
Total Distributions................................. (12,174) (12,757)
--------- ---------
Capital Share Transactions (1):
Shares Issued........................................... 126,813 131,742
Shares Issued in Lieu of Cash Distributions............. 12,172 12,746
Shares Redeemed......................................... (166,397) (111,599)
--------- ---------
Net Increase (Decrease) From Capital Share
Transactions...................................... (27,412) 32,889
--------- ---------
Total Increase...................................... 18,126 65,470
NET ASSETS
Beginning of Period..................................... 435,587 370,117
--------- ---------
End of Period........................................... $ 453,713 $ 435,587
========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 10,154 11,225
Shares Issued in Lieu of Cash Distributions............. 983 1,149
Shares Redeemed......................................... (13,104) (9,535)
--------- ---------
(1,965) 2,839
========= =========
</TABLE>
See accompanying Notes to Financial Statements.
136
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period.............. $ 11.88 $ 10.94 $ 11.90 $ 10.55 $ 10.06
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment
Income............ 0.28 0.24 0.19 0.21 0.19
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 1.24 1.08 (0.65) 1.31 0.51
-------- -------- -------- -------- --------
Total from
Investment
Operations........ 1.52 1.32 (0.46) 1.52 0.70
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment
Income............ (0.29) (0.24) (0.21) (0.17) (0.19)
Net Realized
Gains............. (0.04) (0.14) (0.29) -- (0.02)
-------- -------- -------- -------- --------
Total
Distributions..... (0.33) (0.38) (0.50) (0.17) (0.21)
-------- -------- -------- -------- --------
Net Asset Value, End
of Period........... $ 13.07 $ 11.88 $ 10.94 $ 11.90 $ 10.55
======== ======== ======== ======== ========
Total Return.......... 12.96% 12.29% (4.04)% 14.54% 6.95%
Net Assets, End of
Period
(thousands)......... $453,713 $435,587 $370,117 $316,708 $245,243
Ratio of Expenses to
Average Net Assets
(1)................. 0.52% 0.53% 0.56% 0.56% 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%
Ratio of Net
Investment Income to
Average Net
Assets.............. 2.21% 2.04% 1.72% 2.22% 1.79%
Ratio of Net
Investment Income to
Average Net Assets
(excluding waivers
and assumption of
expenses)........... 2.21% 2.04% 1.72% 2.21% 1.71%
Portfolio Turnover
Rate................ N/A N/A N/A N/A N/A
Portfolio Turnover
Rate of Master Fund
Series.............. 5.80% 15.41% 22.55% 12.23% 9.75%
</TABLE>
- --------------
(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.
137
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios, of
which The DFA International Value Portfolio (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series") a corresponding series of The DFA Investment Trust
Company. At November 30, 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. The component of net assets may be adjusted for current period
permanent book/tax differences which arose principally from differing book/tax
treatments of net short-term capital gain distributions from The DFA Investment
Trust Company and/or foreign currency and foreign taxes on capital gains.
Expenses directly attributable to the Portfolio or to the Series are directly
charged. Common expenses are allocated using methods determined by the Board of
Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the year ended November 30,1999, 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.
138
<PAGE>
D. INVESTMENTS:
At November 30, 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........................... $84,733
Gross Unrealized Depreciation........................... --
-------
Net................................................... $84,733
=======
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the year ended November 30, 1999.
139
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statement of assets and liabilities, and
the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of The DFA International Value Portfolio, (constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Fund") at November 30,
1999, and the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audit. We
conducted our audit of these financial statements in accordance with generally
accepted auditing standards, which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit, which included confirmation of securities at November 30, 1999 by
correspondence with the custodian, provides a reasonable basis for the opinion
expressed above.
PRICEWATERHOUSECOOPERS LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
140
<PAGE>
DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
MARCH 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. LARGE COMPANY SERIES S&P 500 INDEX
$10,000 $10,000
Mar-93 $10,212 $10,215
Apr-93 $9,959 $9,965
May-93 $10,222 $10,234
Jun-93 $10,243 $10,268
Jul-93 $10,202 $10,219
Aug-93 $10,580 $10,609
Sep-93 $10,509 $10,530
Oct-93 $10,724 $10,744
Nov-93 $10,621 $10,643
Dec-93 $10,756 $10,774
Jan-94 $11,109 $11,135
Feb-94 $10,808 $10,834
Mar-94 $10,350 $10,363
Apr-94 $10,485 $10,498
May-94 $10,652 $10,669
Jun-94 $10,401 $10,405
Jul-94 $10,736 $10,750
Aug-94 $11,177 $11,187
Sep-94 $10,913 $10,917
Oct-94 $11,155 $11,167
Nov-94 $10,759 $10,758
Dec-94 $10,918 $10,915
Jan-95 $11,197 $11,198
Feb-95 $11,636 $11,633
Mar-95 $11,978 $11,977
Apr-95 $12,322 $12,326
May-95 $12,816 $12,813
Jun-95 $13,118 $13,114
Jul-95 $13,551 $13,550
Aug-95 $13,584 $13,587
Sep-95 $14,158 $14,156
Oct-95 $14,104 $14,107
Nov-95 $14,714 $14,728
Dec-95 $14,996 $15,000
Jan-96 $15,512 $15,516
Feb-96 $15,644 $15,665
Mar-96 $15,797 $15,815
Apr-96 $16,028 $16,048
May-96 $16,420 $16,462
Jun-96 $16,488 $16,529
Jul-96 $15,767 $15,794
Aug-96 $16,089 $16,129
Sep-96 $16,988 $17,035
Oct-96 $17,454 $17,502
Nov-96 $18,775 $18,830
Dec-96 $18,398 $18,461
Jan-97 $19,551 $19,608
Feb-97 $19,696 $19,766
Mar-97 $18,886 $18,944
Apr-97 $20,006 $20,075
May-97 $21,227 $21,308
Jun-97 $22,169 $22,258
Jul-97 $23,934 $24,025
Aug-97 $22,603 $22,689
Sep-97 $23,835 $23,933
Oct-97 $23,046 $23,133
Nov-97 $24,099 $24,205
Dec-97 $24,509 $24,621
Jan-98 $24,786 $24,894
Feb-98 $26,573 $26,689
Mar-98 $27,925 $28,056
Apr-98 $28,202 $28,339
May-98 $27,714 $27,851
Jun-98 $28,845 $28,982
Jul-98 $28,533 $28,675
Aug-98 $24,427 $24,529
Sep-98 $25,981 $26,101
Oct-98 $28,067 $28,223
Nov-98 $29,788 $29,933
Dec-98 $31,551 $31,657
Jan-99 $32,838 $32,981
Feb-99 $31,807 $31,955
Mar-99 $33,083 $33,233
Apr-99 $34,347 $34,519
May-99 $33,536 $33,705
Jun-99 $35,387 $35,575
Jul-99 $34,290 $34,465
Aug-99 $34,112 $34,293
Sep-99 $33,181 $33,353
Oct-99 $35,288 $35,465
Nov-99 $35,997 $36,185
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1993
--------------------------------------------------------------
<S> <C> <C> <C>
20.84 27.32 20.90
</TABLE>
- - THE SERIES TO INVEST IN ALL OF THE STOCKS THAT COMPRISE THE S&P 500 INDEX IN
APPROXIMATELY THE SAME PROPORTIONS AS THEY ARE REPRESENTED IN THE INDEX.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF THE S&P 500
INDEX.
Past performance is not predictive of future performance.
S&P 500 Index is courtesy of -C- STOCKS, BONDS, BILLS AND INFLATION
YEARBOOK-TM-, Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
AUGUST 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 ENHANCED U.S. LARGE COMPANY SERIES S&P 500 INDEX
<S> <C> <C>
$10,000 $10,000
Aug-96 $10,202 $10,212
Sep-96 $10,809 $10,786
Oct-96 $11,183 $11,081
Nov-96 $12,027 $11,923
Dec-96 $11,730 $11,689
Jan-97 $12,474 $12,415
Feb-97 $12,580 $12,515
Mar-97 $11,972 $11,995
Apr-97 $12,734 $12,711
May-97 $13,567 $13,491
Jun-97 $14,149 $14,093
Jul-97 $15,303 $15,212
Aug-97 $14,461 $14,366
Sep-97 $15,215 $15,153
Oct-97 $14,790 $14,647
Nov-97 $15,349 $15,325
Dec-97 $15,617 $15,589
Jan-98 $15,888 $15,762
Feb-98 $16,972 $16,898
Mar-98 $17,826 $17,764
Apr-98 $18,027 $17,943
May-98 $17,668 $17,634
Jun-98 $18,414 $18,350
Jul-98 $18,182 $18,156
Aug-98 $15,540 $15,531
Sep-98 $16,626 $16,526
Oct-98 $18,006 $17,870
Nov-98 $19,033 $18,953
Dec-98 $20,275 $20,044
Jan-99 $21,007 $20,882
Feb-99 $20,325 $20,233
Mar-99 $21,178 $21,042
Apr-99 $21,983 $21,856
May-99 $21,381 $21,340
Jun-99 $22,631 $22,525
Jul-99 $21,869 $21,822
Aug-99 $21,751 $21,713
Sep-99 $21,222 $21,118
Oct-99 $22,576 $22,455
Nov-99 $22,946 $22,911
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR AUGUST 1996
--------------------------------------------------------
<S> <C> <C>
20.56 28.30
</TABLE>
- - THE SERIES TO CAPTURE RETURN PREMIUMS BY INVESTING IN AN ENHANCED CASH
PORTFOLIO IN COMBINATION WITH THE S&P 500 INDEX FUTURES AND SWAPS.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS STRATEGY.
Past performance is not predictive of future performance.
S&P 500 Index is courtesy of -C- STOCKS, BONDS, BILLS AND INFLATION
YEARBOOK-TM-, Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
APRIL 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Apr-93 $9,971 $9,872
May-93 $10,079 $10,070
Jun-93 $10,293 $10,292
Jul-93 $10,440 $10,407
Aug-93 $10,693 $10,783
Sep-93 $10,507 $10,800
Oct-93 $10,634 $10,793
Nov-93 $10,535 $10,570
Dec-93 $10,788 $10,771
Jan-94 $11,098 $11,178
Feb-94 $10,598 $10,796
Mar-94 $10,169 $10,394
Apr-94 $10,329 $10,594
May-94 $10,259 $10,716
Jun-94 $10,045 $10,460
Jul-94 $10,490 $10,785
Aug-94 $10,793 $11,095
Sep-94 $10,478 $10,726
Oct-94 $10,683 $10,875
Nov-94 $10,204 $10,436
Dec-94 $10,327 $10,556
Jan-95 $10,565 $10,881
Feb-95 $11,163 $11,311
Mar-95 $11,334 $11,559
Apr-95 $11,749 $11,924
May-95 $12,361 $12,426
Jun-95 $12,631 $12,595
Jul-95 $13,185 $13,033
Aug-95 $13,582 $13,217
Sep-95 $14,051 $13,695
Oct-95 $13,474 $13,560
Nov-95 $14,211 $14,247
Dec-95 $14,313 $14,605
Jan-96 $14,720 $15,060
Feb-96 $14,939 $15,175
Mar-96 $15,459 $15,433
Apr-96 $15,712 $15,492
May-96 $15,978 $15,685
Jun-96 $15,513 $15,698
Jul-96 $14,824 $15,104
Aug-96 $15,413 $15,536
Sep-96 $15,721 $16,155
Oct-96 $16,235 $16,780
Nov-96 $17,406 $17,996
Dec-96 $17,235 $17,766
Jan-97 $17,852 $18,628
Feb-97 $18,207 $18,902
Mar-97 $17,374 $18,221
Apr-97 $17,945 $18,986
May-97 $19,338 $20,048
Jun-97 $19,933 $20,908
Jul-97 $21,931 $22,480
Aug-97 $21,608 $21,680
Sep-97 $22,747 $22,989
Oct-97 $21,582 $22,348
Nov-97 $21,811 $23,336
Dec-97 $22,116 $24,017
Jan-98 $22,411 $23,678
Feb-98 $24,369 $25,272
Mar-98 $25,736 $26,819
Apr-98 $25,878 $26,998
May-98 $25,661 $26,599
Jun-98 $25,599 $26,939
Jul-98 $24,711 $26,465
Aug-98 $20,213 $22,527
Sep-98 $21,238 $23,820
Oct-98 $22,973 $25,666
Nov-98 $24,411 $26,862
Dec-98 $24,817 $27,775
Jan-99 $25,298 $27,998
Feb-99 $24,648 $27,603
Mar-99 $25,444 $28,174
Apr-99 $28,151 $30,806
May-99 $28,123 $30,467
Jun-99 $28,593 $31,350
Jul-99 $27,409 $30,432
Aug-99 $26,425 $29,303
Sep-99 $25,006 $28,280
Oct-99 $25,964 $29,909
Nov-99 $25,541 $29,676
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1993
-----------------------------------------------------------------
<S> <C> <C> <C>
4.63 20.14 15.10
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS AND MARKET CAPITALIZATION BY INVESTING IN U.S. LARGE
COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT
HAVE AVERAGE WEIGHTED MARKETS CAPS OF APPROXIMATELY $12 BILLION AND
BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE CAP HIGH
BOOK-TO-MARKET U.S. COMPANIES.
Past performance is not predictive of future performance.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
141
<PAGE>
DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000 VALUE INDEX
JANUARY 1999-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES RUSSELL 3000 VALUE INDEX
$10,000 $10,000
Jan-99 $10,068 $10,056
Feb-99 $9,710 $9,872
Mar-99 $10,059 $10,056
Apr-99 $11,262 $10,994
May-99 $11,437 $10,905
Jun-99 $11,718 $11,228
Jul-99 $11,272 $10,903
Aug-99 $10,884 $10,500
Sep-99 $10,321 $10,144
Oct-99 $10,486 $10,670
Nov-99 $10,428 $10,595
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED FROM
TOTAL RETURN (%) JANUARY 1999
---------------------------------------
<S> <C>
4.28
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS AND MARKET CAPITALIZATION BY INVESTING IN U.S. COMPANIES
ON A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE
AVERAGE WEIGHTED MARKETS CAPS OF APPROXIMATELY $10 BILLION AND BOOK-TO-MARKET
RATIONS IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES. THE SERIES ALSO
SEEKS TO MINIMIZE THE IMPACT OF FEDERAL TAXES ON RETURNS BY DEFERRING NET
CAPITAL GAINS AND MINIMIZING DIVIDEND INCOME.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF HIGH
BOOK-TO-MARKET U.S. COMPANIES.
Past performance is not predictive of future performance.
Russell 3000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 4-10 VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
MARCH 1998-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 4-10 VALUE SERIES RUSSELL 2000 VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Mar-98 $10,428 $10,406
Apr-98 $10,545 $10,457
May-98 $10,058 $10,087
Jun-98 $9,804 $10,029
Jul-98 $8,977 $9,244
Aug-98 $7,419 $7,796
Sep-98 $7,634 $8,237
Oct-98 $8,247 $8,482
Nov-98 $8,446 $8,711
Dec-98 $8,673 $8,985
Jan-99 $8,633 $8,781
Feb-99 $7,991 $8,181
Mar-99 $8,100 $8,114
Apr-99 $9,155 $8,855
May-99 $9,511 $9,127
Jun-99 $10,063 $9,457
Jul-99 $9,846 $9,233
Aug-99 $9,461 $8,895
Sep-99 $9,185 $8,717
Oct-99 $8,889 $8,543
Nov-99 $8,986 $8,587
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1998
-------------------------------------------------------
<S> <C> <C>
6.39 -5.93
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING ON A MARKET CAP-WEIGHTED BASIS. THE SERIES
INVESTS IN COMPANIES THAT HAVE AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY
$1 BILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF PUBLICLY TRADED U.S.
COMPANIES.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 6-10 VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
APRIL 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 6-10 VALUE SERIES RUSSELL 2000 VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Apr-93 $9,788 $9,760
May-93 $10,050 $10,067
Jun-93 $10,060 $10,162
Jul-93 $10,363 $10,337
Aug-93 $10,706 $10,741
Sep-93 $11,079 $10,999
Oct-93 $11,452 $11,251
Nov-93 $11,260 $10,964
Dec-93 $11,486 $11,286
Jan-94 $12,079 $11,688
Feb-94 $12,049 $11,654
Mar-94 $11,650 $11,133
Apr-94 $11,731 $11,242
May-94 $11,772 $11,226
Jun-94 $11,558 $10,936
Jul-94 $11,752 $11,138
Aug-94 $12,161 $11,576
Sep-94 $12,120 $11,453
Oct-94 $11,947 $11,243
Nov-94 $11,545 $10,789
Dec-94 $11,664 $11,113
Jan-95 $11,789 $11,060
Feb-95 $12,205 $11,469
Mar-95 $12,350 $11,525
Apr-95 $12,787 $11,867
May-95 $13,152 $12,121
Jun-95 $13,673 $12,536
Jul-95 $14,422 $12,993
Aug-95 $14,879 $13,379
Sep-95 $15,067 $13,579
Oct-95 $14,339 $13,037
Nov-95 $14,872 $13,554
Dec-95 $15,133 $13,974
Jan-96 $15,089 $14,067
Feb-96 $15,415 $14,288
Mar-96 $15,849 $14,588
Apr-96 $16,675 $14,986
May-96 $17,327 $15,365
Jun-96 $16,968 $15,184
Jul-96 $15,915 $14,376
Aug-96 $16,644 $15,000
Sep-96 $17,209 $15,409
Oct-96 $17,340 $15,588
Nov-96 $18,166 $16,427
Dec-96 $18,569 $16,961
Jan-97 $19,052 $17,222
Feb-97 $19,052 $17,385
Mar-97 $18,558 $16,919
Apr-97 $18,478 $17,168
May-97 $20,234 $18,535
Jun-97 $21,509 $19,473
Jul-97 $22,795 $20,290
Aug-97 $23,611 $20,613
Sep-97 $25,436 $21,984
Oct-97 $24,541 $21,386
Nov-97 $24,335 $21,621
Dec-97 $24,359 $22,354
Jan-98 $24,067 $21,949
Feb-98 $25,888 $23,277
Mar-98 $26,945 $24,222
Apr-98 $27,481 $24,341
May-98 $26,437 $23,479
Jun-98 $25,913 $23,346
Jul-98 $24,014 $21,518
Aug-98 $19,593 $18,148
Sep-98 $20,153 $19,173
Oct-98 $21,020 $19,743
Nov-98 $22,132 $20,278
Dec-98 $22,652 $20,915
Jan-99 $23,016 $20,440
Feb-99 $21,118 $19,044
Mar-99 $20,725 $18,888
Apr-99 $22,947 $20,612
May-99 $24,030 $21,245
Jun-99 $25,505 $22,014
Jul-99 $25,393 $21,492
Aug-99 $24,705 $20,706
Sep-99 $24,057 $20,291
Oct-99 $23,227 $19,886
Nov-99 $24,294 $19,989
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1993
-----------------------------------------------------------------
<S> <C> <C> <C>
9.77 16.04 14.24
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN U.S. SMALL COMPANIES ON A MARKET
CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE WEIGHTED
MARKET CAPS OF APPROXIMATELY $400 MILLION AND BOOK-TO-MARKET RATIOS IN THE
UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL U.S.
COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
142
<PAGE>
DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. 6-10 SMALL COMPANY SERIES VS.
RUSSELL 2000 INDEX
MARCH 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. 6-10 SMALL COMPANY SERIES RUSSELL 2000 INDEX
$10,000 $10,000
Mar-93 $10,237 $10,324
Apr-93 $9,928 $10,040
May-93 $10,330 $10,484
Jun-93 $10,289 $10,549
Jul-93 $10,371 $10,694
Aug-93 $10,721 $11,156
Sep-93 $11,010 $11,471
Oct-93 $11,248 $11,767
Nov-93 $10,974 $11,383
Dec-93 $11,289 $11,773
Jan-94 $11,639 $12,141
Feb-94 $11,549 $12,097
Mar-94 $10,995 $11,460
Apr-94 $11,018 $11,528
May-94 $10,962 $11,398
Jun-94 $10,647 $11,014
Jul-94 $10,804 $11,195
Aug-94 $11,323 $11,819
Sep-94 $11,379 $11,778
Oct-94 $11,425 $11,731
Nov-94 $11,039 $11,257
Dec-94 $11,178 $11,559
Jan-95 $11,252 $11,413
Feb-95 $11,621 $11,888
Mar-95 $11,841 $12,091
Apr-95 $12,234 $12,360
May-95 $12,480 $12,572
Jun-95 $13,119 $13,225
Jul-95 $13,931 $13,987
Aug-95 $14,337 $14,276
Sep-95 $14,595 $14,532
Oct-95 $13,845 $13,882
Nov-95 $14,259 $14,465
Dec-95 $14,598 $14,847
Jan-96 $14,639 $14,831
Feb-96 $15,135 $15,294
Mar-96 $15,470 $15,610
Apr-96 $16,502 $16,445
May-96 $17,360 $17,093
Jun-96 $16,568 $16,391
Jul-96 $15,188 $14,960
Aug-96 $16,086 $15,829
Sep-96 $16,595 $16,448
Oct-96 $16,355 $16,195
Nov-96 $16,993 $16,862
Dec-96 $17,248 $17,304
Jan-97 $17,820 $17,650
Feb-97 $17,449 $17,222
Mar-97 $16,631 $16,410
Apr-97 $16,445 $16,456
May-97 $18,315 $18,287
Jun-97 $19,258 $19,072
Jul-97 $20,402 $19,958
Aug-97 $21,159 $20,415
Sep-97 $22,796 $21,910
Oct-97 $21,807 $20,948
Nov-97 $21,491 $20,812
Dec-97 $21,491 $21,176
Jan-98 $21,254 $20,841
Feb-98 $22,814 $22,382
Mar-98 $23,763 $23,304
Apr-98 $24,103 $23,432
May-98 $22,850 $22,169
Jun-98 $22,544 $22,215
Jul-98 $20,815 $20,416
Aug-98 $16,543 $16,451
Sep-98 $17,577 $17,739
Oct-98 $18,358 $18,463
Nov-98 $19,564 $19,431
Dec-98 $20,384 $20,633
Jan-99 $20,722 $20,908
Feb-99 $18,952 $19,214
Mar-99 $18,784 $19,514
Apr-99 $20,497 $21,262
May-99 $21,306 $21,573
Jun-99 $22,568 $22,548
Jul-99 $22,380 $21,930
Aug-99 $21,796 $21,119
Sep-99 $21,683 $21,123
Oct-99 $21,438 $21,210
Nov-99 $23,207 $22,476
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1993
--------------------------------------------------------------
<S> <C> <C> <C>
18.62 16.02 13.28
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED U.S. SMALL COMPANIES THAT
HAVE AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY $600 MILLION.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF DECILE 6-10
COMPANIES IN THE U.S.
Past performance is not predictive of future performance.
Russell 2000 Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 9-10 SMALL COMPANY SERIES VS.
CRSP 9-10 INDEX
DECEMBER 1997-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
U.S. 9-10 SMALL COMPANY SERIES CRSP 9-10 INDEX
$10,000 $10,000
Dec-97 $9,826 $9,858
Jan-98 $9,776 $9,841
Feb-98 $10,416 $10,475
Mar-98 $10,916 $11,003
Apr-98 $11,106 $11,293
May-98 $10,556 $10,704
Jun-98 $10,346 $10,310
Jul-98 $9,656 $9,672
Aug-98 $7,715 $7,611
Sep-98 $8,005 $7,884
Oct-98 $8,295 $8,181
Nov-98 $8,919 $8,892
Dec-98 $9,156 $9,084
Jan-99 $9,413 $9,624
Feb-99 $8,767 $8,993
Mar-99 $8,444 $8,802
Apr-99 $9,246 $9,547
May-99 $9,603 $9,840
Jun-99 $10,149 $10,221
Jul-99 $10,249 $10,390
Aug-99 $10,060 $10,137
Sep-99 $9,837 $10,046
Oct-99 $9,760 $9,993
Nov-99 $10,710 $11,153
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR DECEMBER 1997
----------------------------------------------------
<S> <C> <C>
20.08 3.49
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED U.S. SMALL COMPANIES WITH
AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY $200 MILLION.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF DECILE 9-10
COMPANIES IN THE U.S.
Past performance is not predictive of future performance.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
MARCH 1994-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA INTERNATIONAL VALUE SERIES MSCI EAFE INDEX (NET DIVIDENDS)
<S> <C> <C>
$10,000 $10,000
Mar-94 $9,733 $9,569
Apr-94 $10,060 $9,975
May-94 $10,119 $9,918
Jun-94 $10,239 $10,058
Jul-94 $10,438 $10,155
Aug-94 $10,598 $10,396
Sep-94 $10,228 $10,068
Oct-94 $10,658 $10,404
Nov-94 $10,099 $9,903
Dec-94 $10,159 $9,966
Jan-95 $9,757 $9,583
Feb-95 $9,736 $9,556
Mar-95 $10,312 $10,152
Apr-95 $10,633 $10,533
May-95 $10,573 $10,408
Jun-95 $10,463 $10,225
Jul-95 $11,052 $10,862
Aug-95 $10,676 $10,448
Sep-95 $10,740 $10,652
Oct-95 $10,536 $10,365
Nov-95 $10,826 $10,653
Dec-95 $11,351 $11,083
Jan-96 $11,464 $11,128
Feb-96 $11,537 $11,166
Mar-96 $11,698 $11,404
Apr-96 $12,154 $11,736
May-96 $12,040 $11,520
Jun-96 $12,083 $11,584
Jul-96 $11,760 $11,246
Aug-96 $11,811 $11,271
Sep-96 $12,019 $11,570
Oct-96 $11,904 $11,452
Nov-96 $12,434 $11,908
Dec-96 $12,271 $11,755
Jan-97 $11,861 $11,343
Feb-97 $11,969 $11,529
Mar-97 $12,013 $11,571
Apr-97 $11,948 $11,632
May-97 $12,855 $12,389
Jun-97 $13,413 $13,072
Jul-97 $13,598 $13,284
Aug-97 $12,706 $12,291
Sep-97 $13,174 $12,980
Oct-97 $12,483 $11,983
Nov-97 $11,955 $11,861
Dec-97 $11,907 $11,964
Jan-98 $12,627 $12,511
Feb-98 $13,456 $13,314
Mar-98 $14,051 $13,724
Apr-98 $14,095 $13,832
May-98 $14,227 $13,764
Jun-98 $14,089 $13,869
Jul-98 $14,245 $14,009
Aug-98 $12,382 $12,273
Sep-98 $11,716 $11,898
Oct-98 $12,883 $13,138
Nov-98 $13,448 $13,810
Dec-98 $13,711 $14,356
Jan-99 $13,439 $14,313
Feb-99 $13,099 $13,972
Mar-99 $13,906 $14,555
Apr-99 $14,732 $15,144
May-99 $13,985 $14,364
Jun-99 $14,616 $14,924
Jul-99 $15,144 $15,368
Aug-99 $15,292 $15,425
Sep-99 $15,347 $15,580
Oct-99 $15,278 $16,157
Nov-99 $15,231 $16,717
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1994
--------------------------------------------------------------
<S> <C> <C> <C>
13.25 8.56 7.59
</TABLE>
- - THE SERIES INVESTS IN COMPANIES WITH MARKET CAPITALIZATION OF AT LEAST
$800 MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF LARGE PUBLICLY
TRADED NON-U.S. COMPANIES. COUNTRY WEIGHTINGS REFLECT THE MSCI EAFE INDEX
MARKET CAPITALIZATION WEIGHT, WITH JAPAN LIMITED TO 38%.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE,
NON-U.S. COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
143
<PAGE>
DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
JAPANESE SMALL COMPANY SERIES VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-JAPAN
SEPTEMBER 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
JAPANESE SALOMON SMITH
SMALL COMPANY BARNEY EXTENDED JAPANESE LARGE
SERIES MARKET INDEX-JAPAN COMPANY STOCKS
$9,950 $10,000 $10,000
Sep-96 $10,000 $10,086 $10,339
Oct-96 $9,298 $9,440 $9,658
Nov-96 $9,011 $9,222 $9,846
Dec-96 $7,905 $8,296 $9,188
Jan-97 $7,134 $7,522 $8,175
Feb-97 $7,085 $7,518 $8,360
Mar-97 $6,571 $7,094 $8,104
Apr-97 $6,463 $7,090 $8,383
May-97 $7,540 $8,121 $9,322
Jun-97 $7,659 $8,362 $10,007
Jul-97 $6,789 $7,716 $9,698
Aug-97 $6,058 $6,913 $8,835
Sep-97 $5,139 $6,260 $8,735
Oct-97 $5,277 $6,233 $7,926
Nov-97 $4,358 $5,363 $7,436
Dec-97 $3,587 $4,635 $7,030
Jan-98 $4,585 $5,484 $7,639
Feb-98 $4,950 $5,672 $7,682
Mar-98 $4,506 $5,335 $7,161
Apr-98 $4,279 $5,172 $7,133
May-98 $4,091 $4,999 $6,741
Jun-98 $4,190 $5,055 $6,838
Jul-98 $4,151 $5,001 $6,750
Aug-98 $3,706 $4,623 $5,985
Sep-98 $3,498 $4,536 $5,823
Oct-98 $3,943 $5,143 $6,803
Nov-98 $4,269 $5,328 $7,113
Dec-98 $4,190 $5,503 $7,391
Jan-99 $4,289 $5,491 $7,442
Feb-99 $4,121 $5,321 $7,279
Mar-99 $4,605 $5,956 $8,292
Apr-99 $5,080 $6,239 $8,638
May-99 $4,853 $6,010 $8,155
Jun-99 $5,317 $6,469 $8,929
Jul-99 $5,574 $6,936 $9,822
Aug-99 $5,682 $7,248 $9,754
Sep-99 $5,692 $7,534 $10,348
Oct-99 $5,593 $7,529 $10,793
Nov-99 $5,277 $7,503 $11,257
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
----------------------------------------------------
<S> <C> <C>
22.99 -17.86
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON
THE LOWER HALF OF COMPANIES ON THE FIRST SECTION OF TOKYO STOCK EXCHANGE.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN JAPAN.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-JAPAN IS A MORE WIDELY
RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN JAPANESE LARGE COMPANY
STOCKS, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-Japan is courtesy of Salomon Smith
Barney.
Japanese Large Company Stocks courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PACIFIC RIM SMALL COMPANY SERIES VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-PACIFIC RIM EX. JAPAN
SEPTEMBER 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
SALOMON SMITH
PACIFIC RIM BARNEY EXTENDED PACIFIC RIM
SMALL COMPANY MARKET INDEX-PAC LARGE COMPANY
SERIES RIM EX. JAPAN STOCKS
$9,900 $10,000 $10,000
Sep-96 $10,056 $10,212 $10,260
Oct-96 $10,164 $10,421 $10,537
Nov-96 $10,477 $11,086 $11,106
Dec-96 $10,232 $11,122 $11,128
Jan-97 $10,448 $11,146 $10,995
Feb-97 $11,035 $11,732 $11,149
Mar-97 $10,545 $11,210 $10,636
Apr-97 $10,300 $10,987 $10,423
May-97 $10,683 $11,438 $11,069
Jun-97 $10,781 $11,592 $11,313
Jul-97 $10,732 $11,593 $11,290
Aug-97 $10,135 $10,747 $9,721
Sep-97 $9,685 $10,476 $10,051
Oct-97 $7,334 $7,981 $7,920
Nov-97 $6,521 $7,328 $7,675
Dec-97 $5,944 $7,042 $7,698
Jan-98 $5,327 $6,313 $7,228
Feb-98 $6,776 $7,431 $8,342
Mar-98 $6,551 $7,177 $8,250
Apr-98 $5,944 $6,802 $7,672
May-98 $5,180 $6,087 $6,813
Jun-98 $4,436 $5,444 $6,404
Jul-98 $4,142 $5,295 $6,186
Aug-98 $3,496 $4,440 $5,351
Sep-98 $3,731 $4,986 $5,844
Oct-98 $4,387 $5,773 $6,977
Nov-98 $4,985 $6,210 $7,305
Dec-98 $4,838 $6,039 $7,225
Jan-99 $4,828 $5,968 $7,275
Feb-99 $4,622 $5,944 $7,203
Mar-99 $4,798 $6,347 $7,772
Apr-99 $6,052 $7,289 $9,062
May-99 $6,433 $7,009 $8,418
Jun-99 $7,726 $7,639 $9,117
Jul-99 $7,520 $7,623 $9,035
Aug-99 $7,432 $7,495 $8,831
Sep-99 $7,315 $7,415 $8,671
Oct-99 $7,315 $7,269 $8,834
Nov-99 $7,717 $7,696 $9,571
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
----------------------------------------------------
<S> <C> <C>
53.26 -7.67
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON
THE MAJOR EXCHANGES OF AUSTRALIA, HONG KONG, MALAYSIA, NEW ZEALAND, AND
SINGAPORE.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE PACIFIC RIM.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-PACIFIC RIM EX. JAPAN IS A MORE
WIDELY RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN PACIFIC RIM
LARGE COMPANY STOCKS, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-Pacific Rim ex. Japan is courtesy of
Salomon Smith Barney.
Pacific Rim Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY SERIES VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-UNITED KINGDOM
SEPTEMBER 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
SALOMON SMITH
UNITED KINGDOM BARNEY EXTENDED UNITED KINGDOM
SMALL COMPANY MARKET INDEX-UNITED LARGE COMPANY
SERIES KINGDOM STOCKS
$10,000 $10,000 $10,000
Sep-96 $10,078 $10,017 $10,188
Oct-96 $10,566 $10,526 $10,704
Nov-96 $10,869 $10,863 $11,232
Dec-96 $11,279 $11,235 $11,651
Jan-97 $11,142 $10,966 $11,284
Feb-97 $11,523 $11,354 $11,620
Mar-97 $11,602 $11,280 $11,770
Apr-97 $11,416 $11,066 $11,863
May-97 $11,358 $11,101 $12,331
Jun-97 $11,241 $11,153 $12,516
Jul-97 $10,880 $11,072 $12,958
Aug-97 $11,163 $11,354 $12,765
Sep-97 $11,564 $11,907 $13,764
Oct-97 $11,974 $12,039 $13,343
Nov-97 $11,847 $12,108 $13,401
Dec-97 $11,730 $12,139 $13,816
Jan-98 $11,798 $12,313 $14,452
Feb-98 $12,248 $13,104 $15,418
Mar-98 $13,263 $14,302 $16,349
Apr-98 $13,312 $14,560 $16,400
May-98 $13,810 $14,978 $16,096
Jun-98 $13,311 $14,353 $16,159
Jul-98 $12,334 $13,888 $15,807
Aug-98 $11,103 $12,466 $14,500
Sep-98 $10,596 $12,070 $14,171
Oct-98 $10,362 $12,423 $14,940
Nov-98 $10,284 $12,603 $15,469
Dec-98 $10,469 $12,675 $15,893
Jan-99 $10,645 $13,048 $15,829
Feb-99 $10,996 $13,324 $16,201
Mar-99 $11,651 $13,872 $16,830
Apr-99 $12,432 $14,734 $17,601
May-99 $12,364 $14,309 $16,738
Jun-99 $12,677 $14,524 $16,819
Jul-99 $13,497 $15,238 $17,175
Aug-99 $13,937 $15,242 $17,199
Sep-99 $13,683 $14,801 $16,972
Oct-99 $13,508 $14,538 $17,393
Nov-99 $14,065 $15,756 $17,967
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
----------------------------------------------------
<S> <C> <C>
36.76 11.07
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES IN THE
LOWER HALF BY MARKET CAP OF COMPANIES TRADED ON THE INTERNATIONAL STOCK
EXCHANGE OF THE UNITED KINGDOM.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE UNITED KINGDOM.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-UNITED KINGDOM IS A MORE WIDELY
RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN UNITED KINGDOM LARGE
COMPANY STOCKS, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-United Kingdom is courtesy of Salomon
Smith Barney.
United Kingdom Large Company Stocks courtesy of Financial Times-Actuaries All
Share Index.
- --------------------------------------------------------------------------------
144
<PAGE>
DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
CONTINENTAL SMALL COMPANY SERIES VS.
SALOMON SMITH BARNEY EXTENDED MARKET INDEX-EUROPE EX. UNITED KINGDOM
SEPTEMBER 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C> <C>
SALOMON SMITH BARNEY
CONTINENTAL SMALL EXTENDED MARKET INDEX-EUROPE CONTINENTAL LARGE
COMPANY SERIES EX. UNITED KINGDOM COMPANY STOCKS
$9,900 $10,000 $10,000
Sep-96 $9,761 $9,977 $10,200
Oct-96 $9,940 $10,032 $10,322
Nov-96 $10,128 $10,279 $10,818
Dec-96 $10,326 $10,461 $10,948
Jan-97 $10,584 $10,657 $11,167
Feb-97 $10,604 $10,763 $11,222
Mar-97 $10,980 $11,103 $11,716
Apr-97 $10,683 $10,873 $11,529
May-97 $11,118 $11,420 $12,013
Jun-97 $11,504 $11,807 $12,830
Jul-97 $11,474 $11,955 $13,433
Aug-97 $11,296 $11,487 $12,412
Sep-97 $12,098 $12,326 $13,678
Oct-97 $11,752 $11,841 $12,939
Nov-97 $11,495 $11,785 $13,211
Dec-97 $11,585 $11,979 $13,687
Jan-98 $12,011 $12,438 $14,221
Feb-98 $12,912 $13,488 $15,401
Mar-98 $14,140 $14,596 $16,633
Apr-98 $14,704 $14,986 $17,082
May-98 $15,486 $15,884 $17,851
Jun-98 $15,080 $15,498 $18,011
Jul-98 $15,139 $15,825 $18,678
Aug-98 $13,565 $13,676 $15,932
Sep-98 $12,922 $12,992 $15,167
Oct-98 $13,298 $13,757 $16,517
Nov-98 $13,783 $14,248 $17,459
Dec-98 $13,911 $14,758 $18,314
Jan-99 $13,199 $14,459 $18,223
Feb-99 $12,951 $13,941 $17,403
Mar-99 $12,753 $13,824 $17,437
Apr-99 $13,129 $14,277 $17,891
May-99 $12,990 $14,013 $17,104
Jun-99 $13,080 $14,221 $17,514
Jul-99 $13,367 $14,514 $17,635
Aug-99 $13,457 $14,737 $17,938
Sep-99 $13,516 $14,630 $17,876
Oct-99 $13,317 $14,559 $18,601
Nov-99 $12,921 $14,881 $19,232
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
-------------------------------------------------------
<S> <C> <C>
-6.83 8.33
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON
THE MAJOR EXCHANGES OF AUSTRIA, BELGIUM, DENMARK, FINLAND, FRANCE, GERMANY,
IRELAND, ITALY, THE NETHERLANDS, NORWAY, SPAIN, SWEDEN, AND SWITZERLAND.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN CONTINENTAL EUROPE.
- - THE SALOMON SMITH BARNEY EXTENDED MARKET INDEX-EUROPE EX. UNITED KINGDOM IS A
MORE WIDELY RECOGNIZED AND MORE BROADLY BASED SECURITIES INDEX THAN
CONTINENTAL LARGE COMPANY STOCKS, AND IS REPLACING THE LATTER FOR COMPARISON
PURPOSES.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-Europe ex. United Kingdom is courtesy
of Salomon Smith Barney.
Continental Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS FREE INDEX
MAY 1994-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
EMERGING MSCI EMERGING
MARKETS SERIES MARKETS FREE INDEX
$9,850 $10,000
May-94 $10,175 $10,320
Jun-94 $10,057 $10,018
Jul-94 $10,805 $10,635
Aug-94 $11,780 $11,942
Sep-94 $11,908 $12,066
Oct-94 $11,564 $11,832
Nov-94 $11,200 $11,204
Dec-94 $10,392 $10,296
Jan-95 $9,427 $9,194
Feb-95 $9,378 $8,950
Mar-95 $9,791 $8,985
Apr-95 $10,274 $9,371
May-95 $11,003 $9,844
Jun-95 $11,072 $9,853
Jul-95 $11,515 $10,059
Aug-95 $11,082 $9,809
Sep-95 $10,875 $9,749
Oct-95 $10,510 $9,367
Nov-95 $10,466 $9,191
Dec-95 $10,783 $9,581
Jan-96 $11,947 $10,253
Feb-96 $11,698 $10,073
Mar-96 $11,798 $10,133
Apr-96 $12,136 $10,502
May-96 $12,136 $10,429
Jun-96 $12,236 $10,472
Jul-96 $11,191 $9,738
Aug-96 $11,509 $9,973
Sep-96 $11,757 $10,045
Oct-96 $11,499 $9,770
Nov-96 $11,907 $9,922
Dec-96 $12,066 $9,954
Jan-97 $13,300 $10,624
Feb-97 $13,469 $11,072
Mar-97 $13,090 $10,754
Apr-97 $12,582 $10,735
May-97 $13,209 $11,014
Jun-97 $13,756 $11,580
Jul-97 $13,775 $11,729
Aug-97 $11,766 $10,223
Sep-97 $12,254 $10,490
Oct-97 $10,444 $8,760
Nov-97 $9,897 $8,435
Dec-97 $9,817 $8,619
Jan-98 $9,639 $7,936
Feb-98 $10,583 $8,760
Mar-98 $10,952 $9,111
Apr-98 $10,783 $8,994
May-98 $9,540 $7,734
Jun-98 $8,694 $6,907
Jul-98 $9,053 $7,101
Aug-98 $6,765 $5,022
Sep-98 $6,775 $5,326
Oct-98 $7,880 $5,880
Nov-98 $8,675 $6,363
Dec-98 $8,924 $6,247
Jan-99 $8,706 $6,142
Feb-99 $8,795 $6,197
Mar-99 $9,591 $6,994
Apr-99 $11,302 $7,849
May-99 $11,292 $7,779
Jun-99 $12,397 $8,646
Jul-99 $12,208 $8,398
Aug-99 $12,158 $8,468
Sep-99 $11,761 $8,171
Oct-99 $12,218 $8,338
Nov-99 $13,342 $9,082
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MAY 1994
-------------------------------------------------------------
<S> <C> <C> <C>
53.02 3.25 5.30
</TABLE>
- - THE SERIES PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN "EMERGING MARKET"
COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, GREECE, INDONESIA, ISRAEL,
MALAYSIA, MEXICO, PHILIPPINES, PORTUGAL, SOUTH KOREA, THAILAND, AND TURKEY.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Index courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS FREE INDEX
JANUARY 1997-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
EMERGING MARKETS SMALL CAP SERIES MSCI EMERGING MARKETS FREE INDEX
$9,900 $10,000
Jan-97 $10,902 $10,673
Feb-97 $11,160 $11,122
Mar-97 $10,714 $10,803
Apr-97 $10,109 $10,785
May-97 $10,267 $11,064
Jun-97 $10,674 $11,633
Jul-97 $10,713 $11,783
Aug-97 $9,314 $10,270
Sep-97 $9,502 $10,538
Oct-97 $8,441 $8,800
Nov-97 $7,865 $8,474
Dec-97 $7,627 $8,658
Jan-98 $6,923 $7,973
Feb-98 $7,230 $8,800
Mar-98 $7,577 $9,152
Apr-98 $7,805 $9,035
May-98 $7,359 $7,769
Jun-98 $6,883 $6,939
Jul-98 $7,071 $7,134
Aug-98 $5,415 $5,045
Sep-98 $5,197 $5,350
Oct-98 $5,862 $5,907
Nov-98 $6,636 $6,392
Dec-98 $6,854 $6,276
Jan-99 $6,556 $6,170
Feb-99 $6,556 $6,225
Mar-99 $7,191 $7,027
Apr-99 $8,739 $7,885
May-99 $9,046 $7,815
Jun-99 $10,177 $8,686
Jul-99 $10,118 $8,436
Aug-99 $10,316 $8,507
Sep-99 $10,187 $8,209
Oct-99 $10,535 $8,376
Nov-99 $11,377 $9,124
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR JANUARY 1997
--------------------------------------------------
<S> <C> <C>
69.75 4.52
</TABLE>
- - THE SERIES PROVIDES ACCESS TO NON-U.S. SMALL COMPANIES IN "EMERGING MARKET"
COUNTRIES INCLUDING ARGENTINA, BRAZIL, GREECE, INDONESIA, ISRAEL, MALAYSIA,
MEXICO, PHILIPPINES, SOUTH KOREA, THAILAND, AND TURKEY.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Index courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
145
<PAGE>
DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- --------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME SERIES VS.
THREE-MONTH U.S. TREASURY BILL INDEX
MARCH 1993-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA ONE-YEAR THREE-MONTH
FIXED INCOME U.S. TREASURY
SERIES BILL INDEX
$10,000 $10,000
Mar-93 $10,048 $10,025
Apr-93 $10,097 $10,050
May-93 $10,104 $10,072
Jun-93 $10,149 $10,102
Jul-93 $10,180 $10,129
Aug-93 $10,229 $10,157
Sep-93 $10,268 $10,184
Oct-93 $10,290 $10,208
Nov-93 $10,308 $10,233
Dec-93 $10,343 $10,264
Jan-94 $10,395 $10,294
Feb-94 $10,376 $10,313
Mar-94 $10,373 $10,343
Apr-94 $10,368 $10,369
May-94 $10,390 $10,400
Jun-94 $10,425 $10,443
Jul-94 $10,486 $10,481
Aug-94 $10,527 $10,517
Sep-94 $10,545 $10,556
Oct-94 $10,580 $10,602
Nov-94 $10,575 $10,644
Dec-94 $10,607 $10,697
Jan-95 $10,708 $10,751
Feb-95 $10,810 $10,802
Mar-95 $10,877 $10,857
Apr-95 $10,949 $10,908
May-95 $11,066 $10,965
Jun-95 $11,129 $11,021
Jul-95 $11,188 $11,074
Aug-95 $11,245 $11,129
Sep-95 $11,296 $11,178
Oct-95 $11,356 $11,231
Nov-95 $11,410 $11,281
Dec-95 $11,465 $11,343
Jan-96 $11,518 $11,396
Feb-96 $11,564 $11,441
Mar-96 $11,616 $11,483
Apr-96 $11,656 $11,533
May-96 $11,696 $11,584
Jun-96 $11,759 $11,631
Jul-96 $11,814 $11,683
Aug-96 $11,872 $11,736
Sep-96 $11,943 $11,791
Oct-96 $12,031 $11,842
Nov-96 $12,103 $11,893
Dec-96 $12,142 $11,945
Jan-97 $12,202 $12,000
Feb-97 $12,254 $12,047
Mar-97 $12,274 $12,097
Apr-97 $12,357 $12,155
May-97 $12,417 $12,217
Jun-97 $12,492 $12,263
Jul-97 $12,578 $12,318
Aug-97 $12,616 $12,371
Sep-97 $12,691 $12,428
Oct-97 $12,766 $12,481
Nov-97 $12,806 $12,530
Dec-97 $12,876 $12,584
Jan-98 $12,953 $12,643
Feb-98 $13,007 $12,688
Mar-98 $13,075 $12,748
Apr-98 $13,125 $12,805
May-98 $13,199 $12,859
Jun-98 $13,250 $12,913
Jul-98 $13,327 $12,970
Aug-98 $13,388 $13,030
Sep-98 $13,451 $13,096
Oct-98 $13,501 $13,147
Nov-98 $13,562 $13,191
Dec-98 $13,630 $13,243
Jan-99 $13,684 $13,291
Feb-99 $13,725 $13,330
Mar-99 $13,786 $13,384
Apr-99 $13,846 $13,432
May-99 $13,875 $13,485
Jun-99 $13,935 $13,541
Jul-99 $13,981 $13,597
Aug-99 $14,016 $13,651
Sep-99 $14,093 $13,713
Oct-99 $14,145 $13,766
Nov-99 $14,214 $13,821
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1993
-----------------------------------------------------------------
<S> <C> <C> <C>
4.81 6.09 5.35
</TABLE>
- - THE SERIES MAXIMIZES EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON CHANGES
IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF
EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE
OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS. ISSUES WHICH MEET
MATURITY AND QUALITY LEVELS ARE FURTHER EVALUATED FOR BUSINESS RISK.
MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE DOCUMENTED. INVESTMENTS
ARE MADE IN HIGH QUALITY OBLIGATIONS, INCLUDING BANKERS' ACCEPTANCES,
CERTIFICATES OF DEPOSIT, CORPORATE DEBT OBLIGATIONS AND COMMERCIAL PAPER OF
U.S. AS WELL AS NON-U.S. ISSUERS. AVERAGE MATURITY IS MAINTAINED UNDER ONE
YEAR WITH NO INDIVIDUAL ISSUE LONGER THAN TWO YEARS.
- - THIS SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS STRATEGY.
Past performance is not predictive of future performance.
Three-Month U.S. Treasury Bill index courtesy of Merrill Lynch.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS.
MERRILL LYNCH 1-3 YEAR GOVERNMENT INDEX
MARCH 1996-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
DFA TWO-YEAR MERRILL LYNCH
GLOBAL FIXED INCOME SERIES 1-3 YEAR GOVERNMENT INDEX
$10,000 $10,000
Mar-96 $10,047 $9,991
Apr-96 $10,097 $9,999
May-96 $10,148 $10,020
Jun-96 $10,188 $10,092
Jul-96 $10,260 $10,131
Aug-96 $10,361 $10,166
Sep-96 $10,439 $10,258
Oct-96 $10,531 $10,374
Nov-96 $10,602 $10,454
Dec-96 $10,647 $10,454
Jan-97 $10,720 $10,503
Feb-97 $10,762 $10,528
Mar-97 $10,766 $10,523
Apr-97 $10,830 $10,610
May-97 $10,904 $10,682
Jun-97 $10,982 $10,755
Jul-97 $11,036 $10,874
Aug-97 $11,079 $10,884
Sep-97 $11,149 $10,966
Oct-97 $11,192 $11,047
Nov-97 $11,236 $11,074
Dec-97 $11,287 $11,149
Jan-98 $11,378 $11,257
Feb-98 $11,423 $11,268
Mar-98 $11,490 $11,314
Apr-98 $11,524 $11,367
May-98 $11,593 $11,427
Jun-98 $11,645 $11,487
Jul-98 $11,704 $11,541
Aug-98 $11,784 $11,686
Sep-98 $11,854 $11,841
Oct-98 $11,912 $11,899
Nov-98 $11,964 $11,889
Dec-98 $12,034 $11,930
Jan-99 $12,093 $11,978
Feb-99 $12,140 $11,919
Mar-99 $12,207 $12,003
Apr-99 $12,254 $12,041
May-99 $12,278 $12,034
Jun-99 $12,327 $12,071
Jul-99 $12,351 $12,110
Aug-99 $12,400 $12,145
Sep-99 $12,467 $12,224
Oct-99 $12,491 $12,257
Nov-99 $12,544 $12,280
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1996
---------------------------------------------------
<S> <C> <C>
4.84 6.23
</TABLE>
- - THE SERIES SEEKS TO MAXIMIZE EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON
CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A
MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND
IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS.
MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE DOCUMENTED. INVESTMENTS
ARE MADE IN U.S. GOVERNMENT SECURITIES, HIGH-QUALITY CORPORATE SECURITIES AND
CURRENCY HEDGED GLOBAL BONDS WITH A MAXIMUM MATURITY OF TWO YEARS.
- - THE SERIES' RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS STRATEGY.
Past performance is not predictive of future performance.
Merrill Lynch 1-3 Year Government Index courtesy of Merrill Lynch.
- --------------------------------------------------------------------------------
146
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (99.8%)
*3COM Corp............................................ 86,100 $ 3,430,547
*ADC Telecommunications, Inc.......................... 35,900 1,915,041
*AES Corp............................................. 49,300 2,856,319
AFLAC, Inc............................................ 64,000 3,064,000
*AMR Corp............................................. 36,300 2,209,762
AON Corp.............................................. 61,600 2,198,350
AT & T Corp........................................... 768,100 42,917,587
Abbott Laboratories C.P............................... 365,700 13,896,600
*Adaptec, Inc......................................... 24,800 1,336,875
Adobe Systems, Inc.................................... 29,400 2,018,494
*Advanced Micro Devices, Inc.......................... 35,300 997,225
Aetna, Inc............................................ 35,837 1,957,596
Air Products & Chemicals, Inc......................... 55,200 1,787,100
Alberto-Culver Co. Class B............................ 13,400 352,587
Albertson's Inc....................................... 101,133 3,229,935
Alcan Aluminum, Ltd................................... 54,300 1,846,200
Alcoa, Inc............................................ 88,000 5,764,000
Allegheny Teledyne, Inc............................... 22,850 575,534
Allergan, Inc......................................... 15,900 1,564,162
*Allied Waste Industries, Inc......................... 45,200 367,250
AlliedSignal, Inc..................................... 132,200 7,907,212
*Allstate Corp........................................ 191,900 5,025,381
Alltel Corp........................................... 73,100 6,323,150
*Alza Corp............................................ 24,500 1,058,094
AmSouth Bancorporation................................ 94,650 2,135,541
Amerada Hess Corp..................................... 21,800 1,263,037
Ameren Corp........................................... 32,900 1,139,162
*America Online, Inc.................................. 532,600 38,713,362
American Electric Power Co., Inc...................... 46,500 1,458,937
American Express Co................................... 107,900 16,326,619
American General Corp................................. 59,700 4,376,756
American Greetings Corp. Class A...................... 16,200 381,712
American Home Products Corp........................... 314,100 16,333,200
American International Group, Inc..................... 371,887 38,397,333
*Amgen, Inc........................................... 245,300 11,168,816
Anadarko Petroleum Corp............................... 30,600 921,825
*Analog Devices, Inc.................................. 41,500 2,383,656
*Andrew Corp.......................................... 19,693 275,087
Anheuser-Busch Companies, Inc......................... 112,400 8,408,925
Apache Corp........................................... 27,300 977,681
*Apple Computer, Inc.................................. 38,700 3,786,553
*Applied Materials, Inc............................... 90,100 8,781,934
Archer-Daniels Midland Co............................. 148,320 1,844,730
Armstrong World Industries, Inc....................... 9,700 324,950
Ashland, Inc.......................................... 17,300 583,875
Associates First Capital Corp. Class A................ 174,810 5,812,432
Atlantic Richfield Co................................. 77,500 7,469,062
Autodesk, Inc......................................... 14,200 417,569
Automatic Data Processing, Inc........................ 148,500 7,332,187
*Autozone, Inc........................................ 35,800 986,737
Avery Dennison Corp................................... 27,200 1,615,000
Avon Products, Inc.................................... 62,800 2,288,275
B B & T Corp.......................................... 76,900 2,470,412
*BMC Software, Inc.................................... 57,600 4,195,800
Baker Hughes, Inc..................................... 78,900 1,992,225
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ball Corp............................................. 7,400 $ 275,187
Bank of America Corp.................................. 415,200 24,289,200
Bank of New York Co., Inc............................. 176,900 7,053,887
Bank One Corp......................................... 281,700 9,929,925
Bard (C.R.), Inc...................................... 12,300 668,044
#Barrick Gold Corp.................................... 93,600 1,684,800
Bausch & Lomb, Inc.................................... 14,000 767,375
Baxter International, Inc............................. 69,900 4,722,619
Bear Stearns Companies, Inc........................... 29,285 1,195,194
Becton Dickinson & Co................................. 60,000 1,635,000
*Bed Bath and Beyond, Inc............................. 33,500 1,047,922
Bell Atlantic Corp.................................... 372,938 23,611,637
Bellsouth Corp........................................ 452,900 20,918,319
Bemis Co., Inc........................................ 12,500 393,750
*Best Buy Co., Inc.................................... 49,100 3,068,750
Bestfoods, Inc........................................ 66,900 3,666,956
*Bethlehem Steel Corp................................. 31,400 196,250
Biomet, Inc........................................... 27,100 857,884
Black & Decker Corp................................... 21,000 942,375
Block (H.&R.), Inc.................................... 23,400 1,006,200
Boeing Co............................................. 230,700 9,415,444
Boise Cascade Corp.................................... 13,700 474,362
*Boston Scientific Corp............................... 99,300 2,097,712
Briggs & Stratton Corp................................ 5,600 299,250
Bristol Myers Squibb Co............................... 477,100 34,858,119
Brown-Forman Corp. Class B............................ 16,400 1,028,075
Brunswick Corp........................................ 22,100 482,056
Burlington Northern Santa Fe Corp..................... 111,700 3,239,300
Burlington Resources, Inc............................. 52,100 1,751,862
*CBS Corp............................................. 183,370 9,535,240
CIGNA Corp............................................ 47,600 3,915,100
CMS Energy Corp....................................... 28,400 944,300
CSX Corp.............................................. 52,400 1,863,475
#CVS Corp............................................. 94,000 3,730,625
*Cabletron Systems, Inc............................... 41,800 958,787
Campbell Soup Co...................................... 104,400 4,658,850
Capital One Financial Corp............................ 47,500 2,211,719
Cardinal Health, Inc.................................. 65,400 3,421,237
Carnival Corp......................................... 147,200 6,495,200
Carolina Power & Light Co............................. 38,400 1,156,800
Caterpillar, Inc...................................... 85,600 3,969,700
*Cendant Corp......................................... 173,000 2,865,312
*Centex Corp.......................................... 14,300 339,625
Central & South West Corp............................. 51,000 1,020,000
CenturyTel, Inc....................................... 33,400 1,536,400
*Ceridian Corp........................................ 34,706 750,517
Champion International Corp........................... 23,100 1,280,606
Chase Manhattan Corp.................................. 199,900 15,442,275
Chevron Corp.......................................... 157,700 13,966,306
Chubb Corp............................................ 42,300 2,265,694
Cincinnati Financial Corp............................. 39,600 1,317,937
Cinergy Corp.......................................... 38,093 964,229
Circuit City Stores, Inc. (Circuit City Group)........ 48,300 2,342,550
*Cisco Sytems, Inc.................................... 781,100 69,639,947
Citigroup, Inc........................................ 811,400 43,714,175
*Clear Channel Communications, Inc.................... 80,900 6,502,337
</TABLE>
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Clorox Co............................................. 56,600 $ 2,522,237
Coastal Corp.......................................... 51,400 1,811,850
Coca-Cola Co.......................................... 593,100 39,923,044
*Coca-Cola Enterprises, Inc........................... 102,000 2,161,125
Colgate-Palmolive Co.................................. 140,300 7,698,962
Columbia Gas System, Inc.............................. 19,600 1,229,900
Columbia/HCA Healthcare Corp.......................... 135,600 3,695,100
Comcast Corp. Class A Special......................... 180,000 8,133,750
Comerica, Inc......................................... 37,450 1,984,850
Compaq Computer Corp.................................. 408,624 9,985,749
Computer Associates International, Inc................ 128,900 8,378,500
*Computer Sciences Corp............................... 38,400 2,505,600
*Compuware Corp....................................... 85,800 2,903,794
*#Comverse Tecnology, Inc............................. 16,900 2,042,787
Conagra, Inc.......................................... 117,300 2,829,862
Conoco, Inc........................................... 150,600 3,943,837
Conseco, Inc.......................................... 78,500 1,589,625
Consolidated Edison, Inc.............................. 53,100 1,831,950
Consolidated Natural Gas Co........................... 23,100 1,481,287
*Consolidated Stores Corp............................. 26,400 415,800
Constellation Energy Group............................ 35,850 1,055,334
Cooper Industries, Inc................................ 22,700 974,681
Cooper Tire & Rubber Co............................... 18,200 273,000
Coors (Adolph) Co. Class B............................ 8,800 437,800
Corning, Inc.......................................... 58,900 5,518,194
*Costco Wholesale Corp................................ 53,000 4,861,094
Countrywide Credit Industries, Inc.................... 27,100 762,187
Crane Co.............................................. 16,200 297,675
Crown Cork & Seal Co., Inc............................ 29,400 599,025
Cummins Engine Co., Inc............................... 10,000 405,000
DTE Energy Co......................................... 34,900 1,153,881
*Dana Corp............................................ 39,742 1,102,840
Danaher Corp.......................................... 34,200 1,680,075
Darden Restaurants, Inc............................... 31,700 564,656
Dayton-Hudson Corp.................................... 106,000 7,479,625
Deere & Co............................................ 56,000 2,404,500
*Dell Computer Corp................................... 610,500 26,270,578
Delphi Automotive Systems Corp........................ 135,700 2,137,275
*Delta Air Lines, Inc................................. 33,600 1,654,800
Deluxe Corp........................................... 18,200 476,612
Dillards, Inc. Class A................................ 25,600 483,200
*Disney (Walt) Co..................................... 495,400 13,809,275
Dollar General Corp................................... 53,900 1,320,550
Dominion Resources, Inc. VA........................... 46,200 2,096,325
Donnelley (R.R.) & Sons Co............................ 30,700 736,800
Dover Corp............................................ 50,200 2,177,425
Dow Chemical Co....................................... 52,900 6,195,912
Dow Jones & Co., Inc.................................. 21,800 1,321,625
DuPont (E.I.) de Nemours & Co., Inc................... 250,561 14,892,719
Duke Power Co......................................... 87,841 4,452,441
Dun & Bradstreet...................................... 38,600 1,042,200
*EMC Corp. MA......................................... 243,587 20,354,739
Eastern Enterprises................................... 6,400 363,200
*Eastman Chemical Co.................................. 18,750 728,906
Eastman Kodak Co...................................... 76,200 4,714,875
Eaton Corp............................................ 17,400 1,347,412
Ecolab, Inc........................................... 31,200 1,080,300
Edison International.................................. 83,500 2,212,750
*El Paso Energy Corp.................................. 54,600 2,102,100
Electronic Data Systems Corp.......................... 118,300 7,608,169
Emerson Electric Co................................... 104,500 5,956,500
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Engelhard Corp........................................ 30,174 $ 507,300
Enron Corp............................................ 171,700 6,535,331
Entergy Corp.......................................... 59,200 1,631,700
Equifax, Inc.......................................... 34,500 853,875
Exxon Corp............................................ 583,400 46,270,912
*FDX Corp............................................. 71,600 3,020,625
*FMC Corp............................................. 7,600 368,600
FPL Group, Inc........................................ 43,200 1,890,000
Fannie Mae............................................ 246,500 16,423,062
Federal Home Loan Mortgage Corp....................... 167,100 8,250,562
*Federated Department Stores, Inc..................... 50,000 2,353,125
Fifth Third Bancorp................................... 72,700 5,086,728
First Data Corp....................................... 103,000 4,454,750
First Union Corp...................................... 229,800 8,890,387
Firstar Corp.......................................... 236,500 6,149,000
FirstEnergy Corp...................................... 56,200 1,310,162
FleetBoston Financial Corp............................ 221,212 8,364,579
Fleetwood Enterprises, Inc............................ 8,100 170,100
Florida Progress Corp................................. 23,600 1,008,900
Fluor Corp............................................ 18,300 769,744
*Ford Motor Co........................................ 290,700 14,680,350
Fort James Corp....................................... 53,000 1,523,750
Fortune Brands, Inc................................... 40,000 1,367,500
Foster Wheeler Corp................................... 9,750 99,328
Franklin Resources, Inc............................... 60,500 1,901,969
*Freeport McMoran Copper & Gold, Inc. Class B......... 39,300 621,431
GPU, Inc.............................................. 30,100 963,200
GTE Corp.............................................. 235,900 17,220,700
Gannett Co., Inc...................................... 67,100 4,801,844
Gap, Inc.............................................. 205,900 8,338,950
*Gateway, Inc......................................... 75,400 5,758,675
General Dynamics Corp................................. 48,100 2,480,156
General Electric Co................................... 788,000 102,440,000
*General Instrument Corp.............................. 41,600 2,724,800
General Mills, Inc.................................... 73,600 2,773,800
General Motors Corp................................... 154,900 11,152,800
Genuine Parts Co...................................... 42,975 1,106,606
Georgia-Pacific Corp.................................. 41,300 1,644,256
Gillette Co........................................... 260,900 10,484,919
*Global Crossing, Ltd................................. 184,805 8,044,793
Golden West Financial Corp............................ 13,200 1,332,375
Goodrich (B.F.) Co.................................... 26,400 595,650
*Goodyear Tire & Rubber Co............................ 37,500 1,265,625
Grainger (W.W.), Inc.................................. 22,400 1,055,600
Great Atlantic & Pacific Tea Co., Inc................. 9,200 234,025
Great Lakes Chemical Corp............................. 14,100 467,944
Guidant Corp.......................................... 72,700 3,635,000
Halliburton Co........................................ 106,200 4,108,612
Harcourt General, Inc................................. 17,123 567,199
*Harrahs Entertainment, Inc........................... 30,900 853,612
Hartford Financial Services Group, Inc................ 54,500 2,544,469
Hasbro, Inc........................................... 46,798 1,009,082
*Healthsouth Corp..................................... 99,500 565,906
Heinz (H.J.) Co....................................... 86,100 3,605,437
Helmerich & Payne, Inc................................ 11,900 269,237
Hercules, Inc......................................... 25,500 605,625
Hershey Foods Corp.................................... 33,600 1,650,600
#Hewlett-Packard Co................................... 243,300 23,083,087
Hilton Hotels Corp.................................... 61,300 616,831
Home Depot, Inc....................................... 356,244 28,165,541
</TABLE>
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Homestake Mining Co................................... 62,400 $ 514,800
Honeywell, Inc........................................ 31,000 3,470,062
Household International, Inc.......................... 115,100 4,553,644
*Humana, Inc.......................................... 40,200 281,400
Huntington Bancshares, Inc............................ 55,373 1,534,870
IMS Health, Inc....................................... 75,300 1,774,256
ITT Industries, Inc................................... 21,100 735,862
*Ikon Office Solutions, Inc........................... 35,800 239,412
Illinois Tool Works, Inc.............................. 72,100 4,668,475
Inco, Ltd............................................. 46,100 847,087
Ingersoll-Rand Co..................................... 39,700 1,922,969
Intel Corp............................................ 795,100 60,924,537
International Business Machines Corp.................. 434,500 44,780,656
International Flavors & Fragrances, Inc............... 25,500 938,719
International Paper Co................................ 99,500 5,192,656
Interpublic Group of Companies, Inc................... 67,800 3,186,600
Jefferson-Pilot Corp.................................. 25,375 1,722,328
Johnson & Johnson..................................... 323,200 33,532,000
Johnson Controls, Inc................................. 20,500 1,117,250
Jostens, Inc.......................................... 8,100 148,837
*K Mart Corp.......................................... 118,700 1,179,581
*KLA-Tencor Corp...................................... 21,300 1,801,847
Kansas City Southern Industries, Inc.................. 26,500 1,578,406
Kaufman & Broad Home Corp............................. 11,500 254,437
Kellogg Co............................................ 97,200 3,292,650
Kerr-McGee Corp....................................... 20,842 1,193,204
Keycorp............................................... 107,900 2,913,300
Kimberly Clark Corp................................... 128,100 8,182,388
Knight Ridder, Inc.................................... 19,500 1,063,969
*Kohls Corp........................................... 39,000 2,815,313
*Kroger Co............................................ 199,400 4,249,713
*#LSI Logic Corp...................................... 35,500 2,145,531
Laidlaw, Inc.......................................... 79,200 485,100
*Leggett and Platt, Inc............................... 47,200 1,011,850
Lehman Brothers Holdings, Inc......................... 28,900 2,207,238
*Lexmark International Group, Inc..................... 31,000 2,573,000
Lilly (Eli) & Co...................................... 262,700 18,848,725
Limited, Inc.......................................... 51,300 2,177,044
Lincoln National Corp................................. 47,800 1,992,663
Liz Claiborne, Inc.................................... 14,800 554,075
*#Lockheed Martin Corp................................ 95,014 1,888,403
Loews Corp............................................ 25,800 1,651,200
Longs Drug Stores Corp................................ 9,400 236,175
*Louisiana-Pacific Corp............................... 25,800 316,050
Lowe's Companies, Inc................................. 91,600 4,562,825
Lucent Technologies, Inc.............................. 736,000 53,774,000
MBIA, Inc............................................. 23,900 1,195,000
MBNA Corp............................................. 192,545 4,861,761
*MCI Worldcom, Inc.................................... 450,300 37,234,181
MGIC Investment Corp.................................. 26,100 1,474,650
Mallinckrodt, Inc..................................... 17,100 568,575
*Manor Care, Inc...................................... 25,700 515,606
Marriott International, Inc. Class A.................. 59,900 1,950,494
Marsh & McLennan Companies, Inc....................... 63,500 4,992,688
Masco Corp............................................ 106,400 2,686,600
Mattel, Inc........................................... 101,100 1,446,994
May Department Stores Co.............................. 80,250 2,698,406
Maytag Corp........................................... 21,000 1,001,438
McDermott International, Inc.......................... 14,300 122,444
McDonalds Corp........................................ 325,600 14,652,000
<CAPTION>
SHARES VALUE+
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McGraw-Hill Companies, Inc............................ 47,200 $ 2,675,650
McKesson HBOC, Inc.................................... 67,700 1,582,488
Mead Corp............................................. 24,600 877,913
*Mediaone Group....................................... 145,700 11,546,725
Medtronic, Inc........................................ 281,800 10,954,975
Mellon Financial Corp................................. 123,500 4,500,031
Merck & Co., Inc...................................... 563,500 44,234,750
Meredith Corp......................................... 12,400 468,875
Merrill Lynch & Co., Inc.............................. 88,800 7,159,500
*#Micron Technology, Inc.............................. 60,200 4,040,925
*Microsoft Corp....................................... 1,256,400 114,371,663
Milacron, Inc......................................... 8,900 129,606
Millipore Corp........................................ 10,800 354,375
Minnesota Mining & Manufacturing Co................... 96,600 9,231,338
*Mirage Resorts, Inc.................................. 47,800 612,438
Mobil Corp............................................ 188,000 19,610,750
*Molex, Inc........................................... 37,200 1,882,088
Monsanto Co........................................... 152,100 6,416,719
Morgan (J.P.) & Co., Inc.............................. 42,200 5,549,300
Morgan Stanley Dean Witter Discover & Co.............. 136,900 16,513,563
Motorola, Inc......................................... 145,900 16,669,075
Nabisco Group Holdings Corp........................... 78,300 905,344
Nacco Industries, Inc. Class A........................ 2,000 96,875
National City Corp.................................... 148,700 3,708,206
*National Semiconductor Corp.......................... 40,200 1,708,500
National Service Industries, Inc...................... 9,800 289,713
*Navistar International Corp.......................... 15,900 591,281
*Network Appliance Corp............................... 17,600 2,070,750
New Century Energies, Inc............................. 27,600 867,675
New York Times Class A................................ 41,800 1,606,688
Newell Rubbermaid, Inc................................ 67,833 2,225,770
Newmont Mining Corp................................... 40,258 953,611
*Nextel Communications Corp. Class A.................. 86,900 8,613,963
*Niagara Mohawk Holdings, Inc......................... 45,000 675,000
Nicor, Inc............................................ 11,300 391,969
Nike, Inc. Class B.................................... 67,700 3,114,200
Nordstrom, Inc........................................ 33,700 937,281
Norfolk Southern Corp................................. 91,400 1,953,675
*Nortel Networks Corp................................. 318,920 23,600,080
Northern States Power Co. MN.......................... 37,100 758,231
Northern Trust Corp................................... 26,700 2,584,059
Northrop Grumman Corp................................. 16,700 938,331
*Novell, Inc.......................................... 80,500 1,572,266
Nucor Corp............................................ 21,000 1,059,188
Occidental Petroleum Corp............................. 83,800 1,838,363
*Office Depot, Inc.................................... 90,000 1,001,250
Omnicom Group, Inc.................................... 42,600 3,754,125
Oneok, Inc............................................ 7,600 204,725
*Oracle Systems Corp.................................. 345,943 23,448,449
Owens Corning......................................... 13,200 207,900
*Owens-Illinois, Inc.................................. 37,500 897,656
PE Corp. - PE Biosystems Group........................ 24,600 2,007,975
PECO Energy Co........................................ 44,900 1,478,894
PG&E Corp. (Holding Co.).............................. 92,200 2,062,975
PNC Bank Corp......................................... 73,100 4,075,325
PP&L Resources, Inc................................... 37,900 874,069
PPG Industries, Inc................................... 41,700 2,442,056
Paccar, Inc........................................... 18,720 770,445
*Pactiv Corporation................................... 40,900 419,225
</TABLE>
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<CAPTION>
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Paine Webber Group, Inc............................... 35,000 $ 1,371,563
Pall Corp............................................. 29,800 698,438
*Parametric Technology Corp........................... 64,800 1,466,100
Parker-Hannifin Corp.................................. 26,125 1,229,508
Paychex, Inc.......................................... 59,200 2,362,450
Penney (J.C.) Co., Inc................................ 63,400 1,414,613
Peoples Energy Corp................................... 8,500 312,375
*Peoplesoft, Inc...................................... 58,500 1,098,703
Pep Boys - Manny, Moe & Jack.......................... 12,700 123,031
Pepsico, Inc.......................................... 351,500 12,148,719
PerkinElmer, Inc...................................... 11,000 452,375
Pfizer, Inc........................................... 931,300 33,701,419
Pharmacia & Upjohn, Inc............................... 121,480 6,643,438
*Phelps Dodge Corp.................................... 18,741 974,532
Philip Morris Companies, Inc.......................... 574,100 15,106,006
Phillips Petroleum Co................................. 60,800 2,907,000
*Pinnacle West Capital Corp........................... 20,400 677,025
Pitney Bowes, Inc..................................... 64,300 3,082,381
Placer Dome, Inc...................................... 78,200 889,525
Polaroid Corp......................................... 10,600 204,050
Potlatch Corp......................................... 6,900 279,019
Praxair, Inc.......................................... 38,300 1,709,138
*Price (T. Rowe) Associates, Inc...................... 29,200 1,050,288
Procter & Gamble Co................................... 319,400 34,495,200
Progressive Corp...................................... 17,500 1,409,844
Providian Financial Corp.............................. 33,900 2,682,338
Public Service Enterprise Group, Inc.................. 52,600 1,841,000
Pulte Corp............................................ 10,400 208,650
*QUALCOMM, Inc........................................ 38,600 13,984,056
Quaker Oats Co........................................ 32,200 2,101,050
*Quintiles Transnational Corp......................... 27,600 609,788
Ralston Purina Group.................................. 77,600 2,303,750
*Raytheon Co. Class B................................. 81,200 2,491,825
*Reebok International, Ltd............................ 13,500 121,500
Regions Financial Corp................................ 53,900 1,480,566
Reliant Energy, Inc................................... 71,000 1,761,688
Republic New York Corp................................ 25,100 1,774,256
Reynolds Metals Co.................................... 15,300 957,206
Rite Aid Corp......................................... 62,100 469,631
Rockwell International Corp........................... 45,900 2,277,788
Rohm & Haas Co........................................ 52,400 1,919,150
*Rowan Companies, Inc................................. 20,000 342,500
Royal Dutch Petroleum Co. Den Haag (N.Y. Registry).... 515,200 29,881,600
Russell Corp.......................................... 8,100 105,806
Ryder System, Inc..................................... 16,700 376,794
SBC Communications, Inc............................... 820,601 42,619,964
SLM Holdings Corp..................................... 38,700 1,918,069
Safeco Corp........................................... 31,600 749,513
*Safeway, Inc......................................... 122,600 4,520,875
*Saint Jude Medical, Inc.............................. 20,350 540,547
Saint Paul Companies, Inc............................. 54,442 1,643,468
Sara Lee Corp......................................... 216,900 5,259,825
Schering-Plough Corp.................................. 352,900 18,042,013
Schlumberger, Ltd..................................... 131,400 7,892,213
Schwab (Charles) Corp................................. 196,400 7,450,925
Scientific-Atlanta, Inc............................... 18,300 1,067,119
*ScottishPower P.L.C.................................. 41,412 1,446,832
*Seagate Technology, Inc.............................. 53,300 1,972,100
#Seagram Co., Ltd..................................... 103,800 4,521,788
*Sealed Air Corp...................................... 19,992 939,624
*Sears, Roebuck & Co.................................. 91,500 3,128,156
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Sempra Energy......................................... 57,645 $ 1,066,433
Service Corp. International........................... 65,300 493,831
Shared Medical Systems Corp........................... 6,400 280,000
Sherwin-Williams Co................................... 40,600 870,363
Sigma-Aldrich Corp.................................... 24,200 691,969
*Silicon Graphics, Inc................................ 45,300 427,519
Snap-On, Inc.......................................... 15,700 474,925
*Solectron Corp....................................... 64,900 5,346,138
Southern Co........................................... 164,100 3,835,838
SouthTrust Corp....................................... 40,200 1,561,519
Southwest Airlines Co................................. 121,050 1,974,628
Springs Industries, Inc. Class A...................... 4,250 170,000
Sprint Corp........................................... 208,200 14,443,875
*#Sprint Corp. (PCS Group)............................ 105,700 9,697,975
Stanley Works......................................... 21,400 666,075
*Staples, Inc......................................... 111,700 2,617,969
State Street Corp..................................... 38,800 2,849,375
Summit Bancorp........................................ 42,600 1,389,825
*Sun Microsystems..................................... 185,880 24,576,821
*Sunoco, Inc.......................................... 21,700 554,706
#Suntrust Banks, Inc.................................. 77,100 5,387,363
*Supervalu, Inc....................................... 33,400 649,213
Synovus Financial Corp................................ 65,250 1,305,000
Sysco Corp............................................ 79,400 3,022,163
TJX Companies, Inc.................................... 76,300 1,998,106
TRW, Inc.............................................. 29,200 1,523,875
Tandy Corp............................................ 46,560 3,567,660
Tektronix, Inc........................................ 11,250 382,500
*Teledyne Technologies Inc............................ 6,528 57,533
*Tellabs, Inc......................................... 94,200 6,111,225
Temple-Inland, Inc.................................... 13,500 772,875
*Tenet Healthcare Corp................................ 74,500 1,662,281
*Teradyne, Inc........................................ 41,000 1,786,063
Texaco, Inc........................................... 132,600 8,080,313
Texas Instruments, Inc................................ 188,600 18,117,388
Texas Utilities Co.................................... 66,300 2,374,369
Textron, Inc.......................................... 36,400 2,586,675
*Thermo-Electron Corp................................. 37,900 568,500
Thomas & Betts Corp................................... 13,600 557,600
Time Warner, Inc...................................... 311,000 19,184,813
Times Mirror Co. Class A.............................. 14,400 929,700
Timken Co............................................. 14,900 284,963
Torchmark Corp........................................ 31,900 1,012,825
*Tosco Corp........................................... 36,600 990,488
*Toys R Us, Inc....................................... 59,400 1,039,500
Tribune Co............................................ 56,800 2,729,950
*Tricon Global Restaurants, Inc....................... 36,860 1,529,690
Tupperware Corp....................................... 13,800 245,813
Tyco International, Ltd............................... 427,300 17,118,706
U.S. Bancorp.......................................... 175,900 6,013,581
U.S. West, Inc........................................ 121,000 7,509,563
*USAir Group, Inc..................................... 17,200 480,525
UST, Inc.............................................. 41,900 1,115,588
USX-Marathon Group, Inc............................... 74,300 1,964,306
USX-US Steel Group.................................... 21,220 537,131
Unicom Corp., Inc..................................... 52,200 1,667,138
Unilever NV........................................... 137,400 7,479,713
Union Carbide Corp.................................... 32,100 1,877,850
Union Pacific Corp.................................... 59,500 2,800,219
Union Pacific Resources Group, Inc.................... 60,576 791,274
Union Planters Corp................................... 34,300 1,462,038
*Unisys Corp.......................................... 73,500 2,113,125
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
United Healthcare Corp................................ 41,600 $ 2,160,600
United Technologies Corp.............................. 115,700 6,537,050
Unocal Corp........................................... 58,100 1,928,194
UnumProvident Corp.................................... 57,500 1,872,344
VF Corp............................................... 28,500 851,438
*Viacom, Inc. Class B................................. 167,300 8,323,175
Vulcan Materials Co................................... 24,100 970,025
*WR Grace & Co........................................ 17,100 232,988
Wachovia Corp......................................... 48,400 3,747,975
Walgreen Co........................................... 241,100 7,022,038
Wal-Mart Stores, Inc.................................. 1,069,100 61,606,888
Warner-Lambert Co..................................... 205,600 18,439,750
Washington Mutual, Inc................................ 139,300 4,039,700
Waste Management, Inc................................. 148,700 2,416,375
*Water Pik Technologies, Inc.......................... 2,285 16,852
*Watson Pharmaceuticals, Inc.......................... 23,000 855,313
*Wellpoint Health Networks, Inc....................... 15,800 909,488
Wells Fargo Company................................... 396,100 18,418,650
Wendy's International, Inc............................ 29,200 644,225
Westvaco Corp......................................... 24,050 726,009
Weyerhaeuser Co....................................... 56,500 3,460,625
Whirlpool Corp........................................ 18,100 1,104,100
Willamette Industries, Inc............................ 26,900 1,112,988
Williams Companies, Inc............................... 104,197 3,516,649
Winn-Dixie Stores, Inc................................ 35,800 937,513
Worthington Industries, Inc........................... 22,000 350,625
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wrigley (Wm.) Jr. Co.................................. 27,900 $ 2,320,931
Xerox Corp............................................ 159,200 4,308,350
*Xilinx, Inc.......................................... 38,000 3,399,813
--------------
TOTAL COMMON STOCKS
(Cost $1,860,228,023)................................ 2,771,740,526
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $6,738,275) to be
repurchased at $6,636,977.
(Cost $6,636,000)................................... $ 6,636 6,636,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,866,864,023)++.............................. $2,778,376,526
==============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $1,880,188,558.
</TABLE>
See accompanying Notes to Financial Statements.
151
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED STATES -- (64.9%)
COMMERCIAL PAPER -- (31.2%)
British Telecommunications, Inc. C.P.
5.940%, 01/24/00................................... 1,600 $ 1,585,936
Ciesco L.P. C.P.
5.970%, 01/26/00................................... 1,000 990,884
5.900%, 01/27/00................................... 2,000 1,981,443
Corporate Asset Funding Corp. C.P.
6.080%, 01/21/00................................... 1,600 1,586,717
Delaware Funding Corp. C.P.
5.900%, 01/18/00................................... 2,900 2,877,303
DuPont (E.I.) de Nemours & Co., Inc. C.P.
5.740%, 01/18/00................................... 1,300 1,289,843
Enterprise Funding Corp. C.P.
5.920%, 01/26/00................................... 800 792,670
France Telecom C.P.
5.850%, 01/14/00................................... 2,500 2,482,094
Govco, Inc. C.P.
6.080%, 01/21/00................................... 1,200 1,189,919
KFW International Finance, Inc. C.P.
5.320%, 12/09/99................................... 1,000 998,758
Kittyhawk Funding Corp. C.P.
6.050%, 01/28/00................................... 2,100 2,080,174
Koch Industries, Inc. C.P.
5.690%, 12/01/99................................... 3,300 3,300,000
Metlife Funding Corp. C.P.
5.830%, 01/31/00................................... 1,500 1,485,182
Paccar Financial Corp. C.P.
5.950%, 01/26/00................................... 700 693,619
Sheffield Receivables Corp. C.P.
5.850%, 02/02/00................................... 3,000 2,969,393
Shell Financial U.K. C.P.
5.950%, 01/12/00................................... 2,200 2,184,959
Windmill Funding Corp. C.P.
6.000%, 01/07/00................................... 1,700 1,689,761
6.080%, 01/21/00................................... 1,500 1,487,547
------------
TOTAL COMMERCIAL PAPER
(Cost $31,663,316)................................... 31,666,202
------------
BONDS -- (24.9%)
Abbey National Treasury Services P.L.C.
5.750%, 03/06/01................................... 2,000 1,975,400
Associates Corp. of North America Medium Term Notes
5.600%, 01/15/01................................... 2,000 1,980,000
Bank Nederlandse Gemeenten NV
6.125%, 03/27/01................................... 1,000 992,900
Citicorp Corporate Bonds
5.625%, 02/15/01................................... 1,000 990,000
First USA Bank Medium Term Notes
6.125%, 06/25/01................................... 2,000 1,985,000
General Electric Capital Corp.
3.000%, 02/08/01................................... 2,600 2,585,968
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Japanese Development Bank Medium Term Notes
8.375%, 02/15/01................................... 1,000 $ 1,019,200
Natexis Banque Medium Term Notes
6.000%, 11/06/00................................... 2,000 1,991,000
Nederlandse Waterschapsbank NV Medium Term Notes
5.500%, 02/20/01................................... 2,800 2,768,836
Rabobank Nederland
6.000%, 03/12/01................................... 2,100 2,086,959
Statoil Den Norske Stats Oljeselskap AS
6.250%, 10/10/00................................... 2,000 1,999,000
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 2,900 2,856,500
Wal-Mart Stores, Inc. Medium Term Notes
6.150%, 08/10/01................................... 2,000 1,992,500
------------
TOTAL BONDS
(Cost $25,308,425)................................... 25,223,263
------------
AGENCY OBLIGATIONS -- (4.9%)
Federal Home Loan Mortgage Corp.
**5.200%, 12/13/99................................. 500 499,087
Federal National Mortgage Association
**5.250%, 12/13/99................................. 4,500 4,491,765
------------
TOTAL AGENCY OBLIGATIONS
(Cost $4,991,258).................................... 4,990,852
------------
VARIABLE RATE OBLIGATIONS -- (3.9%)
Chase Manhattan Corp.
***6.352%, 02/24/00................................ 1,000 1,000,000
Citicorp
***6.110%, 02/15/00................................ 1,000 1,000,000
Key Bank N.A.
***6.435%, 02/02/00................................ 2,000 2,001,800
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $4,000,078).................................... 4,001,800
------------
TOTAL -- UNITED STATES
(Cost $65,963,077)................................... 65,882,117
------------
GERMANY -- (10.5%)
BONDS -- (10.5%)
Allgemeine Hypotheken Bank AG
4.250%, 06/25/01................................... 2,000 2,018,003
Bank Nederlandse Gemeenten
6.250%, 08/10/00................................... 3,000 1,569,460
Deutsche Genossen Hypobank
3.500%, 10/26/01................................... 3,000 2,980,789
Landwirtschaft Rentenbank
5.000%, 12/29/00................................... 2,081 1,079,897
Westfalische Hypotheken Bank
3.250%, 08/15/01................................... 3,000 2,975,653
------------
TOTAL -- GERMANY
(Cost $11,288,058)................................... 10,623,802
------------
</TABLE>
152
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
FRANCE -- (9.6%)
BONDS -- (9.6%)
Charbonnages de France
9.200%, 05/06/01................................... 2,322 $ 2,504,474
Credit Locale de France SA Eurobond
6.000%, 09/24/01................................... 2,000 2,068,549
France (Government of) BTAN
5.500%, 10/12/01................................... 1,000 1,033,066
French Government Note
3.000%, 07/12/01................................... 2,000 1,984,373
Societe Nationale de Chemins Fer Francais
9.375%, 03/12/01................................... 2,000 2,143,663
------------
TOTAL -- FRANCE
(Cost $10,309,014)................................... 9,734,125
------------
CANADA -- (4.8%)
BONDS -- (4.8%)
Canada (Government of)
7.000%, 09/01/01................................... 5,000 3,453,262
Canada Mortgage and Housing Corp.
7.250%, 09/01/01................................... 2,000 1,378,372
------------
TOTAL BONDS
(Cost $4,808,890).................................... 4,831,634
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $2)........................... 2
------------
TOTAL -- CANADA
(Cost $4,808,892).................................... 4,831,636
------------
SWEDEN -- (3.5%)
BONDS -- (3.5%)
Swedish Government Bond
13.000%, 06/15/01
(Cost $3,574,425)................................ 27,000 3,565,152
------------
DENMARK -- (3.3%)
BONDS -- (3.3%)
Denmark Kingdom
8.000%, 11/15/01
(Cost $3,439,629)................................ 23,000 3,314,343
------------
NETHERLANDS -- (2.7%)
BONDS -- (2.7%)
Baden-Wuerttemberg L-Finance NV
6.625%, 05/11/00................................... 2,000 924,685
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Helaba International Finance P.L.C.
6.125%, 06/30/00................................... 4,000 $ 1,850,833
------------
TOTAL -- NETHERLANDS
(Cost $2,986,222).................................... 2,775,518
------------
AUSTRALIA -- (0.6%)
BONDS -- (0.6%)
ABN-AMRO Australia, Ltd.
7.500%, 03/08/00
(Cost $675,619).................................. 1,000 638,481
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $41)......................... 41
------------
TOTAL -- AUSTRALIA
(Cost $675,660)...................................... 638,522
------------
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $19).............................. 23
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $143,150) to be
repurchased at $138,020.
(Cost $138,000)..................................... 138 138,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $103,182,996)++................................ $101,503,238
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
@ Denominated in local currency.
* Non-Income Producing Securities
** Face amount of securities pledged as margin requirement for open futures
contracts.
*** Rates shown are the rates as of November 30, 1999, and maturities shown
are the next interest readjustment date.
++ The cost for federal income tax purposes is $103,218,838.
</TABLE>
See accompanying Notes to Financial Statements.
153
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (99.8%)
AK Steel Holding Corp................................. 182,000 $ 3,014,375
*AMR Corp............................................. 565,000 34,394,375
*Advanced Micro Devices, Inc.......................... 485,900 13,726,675
Aegon NV.............................................. 151,614 13,664,212
Aetna, Inc............................................ 544,726 29,755,658
Airborne Freight Corp................................. 139,000 3,223,062
*Airgas, Inc.......................................... 28,800 280,800
*Alaska Air Group, Inc................................ 111,200 4,225,600
Albemarle Corp........................................ 102,100 1,978,187
Alexander & Baldwin, Inc.............................. 164,000 3,741,250
*Allegheny Corp....................................... 16,822 3,229,824
Alliant Energy Corp................................... 217,700 5,891,506
Allmerica Financial Corp.............................. 80,600 4,448,112
*Allstate Corp........................................ 309,400 8,102,412
Ambac, Inc............................................ 140,300 7,646,350
Amerada Hess Corp..................................... 115,100 6,668,606
*America West Holdings Corp. Class B.................. 108,800 2,196,400
American Annuity Group, Inc........................... 37,600 606,300
American Financial Group, Inc......................... 178,100 4,797,569
American Greetings Corp. Class A...................... 170,200 4,010,337
American National Insurance Co........................ 38,900 2,594,144
Amerus Life Holdings, Inc. Class A.................... 45,600 1,074,450
Apache Corp........................................... 19,700 705,506
Archer-Daniels Midland Co............................. 1,958,076 24,353,570
*Arrow Electronics, Inc............................... 437,600 10,010,100
Ashland, Inc.......................................... 198,500 6,699,375
*AutoNation, Inc...................................... 2,068,600 19,263,837
*Avnet, Inc........................................... 115,600 6,350,775
*BJ Services, Co...................................... 96,900 3,379,387
Bancwest Corp......................................... 108,900 4,798,406
Bear Stearns Companies, Inc........................... 376,170 15,352,438
Belo (A.H.) Corp. Class A............................. 306,800 5,522,400
*Bethlehem Steel Corp................................. 444,400 2,777,500
Black & Decker Corp................................... 28,800 1,292,400
Block Drug Co., Inc. Class A.......................... 1,127 32,983
Boise Cascade Corp.................................... 172,100 5,958,962
*Borders Group, Inc................................... 22,700 351,850
Borg Warner Automotive, Inc........................... 74,400 3,013,200
Bowater, Inc.......................................... 158,200 7,751,800
Brunswick Corp........................................ 273,500 5,965,719
Burlington Northern Santa Fe Corp..................... 1,833,200 53,162,800
*CBRL Group, Inc...................................... 270,000 2,986,875
CIGNA Corp............................................ 5,124 421,449
*CNA Financial Corp................................... 562,900 21,953,100
CSX Corp.............................................. 672,700 23,922,894
Capital Re Corp....................................... 26,600 365,750
Centex Corp........................................... 222,500 5,284,375
Champion International Corp........................... 293,700 16,281,994
Chesapeake Corp....................................... 15,100 482,256
*Chris-Craft Industries, Inc.......................... 74,072 5,138,745
Cincinnati Financial Corp............................. 470,280 15,651,506
*Coca-Cola Enterprises, Inc........................... 258,200 5,470,612
Commerce Group, Inc................................... 93,100 2,595,162
Conseco, Inc.......................................... 1,006,800 20,387,700
Consolidated Papers, Inc.............................. 196,100 5,735,925
*Consolidated Stores Corp............................. 166,900 2,628,675
Cooper Tire & Rubber Co............................... 221,400 3,321,000
Corn Products International, Inc...................... 116,200 3,645,775
Countrywide Credit Industries, Inc.................... 346,200 9,736,875
Crown Cork & Seal Co., Inc............................ 393,100 8,009,412
Cummins Engine Co., Inc............................... 125,500 5,082,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Dana Corp............................................ 82,800 $ 2,297,700
Delphi Automotive Systems Corp........................ 1,096,830 17,275,072
*Delta Air Lines, Inc................................. 284,500 14,011,625
Dillards, Inc. Class A................................ 329,700 6,223,087
ENSCO International, Inc.............................. 354,600 7,114,162
EOG Resources, Inc.................................... 217,800 4,029,300
Earthgrains Co........................................ 114,700 2,078,937
*Eastman Chemical Co.................................. 67,700 2,631,837
Enhance Financial Services Group, Inc................. 116,400 1,993,350
Everest Reinsurance Holdings, Inc..................... 211,300 5,018,375
*Extended Stay America, Inc........................... 355,300 2,731,369
*FMC Corp............................................. 1,000 48,500
*Federal-Mogul Corp................................... 353,100 7,878,544
*Federated Department Stores, Inc..................... 649,600 30,571,800
Financial Security Assurance Holdings, Ltd............ 41,800 2,207,562
First American Financial Corp......................... 112,300 1,445,862
First Citizens Bancshares, Inc. NC.................... 10,300 749,325
Florida East Coast Industries, Inc.................... 62,500 2,546,875
*Ford Motor Co........................................ 2,120,900 107,105,450
Fortune Brands, Inc................................... 574,000 19,623,625
Fruit of The Loom, Inc. Class A....................... 65,300 122,437
*GATX Corp............................................ 113,400 3,728,025
General Motors Corp................................... 1,569,300 112,989,600
*General Motors Corp. Class H......................... 338,446 28,979,439
Georgia-Pacific Corp.................................. 445,000 17,716,562
*Golden State Bancorp, Inc............................ 32,600 633,662
Golden West Financial Corp............................ 90,800 9,165,125
Goodrich (B.F.) Co.................................... 109,800 2,477,362
*Goodyear Tire & Rubber Co............................ 32,000 1,080,000
Great Atlantic & Pacific Tea Co., Inc................. 126,700 3,222,931
*Greenpoint Financial Corp............................ 206,700 5,232,094
*Harris Corp.......................................... 101,400 2,129,400
*Healthsouth Corp..................................... 1,365,400 7,765,712
Helmerich & Payne, Inc................................ 151,600 3,429,950
Hilton Hotels Corp.................................... 684,200 6,884,763
Hollinger International, Inc. Class A................. 268,700 3,375,544
Horton (D.R.), Inc.................................... 355,300 4,885,375
*Humana, Inc.......................................... 510,600 3,574,200
IBP, Inc.............................................. 288,400 6,362,825
IMC Global, Inc....................................... 426,700 6,880,538
*Ikon Office Solutions, Inc........................... 512,000 3,424,000
*Imation Corp......................................... 1,600 51,500
*Ingram Micro, Inc.................................... 266,900 3,553,106
*#Integrated Health Services, Inc..................... 87,100 32,663
*Interim Services, Inc................................ 150,300 2,771,156
International Paper Co................................ 821,241 42,858,515
*K Mart Corp.......................................... 1,650,000 16,396,875
Lafarge Corp.......................................... 241,800 6,528,600
*Lam Research Corp.................................... 68,900 5,335,444
*Lanier Worldwide, Inc................................ 101,400 405,600
Lehman Brothers Holdings, Inc......................... 362,000 27,647,750
Lennar Corp........................................... 58,000 946,125
Liberty Corp.......................................... 40,400 1,848,300
*Liberty Financial Companies, Inc..................... 160,000 3,760,000
Lincoln National Corp................................. 446,100 18,596,794
*Lockheed Martin Corp................................. 80,900 1,607,888
Loews Corp............................................ 329,600 21,094,400
Longs Drug Stores Corp................................ 50,900 1,278,863
*Louisiana-Pacific Corp............................... 328,500 4,024,125
Lubrizol Corp......................................... 182,000 4,982,250
*Lyondell Chemical Co................................. 251,800 3,525,200
</TABLE>
154
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
MBIA, Inc............................................. 92,900 $ 4,645,000
Mallinckrodt, Inc..................................... 205,200 6,822,900
*Mandalay Resort Group................................ 296,300 6,907,494
*Manor Care, Inc...................................... 222,000 4,453,875
Mark IV Industries, Inc............................... 86,100 1,614,375
Mead Corp............................................. 302,300 10,788,331
Millennium Chemicals, Inc............................. 339,300 6,637,556
*Mirage Resorts, Inc.................................. 666,900 8,544,656
Mitchell Energy & Development Corp. Class A........... 58,500 1,378,406
Mitchell Energy & Development Corp. Class B........... 31,600 726,800
*Modis Professional Services, Inc..................... 89,500 956,531
Murphy Oil Corp....................................... 11,000 621,500
Nabisco Group Holdings Corp........................... 1,009,380 11,670,956
*National Semiconductor Corp.......................... 348,300 14,802,750
Norfolk Southern Corp................................. 1,169,900 25,006,613
Northrop Grumman Corp................................. 234,000 13,147,875
Occidental Petroleum Corp............................. 650,800 14,276,925
*Officemax, Inc....................................... 367,200 2,249,100
*#Ohio Casualty Corp.................................. 213,800 3,293,856
Old Republic International Corp....................... 553,275 6,915,938
Olsten Corp........................................... 13,300 134,663
Omnicare, Inc......................................... 306,600 4,158,263
*Owens-Illinois, Inc.................................. 330,700 7,916,131
PMI Group, Inc........................................ 95,100 4,749,056
Pacific Century Financial Corp........................ 207,800 4,078,075
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable, Class A.................... 51,296 2,404,500
*Pactiv Corporation................................... 615,100 6,304,775
*Park Place Entertainment Corp........................ 586,400 7,549,900
Penney (J.C.) Co., Inc................................ 1,065,700 23,778,431
Penzoil Quaker State Co............................... 55,600 576,850
*Phelps Dodge Corp.................................... 212,712 11,061,024
*Pioneer Natural Resources Co......................... 480,400 3,993,325
Potlatch Corp......................................... 94,600 3,825,388
*Premier Parks, Inc................................... 24,000 600,000
*Pride International, Inc............................. 50,000 718,750
Pulte Corp............................................ 127,600 2,559,975
Questar Corp.......................................... 251,400 4,320,938
*R & B Falcon Corp.................................... 695,800 8,610,525
RJ Reynolds Tobacco Holdings, Inc..................... 416,193 8,870,113
Radian Group, Inc..................................... 47,000 2,297,125
Rayonier, Inc......................................... 83,000 3,688,313
*Raytheon Co. Class A................................. 246,900 7,190,963
*Raytheon Co. Class B................................. 188,900 5,796,869
Reynolds Metals Co.................................... 194,900 12,193,431
*Rowan Companies, Inc................................. 279,300 4,783,013
Russell Corp.......................................... 137,400 1,794,788
Ryder System, Inc..................................... 268,800 6,064,800
Safeco Corp........................................... 480,300 11,392,116
*Safety-Kleen Corp.................................... 195,700 2,299,475
Saint Paul Companies, Inc............................. 695,326 20,990,154
*Saks, Inc............................................ 421,400 7,374,500
*Seagate Technology, Inc.............................. 61,100 2,260,700
*Sears, Roebuck & Co.................................. 547,000 18,700,563
*Sensormatic Electronics Corp......................... 401,800 6,403,688
Service Corp. International........................... 825,600 6,243,600
*Silicon Graphics, Inc................................ 456,700 4,310,106
*Smurfit-Stone Container Corp......................... 235,026 4,509,561
Sovereign Bancorp, Inc................................ 154,700 1,370,545
*Spiegel, Inc. Class A Non-Voting..................... 9,600 76,500
Springs Industries, Inc. Class A...................... 7,700 308,000
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
St. Joe Corp.......................................... 78,400 $ 1,754,200
Starwood Hotels and Resorts Worldwide, Inc............ 548,600 12,240,638
*Sunoco, Inc.......................................... 328,000 8,384,500
*Tech Data Corp....................................... 72,500 1,780,781
*Tecumseh Products Co. Class A........................ 58,300 2,800,222
Tecumseh Products Co. Class B......................... 14,400 627,300
Telephone & Data Systems, Inc......................... 11,000 1,465,063
Temple-Inland, Inc.................................... 138,200 7,911,950
*Tenet Healthcare Corp................................ 658,000 14,681,625
Tenneco Automotive, Inc............................... 123,020 968,783
Terra Industries, Inc................................. 61,400 126,638
*Thermo-Electron Corp................................. 485,600 7,284,000
Tidewater, Inc........................................ 164,000 5,237,750
Timken Co............................................. 270,800 5,179,050
*Toys R Us, Inc....................................... 760,200 13,303,500
Travelers Property Casualty Corp...................... 477,000 15,890,063
*Trinity Industries, Inc.............................. 85,000 2,486,250
*UAL Corp............................................. 158,400 10,890,000
UMB Financial Corp.................................... 46,600 1,893,125
USX-Marathon Group, Inc............................... 675,450 17,857,209
USX-US Steel Group.................................... 314,400 7,958,250
Ultramar Diamond Shamrock Corp........................ 265,400 6,717,938
*Unifi, Inc........................................... 73,000 967,250
Union Pacific Corp.................................... 792,800 37,311,150
Union Pacific Resources Group, Inc.................... 773,900 10,109,069
*United Rentals, Inc.................................. 96,400 1,662,900
Unitrin, Inc.......................................... 223,800 8,364,525
*Unova, Inc........................................... 273,500 3,589,688
UnumProvident Corp.................................... 519,089 16,902,836
Valero Energy Corp.................................... 268,500 5,571,375
Valhi, Inc............................................ 158,500 1,713,781
*Venator Group, Inc................................... 494,500 3,399,688
*Vishay Intertechnology, Inc.......................... 203,455 5,887,479
Wallace Computer Services, Inc........................ 31,000 621,938
Weis Markets, Inc..................................... 20,800 854,100
Wesco Financial Corp.................................. 12,540 3,448,500
Westvaco Corp......................................... 305,550 9,223,791
Worthington Industries, Inc........................... 184,000 2,932,500
*Ziff-Davis, Inc...................................... 20,000 368,750
--------------
TOTAL COMMON STOCKS
(Cost $1,706,931,282)................................ 1,776,092,181
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $3,379,363) to be
repurchased at $3,328,490.
(Cost $3,328,000).................................... $ 3,328 3,328,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,710,259,282)++.............................. $1,779,420,181
==============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $1,710,428,739.
</TABLE>
See accompanying Notes to Financial Statements.
155
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (95.8%)
AAR Corp.............................................. 4,000 $ 66,000
*ACX Technologies, Inc................................ 4,600 42,550
AK Steel Holding Corp................................. 13,235 219,205
*AMF Bowling, Inc..................................... 8,300 26,456
*AMR Corp............................................. 26,900 1,637,537
AVX Corp.............................................. 7,000 286,562
*Acceptance Insurance Companies, Inc.................. 2,100 13,387
*Advanced Micro Devices, Inc.......................... 24,400 689,300
#Advanta Corp. Class A................................ 1,900 33,131
Advanta Corp. Class B Non-Voting...................... 2,000 25,750
Aegon NV.............................................. 6,319 569,500
Aetna, Inc............................................ 28,600 1,562,275
*Aftermarket Technology Corp.......................... 300 2,587
Agco Corp............................................. 9,600 121,800
*Agribiotech, Inc..................................... 11,100 35,728
*Agribrands International, Inc........................ 2,000 94,125
Airborne Freight Corp................................. 8,400 194,775
*Airgas, Inc.......................................... 11,500 112,125
*Alaska Air Group, Inc................................ 4,500 171,000
Albemarle Corp........................................ 3,900 75,562
Alexander & Baldwin, Inc.............................. 9,400 214,437
*Allegheny Corp....................................... 612 117,504
*Allen Telecom, Inc................................... 4,300 40,312
Alliance Bancorp...................................... 1,700 33,787
*Alliance Semiconductor Corp.......................... 3,900 56,306
Alliant Energy Corp................................... 12,700 343,694
Allmerica Financial Corp.............................. 8,700 480,131
*Allstate Corp........................................ 90,100 2,359,494
Amcol International Corp.............................. 1,900 33,725
Amerada Hess Corp..................................... 9,200 533,025
*Amerco, Inc.......................................... 3,000 78,562
*America West Holdings Corp. Class B.................. 5,875 118,602
American Annuity Group, Inc........................... 6,600 106,425
American Business Products, Inc....................... 1,400 14,962
American Financial Group, Inc......................... 9,700 261,294
*American Freightways Corp............................ 4,700 81,222
American Greetings Corp. Class A...................... 10,400 245,050
American National Insurance Co........................ 4,100 273,419
Amerus Life Holdings, Inc. Class A.................... 4,000 94,250
*Amtran, Inc.......................................... 1,000 19,500
*Anicom, Inc.......................................... 5,000 23,203
*Anixter International, Inc........................... 3,400 69,275
Apache Corp........................................... 9,800 350,962
*Applied Graphics Technologies, Inc................... 3,000 28,312
Applied Industrial Technologies, Inc.................. 3,700 63,362
*Arcadia Financial, Ltd............................... 6,700 30,150
*Arch Chemicals, Inc.................................. 5,500 85,937
Arch Coal, Inc........................................ 5,500 53,625
Archer-Daniels Midland Co............................. 114,270 1,421,233
Arctic Cat, Inc....................................... 3,000 30,562
Argonaut Group, Inc................................... 3,900 90,187
Arnold Industries, Inc................................ 3,700 46,828
*Arrow Electronics, Inc............................... 24,800 567,300
*Ascent Entertainment Group, Inc...................... 1,600 19,350
Ashland, Inc.......................................... 16,700 563,625
*Audiovox Corp. Class A............................... 1,900 56,525
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*Aurora Foods, Inc.................................... 2,000 $ 18,000
*AutoNation, Inc...................................... 97,400 907,037
Avado Brands, Inc..................................... 3,500 16,953
*Avid Technology, Inc................................. 3,500 39,047
*Avis Rent A Car, Inc................................. 4,700 89,887
*Avnet, Inc........................................... 6,744 370,498
*Aztar Corp........................................... 7,400 79,087
*BJ Services, Co...................................... 6,500 226,687
Baldwin & Lyons, Inc. Class B......................... 900 18,619
Bancwest Corp......................................... 6,300 277,594
Bandag, Inc........................................... 1,000 24,250
Bandag, Inc. Class A.................................. 1,200 25,050
BankAtlantic Bancorp, Inc. Class A.................... 150 684
BankAtlantic Bancorp, Inc. Class B.................... 2,000 11,187
Banta Corp............................................ 3,000 65,812
*Barrett Resources Corp............................... 3,000 79,687
Bassett Furniture Industries, Inc..................... 1,500 23,812
*Battle Mountain Gold Co.............................. 10,900 27,250
Bay View Capital Corp................................. 2,600 43,550
Bear Stearns Companies, Inc........................... 20,522 837,554
*Belco Oil & Gas Corp................................. 3,500 21,656
Belo (A.H.) Corp. Class A............................. 17,300 311,400
Bergen Brunswig Corp. Class A......................... 33,265 274,436
Berkley (W.R.) Corp................................... 3,500 75,031
*Berlitz International, Inc........................... 1,000 19,625
*Bethlehem Steel Corp................................. 25,766 161,037
*Beverly Enterprises.................................. 21,000 84,000
Bindley Western Industries, Inc....................... 3,700 49,025
*Bio-Rad Laboratories, Inc. Class A................... 1,000 24,687
Birmingham Steel Corp................................. 4,700 34,075
Block Drug Co., Inc. Class A.......................... 2,369 69,293
*Boca Resorts, Inc.................................... 6,700 58,625
Boise Cascade Corp.................................... 9,200 318,550
*Boise Cascade Office Products Corp................... 14,000 161,000
*Borders Group, Inc................................... 1,000 15,500
Borg Warner Automotive, Inc........................... 3,900 157,950
Bowater, Inc.......................................... 8,000 392,000
Bowne & Co., Inc...................................... 5,400 63,787
*Boyd Gaming Corp..................................... 5,300 32,794
*Brightpoint, Inc..................................... 6,100 67,672
Brookline Bancorp, Inc................................ 6,700 67,209
*Brown (Tom), Inc..................................... 3,700 43,359
Brown Shoe Company, Inc............................... 2,800 44,100
Brunswick Corp........................................ 14,100 307,556
Brush Wellman, Inc.................................... 3,500 56,875
*Budget Group, Inc.................................... 5,100 39,844
*Buffets, Inc......................................... 3,900 41,559
Burlington Coat Factory Warehouse Corp................ 4,000 51,250
*Burlington Industries, Inc........................... 500 1,844
Burlington Northern Santa Fe Corp..................... 91,000 2,639,000
*Bush Boake Allen, Inc................................ 3,000 75,375
*CB Richard Ellis Services, Inc....................... 3,500 45,937
*CBRL Group, Inc...................................... 9,400 103,987
*CICOR International, Inc............................. 1,150 12,506
CK Witco Corp......................................... 5,637 60,245
*CNA Financial Corp................................... 34,700 1,353,300
CNA Surety Corp....................................... 1,000 11,125
*CSS Industries, Inc.................................. 2,000 42,750
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CSX Corp.............................................. 41,600 $ 1,479,400
*Cabletron Systems, Inc............................... 17,300 396,819
Calgon Carbon Corp.................................... 6,100 37,362
Capital Re Corp....................................... 3,900 53,625
*Caribiner International, Inc......................... 1,600 14,200
*Carmike Cinemas, Inc. Class A........................ 1,000 12,500
Carolina First Corp................................... 100 2,047
Carpenter Technology Corp............................. 3,700 97,125
Carter-Wallace, Inc................................... 3,600 65,025
Cash America International, Inc....................... 3,000 26,062
*Castle & Cooke, Inc.................................. 2,300 29,037
Castle (A.M.) & Co.................................... 1,400 16,450
Cato Corp. Class A.................................... 1,400 18,287
*Centex Corp.......................................... 8,500 201,875
*Champion Enterprises, Inc............................ 10,600 90,762
Champion International Corp........................... 14,900 826,019
*Charming Shoppes, Inc................................ 16,600 107,641
*Checkpoint System, Inc............................... 5,700 45,244
Chemed Corp........................................... 1,000 26,000
Chesapeake Corp....................................... 3,500 111,781
Chiquita Brands International, Inc.................... 10,800 47,250
*Chris-Craft Industries, Inc.......................... 3,957 274,517
Cincinnati Financial Corp............................. 33,100 1,101,609
Circle International, Inc............................. 1,200 29,025
*Citation Corp........................................ 2,200 37,262
Cleveland Cliffs, Inc................................. 2,000 58,500
Coachmen Industries, Inc.............................. 3,000 42,937
*Coca-Cola Enterprises, Inc........................... 46,300 980,981
*Coherent, Inc........................................ 3,000 79,312
Columbus McKinnon Corp................................ 1,000 10,312
*Comfort Systems USA, Inc............................. 9,100 75,075
Commerce Group, Inc................................... 5,800 161,675
Commercial Metals Co.................................. 2,400 76,800
Commonwealth Bancorp, Inc............................. 2,000 33,125
Commonwealth Industries, Inc.......................... 2,800 36,312
*Compucom Systems, Inc................................ 4,000 12,625
*CompUSA, Inc......................................... 9,600 56,400
Conseco, Inc.......................................... 85,700 1,735,425
*Consolidated Freightways Corp........................ 3,400 30,919
Consolidated Papers, Inc.............................. 8,000 234,000
*Consolidated Stores Corp............................. 16,100 253,575
Cooper Tire & Rubber Co............................... 12,700 190,500
*Cordant Technologies, Inc............................ 5,000 145,625
Corn Products International, Inc...................... 6,400 200,800
*Cort Business Services Corp.......................... 1,000 19,500
Corus Bankshares, Inc................................. 1,400 39,900
Countrywide Credit Industries, Inc.................... 24,000 675,000
*Coventry Health Care, Inc............................ 13,400 77,469
*Credit Acceptance Corp............................... 7,100 28,622
Cross Timbers Oil Co.................................. 4,200 42,787
Crown Cork & Seal Co., Inc............................ 24,900 507,337
Cummins Engine Co., Inc............................... 4,700 190,350
*Cypress Semiconductor Corp........................... 9,100 247,975
*DVI, Inc............................................. 2,000 28,000
Dain Rauscher Corp.................................... 1,000 48,687
*Dana Corp............................................ 13,600 377,400
Delphi Automotive Systems Corp........................ 24,812 390,789
*Delphi Financial Group, Inc. Class A................. 2,684 83,224
*Delta Air Lines, Inc................................. 18,300 901,275
Deltic Timber Corp.................................... 1,000 25,750
Detroit Diesel Corp................................... 3,700 67,987
Devon Energy Corp..................................... 7,400 260,850
<CAPTION>
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Dillards, Inc. Class A................................ 6,700 $ 126,462
Dime Community Bancorp, Inc........................... 2,100 41,803
Dimon, Inc............................................ 6,400 21,600
*Discount Auto Parts, Inc............................. 2,200 30,387
Downey Financial Corp................................. 4,200 84,525
*Dress Barn, Inc...................................... 3,500 59,937
*Dura Automotive Systems, Inc......................... 1,849 38,309
*Dura Pharmaceuticals, Inc............................ 7,200 93,825
ENSCO International, Inc.............................. 12,800 256,800
EOG Resources, Inc.................................... 11,800 218,300
Earthgrains Co........................................ 6,500 117,812
*Eastman Chemical Co.................................. 12,200 474,275
*Electro Rent Corp.................................... 800 9,475
*Electroglas, Inc..................................... 1,600 45,550
Energen Corp.......................................... 2,800 53,900
Enesco Group, Inc..................................... 3,000 36,562
Enhance Financial Services Group, Inc................. 5,600 95,900
*Enserch Exploration Corp............................. 4,700 12,337
*Esterline Technologies Corp.......................... 3,000 37,687
Ethyl Corp............................................ 9,900 41,456
*Evans & Sutherland Computer Corp..................... 1,000 12,906
Everest Reinsurance Holdings, Inc..................... 7,800 185,250
#Exide Corp........................................... 3,000 30,937
*Extended Stay America, Inc........................... 26,300 202,181
FBL Financial Group, Inc. Class A..................... 8,000 139,000
*FMC Corp............................................. 1,000 48,500
*FSI International, Inc............................... 1,200 11,287
*Fairchild Corp. Class A.............................. 1,946 14,108
*Farm Family Holdings, Inc............................ 1,000 40,750
*Federal-Mogul Corp................................... 16,200 361,462
*Federated Department Stores, Inc..................... 34,100 1,604,831
Fidelity National Financial, Inc...................... 5,000 75,312
Financial Security Assurance Holdings, Ltd............ 4,600 242,937
*Finish Line, Inc. Class A............................ 2,400 15,825
*Finova Group, Inc.................................... 6,000 223,125
First American Financial Corp......................... 15,500 199,562
First Citizens Bancshares, Inc. NC.................... 1,600 116,400
*First Republic Bank.................................. 1,000 23,562
First Sentinel Bancorp, Inc........................... 8,700 72,455
First Washington Bancorp, Inc......................... 1,000 16,562
*FirstFed Financial Corp. DE.......................... 3,000 46,312
Flagstar Bancorp, Inc................................. 3,000 47,906
Fleetwood Enterprises, Inc............................ 5,200 109,200
Fleming Companies, Inc................................ 6,400 77,200
Florida East Coast Industries, Inc.................... 4,000 163,000
Fluor Corp............................................ 3,400 143,012
*Ford Motor Co........................................ 129,300 6,529,650
*Forest Oil Corp...................................... 3,100 35,456
Fortune Brands, Inc................................... 17,000 581,187
Foster Wheeler Corp................................... 6,300 64,181
*Foundation Health Systems, Inc....................... 36,800 310,500
Fremont General Corp.................................. 16,100 81,506
*Fritz Companies, Inc................................. 3,000 29,531
Frontier Insurance Group, Inc......................... 5,000 15,000
*GATX Corp............................................ 8,400 276,150
*General Cigar Holdings, Inc. Class A................. 1,000 7,562
*General Communications, Inc. Class A................. 11,700 47,897
General Motors Corp................................... 70,500 5,076,000
*General Motors Corp. Class H......................... 23,400 2,003,625
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Georgia-Pacific Corp.................................. 13,200 $ 525,525
Glatfelter (P.H.) Co.................................. 6,300 81,112
*Glenayre Technologies, Inc........................... 7,200 33,637
*Golden State Bancorp, Inc............................ 4,600 89,412
Goodrich (B.F.) Co.................................... 16,000 361,000
*Goodyear Tire & Rubber Co............................ 11,100 374,625
Grand Premier Financial, Inc.......................... 400 6,725
*Grand Union Co....................................... 600 6,337
Great Atlantic & Pacific Tea Co., Inc................. 6,500 165,344
*Greenpoint Financial Corp............................ 17,500 442,969
*Grey Wolf, Inc....................................... 18,200 50,050
*Griffon Corp......................................... 4,600 35,362
Guarantee Life Companies, Inc......................... 2,000 62,937
Guilford Mills, Inc................................... 2,600 18,850
*Gymboree Corp........................................ 3,000 18,187
*HS Resources, Inc.................................... 2,000 25,875
*Ha-Lo Industries, Inc................................ 9,600 60,000
Hancock Holding Co.................................... 1,200 48,487
*Hanger Orthopedic Group, Inc......................... 3,700 37,925
Harbor Florida Bancshares, Inc........................ 3,500 44,297
Hardinge Brothers, Inc................................ 1,000 13,656
Harleysville Group, Inc............................... 5,200 78,162
Harman International Industries, Inc.................. 1,400 72,100
*Harris Corp.......................................... 12,800 268,800
Harsco Corp........................................... 2,000 59,625
*Healthsouth Corp..................................... 67,800 385,612
Heilig-Meyers Co...................................... 9,800 35,525
Helmerich & Payne, Inc................................ 7,900 178,737
*Hexcel Corp.......................................... 9,100 54,031
Hilton Hotels Corp.................................... 19,900 200,244
Hollinger International, Inc. Class A................. 14,900 187,181
*Hollywood Park, Inc.................................. 2,800 56,525
*Homebase, Inc........................................ 3,300 11,344
Horton (D.R.), Inc.................................... 15,700 215,875
Host Marriott Corp.................................... 7,100 66,119
*Houston Exploration Co............................... 5,000 100,000
Hughes Supply, Inc.................................... 3,300 78,169
*Humana, Inc.......................................... 32,000 224,000
Hunt (J.B.) Transport Services, Inc................... 5,500 72,703
*Hutchinson Technology, Inc........................... 1,800 33,187
*Hypercom Corp........................................ 5,600 52,850
IBP, Inc.............................................. 14,200 313,288
IMC Global, Inc....................................... 23,900 385,388
IMCO Recycling, Inc................................... 2,600 33,475
*Ikon Office Solutions, Inc........................... 29,400 196,613
*Imation Corp......................................... 6,300 202,781
*Imperial Credit Industries, Inc...................... 6,100 35,838
Imperial Sugar Co..................................... 2,200 8,800
*Inacom Corp.......................................... 10,100 59,969
Independence Community Bank Corp...................... 4,500 50,484
*Information Resources, Inc........................... 4,500 44,930
Ingles Market, Inc. Class A........................... 1,400 16,406
*Ingram Micro, Inc.................................... 7,800 103,838
*Inprise Corp......................................... 9,700 86,694
*Input/Output, Inc.................................... 8,300 44,613
*Integrated Electrical Services, Inc.................. 7,000 74,375
Interface, Inc. Class A............................... 7,100 32,172
*Intergraph Corp...................................... 8,100 36,323
*Interim Services, Inc................................ 8,300 153,031
Intermet Corp......................................... 5,600 56,350
International Paper Co................................ 32,500 1,696,094
<CAPTION>
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*International Rectifier Corp......................... 5,900 $ 119,475
*International Speciality Products, Inc............... 10,000 83,750
Interpool, Inc........................................ 4,300 38,163
*Ionics, Inc.......................................... 2,200 58,713
*JDA Software Group, Inc.............................. 2,100 29,466
JSB Financial, Inc.................................... 1,000 59,125
*Jones Apparel Group, Inc............................. 1,352 36,082
Justin Industries, Inc................................ 4,400 68,338
*K Mart Corp.......................................... 89,000 884,438
*Kaiser Aluminum Corp................................. 16,600 109,975
Kaman Corp. Class A................................... 3,000 35,719
Kellwood Co........................................... 4,700 97,525
*Kemet Corp........................................... 5,100 184,397
Kennametal, Inc....................................... 8,300 275,975
*Kent Electronics Corp................................ 1,700 38,994
Kerr-McGee Corp....................................... 4,700 269,075
*Key Energy Group, Inc................................ 12,000 60,000
LNR Property Corp..................................... 4,400 77,550
LTV Corp.............................................. 20,500 71,750
Lafarge Corp.......................................... 10,700 288,900
*Lam Research Corp.................................... 3,000 232,313
Landamerica Financial Group, Inc...................... 3,000 58,313
*Landrys Seafood Restaurants, Inc..................... 3,600 31,781
*Lanier Worldwide, Inc................................ 12,800 51,200
Lehman Brothers Holdings, Inc......................... 19,400 1,481,675
Lennar Corp........................................... 8,200 133,763
Liberty Corp.......................................... 1,000 45,750
*Liberty Financial Companies, Inc..................... 8,000 188,000
Lincoln National Corp................................. 12,800 533,600
*Lockheed Martin Corp................................. 28,100 558,488
*Loews Cineplex Entertainment Corp.................... 13,100 85,150
Loews Corp............................................ 21,900 1,401,600
*Lone Star Steakhouse Saloon.......................... 5,600 42,263
*Lone Star Technologies, Inc.......................... 3,000 75,938
Longview Fibre Co..................................... 8,500 108,375
*Louis Dreyfus Natural Gas Corp....................... 3,700 66,600
*Louisiana-Pacific Corp............................... 21,900 268,275
Lubrizol Corp......................................... 4,900 134,138
Luby's Cafeterias, Inc................................ 2,500 29,063
*Lyondell Chemical Co................................. 23,900 334,600
M.A. Hanna Co......................................... 7,700 80,369
MBIA, Inc............................................. 14,900 745,000
MDC Holdings, Inc..................................... 3,000 44,813
*MEMC Electronic Materials, Inc....................... 3,200 38,400
*MGM Grand, Inc....................................... 2,000 98,750
*MS Carriers, Inc..................................... 2,000 52,375
*Magellan Health Services, Inc........................ 3,600 22,500
*Magnetek, Inc........................................ 4,500 30,094
*Mallon Resources Corp................................ 1,000 6,000
*Mandalay Resort Group................................ 14,800 345,025
*Manor Care, Inc...................................... 22,300 447,394
Marcus Corp........................................... 3,000 38,250
*Marine Drilling Companies, Inc....................... 4,200 70,875
Mark IV Industries, Inc............................... 5,800 108,750
*Maxxam, Inc.......................................... 500 22,719
Mead Corp............................................. 16,600 592,413
*Metals USA, Inc...................................... 6,000 50,250
*Metrocall, Inc....................................... 2,800 5,775
*Metromedia International Group, Inc.................. 12,600 56,700
Michael Foods, Inc.................................... 1,000 25,156
*Michaels Stores, Inc................................. 4,200 131,906
*Micro Warehouse, Inc................................. 5,700 67,153
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Midland Co............................................ 1,000 $ 23,125
Mikasa, Inc........................................... 1,000 10,875
Milacron, Inc......................................... 4,500 65,531
Millennium Chemicals, Inc............................. 12,500 244,531
*Miller Industries, Inc............................... 5,900 14,381
Mine Safety Appliances Co............................. 1,000 63,000
*Mirage Resorts, Inc.................................. 34,400 440,750
Mississippi Chemical Corp............................. 3,000 15,938
Mitchell Energy & Development Corp. Class A........... 2,000 47,125
Mitchell Energy & Development Corp. Class B........... 2,500 57,500
*Modis Professional Services, Inc..................... 20,600 220,163
*Moog, Inc. Class A................................... 500 13,125
*Morrison Knudsen Corp................................ 7,600 66,025
Movado Group, Inc..................................... 1,400 33,338
Murphy Oil Corp....................................... 3,600 203,400
NCH Corp.............................................. 600 27,975
*NCI Building Systems, Inc............................ 1,000 16,625
*NS Group, Inc........................................ 3,500 36,313
Nabisco Group Holdings Corp........................... 61,000 705,313
*Nabors Industries, Inc............................... 1,127 29,949
Nacco Industries, Inc. Class A........................ 1,000 48,438
National Presto Industries, Inc....................... 1,000 35,250
*National Semiconductor Corp.......................... 21,500 913,750
National Steel Corp. Class B.......................... 2,700 15,694
*Network Equipment Technologies, Inc.................. 2,600 32,013
*Newpark Resources, Inc............................... 5,500 33,000
Noble Affiliates, Inc................................. 6,000 132,000
*Noble Drilling Corp.................................. 11,700 326,138
Norfolk Southern Corp................................. 76,300 1,630,913
Northrop Grumman Corp................................. 6,000 337,125
*Nuevo Energy Co...................................... 3,100 47,856
*O'Sullivan Industries Holdings, Inc.................. 1,500 25,688
Oakwood Homes Corp.................................... 4,000 12,000
*Oceaneering International, Inc....................... 1,500 19,500
OceanFirst Financial Corp............................. 1,600 29,650
*Ocwen Financial Corp................................. 14,200 92,300
*Officemax, Inc....................................... 31,000 189,875
*Offshore Logistics, Inc.............................. 3,600 35,550
*#Ohio Casualty Corp.................................. 9,900 152,522
Old Republic International Corp....................... 26,200 327,500
Olin Corp............................................. 3,800 68,163
Olsten Corp........................................... 11,200 113,400
Omnicare, Inc......................................... 9,200 124,775
*On Command Corp...................................... 1,600 23,900
*Orbital Sciences Corp................................ 2,100 29,138
Oregon Steel Mills, Inc............................... 4,300 34,938
*Ortel Corp........................................... 3,000 190,875
Overseas Shipholding Group, Inc....................... 8,300 121,388
*Owens-Illinois, Inc.................................. 31,800 761,213
Oxford Industries, Inc................................ 1,000 21,313
PMI Group, Inc........................................ 4,050 202,247
PXRE Group, Ltd....................................... 1,000 12,375
Pacific Century Financial Corp........................ 12,800 251,200
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable, Class A.................... 13,900 651,563
*Pactiv Corporation................................... 34,400 352,600
Park Electrochemical Corp............................. 1,000 32,875
*Park Place Entertainment Corp........................ 19,900 256,213
<CAPTION>
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*Parker Drilling Co................................... 14,900 $ 58,669
*Paxar Corp........................................... 5,900 50,150
*Paxson Communications Corp........................... 6,600 75,488
Penney (J.C.) Co., Inc................................ 52,200 1,164,713
Pep Boys - Manny, Moe & Jack.......................... 14,600 141,438
*Perrigo Co........................................... 5,600 47,075
*Per-Se Technologies, Inc............................. 2,000 15,031
*Petco Animal Supplies, Inc........................... 3,200 44,400
*PetSmart, Inc........................................ 3,100 13,466
*Phelps Dodge Corp.................................... 10,973 570,596
Phillips-Van Heusen Corp.............................. 4,600 39,100
Phoenix Investment Partners, Ltd...................... 2,800 21,875
*Phycor, Inc.......................................... 16,800 24,675
*Pico Holdings, Inc................................... 2,500 38,047
*Picturetel Corp...................................... 3,500 17,336
Pier 1 Imports, Inc. DE............................... 13,200 91,575
Pilgrim Pride Corp.................................... 2,200 17,050
*Pioneer Natural Resources Co......................... 19,500 162,094
Pioneer Standard Electronics, Inc..................... 3,700 49,719
*#Planet Hollywood, Inc............................... 6,700 673
*Players International, Inc........................... 600 4,669
*Polymer Group, Inc................................... 5,200 97,825
Potlatch Corp......................................... 5,200 210,275
*Premier Parks, Inc................................... 1,100 27,500
Presidential Life Corp................................ 4,700 83,131
*Price Communications Corp............................ 4,265 106,892
*Pride International, Inc............................. 13,600 195,500
*Primark Corp......................................... 5,100 135,469
*Prime Hospitality Corp............................... 12,600 109,463
*Protection One, Inc.................................. 25,500 44,625
Pulte Corp............................................ 11,200 224,700
Quanex Corp........................................... 2,000 42,375
*Quest Diagnostics, Inc............................... 4,600 140,013
Questar Corp.......................................... 13,700 235,469
*Quorum Health Group, Inc............................. 14,400 129,150
*R & B Falcon Corp.................................... 29,100 360,113
RJ Reynolds Tobacco Holdings, Inc..................... 22,033 469,578
RLI Corp.............................................. 2,000 68,000
*RTI International Metals, Inc........................ 4,100 27,163
Radian Group, Inc..................................... 6,500 317,688
*Rayonier, Inc........................................ 3,400 151,088
*Raytheon Co. Class A................................. 12,000 349,500
*Raytheon Co. Class B................................. 26,000 797,875
*Read-Rite Corp....................................... 3,800 20,841
*Reebok International, Ltd............................ 14,200 127,800
Reliance Bancorp, Inc................................. 1,000 39,344
Reliance Group Holdings, Inc.......................... 2,800 11,200
*Renaissance Worldwide, Inc........................... 14,900 71,706
*Rent-Way, Inc........................................ 1,000 15,250
*Republic Bankshares, Inc............................. 1,000 14,094
Resource America, Inc................................. 2,400 20,175
Reynolds Metals Co.................................... 9,600 600,600
Riggs National Corp................................... 3,300 46,922
Roadway Express, Inc.................................. 3,000 59,719
Rock-Tenn Co. Class A................................. 3,800 58,900
Rollins Truck Leasing Corp............................ 9,600 112,800
*Romac International, Inc............................. 12,000 134,625
Rouge Industries, Inc. Class A........................ 1,000 7,563
*Rowan Companies, Inc................................. 9,600 164,400
Russ Berrie & Co., Inc................................ 1,700 43,350
Russell Corp.......................................... 5,900 77,069
*Ryans Family Steak Houses, Inc....................... 5,200 51,188
</TABLE>
159
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ryder System, Inc..................................... 11,700 $ 263,981
Ryerson Tull, Inc..................................... 7,600 155,325
Ryland Group, Inc..................................... 2,100 47,775
#SCPIE Holdings, Inc.................................. 2,000 69,625
Safeco Corp........................................... 26,500 628,547
*Safety-Kleen Corp.................................... 15,200 178,600
Saint Paul Companies, Inc............................. 45,500 1,373,531
*Saks, Inc............................................ 20,600 360,500
*Santa Fe Snyder Corp................................. 9,000 72,000
Schulman (A.), Inc.................................... 2,100 33,272
Schweitzer-Maudoit International, Inc................. 2,100 27,825
*Seacor Smit, Inc..................................... 1,500 77,813
*Seagate Technology, Inc.............................. 2,700 99,900
*Sears, Roebuck & Co.................................. 24,100 823,919
*Seitel, Inc.......................................... 3,700 24,975
Selective Insurance Group, Inc........................ 4,800 84,150
*Sensormatic Electronics Corp......................... 18,900 301,219
*Sequa Corp. Class A.................................. 1,000 55,625
Service Corp. International........................... 55,200 417,450
*Service Experts, Inc................................. 3,000 18,750
*Shaw Group, Inc...................................... 1,300 27,138
*Shopko Stores, Inc................................... 4,500 102,094
*Sierra Health Services, Inc.......................... 4,100 38,438
*Silicon Graphics, Inc................................ 7,000 66,063
*Silicon Valley Group, Inc............................ 5,800 83,194
Skyline Corp.......................................... 1,200 29,775
Smart & Final Food, Inc............................... 3,900 26,813
Smith (A.O.) Corp..................................... 3,000 66,000
Smith (A.O.) Corp. Convertible Class A................ 1,000 21,500
*Sola International, Inc.............................. 4,900 69,825
*Sonic Automotive, Inc................................ 1,000 9,000
South Jersey Industries, Inc.......................... 1,900 55,694
Southwestern Energy Co................................ 7,600 56,525
Sovereign Bancorp, Inc................................ 27,420 242,924
*SpeedFam-IPEC, Inc................................... 1,200 14,175
*Spiegel, Inc. Class A Non-Voting..................... 2,100 16,734
*Sports Authority, Inc................................ 3,300 7,013
Springs Industries, Inc. Class A...................... 2,000 80,000
*Staffmark, Inc....................................... 8,300 66,011
Standard Motor Products, Inc. Class A................. 5,000 91,563
Standard Pacific Corp. DE............................. 6,900 75,900
*Standard Register Co................................. 4,000 84,250
Starwood Hotels and Resorts Worldwide, Inc............ 35,900 801,019
State Auto Financial Corp............................. 8,200 79,181
Staten Island Bancorp, Inc............................ 6,300 123,244
Stepan Co............................................. 1,100 26,056
Stewart & Stevenson Services, Inc..................... 3,900 46,556
Stewart Information Services Corp..................... 2,000 27,000
Stone & Webster, Inc.................................. 2,000 32,750
Stride Rite Corp...................................... 5,189 33,080
*#Sunbeam Corp........................................ 14,800 73,075
*#Sunoco, Inc......................................... 9,200 235,175
*Sunrise Medical, Inc................................. 1,500 9,000
*Sunterra Corp........................................ 3,000 32,250
*Tech Data Corp....................................... 8,300 203,869
*Tecumseh Products Co. Class A........................ 2,000 96,063
Tecumseh Products Co. Class B......................... 1,000 43,563
Tektronix, Inc........................................ 3,400 115,600
Telephone & Data Systems, Inc......................... 4,100 546,069
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Telxon Corp........................................... 1,100 $ 17,359
Temple-Inland, Inc.................................... 4,200 240,450
*Tenet Healthcare Corp................................ 50,500 1,126,781
Tenneco Automotive, Inc............................... 6,880 54,180
Terra Industries, Inc................................. 2,000 4,125
*Tesoro Petroleum Corp................................ 5,000 60,000
Texas Industries, Inc................................. 3,600 130,500
*Thermedics, Inc...................................... 6,400 36,400
*Thermo Bioanalysis Corp.............................. 1,000 17,625
*Thermo Ecotek Corp................................... 1,000 7,375
*Thermo Optek Corp.................................... 6,600 66,413
*Thermo-Electron Corp................................. 31,100 466,500
*ThermoQuest Corp..................................... 4,100 42,281
Tidewater, Inc........................................ 9,800 312,988
Timken Co............................................. 14,700 281,138
Titan International, Inc.............................. 2,700 17,888
#Titanium Metals Corp................................. 4,200 22,838
*Toll Brothers, Inc................................... 5,600 100,100
*Total Renal Care Holdings, Inc....................... 15,000 106,875
*Tower Automotive, Inc................................ 1,200 18,000
*Toys R Us, Inc....................................... 48,900 855,750
Travelers Property Casualty Corp...................... 10,400 346,450
Trenwick Group, Inc................................... 825 16,758
*Trex Medical Corp.................................... 3,000 8,250
*Trico Marine Services, Inc........................... 7,500 56,016
*Trinity Industries, Inc.............................. 6,200 181,350
*Triumph Group........................................ 1,500 36,469
*Tuboscope Vetco International, Inc................... 4,500 64,125
*Twinlab Corp......................................... 3,300 32,175
*U.S. Office Products, Co............................. 1,600 5,900
*UAL Corp............................................. 8,900 611,875
UMB Financial Corp.................................... 3,000 121,875
*US Oncology, Inc..................................... 18,588 88,583
USX-Marathon Group, Inc............................... 45,500 1,202,906
USX-US Steel Group.................................... 19,000 480,938
Ultramar Diamond Shamrock Corp........................ 13,700 346,781
*Ultratech Stepper, Inc............................... 3,000 56,719
*Unifi, Inc........................................... 10,800 143,100
Unifirst Corp......................................... 1,000 15,188
Union Pacific Corp.................................... 50,700 2,386,069
Union Pacific Resources Group, Inc.................... 30,000 391,875
*United Rentals, Inc.................................. 11,800 203,550
*United States Home Corp.............................. 2,000 51,500
Unitrin, Inc.......................................... 15,800 590,525
*Unova, Inc........................................... 10,000 131,250
UnumProvident Corp.................................... 37,100 1,208,069
Valero Energy Corp.................................... 13,900 288,425
Valhi, Inc............................................ 18,700 202,194
*Value City Department Stores, Inc.................... 3,800 63,413
*Varian Medical Systems, Inc.......................... 4,900 128,013
*Venator Group, Inc................................... 27,700 190,438
*Veritas DGC, Inc..................................... 3,000 43,688
*Veterinary Centers of America, Inc................... 4,800 53,850
Vintage Petroleum, Inc................................ 6,100 65,194
*Vishay Intertechnology, Inc.......................... 11,000 318,313
*Volt Information Sciences, Inc....................... 3,000 66,938
WFS Financial, Inc.................................... 3,000 66,844
Wabash National Corp.................................. 4,000 58,750
Wallace Computer Services, Inc........................ 1,900 38,119
Watsco, Inc. Class A.................................. 3,000 32,625
Watts Industries, Inc. Class A........................ 2,300 32,056
*Webb (Del) Corp...................................... 3,000 68,625
</TABLE>
160
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wellman, Inc.......................................... 4,700 $ 74,906
Werner Enterprises, Inc............................... 1,000 15,000
Wesco Financial Corp.................................. 1,000 275,000
Westcorp, Inc......................................... 4,000 58,750
Westvaco Corp......................................... 21,100 636,956
White Mountains Insurance Group, Inc.................. 1,000 118,000
Whitney Holdings Corp................................. 3,900 148,078
*Windmere Corp........................................ 2,500 35,781
*Wisconsin Central Transportation Corp................ 8,600 120,669
*Wolverine Tube, Inc.................................. 2,000 30,375
Wolverine World Wide, Inc............................. 2,500 27,344
Woodward Governor Co.................................. 1,600 43,150
Worthington Industries, Inc........................... 10,300 164,156
XL Capital, Ltd....................................... 1,830 93,330
*Xtra Corp............................................ 2,000 80,000
Yankee Energy Systems, Inc............................ 1,220 52,079
*Yellow Corp.......................................... 4,200 70,875
Zenith National Insurance Corp........................ 2,300 47,725
*Ziff-Davis, Inc...................................... 21,500 396,406
------------
TOTAL COMMON STOCKS
(Cost $126,790,793).................................. 125,312,264
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (4.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $5,598,188) to be
repurchased at $5,507,811.
(Cost $5,507,000) $ 5,507 $ 5,507,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $132,297,793)++................................ $130,819,264
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $132,397,286.
</TABLE>
See accompanying Notes to Financial Statements.
161
<PAGE>
THE U.S. 4-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (97.8%)
*3Dfx Interactive, Inc................................ 5,000 $ 44,375
AAR Corp.............................................. 56,500 932,250
*ACX Technologies, Inc................................ 50,000 462,500
AK Steel Holding Corp................................. 118,538 1,963,286
*AMF Bowling, Inc..................................... 10,300 32,831
*Acceptance Insurance Companies, Inc.................. 23,600 150,450
*Advanced Micro Devices, Inc.......................... 30,000 847,500
#Advanta Corp. Class A................................ 18,087 315,392
Advanta Corp. Class B Non-Voting...................... 32,227 414,923
Agco Corp............................................. 103,000 1,306,812
*Agribrands International, Inc........................ 15,600 734,175
Airborne Freight Corp................................. 49,300 1,143,144
*Airgas, Inc.......................................... 104,400 1,017,900
*Alaska Air Group, Inc................................ 45,800 1,740,400
Albemarle Corp........................................ 19,900 385,562
Alexander & Baldwin, Inc.............................. 74,500 1,699,531
Alfa Corp............................................. 4,400 77,275
*Allegheny Corp....................................... 6,426 1,233,792
*Allen Telecom, Inc................................... 42,700 400,312
Alliance Bancorp...................................... 2,300 45,712
*Alliance Semiconductor Corp.......................... 18,700 269,981
Alliant Energy Corp................................... 78,100 2,113,581
Amcol International Corp.............................. 800 14,200
*Amerco, Inc.......................................... 25,500 667,781
*America West Holdings Corp. Class B.................. 65,500 1,322,281
American Annuity Group, Inc........................... 33,500 540,187
American Business Products, Inc....................... 22,000 235,125
American Financial Group, Inc......................... 94,200 2,537,512
*American Freightways Corp............................ 48,700 841,597
American Greetings Corp. Class A...................... 35,400 834,112
*American Homepatient, Inc............................ 7,000 5,141
American National Insurance Co........................ 1,100 73,356
*Ameripath, Inc....................................... 2,100 17,161
Amerus Life Holdings, Inc. Class A.................... 46,200 1,088,587
*Amresco, Inc......................................... 58,000 116,906
*Amtran, Inc.......................................... 5,700 111,150
Analogic Corp......................................... 300 8,953
*Anixter International, Inc........................... 39,700 808,887
*Ann Taylor Stores Corp............................... 10,000 431,875
*Antec Corp........................................... 2,100 117,600
*Applied Graphics Technologies, Inc................... 5,700 53,794
Applied Industrial Technologies, Inc.................. 36,400 623,350
*Apria Healthcare Group, Inc.......................... 24,200 337,287
*Arch Chemicals, Inc.................................. 7,550 117,969
Arch Coal, Inc........................................ 63,600 620,100
Arctic Cat, Inc....................................... 31,800 323,962
Argonaut Group, Inc................................... 38,800 897,250
Arnold Industries, Inc................................ 30,200 382,219
*Arrow Electronics, Inc............................... 211,304 4,833,579
*Ascent Entertainment Group, Inc...................... 24,400 295,087
*Associated Group, Inc. Class A....................... 22,500 1,700,859
*Audiovox Corp. Class A............................... 28,200 838,950
*Aurora Foods, Inc.................................... 20,000 180,000
*Avid Technology, Inc................................. 31,600 352,537
*Avis Rent A Car, Inc................................. 17,300 330,862
*Avnet, Inc........................................... 67,969 3,734,047
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Aztar Corp........................................... 89,900 $ 960,806
Baldwin & Lyons, Inc. Class B......................... 16,400 339,275
Bancwest Corp......................................... 50,800 2,238,375
Bandag, Inc........................................... 16,000 388,000
Bandag, Inc. Class A.................................. 16,700 348,612
BankAtlantic Bancorp, Inc. Class A.................... 1,995 9,102
BankAtlantic Bancorp, Inc. Class B.................... 13,300 74,397
Bassett Furniture Industries, Inc..................... 22,100 350,837
*Battle Mountain Gold Co.............................. 104,800 262,000
Bay View Capital Corp................................. 32,300 541,025
Belo (A.H.) Corp. Class A............................. 24,100 433,800
Bergen Brunswig Corp. Class A......................... 52,400 432,300
Berkley (W.R.) Corp................................... 42,400 908,950
*Berlitz International, Inc........................... 7,700 151,112
*Bethlehem Steel Corp................................. 225,200 1,407,500
*Beverly Enterprises.................................. 211,600 846,400
Bindley Western Industries, Inc....................... 9,466 125,424
*Bio-Rad Laboratories, Inc. Class A................... 6,700 165,406
Birmingham Steel Corp................................. 44,900 325,525
Block Drug Co., Inc. Class A.......................... 14,511 424,466
Bob Evans Farms, Inc.................................. 15,400 230,519
*Boca Resorts, Inc.................................... 63,800 558,250
Boise Cascade Corp.................................... 50,900 1,762,412
*Boise Cascade Office Products Corp................... 127,200 1,462,800
*Bombay Co., Inc...................................... 52,300 261,500
*Borders Group, Inc................................... 14,100 218,550
Borg Warner Automotive, Inc........................... 22,600 915,300
Bowater, Inc.......................................... 28,400 1,391,600
Bowne & Co., Inc...................................... 77,230 912,279
*Boyd Gaming Corp..................................... 43,300 267,919
*Brightpoint, Inc..................................... 56,300 624,578
Brookline Bancorp, Inc................................ 8,300 83,259
*Brown (Tom), Inc..................................... 34,900 408,984
Brown Shoe Company, Inc............................... 17,400 274,050
Brunswick Corp........................................ 86,300 1,882,419
Brush Wellman, Inc.................................... 28,400 461,500
*Budget Group, Inc.................................... 58,200 454,687
*Buffets, Inc......................................... 5,000 53,281
Burlington Coat Factory Warehouse Corp................ 54,500 698,281
*Burlington Industries, Inc........................... 94,800 349,575
*Bush Boake Allen, Inc................................ 2,800 70,350
Butler Manufacturing Co............................... 1,600 34,300
*CB Richard Ellis Services, Inc....................... 32,000 420,000
*CBRL Group, Inc...................................... 98,200 1,086,337
*CICOR International, Inc............................. 14,250 154,969
CKE Restaurants, Inc.................................. 95,900 617,356
CNA Surety Corp....................................... 8,000 89,000
*CSS Industries, Inc.................................. 21,600 461,700
Calgon Carbon Corp.................................... 66,600 407,925
Capital Re Corp....................................... 32,000 440,000
*Carmike Cinemas, Inc. Class A........................ 7,200 90,000
Carolina First Corp................................... 4,300 88,016
Carpenter Technology Corp............................. 38,100 1,000,125
Carter-Wallace, Inc................................... 25,200 455,175
Cash America International, Inc....................... 16,500 143,344
*Castle & Cooke, Inc.................................. 29,600 373,700
Castle (A.M.) & Co.................................... 9,700 113,975
*Centex Corp.......................................... 108,100 2,567,375
</TABLE>
162
<PAGE>
THE U.S. 4-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Central Garden & Pet Co.............................. 51,300 $ 408,797
Century Aluminum Co................................... 9,400 92,237
*Cerner Corp.......................................... 1,000 18,969
*Champion Enterprises, Inc............................ 30,900 264,581
*Charming Shoppes, Inc................................ 166,200 1,077,703
*Checkpoint System, Inc............................... 52,300 415,131
Chemed Corp........................................... 9,000 234,000
Chemical Financial Corp............................... 125 3,980
Chesapeake Corp....................................... 37,400 1,194,462
*#Chesapeake Energy Corp.............................. 44,000 132,000
Chiquita Brands International, Inc.................... 123,400 539,875
*Chris-Craft Industries, Inc.......................... 42,352 2,938,170
Circle International, Inc............................. 4,800 116,100
*Cirrus Logic, Inc.................................... 46,200 641,025
*Citation Corp........................................ 29,100 492,881
Cleveland Cliffs, Inc................................. 20,400 596,700
Coachmen Industries, Inc.............................. 15,000 214,687
*Coherent, Inc........................................ 12,000 317,250
Columbus McKinnon Corp................................ 1,700 17,531
*Comfort Systems USA, Inc............................. 19,900 164,175
Commerce Group, Inc................................... 62,000 1,728,250
Commercial Metals Co.................................. 25,500 816,000
Commonwealth Bancorp, Inc............................. 1,400 23,187
Community Trust Bancorp, Inc.......................... 3,300 70,537
*Compucom Systems, Inc................................ 36,500 115,203
*CompUSA, Inc......................................... 49,200 289,050
*Consolidated Freightways Corp........................ 16,000 145,500
Consolidated Papers, Inc.............................. 19,300 564,525
*Consolidated Stores Corp............................. 118,100 1,860,075
Cooper Tire & Rubber Co............................... 88,300 1,324,500
*Cordant Technologies, Inc............................ 6,000 174,750
Corn Products International, Inc...................... 71,140 2,232,017
*Cort Business Services Corp.......................... 20,000 390,000
Corus Bankshares, Inc................................. 10,300 293,550
*Covenant Transport, Inc. Class A..................... 10,800 156,937
*Coventry Health Care, Inc............................ 33,900 195,984
*Credit Acceptance Corp............................... 65,800 265,256
Cross Timbers Oil Co.................................. 18,700 190,506
Cummins Engine Co., Inc............................... 56,000 2,268,000
Curtiss-Wright Corp................................... 3,500 133,000
*DVI, Inc............................................. 24,500 343,000
Dain Rauscher Corp.................................... 8,000 389,500
*Delphi Financial Group, Inc. Class A................. 22,945 711,324
Deltic Timber Corp.................................... 1,700 43,775
Detroit Diesel Corp................................... 30,900 567,787
Dime Community Bancorp, Inc........................... 14,500 288,641
Dimon, Inc............................................ 53,800 181,575
*Discount Auto Parts, Inc............................. 30,900 426,806
*Dollar Thrifty Automotive Group, Inc................. 12,900 254,775
Downey Financial Corp................................. 45,500 915,687
*Dress Barn, Inc...................................... 35,000 599,375
*Dura Automotive Systems, Inc......................... 21,050 436,130
*Dura Pharmaceuticals, Inc............................ 67,000 873,094
ENSCO International, Inc.............................. 9,200 184,575
*Eagle Geophysical, Inc............................... 1,317 53
Earthgrains Co........................................ 40,300 730,437
*Electro Rent Corp.................................... 300 3,553
*Electroglas, Inc..................................... 17,900 509,591
Energen Corp.......................................... 11,400 219,450
Enhance Financial Services Group, Inc................. 61,100 1,046,337
*Enserch Exploration Corp............................. 54,933 144,199
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Esterline Technologies Corp.......................... 30,500 $ 383,156
Ethyl Corp............................................ 71,800 300,662
Everest Reinsurance Holdings, Inc..................... 80,600 1,914,250
*Extended Stay America, Inc........................... 233,600 1,795,800
FBL Financial Group, Inc. Class A..................... 50,500 877,437
*FMC Corp............................................. 5,400 261,900
*FSI International, Inc............................... 2,100 19,753
*Fairchild Corp. Class A.............................. 26,636 193,111
Farmer Brothers Co.................................... 1,500 249,750
*Federal-Mogul Corp................................... 140,700 3,139,369
Fidelity National Financial, Inc...................... 66,800 1,006,175
Financial Security Assurance Holdings, Ltd............ 14,200 749,937
*Finish Line, Inc. Class A............................ 24,300 160,228
First American Financial Corp......................... 52,900 681,087
First Citizens Bancshares, Inc. NC.................... 14,000 1,018,500
*First Republic Bank.................................. 6,600 155,512
First Sentinel Bancorp, Inc........................... 37,400 311,472
First Washington Bancorp, Inc......................... 15,270 252,909
*FirstFed Financial Corp. DE.......................... 34,700 535,681
*Fisher Scientific, International, Inc................ 13,000 346,125
Flagstar Bancorp, Inc................................. 1,700 27,147
Fleetwood Enterprises, Inc............................ 4,500 94,500
Fleming Companies, Inc................................ 64,700 780,444
Florida East Coast Industries, Inc.................... 24,100 982,075
Florida Rock Industries, Inc.......................... 12,800 400,000
*Forest Oil Corp...................................... 30,100 344,269
Foster Wheeler Corp................................... 70,100 714,144
Freedom Securities Corp............................... 13,200 172,425
Fremont General Corp.................................. 105,100 532,069
*Fritz Companies, Inc................................. 43,100 424,266
Frontier Insurance Group, Inc......................... 69,800 209,400
*GATX Corp............................................ 10,400 341,900
*GC Companies, Inc.................................... 6,900 194,494
*General Communications, Inc. Class A................. 47,400 194,044
Gerber Scientific, Inc................................ 1,000 19,250
Gibraltar Steel Corp.................................. 4,400 104,225
Glatfelter (P.H.) Co.................................. 72,300 930,862
*Glenayre Technologies, Inc........................... 69,700 325,630
*Global Industrial Technologies, Inc.................. 19,600 247,450
*Grand Union Co....................................... 16,200 171,112
Great Atlantic & Pacific Tea Co., Inc................. 57,500 1,462,656
*Grey Wolf, Inc....................................... 38,000 104,500
*Griffon Corp......................................... 48,100 369,769
*Group Maintenance America Corp....................... 8,000 73,000
Guarantee Life Companies, Inc......................... 13,300 418,534
Guilford Mills, Inc................................... 45,350 328,787
*HS Resources, Inc.................................... 32,300 417,881
*Ha-Lo Industries, Inc................................ 47,000 293,750
*Hadco Corp........................................... 6,300 297,675
*Handleman Co......................................... 40,700 628,306
*Hanger Orthopedic Group, Inc......................... 10,000 102,500
Harbor Florida Bancshares, Inc........................ 23,600 298,687
Harleysville Group, Inc............................... 59,000 886,844
Harman International Industries, Inc.................. 17,300 890,950
*Harris Corp.......................................... 40,300 846,300
Heilig-Meyers Co...................................... 113,300 410,712
Helmerich & Payne, Inc................................ 85,000 1,923,125
*Hexcel Corp.......................................... 1,600 9,500
Hollinger International, Inc. Class A................. 116,200 1,459,762
*Hollywood Entertainment Corp......................... 34,800 492,637
</TABLE>
163
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Hollywood Park, Inc.................................. 19,400 $ 391,637
*Homebase, Inc........................................ 21,200 72,875
*Homestead Village, Inc............................... 55,800 132,525
Horton (D.R.), Inc.................................... 144,900 1,992,375
*Houston Exploration Co............................... 16,000 320,000
Hughes Supply, Inc.................................... 36,500 864,594
*Humana, Inc.......................................... 185,200 1,296,400
Hunt (J.B.) Transport Services, Inc................... 61,100 807,666
*Hutchinson Technology, Inc........................... 33,200 612,125
*Hypercom Corp........................................ 64,300 606,831
IBP, Inc.............................................. 56,500 1,246,531
*IDT Corp............................................. 5,000 113,594
IMC Global, Inc....................................... 183,000 2,950,875
IMCO Recycling, Inc................................... 26,600 342,475
*IT Group, Inc ....................................... 10,200 106,463
*Ikon Office Solutions, Inc........................... 254,800 1,703,975
*Imation Corp......................................... 56,600 1,821,812
Imperial Sugar Co..................................... 18,000 72,000
*Inacom Corp.......................................... 65,000 385,937
Independence Community Bank Corp...................... 9,300 104,334
*Information Resources, Inc........................... 42,800 427,331
Ingles Market, Inc. Class A........................... 15,500 181,641
*Ingram Micro, Inc.................................... 83,100 1,106,269
*Inprise Corp......................................... 4,000 35,750
*Input/Output, Inc.................................... 84,300 453,112
*Integrated Device Technology, Inc.................... 53,700 1,263,628
*Integrated Electrical Services, Inc.................. 17,300 183,812
Interface, Inc. Class A............................... 69,700 315,828
*Intergraph Corp...................................... 84,300 378,033
*Interim Services, Inc................................ 76,000 1,401,250
Intermet Corp......................................... 17,300 174,081
International Multifoods Corp......................... 14,300 199,306
*International Rectifier Corp......................... 71,200 1,441,800
*International Speciality Products, Inc............... 109,600 917,900
Interpool, Inc........................................ 47,800 424,225
*Ionics, Inc.......................................... 17,000 453,688
*JDA Software Group, Inc.............................. 9,600 134,700
JSB Financial, Inc.................................... 12,700 750,888
*Jones Apparel Group, Inc............................. 4,141 110,513
*#Just for Feet, Inc.................................. 13,100 16,375
Justin Industries, Inc................................ 40,200 624,356
*Kaiser Aluminum Corp................................. 153,100 1,014,288
Kaman Corp. Class A................................... 30,300 360,759
Kellwood Co........................................... 29,400 610,050
*Kemet Corp........................................... 15,400 556,806
Kennametal, Inc....................................... 47,500 1,579,375
*Kent Electronics Corp................................ 27,700 635,369
*Key Energy Group, Inc................................ 136,000 680,000
*Komag, Inc........................................... 18,500 43,359
*Kulicke & Soffa Industries, Inc...................... 18,100 644,247
LNR Property Corp..................................... 42,800 754,350
LTV Corp.............................................. 175,200 613,200
*Laboratory Corp. of America Holdings, Inc............ 28,700 107,625
Lafarge Corp.......................................... 86,600 2,338,200
*Lakes Gaming, Inc.................................... 7,550 64,883
*Lam Research Corp.................................... 18,000 1,393,875
Landamerica Financial Group, Inc...................... 29,200 567,575
*Landrys Seafood Restaurants, Inc..................... 15,300 135,070
*Lanier Worldwide, Inc................................ 40,300 161,200
*Lattice Semiconductor Corp........................... 18,800 841,888
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Lawson Products, Inc.................................. 6,000 $ 137,438
Lennar Corp........................................... 5,200 84,825
Liberty Corp.......................................... 19,300 882,975
*Liberty Financial Companies, Inc..................... 74,200 1,743,700
*Loews Cineplex Entertainment Corp.................... 123,200 800,800
*Lone Star Steakhouse Saloon.......................... 61,300 462,623
Longs Drug Stores Corp................................ 12,800 321,600
Longview Fibre Co..................................... 60,300 768,825
*Louis Dreyfus Natural Gas Corp....................... 58,200 1,047,600
*Louisiana-Pacific Corp............................... 127,700 1,564,325
Lubrizol Corp......................................... 32,500 889,688
Luby's Cafeterias, Inc................................ 20,500 238,313
*Lyondell Chemical Co................................. 61,200 856,800
M.A. Hanna Co......................................... 89,100 929,981
MDC Holdings, Inc..................................... 32,600 486,963
*MEMC Electronic Materials, Inc....................... 35,000 420,000
*MRV Communications, Inc.............................. 2,000 63,938
*MS Carriers, Inc..................................... 14,600 382,338
MTS Systems Corp...................................... 6,100 61,095
*Magellan Health Services, Inc........................ 9,895 61,844
*Magnetek, Inc........................................ 49,200 329,025
Mallinckrodt, Inc..................................... 48,600 1,615,950
*Mandalay Resort Group................................ 156,200 3,641,413
*Manor Care, Inc...................................... 58,100 1,165,631
Marcus Corp........................................... 31,500 401,625
*Marine Drilling Companies, Inc....................... 5,000 84,375
*Marine Transport Corp................................ 20 53
Mark IV Industries, Inc............................... 56,000 1,050,000
*Maxxam, Inc.......................................... 10,500 477,094
*Metals USA, Inc...................................... 65,500 548,563
*Metromedia International Group, Inc.................. 135,000 607,500
Michael Foods, Inc.................................... 4,500 113,203
*Michaels Stores, Inc................................. 28,600 898,219
*Micro Warehouse, Inc................................. 54,000 636,188
*Mid Atlantic Medical Services, Inc................... 37,300 298,400
Midland Co............................................ 7,600 175,750
Mikasa, Inc........................................... 19,000 206,625
Milacron, Inc......................................... 29,200 425,225
Millennium Chemicals, Inc............................. 134,500 2,631,156
Mine Safety Appliances Co............................. 7,000 441,000
Mississippi Chemical Corp............................. 22,900 121,656
Mitchell Energy & Development Corp. Class A........... 6,100 143,731
Mitchell Energy & Development Corp. Class B........... 9,500 218,500
*Modis Professional Services, Inc..................... 118,700 1,268,606
*Mondavi (Robert) Corp. Class A....................... 400 15,350
*Moog, Inc. Class A................................... 4,000 105,000
*Moog, Inc. Class B................................... 1,000 40,281
*Morrison Knudsen Corp................................ 47,100 409,181
*N & F Worldwide Corp................................. 17,200 94,600
NCH Corp.............................................. 7,700 359,013
*NCI Building Systems, Inc............................ 8,500 141,313
*NS Group, Inc........................................ 13,900 144,213
*Nabors Industries, Inc............................... 23,882 634,379
Nacco Industries, Inc. Class A........................ 10,800 523,125
National Presto Industries, Inc....................... 11,900 419,475
*National Processing, Inc............................. 17,600 151,800
National Steel Corp. Class B.......................... 50,575 293,967
*Network Equipment Technologies, Inc.................. 2,000 24,625
*Newpark Resources, Inc............................... 26,000 156,000
</TABLE>
164
<PAGE>
THE U.S. 4-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Nortek, Inc.......................................... 9,800 $ 252,350
*Nuevo Energy Co...................................... 35,400 546,488
*O'Sullivan Industries Holdings, Inc.................. 18,100 309,963
*Oak Technology, Inc.................................. 2,700 17,381
*Oceaneering International, Inc....................... 18,000 234,000
OceanFirst Financial Corp............................. 22,400 415,100
*Ocwen Financial Corp................................. 95,900 623,350
*Officemax, Inc....................................... 314,200 1,924,475
*Offshore Logistics, Inc.............................. 21,200 209,350
*Ogden Corp........................................... 109,400 1,422,200
*#Ohio Casualty Corp.................................. 108,000 1,663,875
Old Republic International Corp....................... 148,400 1,855,000
Olin Corp............................................. 8,300 148,881
Olsten Corp........................................... 117,500 1,189,688
Omnicare, Inc......................................... 200,000 2,712,500
*On Command Corp...................................... 17,100 255,431
*Orbital Sciences Corp................................ 17,700 245,588
Oregon Steel Mills, Inc............................... 44,700 363,188
Oshkosh Truck Corp. Class B........................... 8,550 236,194
Overseas Shipholding Group, Inc....................... 81,700 1,194,863
PMI Group, Inc........................................ 21,450 1,071,159
PXRE Group, Ltd....................................... 17,200 212,850
Pacific Century Financial Corp........................ 137,200 2,692,550
Park Electrochemical Corp............................. 6,500 213,688
*Parker Drilling Co................................... 123,700 487,069
*Patterson Energy, Inc................................ 5,800 73,406
*Paxar Corp........................................... 68,200 579,700
*Paxson Communications Corp........................... 24,600 281,363
Penn Virginia Corp.................................... 4,400 78,925
Penzoil Quaker State Co............................... 53,436 554,399
Pep Boys - Manny, Moe & Jack.......................... 91,900 890,281
*Perrigo Co........................................... 61,000 512,781
*Per-Se Technologies, Inc............................. 24,700 185,636
*Petco Animal Supplies, Inc........................... 16,600 230,325
*PetSmart, Inc........................................ 34,900 151,597
*Phelps Dodge Corp.................................... 16,713 869,076
Phillips-Van Heusen Corp.............................. 47,500 403,750
Phoenix Investment Partners, Ltd...................... 75,600 590,625
*Phycor, Inc.......................................... 128,900 189,322
*Pico Holdings, Inc................................... 4,200 63,919
*Picturetel Corp...................................... 69,100 342,261
Pier 1 Imports, Inc. DE............................... 38,000 263,625
Pilgrim Pride Corp.................................... 12,000 93,000
*Pioneer Natural Resources Co......................... 199,600 1,659,175
Pioneer Standard Electronics, Inc..................... 48,200 647,688
*Players International, Inc........................... 11,800 91,819
*Polymer Group, Inc................................... 55,500 1,044,094
Potlatch Corp......................................... 45,700 1,847,994
*Premier Parks, Inc................................... 11,900 297,500
Presidential Life Corp................................ 45,100 797,706
*Price Communications Corp............................ 35,772 896,536
*Pride International, Inc............................. 86,700 1,246,313
*Primark Corp......................................... 45,700 1,213,906
*Prime Hospitality Corp............................... 89,300 775,794
*Procurenet, Inc...................................... 13,000 0
*Protection One, Inc.................................. 228,300 399,525
Pulte Corp............................................ 74,500 1,494,656
Quanex Corp........................................... 24,800 525,450
*Quest Diagnostics, Inc............................... 52,200 1,588,838
Questar Corp.......................................... 102,400 1,760,000
*Quorum Health Group, Inc............................. 2,200 19,731
*R & B Falcon Corp.................................... 379,800 4,700,025
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RLI Corp.............................................. 16,650 $ 566,100
*RTI International Metals, Inc........................ 20,100 133,163
Radian Group, Inc..................................... 5,706 278,881
Range Resources Corp.................................. 9,600 31,800
*Rayonier, Inc........................................ 28,100 1,248,694
*Read-Rite Corp....................................... 83,000 455,203
*Reebok International, Ltd............................ 86,500 778,500
Reliance Bancorp, Inc................................. 11,800 464,256
Reliance Group Holdings, Inc.......................... 197,800 791,200
*Remec, Inc........................................... 4,400 56,375
*Rent-Way, Inc........................................ 10,500 160,125
Resource America, Inc................................. 38,300 321,959
Resource Bancshares Mortgage Group, Inc............... 30,200 152,888
Riggs National Corp................................... 35,600 506,188
Roadway Express, Inc.................................. 5,500 109,484
Rock-Tenn Co. Class A................................. 38,400 595,200
Rollins Truck Leasing Corp............................ 97,110 1,141,043
*Romac International, Inc............................. 109,300 1,226,209
Rouge Industries, Inc. Class A........................ 4,500 34,031
Russ Berrie & Co., Inc................................ 14,300 364,650
Russell Corp.......................................... 58,600 765,463
*Ryans Family Steak Houses, Inc....................... 47,600 468,563
Ryder System, Inc..................................... 122,300 2,759,394
Ryerson Tull, Inc..................................... 30,718 627,799
Ryland Group, Inc..................................... 26,900 611,975
*S3, Inc.............................................. 37,928 320,018
#SCPIE Holdings, Inc.................................. 19,300 671,881
*Safety-Kleen Corp.................................... 120,200 1,412,350
*Santa Fe Snyder Corp................................. 20,700 165,600
Schulman (A.), Inc.................................... 14,000 221,813
Seaboard Corp......................................... 540 126,360
*Seacor Smit, Inc..................................... 19,400 1,006,375
*Seitel, Inc.......................................... 39,900 269,325
Selective Insurance Group, Inc........................ 47,300 829,228
*Sensormatic Electronics Corp......................... 168,000 2,677,500
*Sequa Corp. Class A.................................. 12,400 689,750
*Sequa Corp. Class B.................................. 3,100 195,300
*Shaw Group, Inc...................................... 5,200 108,550
*Shiloh Industries, Inc............................... 7,300 63,419
*Shopko Stores, Inc................................... 22,300 505,931
*Sierra Health Services, Inc.......................... 42,600 399,375
*Silicon Graphics, Inc................................ 31,200 294,450
*Silicon Valley Group, Inc............................ 56,700 813,291
Skyline Corp.......................................... 17,400 431,738
Smart & Final Food, Inc............................... 25,600 176,000
Smith (A.O.) Corp..................................... 22,750 500,500
Smith (A.O.) Corp. Convertible Class A................ 10,400 223,600
*Sola International, Inc.............................. 52,200 743,850
*Sonic Automotive, Inc................................ 10,000 90,000
South Jersey Industries, Inc.......................... 23,800 697,638
*#Southern Pacific Funding Corp....................... 200 5
Southwestern Energy Co................................ 39,500 293,781
Sovereign Bancorp, Inc................................ 118,200 1,047,178
*SpeedFam-IPEC, Inc................................... 32,900 388,631
*Spiegel, Inc. Class A Non-Voting..................... 2,000 15,938
Springs Industries, Inc. Class A...................... 18,000 720,000
St. Joe Corp.......................................... 5,500 123,063
St. Mary Land & Exploration Co........................ 4,400 93,088
*Staffmark, Inc....................................... 48,000 381,750
</TABLE>
165
<PAGE>
THE U.S. 4-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Standard Motor Products, Inc. Class A................. 9,100 $ 166,644
Standard Pacific Corp. DE............................. 67,800 745,800
*Standard Register Co................................. 48,100 1,013,106
Starrett (L.S.) Co. Class A........................... 2,000 47,625
State Auto Financial Corp............................. 10,000 96,563
Staten Island Bancorp, Inc............................ 2,000 39,125
Stepan Co............................................. 13,500 319,781
Stewart & Stevenson Services, Inc..................... 48,400 577,775
Stewart Enterprises, Inc.............................. 222,300 1,135,814
Stewart Information Services Corp..................... 4,800 64,800
Stone & Webster, Inc.................................. 22,700 371,713
Stride Rite Corp...................................... 31,500 200,813
*#Sunbeam Corp........................................ 222,300 1,097,606
*Sunterra Corp........................................ 31,500 338,625
*Swift Energy Corp.................................... 5,700 63,413
*Sybase, Inc.......................................... 43,400 701,181
TJ International, Inc................................. 9,000 374,906
Talbots, Inc.......................................... 15,400 746,900
*Tecumseh Products Co. Class A........................ 26,000 1,248,813
Tecumseh Products Co. Class B......................... 6,800 296,225
Terra Industries, Inc................................. 128,800 265,650
*Tesoro Petroleum Corp................................ 55,400 664,800
Texas Industries, Inc................................. 36,400 1,319,500
The Dexter Corp....................................... 27,800 1,004,275
*Thermedics, Inc...................................... 47,600 270,725
*Thermo Ecotek Corp................................... 6,800 50,150
*Thermo-Electron Corp................................. 42,500 637,500
*ThermoQuest Corp..................................... 3,000 30,938
Thomas Industries, Inc................................ 500 8,063
Tidewater, Inc........................................ 81,200 2,593,325
Timken Co............................................. 160,400 3,067,650
Titan International, Inc.............................. 36,000 238,500
#Titanium Metals Corp................................. 54,500 296,344
*Toll Brothers, Inc................................... 42,700 763,263
Toro Co............................................... 14,200 460,613
*Total Renal Care Holdings, Inc....................... 68,200 485,925
*Tower Automotive, Inc................................ 28,600 429,000
Trenwick Group, Inc................................... 12,157 246,939
*Triad Hospitals, Inc................................. 2,000 24,688
*Trinity Industries, Inc.............................. 1,400 40,950
*Triumph Group........................................ 3,800 92,388
*Tuboscope Vetco International, Inc................... 27,400 390,450
*Twinlab Corp......................................... 25,900 252,525
U.S. Freightways Corp................................. 7,900 330,319
*U.S. Office Products, Co............................. 5,500 20,281
UMB Financial Corp.................................... 28,300 1,149,688
*US Oncology, Inc..................................... 74,706 356,021
USX-US Steel Group.................................... 56,200 1,422,563
Ultramar Diamond Shamrock Corp........................ 139,400 3,528,563
*Ultratech Stepper, Inc............................... 26,800 506,688
*Unifi, Inc........................................... 82,300 1,090,475
*#United Companies Financial Corp..................... 15,500 1,356
*United Rentals, Inc.................................. 113,200 1,952,700
*United States Home Corp.............................. 23,100 594,825
*Universal Corporation................................ 9,300 238,894
*Unova, Inc........................................... 95,400 1,252,125
Valero Energy Corp.................................... 97,200 2,016,900
Valhi, Inc............................................ 118,000 1,275,875
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Valmont Industries, Inc............................... 2,000 $ 35,250
*Value City Department Stores, Inc.................... 49,700 829,369
*Venator Group, Inc................................... 218,500 1,502,188
*Veritas DGC, Inc..................................... 39,900 581,044
*Veterinary Centers of America, Inc................... 53,000 594,594
Vintage Petroleum, Inc................................ 35,700 381,544
*Vishay Intertechnology, Inc.......................... 95,356 2,759,364
*Volt Information Sciences, Inc....................... 28,000 624,750
WFS Financial, Inc.................................... 13,100 291,884
Wabash National Corp.................................. 38,900 571,344
Wackenhut Corp. Class B Non-Voting.................... 1,000 10,125
Wallace Computer Services, Inc........................ 85,300 1,711,331
Watsco, Inc. Class A.................................. 26,300 286,013
Watts Industries, Inc. Class A........................ 28,500 397,219
*Webb (Del) Corp...................................... 31,600 722,850
Weis Markets, Inc..................................... 3,400 139,613
Wellman, Inc.......................................... 52,500 836,719
Werner Enterprises, Inc............................... 47,400 711,000
Wesco Financial Corp.................................. 2,775 763,125
West Pharmaceutical Services, Inc..................... 7,700 269,019
Westcorp, Inc......................................... 37,600 552,250
White Mountains Insurance Group, Inc.................. 4,600 542,800
*Windmere Corp........................................ 38,300 548,169
*Wisconsin Central Transportation Corp................ 21,000 294,656
Woodward Governor Co.................................. 11,500 310,141
Worthington Industries, Inc........................... 42,200 672,563
*Xtra Corp............................................ 20,400 816,000
Yankee Energy Systems, Inc............................ 9,250 394,859
*Yellow Corp.......................................... 43,200 729,000
Zenith National Insurance Corp........................ 27,800 576,850
*Ziff-Davis, Inc...................................... 18,200 335,563
------------
TOTAL COMMON STOCKS
(Cost $381,492,757).................................. 351,883,098
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $8,103,313) to be
repurchased at $7,980,175.
(Cost $7,979,000)................................... $ 7,979 7,979,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $389,471,757)++................................ $359,862,098
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $389,673,427.
</TABLE>
See accompanying Notes to Financial Statements.
166
<PAGE>
THE U.S. 6-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.6%)
*3-D Systems Corp..................................... 130,700 $ 1,010,883
*3Dfx Interactive, Inc................................ 139,895 1,241,568
*800-Jr Cigar, Inc.................................... 1,000 8,375
*A.C. Moore Arts & Crafts, Inc........................ 62,400 308,100
AAR Corp.............................................. 477,900 7,885,350
ABC Bancorp........................................... 15,900 209,681
*ABC Rail Products Corp............................... 55,400 616,325
*ACT Manufacturing, Inc............................... 48,050 1,467,027
*ACT Networks, Inc.................................... 156,700 1,273,187
*ACX Technologies, Inc................................ 314,000 2,904,500
*ADE Corp............................................. 141,900 2,540,897
*AEP Industries, Inc.................................. 71,350 2,104,825
*AG Services America, Inc............................. 2,900 42,594
AK Steel Holding Corp................................. 169,241 2,803,054
*AMF Bowling, Inc..................................... 4,600 14,662
*#ARV Assisted Living, Inc............................ 227,900 470,044
ASB Financial Corp.................................... 14,700 159,403
Abington Bancorp, Inc................................. 42,700 548,428
Abrams Industries, Inc................................ 10,000 40,625
*Abraxas Petroleum Corp............................... 88,200 90,956
*Acceptance Insurance Companies, Inc.................. 278,100 1,772,887
Aceto Corp............................................ 82,960 938,485
*Acme Electric Corp................................... 56,000 372,750
*Acme United Corp..................................... 8,700 9,244
*Acorn Products, Inc.................................. 16,000 33,000
*Active Voice Corp.................................... 49,900 1,347,300
*Acuson Corp.......................................... 4,400 50,875
Adams Resources & Energy, Inc......................... 6,600 57,750
*Adaptive Broadband Corp.............................. 139,200 5,550,600
*Adept Technology, Inc................................ 143,600 919,937
*Advance Lighting Technologies, Inc................... 90,500 500,578
*#Advanced Aerodynamics & Structures, Inc............. 5,000 10,078
*Advanced Communications Group, Inc................... 188,300 1,494,631
*Advanced Digital Information Corp.................... 16,500 736,312
*Advanced Magnetics, Inc.............................. 86,400 307,800
Advanced Marketing Services, Inc...................... 92,250 1,882,477
*Advanced Neuromodulation Systems, Inc................ 92,360 689,814
Advanta Corp. Class A................................. 115,413 2,012,514
Advanta Corp. Class B Non-Voting...................... 179,325 2,308,809
Advest Group, Inc..................................... 99,100 1,777,606
*Aehr Test Systems.................................... 81,400 404,456
*Aerovox, Inc......................................... 60,800 167,200
*Aetrium, Inc......................................... 5,200 27,787
*Aftermarket Technology Corp.......................... 41,600 358,800
Agco Corp............................................. 709,500 9,001,781
*Agribiotech, Inc..................................... 89,200 287,112
*Agribrands International, Inc........................ 45,100 2,122,519
*#Aht Corp............................................ 163,900 732,428
*Air Methods Corp..................................... 96,500 346,797
*Airgas, Inc.......................................... 220,900 2,153,775
*Airnet Systems, Inc.................................. 39,600 212,850
*Airtran Holdings, Inc................................ 14,600 66,841
Alamo Group, Inc...................................... 103,300 1,033,000
*Albany International Corp. Class A................... 6,000 101,250
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Alba-Waldensian, Inc.................................. 9,400 $ 171,550
*Aldila, Inc.......................................... 178,100 236,539
Alfa Corp............................................. 119,900 2,105,744
Alico, Inc............................................ 79,400 1,280,325
*Align-Rite International, Inc........................ 56,400 1,069,837
*All Amer Semiconductor Inc........................... 7,860 25,422
Allen Organ Co. Class B............................... 5,000 190,312
*Allen Telecom, Inc................................... 302,600 2,836,875
Alliance Bancorp...................................... 132,320 2,629,860
*Alliance Pharmaceuticals Corp........................ 14,400 64,350
*Alliance Semiconductor Corp.......................... 455,900 6,582,056
*Allied Healthcare Products, Inc...................... 130,000 377,812
*Allied Holdings, Inc................................. 96,600 676,200
Allied Products Corp.................................. 190,400 690,200
*Allied Research Corp................................. 60,600 386,325
*Allin Communications Corp............................ 90,000 450,000
*Allou Health & Beauty Care, Inc. Class A............. 71,900 525,769
*Allstars Systems, Inc................................ 68,500 97,398
*Alpha Industries, Inc................................ 41,300 2,499,941
*Alpha Technologies Group, Inc........................ 74,400 462,675
*Alphanet Solutions, Inc.............................. 74,800 350,625
*Alternative Resources Corp........................... 600 3,169
*Alterra Healthcare Corp.............................. 472,000 3,569,500
Ambanc Holding Co., Inc............................... 58,900 933,197
*Ambassadors, Inc..................................... 34,900 426,434
Amcast Industrial Corp................................ 143,800 2,013,200
Amcol International Corp.............................. 25,600 454,400
*Amerco, Inc.......................................... 36,400 953,225
*America West Holdings Corp. Class B.................. 152,400 3,076,575
American Bank of Connecticut.......................... 46,600 1,124,225
American Biltrite, Inc................................ 41,000 609,875
American Business Products, Inc....................... 200,000 2,137,500
*American Coin Merchandising, Inc..................... 43,900 113,866
*American Ecology Corp................................ 51,900 82,716
*American Freightways Corp............................ 602,000 10,403,312
*American Healthcorp, Inc............................. 2,500 12,344
*American Homepatient, Inc............................ 163,700 120,217
*American Homestar Corp............................... 62,800 258,069
*American Indemnity Finl Escrow....................... 14,200 14,200
*American Medical Electronics, Inc. (Escrow-Bonus).... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 20,800 0
*American Medical Security Group, Inc................. 249,000 1,462,875
*American Mobile Satellite Corp....................... 217,200 3,427,687
*American Pacific Corp................................ 92,500 679,297
*American Physicians Services Group, Inc.............. 44,400 215,062
*American Precision Industries, Inc................... 53,600 582,900
*American Retirement Corp............................. 6,000 51,750
*American Skiing Co................................... 16,000 64,000
*American Software, Inc. Class A...................... 204,500 1,012,914
*American Technical Ceramics Corp..................... 43,200 599,400
American Vanguard Corp................................ 7,040 37,400
American Woodmark Corp................................ 35,010 723,175
Americana Bancorp, Inc................................ 25,630 426,900
</TABLE>
167
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THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Amerihost Properties, Inc............................ 70,000 $ 235,156
*Ameripath, Inc....................................... 239,200 1,954,712
*Ameristar Casinos, Inc............................... 164,100 646,144
Ameron, Inc........................................... 44,900 1,939,119
Amerus Life Holdings, Inc. Class A.................... 73,785 1,738,559
*Ames Department Stores, Inc.......................... 121,100 3,212,934
*Amistar Corp......................................... 42,300 48,248
Ampco-Pittsburgh Corp................................. 190,100 2,340,606
Amplicon, Inc......................................... 16,200 171,112
*Amrep Corp........................................... 91,492 434,587
*Amresco, Inc......................................... 659,800 1,329,909
*Amtran, Inc.......................................... 117,000 2,281,500
Amwest Insurance Group, Inc........................... 56,340 394,380
*Anadigics, Inc....................................... 57,100 2,562,362
Analogic Corp......................................... 80,700 2,408,391
*Anaren Microwave, Inc................................ 4,300 187,319
Anchor Bancorp Wisconsin, Inc......................... 57,312 915,201
Andersons, Inc........................................ 59,100 515,278
Andover Bancorp, Inc. DE.............................. 71,825 2,156,995
Angelica Corp......................................... 172,400 1,724,000
*Anicom, Inc.......................................... 285,200 1,323,506
*Ann Taylor Stores Corp............................... 57,900 2,500,556
*Antec Corp........................................... 181,000 10,136,000
Apogee Enterprises, Inc............................... 2,200 13,200
*Apple Orthodontix, Inc............................... 45,900 22,950
*Applied Digital Solutions, Inc....................... 18,500 116,203
*Applied Extrusion Technologies, Inc.................. 202,700 1,298,547
*Applied Films Corp................................... 38,000 169,812
*Applied Graphics Technologies, Inc................... 220,900 2,084,744
Applied Industrial Technologies, Inc.................. 470,000 8,048,750
*Applied Microsystems Corp............................ 112,200 946,687
Applied Signal Technologies, Inc...................... 91,300 1,243,962
*Apria Healthcare Group, Inc.......................... 6,200 86,412
*Aquila Biopharmaceuticals, Inc....................... 101,000 145,187
*Arcadia Financial, Ltd............................... 579,500 2,607,750
*Arch Chemicals, Inc.................................. 18,100 282,812
Arch Coal, Inc........................................ 327,600 3,194,100
*Arch Communications Group, Inc....................... 95,800 609,228
Arctic Cat, Inc....................................... 232,000 2,363,500
Argonaut Group, Inc................................... 128,600 2,973,875
*Argosy Gaming Corp................................... 233,400 3,296,775
*#Ariel Corp.......................................... 19,500 241,922
*Ark Restaurants Corp................................. 8,500 82,875
*Arkansas Best Corp................................... 220,900 2,768,153
Arnold Industries, Inc................................ 233,300 2,952,703
*Arqule, Inc.......................................... 147,100 900,987
Arrow Financial Corp.................................. 7,555 151,808
*Artisoft, Inc........................................ 51,600 698,212
*Asahi/America, Inc................................... 55,500 522,047
*Asante Technologies, Inc............................. 94,200 79,481
*Ascent Assurance, Inc................................ 222 409
*Ascent Entertainment Group, Inc...................... 323,396 3,911,070
*Asche Transportation Services, Inc................... 55,600 173,750
*Ashworth, Inc........................................ 177,600 818,625
*Aspect Telecommunications Corp....................... 52,300 1,729,169
*Astea International, Inc............................. 24,400 93,025
*Astec Industries, Inc................................ 11,500 290,016
Astro-Med, Inc........................................ 51,575 319,120
*Astronics Corp....................................... 22,687 216,944
*Asyst Technologies, Inc.............................. 115,700 4,635,231
Atalanta Sosnoff Capital Corp......................... 66,100 553,587
*Atchison Casting Corp................................ 151,300 1,513,000
*Athey Products Corp.................................. 17,140 24,639
<CAPTION>
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<S> <C> <C>
*Atlantic American Corp............................... 33,300 $ 94,697
*Atlantis Plastics, Inc............................... 60,000 885,000
*Atrion Corp.......................................... 37,750 445,922
*Audiovox Corp. Class A............................... 257,000 7,645,750
*Ault, Inc............................................ 96,700 743,381
*Aura Systems, Inc.................................... 40,000 17,800
*Aurora Foods, Inc.................................... 135,000 1,215,000
*Auspex Systems, Inc.................................. 315,100 3,889,516
*Autologic Information International, Inc............. 7,100 19,525
#Avado Brands, Inc.................................... 221,400 1,072,406
*Avalon Holding Corp. Class A......................... 25,112 128,699
*Avatar Holdings, Inc................................. 42,600 716,212
*Aviall, Inc.......................................... 133,900 1,020,987
*#Aviation Sales Co................................... 28,500 402,562
*Avid Technology, Inc................................. 93,400 1,041,994
*Avis Rent A Car, Inc................................. 28,600 546,975
*Avnet, Inc........................................... 57,448 3,156,049
*Avteam, Inc. Class A................................. 151,800 685,472
*Axsys Technologies, Inc.............................. 50,800 571,500
*Aztar Corp........................................... 669,100 7,151,006
Aztec Manufacturing Co................................ 2,500 23,750
B B & T Corp.......................................... 62,444 2,006,013
*BCT International, Inc............................... 11,100 15,956
*BEI Electronics, Inc................................. 86,000 104,812
BEI Technologies, Inc................................. 86,000 1,096,500
*BF Enterprises, Inc.................................. 2,300 16,100
BHA Group Holdings, Inc. Class A...................... 19,200 174,000
*BI, Inc.............................................. 111,300 827,794
BMC Industries, Inc................................... 271,500 1,476,281
BSB Bancorp, Inc...................................... 118,231 2,460,683
BT Financial Corp..................................... 41,024 901,246
*BTG, Inc............................................. 33,000 220,687
*BTU International, Inc............................... 83,500 454,031
*BWAY Corp............................................ 144,100 828,575
Badger Meter, Inc..................................... 21,200 649,250
*Badger Paper Mills, Inc.............................. 10,400 62,400
Bairnco Corp.......................................... 98,000 716,625
Baker (J.), Inc....................................... 172,918 902,416
*Baker (Michael) Corp................................. 62,500 406,250
Baldwin & Lyons, Inc. Class B......................... 10,600 219,287
*Baldwin Piano & Organ Co............................. 72,000 612,000
*Baldwin Technology, Inc. Class A..................... 192,700 469,706
*Baltek Corp.......................................... 4,500 32,484
*Bancinsurance Corp................................... 60,270 340,902
Bancorp Connecticut, Inc.............................. 47,400 779,137
Bandag, Inc........................................... 119,100 2,888,175
Bandag, Inc. Class A.................................. 170,200 3,552,925
*Bank Plus Corp....................................... 225,100 689,369
*Bank United Financial Corp. Class A.................. 248,400 2,169,619
#BankAtlantic Bancorp, Inc. Class A................... 168,883 770,529
BankAtlantic Bancorp, Inc. Class B.................... 203,202 1,136,661
BankNorth Group, Inc. DE.............................. 106,690 3,240,709
*Banyan System, Inc................................... 71,000 1,022,844
*Barrett Business Services, Inc....................... 55,000 357,500
*Barringer Technologies, Inc.......................... 58,200 376,481
*Barry (R.G.) Corp.................................... 110,600 476,962
*Basin Exploration, Inc............................... 164,300 2,900,922
Bassett Furniture Industries, Inc..................... 162,850 2,585,244
*Battle Mountain Gold Co.............................. 934,600 2,336,500
*Bay State Bancorp, Inc............................... 3,000 59,437
Bay View Capital Corp................................. 350,442 5,869,903
*Baycorp Holdings, Ltd................................ 48,000 384,000
</TABLE>
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*Bayou Steel Corp. Class A............................ 131,900 $ 412,187
*Be Aerospace, Inc.................................... 22,800 160,312
*Beard Co............................................. 30,000 75,000
*Beazer Homes USA, Inc................................ 116,100 2,198,644
*Bel Fuse, Inc. Class A............................... 28,900 1,423,325
Bel Fuse, Inc. Class B................................ 28,900 1,390,812
*Belco Oil & Gas Corp................................. 193,100 1,194,806
Bell Industries, Inc.................................. 122,622 605,446
*Bell Microproducts, Inc.............................. 138,400 1,020,700
*Bellwether Exploration Co............................ 228,400 1,134,862
*Ben & Jerry's Homemade, Inc. Class A................. 78,100 1,415,562
*Benchmark Electronics, Inc........................... 17,500 389,375
*Benton Oil & Gas Co.................................. 330,100 660,200
Berkley (W.R.) Corp................................... 87,800 1,882,212
*Berlitz International, Inc........................... 79,100 1,552,337
*Beverly Enterprises.................................. 1,785,200 7,140,800
*Big 4 Ranch, Inc..................................... 73,300 0
Bindley Western Industries, Inc....................... 210,454 2,788,515
*Bio Vascular, Inc.................................... 83,400 169,406
*Bioanalytical Systems, Inc........................... 1,600 5,000
*Bionx Implants, Inc.................................. 175,000 464,844
*Bio-Rad Laboratories, Inc. Class A................... 107,800 2,661,312
*BioReliance Corp..................................... 50,000 362,500
*Biosite Diagnostics, Inc............................. 109,500 1,430,344
*Biosource International, Inc......................... 143,500 484,312
Birmingham Steel Corp................................. 448,000 3,248,000
*Black Hawk Gaming & Development, Inc................. 42,900 270,806
Blair Corp............................................ 132,100 1,915,450
Blimpie International................................. 29,800 59,600
Block Drug Co., Inc. Class A.......................... 37,588 1,099,449
*Blonder Tongue Laboratories, Inc..................... 4,600 24,725
*Bluegreen Corp....................................... 296,598 1,668,364
Bob Evans Farms, Inc.................................. 207,300 3,103,022
*Boca Research, Inc................................... 98,700 832,781
*Boca Resorts, Inc.................................... 437,800 3,830,750
*#Bogen Communications International, Inc............. 5,000 38,359
*Boise Cascade Office Products Corp................... 139,600 1,605,400
*Bolle, Inc........................................... 7,400 36,075
*Bolt Technology Corp................................. 2,000 7,875
*Bombay Co., Inc...................................... 631,400 3,157,000
*Bon-Ton Stores, Inc.................................. 143,900 708,258
*#Books-a-Million, Inc................................ 212,900 2,215,491
*Boron, Lepore and Associates, Inc.................... 220,600 1,620,031
*Boston Biomedical, Inc............................... 59,000 184,375
*Boston Communications Group, Inc..................... 140,800 765,600
Bostonfed Bancorp, Inc................................ 54,160 886,870
Bowl America, Inc. Class A............................ 45,000 320,625
Bowne & Co., Inc...................................... 511,432 6,041,290
*Boyd Gaming Corp..................................... 473,000 2,926,687
*Brass Eagle, Inc..................................... 99,500 755,578
*Brauns Fashions Corp................................. 22,200 477,300
*Bridgestreet Accomodations, Inc...................... 40,000 70,000
*Brigham Exploration Co............................... 50,700 58,622
*BrightStar Information Technology Group, Inc......... 21,100 162,866
*#Britesmile, Inc..................................... 41,000 394,625
*Brookdale Living Communities......................... 5,000 66,406
Brookline Bancorp, Inc................................ 22,900 229,716
*Brooks Automation, Inc............................... 83,000 2,272,125
*Brookstone, Inc...................................... 111,300 1,871,231
<CAPTION>
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*Brothers Gourmet Coffees, Inc........................ 103,461 $ 1,035
*Brown & Sharpe Manufacturing Co. Class A............. 214,900 510,387
*Brown (Tom), Inc..................................... 348,700 4,086,328
Brown Shoe Company, Inc............................... 310,000 4,882,500
*Brunswick Technologies, Inc.......................... 77,700 325,369
Brush Wellman, Inc.................................... 204,900 3,329,625
*Buckhead America Corp................................ 15,700 91,256
*Budget Group, Inc.................................... 417,900 3,264,844
*Buffets, Inc......................................... 427,200 4,552,350
*Builders Transport, Inc.............................. 39,100 626
*Building Materials Holding Corp...................... 208,500 2,071,969
*Building One Services Corp........................... 16,500 168,094
*Bull Run Corp. GA.................................... 84,500 343,281
Burlington Coat Factory Warehouse Corp................ 245,440 3,144,700
*Burlington Industries, Inc........................... 833,000 3,071,687
Bush Industries, Inc. Class A......................... 43,900 702,400
*Business Resource Group.............................. 57,200 259,187
*Butler International, Inc............................ 34,800 265,350
Butler Manufacturing Co............................... 91,400 1,959,387
*C.P. Clare Corp...................................... 183,000 1,189,500
*CB Richard Ellis Services, Inc....................... 288,600 3,787,875
*CCA Industries, Inc.................................. 40,800 59,287
CCBT Financial Companies, Inc......................... 22,400 338,800
*CEM Corp............................................. 29,100 260,991
*CFM Technologies, Inc................................ 104,400 1,158,187
*CHS Electronics, Inc................................. 624,200 429,137
*CICOR International, Inc............................. 143,700 1,562,737
CKE Restaurants, Inc.................................. 125,300 806,619
CNA Surety Corp....................................... 64,500 717,562
*CNS Income........................................... 212,200 1,051,053
CPAC, Inc............................................. 75,000 591,797
CPB, Inc.............................................. 107,000 2,765,281
CPI Corp.............................................. 87,400 2,163,150
*CSP, Inc............................................. 38,865 191,896
*CSS Industries, Inc.................................. 186,500 3,986,437
*CTB International Corp............................... 39,700 251,227
Cadmus Communications Corp............................ 108,400 863,812
*Caere Corp........................................... 29,900 212,103
Calgon Carbon Corp.................................... 413,800 2,534,525
*California Coastal Communities, Inc.................. 29,400 229,687
*California Micro Devices Corp........................ 11,400 93,337
*Callon Petroleum Co.................................. 146,600 1,740,875
Cal-Maine Foods, Inc.................................. 75,000 255,469
*Cameron Ashley Building Products, Inc................ 158,800 1,270,400
Cameron Financial Corp................................ 32,700 418,969
*Canisco Resources, Inc............................... 5,700 6,234
*Cannon Express, Inc. Class A......................... 6,900 22,425
*Cannondale Corp...................................... 118,700 834,609
*Canterbury Information Technology, Inc............... 900 2,953
*Capital Corp. of the West............................ 1,600 18,100
*Capital Crossing Bank................................ 6,400 88,400
*Capital Pacific Holdings, Inc........................ 160,900 392,194
Capital Re Corp....................................... 301,800 4,149,750
*Capital Senior Living Corp........................... 254,800 1,274,000
*Capital Trust........................................ 105,400 500,650
Capitol Bancorp, Ltd.................................. 41,672 484,437
Capitol Transamerica Corp............................. 117,000 1,360,125
*Carbide/Graphite Group, Inc.......................... 141,700 854,628
*Caredata.com, Inc.................................... 69,400 589,900
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*Career Blazers, Inc. Trust Units..................... 9,540 $ 0
*Carematrix, Inc...................................... 133,400 273,053
*Caretenders Healthcorp............................... 13,700 33,394
*Caribiner International, Inc......................... 386,000 3,425,750
*Carleton Corporation................................. 16,180 35,899
*Carmike Cinemas, Inc. Class A........................ 160,100 2,001,250
Carolina First Corp................................... 80,690 1,651,623
Carpenter Technology Corp............................. 108,400 2,845,500
*Carriage Services, Inc. Class A...................... 190,900 978,362
*Carrington Laboratories, Inc......................... 105,100 211,842
*Carson, Inc.......................................... 107,400 375,900
Carter-Wallace, Inc................................... 300,700 5,431,394
Cascade Corp.......................................... 129,650 1,231,675
Cash America International, Inc....................... 308,500 2,680,094
*Casino Data Systems.................................. 228,800 825,825
*Castle & Cooke, Inc.................................. 340,300 4,296,287
Castle (A.M.) & Co.................................... 133,180 1,564,865
*Castle Dental Centers, Inc........................... 32,600 125,306
Castle Energy Corp.................................... 45,800 775,737
*Catalina Lighting, Inc............................... 90,400 446,350
*Catherines Stores Corp............................... 114,400 2,348,775
Cato Corp. Class A.................................... 371,700 4,855,331
Cavalier Homes, Inc................................... 306,900 1,323,506
*Cavanaughs Hospitality Corp.......................... 303,100 2,273,250
*Celadon Group, Inc................................... 103,600 666,925
*Celebrity, Inc....................................... 26,325 82,266
*Celeris Corporation.................................. 56,333 59,854
*Celeritek, Inc....................................... 81,900 609,131
*Cell Pathways, Inc................................... 11,863 111,957
Cenit Bancorp, Inc.................................... 54,900 988,200
*Centennial Healthcare Corp........................... 1,800 5,456
*#CenterSpan Communication Corp....................... 29,200 457,162
*Centigram Communications Corp........................ 86,800 1,193,500
Central Bancorp, Inc.................................. 24,900 485,550
*Central Garden & Pet Co.............................. 357,400 2,848,031
Centris Group, Inc.................................... 146,200 1,790,950
Century Aluminum Co................................... 336,300 3,299,944
*Ceradyne, Inc........................................ 95,000 479,453
*Ceres Group, Inc..................................... 6,600 44,550
*#Cerion Technologies, Inc............................ 81,500 8,150
*Cerprobe Corp........................................ 45,000 400,781
*Champion Enterprises, Inc............................ 154,600 1,323,762
Champion Industries, Inc.............................. 1,700 8,287
*Champps Entertainment, Inc........................... 130,800 265,687
*Charming Shoppes, Inc................................ 1,842,900 11,950,055
*Chart House Enterprises, Inc......................... 149,100 792,094
Charter One Financial, Inc............................ 213,172 4,629,829
*Chase Industries, Inc................................ 117,250 1,033,266
*Check Technology Corp................................ 70,700 178,959
*#Checkers Drive-In Restaurant, Inc................... 15,521 23,767
*Checkpoint System, Inc............................... 399,400 3,170,237
Chemed Corp........................................... 109,500 2,847,000
*Chemfab Corp......................................... 16,050 256,800
Chemfirst, Inc........................................ 73,400 1,715,725
*Cherry Corp.......................................... 81,200 928,725
Chesapeake Corp....................................... 107,800 3,442,862
*Chesapeake Energy Corp............................... 1,312,800 3,938,400
Chester Valley Bancorp................................ 1,311 20,402
*Chic by His, Inc..................................... 175,700 131,775
Chicago Rivet & Machine Co............................ 11,800 274,350
*Children's Comprehensive Services, Inc............... 151,600 1,037,512
*Childtime Learning Centers, Inc...................... 43,100 557,606
<CAPTION>
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Chiquita Brands International, Inc.................... 1,243,339 $ 5,439,608
*Cholestech Corp...................................... 17,700 111,731
*Chromcraft Revington, Inc............................ 17,000 193,375
*Chronimed, Inc....................................... 37,400 296,862
*Chyron Corp.......................................... 170,300 127,725
*Cidco, Inc........................................... 208,100 1,677,806
*Ciprico, Inc......................................... 55,800 713,194
Circle International, Inc............................. 30,300 732,881
*Circuit City Stores, Inc. - Carmax Group............. 507,000 1,204,125
*Circuit Systems, Inc................................. 53,000 72,875
*Cirrus Logic, Inc.................................... 293,000 4,065,375
*Citadel Holding Corp................................. 73,300 251,969
*Citation Computer System, Inc........................ 11,200 26,075
*Citation Corp........................................ 200,200 3,390,887
Citizens Banking Corp................................. 53,750 1,362,227
*Citizens, Inc. Class A............................... 76,719 498,673
City Holding Co....................................... 1,000 16,875
*Civic Bancorp........................................ 39,579 634,501
*Clean Harbors, Inc................................... 117,500 167,070
Cleveland Cliffs, Inc................................. 151,300 4,425,525
*Clintrials Research, Inc............................. 299,400 1,169,531
Coachmen Industries, Inc.............................. 220,100 3,150,181
*Coast Dental Services, Inc........................... 136,400 434,775
*Coast Distribution System............................ 85,100 175,519
Coastal Bancorp, Inc.................................. 116,900 2,338,000
*Coastcast Corp....................................... 106,000 1,378,000
*Cobra Electronic Corp................................ 72,300 361,500
*#Coeur d'Alene Mines Corp. ID........................ 270,000 1,096,875
*Coherent, Inc........................................ 110,300 2,916,056
*Cohesion Technologies, Inc........................... 117,300 843,094
*Coinmach Laundry Corp................................ 172,300 1,852,225
Cold Metal Products, Inc.............................. 67,000 236,594
*Cole National Corp. Class A.......................... 144,400 776,150
Collins Industries, Inc............................... 28,200 178,894
*Columbia Banking System, Inc......................... 51,497 840,045
*Columbus Energy Corp................................. 50,932 283,309
Columbus McKinnon Corp................................ 10,000 103,125
*Comdial Corp......................................... 121,100 1,004,752
*Comforce Corp........................................ 56,300 91,487
*Comfort Systems USA, Inc............................. 134,700 1,111,275
*Command Systems, Inc................................. 18,200 29,575
Commercial Bancshares, Inc............................ 26,509 609,707
Commercial Bank of New York........................... 26,400 321,750
Commercial Intertech Corp............................. 99,700 1,252,481
Commercial Metals Co.................................. 193,200 6,182,400
Commercial National Financial Corp.................... 18,000 351,000
Commonwealth Bancorp, Inc............................. 167,100 2,767,594
Commonwealth Industries, Inc.......................... 238,200 3,089,156
Communications Systems, Inc........................... 6,400 74,800
Community Bank System, Inc............................ 58,000 1,529,750
Community Financial Corp.............................. 7,900 67,891
Community Financial Group, Inc........................ 11,800 181,056
Community First Brokerage Co.......................... 12,400 213,900
Community Savings Bankshares, Inc..................... 4,000 50,875
Community Trust Bancorp, Inc.......................... 47,707 1,019,737
*Compucom Systems, Inc................................ 569,700 1,798,116
*CompUSA, Inc......................................... 385,450 2,264,519
*#Computer Learning Centers, Inc...................... 20,400 69,169
*Computer Motion, Inc................................. 43,500 492,094
*Computer Network Technology Corp..................... 173,250 3,492,070
*Computer Outsourcing Services, Inc................... 42,800 1,091,400
*Comshare, Inc........................................ 95,950 470,755
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*Comstock Resources, Inc.............................. 380,400 $ 1,331,400
*Comtech Telecommunications Corp...................... 40,350 746,475
*Concord Camera Corp.................................. 122,200 1,829,181
*Condor Technology Solutions, Inc..................... 67,100 158,314
*Cone Mills Corp. NC.................................. 508,600 2,511,212
*Congoleum Corp. Class A.............................. 92,200 311,175
*Conmed Corp.......................................... 127,661 3,219,451
Conning Corp.......................................... 2,200 18,975
*Conso Products Co.................................... 100,600 839,381
*Consolidated Freightways Corp........................ 368,100 3,347,409
*Consolidated Graphics, Inc........................... 23,300 522,794
*Continental Materials Corp........................... 4,600 103,500
Cooker Restaurant Corp................................ 125,000 390,625
*Cooperative Bankshares, Inc.......................... 20,800 223,600
*Copart, Inc.......................................... 242,500 6,274,687
*Core, Inc............................................ 7,400 48,216
*Cornell Corrections, Inc............................. 54,500 623,344
*Correctional Services Corp........................... 5,900 26,366
*Corrpro Companies, Inc............................... 108,875 789,344
*Corsair Communications, Inc.......................... 30,000 319,687
*Cort Business Services Corp.......................... 177,400 3,459,300
Corus Bankshares, Inc................................. 9,200 262,200
*Cost-U-Less, Inc..................................... 8,800 39,325
*Cotelligent Group, Inc............................... 12,500 52,344
Courier Corp.......................................... 23,400 522,112
*Covenant Transport, Inc. Class A..................... 232,200 3,374,156
*Coventry Health Care, Inc............................ 228,600 1,321,594
*Cover-All Technologies, Inc.......................... 31,901 31,403
Covest Bancshares, Inc................................ 48,825 631,673
*Craig (Jenny), Inc................................... 231,050 519,862
*Craig Corp........................................... 44,700 268,200
*Creative Computers, Inc.............................. 54,400 521,900
*Credit Acceptance Corp............................... 643,200 2,592,900
*Criticare Systems, Inc............................... 91,000 216,125
*Cross (A.T.) Co. Class A............................. 192,500 1,010,625
Cross Timbers Oil Co.................................. 54,600 556,237
*Crossman Communities, Inc............................ 6,700 107,409
*Crown Central Petroleum Corp. Class A................ 71,000 461,500
*Crown Central Petroleum Corp. Class B................ 59,400 356,400
Crown Crafts, Inc..................................... 158,700 416,587
*Crown Group, Inc..................................... 4,100 20,820
*Crown Vantage, Inc................................... 128,820 309,973
*Crown-Andersen, Inc.................................. 20,000 153,750
Cubic Corp............................................ 109,650 2,158,734
Culp, Inc............................................. 175,918 1,099,487
*Curative Health Services, Inc........................ 35,100 278,606
Curtiss-Wright Corp................................... 94,900 3,606,200
*Cyberoptics Corp..................................... 62,100 1,144,969
*Cybex International, Inc............................. 94,600 266,062
*Cylink Corp.......................................... 82,200 953,006
*Cyrk, Inc............................................ 205,700 1,529,894
*Cytrx Corp........................................... 14,600 36,956
*D A Consulting Group, Inc............................ 103,000 457,062
*DII Group, Inc....................................... 9,400 593,962
*#DRS Technologies, Inc............................... 71,675 618,197
DT Industries, Inc.................................... 141,300 1,103,906
*DVI, Inc............................................. 228,000 3,192,000
Dain Rauscher Corp.................................... 84,800 4,128,700
*Dairy Mart Convenience Stores, Inc. Class A.......... 9,000 38,250
*Damark International, Inc. Class A................... 95,800 940,037
<CAPTION>
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<S> <C> <C>
*Dan River, Inc. (GA) Class A......................... 418,500 $ 2,249,437
*Danielson Holding Corp............................... 30,000 150,000
*Darling International, Inc........................... 12,000 26,250
*Data I/O Corp........................................ 89,400 192,769
*#Data Race, Inc...................................... 29,800 90,797
Data Research Association, Inc........................ 8,000 77,500
*Data Systems & Software, Inc......................... 89,400 284,962
*Datakey, Inc......................................... 19,100 32,828
*Dataram Corp......................................... 62,320 1,156,815
*DataTRAK International, Inc.......................... 57,500 203,945
*Dataware Technologies, Inc........................... 85,200 291,544
*Datron Systems, Inc.................................. 34,600 285,450
*Datum, Inc........................................... 88,400 792,837
*Dave and Busters, Inc................................ 15,000 154,687
Davel Communications, Inc............................. 21,385 75,516
*Dawson Geophysical Co................................ 60,200 539,919
*Daxor Corp........................................... 52,000 786,500
*Day Runner, Inc...................................... 4,800 33,750
*Dayton Superior Corp. Class A........................ 6,000 109,500
*DeGeorge Financial Corp.............................. 19,900 1,492
Deb Shops, Inc........................................ 97,000 1,900,594
*Deckers Outdoor Corp................................. 100,400 299,631
Decorator Industries, Inc............................. 20,832 108,066
*Del Global Technologies Corp......................... 93,377 786,409
*Delia's, Inc......................................... 15,800 172,812
*Delphi Financial Group, Inc. Class A................. 6,630 205,530
*#Delta Financial Corp................................ 176,200 814,925
Delta Natural Gas Co., Inc............................ 26,100 401,287
Delta Woodside Industries, Inc........................ 518,300 1,004,206
Deltic Timber Corp.................................... 108,400 2,791,300
*Denali, Inc.......................................... 54,800 202,075
Designs, Inc.......................................... 178,800 265,406
*Detection Systems, Inc............................... 71,300 659,525
*Detrex Corp.......................................... 12,800 63,200
Detroit Diesel Corp................................... 361,900 6,649,912
*Devcon International Corp............................ 50,800 250,825
*Diamond Home Services, Inc........................... 140,000 91,875
*Dianon Systems, Inc.................................. 40,300 403,000
*Diedrich Coffee, Inc................................. 7,280 37,310
*Digi International, Inc.............................. 289,600 4,687,900
*Digital Microwave Corp............................... 41,700 659,381
Dime Community Bancorp, Inc........................... 151,000 3,005,844
Dimon, Inc............................................ 890,500 3,005,437
*Diodes, Inc.......................................... 60,700 925,675
*Discount Auto Parts, Inc............................. 287,400 3,969,712
*Diversified Corporate Resources, Inc................. 2,700 8,100
*Dixie Group, Inc..................................... 129,000 890,906
*Dixon Ticonderoga Co................................. 27,250 231,625
*Dollar Thrifty Automotive Group, Inc................. 37,500 740,625
*Dominion Homes, Inc.................................. 70,100 442,506
Donegal Group, Inc.................................... 72,144 491,481
*Donna Karan International, Inc....................... 17,500 136,719
Donnelly Corp. Class A................................ 78,250 1,129,734
Downey Financial Corp................................. 313,313 6,305,424
*Dress Barn, Inc...................................... 294,123 5,036,856
*Drew Industries, Inc................................. 1,000 9,500
*Drug Emporium, Inc................................... 221,900 898,002
*Drypers Corp......................................... 78,900 203,414
*Duckwall-Alco Stores, Inc............................ 98,000 780,937
*Ducommun, Inc........................................ 29,800 264,475
*Dunn Computer Corp................................... 6,100 8,197
*Dura Automotive Systems, Inc......................... 160,385 3,322,977
*Dura Pharmaceuticals, Inc............................ 218,500 2,847,328
</TABLE>
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*Dwyer Group, Inc..................................... 6,000 $ 14,437
*Dynamics Research Corp............................... 85,636 452,265
*E-Z-Em, Inc. Class A................................. 45,200 259,900
*E-Z-Em, Inc. Class B................................. 3,843 21,136
*ECC International Corp............................... 94,300 306,475
EFC Bancorp, Inc...................................... 5,000 53,750
*EFTC Corp............................................ 303,600 683,100
*EIS International, Inc............................... 148,800 646,350
*ELXSI Corp........................................... 27,900 358,341
EMC Insurance Group, Inc.............................. 123,900 1,258,359
*EMS Technologies, Inc................................ 110,450 1,194,241
*ESCO Electronics Corp. Trust Receipts................ 204,100 1,977,219
Eagle Bancshares, Inc................................. 67,600 1,083,712
*Eagle Food Centers, Inc.............................. 124,300 184,508
*Eagle Geophysical, Inc............................... 148,103 5,924
*Eagle Point Software Corp............................ 80,000 425,000
*East/West Communications, Inc........................ 2,300 60,950
Eastern Co............................................ 29,400 463,050
*Echelon International Corp........................... 15,150 344,662
Ecology & Environment, Inc. Class A................... 23,800 136,850
Edelbrock Corp........................................ 85,000 1,014,687
Edo Corp.............................................. 65,100 370,256
*Educational Insights, Inc............................ 49,300 103,222
*EduTrek International, Inc........................... 4,800 3,900
*El Paso Electric Co.................................. 186,700 1,680,300
*Elantec Semiconductor, Inc........................... 31,300 914,547
*Elcom International, Inc............................. 59,200 612,350
*Elcotel, Inc......................................... 5,300 12,173
*Elder-Beerman Stores Corp............................ 8,500 54,719
*Electric Fuel Corp................................... 3,700 4,741
*Electric Lightwave, Inc.............................. 14,800 225,700
*Electro Rent Corp.................................... 76,800 909,600
*Electro Scientific Industries, Inc................... 18,900 1,104,469
*Electroglas, Inc..................................... 245,200 6,980,537
*Elite Information Group, Inc......................... 180,800 1,288,200
Ellett Brothers, Inc.................................. 62,500 414,062
*#Eltrax System, Inc.................................. 99,495 699,574
*Emcee Broadcast Products, Inc........................ 50,000 220,312
*Emcor Group, Inc..................................... 9,700 169,144
Empire Federal Bancorp, Inc........................... 14,100 163,031
*En Pointe Technologies, Inc.......................... 49,500 476,437
*Encad, Inc........................................... 138,900 755,269
*Encore Wire Corp..................................... 11,000 77,687
*Endosonics Corp...................................... 9,900 49,809
Energen Corp.......................................... 183,400 3,530,450
Engineered Support Systems, Inc....................... 43,550 504,908
Engle Homes, Inc...................................... 127,900 1,362,934
Enhance Financial Services Group, Inc................. 18,800 321,950
Ennis Business Forms, Inc............................. 6,000 53,812
*Enserch Exploration Corp............................. 430,318 1,129,585
*Enstar, Inc.......................................... 20,866 258,869
*Environmental Elements Corp.......................... 14,500 31,719
*Environmental Technologies Corp...................... 58,500 155,391
*Epimmune, Inc........................................ 100 278
*Equinox Systems, Inc................................. 53,100 653,794
*Equity Marketing, Inc................................ 5,800 93,706
*Equity Oil Co........................................ 142,900 165,228
Eskimo Pie Corp....................................... 41,400 393,300
Espey Manufacturing & Electronics Corp................ 3,500 51,187
*Esterline Technologies Corp.......................... 198,942 2,499,209
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Ethyl Corp............................................ 481,800 $ 2,017,537
*Evans & Sutherland Computer Corp..................... 169,800 2,191,481
*Evans, Inc........................................... 17,175 5,367
*Evergreen Resources, Inc............................. 17,000 356,469
*Exabyte Corp......................................... 373,100 2,605,870
*Exar Corp............................................ 101,500 4,951,297
*Executone Information Systems, Inc................... 290,500 780,719
Exide Corp............................................ 378,900 3,907,406
*Exponent, Inc........................................ 69,500 471,297
Ezcorp, Inc. Class A Non-Voting....................... 145,600 559,650
FBL Financial Group, Inc. Class A..................... 156,100 2,712,237
*FEI Co............................................... 262,700 2,167,275
FFLC Bancorp.......................................... 50,833 794,266
FFY Financial Corp.................................... 84,600 1,306,012
FNB Financial Services Corp........................... 11,900 138,337
*FPIC Insurance Group, Inc............................ 12,600 237,037
FSF Financial Corp.................................... 6,300 76,781
*FSI International, Inc............................... 267,500 2,516,172
*FTI Consulting, Inc.................................. 62,500 351,562
Fab Industries, Inc................................... 87,081 1,023,202
*Fairchild Corp. Class A.............................. 443,729 3,217,035
Falcon Products, Inc.................................. 105,600 990,000
*#Family Golf Centers, Inc............................ 164,100 269,227
*Fansteel, Inc........................................ 74,700 336,150
*Farm Family Holdings, Inc............................ 28,500 1,161,375
Farmer Brothers Co.................................... 84 13,986
*Farr Co.............................................. 52,200 513,844
Farrel Corp........................................... 62,200 126,344
*Featherlite Manufacturing, Inc....................... 12,300 81,103
Federal Screw Works................................... 2,000 90,125
*Fibermark, Inc....................................... 94,450 1,180,625
*Fiberstars, Inc...................................... 12,900 57,244
Fidelity Bancorp, Inc. Delaware....................... 32,700 573,272
Fidelity Bankshares, Inc.............................. 8,000 133,000
*Fidelity Federal Bancorp............................. 20,000 48,125
*Fidelity National Corp............................... 76,700 568,059
Fidelity National Financial, Inc...................... 402,200 6,058,137
*Filenes Basement Corp................................ 196,100 41,181
*Finish Line, Inc. Class A............................ 205,000 1,351,719
*Finishmaster, Inc.................................... 120,000 810,000
*Finlay Enterprises, Inc.............................. 50,800 735,012
First Albany Companies, Inc........................... 35,085 430,888
*First Alliance Corp.................................. 10,900 28,272
First Bell Bancorp, Inc............................... 59,600 955,462
*First Cash, Inc...................................... 79,000 587,562
First Charter Corp.................................... 600 9,694
First Defiance Financial Corp......................... 126,600 1,491,506
First Essex Bancorp................................... 88,000 1,443,750
Firstfed America Bancorp, Inc......................... 14,900 188,112
First Federal Bancshares of Arkansas, Inc............. 54,500 916,281
First Federal Capital Corp............................ 131,220 1,943,696
First Federal Savings & Loan Association of East
Hartford, CT........................................ 31,000 918,375
First Financial Holdings, Inc......................... 100,600 1,820,231
First Indiana Corp.................................... 92,306 2,157,653
*First Investors Financial Services Group, Inc........ 120,600 655,762
First Keystone Financial, Inc......................... 38,800 417,100
First Mariner Bank Corp............................... 34,200 313,144
First Midwest Financial, Inc.......................... 18,800 241,462
First Northern Capital Corp........................... 102,300 1,099,725
</TABLE>
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First Oak Brook Bancshares, Inc. Class A.............. 29,000 $ 542,844
*First Republic Bank.................................. 117,403 2,766,308
First Savings Bancorp, Inc. North Carolina............ 48,000 927,000
First SecurityFed Financial, Inc...................... 25,200 286,650
First Sentinel Bancorp, Inc........................... 332,200 2,766,603
*#First Team Sports, Inc.............................. 85,600 203,300
First Washington Bancorp, Inc......................... 150,180 2,487,356
Firstbank Corp........................................ 5,300 70,391
*FirstFed Financial Corp. DE.......................... 312,000 4,816,500
Firstspartan Financial Corp........................... 38,700 718,369
*Firstwave Technologies, Inc.......................... 45,700 165,662
*Fischer Imaging Corp................................. 100,600 172,906
*Fisher Scientific, International, Inc................ 8,400 223,650
Flag Financial Corp................................... 19,150 135,247
Flagstar Bancorp, Inc................................. 22,000 351,312
*Flander Corp......................................... 488,000 1,570,750
Fleetwood Enterprises, Inc............................ 100,000 2,100,000
Fleming Companies, Inc................................ 517,997 6,248,339
Flexsteel Industries, Inc............................. 80,600 1,118,325
Florida Rock Industries, Inc.......................... 65,000 2,031,250
*Florsheim Group, Inc................................. 93,700 278,172
Flushing Financial Corp............................... 132,850 2,117,297
*Foilmark, Inc........................................ 81,358 244,074
*Foodarama Supermarkets, Inc.......................... 12,400 331,700
Foothill Independent Bancorp.......................... 45,818 632,861
*Forest Oil Corp...................................... 109,500 1,252,406
*Forward Air Corp., Inc............................... 32,400 1,014,525
*Foster (L.B.) Co. Class A............................ 149,700 734,466
Foster Wheeler Corp................................... 482,100 4,911,394
*Four Media Co........................................ 144,300 1,808,259
Frankfort First Bancorp, Inc.......................... 25,650 384,750
Franklin Bank National Associaton Southfield, MI...... 40,883 357,087
*Franklin Covey Co.................................... 300,900 2,200,331
*Franklin Electronic Publishers, Inc.................. 98,200 491,000
Freds, Inc. Class A................................... 215,750 2,818,234
Freedom Securities Corp............................... 190,000 2,481,875
Fremont General Corp.................................. 334,700 1,694,419
*French Fragrances, Inc............................... 20,000 148,125
Frequency Electronics, Inc............................ 96,000 804,000
*Fresh America Corp................................... 13,600 61,200
*Fresh Choice, Inc.................................... 64,900 113,575
*Fresh Foods, Inc..................................... 87,000 649,781
*Friede Goldman International......................... 111,948 944,561
*Friedman Billings Ramsey Group, Inc. Class A......... 176,400 1,047,375
Friedman Industries, Inc.............................. 93,343 338,368
Friedmans, Inc. Class A............................... 161,400 1,215,544
Frisch's Restaurants, Inc............................. 89,105 857,636
*Fritz Companies, Inc................................. 250,300 2,463,891
Frontier Insurance Group, Inc......................... 526,700 1,580,100
Frozen Food Express Industries, Inc................... 299,100 1,299,216
*G-III Apparel Group, Ltd............................. 80,900 227,531
GA Financial, Inc..................................... 75,100 1,013,850
GBC Bancorp........................................... 105,800 2,238,331
*GC Companies, Inc.................................... 131,300 3,701,019
*GP Strategies Corp................................... 122,965 968,349
*GT Interactive Software Corp......................... 99,500 203,664
*GZA Geoenvironmental Technologies, Inc............... 38,200 145,637
*Gadzooks, Inc........................................ 127,900 1,091,147
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Gainsco, Inc.......................................... 322,200 $ 1,913,062
*Galey & Lord, Inc.................................... 259,000 647,500
*GameTech International, Inc.......................... 15,100 69,837
*#Gantos, Inc......................................... 28,116 29,434
Garan, Inc............................................ 58,000 1,790,750
*Garden Fresh Restaurant Corp......................... 56,600 944,512
*Garden Ridge Corp.................................... 73,800 834,862
*Gart Sports Co....................................... 16,137 94,805
*Gasonics International, Inc.......................... 109,500 1,683,562
*Geerling & Wade, Inc................................. 27,500 257,812
*Gehl Co.............................................. 78,100 1,444,850
Gencorp, Inc.......................................... 11,100 121,406
General Binding Corp.................................. 100 816
*General Cigar Holdings, Inc. Class A................. 155,400 1,175,212
*General Communications, Inc. Class A................. 841,800 3,446,119
*#General Datacomm Industries, Inc.................... 212,500 1,301,562
*General Semiconductor, Inc........................... 8,100 111,375
*Genesee & Wyoming, Inc............................... 300 3,562
*Genesis Health Ventures, Inc......................... 498,600 1,402,312
Genesis Worldwide, Inc................................ 46,300 193,881
*#Geneva Steel Co. Class A............................ 93,000 25,575
*Genlyte Group, Inc................................... 85,500 2,057,344
*Gensym Corp.......................................... 74,000 361,906
*Geoscience Corp...................................... 50,000 328,125
*Gerber Childrenswear, Inc............................ 30,000 138,750
Gerber Scientific, Inc................................ 262,000 5,043,500
*Getty Petroleum Marketing, Inc....................... 199,100 597,300
*Giant Group, Ltd..................................... 50,600 183,425
*Giant Industries, Inc................................ 159,900 1,389,131
Gibraltar Steel Corp.................................. 41,300 978,294
*Gibson Greetings, Inc................................ 285,000 2,707,500
*Giga-Tronics, Inc.................................... 19,900 107,584
*Gish Biomedical, Inc................................. 42,300 144,084
Glatfelter (P.H.) Co.................................. 491,600 6,329,350
Gleason Corp.......................................... 120,050 2,130,887
*Glenayre Technologies, Inc........................... 835,100 3,901,483
*Global Industrial Technologies, Inc.................. 265,900 3,356,987
*Globe Business Resources, Inc........................ 43,500 553,266
*#Golden Books Family Entertainment, Inc.............. 90,800 16,798
Golden Enterprises, Inc............................... 2,800 7,962
*Golden State Vintners, Inc........................... 7,100 24,739
*Good Guys, Inc....................................... 236,000 1,932,250
*Goodys Family Clothing............................... 12,200 80,444
Gorman-Rupp Co........................................ 44,000 786,500
*Gottschalks, Inc..................................... 208,600 1,877,400
*Government Technology Services, Inc.................. 102,600 323,831
*Gradco Systems, Inc.................................. 88,200 92,334
*Graham Corp.......................................... 25,950 184,894
Grand Premier Financial, Inc.......................... 65,897 1,107,893
*Grand Union Co....................................... 154,600 1,632,962
Granite State Bankshares, Inc......................... 22,800 503,025
Gray Communications Systems, Inc...................... 35,950 624,631
*Greenbriar Corp...................................... 10,700 6,687
Greenbrier Companies, Inc............................. 224,800 2,248,000
*Grey Wolf, Inc....................................... 6,200 17,050
*Griffin Land & Nurseries, Inc. Class A............... 25,000 270,312
*Griffon Corp......................................... 305,700 2,350,069
*Group 1 Software, Inc................................ 16,900 256,669
*Group Maintenance America Corp....................... 16,900 154,212
Guarantee Life Companies, Inc......................... 108,100 3,401,772
</TABLE>
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Guaranty Federal Bancshares, Inc...................... 9,700 $ 107,912
*Guest Supply, Inc.................................... 76,200 1,085,850
Guilford Mills, Inc................................... 402,900 2,921,025
*Gulf Island Fabrication, Inc......................... 11,200 103,250
*Gulfmark Offshore, Inc............................... 39,600 568,012
*Gundle/SLT Environmental, Inc........................ 267,900 1,105,087
*Gymboree Corp........................................ 382,600 2,319,512
HCC Insurance Holdings, Inc........................... 36,600 388,875
*HEI, Inc............................................. 10,200 63,112
HF Financial Corp..................................... 52,150 661,653
*HMI Industries, Inc.................................. 27,800 37,356
HMN Financial, Inc.................................... 67,900 863,603
*HMT Technology Corp.................................. 704,500 2,542,805
*HPSC, Inc............................................ 42,000 413,437
*HS Resources, Inc.................................... 233,000 3,014,437
*Ha-Lo Industries, Inc................................ 250,800 1,567,500
*Hadco Corp........................................... 80,000 3,780,000
Haggar Corp........................................... 96,700 1,202,706
*Hagler Bailly, Inc................................... 8,300 45,391
*Hahn Automotive Warehouse, Inc....................... 38,746 46,011
Halifax Corp.......................................... 24,000 130,500
Hallmark Capital Corp................................. 33,000 324,844
*Hampshire Group, Ltd................................. 19,100 170,706
*Hampton Industries, Inc.............................. 68,594 167,198
Hancock Fabrics, Inc.................................. 97,900 391,600
*Handleman Co......................................... 484,436 7,478,481
*Hanger Orthopedic Group, Inc......................... 144,500 1,481,125
Harbor Florida Bancshares, Inc........................ 12,700 160,734
*Harding Lawson Associates Group, Inc................. 61,700 460,822
Hardinge Brothers, Inc................................ 134,000 1,829,937
Harleysville Group, Inc............................... 374,100 5,623,191
Harman International Industries, Inc.................. 47,300 2,435,950
Harmon Industries, Inc................................ 200 2,500
#Harnischfeger Industries, Inc........................ 266,100 282,731
*Harry's Farmers Market, Inc. Class A................. 46,100 41,778
*Hartmarx Corp........................................ 687,800 2,622,237
*Harvey Entertainment Co.............................. 52,400 255,450
*Hastings Entertainment, Inc.......................... 135,800 666,269
Hastings Manufacturing Co............................. 1,700 16,256
*Hathaway Corp........................................ 45,300 53,794
*Hauser, Inc.......................................... 32,775 78,865
Haven Bancorp, Inc.................................... 110,600 1,790,337
Haverty Furniture Co., Inc............................ 280,200 3,852,750
*Hawaiian Airlines, Inc............................... 568,400 1,243,375
*Hawk Corp............................................ 177,000 951,375
*Hawker Pacific Aerospace............................. 84,000 385,875
*Hawthorne Financial Corp............................. 80,400 1,115,550
*Headway Corporate Resources, Inc..................... 93,700 348,447
*Health Management Systems, Inc....................... 185,800 853,519
*Health Risk Management, Inc.......................... 55,900 380,819
*Health Systems Design Corp........................... 90,000 478,125
*Healthcare Recoveries, Inc........................... 33,700 110,052
*Healthcare Services Group, Inc....................... 146,200 1,187,875
*Healthcor Holdings................................... 65,300 3,918
Healthplan Services Corp.............................. 269,500 1,768,594
*Hector Communications Corp........................... 8,500 132,812
Heico Corp............................................ 6,300 107,887
Heilig-Meyers Co...................................... 984,950 3,570,444
*Heist (C.H.) Corp.................................... 16,800 105,000
*Hello Direct, Inc.................................... 84,100 1,011,828
Heritage Financial Corp............................... 43,800 370,931
*Herley Industries, Inc............................... 26,733 368,414
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Hexcel Corp.......................................... 305,450 $ 1,813,609
*Hi-Shear Industries, Inc............................. 53,500 123,719
*Hi-Tech Pharmacal, Inc............................... 52,900 260,367
*High Plains Corp..................................... 177,300 249,328
*Highlands Insurance Group, Inc....................... 193,310 1,401,497
*Hirsch International Corp. Class A................... 90,000 127,969
*Hoenig Group, Inc.................................... 104,700 1,037,184
*Holiday RV Superstores, Inc.......................... 70,700 333,616
Holly Corp............................................ 101,200 1,454,750
*Hollywood Casino Corp. Class A....................... 32,900 111,037
*Hollywood Entertainment Corp......................... 31,500 445,922
*Hollywood Park, Inc.................................. 269,800 5,446,587
*Hologic, Inc......................................... 274,400 1,474,900
Home Bancorp.......................................... 13,800 280,312
Home Federal Bancorp.................................. 34,875 815,203
*Home Loan Financial Corp............................. 700 6,344
Home Port Bancorp, Inc................................ 14,500 386,062
*Home Products International, Inc..................... 124,450 1,116,161
*Homebase, Inc........................................ 773,650 2,659,422
*#Homegold Financial, Inc............................. 50,000 33,594
*Homestead Village, Inc............................... 241,800 574,275
Horizon Financial Corp................................ 83,365 838,860
*Horizon Health Corp.................................. 104,700 778,706
*Horizon Offshore, Inc................................ 34,200 214,819
*Horizon Pharmacies, Inc.............................. 25,000 73,437
*Hospitality Worldwide Services, Inc.................. 144,500 397,375
*Hot Topic, Inc....................................... 12,000 530,625
*Houston Exploration Co............................... 310,400 6,208,000
*Hovnanian Enterprises, Inc. Class A.................. 216,784 1,381,998
#Howell Corp.......................................... 104,200 638,225
*Hub Group, Inc. Class A.............................. 106,600 1,845,512
*Hudson Hotels Corp................................... 14,300 15,641
*Hudson River Bancorp, Inc............................ 4,800 52,350
*Hudson Technologies, Inc............................. 61,600 121,275
Huffy Corp............................................ 147,700 969,281
Hughes Supply, Inc.................................... 266,800 6,319,825
Hunt (J.B.) Transport Services, Inc................... 403,700 5,336,409
Hunt Corp............................................. 62,850 518,512
Huntco, Inc. Class A.................................. 84,500 184,844
*Hurco Companies, Inc................................. 78,000 302,250
*Hutchinson Technology, Inc........................... 192,600 3,551,062
*#Hvide Marine, Inc. Class A.......................... 110,500 14,917
*Hycor Biomedical, Inc................................ 77,700 177,253
*Hypercom Corp........................................ 216,800 2,046,050
*Hyseq, Inc........................................... 294,100 1,985,175
*ICF Kaiser International, Inc........................ 123,000 69,187
*ICT Group, Inc....................................... 53,700 657,825
*ICU Medical, Inc..................................... 71,400 1,095,544
*IEC Electronics Corp................................. 118,600 274,262
*IFR Systems, Inc..................................... 124,200 481,275
*IHOP Corp............................................ 69,900 1,083,450
*II-VI, Inc........................................... 139,600 2,425,550
IMCO Recycling, Inc................................... 280,600 3,612,725
*IRI International Corp............................... 15,600 66,300
ISB Financial Corp. LA................................ 105,300 1,684,800
*IT Group, Inc ....................................... 190,079 1,983,950
*ITC Learning Corp.................................... 49,200 79,950
*ITEQ, Inc............................................ 305,059 262,160
*ITLA Capital Corp.................................... 134,200 1,966,869
*IVI Checkmate Corp................................... 158,505 549,814
Ico, Inc.............................................. 241,800 374,034
*Ikos Systems, Inc.................................... 10,600 81,819
*Il Fornaio (America) Corp............................ 7,700 46,561
</TABLE>
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<CAPTION>
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<S> <C> <C>
*Imation Corp......................................... 149,400 $ 4,808,812
*Immucor, Inc......................................... 61,100 756,112
*Imperial Credit Industries, Inc...................... 369,000 2,167,875
Imperial Sugar Co..................................... 575,700 2,302,800
*In Focus Systems, Inc................................ 253,500 5,283,891
*Inacom Corp.......................................... 443,300 2,632,094
Independence Holding Co............................... 52,600 598,325
Independent Bank East................................. 65,726 1,086,533
Industrial Bancorp, Inc............................... 29,200 507,350
*Industrial Distribution Group, Inc................... 155,000 590,937
*Industrial Holdings, Inc............................. 3,100 7,944
*Industri-Matematik International Corp. ADR........... 2,900 8,428
*Inference Corp. Class A.............................. 115,000 542,656
*Infinium Software, Inc............................... 4,300 21,231
*#Infonautics Corp. Class A........................... 64,100 497,777
*Information Management Associates, Inc............... 102,500 411,602
*Information Resources, Inc........................... 383,400 3,828,009
Ingles Market, Inc. Class A........................... 201,000 2,355,469
*Innodata Corp........................................ 11,598 93,146
*Innovative Clinical Solutions, Ltd................... 261,200 130,600
*#Innovative Gaming Corp. of America.................. 6,600 11,344
Innovex, Inc.......................................... 16,600 149,919
*Inprise Corp......................................... 159,200 1,422,850
*Input Software, Inc.................................. 86,400 394,200
*Input/Output, Inc.................................... 351,000 1,886,625
*Insignia Financial Group, Inc........................ 313,000 2,543,125
*Insilco Holding Co................................... 432 10,908
*Insituform East, Inc................................. 31,200 49,725
*Insituform Technologies, Inc. Class A................ 125,900 3,155,369
*Inso Corp............................................ 171,100 3,887,178
*Inspire Insurance Solutions, Inc..................... 95,700 602,611
Insteel Industries, Inc............................... 103,100 869,906
*Insurance Auto Auctions, Inc......................... 143,100 2,043,647
*Integra, Inc......................................... 104,800 170,300
*IntegraMed America, Inc.............................. 37,000 117,359
*Integrated Device Technology, Inc.................... 526,087 12,379,485
*Integrated Electrical Services, Inc.................. 49,300 523,812
*Integrated Measurement System, Inc................... 83,800 1,170,581
*Integrated Silicon Solution, Inc..................... 214,300 1,952,139
*Intellicall, Inc..................................... 29,500 16,594
*Intelligent Systems Corp............................. 52,375 139,121
*Inter Parfums, Inc................................... 103,200 948,150
*Interface Systems, Inc............................... 43,100 602,053
Interface, Inc. Class A............................... 505,000 2,288,281
*Intergraph Corp...................................... 792,900 3,555,661
*Interlink Electronics................................ 35,000 1,046,719
*Interlinq Software Corp.............................. 62,200 270,181
*Intermagnetics General Corp.......................... 143,980 962,866
Intermet Corp......................................... 207,700 2,089,981
International Aluminum Corp........................... 48,900 1,207,219
International Multifoods Corp......................... 282,000 3,930,375
*International Rectifier Corp......................... 624,600 12,648,150
*International Remote Imaging Systems, Inc............ 6,200 4,262
International Shipholding Corp........................ 71,475 964,912
*International Speciality Products, Inc............... 342,300 2,866,762
*International Telecommunication Data Systems, Inc.... 150,000 1,959,375
*International Thoroughbred Breeders, Inc............. 110,000 48,400
*International Total Services, Inc.................... 74,900 100,413
<CAPTION>
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Interpool, Inc........................................ 528,400 $ 4,689,550
*Interstate National Dealers Services, Inc............ 900 5,484
*Intertan, Inc........................................ 190,200 4,552,912
*Intervisual Books, Inc. Class A...................... 9,900 18,562
*Intervoice, Inc...................................... 43,871 659,436
*Intevac, Inc......................................... 5,100 20,081
Investors Title Co.................................... 18,200 320,206
*Invision Technologies, Inc........................... 7,800 31,444
*Invivo Corp.......................................... 1,500 19,406
*Ionics, Inc.......................................... 146,600 3,912,387
*Iridex Corp.......................................... 74,300 691,919
Isco, Inc............................................. 84,600 424,322
*Isle of Capri Casinos, Inc........................... 323,400 4,173,881
*Isolyser Co., Inc.................................... 597,600 1,699,425
*#Itron, Inc.......................................... 54,400 345,100
*J & J Snack Foods Corp............................... 170,100 3,205,322
*J. Alexander's Corp.................................. 71,500 218,969
*J. Jill Group, Inc................................... 13,150 71,709
*JDA Software Group, Inc.............................. 66,700 935,884
*JLK Direct Distribution, Inc. Class A................ 103,000 1,004,250
*JLM Industries, Inc.................................. 115,000 420,469
*JPM Co............................................... 2,000 18,000
*JPS Industries, Inc.................................. 1,500 4,500
JSB Financial, Inc.................................... 105,600 6,243,600
*JWGenesis Financial Corp............................. 9,500 153,187
*Jackpot Enterprises, Inc............................. 106,500 871,969
Jacksonville Bancorp, Inc............................. 16,200 250,087
*Jaclyn, Inc.......................................... 26,900 75,656
*Jaco Electronics, Inc................................ 70,446 261,971
*Jacobson Stores, Inc................................. 67,850 468,589
*Jan Bell Marketing, Inc.............................. 316,200 889,312
*Jason, Inc........................................... 288,900 2,166,750
Jefferies Group, Inc.................................. 4,200 83,475
Jefferson Savings Bancorp, Inc........................ 63,300 759,600
*Jo-Ann Stores, Inc. Class A.......................... 35,700 466,331
*Jo-Ann Stores, Inc. Class B.......................... 35,700 432,862
*Johnson Worldwide Associates, Inc. Class A........... 122,100 959,630
*Johnston Industries, Inc............................. 117,525 183,633
*Jones Apparel Group, Inc............................. 171,448 4,575,518
*Jos. A. Bank Clothiers, Inc.......................... 117,300 322,575
*Jps Packaging Company................................ 59,650 175,222
*#Just for Feet, Inc.................................. 329,900 412,375
Justin Industries, Inc................................ 352,400 5,473,212
K Swiss, Inc. Class A................................. 51,500 735,484
*K-Tron International, Inc............................ 6,300 89,381
K2, Inc............................................... 269,580 1,988,152
*KBK Capital Corp..................................... 65,000 316,875
KCS Energy, Inc....................................... 184,300 138,225
*KLLM Transport Services, Inc......................... 52,099 329,689
*KVH Industries, Inc.................................. 59,200 182,225
*Kaiser Aluminum Corp................................. 807,815 5,351,774
*Kaiser Ventures, Inc................................. 121,400 1,676,837
Kaman Corp. Class A................................... 265,900 3,165,872
*Kasper A.S.L., Ltd................................... 59,900 175,956
Katy Industries, Inc.................................. 135,800 1,425,900
Kaye Group, Inc....................................... 40,000 345,000
Keithley Instruments, Inc............................. 4,500 92,531
*Kellstrom Industries, Inc............................ 30,400 266,950
Kellwood Co........................................... 333,718 6,924,648
*Kemet Corp........................................... 133,200 4,816,012
Kenan Transport Co.................................... 200 6,575
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*Kendle International, Inc............................ 53,600 $ 435,500
Kennametal, Inc....................................... 45,300 1,506,225
*Kent Electronics Corp................................ 166,450 3,817,947
*Kentucky Electric Steel, Inc......................... 32,600 94,744
Kentucky First Bancorp, Inc........................... 11,700 119,925
*Kevco, Inc........................................... 138,800 403,387
Kewaunee Scientific Corp.............................. 30,800 313,775
*Key Energy Group, Inc................................ 153,100 765,500
*Key Production Co., Inc.............................. 146,612 1,191,222
*Key Technology, Inc.................................. 53,800 405,181
*Key Tronic Corp...................................... 149,400 625,612
*Keystone Automotive Industries, Inc.................. 243,100 1,397,825
*Keystone Consolidated Industries, Inc................ 114,586 451,182
Kimball International, Inc. Class B................... 310,400 5,131,300
*Kimmins Corp......................................... 16,000 6,250
*Kinark Corp.......................................... 73,400 91,750
*Kinnard Investment, Inc.............................. 73,600 420,900
*Kit Manufacturing Co................................. 11,100 52,725
*Kitty Hawk, Inc...................................... 139,800 1,092,187
Klamath First Bancorp, Inc............................ 131,900 1,500,362
Knape & Vogt Manufacturing Co......................... 34,031 513,655
*Komag, Inc........................................... 949,600 2,225,625
*Koss Corp............................................ 45,700 682,644
*Krug International Corp.............................. 65,400 85,837
*Kulicke & Soffa Industries, Inc...................... 204,900 7,293,159
*LMI Aerospace, Inc................................... 1,000 3,266
LNR Property Corp..................................... 286,300 5,046,037
LSB Industries, Inc................................... 99,500 77,734
LSI Industries, Inc................................... 5,830 140,831
LTV Corp.............................................. 1,055,700 3,694,950
*LTX Corp............................................. 320,500 5,799,047
LaCrosse Footwear, Inc................................ 10,600 63,600
LabOne, Inc........................................... 91,950 706,866
*Laboratory Corp. of America Holdings, Inc............ 424,700 1,592,625
*Labtec, Inc.......................................... 17,833 69,103
*#Laclede Steel Co.................................... 44,100 19,294
*Ladd Furniture, Inc.................................. 105,527 2,232,556
*Ladish Co., Inc...................................... 228,200 1,565,309
*Lakeland Industries, Inc............................. 3,600 14,850
*Lakes Gaming, Inc.................................... 152,125 1,307,324
*Lam Research Corp.................................... 180,600 13,985,212
*Lamson & Sessions Co................................. 156,100 819,525
*Lancer Corp.......................................... 71,500 384,312
*Landair Corp......................................... 16,200 82,012
Landamerica Financial Group, Inc...................... 210,712 4,095,714
*Landrys Seafood Restaurants, Inc..................... 442,000 3,902,031
*Larscom, Inc......................................... 63,000 281,531
*LaserSight Corporation............................... 60,100 768,153
Lawson Products, Inc.................................. 250,000 5,726,562
*Layne Christensen Co................................. 125,600 847,800
*Lazare Kaplan International, Inc..................... 122,500 949,375
*Leapnet, Inc......................................... 113,300 617,839
*Learn2.com, Inc...................................... 90,454 272,775
*Lechters, Inc........................................ 263,400 411,562
Lesco, Inc............................................ 52,900 795,153
*Let's Talk Cellular & Wireless, Inc.................. 400 1,512
Liberty Bancorp, Inc.................................. 2,800 18,112
*Life Financial Corp.................................. 7,000 27,891
*Lifeline Systems, Inc................................ 14,400 219,600
Lifetime Hoan Corp.................................... 138,200 703,956
Lillian Vernon Corp................................... 113,100 1,357,200
<CAPTION>
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*Lindal Cedar Homes, Inc.............................. 8,000 $ 20,375
Lindberg Corp......................................... 73,300 641,375
*Lodgenet Entertainment Corp.......................... 29,000 521,094
*Lodgian, Inc......................................... 396,900 2,282,175
*Loehmanns, Inc....................................... 65,000 5,850
*Loews Cineplex Entertainment Corp.................... 818,200 5,318,300
*Logic Devices, Inc................................... 78,700 174,616
*Lone Star Steakhouse Saloon.......................... 498,800 3,764,381
Longview Fibre Co..................................... 246,300 3,140,325
*Louis Dreyfus Natural Gas Corp....................... 484,900 8,728,200
Luby's Cafeterias, Inc................................ 70,500 819,562
Lufkin Industries, Inc................................ 90,200 1,257,163
*Lumisy, Inc.......................................... 172,100 548,569
*Lunar Corp........................................... 95,850 667,955
*Lydall, Inc. DE...................................... 279,000 2,493,563
*Lynch Corp........................................... 6,200 141,050
*Lynch Interactive Corp............................... 6,200 423,150
M.A. Hanna Co......................................... 109,900 1,147,081
*M.H. Meyerson & Co., Inc............................. 51,600 220,913
*MB Financial, Inc.................................... 29,600 385,725
MDC Holdings, Inc..................................... 399,288 5,964,365
*MEMC Electronic Materials, Inc....................... 378,300 4,539,600
MFB Corp.............................................. 19,200 354,000
*MFRI, Inc............................................ 54,900 243,619
MI Schottenstein Homes, Inc........................... 184,800 2,910,600
*MIM Corp............................................. 46,400 101,500
MMI Companies, Inc.................................... 247,700 1,006,281
*MRV Communications, Inc.............................. 246,300 7,873,903
*MS Carriers, Inc..................................... 163,100 4,271,181
MTS Systems Corp...................................... 194,310 1,946,136
MYR Group, Inc........................................ 38,610 719,111
*Mac-Gray Corp........................................ 37,500 147,656
*Mackie Designs, Inc.................................. 1,000 5,250
*Made2Manage Systems, Inc............................. 81,000 554,344
*Magellan Health Services, Inc........................ 357,500 2,234,375
*Magnetek, Inc........................................ 370,200 2,475,713
*Magnum Hunter Resources, Inc......................... 106,400 339,150
*Main Street & Main, Inc.............................. 117,300 399,553
*Main Street Bancorp, Inc............................. 2,200 23,306
*Mallon Resources Corp................................ 46,100 276,600
*Manchester Equipment Co., Inc........................ 66,700 210,522
*Manugistic Group, Inc................................ 202,300 3,401,169
*Mapinfo Corp......................................... 88,600 2,120,863
Marcus Corp........................................... 273,950 3,492,863
*Marine Drilling Companies, Inc....................... 17,000 286,875
*Marine Transport Corp................................ 118,670 315,217
*Marisa Christina, Inc................................ 94,000 173,313
Maritrans, Inc........................................ 162,200 902,238
*MarkWest Hydrocarbon, Inc............................ 155,500 855,250
*Marlton Technologies, Inc............................ 88,300 165,563
Marsh Supermarkets, Inc. Class A...................... 42,900 589,875
Marsh Supermarkets, Inc. Class B...................... 56,900 593,894
Massbank Corp. Reading, MA............................ 40,266 1,313,678
*Matec Corp........................................... 6,900 36,225
*Material Sciences Corp............................... 311,200 3,403,750
*Matlack Systems, Inc................................. 117,642 463,215
*Matria Healthcare, Inc............................... 545,700 2,123,114
*Matrix Pharmaceutical, Inc........................... 305,900 1,586,856
*Matrix Service Co.................................... 114,300 521,494
*Mattson Technology, Inc.............................. 176,700 2,860,331
*Maverick Tube Corp................................... 172,200 3,696,919
*Max & Ermas Restaurants, Inc......................... 41,900 285,444
*Maxco, Inc........................................... 38,500 318,227
</TABLE>
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*Maxicare Health Plans, Inc........................... 182,800 $ 588,388
*Maxim Group, Inc..................................... 304,000 1,710,000
*Maxwell Shoe Company, Inc............................ 6,500 56,469
*Maxwell Technologies, Inc............................ 9,500 103,016
*Maxxam, Inc.......................................... 88,800 4,034,850
*Maynard Oil Co....................................... 53,500 606,891
*Mazel Stores, Inc.................................... 130,000 1,235,000
McGrath Rent Corp..................................... 80,000 1,442,500
*McNaughton Apparel Group, Inc........................ 114,000 805,125
McRae Industries, Inc. Class A........................ 1,000 5,188
*McWhorter Technologies, Inc.......................... 123,500 1,698,125
*Meadow Valley Corp................................... 40,464 155,534
Meadowbrook Insurance Group, Inc...................... 169,300 1,005,219
*Mechanical Dynamics, Inc............................. 8,300 37,869
Medford Bancorp, Inc.................................. 103,600 1,735,300
*Media 100, Inc....................................... 98,500 1,375,922
*Media Arts Group, Inc................................ 19,000 73,625
*Medialink Worldwide, Inc............................. 100 600
*Medical Action Industries, Inc....................... 27,800 91,219
*Medical Alliance, Inc................................ 102,900 191,330
*Medical Graphics Corp................................ 41,700 75,581
*Medical Resources, Inc............................... 63,218 36,548
*Medicore, Inc........................................ 58,600 84,238
*Medstone International, Inc.......................... 61,100 363,736
Merchants Bancorp, Inc................................ 39,400 1,278,038
Merchants Group, Inc.................................. 25,600 582,400
*Mercury Air Group, Inc............................... 15,300 122,400
Meridian Insurance Group, Inc......................... 51,700 798,119
*Meridian Medical Technology, Inc..................... 16,400 90,713
*Meridian Resource Corp............................... 161,000 593,688
*Merisel, Inc......................................... 335,800 556,169
*MeriStar Hotels & Resorts, Inc....................... 20,000 67,500
*Merit Medical Systems, Inc........................... 25,600 169,600
*Merix Corp........................................... 78,100 944,522
*Merrimac Industries, Inc............................. 11,770 91,218
*Mesa Air Group, Inc.................................. 464,100 2,349,506
*Mesa Labs, Inc....................................... 17,000 63,219
*Mestek, Inc.......................................... 13,500 251,438
*Metacreations Corp................................... 69,600 489,375
*Metal Management, Inc................................ 409,500 940,570
*Metals USA, Inc...................................... 180,700 1,513,363
*Metatec Corp. Class A................................ 103,900 269,491
*Metrika System Corp.................................. 55,000 340,313
*Metrocall, Inc....................................... 461,710 952,277
*Metromedia International Group, Inc.................. 1,155,000 5,197,500
*Michael Anthony Jewelers, Inc........................ 89,000 278,125
Michael Foods, Inc.................................... 173,981 4,376,710
*Michaels Stores, Inc................................. 559,900 17,584,359
*Micro Linear Corp.................................... 178,100 1,268,963
*Micro Warehouse, Inc................................. 528,700 6,228,747
*Microage, Inc........................................ 268,100 795,922
*Microcide Pharmaceuticals, Inc....................... 91,000 661,172
MicroFinancial, Inc................................... 30,000 339,375
*Micros to Mainframes, Inc............................ 6,200 26,834
*Microsemi Corp....................................... 46,100 355,834
*Microtest, Inc....................................... 99,600 690,975
*Microtouch Systems, Inc.............................. 122,600 1,827,506
*Microwave Power Dynamics, Inc........................ 84,400 642,231
Mid America Banccorp.................................. 86,143 2,471,227
*Mid Atlantic Medical Services, Inc................... 438,300 3,506,400
*Middleby Corp........................................ 170,000 897,813
Middlesex Water Co.................................... 7,500 262,734
Midland Co............................................ 16,800 388,500
<CAPTION>
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*Midway Airlines Corp................................. 98,700 $ 737,166
*Midwest Grain Products, Inc.......................... 123,400 1,052,756
Mikasa, Inc........................................... 198,400 2,157,600
*Mikohn Gaming Corp................................... 124,400 637,550
Milacron, Inc......................................... 61,600 897,050
*Miller Building Systems, Inc......................... 40,900 230,063
*Miller Industries, Inc............................... 518,550 1,263,966
*Miltope Group, Inc................................... 53,600 39,363
Mine Safety Appliances Co............................. 37,600 2,368,800
Minntech Corp......................................... 4,900 47,163
Minuteman International, Inc.......................... 9,000 87,750
Mississippi Chemical Corp............................. 454,500 2,414,531
*Mitcham Industries, Inc.............................. 41,700 162,891
Mobile America Corp................................... 82,500 177,891
*Modtech Holdings, Inc................................ 3,400 24,969
*Monarch Casino and Resort, Inc....................... 5,200 30,063
*Monarch Dental Corp.................................. 138,400 276,800
*Monro Muffler Brake, Inc............................. 101,130 714,231
Monterey Bay Bancorp, Inc............................. 44,500 559,031
*Moog, Inc. Class A................................... 84,000 2,205,000
*Moog, Inc. Class B................................... 12,800 515,600
*Moore Handley, Inc................................... 2,000 3,063
*Moore Medical Corp................................... 42,100 334,169
Moore Products Co..................................... 40,400 1,359,713
*Morrison Knudsen Corp................................ 247,100 2,146,681
*Morrow Snowboards, Inc............................... 22,500 6,750
*Mother's Work, Inc................................... 67,000 724,438
*Motor Car Parts & Accessories, Inc................... 71,200 102,827
*Motor Club of America................................ 5,600 55,300
Movado Group, Inc..................................... 147,700 3,517,106
*Movie Gallery, Inc................................... 222,100 916,163
Mueller (Paul) Co..................................... 6,100 197,488
*Multi Color Corp..................................... 7,600 49,638
*Multigraphics, Inc................................... 8,000 9,000
*Multiple Zones International, Inc.................... 172,000 1,776,438
*Mystic Financial, Inc................................ 400 4,400
*N & F Worldwide Corp................................. 257,800 1,417,900
*NABI, Inc............................................ 567,100 2,605,116
NBT Bancorp........................................... 101,347 1,729,234
NCH Corp.............................................. 84,400 3,935,150
*NCI Building Systems, Inc............................ 71,300 1,185,363
*#NCS Healthcare, Inc................................. 260,900 697,092
*NMT Medical, Inc..................................... 121,400 254,181
*NPS Pharmaceuticals, Inc............................. 173,700 1,036,772
*NS Group, Inc........................................ 265,800 2,757,675
*Nabors Industries, Inc............................... 242,984 6,454,274
Nacco Industries, Inc. Class A........................ 74,200 3,594,063
*Napco Security Systems, Inc.......................... 52,300 189,588
Nash Finch Co......................................... 130,000 938,438
*Nashua Corp.......................................... 108,800 802,400
*Nastech Pharmaceutical Co., Inc...................... 95,600 186,719
*Nathans Famous, Inc.................................. 61,200 205,594
National City Bancorp................................. 109,314 2,145,287
*National Home Centers, Inc........................... 70,500 87,023
*National Home Health Care Corp....................... 58,211 245,578
National Presto Industries, Inc....................... 95,600 3,369,900
*National Processing, Inc............................. 56,400 486,450
*National Record Mart, Inc............................ 57,900 232,505
*National Research Corp............................... 78,000 346,125
*National Standard Co................................. 3,600 13,950
National Steel Corp. Class B.......................... 406,100 2,360,456
National Technical Systems, Inc....................... 96,300 367,144
*National Techteam, Inc............................... 283,500 1,125,141
</TABLE>
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*National Western Life Insurance Co. Class A.......... 24,300 $ 1,962,225
*Natural Alternatives International, Inc.............. 68,700 234,009
*Natural Microsystems Corp............................ 96,500 3,510,188
*Natural Wonders, Inc................................. 89,100 136,434
*Navigators Group, Inc................................ 2,100 25,200
Nelson (Thomas), Inc.................................. 171,300 1,520,288
*Netmanage, Inc....................................... 706,413 3,521,027
*NetOptix Corp........................................ 69,800 2,499,713
*Netrix Corp.......................................... 111,500 1,006,984
*Network Computing Devices, Inc....................... 177,600 1,148,850
*Network Equipment Technologies, Inc.................. 368,000 4,531,000
*Network Peripherals, Inc............................. 52,800 1,819,950
*Neurocrine Biosciences, Inc.......................... 108,900 1,425,909
*New American Healthcare Corp......................... 23,600 11,800
*New Brunswick Scientific Co., Inc.................... 65,115 358,133
*New Century Financial Corp........................... 5,600 87,850
*New Horizons Worldwide, Inc.......................... 68,875 947,031
*New Mexico & Arizona Land Co......................... 83,468 427,774
*Newcor, Inc.......................................... 59,942 153,601
*Newmark Homes Corp................................... 2,000 14,750
Newmil Bancorp, Inc................................... 41,900 534,225
*Newpark Resources, Inc............................... 218,000 1,308,000
Newport Corp.......................................... 74,700 1,904,850
*Nexthealth, Inc...................................... 81,300 114,328
*Niagara Bancorp, Inc................................. 8,300 86,891
*Niagara Corp......................................... 123,500 575,047
*Nitches, Inc......................................... 3,679 12,417
*Nobel Learning Communities, Inc...................... 71,500 576,469
*Noel Group, Inc...................................... 95,400 63,584
Noland Co............................................. 2,000 36,375
*Noodle Kidoodle, Inc................................. 88,900 625,078
*Norstan, Inc......................................... 123,600 888,375
*Nortek, Inc.......................................... 48,900 1,259,175
North Central Bancshares, Inc......................... 40,100 666,663
*North Face, Inc...................................... 155,700 822,291
Northeast Bancorp..................................... 22,500 180,000
Northland Cranberries, Inc. Class A................... 94,200 556,369
Northrim Bank......................................... 530 5,242
*Northwest Pipe Co.................................... 98,200 1,227,500
*Novametrix Medical Systems, Inc...................... 20,200 80,800
*Nu Horizons Electronics Corp......................... 116,305 1,054,014
*NuCo2, Inc........................................... 5,200 49,725
*Nuevo Energy Co...................................... 241,500 3,728,156
*Numerex Corp. Class A................................ 83,200 553,800
*Nutraceutical International Corp..................... 500 2,242
Nymagic, Inc.......................................... 132,700 1,907,563
*O'Charleys, Inc...................................... 5,000 66,250
*O'Sullivan Industries Holdings, Inc.................. 219,000 3,750,375
*O.I. Corp............................................ 48,200 204,850
*ODS Networks, Inc.................................... 124,500 1,019,344
OEA, Inc.............................................. 74,300 404,006
*OMI Corp............................................. 40,900 69,019
*OMNI Energy Services Corp............................ 47,800 76,181
*OSI Pharmaceutical, Inc.............................. 91,500 470,367
*OSI Systems, Inc..................................... 71,800 316,369
*OTR Express, Inc..................................... 15,000 30,000
*Oak Technology, Inc.................................. 724,800 4,665,900
Oakwood Homes Corp.................................... 1,072,000 3,216,000
*Objective Systems Integrators, Inc................... 364,800 1,453,500
*Oceaneering International, Inc....................... 149,000 1,937,000
OceanFirst Financial Corp............................. 158,700 2,940,909
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Ocwen Financial Corp................................. 142,400 $ 925,600
*Offshore Logistics, Inc.............................. 351,900 3,475,013
*Ogden Corp........................................... 195,796 2,545,348
Oglebay Norton Co..................................... 32,200 711,419
Ohio Art Co........................................... 3,800 77,425
Oil-Dri Corp. of America.............................. 50,800 752,475
*Old Dominion Freight Lines, Inc...................... 133,400 1,692,513
Olsten Corp........................................... 302,300 3,060,788
*Olympic Steel, Inc................................... 186,000 935,813
*Omega Protein Corp................................... 448,000 1,176,000
*Omega Worldwide, Inc................................. 7,100 26,847
*Omtool, Ltd.......................................... 257,000 762,969
*On Command Corp...................................... 69,800 1,042,638
*One Price Clothing Stores, Inc....................... 140,200 372,406
*Ontrack Data International, Inc...................... 23,400 250,819
*Onyx Acceptance Corp................................. 97,500 719,063
*Onyx Pharmacueticals, Inc............................ 51,100 437,544
*Opinion Research Corp................................ 43,900 301,813
*Opta Food Ingredients, Inc........................... 176,700 546,666
*Opti, Inc............................................ 163,800 573,300
Optical Coating Laboratory, Inc....................... 53,200 10,465,438
*Optika Imaging Systems, Inc.......................... 111,500 585,375
*Option Care, Inc..................................... 2,800 9,363
*Orbital Sciences Corp................................ 41,300 573,038
Oregon Steel Mills, Inc............................... 471,261 3,828,996
Oregon Trail Financial Corp........................... 16,500 184,078
*#Oriole Homes Corp. Class A Convertible.............. 20,500 48,688
*Oriole Homes Corp. Class B........................... 29,400 36,750
*Orleans Homebuilders, Inc............................ 20,100 29,522
*Oroamerica, Inc...................................... 102,400 713,600
*Ortel Corp........................................... 41,000 2,608,625
*Orthologic Corp...................................... 359,700 888,009
Oshkosh Truck Corp. Class B........................... 129,600 3,580,200
*Oshman's Sporting Goods, Inc......................... 65,700 110,869
*Osmonics, Inc........................................ 157,600 1,418,400
*Ostex International, Inc............................. 105,600 247,500
*Outlook Group Corp................................... 45,500 207,594
*Outsource International, Inc......................... 78,400 72,275
*Overland Data........................................ 500 3,359
Overseas Shipholding Group, Inc....................... 671,400 9,819,225
Owosso Corp........................................... 98,000 361,375
Oxford Industries, Inc................................ 109,400 2,331,588
*P-Com, Inc........................................... 35,900 203,059
*PAM Transportation Services, Inc..................... 45,400 469,606
*PBOC Holdings, Inc................................... 41,100 341,644
*PC Service Source, Inc............................... 85,800 219,863
*PCD, Inc............................................. 1,100 9,006
*PLM International, Inc............................... 94,800 539,175
*PMR Corp............................................. 75,700 167,959
*PPT Vision, Inc...................................... 89,000 269,781
*PS Group Holdings, Inc............................... 31,500 330,750
PXRE Group, Ltd....................................... 216,583 2,680,215
*Pameco Corp.......................................... 62,200 268,238
Pamrapo Bancorp, Inc.................................. 32,300 718,675
*Pancho's Mexican Buffet, Inc......................... 14,600 40,834
*Panera Bread CO...................................... 205,800 1,633,538
*Par Technology Corp.................................. 145,500 736,594
Park Electrochemical Corp............................. 100,300 3,297,363
*Parker Drilling Co................................... 970,700 3,822,131
*Park-Ohio Holdings Corp.............................. 137,100 1,619,494
Parkvale Financial Corp............................... 49,925 898,650
*Parlex Corp.......................................... 68,000 1,283,500
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Parlux Fragrances, Inc............................... 196,200 $ 723,488
Patina Oil & Gas Corp................................. 247,626 1,764,335
Patrick Industries, Inc............................... 78,600 948,113
Patriot Bank Corp..................................... 4,700 38,334
*Patterson Energy, Inc................................ 134,700 1,704,797
*Paul Harris Stores, Inc.............................. 141,100 456,370
Paula Financial, Inc.................................. 64,200 395,231
*Paul-Son Gaming Corp................................. 22,700 147,550
*Paxar Corp........................................... 77,000 654,500
*Paxson Communications Corp........................... 528,300 6,042,431
*Payless Cashways, Inc................................ 4,156 6,754
*Pediatric Services of America, Inc................... 83,900 87,833
*#Pediatrix Medical Group, Inc........................ 59,700 462,675
Peerless Manufacturing Co............................. 16,000 183,000
Penford Corp.......................................... 81,000 1,215,000
*Penn National Gaming, Inc............................ 2,500 19,258
*#Penn Traffic Company................................ 1,160 8,845
*Penn Treaty American Corp............................ 96,000 1,524,000
Penn Virginia Corp.................................... 152,000 2,726,500
Penn-America Group, Inc............................... 134,000 1,072,000
Pennfed Financial Services, Inc....................... 112,400 1,766,788
*Pentacon, Inc........................................ 81,200 228,375
*Penwest Pharmaceuticals Company...................... 75,750 1,020,258
Peoples Bancshares, Inc. Massachusetts................ 32,400 638,888
Pep Boys - Manny, Moe & Jack.......................... 258,600 2,505,188
*Perceptron, Inc...................................... 130,500 572,977
*Perfumania, Inc...................................... 27,000 97,031
*Perini Corp.......................................... 71,100 279,956
*Perrigo Co........................................... 581,700 4,889,916
*Perry Ellis International, Inc....................... 77,850 885,544
*Per-Se Technologies, Inc............................. 372,566 2,800,071
*Personnel Group of America, Inc...................... 293,000 2,289,063
*Petco Animal Supplies, Inc........................... 168,300 2,335,163
*Petrocorp, Inc....................................... 95,200 589,050
*Petroglyph Energy, Inc............................... 9,000 21,375
*Petroleum Development Corp........................... 181,500 774,211
*PetSmart, Inc........................................ 86,300 374,866
*Pharmchem Laboratories, Inc.......................... 64,900 206,869
*Phar-Mor, Inc........................................ 212,400 547,594
*Philadelphia Consolidated Holding Corp............... 6,400 94,000
*Phillips (R.H.), Inc................................. 15,700 43,911
Phillips-Van Heusen Corp.............................. 461,700 3,924,450
*Phoenix International Life Sciences, Inc............. 7,478 41,830
*Phoenix International, Ltd........................... 54,350 220,797
Phoenix Investment Partners, Ltd...................... 543,400 4,245,313
*Phoenix Technologies, Ltd............................ 88,900 1,272,381
*Photo Control Corp................................... 4,200 9,975
*Phycor, Inc.......................................... 347,000 509,656
Piccadilly Cafeterias, Inc............................ 148,300 750,769
*Pico Holdings, Inc................................... 77,720 1,182,801
*Picturetel Corp...................................... 739,000 3,660,359
Pier 1 Imports, Inc. DE............................... 151,000 1,047,563
*Piercing Pagoda, Inc................................. 28,300 369,669
Pilgrim Pride Corp.................................... 345,000 2,673,750
Pilgrim's Pride Corp.................................. 165,600 972,900
#Pillowtex Corp....................................... 183,100 732,400
Pinnacle Bancshares, Inc.............................. 9,800 88,200
*Pinnacle Global Group, Inc........................... 27,900 149,963
*Pinnacle Systems, Inc................................ 74,600 2,457,138
Pioneer Standard Electronics, Inc..................... 417,900 5,615,531
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Pitt-Des Moines, Inc.................................. 112,000 $ 2,709,000
Pittston Co. Burlington Group......................... 468,900 4,454,550
*Planar Systems, Inc.................................. 150,600 978,900
*Plasma-Therm, Inc.................................... 36,800 304,750
*Play By Play Toys and Novelties, Inc................. 65,800 194,316
*Players International, Inc........................... 448,900 3,493,003
Pocahontas Bancorp, Inc............................... 25,000 159,375
*Point West Capital Corp.............................. 12,500 69,922
*Polymedica Industries, Inc........................... 96,540 1,707,551
*Polymer Group, Inc................................... 598,500 11,259,281
*Pomeroy Computer Resource, Inc....................... 18,300 229,322
Pope & Talbot, Inc.................................... 239,000 2,853,063
*Porta Systems Corp................................... 5,100 4,781
*Powell Industries, Inc............................... 49,000 375,156
*Powercerv Corp....................................... 191,000 495,406
*Powertel, Inc........................................ 148,400 12,716,025
*Praegitzer Industries, Inc........................... 35,800 196,341
Precision Castparts Corp.............................. 11,250 305,859
*Precision Response, Corp............................. 218,600 4,795,538
*Premiere Technologies, Inc........................... 13,300 101,413
*Premiumwear, Inc..................................... 33,100 173,775
Presidential Life Corp................................ 346,700 6,132,256
*Price Communications Corp............................ 555,887 13,931,918
*Pricesmart, Inc...................................... 36,850 1,434,847
*Pride International, Inc............................. 437,200 6,284,750
*Primark Corp......................................... 355,300 9,437,656
*Prime Hospitality Corp............................... 457,700 3,976,269
*Prime Medical Services, Inc.......................... 164,900 1,561,397
Primesource Corp...................................... 67,254 407,727
*Printronix, Inc...................................... 87,100 1,507,919
*Procurenet, Inc...................................... 22,400 0
Professional Bancorp, Inc............................. 1,000 9,500
*Professionals Group, Inc............................. 1,210 30,704
*Programmers Paradise, Inc............................ 75,200 502,900
Progress Financial Corp............................... 30,098 393,155
*ProMedCo Management Company.......................... 291,900 606,605
*Protection One, Inc.................................. 1,136,900 1,989,575
*Protocol Systems, Inc................................ 123,200 974,050
*Provant, Inc......................................... 11,000 241,313
Providence & Worcester Railroad Co.................... 19,300 183,350
*Provident Financial Holdings, Inc.................... 46,700 866,869
*Proxim, Inc.......................................... 55,200 3,098,100
Pulaski Financial Corp................................ 12,100 131,966
Pulaski Furniture Corp................................ 33,200 549,875
*Pure World, Inc...................................... 83,100 236,316
*Pyramid Breweries, Inc............................... 86,300 128,102
*QEP Co., Inc......................................... 19,200 148,800
*QMS, Inc............................................. 40,905 122,715
*Qad, Inc............................................. 32,000 153,000
*Quad Systems Corp.................................... 68,000 93,500
Quaker Chemical Corp.................................. 71,600 1,118,750
*Quaker City Bancorp, Inc............................. 63,562 1,072,609
*Quaker Fabric Corp................................... 202,300 679,602
*Quality Dining, Inc.................................. 201,200 471,563
Quality Systems, Inc.................................. 80,500 543,375
Quanex Corp........................................... 205,000 4,343,438
*Quantum Corp.- DLT................................... 22,233 350,170
*Quantum Corp-Hard Disk Drive......................... 31,616 217,360
*Quest Diagnostics, Inc............................... 432,200 13,155,088
*Quidel Corp.......................................... 36,000 211,500
*Quigley Corp......................................... 22,100 46,617
*Quintel Entertainment, Inc........................... 34,000 206,125
Quipp, Inc............................................ 1,300 19,825
</TABLE>
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<TABLE>
<CAPTION>
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Quixote Corp.......................................... 56,600 $ 905,600
*R & B, Inc........................................... 92,900 574,819
*RCM Technologies, Inc................................ 236,900 3,042,684
*RDO Equipment Co. Class A............................ 74,200 486,938
*RF Monolithics, Inc.................................. 8,800 51,288
RLI Corp.............................................. 128,412 4,366,008
*RMH Teleservices, Inc................................ 84,100 592,642
RPC, Inc.............................................. 145,400 999,625
*RTI International Metals, Inc........................ 212,750 1,409,469
*RTW, Inc............................................. 136,700 713,403
*Racing Champions Corp................................ 8,400 41,738
*Radiance Medical Systems, Inc........................ 132,400 719,925
*RadiSys Corp......................................... 41,611 1,863,415
*Rag Shops, Inc....................................... 55,755 116,737
*Ragen Mackenzie Group, Inc........................... 35,100 712,969
*Railamerica, Inc..................................... 98,500 797,234
*Railtex, Inc......................................... 168,400 2,841,750
*RailWorks Corp....................................... 200 2,025
*Rainbow Technologies, Inc............................ 51,550 874,739
*Rainforest Cafe, Inc................................. 278,500 1,305,469
*Ramsay Youth Services, Inc........................... 51,266 70,491
Range Resources Corp.................................. 550,400 1,823,200
*Rare Hospitality International, Inc.................. 133,500 2,807,672
Raven Industries, Inc................................. 13,600 197,625
*Raytech Corp. DE..................................... 27,100 103,319
*Raytel Med Corp...................................... 146,800 435,813
*Reading Entertainment, Inc........................... 75,736 444,949
*Read-Rite Corp....................................... 625,100 3,428,283
*Recoton Corp......................................... 200,400 1,634,513
*Redhook Ale Brewery, Inc............................. 106,500 257,930
Redwood Empire Bancorp................................ 28,200 664,463
*Reebok International, Ltd............................ 641,600 5,774,400
*Refac................................................ 48,685 225,168
*Regeneron Pharmaceuticals, Inc....................... 403,200 3,099,600
*Reliability, Inc..................................... 84,500 248,219
Reliance Bancorp, Inc................................. 28,100 1,105,559
Reliance Group Holdings, Inc.......................... 622,800 2,491,200
*Relm Wireless Corp................................... 59,254 244,423
*Remington Oil & Gas Corp............................. 19,600 98,613
*Renaissance Worldwide, Inc........................... 610,000 2,935,625
*Renex Corp........................................... 141,800 864,094
*Rentrak Corp......................................... 63,000 340,594
*Rent-Way, Inc........................................ 64,000 976,000
*#Repligen Corp....................................... 30,200 134,956
*#Reptron Electronics, Inc............................ 91,500 629,063
Republic Bancorp, Inc................................. 17,960 246,950
*Republic Bankshares, Inc............................. 44,900 632,809
*Republic First Bancorp, Inc.......................... 37,930 244,174
Republic Security Financial Corp...................... 113,608 914,189
*Research Partners International, Inc................. 86,400 419,850
*ResortQuest International, Inc....................... 219,500 1,358,156
Resource America, Inc................................. 137,600 1,156,700
Resource Bancshares Mortgage Group, Inc............... 295,335 1,495,133
*Respironics, Inc..................................... 26,500 211,172
*Rex Stores Corp...................................... 91,100 3,399,169
*Rexhall Industries, Inc.............................. 14,099 119,842
Richardson Electronics, Ltd........................... 97,900 651,647
*Riddell Sports, Inc.................................. 114,700 344,100
Riggs National Corp................................... 365,300 5,194,109
*Right Management Consultants, Inc.................... 87,600 960,863
*Rightchoice Managed Care, Inc. Class A............... 47,700 536,625
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Risk Capital Holdings, Inc........................... 6,900 $ 89,484
*Riverside Group, Inc................................. 3,200 3,650
Riverview Bancorp, Inc................................ 61,800 689,456
*Roadhouse Grill, Inc................................. 109,000 432,594
Roadway Express, Inc.................................. 21,600 429,975
Roanoke Electric Steel Corp........................... 148,900 2,424,278
Robbins & Myers, Inc.................................. 3,700 74,000
*Roberds, Inc......................................... 79,700 82,191
*Roberts Pharmaceutical Corp.......................... 125,700 4,061,681
*Robinson Nugent, Inc................................. 53,900 515,419
*#Robotic Vision Systems, Inc......................... 173,800 1,037,369
*Rochester Medical Corp............................... 29,000 215,688
*Rock of Ages Co...................................... 87,700 523,459
Rock-Tenn Co. Class A................................. 330,100 5,116,550
*Rocky Shoes & Boots, Inc............................. 65,400 492,544
*Rofin-Sinar Technologies, Inc........................ 33,800 238,713
*Rogue Wave Software, Inc............................. 99,900 789,834
Rollins Truck Leasing Corp............................ 863,100 10,141,425
*Romac International, Inc............................. 990,600 11,113,294
*Rottlund, Inc........................................ 37,800 101,588
Rouge Industries, Inc. Class A........................ 229,900 1,738,619
*Royal Precision, Inc................................. 14,150 38,028
*Rural/Metro Corp..................................... 81,100 468,859
*Rush Enterprises, Inc................................ 49,100 751,844
Russ Berrie & Co., Inc................................ 194,600 4,962,300
Russell Corp.......................................... 43,200 564,300
*Ryans Family Steak Houses, Inc....................... 555,400 5,467,219
Ryerson Tull, Inc..................................... 85,892 1,755,418
Ryland Group, Inc..................................... 238,464 5,425,056
*S&K Famous Brands, Inc............................... 104,700 788,522
*S3, Inc.............................................. 544,724 4,596,109
*SBE, Inc............................................. 7,600 48,688
*SBS Technologies, Inc................................ 40,000 1,341,250
#SCPIE Holdings, Inc.................................. 73,700 2,565,681
*SED International Holdings, Inc...................... 115,300 236,005
*SEEC, Inc............................................ 28,000 114,625
*SEMX Corp............................................ 104,700 667,463
*SGV Bancorp, Inc..................................... 9,300 212,738
*SMC Corp............................................. 66,700 270,969
*SOS Staffing Services, Inc........................... 48,800 231,800
*SPAR Group, Inc...................................... 11,500 46,000
*SPR, Inc............................................. 39,400 182,225
*SPS Technologies, Inc................................ 7,200 235,800
*SS&C Technologies, Inc............................... 1,100 5,947
*SSE Telecom, Inc..................................... 68,700 425,081
*STAR Telecommunications, Inc......................... 26,200 207,144
*STM Wireless, Inc. Class A........................... 97,800 479,831
*Safety 1st, Inc...................................... 55,400 392,994
*Safety Components International, Inc................. 40,200 110,550
*Salient 3 Communications, Inc. Class A............... 72,900 555,863
*Sames Corp........................................... 30,918 463,770
*San Filippo (John B.) & Son, Inc..................... 75,200 270,250
Sanderson Farms, Inc.................................. 192,700 1,794,519
*Sandisk Corp......................................... 78,100 5,157,041
*Sands Regent Casino Hotel............................ 15,492 26,143
*Santa Fe Snyder Corp................................. 20,500 164,000
*Saucony, Inc. Class A................................ 19,800 247,500
*Saucony, Inc. Class B................................ 30,000 381,563
*Savoir Technology Group, Inc......................... 148,500 793,547
*Scan-Optics, Inc..................................... 100,700 133,742
*Scheid Vineyards, Inc................................ 15,500 62,969
*Schein (Henry), Inc.................................. 27,300 350,634
</TABLE>
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<TABLE>
<CAPTION>
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*Schieb (Earl), Inc................................... 70,500 $ 264,375
*Schlotzskys, Inc..................................... 167,700 1,158,178
Schnitzer Steel Industries, Inc. Class A.............. 68,700 1,281,684
*Schuff Steel Company................................. 102,000 395,250
*Schuler Homes, Inc................................... 332,000 2,147,625
Schulman (A.), Inc.................................... 117,200 1,856,888
Schultz Sav-O Stores, Inc............................. 15,300 200,813
Schweitzer-Maudoit International, Inc................. 160,400 2,125,300
*Scios-Nova, Inc...................................... 145,300 558,497
Scope Industries, Inc................................. 7,700 425,425
Seaboard Corp......................................... 100 23,400
Seacoast Financial Services Corp...................... 123,869 1,312,237
*Seacor Smit, Inc..................................... 139,500 7,236,563
*Seattle Filmworks, Inc............................... 215,800 697,978
*Secom General Corp................................... 11,500 35,938
*Segue Software, Inc.................................. 101,700 2,590,172
*Seibels Bruce Group, Inc............................. 89,700 192,014
*Seitel, Inc.......................................... 242,100 1,634,175
Selas Corp. of America................................ 67,000 414,563
Selective Insurance Group, Inc........................ 343,900 6,028,997
*Semitool, Inc........................................ 72,500 826,953
*Seneca Foods Corp. Class B........................... 10,500 124,688
*Sensormatic Electronics Corp......................... 755,400 12,039,188
*Sequa Corp. Class A.................................. 74,000 4,116,250
*Sequa Corp. Class B.................................. 31,400 1,978,200
*SeraCare, Inc........................................ 1,500 4,781
*Service Experts, Inc................................. 304,000 1,900,000
*Sharper Image Corp................................... 48,400 980,100
*Shaw Group, Inc...................................... 148,100 3,091,588
*Sheldahl, Inc........................................ 128,300 525,228
*Shells Seafood Restaurants, Inc...................... 42,100 122,353
*Shiloh Industries, Inc............................... 156,300 1,357,856
*Shoe Carnival, Inc................................... 144,300 1,470,056
*Shoe Pavilion, Inc................................... 800 1,775
*Sholodge, Inc........................................ 75,000 428,906
*Shoney's, Inc........................................ 594,304 817,168
*Shopko Stores, Inc................................... 31,500 714,656
*Showpower, Inc....................................... 6,900 37,088
*Sierra Health Services, Inc.......................... 133,500 1,251,563
Sifco Industries, Inc................................. 61,415 422,228
*Sight Resource Corp.................................. 96,800 208,725
*Sigmatron International, Inc......................... 16,300 136,513
*Signal Technology Corp............................... 86,900 391,050
*Signature Eyewear, Inc............................... 17,000 53,656
*Silicon Storage Technology, Inc...................... 61,100 1,613,422
*Silicon Valley Group, Inc............................ 448,700 6,436,041
*Silverleaf Resorts, Inc.............................. 223,000 1,630,688
*Simione Central Holdings, Inc........................ 135,500 165,141
Simmons First National Corp. Class A.................. 42,200 1,149,950
*Simon Transportation Services, Inc................... 83,000 472,063
Simpson Industries, Inc............................... 287,400 3,026,681
*#Simula, Inc......................................... 73,300 416,894
*Sinclair Broadcast Group, Inc. Class A............... 28,200 326,944
*Sitel Corp........................................... 995,000 5,907,813
*Sizzler International, Inc........................... 238,300 595,750
Sky Financial Group, Inc.............................. 12,255 284,546
Skyline Corp.......................................... 106,200 2,635,088
Skywest, Inc.......................................... 138,200 3,394,538
Smart & Final Food, Inc............................... 156,000 1,072,500
Smith (A.O.) Corp..................................... 220,850 4,858,700
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Smith (A.O.) Corp. Convertible Class A................ 69,750 $ 1,499,625
*Smithway Motor Express Corp. Class A................. 66,800 294,338
*Softech, Inc......................................... 58,000 72,500
*#Software Spectrum, Inc.............................. 54,300 593,906
*Sola International, Inc.............................. 448,600 6,392,550
*Sonic Automotive, Inc................................ 71,000 639,000
*Sound Advice, Inc.................................... 25,100 246,294
South Jersey Industries, Inc.......................... 185,777 5,445,588
*Southern Energy Homes, Inc........................... 168,100 383,478
*#Southern Pacific Funding Corp....................... 120,000 2,700
*Southwall Technologies, Inc.......................... 86,600 377,522
Southwestern Energy Co................................ 418,900 3,115,569
Sovereign Bancorp, Inc................................ 295,840 2,620,958
*Spacehab, Inc........................................ 55,100 273,778
*Spacelabs Medical, Inc............................... 164,400 2,291,325
Span-American Medical System, Inc..................... 25,300 85,783
Spartan Motors, Inc................................... 267,700 1,120,994
*Sparton Corp......................................... 100,600 477,850
*Special Metals Corp.................................. 10,000 34,063
*Spectrian Corp....................................... 78,500 2,131,766
*Spectrum Control, Inc................................ 122,000 1,315,313
*SpeedFam-IPEC, Inc................................... 266,047 3,142,680
*Speizman Industries, Inc............................. 37,400 191,675
*Spiegel, Inc. Class A Non-Voting..................... 8,300 66,141
*Splash Technology Holdings, Inc...................... 21,100 150,008
*Sport Chalet, Inc.................................... 42,300 243,886
*Sport Supply Group, Inc.............................. 85,900 547,613
*Sport-Haley, Inc..................................... 56,900 224,044
*Sports Authority, Inc................................ 553,400 1,175,975
*Sports Club Co., Inc................................. 69,900 292,706
*Sportsman's Guide, Inc............................... 79,500 255,891
Springs Industries, Inc. Class A...................... 5,100 204,000
St. Francis Capital Corp.............................. 92,600 1,854,894
St. Mary Land & Exploration Co........................ 53,500 1,131,859
*Stac Software, Inc................................... 22,300 137,284
*Staffmark, Inc....................................... 184,700 1,468,942
*Stage II Apparel Corp................................ 31,600 39,500
*Stage Stores, Inc.................................... 32,200 102,638
Standard Commercial Corp.............................. 173,980 674,173
*Standard Management Corp............................. 96,900 584,428
*Standard Microsystems Corp........................... 213,300 2,606,259
Standard Motor Products, Inc. Class A................. 146,150 2,676,372
Standard Pacific Corp. DE............................. 616,472 6,781,192
*Standard Register Co................................. 4,900 103,206
*Stanford Telecommunications, Inc..................... 2,400 81,825
*Stanley Furniture, Inc............................... 118,400 2,412,400
*Star Buffet, Inc..................................... 7,200 30,150
*Star Multi Care Services, Inc........................ 57,100 41,933
*Starcraft Corp....................................... 27,300 191,953
Starrett (L.S.) Co. Class A........................... 58,400 1,390,650
*Starter Corp......................................... 237,200 21,348
State Auto Financial Corp............................. 30,600 295,481
State Financial Services Corp. Class A................ 41,900 662,544
*Station Casinos, Inc................................. 309,700 7,432,800
Steel Technologies, Inc............................... 192,200 2,156,244
*Steinway Musical Instruments, Inc.................... 9,900 198,000
Stepan Co............................................. 111,600 2,643,525
Stephan Co............................................ 50,600 202,400
Sterling Bancorp...................................... 63,500 1,190,625
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Sterling Financial Corp. WA.......................... 92,180 $ 1,169,534
Stewart & Stevenson Services, Inc..................... 301,900 3,603,931
Stewart Enterprises, Inc.............................. 600,600 3,068,691
Stewart Information Services Corp..................... 147,600 1,992,600
Stifel Financial Corp................................. 83,472 866,022
Stone & Webster, Inc.................................. 179,900 2,945,863
*Storage Computer Corp................................ 16,500 20,625
*Stormedia, Inc. Class A.............................. 136,200 136
*#Stratasys, Inc...................................... 32,700 194,156
*Strategic Diagnostics, Inc........................... 11,000 85,938
*Strategic Distribution, Inc.......................... 619,100 986,691
*Stratus Properties, Inc.............................. 156,700 641,491
*Strawbridge and Clothier Liquidating Trust........... 71,881 11,681
Stride Rite Corp...................................... 246,800 1,573,350
*Strouds, Inc......................................... 136,000 299,625
*Suburban Lodges of America, Inc...................... 207,600 1,200,188
*Success Bancshares, Inc.............................. 13,800 162,150
*Successories, Inc.................................... 130,500 350,719
*Summa Industries, Inc................................ 500 6,156
*Summit Design, Inc................................... 329,400 1,008,788
*#Sunbeam Corp........................................ 56,000 276,500
*Sunburst Hospi....................................... 13,250 68,734
*Sundance Homes, Inc.................................. 40,500 9,113
*Sunrise Assisted Living, Inc......................... 22,300 293,384
*Sunrise Medical, Inc................................. 334,000 2,004,000
*Sunrise Resources, Inc............................... 88,900 454,223
*Sunterra Corp........................................ 237,900 2,557,425
*Superior Energy Services, Inc........................ 6,700 43,759
*Superior National Insurance Group, Inc............... 16,400 49,713
Superior Surgical Manufacturing Co., Inc.............. 105,900 1,032,525
*Suprema Specialties, Inc............................. 50,500 443,453
Susquehanna Bancshares, Inc........................... 184,072 3,180,994
*Swift Energy Corp.................................... 174,500 1,941,313
*Swiss Army Brands, Inc............................... 89,900 736,056
*Sybase, Inc.......................................... 105,000 1,696,406
*Sybron Chemicals, Inc................................ 1,600 21,800
*Sylvan Learning Systems, Inc......................... 2,200 29,150
*Sylvan, Inc.......................................... 104,000 968,500
*Symix Systems, Inc................................... 3,600 45,338
*Symmetricom, Inc..................................... 244,200 1,816,238
*Symons International Group, Inc...................... 37,500 50,977
*Symphonix Devices, Inc............................... 29,000 90,172
*Syms Corp............................................ 195,000 1,182,188
Synalloy Corp. DE..................................... 79,400 570,688
*Synaptic Pharmaceutical Corp......................... 70,100 319,831
*Synbiotics Corp...................................... 97,400 220,672
*#Sync Research, Inc.................................. 46,680 142,958
*Syncor International Corp. DE........................ 100,300 2,808,400
*Syntellect, Inc...................................... 218,100 483,909
*Synthetic Industries, Inc............................ 136,000 4,432,750
*Syntroleum Corp...................................... 44,600 439,728
*Sypris Solutions, Inc................................ 26,250 261,680
*Systemax, Inc........................................ 10,100 97,844
*T&W Financial Corp................................... 55,300 175,405
*TBA Entertainment Corp............................... 138,000 577,875
*TBC Corp............................................. 386,900 2,285,128
TCBY Enterprises, Inc................................. 278,066 1,112,264
*TCC Industries, Inc.................................. 24,800 1,364
*TCI International, Inc............................... 27,600 117,300
*TCSI Corp............................................ 383,100 718,313
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*TEAM America Corp.................................... 2,500 $ 15,938
TF Financial Corp..................................... 32,100 442,378
*TFC Enterprises, Inc................................. 1,000 4,281
*TII Industries, Inc.................................. 92,200 116,691
TJ International, Inc................................. 112,300 4,677,997
*TRC Companies, Inc................................... 91,450 720,169
*TRM Copy Centers Corp................................ 81,500 463,531
*TST/Impreso, Inc..................................... 6,500 22,344
Tab Products Co. DE................................... 62,100 473,513
*Taco Cabana, Inc..................................... 181,400 1,570,244
Talbots, Inc.......................................... 39,300 1,906,050
*Tandy Brand Accessories, Inc......................... 14,900 194,166
*Tandy Crafts, Inc.................................... 157,200 520,725
Tasty Baking Co....................................... 3,000 28,688
*Team, Inc............................................ 76,300 171,675
*Technical Communications Corp........................ 6,300 22,444
Technology Research Corp.............................. 61,000 65,766
*Tech-Sym Corp........................................ 77,000 1,453,375
*Tegal Corp........................................... 208,000 672,750
*Telescape International, Inc......................... 10,800 101,925
Telxon Corp........................................... 184,700 2,914,797
*Template Software, Inc............................... 7,600 72,200
*Temtex Industries, Inc............................... 35,700 59,686
Terra Industries, Inc................................. 1,478,300 3,048,994
*Tesoro Petroleum Corp................................ 649,700 7,796,400
*Tesseract Group, Inc................................. 117,200 219,750
*Tetra Technologies, Inc.............................. 257,400 1,994,850
Texas Industries, Inc................................. 95,662 3,467,748
*Texfi Industries, Inc................................ 4,800 408
*Thermedics, Inc...................................... 84,000 477,750
*Thermo Bioanalysis Corp.............................. 31,600 556,950
*Thermo Ecotek Corp................................... 38,000 280,250
*Thermo Sentron, Inc.................................. 135,500 2,007,094
*Thermo Terratech, Inc................................ 130,000 877,500
*ThermoQuest Corp..................................... 85,700 883,781
Thermoretec Corp...................................... 118,100 782,413
*Thermospectra Corp................................... 30,400 484,500
*Thermotrex Corp...................................... 26,300 213,688
*Thomas Group, Inc.................................... 40,400 328,250
Thomas Industries, Inc................................ 138,650 2,235,731
*Thomaston Mills, Inc................................. 34,800 44,588
Thor Industries, Inc.................................. 3,900 108,956
*#Thorn Apple Valley, Inc............................. 82,215 9,044
*Tier Technologies, Inc. Class B...................... 27,100 195,628
Timberland Bancorp, Inc............................... 10,000 117,813
*Tipperary Corp....................................... 129,200 177,650
*Titan Exploration, Inc............................... 23,800 84,788
Titan International, Inc.............................. 260,000 1,722,500
Titanium Metals Corp.................................. 490,700 2,668,181
*Today's Man, Inc..................................... 94,500 70,875
*Todd Shipyards Corp.................................. 128,600 1,125,250
Todd-AO Corp. Class A................................. 3,740 66,385
*Toddhunter International, Inc........................ 76,000 698,250
*Tokheim Corp......................................... 73,400 233,963
*Topps, Inc........................................... 36,400 415,188
Toro Co............................................... 84,300 2,734,481
*Total Entertainment Restaurant Corp.................. 16,500 28,102
*Total Renal Care Holdings, Inc....................... 165,000 1,175,625
*Tower Air, Inc....................................... 166,400 247,000
*Track 'n Trail, Inc.................................. 13,800 15,956
*Tractor Supply Co.................................... 61,900 1,052,300
*Trailer Bridge, Inc.................................. 84,000 152,250
*#Trans World Airlines, Inc........................... 638,300 2,074,475
</TABLE>
182
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THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Transact Technologies, Inc........................... 10,900 $ 80,388
*Transcoastal Marine Services, Inc.................... 139,200 450,225
*Transfinancial Holdings, Inc......................... 68,700 364,969
*Transmation, Inc..................................... 60,000 121,875
*Transmedia Network, Inc.............................. 26,700 66,750
#Transport Lux Corp................................... 2,546 20,050
*Transportation Components, Inc....................... 284,000 781,000
*Transportation Technologies Industries, Inc.......... 126,700 1,698,572
Transpro, Inc......................................... 56,900 376,963
Transtechnology Corp.................................. 81,300 711,375
*Transworld Healthcare, Inc........................... 199,800 437,063
*Travel Services International, Inc................... 49,000 491,531
Tremont Corp. DE...................................... 70,633 1,125,713
*Trend-Lines, Inc. Class A............................ 70,900 104,134
Trenwick Group, Inc................................... 178,857 3,633,033
*Trex Medical Corp.................................... 185,700 510,675
*Triad Hospitals, Inc................................. 13,500 166,641
*Trico Marine Services, Inc........................... 274,800 2,052,413
*Trident Microsystems, Inc............................ 169,200 1,771,313
*Tridex Corp.......................................... 71,900 128,072
Trigen Energy Corp.................................... 196,700 3,208,669
*Trimark Holdings, Inc................................ 30,300 93,741
*TriPath Imaging, Inc................................. 98,787 648,290
*Triple S Plastics, Inc............................... 33,100 384,788
*Tripos, Inc.......................................... 44,266 440,585
*Triumph Group........................................ 107,600 2,616,025
*Trump Hotels & Casino Resorts, Inc................... 390,900 1,514,738
*Tuboscope Vetco International, Inc................... 220,200 3,137,850
*Tultex Corp.......................................... 96,807 21,177
Twin Disc, Inc........................................ 35,200 490,600
*Twinlab Corp......................................... 32,500 316,875
*Tyler Technologies, Inc.............................. 190,600 786,225
U.S. Bancorp, Inc..................................... 125,800 1,580,363
*#U.S. Diagnostic, Inc................................ 280,000 240,625
*U.S. Home & Garden, Inc.............................. 11,600 27,369
*U.S. Office Products, Co............................. 402,000 1,482,375
*U.S. Vision, Inc..................................... 47,000 118,969
*URS Corp............................................. 53,702 1,047,189
*US Can Corp.......................................... 71,400 1,276,275
*US Liquids, Inc...................................... 6,000 47,625
*US Oncology, Inc..................................... 1,010,520 4,815,759
*US Xpress Enterprises, Inc. Class A.................. 141,590 1,022,103
*USA Floral Products, Inc............................. 193,000 548,844
*USA Truck, Inc....................................... 31,400 271,806
*USData Corp.......................................... 6,750 65,391
*UTI Energy Corp...................................... 149,000 3,017,250
*Ubics, Inc........................................... 52,000 134,875
*Ugly Duckling Corp................................... 175,500 1,305,281
*Ultimate Electronics, Inc............................ 133,200 3,117,713
*Ultrak, Inc.......................................... 172,000 806,250
*Ultralife Batteries, Inc............................. 142,600 864,513
*Ultratech Stepper, Inc............................... 238,600 4,511,031
*#Unapix Entertainment, Inc........................... 62,900 117,938
*Unicapital Corp...................................... 22,500 50,625
Unico American Corp................................... 60,300 414,563
*UniComp, Inc......................................... 8,100 30,375
*Unifab International, Inc............................ 8,800 53,075
*Unifi, Inc........................................... 15,500 205,375
Unifirst Corp......................................... 153,300 2,328,244
*Unimark Group, Inc................................... 126,600 162,206
*Uni-Marts, Inc....................................... 103,200 90,300
*Union Acceptance Corp. Class A....................... 55,600 408,313
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Union Community Bancorp.............................. 500 $ 5,469
*Uniroyal Technology Corp............................. 111,100 1,853,981
*Unit Corp............................................ 298,700 1,717,525
*United American Healthcare Corp...................... 80,200 85,213
*United Auto Group, Inc............................... 19,900 179,100
United Community Financial Corp....................... 5,500 59,125
*#United Companies Financial Corp..................... 79,900 6,991
United Fire Casualty Co............................... 18,750 405,469
United Industrial Corp................................ 205,800 1,787,888
United National Bancorp............................... 11,832 259,565
*United Natural Foods, Inc............................ 129,900 1,096,031
*United Retail Group, Inc............................. 160,300 1,480,270
*United Road Services, Inc............................ 53,800 101,716
*United States Energy Corp............................ 27,600 106,950
*United States Home Corp.............................. 152,800 3,934,600
United Wisconsin Services, Inc........................ 244,800 1,315,800
*Unitel Video, Inc.................................... 29,500 11,063
*Universal American Financial Corp.................... 56,200 238,850
*Universal Electronics, Inc........................... 41,400 1,565,438
Universal Forest Products, Inc........................ 400 6,188
*#Universal International, Inc........................ 34,600 89,744
*Universal Stainless & Alloy Products, Inc............ 34,300 129,161
*Uno Restaurant Corp.................................. 103,100 1,134,100
*Unova, Inc........................................... 58,000 761,250
*Urocor, Inc.......................................... 139,000 471,297
*Urogen Corp. (Restricted)............................ 14,500 5,510
*Urologix, Inc........................................ 187,500 955,078
*Uroquest Medical Corp................................ 40,900 72,853
*Utilx Corp........................................... 81,600 357,000
*V.I. Technologies, Inc............................... 19,300 116,403
*VTEL Corp............................................ 369,300 1,327,172
*#Vail Resorts, Inc................................... 8,675 149,102
*Valence Technology, Inc.............................. 74,700 680,470
*Vallen Corp.......................................... 146,300 3,625,497
*Valley National Gases, Inc........................... 7,000 23,625
Valmont Industries, Inc............................... 7,500 132,188
*Value City Department Stores, Inc.................... 416,600 6,952,013
*Valuevision International, Inc. Class A.............. 277,300 12,469,834
*Vans, Inc............................................ 147,700 1,772,400
*#Vari L Co., Inc..................................... 108,000 2,163,375
*Variflex, Inc........................................ 65,500 409,375
*Venator Group, Inc................................... 923,000 6,345,625
*Verilink Corp........................................ 237,900 784,327
*Veritas DGC, Inc..................................... 164,600 2,396,988
*Verity, Inc.......................................... 50,000 5,173,438
*Versar, Inc.......................................... 1,300 3,006
*Vertex Communications Corp........................... 82,000 1,742,500
Vesta Insurance Group, Inc............................ 222,700 876,881
*Vestcom Int'l, Inc................................... 104,200 364,700
*Veterinary Centers of America, Inc................... 355,400 3,987,144
*Viasoft, Inc......................................... 91,600 565,344
*Vicon Industries, Inc................................ 54,500 320,188
*Vicorp Restaurants, Inc.............................. 115,300 2,024,956
*Video Display Corp................................... 47,100 188,400
*Video Services Corp.................................. 27,000 81,000
*Videonics, Inc....................................... 58,000 58,906
*Viisage Technology, Inc.............................. 11,000 36,438
Vintage Petroleum, Inc................................ 400,200 4,277,138
Virco Manufacturing Corp.............................. 123,898 1,688,110
Virginia Gas Co....................................... 2,000 6,063
*Virtualfund.Com, Inc................................. 27,800 57,338
*Vision Twenty-One, Inc............................... 5,500 23,375
</TABLE>
183
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*VisionAmerica, Inc................................... 31,100 $ 91,356
Vital Signs, Inc...................................... 194,000 4,534,750
*#Vitech America, Inc................................. 1,400 10,653
*Vivid Technologies, Inc.............................. 40,800 241,613
*Volt Information Sciences, Inc....................... 164,600 3,672,638
Vulcan International Corp............................. 12,200 378,200
*Vysis, Inc........................................... 23,000 73,672
WFS Financial, Inc.................................... 247,800 5,521,294
*#WHX Corp............................................ 372,500 3,305,938
*WLR Foods, Inc....................................... 206,506 1,174,503
*WPI Group, Inc....................................... 117,600 319,725
Wabash National Corp.................................. 175,600 2,579,125
Wackenhut Corp. Class A............................... 41,500 588,781
Wackenhut Corp. Class B Non-Voting.................... 47,600 481,950
*Walker Interactive Systems, Inc...................... 199,300 1,164,659
*Wall Street Deli, Inc................................ 39,700 54,588
*Warrantech Corp...................................... 227,000 227,000
Warren Bancorp, Inc................................... 72,000 587,250
*Warwick Community Bancorp, Inc....................... 1,200 12,450
*Washington Homes, Inc................................ 104,000 552,500
Washington Savings Bank FSB Waldorf, MD............... 23,500 79,313
*Waterlink, Inc....................................... 225,000 703,125
Watkins-Johnson Co.................................... 113,000 4,385,813
Watsco, Inc. Class A.................................. 243,600 2,649,150
Watts Industries, Inc. Class A........................ 290,400 4,047,450
*Webb (Del) Corp...................................... 311,188 7,118,426
*Webco Industries, Inc................................ 90,500 294,125
*Weider Nutrition International, Inc.................. 18,300 61,763
*Weirton Steel Corp................................... 492,600 1,570,163
Wellco Enterprises, Inc............................... 4,800 37,800
Wellman, Inc.......................................... 543,200 8,657,250
*#Wells-Gardner Electronics Corp...................... 47,985 149,953
Werner Enterprises, Inc............................... 273,225 4,098,375
*West Marine, Inc..................................... 76,600 653,494
West Pharmaceutical Services, Inc..................... 161,800 5,652,888
*Westbank Corp........................................ 400 3,825
Westcorp, Inc......................................... 412,056 6,052,073
Westerfed Financial Corp.............................. 71,600 1,181,400
*Western Beef, Inc.................................... 57,400 500,456
Western Ohio Financial Corp........................... 21,700 387,209
*Western Water Co..................................... 34,000 45,688
*Weston (Roy F.), Inc. Class A........................ 89,300 198,134
*Westwood Homestead Financial Corp.................... 300 3,272
*Wet Seal, Inc. Class A............................... 19,300 262,359
Weyco Group, Inc...................................... 2,400 59,100
Whitney Holdings Corp................................. 59,600 2,262,938
*Wickes Lumber Co..................................... 96,600 490,547
*Williams Clayton Energy, Inc......................... 122,000 1,807,125
*Willis Lease Finance Corp............................ 44,200 290,063
*Wilshire Financial Sevices Group, Inc................ 2,092 2,484
*Wilshire Oil Co. of Texas............................ 108,514 420,492
*Windmere Corp........................................ 232,800 3,331,950
Winnebago Industries, Inc............................. 154,300 2,912,413
Wiser Oil Co.......................................... 116,275 327,023
*Wolf (Howard B.), Inc................................ 5,000 625
Wolohan Lumber Co..................................... 77,278 944,241
*Wolverine Tube, Inc.................................. 178,000 2,703,375
Wolverine World Wide, Inc............................. 63,000 689,063
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Woodhead Industries, Inc.............................. 143,500 $ 1,901,375
Woodward Governor Co.................................. 19,900 536,678
*Workgroup Technology Corp............................ 91,600 100,188
World Fuel Services Corp.............................. 58,600 468,800
*Worldtex, Inc........................................ 242,700 288,206
*Wyant Corp........................................... 800 1,675
*Xetel Corp........................................... 131,500 244,508
*Xicor, Inc........................................... 115,800 1,103,719
*Xtra Corp............................................ 116,200 4,648,000
Yankee Energy Systems, Inc............................ 114,900 4,904,794
Yardville National Bancorp............................ 47,970 575,640
*Yellow Corp.......................................... 312,600 5,275,125
York Financial Corp................................... 111,505 1,414,720
York Group, Inc....................................... 86,600 369,403
*York Research Corp................................... 3,800 14,013
Zap.com Corp.......................................... 2,558 5,756
*Zapata Corp.......................................... 127,900 695,456
*Zaring National Corp................................. 46,000 209,875
*Zemex Corp........................................... 109,658 890,971
Zenith National Insurance Corp........................ 210,500 4,367,875
#Ziegler Co., Inc..................................... 7,700 110,206
*Zing Technologies, Inc............................... 29,800 253,300
*Zoll Medical Corp.................................... 66,000 2,264,625
*#Zoltek Companies, Inc............................... 44,200 512,444
*Zygo Corp............................................ 62,800 1,212,825
*Zymetx, Inc.......................................... 15,000 31,641
--------------
TOTAL COMMON STOCKS
(Cost $2,645,520,029)................................ 2,668,998,692
--------------
RIGHTS/WARRANTS -- (0.0%)
*Arch Communications Group Inc. Warrants 09/01/03..... 463,512 246,241
*CSF Holdings, Inc. Litigation Rights 12/30/99........ 40,500 0
*Franklin Covey Co. Rights 11/30/99................... 297,200 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 55,300 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $318,433)...................................... 246,241
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (1.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $38,849,888) to be
repurchased at $38,276,634.
(Cost $38,271,000).................................. $ 38,271 38,271,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,684,109,462)++.............................. $2,707,515,933
==============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $2,684,241,438.
</TABLE>
See accompanying Notes to Financial Statements.
184
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (97.4%)
*#1-800 CONTACTS, Inc................................. 5,900 $ 156,350
*3-D Systems Corp..................................... 10,400 80,437
*3DO Co............................................... 27,700 266,180
*3Dfx Interactive, Inc................................ 19,643 174,332
*4Front Software International, Inc................... 9,500 203,062
*800-Jr Cigar, Inc.................................... 11,500 96,312
*#8X8, Inc............................................ 14,400 62,550
*#A Consulting Team, Inc.............................. 4,400 17,600
*A.C. Moore Arts & Crafts, Inc........................ 5,900 29,131
*AAON, Inc............................................ 5,600 70,000
AAR Corp.............................................. 32,400 534,600
ABC Bancorp........................................... 6,525 86,048
*ABC Rail Products Corp............................... 17,500 194,687
ABM Industries, Inc................................... 17,900 384,850
*ACSYS, Inc........................................... 7,300 13,687
*ACT Manufacturing, Inc............................... 11,150 340,423
*ACT Networks, Inc.................................... 9,400 76,375
*ACX Technologies, Inc................................ 27,600 255,300
*ADE Corp............................................. 11,800 211,294
*AEP Industries, Inc.................................. 6,500 191,750
*AG Services America, Inc............................. 4,700 69,031
*AHL Services, Inc.................................... 7,900 144,916
AK Steel Holding Corp................................. 41,314 684,263
*#AMBI, Inc........................................... 12,000 29,625
*AMC Entertainment, Inc............................... 17,500 177,187
*AMF Bowling, Inc..................................... 4,400 14,025
*AML Communications, Inc.............................. 5,600 24,675
*APAC Teleservices, Inc............................... 46,500 271,734
*ARI Network Services, Inc............................ 4,100 22,166
*ARIS Corp............................................ 8,600 70,412
*#ARV Assisted Living, Inc............................ 15,700 32,381
ASB Financial Corp.................................... 1,000 10,844
*#ASV, Inc............................................ 6,150 89,559
*ATG, Inc............................................. 8,000 38,500
*ATMI, Inc............................................ 14,800 450,012
*ATS Medical, Inc..................................... 15,700 149,641
*AVT Corporation...................................... 12,500 501,953
Aaron Rents, Inc. Class A............................. 1,500 24,187
Aaron Rents, Inc. Class B............................. 14,400 260,100
*Aavid Thermal Technologies, Inc...................... 8,400 193,987
*Abaxis, Inc.......................................... 12,300 57,656
*Abgenix, Inc......................................... 10,400 532,350
Abington Bancorp, Inc................................. 3,800 48,806
*Abiomed, Inc......................................... 7,000 215,250
*#Able Telcom Holding Corp............................ 10,600 107,987
Abrams Industries, Inc................................ 200 812
*Abraxas Petroleum Corp............................... 4,200 4,331
*Acacia Research Corp................................. 9,100 195,650
*Accelr8 Technology Corp.............................. 6,500 8,023
*Acceptance Insurance Companies, Inc.................. 13,100 83,512
*Access Worldwide Communications, Inc................. 3,800 5,937
*Acclaim Entertainment, Inc........................... 51,700 333,627
*Ace Cash Express, Inc................................ 8,800 144,650
*Ace Comm Corp........................................ 8,900 88,166
Aceto Corp............................................ 5,900 66,744
Ackerley Group, Inc................................... 19,400 317,675
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Acme Electric Corp................................... 4,600 $ 30,619
*#Acme Metals, Inc.................................... 11,000 3,190
*Acme United Corp..................................... 1,300 1,381
*Acorn Products, Inc.................................. 5,300 10,931
*Actel Corp........................................... 19,100 447,059
*#Action Performance Companies, Inc................... 14,600 246,831
*Active Apparel Group, Inc............................ 1,500 4,219
*Active Voice Corp.................................... 3,300 89,100
*Activision, Inc...................................... 22,100 332,191
*#Actrade International, Ltd.......................... 7,400 131,119
*Actuate Corp......................................... 9,900 597,403
*Acuson Corp.......................................... 28,000 323,750
*Adac Laboratories.................................... 20,066 237,657
*adam.com, Inc........................................ 4,400 73,425
Adams Resources & Energy, Inc......................... 3,100 27,125
*Adaptive Broadband Corp.............................. 15,000 598,125
*Adept Technology, Inc................................ 6,800 43,562
*Administaff, Inc..................................... 13,100 219,425
*Advance Lighting Technologies, Inc................... 18,100 100,116
*Advance Paradigm, Inc................................ 9,300 369,094
*#Advanced Aerodynamics & Structures, Inc............. 5,000 10,078
*Advanced Communications Group, Inc................... 19,900 157,956
*Advanced Communications Systems, Inc................. 6,600 100,444
*Advanced Digital Information Corp.................... 17,600 785,400
*Advanced Energy Industries, Inc...................... 20,300 683,222
*Advanced Fibre Communications........................ 5,300 147,075
*Advanced Magnetics, Inc.............................. 6,000 21,375
Advanced Marketing Services, Inc...................... 7,650 156,108
*Advanced Materials Group, Inc........................ 237 204
*Advanced Neuromodulation Systems, Inc................ 6,700 50,041
*Advanced Polymer Systems, Inc........................ 17,800 63,969
*Advanced Radio Telecom Corp.......................... 24,800 342,550
*Advanced Technical Products, Inc..................... 3,600 47,925
*#Advanced Tissue Sciences, Inc....................... 42,900 136,073
Advanta Corp. Class A................................. 9,300 162,169
Advanta Corp. Class B Non-Voting...................... 14,900 191,837
*Advantica Restaurant Group, Inc...................... 48,400 83,944
Advest Group, Inc..................................... 7,200 129,150
*Advo, Inc............................................ 20,400 419,475
*Aehr Test Systems.................................... 5,500 27,328
*Aerial Communications, Inc........................... 14,800 610,037
*Aeroflex, Inc........................................ 17,600 145,200
*Aerosonic Corp. DE................................... 3,200 36,400
*Aerovox, Inc......................................... 4,200 11,550
*Aetrium, Inc......................................... 8,500 45,422
*Affiliated Managers Group, Inc....................... 18,600 553,350
*Aftermarket Technology Corp.......................... 18,000 155,250
*Ag-Chem Equipment Co., Inc........................... 7,600 95,475
Agco Corp............................................. 59,500 754,906
*#Agribiotech, Inc.................................... 42,100 135,509
*Agribrands International, Inc........................ 5,200 244,725
*Agritope, Inc........................................ 2,040 2,136
*#Aht Corp............................................ 9,000 40,219
Air Express International Corp........................ 23,875 769,969
*Air Methods Corp..................................... 8,300 29,828
</TABLE>
185
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Airgas, Inc.......................................... 8,300 $ 80,925
*Airnet Systems, Inc.................................. 11,300 60,737
*Airtran Holdings, Inc................................ 62,700 287,048
*Akorn, Inc........................................... 16,000 73,500
*Aksys, Ltd........................................... 11,600 56,550
Alabama National Bancorporation....................... 10,300 233,037
Alamo Group, Inc...................................... 8,700 87,000
*Alaris Medical, Inc.................................. 63,200 126,400
*Albany International Corp. Class A................... 32,259 544,371
Alba-Waldensian, Inc.................................. 1,200 21,900
*Alcide Corp.......................................... 2,300 28,247
*Aldila, Inc.......................................... 13,900 18,461
*Alexion Pharmaceuticals, Inc......................... 12,100 211,372
Alfa Corp............................................. 28,500 500,531
*Algos Pharmaceutical Corp............................ 17,000 205,062
Alico, Inc............................................ 6,300 101,587
*Align-Rite International, Inc........................ 4,100 77,772
*Alkermes, Inc........................................ 14,900 634,181
*All Amer Semiconductor Inc........................... 2,920 9,444
*Allcity Insurance Co................................. 200 1,400
Allen Organ Co. Class B............................... 200 7,612
*Allen Telecom, Inc................................... 27,400 256,875
Alliance Bancorp...................................... 11,455 227,668
*Alliance Gaming Corp................................. 8,265 27,378
*Alliance Pharmaceuticals Corp........................ 40,900 182,772
*Alliance Semiconductor Corp.......................... 41,500 599,156
*Allied Healthcare Products, Inc...................... 6,700 19,472
*Allied Holdings, Inc................................. 5,900 41,300
Allied Products Corp.................................. 10,650 38,606
*Allied Research Corp................................. 4,300 27,412
*Allin Communications Corp............................ 5,000 25,000
*Allou Health & Beauty Care, Inc. Class A............. 3,700 27,056
*Alltrista Corp....................................... 6,053 130,139
*Alpha Industries, Inc................................ 9,400 568,994
*Alpha Microsystems, Inc.............................. 10,100 43,714
*Alpha Technologies Group, Inc........................ 5,200 32,337
*Alphanet Solutions, Inc.............................. 5,800 27,187
Alpharma, Inc. Class A................................ 14,400 460,800
*Alpine Group, Inc.................................... 15,736 198,667
*Alteon, Inc.......................................... 16,200 16,706
*Alternative Resources Corp........................... 14,300 75,522
*Alterra Healthcare Corp.............................. 27,200 205,700
*Alyn Corp............................................ 10,000 23,281
*Alysis Technologies, Inc............................. 2,000 9,812
Ambanc Holding Co., Inc............................... 8,300 131,503
*Ambassadors, Inc..................................... 7,800 95,306
Amcast Industrial Corp................................ 8,300 116,200
Amcol International Corp.............................. 25,500 452,625
Amcore Financial, Inc................................. 26,175 659,283
*Amedisys, Inc........................................ 1,400 1,925
*Amerco, Inc.......................................... 18,100 473,994
*America Services Group, Inc.......................... 3,200 45,000
*American Aircarriers Support, Inc.................... 2,700 21,305
American Bancorporation Ohio.......................... 400 7,037
American Bank of Connecticut.......................... 3,200 77,200
American Biltrite, Inc................................ 1,900 28,262
American Business Products, Inc....................... 14,100 150,694
*American Claims Evaluation, Inc...................... 1,000 2,062
*American Classic Voyages Co.......................... 18,400 540,500
*American Coin Merchandising, Inc..................... 5,200 13,487
*American Dental Technologies, Inc.................... 200 294
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*American Ecology Corp................................ 5,250 $ 8,367
*American Freightways Corp............................ 31,600 546,087
*American Healthcorp, Inc............................. 6,400 31,600
*American Homestar Corp............................... 17,530 72,037
*American Indemnity Finl Escrow....................... 800 800
*American Italian Pasta Co............................ 16,200 487,012
*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 79,900
*American Mobile Satellite Corp....................... 33,500 528,672
*American Pacific Corp................................ 7,400 54,344
*American Physicians Services Group, Inc.............. 2,200 10,656
*American Precision Industries, Inc................... 7,300 79,387
*American Retirement Corp............................. 17,000 146,625
*American Science & Engineering, Inc.................. 6,500 55,250
*American Shared Hospital Services.................... 3,500 15,312
*American Skiing Co................................... 3,900 15,600
*American Software, Inc. Class A...................... 17,900 88,661
American States Water Company......................... 8,100 307,294
*American Superconductor Corp......................... 18,300 347,700
*American Technical Ceramics Corp..................... 3,500 48,562
*American Wagering, Inc............................... 6,900 37,087
American Woodmark Corp................................ 6,260 129,308
*#American Xtal Technology, Inc....................... 13,500 213,891
Americana Bancorp, Inc................................ 1,760 29,315
*Amerihost Properties, Inc............................ 4,200 14,109
*Ameripath, Inc....................................... 16,900 138,105
*Amerisource Health Corp.............................. 3,700 45,787
*Ameristar Casinos, Inc............................... 18,300 72,056
Ameron, Inc........................................... 3,600 155,475
Amerus Life Holdings, Inc. Class A.................... 4,044 95,287
*Ames Department Stores, Inc.......................... 10,400 275,925
Ametek, Inc........................................... 8,900 178,000
*Amistar Corp......................................... 1,600 1,825
Ampco-Pittsburgh Corp................................. 11,900 146,519
*Ampex Corp. Class A.................................. 55,400 252,762
Amplicon, Inc......................................... 8,200 86,612
*Amrep Corp........................................... 4,700 22,325
*Amresco, Inc......................................... 52,300 105,417
*Amsurg Corp. Class A................................. 589 3,976
*Amsurg Corp. Class B................................. 3,800 24,106
*Amtran, Inc.......................................... 11,700 228,150
Amwest Insurance Group, Inc........................... 2,694 18,858
*Amylin Pharmaceuticals, Inc.......................... 33,500 283,703
*Anacomp, Inc......................................... 6,500 116,797
*Anadigics, Inc....................................... 13,250 594,594
Analogic Corp......................................... 10,900 325,297
*Analogy, Inc......................................... 8,600 16,125
Analysts International Corp........................... 22,500 266,484
*#Analytical Surveys, Inc............................. 6,100 85,400
*Anaren Microwave, Inc................................ 4,400 191,675
Anchor Bancorp Wisconsin, Inc......................... 22,405 357,780
*Anchor Gaming, Inc................................... 5,300 291,831
Andersons, Inc........................................ 8,200 71,494
Andover Bancorp, Inc. DE.............................. 5,900 177,184
*Andrea Electronics Corp.............................. 13,200 103,125
*#Anesta Corp......................................... 10,500 154,219
*#Angeion Corp........................................ 2,420 5,218
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Anicom, Inc.......................................... 23,600 $ 109,519
*Anika Therapeutics, Inc.............................. 8,800 54,725
*Anixter International, Inc........................... 16,000 326,000
*Ansoft Corp.......................................... 11,400 83,719
*AnswerThink Consulting Group, Inc.................... 10,200 264,244
*Ansys, Inc........................................... 16,400 150,931
*Antec Corp........................................... 4,850 271,600
*Anthony and Sylvan Pools Corp........................ 2,129 14,437
*Apex, Inc............................................ 18,200 426,562
*Aphton Corp.......................................... 12,800 180,800
Apogee Enterprises, Inc............................... 37,600 225,600
*Apple Orthodontix, Inc............................... 10,000 5,000
Applebees International, Inc.......................... 7,900 237,741
*Applied Analytical Industries, Inc................... 1,800 15,300
*Applied Digital Solutions, Inc....................... 9,500 59,672
*Applied Extrusion Technologies, Inc.................. 11,000 70,469
*Applied Films Corp................................... 2,000 8,937
*Applied Graphics Technologies, Inc................... 24,300 229,331
*Applied Imaging Corp................................. 5,900 7,006
Applied Industrial Technologies, Inc.................. 24,850 425,556
*Applied Innovation, Inc.............................. 14,200 84,978
*Applied Microsystems Corp............................ 6,000 50,625
*Applied Science & Technology, Inc.................... 11,300 265,197
Applied Signal Technologies, Inc...................... 7,700 104,912
*Applix, Inc.......................................... 8,600 152,381
*Apria Healthcare Group, Inc.......................... 5,800 80,837
Aquarion Co........................................... 7,900 290,325
*Aquila Biopharmaceuticals, Inc....................... 6,330 9,099
*Aradigm Corp......................................... 15,400 103,469
*Arcadia Financial, Ltd............................... 39,100 175,950
*Arch Chemicals, Inc.................................. 15,400 240,625
Arch Coal, Inc........................................ 17,000 165,750
*Arch Communications Group, Inc....................... 33,166 210,915
Arctic Cat, Inc....................................... 20,100 204,769
*Ardent Software, Inc................................. 16,145 423,302
Area Bancshares Corp.................................. 10,000 254,375
Argonaut Group, Inc................................... 21,500 497,187
*Argosy Gaming Corp................................... 28,100 396,912
*Arguss Holdings, Inc................................. 8,900 122,097
*#Ariad Pharmaceuticals, Inc.......................... 16,300 24,705
*#Ariel Corp.......................................... 9,300 115,378
*Ark Restaurants Corp................................. 2,700 26,325
*Arkansas Best Corp................................... 17,600 220,550
Arm Financial Group, Inc. Class A..................... 29,100 1,782
*Armor Holdings, Inc.................................. 18,900 223,256
Arnold Industries, Inc................................ 23,400 296,156
*Aronex Pharmaceuticals, Inc.......................... 22,500 73,828
*Arqule, Inc.......................................... 12,400 75,950
*Arrhythmia Research Technology, Inc.................. 1,800 3,600
Arrow Financial Corp.................................. 6,552 131,654
Arrow International, Inc.............................. 30,900 925,069
*Artesyn Technologies, Inc............................ 38,900 847,291
*Arthrocare Corp...................................... 8,000 485,250
*Artisan Components, Inc.............................. 12,200 158,219
*Artisoft, Inc........................................ 13,100 177,259
*Arts Way Manufacturing Co., Inc...................... 200 762
*Asahi/America, Inc................................... 3,100 29,159
*Asante Technologies, Inc............................. 7,200 6,075
*Ascent Assurance, Inc................................ 109 201
*Ascent Entertainment Group, Inc...................... 27,500 332,578
*Ascent Pediatrics, Inc............................... 100 155
*Asche Transportation Services, Inc................... 4,100 12,812
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Aseco Corp........................................... 3,400 $ 10,784
*Ashworth, Inc........................................ 13,300 61,305
*Aspec Technology, Inc................................ 800 2,412
*Aspect Development, Inc.............................. 23,600 1,121,000
*Aspect Telecommunications Corp....................... 17,000 562,062
*Aspen Technology, Inc................................ 23,900 449,619
*Assisted Living Concepts, Inc........................ 15,600 24,375
*Associated Materials, Inc............................ 300 4,491
*Astea International, Inc............................. 12,100 46,131
*Astec Industries, Inc................................ 17,000 428,719
Astro-Med, Inc........................................ 4,500 27,844
*Astronics Corp....................................... 4,312 41,233
*AstroPower, Inc...................................... 7,600 95,712
*Asyst Technologies, Inc.............................. 10,900 436,681
Atalanta Sosnoff Capital Corp......................... 7,700 64,487
*Athey Products Corp.................................. 2,940 4,226
*Atlantic American Corp............................... 17,000 48,344
*Atlantic Coast Airlines, Inc......................... 17,100 353,756
*Atlantic Data Services, Inc.......................... 14,000 50,312
*Atlantic Premium Brands, Ltd......................... 2,000 2,750
*Atlantis Plastics, Inc............................... 3,300 48,675
*Atrion Corp.......................................... 1,950 23,034
*Atrix Labs, Inc...................................... 10,200 59,925
*Atwood Oceanics, Inc................................. 12,300 413,587
*Audiovox Corp. Class A............................... 13,900 413,525
*Ault, Inc............................................ 3,900 29,981
*Aura Systems, Inc.................................... 48,000 21,360
*Aurora Biosciences Corp.............................. 17,100 202,528
*Aurora Foods, Inc.................................... 10,000 90,000
*Auspex Systems, Inc.................................. 25,000 308,594
Authentic Fitness Corp................................ 23,000 475,812
*#Autobond Acceptance Corp............................ 5,900 1,305
Autocam Corp.......................................... 4,560 77,662
*Autologic Information International, Inc............. 2,300 6,325
*Autote Corp. Class A................................. 32,258 80,645
Avado Brands, Inc..................................... 33,200 160,812
*Avalon Holding Corp. Class A......................... 1,550 7,944
*Avant Corp........................................... 42,700 668,522
*Avant Immunotherapeutics, Inc........................ 35,175 86,289
*Avatar Holdings, Inc................................. 7,300 122,731
Avert, Inc............................................ 2,300 22,712
*Avi Biopharma, Inc................................... 5,700 38,653
*Aviall, Inc.......................................... 17,700 134,962
*#Aviation Sales Co................................... 12,457 175,955
*Avid Technology, Inc................................. 22,100 246,553
*#Avigen, Inc......................................... 11,300 336,881
*#Aviron.............................................. 12,700 203,597
*Avis Rent A Car, Inc................................. 24,000 459,000
Avista Corp........................................... 26,400 429,000
*Avteam, Inc. Class A................................. 8,500 38,383
*Aware, Inc........................................... 14,000 531,125
*Axent Technologies, Inc.............................. 27,600 607,200
*Axsys Technologies, Inc.............................. 2,700 30,375
*Axys Pharmaceuticals, Inc............................ 37,800 154,744
*Aztar Corp........................................... 45,200 483,075
Aztec Manufacturing Co................................ 5,000 47,500
B B & T Corp.......................................... 11,701 375,895
*BCT International, Inc............................... 2,700 3,881
*BEI Electronics, Inc................................. 6,000 7,312
BEI Technologies, Inc................................. 5,100 65,025
BHA Group Holdings, Inc. Class A...................... 5,856 53,070
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*BI, Inc.............................................. 6,400 $ 47,600
*BLC Financial Services, Inc.......................... 5,000 8,125
BMC Industries, Inc................................... 26,700 145,181
BSB Bancorp, Inc...................................... 9,473 197,157
BT Financial Corp..................................... 14,970 328,872
*BTG, Inc............................................. 7,900 52,831
*BTU International, Inc............................... 6,500 35,344
*BWAY Corp............................................ 8,400 48,300
*Bacou USA, Inc....................................... 24,900 398,400
Badger Meter, Inc..................................... 1,800 55,125
*Badger Paper Mills, Inc.............................. 1,000 6,000
Bairnco Corp.......................................... 8,300 60,694
Baker (J.), Inc....................................... 12,500 65,234
*Baker (Michael) Corp................................. 4,400 28,600
*Balance Bar Co....................................... 8,000 88,500
Balchem Corp.......................................... 3,300 28,462
Baldor Electric Co.................................... 23,133 452,539
Baldwin & Lyons, Inc. Class B......................... 6,000 124,125
*Baldwin Piano & Organ Co............................. 1,300 11,050
*Baldwin Technology, Inc. Class A..................... 13,500 32,906
*Ballantyne Omaha, Inc................................ 12,127 65,183
*#Bally Total Fitness Holding Corp.................... 23,675 538,606
*Baltek Corp.......................................... 1,500 10,828
Bancfirst Ohio Corp................................... 6,300 152,381
*Bancinsurance Corp................................... 4,305 24,350
Bancorp Connecticut, Inc.............................. 4,100 67,394
Bandag, Inc........................................... 9,800 237,650
Bandag, Inc. Class A.................................. 11,000 229,625
Bangor Hydro-Electric Co.............................. 6,500 104,406
Bank of Granite Corp.................................. 9,450 213,216
*Bank Plus Corp....................................... 17,400 53,287
*Bank United Financial Corp. Class A.................. 14,400 125,775
Bank West Financial Corp.............................. 1,600 14,400
#BankAtlantic Bancorp, Inc. Class A................... 11,285 51,488
BankAtlantic Bancorp, Inc. Class B.................... 9,300 52,022
*BankFirst Corp....................................... 1,700 15,937
BankNorth Group, Inc. DE.............................. 20,800 631,800
Banta Corp............................................ 24,700 541,856
*Banyan System, Inc................................... 21,300 306,853
Barnes Group, Inc..................................... 17,900 290,875
*Barnett, Inc......................................... 14,600 128,891
*Barnwell Industries, Inc............................. 400 4,775
*Barra, Inc........................................... 12,200 355,706
*Barrett Business Services, Inc....................... 6,800 44,200
*Barringer Technologies, Inc.......................... 6,800 43,987
*Barry (R.G.) Corp.................................... 8,832 38,088
*#Base Ten Systems, Inc............................... 1,720 5,133
*Basin Exploration, Inc............................... 14,500 256,016
Bassett Furniture Industries, Inc..................... 11,800 187,325
*Battle Mountain Gold Co.............................. 115,000 287,500
*Bay State Bancorp, Inc............................... 1,400 27,737
Bay View Capital Corp................................. 23,894 400,224
*Baycorp Holdings, Ltd................................ 5,500 44,000
*Bayou Steel Corp. Class A............................ 9,600 30,000
*Be Aerospace, Inc.................................... 24,400 171,562
Beauticontrol Cosmetics, Inc.......................... 5,400 16,875
*Beazer Homes USA, Inc................................ 8,600 162,862
*#bebe stores, inc.................................... 5,200 160,875
*Bel Fuse, Inc. Class A............................... 1,750 86,187
Bel Fuse, Inc. Class B................................ 1,750 84,219
*Belco Oil & Gas Corp................................. 31,600 195,525
Belden, Inc........................................... 30,400 608,000
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Bell Industries, Inc.................................. 8,620 $ 42,561
*Bell Microproducts, Inc.............................. 8,800 64,900
*Bellwether Exploration Co............................ 13,900 69,066
*Ben & Jerry's Homemade, Inc.
Class A............................................. 5,100 92,437
*Benchmark Electronics, Inc........................... 13,200 293,700
*Benihana, Inc........................................ 1,000 13,937
*Bentley Pharmaceuticals, Inc......................... 5,360 22,780
*Benton Oil & Gas Co.................................. 26,600 53,200
Berkley (W.R.) Corp................................... 14,000 300,125
Berkshire Energy Resources............................ 2,000 69,875
*Berlitz International, Inc........................... 4,700 92,237
Berry Petroleum Corp. Class A......................... 19,000 263,625
*Best Software, Inc................................... 8,400 218,137
*Beverly Enterprises.................................. 74,800 299,200
*#Beyond.com Corp..................................... 28,500 293,016
*Big 4 Ranch, Inc..................................... 3,200 0
*Big City Radio, Inc.................................. 1,800 8,100
*Big Dog Holdings, Inc................................ 600 4,387
*Big Flower Holdings, Inc............................. 19,800 617,512
*Billing Information Concepts Corp.................... 45,600 251,512
Bindley Western Industries, Inc....................... 26,821 355,378
*BindView Development Corp............................ 1,200 35,700
*Bio Technology General Corp.......................... 53,300 641,266
*Bio Vascular, Inc.................................... 8,100 16,453
*Bioanalytical Systems, Inc........................... 4,000 12,500
*Biocryst Pharmaceuticals, Inc........................ 14,000 358,312
*Bio-Logic Systems Corp............................... 3,600 20,700
*#Biomatrix, Inc...................................... 22,900 538,150
*Bionova Holdings Corp................................ 1,270 2,540
*Bionx Implants, Inc.................................. 10,000 26,562
*#Bio-Plexus, Inc..................................... 2,700 10,800
*Bio-Rad Laboratories, Inc. Class A................... 8,300 204,906
*BioReliance Corp..................................... 3,200 23,200
*Biosite Diagnostics, Inc............................. 13,000 169,812
*Biosource International, Inc......................... 6,100 20,587
*Biospecifics Technologies Corp....................... 3,100 5,134
*#Biospherics, Inc.................................... 8,300 46,817
*BioTransplant, Inc................................... 2,300 13,415
Birmingham Steel Corp................................. 23,300 168,925
*Bitstream, Inc....................................... 3,100 8,767
*Black Box Corp....................................... 300 17,859
*Black Hawk Gaming & Development, Inc................. 3,600 22,725
Black Hills Corp...................................... 19,550 427,656
Blair Corp............................................ 6,700 97,150
Blanch (E.W.) Holdings, Inc........................... 11,500 667,000
Blimpie International................................. 8,600 17,200
*Blonder Tongue Laboratories, Inc..................... 7,500 40,312
*#Blue Rhino Corp..................................... 4,500 39,656
*Blue Wave Systems, Inc............................... 8,600 51,869
*Bluegreen Corp....................................... 21,295 119,784
Bob Evans Farms, Inc.................................. 7,300 109,272
*Boca Research, Inc................................... 7,900 66,656
*Boca Resorts, Inc.................................... 36,900 322,875
*#Bogen Communications International, Inc............. 2,200 16,878
*Boise Cascade Office Products Corp................... 14,000 161,000
*Bolder Technologies Corp............................. 11,400 123,975
*Bolle, Inc........................................... 6,161 30,035
*Bolt Technology Corp................................. 4,500 17,719
*Bombay Co., Inc...................................... 35,000 175,000
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Bonded Motors, Inc................................... 1,800 $ 1,941
*Bone Care International, Inc......................... 2,250 20,742
*Bontex, Inc.......................................... 200 412
*Bon-Ton Stores, Inc.................................. 10,800 53,156
*#Books-a-Million, Inc................................ 18,100 188,353
*Boron, Lepore and Associates, Inc.................... 11,800 86,656
Boston Acoustics, Inc................................. 3,750 55,312
*Boston Beer Company, Inc. Class A.................... 11,500 82,656
*Boston Biomedical, Inc............................... 3,300 10,312
*Boston Communications Group, Inc..................... 13,200 71,775
*Boston Private Financial Holdings, Inc............... 8,000 72,375
Bostonfed Bancorp, Inc................................ 3,800 62,225
Bowne & Co., Inc...................................... 34,600 408,712
*Boyd Gaming Corp..................................... 61,800 382,387
*Bradley Pharmaceuticals, Inc.
Class A............................................. 1,500 1,875
Brady (W.H.) Co. Class A.............................. 20,700 635,231
*Brass Eagle, Inc..................................... 6,000 45,562
*Brauns Fashions Corp................................. 3,200 68,800
*#Breed Technologies, Inc............................. 36,800 16,008
Brenton Banks, Inc.................................... 19,096 210,653
*Bridgestreet Accomodations, Inc...................... 7,200 12,600
Bridgford Foods Corp.................................. 4,482 41,599
*Brigham Exploration Co............................... 5,200 6,012
*Brightpoint, Inc..................................... 51,300 569,109
*BrightStar Information Technology Group, Inc......... 6,900 53,259
*Brilliant Digital Entertainment, Inc................. 8,500 30,812
*Brio Technology, Inc................................. 7,900 296,991
*Bristol Hotels & Resorts, Inc........................ 14,300 72,394
*#Britesmile, Inc..................................... 14,500 139,562
*#Broadband Technologies, Inc......................... 10,600 47,534
*Brookdale Living Communities......................... 15,400 204,531
Brooke Group, Ltd..................................... 21,945 382,666
Brookline Bancorp, Inc................................ 14,700 147,459
*Brooks Automation, Inc............................... 9,900 271,012
*Brookstone, Inc...................................... 8,000 134,500
*Brooktrout Technology, Inc........................... 9,300 148,800
*Brothers Gourmet Coffees, Inc........................ 6,771 68
*Brown & Sharpe Manufacturing Co. Class A............. 11,500 27,312
*Brown (Tom), Inc..................................... 27,300 319,922
Brown and Brown, Inc.................................. 12,150 473,850
Brown Shoe Company, Inc............................... 18,000 283,500
*Brunswick Technologies, Inc.......................... 4,600 19,262
Brush Wellman, Inc.................................... 14,900 242,125
Bryn Mawr Bank Corp................................... 800 20,175
*Buckeye Technology, Inc.............................. 32,400 514,350
*Buckhead America Corp................................ 900 5,231
*Buckle, Inc.......................................... 19,800 306,900
*Budget Group, Inc.................................... 34,000 265,625
*Buffets, Inc......................................... 45,686 486,841
*Builders Transport, Inc.............................. 1,800 29
*Building Materials Holding Corp...................... 10,600 105,337
*Building One Services Corp........................... 3,700 37,694
*Bull Run Corp. GA.................................... 21,300 86,531
Burlington Coat Factory Warehouse Corp................ 19,380 248,306
*Burlington Industries, Inc........................... 51,900 191,381
*Burns International Services Corp.................... 23,500 210,031
*Burr Brown Corp...................................... 18,062 799,808
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Bush Boake Allen, Inc................................ 17,400 $ 437,175
Bush Industries, Inc. Class A......................... 9,100 145,600
*Business Resource Group.............................. 2,800 12,687
*Butler International, Inc............................ 8,700 66,337
Butler Manufacturing Co............................... 6,400 137,200
C & D Technologies, Inc............................... 11,200 438,200
*C-COR Electronics, Inc............................... 8,200 420,506
*C-Cube Microsystems, Inc............................. 12,400 555,287
*#C-Phone Corp........................................ 6,400 10,200
*C.P. Clare Corp...................................... 9,400 61,100
*#C3, Inc............................................. 6,700 56,112
*CB Richard Ellis Services, Inc....................... 23,900 313,687
*CBRL Group, Inc...................................... 10,000 110,625
*CCA Industries, Inc.................................. 4,300 6,248
CCBT Financial Companies, Inc......................... 9,000 136,125
*CCC Information Services Group, Inc.................. 24,100 265,853
*CDI Corp............................................. 17,900 434,075
*CDNOW/N2K, Inc....................................... 21,700 329,569
*CE Software Holdings, Inc............................ 580 5,655
*CEM Corp............................................. 2,500 22,422
*CFI Proservices, Inc................................. 4,000 34,187
*CFM Technologies, Inc................................ 7,100 78,766
CFW Communications Co................................. 11,700 284,456
*CHS Electronics, Inc................................. 27,000 18,562
*CICOR International, Inc............................. 9,550 103,856
CKE Restaurants, Inc.................................. 30,000 193,125
CMI Corp. Class A..................................... 17,800 144,625
CMP Media Group, Inc.................................. 32,400 876,825
CNA Surety Corp....................................... 36,700 408,287
CNBT Bancshares, Inc.................................. 5,800 73,587
*CNS Income........................................... 16,600 82,222
CPAC, Inc............................................. 5,020 39,611
CPB, Inc.............................................. 6,800 175,737
*CPI Aerostructures, Inc.............................. 66 109
CPI Corp.............................................. 8,000 198,000
*CSK Auto Corp........................................ 22,400 397,600
*CSP, Inc............................................. 3,061 15,114
*CSS Industries, Inc.................................. 11,600 247,950
*CTB International Corp............................... 7,500 47,461
*CTC Communications Group, Inc........................ 11,100 271,950
CTG Resources, Inc.................................... 7,800 279,825
CTS Corp.............................................. 20,800 1,667,900
*CUNO, Inc............................................ 14,500 294,531
*CV Therapeutics, Inc................................. 6,200 107,337
CVB Financial Corp.................................... 14,899 368,750
*CVF Technologies Corp................................ 2,400 6,600
*Cable Design Techologies Corp........................ 27,225 651,698
Cabot Oil & Gas Corp. Class A......................... 24,900 381,281
*Cache, Inc........................................... 7,625 33,836
*Caci International, Inc. Class A..................... 9,800 217,437
*Cade Industries, Inc................................. 19,800 99,309
*Cadiz, Inc........................................... 33,200 283,237
Cadmus Communications Corp............................ 7,800 62,156
*Caere Corp........................................... 10,600 75,194
Cagle's, Inc. Class A................................. 2,000 27,625
*Cal Dive International, Inc.......................... 11,800 429,962
Calgon Carbon Corp.................................... 38,800 237,650
*Caliber Learning Network, Inc........................ 10,000 20,937
*California Amplifier, Inc............................ 10,600 249,431
*California Coastal Communities, Inc.................. 9,500 74,219
*California Culinary Academy, Inc..................... 1,200 4,725
*California Micro Devices Corp........................ 8,400 68,775
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
California Water Service Group........................ 10,400 $ 328,900
*Callon Petroleum Co.................................. 6,500 77,187
*Calloways Nursery, Inc............................... 1,200 1,481
Cal-Maine Foods, Inc.................................. 10,800 36,787
Cambrex Corp.......................................... 24,100 759,150
*Cambridge Heart, Inc................................. 10,800 28,519
*Cameron Ashley Building Products, Inc................ 8,400 67,200
Cameron Financial Corp................................ 1,300 16,656
*Candela Laser Corp................................... 5,000 75,000
*Candies, Inc......................................... 17,200 17,737
*Canisco Resources, Inc............................... 500 547
*Cannon Express, Inc. Class A......................... 900 2,925
*Cannondale Corp...................................... 6,900 48,516
*Cantel Industries, Inc. Class B...................... 3,100 15,161
*Canterbury Information Technology, Inc............... 4,900 16,078
*Capital Corp. of the West............................ 2,300 26,019
*Capital Crossing Bank................................ 3,600 49,725
*Capital Pacific Holdings, Inc........................ 12,300 29,981
Capital Re Corp....................................... 30,700 422,125
*Capital Senior Living Corp........................... 19,700 98,500
Capitol Bancorp, Ltd.................................. 3,706 43,082
Capitol Transamerica Corp............................. 10,050 116,831
Caraustar Industries, Inc............................. 22,900 558,903
*Carbide/Graphite Group, Inc.......................... 6,700 40,409
Carbo Ceramics, Inc................................... 6,200 159,650
*Cardiac Pathways Corp................................ 2,000 4,312
*Cardima, Inc......................................... 4,000 7,562
*Caredata.com, Inc.................................... 6,700 56,950
*Career Blazers, Inc. Trust Units..................... 800 0
*Career Education Corp................................ 7,000 229,687
*Carematrix, Inc...................................... 15,800 32,341
*Caretenders Healthcorp............................... 1,600 3,900
*Carey International, Inc............................. 7,700 166,994
*Caribiner International, Inc......................... 27,900 247,612
*Carleton Corporation................................. 1,100 2,441
*Carmike Cinemas, Inc. Class A........................ 8,700 108,750
Carolina First Corp................................... 22,510 460,752
Carpenter Technology Corp............................. 19,000 498,750
*Carreker-Antinori, Inc............................... 17,000 120,062
*Carriage Services, Inc. Class A...................... 14,100 72,262
*Carrington Laboratories, Inc......................... 8,400 16,931
*Carson, Inc.......................................... 7,000 24,500
Carter-Wallace, Inc................................... 32,900 594,256
Cascade Corp.......................................... 10,700 101,650
Cascade Natural Gas Corp.............................. 9,900 173,869
*Casella Waste Systems, Inc.
Class A............................................. 12,800 210,800
Casey's General Stores, Inc........................... 36,800 470,350
Cash America International, Inc....................... 23,300 202,419
*Casino Data Systems.................................. 18,100 65,330
*Castle & Cooke, Inc.................................. 17,000 214,625
Castle (A.M.) & Co.................................... 13,037 153,185
*Castle Dental Centers, Inc........................... 6,300 24,216
Castle Energy Corp.................................... 2,400 40,650
*Catalina Lighting, Inc............................... 6,200 30,612
*Catalyst International, Inc.......................... 5,500 44,344
*Catalytica, Inc...................................... 31,700 335,822
Cathay Bancorp, Inc................................... 4,800 194,250
*Catherines Stores Corp............................... 6,300 129,347
Cato Corp. Class A.................................... 21,300 278,231
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Cavalier Homes, Inc................................... 18,060 $ 77,884
*Cavanaughs Hospitality Corp.......................... 15,000 112,500
*Cec Entertainment Inc................................ 10,800 324,000
*Celadon Group, Inc................................... 7,000 45,062
*Celebrity, Inc....................................... 1,300 4,062
*Celeris Corporation.................................. 3,133 3,329
*Celeritek, Inc....................................... 6,600 49,087
*Celestial Seasonings, Inc............................ 6,600 136,744
*Celgene Corp......................................... 16,900 1,011,359
*#Cell Genesys, Inc................................... 28,452 260,514
*Cell Pathways, Inc................................... 4,829 45,574
*Cellegy Pharmaceuticals, Inc......................... 10,200 35,062
*#Cellnet Data Systems, Inc........................... 41,900 59,577
*Cellstar Corp........................................ 79,000 769,016
*#Cel-Sci Corp........................................ 2,500 6,094
Cenit Bancorp, Inc.................................... 4,300 77,400
*Centennial Bancorp................................... 15,816 168,539
*Centennial Healthcare Corp........................... 10,700 32,434
*#Centennial Technologies Inc......................... 196 778
*#CenterSpan Communication Corp....................... 3,100 48,534
*Centigram Communications Corp........................ 5,200 71,500
Central Bancorp, Inc.................................. 1,800 35,100
*Central Garden & Pet Co.............................. 29,500 235,078
Central Hudson Gas & Electric Corp.................... 12,300 411,281
Central Vermont Public Service Corp................... 10,300 127,462
Centris Group, Inc.................................... 11,400 139,650
Century Aluminum Co................................... 20,200 198,212
Century Bancorp Income Class A........................ 1,000 16,625
*Century Business Services, Inc....................... 13,800 127,219
Century South Banks, Inc.............................. 2,200 51,356
*Cephalon, Inc........................................ 28,600 631,881
*Ceradyne, Inc........................................ 6,900 34,823
Cerberonics, Inc. Class A............................. 200 1,112
*Ceres Group, Inc..................................... 2,100 14,175
*Cerion Technologies, Inc............................. 3,500 350
*Cerner Corp.......................................... 33,600 637,350
*Cerprobe Corp........................................ 7,300 65,016
*Cerus Corp........................................... 4,700 125,431
*Champion Enterprises, Inc............................ 35,700 305,681
Champion Industries, Inc.............................. 8,462 41,252
*Championship Auto Racing Teams, Inc.................. 18,500 441,687
*Champps Entertainment, Inc........................... 9,300 18,891
*Charles River Associates, Inc........................ 6,800 206,550
*Charming Shoppes, Inc................................ 78,400 508,375
*Chart House Enterprises, Inc......................... 10,600 56,312
Chart Industries, Inc................................. 21,725 80,111
*Charter Federal Savings Bank (Escrow)................ 2,100 0
Charter One Financial, Inc............................ 6,965 151,271
*Chase Industries, Inc................................ 9,000 79,312
*Chattem, Inc......................................... 9,200 177,962
*Chaus (Bernard), Inc................................. 11,100 26,362
*Check Technology Corp................................ 4,400 11,137
*Checkers Drive-In Restaurant, Inc.................... 3,034 4,646
*Checkpoint System, Inc............................... 27,100 215,106
*Cheesecake Factory, Inc.............................. 18,050 557,858
Chemed Corp........................................... 9,100 236,600
*Chemfab Corp......................................... 7,850 125,600
Chemfirst, Inc........................................ 16,500 385,687
Chemical Financial Corp............................... 10,832 344,931
*Cherokee, Inc........................................ 2,200 19,662
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Cherry Corp.......................................... 4,800 $ 54,900
*Chesapeake Biological Laboratories, Inc. Class A..... 3,600 10,350
Chesapeake Corp....................................... 15,900 507,806
*Chesapeake Energy Corp............................... 109,570 328,710
Chesapeake Utilities Corp............................. 3,700 67,525
Chester Valley Bancorp................................ 475 7,392
*Chic by His, Inc..................................... 9,800 7,350
Chicago Rivet & Machine Co............................ 200 4,650
*Chicos Fas, Inc...................................... 8,200 314,931
*Children's Comprehensive Services, Inc............... 8,650 59,198
*#Childrens Place Retail Stores, Inc.................. 12,600 310,275
*Childtime Learning Centers, Inc...................... 4,900 63,394
Chiquita Brands International, Inc.................... 64,192 280,840
*Chirex, Inc.......................................... 13,200 458,287
Chittenden Corp....................................... 18,959 612,613
*Cholestech Corp...................................... 10,300 65,019
*ChromaVision Medical Systems, Inc.................... 6,100 88,069
*Chromcraft Revington, Inc............................ 7,400 84,175
*Chronimed, Inc....................................... 12,100 96,044
Church & Dwight Co., Inc.............................. 25,700 719,600
*#Churchill Downs, Inc................................ 5,400 123,019
*Cidco, Inc........................................... 12,600 101,587
*Cima Laboratories, Inc............................... 8,600 87,075
*Ciprico, Inc......................................... 4,400 56,237
Circle International, Inc............................. 14,700 355,556
*Circuit City Stores, Inc. - Carmax Group............. 25,300 60,087
*Circuit Systems, Inc................................. 2,600 3,575
*Cirrus Logic, Inc.................................... 61,200 849,150
*Citadel Holding Corp................................. 5,300 18,219
*Citation Computer System, Inc........................ 3,400 7,916
*Citation Corp........................................ 16,100 272,694
Citizens Banking Corp................................. 4,887 123,855
*Citizens, Inc. Class A............................... 21,293 138,404
City Holding Co....................................... 13,486 227,576
*Civic Bancorp........................................ 2,976 47,709
Clarcor, Inc.......................................... 24,350 423,081
*Clarify, Inc......................................... 12,000 1,120,500
*Clark (Dick) Productions, Inc........................ 3,528 57,109
*Clark/Bardes Holdings, Inc........................... 7,000 88,812
*Clean Harbors, Inc................................... 9,300 13,223
Cleveland Cliffs, Inc................................. 10,200 298,350
*ClickAction, Inc..................................... 4,000 75,000
*click2learn.com, Inc................................. 11,400 84,075
*Clintrials Research, Inc............................. 15,900 62,109
*#Closure Medical Corp................................ 11,900 165,484
*CoStar Group, Inc.................................... 4,900 112,547
Coachmen Industries, Inc.............................. 15,100 216,119
*Coast Dental Services, Inc........................... 6,800 21,675
*Coast Distribution System............................ 4,000 8,250
Coastal Bancorp, Inc.................................. 5,250 105,000
*Coastcast Corp....................................... 5,600 72,800
*Cobra Electronic Corp................................ 6,100 30,500
Coca-Cola Bottling Co. Consolidated................... 5,200 266,500
*#Coeur d'Alene Mines Corp. ID........................ 19,700 80,031
*Cogeneration Corporation of America.................. 6,200 152,869
*Cognitronics Corp.................................... 3,750 64,687
*Cognizant Technology Solutions Corp.................. 2,000 118,375
*Coherent, Inc........................................ 23,700 626,569
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Cohesion Technologies, Inc........................... 6,300 $ 45,281
Cohu, Inc............................................. 16,400 376,175
*Coinmach Laundry Corp................................ 12,600 135,450
*Coinstar, Inc........................................ 15,500 162,266
Cold Metal Products, Inc.............................. 3,500 12,359
*Coldwater Creek, Inc................................. 8,300 232,919
*Cole (Kenneth) Productions, Inc. Class A............. 5,900 270,662
*Cole National Corp. Class A.......................... 15,300 82,237
*Coleman, Inc......................................... 1,400 13,212
*Collagenex Pharmaceuticals, Inc...................... 7,700 171,806
*Collateral Therapeutics, Inc......................... 5,500 100,375
Collins & Aikman Corp................................. 64,000 328,000
Collins Industries, Inc............................... 6,500 41,234
Colorado Business Bankshares, Inc..................... 2,700 37,631
*Colorado MEDtech, Inc................................ 9,700 122,462
*Columbia Banking System, Inc......................... 9,427 153,778
*Columbia Laboratories, Inc........................... 28,700 227,806
*Columbia Sportswear Co............................... 20,300 415,516
*Columbus Energy Corp................................. 2,987 16,615
Columbus McKinnon Corp................................ 12,400 127,875
*Com21, Inc........................................... 17,200 379,475
*Comarco, Inc......................................... 3,400 61,625
*Comdial Corp......................................... 8,000 66,375
*Comforce Corp........................................ 13,877 22,550
*Comfort Systems USA, Inc............................. 14,700 121,275
*Command Systems, Inc................................. 2,000 3,250
Commercial Bancshares, Inc............................ 1,504 34,592
Commercial Bank of New York........................... 4,200 51,187
Commercial Intertech Corp............................. 12,900 162,056
Commercial Metals Co.................................. 13,400 428,800
Commercial National Financial Corp.................... 2,600 50,700
*Commodore Applied Technologies, Inc.................. 13,902 11,295
Commonwealth Bancorp, Inc............................. 14,500 240,156
Commonwealth Industries, Inc.......................... 14,400 186,750
Communications Systems, Inc........................... 8,100 94,669
Community Bank System, Inc............................ 6,100 160,887
Community Bankshares, Inc............................. 200 2,475
Community Financial Corp.............................. 1,200 10,312
Community Financial Group, Inc........................ 2,300 35,291
Community First Brokerage Co.......................... 2,000 34,500
Community Savings Bankshares, Inc..................... 8,073 102,678
Community Trust Bancorp, Inc.......................... 9,144 195,453
Community West Bancshares............................. 4,000 55,500
*Comnet Cellular, Inc................................. 20,400 647,062
*Competitive Technologies, Inc........................ 5,400 30,712
*Complete Business Solutions, Inc..................... 22,500 425,391
*Comptek Research, Inc................................ 4,600 60,950
*Compucom Systems, Inc................................ 46,900 148,028
*CompUSA, Inc......................................... 76,200 447,675
*Computer Horizons Corp............................... 42,100 592,031
*#Computer Learning Centers, Inc...................... 15,600 52,894
*Computer Motion, Inc................................. 7,300 82,581
*Computer Network Technology Corp..................... 22,100 445,453
*Computer Outsourcing Services, Inc................... 3,200 81,600
Computer Task Group, Inc.............................. 22,200 328,837
CompX International, Inc.............................. 3,600 65,925
*Comshare, Inc........................................ 8,900 43,666
*Comstock Resources, Inc.............................. 22,800 79,800
*Comtech Telecommunications Corp...................... 3,900 72,150
*Concord Camera Corp.................................. 9,900 148,191
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Concord Communications, Inc.......................... 5,300 $ 282,887
*Concurrent Computer Corp............................. 47,900 624,197
*Condor Technology Solutions, Inc..................... 11,800 27,841
*Conductus, Inc....................................... 4,900 16,231
*Cone Mills Corp. NC.................................. 22,900 113,069
*Congoleum Corp. Class A.............................. 3,200 10,800
*Conmed Corp.......................................... 15,075 380,173
Connecticut Energy Corp............................... 9,200 362,825
Connecticut Water Services, Inc....................... 3,600 121,050
*ConnectInc.com Co.................................... 14,800 60,587
Conning Corp.......................................... 10,200 87,975
*Connitics Corp....................................... 18,100 122,741
*Conso Products Co.................................... 6,600 55,069
*Consolidated Delivery and Logistics, Inc............. 6,000 23,625
*Consolidated Freightways Corp........................ 20,700 188,241
*Consolidated Graphics, Inc........................... 12,600 282,712
*Consolidated Products, Inc........................... 25,326 265,923
Consolidated Tokoma Land Co........................... 3,100 39,137
*#Converse, Inc....................................... 22,300 44,600
Cooker Restaurant Corp................................ 9,200 28,750
Cooper Companies, Inc................................. 13,400 338,350
*Cooperative Bankshares, Inc.......................... 1,400 15,050
*Copart, Inc.......................................... 26,600 688,275
*Copytele, Inc........................................ 52,100 51,286
*Cor Therapeutics, Inc................................ 24,100 472,209
*Core Materials Corp.................................. 7,700 12,994
*Core, Inc............................................ 6,700 43,655
*Corixa Corp.......................................... 14,812 250,415
*Cornell Corrections, Inc............................. 8,600 98,362
*Correctional Services Corp........................... 9,612 42,954
*Corrpro Companies, Inc............................... 6,375 46,219
*Corsair Communications, Inc.......................... 16,400 174,762
*Cort Business Services Corp.......................... 11,400 222,300
Corus Bankshares, Inc................................. 14,600 416,100
*Corvas International, Inc............................ 13,600 36,550
*Corvel Corp.......................................... 2,000 41,375
*Cost Plus, Inc....................................... 19,800 730,125
*Cost-U-Less, Inc..................................... 2,800 12,512
*Cotelligent Group, Inc............................... 12,200 51,087
Cotton States Life Insurance Co....................... 2,530 23,007
*#Coulter Pharmaceutical, Inc......................... 7,700 131,141
Counsel Corp.......................................... 18,000 41,625
Courier Corp.......................................... 1,200 26,775
*Covance, Inc......................................... 28,900 314,287
*Covenant Transport, Inc. Class A..................... 12,600 183,094
*Coventry Health Care, Inc............................ 58,800 339,937
Covest Bancshares, Inc................................ 2,250 29,109
*Covol Technologies, Inc.............................. 7,100 6,656
*Coyote Network Systems, Inc.......................... 12,172 58,958
Craftmade International, Inc.......................... 5,850 52,833
*Craig (Jenny), Inc................................... 18,600 41,850
*Craig Corp........................................... 2,400 14,400
Crawford & Co. Class A................................ 300 3,337
Crawford & Co. Class B................................ 11,500 147,344
*Creative Biomolecules, Inc........................... 45,800 156,006
*Creative Computers, Inc.............................. 9,100 87,303
*Credence Systems Corp................................ 950 54,922
*Credit Acceptance Corp............................... 46,300 186,647
*#Creditrust Corp..................................... 9,300 163,331
*Cree Research, Inc................................... 600 34,237
*Crescent Operating, Inc.............................. 9,100 27,584
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Criticare Systems, Inc............................... 7,500 $ 17,812
*Cross (A.T.) Co. Class A............................. 13,700 71,925
Cross Timbers Oil Co.................................. 55,850 568,972
*Crossman Communities, Inc............................ 11,550 185,161
*Crown Central Petroleum Corp.
Class A............................................. 4,300 27,950
*Crown Central Petroleum Corp.
Class B............................................. 4,700 28,200
Crown Crafts, Inc..................................... 7,700 20,212
*Crown Group, Inc..................................... 1,400 7,109
*#Crown Resources Corp................................ 12,400 25,381
*Crown Vantage, Inc................................... 8,500 20,453
*Crown-Andersen, Inc.................................. 1,000 7,687
*Cryolife, Inc........................................ 12,100 163,350
*Crystal Gas Storage, Inc............................. 1,200 66,750
Cubic Corp............................................ 8,000 157,500
*Cubist Pharmaceuticals, Inc.......................... 20,500 206,281
Culp, Inc............................................. 10,000 62,500
*Cunningham Graphics International, Inc............... 4,000 51,750
*CuraGen Corp......................................... 9,300 230,175
*Curative Health Services, Inc........................ 11,400 90,487
Curtiss-Wright Corp................................... 9,200 349,600
*Cutter & Buck, Inc................................... 8,250 128,906
*#Cybercash, Inc...................................... 20,100 219,216
*#Cyberguard Corp..................................... 6,100 19,825
*#Cyberian Outpost, Inc............................... 17,000 203,469
*Cyberonics, Inc...................................... 15,500 269,312
*Cyberoptics Corp..................................... 3,800 70,062
*#CyberShop.com, Inc.................................. 4,600 52,181
*Cybex Corp........................................... 12,475 537,205
*Cybex International, Inc............................. 8,700 24,469
*Cygnus, Inc.......................................... 22,600 225,294
*Cylink Corp.......................................... 28,300 328,103
*Cymer, Inc........................................... 18,600 742,837
*Cyrk, Inc............................................ 13,200 98,175
*Cytrx Corp........................................... 5,400 13,669
*Cytyc Corp........................................... 17,800 775,412
*D & K Healthcare Resources, Inc...................... 3,200 55,200
*D A Consulting Group, Inc............................ 5,700 25,294
*DBT Online, Inc...................................... 16,580 319,165
*DII Group, Inc....................................... 2,400 151,650
*#DRS Technologies, Inc............................... 6,896 59,478
*DSET Corp............................................ 9,300 242,672
*DSP Group, Inc....................................... 11,500 797,094
DT Industries, Inc.................................... 9,100 71,094
*DVI, Inc............................................. 15,200 212,800
*Daily Journal Corp................................... 200 6,700
*Dairy Mart Convenience Stores, Inc. Class A.......... 1,600 6,800
*Daisytek International Corp.......................... 18,700 372,247
*Daktronics, Inc...................................... 2,600 56,469
*Dal-Tile International, Inc.......................... 52,700 540,175
*Damark International, Inc. Class A................... 5,100 50,044
*Dan River, Inc. (GA) Class A......................... 22,700 122,012
*Danielson Holding Corp............................... 10,000 50,000
*Daou Systems, Inc.................................... 15,900 62,606
*Darling International, Inc........................... 15,600 34,125
*Data Broadcasting Corp............................... 34,913 393,862
*#Data Dimensions, Inc................................ 11,600 38,787
*Data I/O Corp........................................ 4,900 10,566
*#Data Race, Inc...................................... 16,000 48,750
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Data Research Association, Inc........................ 4,400 $ 42,625
*Data Systems & Software, Inc......................... 6,200 19,762
*#Data Transmission Network Corp...................... 10,100 208,628
*Datakey, Inc......................................... 1,000 1,719
*Datamarine International, Inc........................ 200 406
*Dataram Corp......................................... 4,000 74,250
*Datascope Corp....................................... 14,000 519,312
*Datastream Systems, Inc.............................. 19,500 271,781
*DataTRAK International, Inc.......................... 5,600 19,862
*Dataware Technologies, Inc........................... 8,600 29,428
*Datron Systems, Inc.................................. 2,100 17,325
*Datum, Inc........................................... 4,900 43,947
*Dave and Busters, Inc................................ 11,700 120,656
Davel Communications, Inc............................. 9,478 33,469
*Davox Corp........................................... 12,850 212,427
*Dawson Geophysical Co................................ 4,300 38,566
*Daxor Corp........................................... 3,400 51,425
*Day Runner, Inc...................................... 10,700 75,234
*Dayton Superior Corp. Class A........................ 5,100 93,075
Deb Shops, Inc........................................ 12,200 239,044
*Deckers Outdoor Corp................................. 7,900 23,577
*Decora Industries, Inc............................... 1,500 4,922
Decorator Industries, Inc............................. 2,162 11,215
*Del Global Technologies Corp......................... 6,883 57,968
Del Laboratories, Inc................................. 16,439 145,899
*Delco Remy International, Inc........................ 3,400 31,875
*Delia's, Inc......................................... 13,400 146,562
*Delphi Financial Group, Inc. Class A................. 12,240 379,440
*#Delta Financial Corp................................ 14,800 68,450
Delta Natural Gas Co., Inc............................ 1,400 21,525
Delta Woodside Industries, Inc........................ 19,000 36,812
*Deltek Systems, Inc.................................. 16,100 207,287
Deltic Timber Corp.................................... 12,800 329,600
*Denali, Inc.......................................... 4,300 15,856
*Dendrite International, Inc.......................... 14,600 402,412
*#Dense-Pac Microsystems, Inc......................... 14,800 105,912
*Department 56, Inc................................... 15,800 295,262
*DepoMed, Inc......................................... 8,000 56,000
Designs, Inc.......................................... 14,800 21,969
*Detection Systems, Inc............................... 6,300 58,275
*Detrex Corp.......................................... 500 2,469
Detroit Diesel Corp................................... 25,100 461,212
*Devcon International Corp............................ 4,000 19,750
Dewolfe Companies, Inc................................ 200 1,312
*Dexterity Surgical, Inc.............................. 1,000 1,031
*Diacrin, Inc......................................... 11,500 68,641
Diagnostic Products Corp.............................. 11,700 294,694
*Diametrics Medical, Inc.............................. 29,200 191,625
*Diamond Home Services, Inc........................... 7,300 4,791
*Diamond Technology Partners,
Class A............................................. 12,300 643,828
*Dianon Systems, Inc.................................. 6,100 61,000
*Diedrich Coffee, Inc................................. 3,820 19,577
*Digene Corp.......................................... 14,400 259,200
*Digi International, Inc.............................. 17,200 278,425
*#Digital Biometrics, Inc............................. 11,700 44,789
*Digital Courier Technologies, Inc.................... 5,000 38,437
*Digital Generation Systems, Inc...................... 27,800 119,019
*Digital Lightwave, Inc............................... 26,600 843,719
*Digital Microwave Corp............................... 38,700 611,944
*Digital Power Corp................................... 1,000 1,312
*Digital River, Inc................................... 14,600 443,475
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Dime Community Bancorp, Inc........................... 11,200 $ 222,950
Dimon, Inc............................................ 46,700 157,612
*Diodes, Inc.......................................... 5,400 82,350
*Directrix, Inc....................................... 813 3,227
*Discount Auto Parts, Inc............................. 14,900 205,806
*Dispatch Management Services Corp.................... 3,300 7,425
*Display Technologies, Inc............................ 4,600 20,125
*Diversified Corporate Resources, Inc................. 2,200 6,600
*Dixie Group, Inc..................................... 9,400 64,919
*Dixon Ticonderoga Co................................. 1,900 16,150
*DocuCorp International, Inc.......................... 5,400 25,144
*Documentum, Inc...................................... 19,200 650,400
*Dollar Thrifty Automotive Group, Inc................. 21,100 416,725
*Dominion Homes, Inc.................................. 5,700 35,981
Donegal Group, Inc.................................... 7,500 51,094
*Donna Karan International, Inc....................... 19,400 151,562
Donnelly Corp. Class A................................ 5,875 84,820
*Dorsey Trailers, Inc................................. 3,000 3,750
*Dot Hill Systems Corp................................ 1,960 11,147
Dover Downs Entertainment, Inc........................ 8,000 145,000
Downey Financial Corp................................. 24,976 502,642
*Dress Barn, Inc...................................... 20,800 356,200
*Drew Industries, Inc................................. 9,400 89,300
*Drexler Technology Corp.............................. 9,800 76,256
Dreyer's Grand Ice Cream, Inc......................... 27,200 452,200
*Dril-Quip, Inc....................................... 13,500 332,437
*Drug Emporium, Inc................................... 12,200 49,372
*Drypers Corp......................................... 4,700 12,117
*DuPont Photomasks, Inc............................... 13,700 844,691
*DualStar Technologies Corp........................... 7,200 50,287
*#Duane Reade, Inc.................................... 15,400 340,725
*Duckwall-Alco Stores, Inc............................ 4,600 36,656
*Ducommun, Inc........................................ 9,500 84,312
Duff & Phelps Credit Rating Co........................ 3,200 254,800
*Dunn Computer Corp................................... 9,400 12,631
*Dura Automotive Systems, Inc......................... 11,294 233,998
*Dura Pharmaceuticals, Inc............................ 41,500 540,797
*Duramed Pharmaceuticals, Inc......................... 21,100 168,141
*Dwyer Group, Inc..................................... 6,200 14,919
*Dynamic Healthcare Technologies, Inc................. 13,700 19,052
*Dynamic Materials Corp............................... 2,000 3,375
*Dynamics Research Corp............................... 6,577 34,735
*Dynatech Corp........................................ 5,100 36,497
E'town Corp........................................... 6,500 408,687
*E-Z-Em, Inc. Class A................................. 2,000 11,500
*E-Z-Em, Inc. Class B................................. 4,462 24,541
*E4L, Inc............................................. 30,611 95,659
*ECC International Corp............................... 7,300 23,725
*ECCS, Inc............................................ 1,700 12,059
EFC Bancorp, Inc...................................... 1,100 11,825
*EFI Electronics Corp................................. 800 837
*EFTC Corp............................................ 13,700 30,825
*EIS International, Inc............................... 9,100 39,528
*ELXSI Corp........................................... 1,800 23,119
EMC Insurance Group, Inc.............................. 10,300 104,609
*EMCORE Corp.......................................... 11,300 258,134
*EMS Technologies, Inc................................ 9,000 97,312
*EPIX Medical, Inc.................................... 500 4,656
*ESCO Electronics Corp. Trust Receipts................ 11,100 107,531
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Eagle Bancshares, Inc................................. 4,600 $ 73,744
*Eagle Food Centers, Inc.............................. 10,300 15,289
*Eagle Geophysical, Inc............................... 9,011 360
*Eagle Point Software Corp............................ 4,500 23,906
*Eagle USA Airfreight, Inc............................ 27,450 924,722
*#EarthShell Corp..................................... 26,900 79,859
East West Bancorp, Inc................................ 21,000 256,594
*East/West Communications, Inc........................ 2,200 58,300
Eastern Co............................................ 4,950 77,962
Eastern Utilities Associates.......................... 18,100 549,787
*Eateries, Inc........................................ 2,800 7,525
*Echelon Corp......................................... 7,300 101,744
*Echelon International Corp........................... 2,100 47,775
*Eclipse Surgical Technologies, Inc................... 25,400 253,206
*Eclipsys Corp........................................ 9,870 241,198
*Eco Soil Systems, Inc................................ 17,200 58,587
*Ecogen, Inc.......................................... 7,240 11,991
Ecology & Environment, Inc. Class A................... 2,000 11,500
*Edac Technologies Corp............................... 3,500 6,180
Edelbrock Corp........................................ 3,600 42,975
*#Edison Control Corp................................. 1,000 6,000
Edo Corp.............................................. 5,300 30,144
*Education Management Corp............................ 29,500 277,945
Educational Development Corp.......................... 1,800 7,200
*Educational Insights, Inc............................ 2,700 5,653
*EduTrek International, Inc........................... 3,900 3,169
*#eFax.com, Inc....................................... 11,200 87,850
*#Egghead.com, Inc.................................... 31,342 567,094
*eGlobe, Inc.......................................... 16,300 52,466
*El Paso Electric Co.................................. 69,300 623,700
*Elantec Semiconductor, Inc........................... 8,300 242,516
*Elcom International, Inc............................. 24,700 255,491
Elcor Corp............................................ 20,175 653,166
*Elcotel, Inc......................................... 12,000 27,562
*Elder-Beerman Stores Corp............................ 1,400 9,012
*Electric Fuel Corp................................... 12,200 15,631
*Electric Lightwave, Inc.............................. 7,000 106,750
*Electro Rent Corp.................................... 22,700 268,853
*Electro Scientific Industries, Inc................... 11,700 683,719
*Electroglas, Inc..................................... 17,700 503,897
*Electronic Processing, Inc........................... 4,200 48,037
*Electronic Retailing System International, Inc....... 2,300 2,516
*Elite Information Group, Inc......................... 8,300 59,137
Ellett Brothers, Inc.................................. 4,000 26,500
*#Eltrax System, Inc.................................. 5,546 38,995
*Embrex, Inc.......................................... 6,500 58,906
*Emcee Broadcast Products, Inc........................ 2,000 8,812
*Emcor Group, Inc..................................... 9,700 169,144
*Emeritus Corp........................................ 12,500 82,031
*Emisphere Technologies, Inc.......................... 10,900 204,716
*Emmis Broadcasting Corp. Class A..................... 300 24,281
Empire District Electric Co........................... 14,900 355,737
Empire Federal Bancorp, Inc........................... 2,000 23,125
*En Pointe Technologies, Inc.......................... 5,300 51,012
*Encad, Inc........................................... 10,400 56,550
*#Encore Med Corp..................................... 8,200 16,784
*Encore Wire Corp..................................... 12,925 91,283
*Endocardial Solutions, Inc........................... 10,100 86,955
*Endosonics Corp...................................... 16,700 84,022
Energen Corp.......................................... 29,200 562,100
*#Energy Biosystems Corp.............................. 1,014 2,218
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Energy Conversion Devices, Inc....................... 11,400 $ 119,700
Energy West, Inc...................................... 200 1,731
Energynorth, Inc...................................... 3,000 163,219
Energysouth, Inc...................................... 3,000 62,250
Enesco Group, Inc..................................... 14,700 179,156
Engineered Support Systems, Inc....................... 5,500 63,766
*#Engineering Animation, Inc.......................... 10,400 86,450
*Engineering Measurements Co.......................... 1,250 8,281
Engle Homes, Inc...................................... 11,200 119,350
*#Enlighten Software Solutions, Inc................... 1,600 11,750
Ennis Business Forms, Inc............................. 14,000 125,562
*Enserch Exploration Corp............................. 42,400 111,300
*Enstar, Inc.......................................... 1,300 16,128
*Entrade, Inc......................................... 8,700 200,644
*#Entremed, Inc....................................... 11,200 252,350
*Envirogen, Inc....................................... 616 847
*Environmental Elements Corp.......................... 6,400 14,000
*Environmental Technologies Corp...................... 3,700 9,828
*Environmental Tectonics Corp......................... 5,600 53,900
*Enzo Biochem, Inc.................................... 23,840 622,820
*Enzon, Inc........................................... 12,400 418,112
*Epicor Software Corp................................. 35,642 208,840
*Epimmune, Inc........................................ 4,142 11,520
*Epitope, Inc......................................... 12,200 55,281
*#Equimed Inc Nevis................................... 2,250 0
*#Equimed, Inc........................................ 2,250 70
*Equinox Systems, Inc................................. 4,150 51,097
*Equity Marketing, Inc................................ 5,600 90,475
*Equity Oil Co........................................ 10,200 11,794
*Ergo Science Corp.................................... 12,800 17,000
*eShare Technologies, Inc............................. 18,500 165,344
Eskimo Pie Corp....................................... 3,100 29,450
Espey Manufacturing & Electronics Corp................ 400 5,850
*e.Spire Communications, Inc.......................... 48,600 360,703
*Ess Technology, Inc.................................. 41,100 886,219
*Esterline Technologies Corp.......................... 15,600 195,975
*Etec Systems, Inc.................................... 25,400 1,092,994
Ethyl Corp............................................ 92,900 389,019
*Evans & Sutherland Computer Corp..................... 8,000 103,250
*Evans, Inc........................................... 250 78
*Evercel, Inc......................................... 833 15,098
*Evergreen Resources, Inc............................. 12,600 264,206
*Evolving Systems, Inc................................ 8,900 79,266
*Exabyte Corp......................................... 20,200 141,084
*Exactech, Inc........................................ 4,900 64,312
*Exar Corp............................................ 8,400 409,762
*Excalibur Technologies Corp.......................... 12,500 166,406
*Excel Legacy Corp.................................... 21,100 84,400
*Excel Technology, Inc................................ 15,100 221,309
*#Excelsior-Henderson Motorcycle Manufacturing Co..... 5,200 3,494
*Executone Information Systems, Inc................... 59,300 159,369
Exide Corp............................................ 24,200 249,562
*Exponent, Inc........................................ 4,300 29,159
*Extended Systems, Inc................................ 5,000 74,531
Ezcorp, Inc. Class A Non-Voting....................... 9,300 35,747
*Ezenia! Inc.......................................... 11,600 70,687
F & M Bancorp (MD).................................... 6,162 151,739
F & M National Corp................................... 19,570 555,299
F.N.B. Corp........................................... 9,500 245,812
FBL Financial Group, Inc. Class A..................... 14,800 257,150
</TABLE>
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CONTINUED
<TABLE>
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<S> <C> <C>
FCNB Corp............................................. 8,077 $ 144,376
*FEI Co............................................... 19,400 160,050
FFLC Bancorp.......................................... 2,500 39,062
FFY Financial Corp.................................... 5,000 77,187
FNB Financial Services Corp........................... 2,000 23,250
*FPIC Insurance Group, Inc............................ 8,300 156,144
*FRP Properties, Inc.................................. 2,500 59,375
FSF Financial Corp.................................... 1,800 21,937
*FSI International, Inc............................... 23,100 217,284
*FTI Consulting, Inc.................................. 3,900 21,937
*FVC.COM, Inc......................................... 9,000 88,594
*FX Energy, Inc....................................... 10,000 53,750
*FYI, Inc............................................. 12,200 393,069
Fab Industries, Inc................................... 4,500 52,875
*Factory 2-U Stores, Inc.............................. 7,800 186,712
Fair, Isaac & Co., Inc................................ 12,500 531,250
*Fairchild Corp. Class A.............................. 35,152 254,852
*Fairfield Communities, Inc........................... 47,000 561,062
Falcon Products, Inc.................................. 7,500 70,312
*#Family Golf Centers, Inc............................ 25,550 41,918
*Fansteel, Inc........................................ 5,700 25,650
*Farm Family Holdings, Inc............................ 4,700 191,525
Farmer Brothers Co.................................... 1,500 249,750
*Faro Technologies, Inc............................... 2,100 6,497
*Faroudja, Inc........................................ 9,700 48,197
*Farr Co.............................................. 7,725 76,043
Farrel Corp........................................... 3,400 6,906
*Featherlite Manufacturing, Inc....................... 5,400 35,606
Fedders Corp.......................................... 17,000 91,375
Fedders Corp. Class A................................. 7,700 36,094
Federal Screw Works................................... 1,800 81,112
*#Female Health Co.................................... 9,300 11,770
*Fibermark, Inc....................................... 6,100 76,250
*Fiberstars, Inc...................................... 3,200 14,200
Fidelity Bancorp, Inc. Delaware....................... 1,300 22,791
*Fidelity Federal Bancorp............................. 2,500 6,016
Fidelity Financial of Ohio, Inc....................... 3,900 74,222
*Fidelity National Corp............................... 4,600 34,069
Fidelity National Financial, Inc...................... 33,300 501,581
*Filenes Basement Corp................................ 10,900 2,289
*Filenet Corp......................................... 31,500 632,953
*#Film Roman, Inc..................................... 3,700 9,250
*Financial Federal Corp............................... 13,325 275,661
*Finish Line, Inc. Class A............................ 18,900 124,622
*Finishmaster, Inc.................................... 800 5,400
*Finlay Enterprises, Inc.............................. 2,900 41,959
First Albany Companies, Inc........................... 2,647 32,508
*First American Health Concepts, Inc.................. 1,100 2,819
First Bancorp......................................... 600 10,762
First Bell Bancorp, Inc............................... 4,600 73,744
*First Cash, Inc...................................... 6,000 44,625
First Charter Corp.................................... 16,680 269,486
First Commonwealth Financial Corp..................... 46,960 545,910
*First Consulting Group, Inc.......................... 26,544 250,509
First Defiance Financial Corp......................... 6,959 81,986
First Essex Bancorp................................... 6,800 111,562
First Federal Bancshares of Arkansas, Inc............. 3,400 57,162
First Federal Capital Corp............................ 18,500 274,031
First Federal Savings & Loan Association of East
Hartford, CT........................................ 2,000 59,250
First Financial Bankshares, Inc....................... 5,513 175,727
<CAPTION>
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First Financial Holdings, Inc......................... 12,200 $ 220,744
First Franklin Corp................................... 300 4,059
First Georgia Holdings, Inc........................... 1,012 5,155
First Indiana Corp.................................... 10,657 249,107
First International Bancorp, Inc...................... 200 1,681
*First Investors Financial Services Group, Inc........ 6,000 32,625
First Keystone Financial, Inc......................... 2,000 21,500
First Mariner Bank Corp............................... 3,100 28,384
First Merchants Corp.................................. 10,050 273,234
First Midwest Financial, Inc.......................... 1,400 17,981
First Mutual Bancshares, Inc.......................... 3,768 44,392
First Northern Capital Corp........................... 7,700 82,775
First Oak Brook Bancshares, Inc. Class A.............. 1,400 26,206
*First Republic Bank.................................. 8,700 204,994
First Savings Bancorp, Inc. North Carolina............ 2,400 46,350
First SecurityFed Financial, Inc...................... 4,300 48,912
First Sentinel Bancorp, Inc........................... 23,600 196,544
*First Sierra Financial, Inc.......................... 21,400 456,087
First Source Corp..................................... 15,165 408,981
*#First Team Sports, Inc.............................. 2,900 6,887
First United Corp..................................... 2,800 39,900
First Washington Bancorp, Inc......................... 10,560 174,900
First Years, Inc...................................... 13,300 112,634
*FirstCity Financial Corp............................. 3,300 7,322
Firstfed America Bancorp, Inc......................... 5,000 63,125
*FirstFed Financial Corp. DE.......................... 19,100 294,856
Firstspartan Financial Corp........................... 3,400 63,112
*Firstwave Technologies, Inc.......................... 3,600 13,050
*Fischer Imaging Corp................................. 7,000 12,031
Flag Financial Corp................................... 5,900 41,669
Flagstar Bancorp, Inc................................. 11,000 175,656
Flamemaster Corp...................................... 247 1,505
*Flander Corp......................................... 23,100 74,353
Fleetwood Enterprises, Inc............................ 17,500 367,500
Fleming Companies, Inc................................ 34,500 416,156
Flexsteel Industries, Inc............................. 6,200 86,025
*flightserv.com....................................... 10,900 83,112
*Flir Systems, Inc.................................... 11,500 176,453
Florida Public Utilities Co........................... 2,400 44,100
Florida Rock Industries, Inc.......................... 18,900 590,625
*Florsheim Group, Inc................................. 8,400 24,937
*Flour City International, Inc........................ 300 1,022
*Flow International Corp.............................. 13,800 141,450
Flowserve Corp........................................ 32,400 562,950
Flushing Financial Corp............................... 10,500 167,344
*Foamex International, Inc............................ 20,500 151,828
*Focal, Inc........................................... 8,700 42,277
*Foilmark, Inc........................................ 6,275 18,825
*Foodarama Supermarkets, Inc.......................... 600 16,050
Foothill Independent Bancorp.......................... 3,389 46,811
*Footstar, Inc........................................ 12,000 398,250
Foremost Corp. of America............................. 24,700 697,775
Forest City Enterprises, Inc. Class A................. 7,400 183,612
Forest City Enterprises, Inc. Class B................. 3,900 107,494
*Forest Oil Corp...................................... 33,040 377,895
*Forrester Resh, Inc.................................. 7,700 378,744
*Forward Air Corp., Inc............................... 12,300 385,144
*Fossil, Inc.......................................... 20,700 435,347
*Foster (L.B.) Co. Class A............................ 10,000 49,062
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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Foster Wheeler Corp................................... 36,700 $ 373,881
*Fotoball USA, Inc.................................... 900 5,991
*Fountain Powerboat Industries, Inc................... 3,800 11,281
*#Four Kids Entertainment, Inc........................ 6,300 335,278
*Four Media Co........................................ 11,700 146,616
*Fourth Shift Corp.................................... 8,900 36,156
Frankfort First Bancorp, Inc.......................... 850 12,750
Franklin Bank National Associaton Southfield, MI...... 2,789 24,360
*Franklin Covey Co.................................... 20,300 148,444
Franklin Electric Co., Inc............................ 3,200 228,200
*Franklin Electronic Publishers, Inc.................. 6,500 32,500
Freds, Inc. Class A................................... 9,500 124,094
Freedom Securities Corp............................... 17,800 232,512
Fremont General Corp.................................. 24,000 121,500
*French Fragrances, Inc............................... 12,300 91,097
Frequency Electronics, Inc............................ 6,250 52,344
*Fresh America Corp................................... 4,800 21,600
*Fresh Choice, Inc.................................... 3,900 6,825
*Fresh Foods, Inc..................................... 5,200 38,837
*Friede Goldman International......................... 40,973 345,710
*Friedman Billings Ramsey Group, Inc. Class A......... 12,100 71,844
Friedman Industries, Inc.............................. 2,700 9,787
Friedmans, Inc. Class A............................... 13,100 98,659
*Friendly Ice Cream Corp.............................. 5,700 27,966
Frisch's Restaurants, Inc............................. 4,383 42,186
*Fritz Companies, Inc................................. 36,300 357,328
Frontier Adjusters of America, Inc.................... 1,000 1,187
*Frontier Airlines, Inc............................... 14,300 149,256
Frontier Insurance Group, Inc......................... 36,990 110,970
*Frontier Oil Corp.................................... 35,100 190,856
Frozen Food Express Industries, Inc................... 15,207 66,055
*FuelCell Energy, Inc................................. 5,550 132,853
Fuller (H.B.) Co...................................... 12,600 687,094
*Funco, Inc........................................... 4,200 72,712
*Fusion Medical Technologies, Inc..................... 7,900 107,144
*G-III Apparel Group, Ltd............................. 5,200 14,625
GA Financial, Inc..................................... 5,700 76,950
GBC Bancorp........................................... 12,700 268,684
*GC Companies, Inc.................................... 6,900 194,494
*GP Strategies Corp................................... 9,580 75,442
*GRC International, Inc............................... 9,100 94,981
*GT Interactive Software Corp......................... 70,400 144,100
*GTS Duratek, Inc..................................... 14,100 100,022
*GZA Geoenvironmental Technologies, Inc............... 1,700 6,481
*Gadzooks, Inc........................................ 8,200 69,956
Gainsco, Inc.......................................... 18,800 111,625
*Galey & Lord, Inc.................................... 14,600 36,500
*GameTech International, Inc.......................... 6,500 30,062
*#Gantos, Inc......................................... 1,516 1,587
Garan, Inc............................................ 4,142 127,884
*Garden Fresh Restaurant Corp......................... 5,000 83,437
*Garden Ridge Corp.................................... 16,300 184,394
*#Gardenburger, Inc................................... 8,700 69,056
*Gardner Denver Machinery, Inc........................ 14,500 237,437
*Gart Sports Co....................................... 676 3,971
*Gasonics International, Inc.......................... 12,150 186,806
*Gaylord Container Corp. Class A...................... 56,600 353,750
*Geerling & Wade, Inc................................. 2,600 24,375
*Gehl Co.............................................. 4,500 83,250
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*#Geltex Pharmaceuticals, Inc......................... 15,000 $ 158,906
Gencor Industries, Inc................................ 5,100 32,194
Gencorp, Inc.......................................... 4,900 53,594
*Gene Logic, Inc...................................... 11,896 73,235
*Genelabs Technologies, Inc........................... 41,900 161,708
General Binding Corp.................................. 13,300 108,478
General Cable Corp.................................... 32,700 253,425
General Chemical Group, Inc........................... 15,100 42,469
*General Cigar Holdings, Inc. Class A................. 12,600 95,287
*General Cigar Holdings, Inc. Class B................. 9,780 73,961
*General Communications, Inc.
Class A............................................. 45,100 184,628
*#General Datacomm Industries, Inc.................... 19,400 118,825
General Electric Co................................... 3,013 391,690
General Employment Enterprises, Inc................... 4,594 20,673
*#General Magic, Inc.................................. 33,200 86,631
General Magnaplate Corp............................... 400 1,187
*General Semiconductor, Inc........................... 34,100 468,875
*Genesco, Inc......................................... 26,000 364,000
Genesee Corp. Class B................................. 200 4,437
*Genesis Health Ventures, Inc......................... 31,700 89,156
Genesis Worldwide, Inc................................ 3,400 14,237
*Genesys Telecommunications Laboratories, Inc......... 10,100 518,572
*#Geneva Steel Co. Class A............................ 11,900 3,272
*Genlyte Group, Inc................................... 12,100 291,156
*Genome Therapeutics Corp............................. 16,900 73,409
*Genrad, Inc.......................................... 28,900 511,169
*Gensym Corp.......................................... 5,300 25,920
Gentek, Inc........................................... 22,000 257,125
*#Genus, Inc.......................................... 11,100 42,492
*Genzyme Transgenics Corp............................. 16,400 137,350
Geon Co............................................... 21,000 635,250
Georgia Gulf Corp..................................... 28,500 726,750
*Geoscience Corp...................................... 3,800 24,937
*Geoworks............................................. 16,100 105,405
*Gerber Childrenswear, Inc............................ 10,000 46,250
Gerber Scientific, Inc................................ 29,600 569,800
*#Geron Corp.......................................... 13,400 143,631
*Getty Petroleum Marketing, Inc....................... 12,100 36,300
Getty Realty Corp. (Holding Co.)...................... 13,600 174,250
*Giant Cement Holding, Inc............................ 7,900 243,666
*Giant Group, Ltd..................................... 2,200 7,975
*Giant Industries, Inc................................ 10,800 93,825
Gibraltar Steel Corp.................................. 11,100 262,931
*Gibson Greetings, Inc................................ 14,800 140,600
*Giga Information Group, Inc.......................... 10,000 43,125
*Giga-Tronics, Inc.................................... 3,500 18,922
*Gilman & Ciocia, Inc................................. 9,400 86,362
*Gish Biomedical, Inc................................. 2,400 8,175
Glacier Bancorp, Inc.................................. 2,798 48,615
*Glacier Water Services, Inc.......................... 1,200 19,050
Glatfelter (P.H.) Co.................................. 38,300 493,112
Gleason Corp.......................................... 9,200 163,300
*Glenayre Technologies, Inc........................... 67,000 313,016
*#Gliatech, Inc....................................... 8,900 118,203
*Global Imaging Systems, Inc.......................... 13,300 214,462
*Global Industrial Technologies, Inc.................. 18,800 237,350
*Global Payment Technologies, Inc..................... 4,400 39,187
*#Global Sports, Inc.................................. 14,000 304,500
*Global Technologies, Ltd............................. 4,600 35,937
*Global Vacation Group, Inc........................... 8,200 32,800
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Globe Business Resources, Inc........................ 4,300 $ 54,691
*Globecomm Systems, Inc............................... 5,300 99,209
Gold Banc Corp........................................ 15,500 158,391
*#Golden Books Family Entertainment, Inc.............. 24,600 4,551
Golden Enterprises, Inc............................... 11,000 31,281
*Golden State Vintners, Inc........................... 2,600 9,059
*Good Guys, Inc....................................... 12,700 103,981
*Goodys Family Clothing............................... 33,300 219,572
Gorman-Rupp Co........................................ 6,775 121,103
*Gottschalks, Inc..................................... 10,700 96,300
*Government Technology Services, Inc.................. 6,900 21,778
Graco, Inc............................................ 18,100 596,169
*Gradco Systems, Inc.................................. 5,875 6,150
*Graham Corp.......................................... 1,000 7,125
Grand Premier Financial, Inc.......................... 19,801 332,904
*Grand Union Co....................................... 10,200 107,737
Granite Construction, Inc............................. 8,100 153,900
Granite State Bankshares, Inc......................... 5,300 116,931
Gray Communications Systems, Inc...................... 5,400 93,825
*Great Plains Software................................ 12,200 653,081
Great Southern Bancorp, Inc........................... 4,200 90,562
Greater Bay Bancorp................................... 10,058 422,122
*Green Mountain Coffee, Inc........................... 3,100 28,094
Green Mountain Power Corp............................. 4,800 41,100
*Greenbriar Corp...................................... 6,760 4,225
Greenbrier Companies, Inc............................. 12,700 127,000
Grey Advertising, Inc................................. 200 69,500
*Grey Wolf, Inc....................................... 112,300 308,825
*Griffin Land & Nurseries, Inc. Class A............... 2,200 23,787
*Griffon Corp......................................... 27,400 210,637
*Gristede's Sloans, Inc............................... 1,200 2,700
*Group 1 Automotive, Inc.............................. 16,200 234,900
*Group 1 Software, Inc................................ 5,350 81,253
*Group Maintenance America Corp....................... 12,200 111,325
*Grow Biz International, Inc.......................... 3,800 16,387
*Grubb & Ellis Co..................................... 17,900 107,400
Guarantee Life Companies, Inc......................... 7,400 232,869
Guaranty Federal Bancshares, Inc...................... 5,200 57,850
*Guess, Inc........................................... 42,950 770,416
*Guest Supply, Inc.................................... 5,700 81,225
Guilford Mills, Inc................................... 27,250 197,562
*Guilford Pharmaceuticals, Inc........................ 22,500 331,875
*Guitar Center, Inc................................... 13,500 144,281
*Gulf Island Fabrication, Inc......................... 10,500 96,797
*Gulfmark Offshore, Inc............................... 7,300 104,709
*#Gumtech International, Inc.......................... 5,500 86,281
*Gundle/SLT Environmental, Inc........................ 13,700 56,512
*Gymboree Corp........................................ 26,200 158,837
HCC Insurance Holdings, Inc........................... 9,600 102,000
*HD Vest, Inc......................................... 2,200 16,362
*HEI, Inc............................................. 3,300 20,419
HF Financial Corp..................................... 3,300 41,869
*HIE, Inc............................................. 32,500 78,203
*HMI Industries, Inc.................................. 5,400 7,256
HMN Financial, Inc.................................... 4,300 54,691
*HMT Technology Corp.................................. 53,700 193,823
*HPSC, Inc............................................ 2,100 20,672
*HS Resources, Inc.................................... 16,700 216,056
*HTE, Inc............................................. 15,200 45,125
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Ha-Lo Industries, Inc................................ 48,700 $ 304,375
*Hadco Corp........................................... 11,900 562,275
*Haemonetics Corp..................................... 26,700 600,750
Haggar Corp........................................... 6,800 84,575
*Hagler Bailly, Inc................................... 14,600 79,844
*Hahn Automotive Warehouse, Inc....................... 2,163 2,569
*Hain Food Group, Inc................................. 12,600 287,831
Halifax Corp.......................................... 1,000 5,437
*Hall Kinion Associates, Inc.......................... 7,700 138,359
Hallmark Capital Corp................................. 2,100 20,672
*#Halsey Drug Co., Inc................................ 12,200 19,062
*Hamilton Bancorp, Inc................................ 9,000 173,812
*Hammons (John Q.) Hotels, Inc. Class A............... 4,800 17,400
*Hampshire Group, Ltd................................. 1,400 12,512
*Hampton Industries, Inc.............................. 4,444 10,832
Hancock Fabrics, Inc.................................. 20,100 80,400
Hancock Holding Co.................................... 7,105 287,086
*Handleman Co......................................... 29,600 456,950
*Hanger Orthopedic Group, Inc......................... 31,900 326,975
*Hanover Direct, Inc.................................. 161,600 626,200
*Happy Kids, Inc...................................... 6,200 71,881
*Harbinger Corp....................................... 41,300 724,041
Harbor Federal Bancorp, Inc........................... 770 10,972
Harbor Florida Bancshares, Inc........................ 27,800 351,844
*Harding Lawson Associates Group, Inc................. 5,000 37,344
Hardinge Brothers, Inc................................ 8,850 120,858
*Harken Energy Corp................................... 110,500 110,500
Harland (John H.) Co.................................. 31,000 575,437
Harleysville Group, Inc............................... 26,100 392,316
Harleysville National Corp. PA........................ 5,601 181,682
Harmon Industries, Inc................................ 9,450 118,125
*Harmonic Lightwaves, Inc............................. 13,400 806,512
Harnischfeger Industries, Inc......................... 37,800 40,162
*Harolds Stores, Inc.................................. 2,308 10,097
Harris Financial, Inc................................. 30,600 269,662
*Harry's Farmers Market, Inc.
Class A............................................. 2,100 1,903
*Hartmarx Corp........................................ 44,900 171,181
*Harvey Entertainment Co.............................. 3,800 18,525
*Hastings Entertainment, Inc.......................... 9,300 45,628
Hastings Manufacturing Co............................. 700 6,694
*Hathaway Corp........................................ 2,900 3,444
*Hauppauge Digital, Inc............................... 3,000 73,031
*Hauser, Inc.......................................... 4,950 11,911
Haven Bancorp, Inc.................................... 8,000 129,500
Haverty Furniture Co., Inc............................ 16,200 222,750
Haverty Furniture Co., Inc. Class A................... 400 5,400
*Hawaii Land & Farming Co., Inc....................... 1,800 562
*Hawaiian Airlines, Inc............................... 40,900 89,469
*Hawk Corp............................................ 9,300 49,987
*Hawker Pacific Aerospace............................. 5,000 22,969
Hawkins Chemical, Inc................................. 9,245 76,560
*Hawthorne Financial Corp............................. 3,900 54,112
*Hayes Lemmerz International, Inc..................... 30,000 491,250
*Headway Corporate Resources, Inc..................... 9,300 34,584
*Health Management Systems, Inc....................... 15,800 72,581
*Health Power, Inc.................................... 1,900 3,058
*Health Risk Management, Inc.......................... 4,100 27,931
*Health Systems Design Corp........................... 5,100 27,094
*Healthcare Recoveries, Inc........................... 14,600 47,678
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Healthcare Services Group, Inc....................... 8,250 $ 67,031
*Healthcor Holdings................................... 3,000 180
Healthplan Services Corp.............................. 14,700 96,469
*Healthworld Corp..................................... 4,600 96,600
*Heartland Express, Inc............................... 29,976 446,830
*Heartport, Inc....................................... 29,200 145,087
*Hearx, Ltd........................................... 11,200 44,800
*Hecla Mining Co...................................... 53,300 109,931
*Hector Communications Corp........................... 1,200 18,750
Heico Corp............................................ 8,115 138,969
Heico Corp. Class A................................... 2,507 36,508
Heilig-Meyers Co...................................... 64,750 234,719
*Heist (C.H.) Corp.................................... 2,100 13,125
Helix Technology Corp................................. 24,600 994,762
*Hello Direct, Inc.................................... 5,000 60,156
*Helmstar Group, Inc.................................. 1,300 5,362
*Hemasure, Inc........................................ 6,600 38,362
*#Hemispherx Biopharma, Inc........................... 21,500 197,531
Henry Jack & Associates, Inc.......................... 13,698 544,067
#Herbalife International, Inc. Class A................ 8,800 127,325
#Herbalife International, Inc. Class B................ 12,200 159,362
Heritage Financial Corp............................... 8,700 73,678
*Herley Industries, Inc............................... 5,900 81,309
*Heska Corp........................................... 22,200 47,175
*Hexcel Corp.......................................... 36,300 215,531
*Hi-Shear Industries, Inc............................. 500 1,156
*Hi-Shear Technology Corp............................. 5,300 15,900
*Hi-Tech Pharmacal, Inc............................... 3,100 15,258
*#Hi/Fn, Inc.......................................... 5,449 239,586
*#Hibbett Sporting Goods, Inc......................... 5,800 75,400
*High Plains Corp..................................... 14,800 20,812
*Highlands Insurance Group, Inc....................... 12,900 93,525
*#Highway Master Communications, Inc.................. 22,300 52,962
Hilb Rogal Hamilton Co................................ 11,500 311,937
*Hines Horticulture, Inc.............................. 15,700 139,828
*Hirsch International Corp. Class A................... 5,500 7,820
*Hoenig Group, Inc.................................... 7,700 76,278
*Holiday RV Superstores, Inc.......................... 5,000 23,594
*#Hollis-Eden Pharmaceuticals, Inc.................... 6,700 108,037
Holly Corp............................................ 7,400 106,375
*Hollywood Casino Corp. Class A....................... 21,100 71,212
*Hollywood Entertainment Corp......................... 30,400 430,350
*Hollywood Park, Inc.................................. 23,700 478,444
*Hologic, Inc......................................... 17,800 95,675
*Holt's Cigar Holdings, Inc........................... 1,122 5,119
Home Bancorp.......................................... 1,700 34,531
Home Federal Bancorp.................................. 2,725 63,697
*Home Loan Financial Corp............................. 2,400 21,750
Home Port Bancorp, Inc................................ 600 15,975
*Home Products International, Inc..................... 7,200 64,575
*Homebase, Inc........................................ 46,050 158,297
*#Homegold Financial, Inc............................. 7,700 5,173
*Homestead Village, Inc............................... 34,400 81,700
Hooper Holmes, Inc.................................... 25,200 595,350
Horizon Financial Corp................................ 6,753 67,952
*Horizon Health Corp.................................. 6,000 44,625
*Horizon Medical Products, Inc........................ 3,000 9,562
*Horizon Offshore, Inc................................ 7,600 47,737
*Horizon Pharmacies, Inc.............................. 5,000 14,687
*Hospitality Worldwide Services, Inc.................. 12,100 33,275
*Hot Topic, Inc....................................... 4,400 194,562
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Houston Exploration Co............................... 22,100 $ 442,000
*Hovnanian Enterprises, Inc. Class A.................. 12,700 80,962
*Hovnanian Enterprises, Inc. Class B.................. 1,150 7,331
#Howell Corp.......................................... 2,100 12,862
*Howtek, Inc.......................................... 3,600 7,087
*Hub Group, Inc. Class A.............................. 5,200 90,025
*Hudson Hotels Corp................................... 3,100 3,391
*Hudson River Bancorp, Inc............................ 7,200 78,525
*#Hudson Technologies, Inc............................ 4,600 9,056
Huffy Corp............................................ 11,200 73,500
Hughes Supply, Inc.................................... 21,700 514,019
Hunt (J.B.) Transport Services, Inc................... 29,000 383,344
Hunt Corp............................................. 10,200 84,150
Huntco, Inc. Class A.................................. 4,900 10,719
*Hurco Companies, Inc................................. 5,900 22,862
*Hutchinson Technology, Inc........................... 22,200 409,312
*#Hvide Marine, Inc. Class A.......................... 7,000 945
*Hycor Biomedical, Inc................................ 5,600 12,775
*Hypercom Corp........................................ 22,600 213,287
*HyperFeed Technologies, Inc.......................... 12,000 62,437
*Hyperion Solutions Corp.............................. 29,935 820,406
*Hyseq, Inc........................................... 11,500 77,625
*I-Stat Corp.......................................... 12,200 163,175
*ICF Kaiser International, Inc........................ 17,900 10,069
*ICOS Corp............................................ 4,700 149,372
*ICT Group, Inc....................................... 10,400 127,400
*ICU Medical, Inc..................................... 6,400 98,200
*IDEXX Laboratories, Inc.............................. 14,000 259,875
*IDG Books Worldwide, Inc............................. 12,100 184,525
*IDT Corp............................................. 23,200 527,075
*IDX Systems Corp..................................... 33,800 717,194
*IEC Electronics Corp................................. 6,700 15,494
*IFR Systems, Inc..................................... 7,200 27,900
*#IGEN, Inc........................................... 13,700 351,062
*IGI, Inc............................................. 6,200 7,750
*IHOP Corp............................................ 19,800 306,900
*II-VI, Inc........................................... 6,200 107,725
IMCO Recycling, Inc................................... 15,400 198,275
*IMR Global Corp...................................... 38,400 438,000
*IRI International Corp............................... 24,000 102,000
ISB Financial Corp. LA................................ 5,400 86,400
*ISOCOR............................................... 11,800 274,350
*IT Group, Inc ....................................... 28,080 293,085
*ITC Learning Corp.................................... 2,800 4,550
*ITEQ, Inc............................................ 25,354 21,789
*ITI Technologies, Inc................................ 7,500 224,531
*ITLA Capital Corp.................................... 6,400 93,800
*ITT Educational Services, Inc........................ 22,900 403,613
*IVI Checkmate Corp................................... 17,593 61,026
*Ibis Technology Corp................................. 6,100 247,431
Ico, Inc.............................................. 14,320 22,151
*Identix, Inc......................................... 26,800 236,175
*Ikos Systems, Inc.................................... 8,700 67,153
*Il Fornaio (America) Corp............................ 4,200 25,397
*Image Entertainment, Inc............................. 16,300 94,234
*#Imatron, Inc........................................ 71,200 154,637
*#Imclone Systems, Inc................................ 21,900 795,244
*Immucor, Inc......................................... 6,500 80,437
*Immune Response Corp. DE............................. 23,500 105,016
*#Immunogen, Inc...................................... 17,100 59,316
*#Immunomedics, Inc................................... 33,800 78,691
*Impath, Inc.......................................... 7,300 162,881
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Impco Technologies, Inc.............................. 6,500 $ 83,687
*Imperial Credit Industries, Inc...................... 33,150 194,756
Imperial Sugar Co..................................... 36,251 145,004
*In Focus Systems, Inc................................ 20,000 416,875
*In Home Health, Inc.................................. 1,400 4,112
*Inacom Corp.......................................... 40,744 241,917
*Incyte Pharmaceuticals, Inc.......................... 19,100 552,706
Independence Community Bank Corp...................... 1,040 11,667
Independence Holding Co............................... 2,500 28,437
Independent Bank Corp. MA............................. 13,400 182,994
Independent Bank East................................. 10,402 171,958
Indiana Energy, Inc................................... 27,066 532,862
*Individual Investor Group, Inc....................... 8,500 24,172
*Indus International, Inc............................. 6,500 60,633
Industrial Bancorp, Inc............................... 4,100 71,237
*#Industrial Data Systems Corp........................ 5,000 4,687
*Industrial Distribution Group, Inc................... 7,700 29,356
*Industrial Holdings, Inc............................. 13,000 33,312
*Industri-Matematik International Corp. ADR........... 4,500 13,078
*Inference Corp. Class A.............................. 6,400 30,200
*Infinium Software, Inc............................... 11,200 55,300
*#Infocure Corp....................................... 22,300 358,891
*#Infonautics Corp. Class A........................... 8,500 66,008
*#Information Architects Corp......................... 14,700 64,312
*Information Management Associates, Inc............... 8,700 34,936
*#Information Resource Engineering, Inc............... 4,800 78,450
*Information Resources, Inc........................... 28,200 281,559
*infoUSA, Inc......................................... 39,400 247,481
*Infu-tech, Inc....................................... 2,000 2,250
Ingles Market, Inc. Class A........................... 8,100 94,922
*#Inhale Therapeutic Systems.......................... 14,100 435,778
*Innerdyne, Inc....................................... 19,600 73,500
*Innodata Corp........................................ 1,800 14,456
*Innotrac Corp........................................ 15,300 223,762
*Innovasive Devices, Inc.............................. 6,500 50,172
*Innovative Clinical Solutions, Ltd................... 30,000 15,000
*#Innovative Gaming Corp. of America.................. 6,800 11,688
Innovex, Inc.......................................... 13,200 119,213
*iNTELFILM Corp....................................... 4,700 11,897
*Inprise Corp......................................... 55,200 493,350
*Input Software, Inc.................................. 5,600 25,550
*Input/Output, Inc.................................... 50,400 270,900
*Insight Enterprises, Inc............................. 21,562 723,675
*Insignia Financial Group, Inc........................ 28,733 233,456
*Insilco Holding Co................................... 192 4,848
*Insite Vision, Inc................................... 14,100 36,131
*Insituform East, Inc................................. 1,700 2,709
*Insituform Technologies, Inc. Class A................ 25,910 649,369
*Inso Corp............................................ 13,400 304,431
*Inspire Insurance Solutions, Inc..................... 23,000 144,828
Insteel Industries, Inc............................... 6,800 57,375
*Insurance Auto Auctions, Inc......................... 10,200 145,669
*Insurance Management Solutions, Inc.................. 15,500 46,500
*Integra Lifesciences Corp............................ 14,150 89,101
*Integra, Inc......................................... 5,900 9,588
*Integral Vision, Inc................................. 8,100 11,517
*IntegraMed America, Inc.............................. 3,800 12,053
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Integrated Device Technology, Inc.................... 25,375 $ 597,105
*Integrated Electrical Services, Inc.................. 25,000 265,625
*Integrated Measurement System, Inc................... 6,800 94,988
*Integrated Silicon Solution, Inc..................... 17,300 157,592
*Integrated Systems, Inc.............................. 21,200 610,825
*Intellicall, Inc..................................... 8,900 5,006
*#Intellidata Technologies Corp....................... 18,500 91,055
*Intelligent Life Corp................................ 7,000 30,406
*Intelligent Systems Corp............................. 3,600 9,563
*#Intelligroup, Inc................................... 14,000 215,688
*IntelliQuest Information Group, Inc.................. 3,100 37,684
*Inter Parfums, Inc................................... 7,150 65,691
*InterCept Group, Inc................................. 9,900 166,753
Interchange Financial Services Corp. Saddle Brook..... 5,170 92,091
*InterDent, Inc....................................... 21,700 184,450
*Interdigital Communications Corp..................... 46,000 465,750
*Interface Systems, Inc............................... 3,400 47,494
Interface, Inc. Class A............................... 41,900 189,859
*Interferon Scientific, Inc........................... 2,435 761
*Intergraph Corp...................................... 54,400 243,950
*Interleaf, Inc....................................... 8,000 294,500
*Interlink Electronics................................ 4,700 140,559
*Interlinq Software Corp.............................. 4,100 17,809
*Interlott Technologies, Inc.......................... 2,200 11,275
*#Intermagnetics General Corp......................... 11,754 78,605
Intermet Corp......................................... 25,700 258,606
International Aluminum Corp........................... 2,100 51,844
*International FiberCom, Inc.......................... 22,500 159,961
*#International Microcomputer Software, Inc........... 5,100 11,475
International Multifoods Corp......................... 16,900 235,544
*International Rectifier Corp......................... 36,500 739,125
*International Remote Imaging Systems, Inc............ 3,000 2,063
International Shipholding Corp........................ 5,225 70,538
*International Speciality Products, Inc............... 36,300 304,013
*International Telecommunication Data Systems, Inc.... 16,900 220,756
*International Thoroughbred Breeders, Inc............. 5,800 2,552
*International Total Services, Inc.................... 5,600 7,508
*Interneuron Pharmaceuticals, Inc..................... 41,800 138,463
*Interphase Corp...................................... 4,200 124,688
Interpool, Inc........................................ 29,850 264,919
*Interpore International.............................. 12,900 85,866
*Interstate National Dealers Services, Inc............ 4,200 25,594
*Intertan, Inc........................................ 17,400 416,513
Inter-Tel, Inc........................................ 24,100 481,247
*Intervisual Books, Inc. Class A...................... 1,000 1,875
*Intervoice, Inc...................................... 29,691 446,293
*Intervu, Inc......................................... 8,900 555,416
Interwest Bancorp..................................... 15,400 315,700
*Intevac, Inc......................................... 13,900 54,731
*IntraNet Solutions, Inc.............................. 8,300 182,859
Invacare Corp......................................... 25,300 532,881
Investors Financial Services Corp..................... 16,198 741,565
Investors Title Co.................................... 1,400 24,631
*Invision Technologies, Inc........................... 11,200 45,150
*Invivo Corp.......................................... 2,600 33,638
*Iomed, Inc........................................... 5,200 20,150
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Ionics, Inc.......................................... 14,500 $ 386,969
*Iridex Corp.......................................... 5,800 54,013
Iroquois Bancorp...................................... 400 7,475
Irwin Financial Corp.................................. 17,400 359,419
Isco, Inc............................................. 14,735 73,905
*Isis Pharmaceuticals, Inc............................ 27,000 422,719
*Isle of Capri Casinos, Inc........................... 21,200 273,613
*Isolyser Co., Inc.................................... 34,010 96,716
*#Itron, Inc.......................................... 13,200 83,738
*Ivex Packaging Corp.................................. 23,000 242,938
*J & J Snack Foods Corp............................... 8,100 152,634
*J. Alexander's Corp.................................. 5,900 18,069
*J. Jill Group, Inc................................... 8,500 46,352
*JDA Software Group, Inc.............................. 23,400 328,331
JLG Industries, Inc................................... 44,300 606,356
*JLK Direct Distribution, Inc. Class A................ 5,600 54,600
*JLM Industries, Inc.................................. 6,000 21,938
*#JMAR Industries, Inc................................ 13,800 22,209
*JPM Co............................................... 5,600 50,400
*JPS Industries, Inc.................................. 4,900 14,700
JSB Financial, Inc.................................... 5,000 295,625
*JWGenesis Financial Corp............................. 5,000 80,625
*Jackpot Enterprises, Inc............................. 8,000 65,500
Jacksonville Bancorp, Inc............................. 1,600 24,700
*Jaclyn, Inc.......................................... 1,300 3,656
*Jaco Electronics, Inc................................ 2,973 11,056
*Jacobson Stores, Inc................................. 5,200 35,913
*Jakks Pacific, Inc................................... 12,600 305,156
*Jan Bell Marketing, Inc.............................. 24,800 69,750
*Jason, Inc........................................... 17,687 132,653
*Javelin Systems, Inc................................. 12,900 148,350
Jeffbanks, Inc........................................ 2,843 85,912
Jefferies Group, Inc.................................. 20,900 415,388
Jefferson Savings Bancorp, Inc........................ 7,000 84,000
*Jennifer Convertibles, Inc........................... 1,300 2,722
*Jo-Ann Stores, Inc. Class A.......................... 4,500 58,781
*Jo-Ann Stores, Inc. Class B.......................... 3,400 41,225
*Johnson Worldwide Associates, Inc. Class A........... 6,700 52,658
*Johnston Industries, Inc............................. 8,100 12,656
*Jones Lang LaSalle, Inc.............................. 33,900 411,038
*Jos. A. Bank Clothiers, Inc.......................... 5,400 14,850
Jostens, Inc.......................................... 28,800 529,200
*Joule, Inc........................................... 1,500 2,906
*Journal Register Co.................................. 24,000 286,500
*Jps Packaging Company................................ 3,300 9,694
*Juno Lighting, Inc................................... 980 11,362
*#Just for Feet, Inc.................................. 31,200 39,000
Justin Industries, Inc................................ 26,300 408,472
K Swiss, Inc. Class A................................. 6,600 94,256
*#K-Tel International, Inc............................ 8,600 56,706
*K-Tron International, Inc............................ 6,200 87,963
*K-V Pharmaceutical Co. Class A....................... 10,500 203,438
*K-V Pharmaceutical Co. Class B....................... 8,300 159,775
K2, Inc............................................... 15,440 113,870
*KBK Capital Corp..................................... 5,000 24,375
*#KFX, Inc............................................ 12,000 12,750
*KLLM Transport Services, Inc......................... 3,500 22,148
*KTI, Inc............................................. 11,900 98,175
*KVH Industries, Inc.................................. 4,800 14,775
*Kaiser Aluminum Corp................................. 84,200 557,825
*Kaiser Ventures, Inc................................. 9,700 133,981
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kaman Corp. Class A................................... 20,700 $ 246,459
*Kaneb Services, Inc.................................. 31,700 138,688
*Kasper A.S.L., Ltd................................... 5,500 16,156
Katy Industries, Inc.................................. 6,200 65,100
Kaye Group, Inc....................................... 3,000 25,875
Keithley Instruments, Inc............................. 1,000 20,563
*Kellstrom Industries, Inc............................ 11,800 103,619
Kellwood Co........................................... 24,900 516,675
*Kendle International, Inc............................ 14,600 118,625
Kennametal, Inc....................................... 1,900 63,175
*Kennedy-Wilson, Inc.................................. 7,500 56,719
*Kensey Nash Corp..................................... 6,700 87,309
*Kent Electronics Corp................................ 24,500 561,969
*Kentucky Electric Steel, Inc......................... 2,800 8,138
Kentucky First Bancorp, Inc........................... 200 2,050
*#Keravision, Inc..................................... 18,100 161,203
*Kevco, Inc........................................... 8,300 24,122
Kewaunee Scientific Corp.............................. 2,000 20,375
*Key Energy Group, Inc................................ 54,100 270,500
*Key Production Co., Inc.............................. 10,400 84,500
*Key Technology, Inc.................................. 3,300 24,853
*Key Tronic Corp...................................... 8,700 36,431
*Keystone Automotive Industries, Inc.................. 18,040 103,730
*Keystone Consolidated Industries, Inc................ 8,973 35,331
Kimball International, Inc. Class B................... 24,400 403,363
*Kimmins Corp......................................... 3,400 1,328
*Kinark Corp.......................................... 6,800 8,500
*Kinnard Investment, Inc.............................. 4,200 24,019
*Kirby Corp........................................... 18,100 332,588
*Kit Manufacturing Co................................. 300 1,425
*Kitty Hawk, Inc...................................... 15,200 118,750
Klamath First Bancorp, Inc............................ 9,400 106,925
Knape & Vogt Manufacturing Co......................... 2,900 43,772
*Knight Transportation, Inc........................... 13,500 188,578
*Koala Corp........................................... 5,400 77,456
Kollmorgen Corp....................................... 9,000 82,125
*Komag, Inc........................................... 59,600 139,688
*Kopin Corp........................................... 11,000 716,375
*Koss Corp............................................ 2,100 31,369
*Kronos, Inc.......................................... 11,250 582,891
*Krug International Corp.............................. 1,048 1,376
*Kulicke & Soffa Industries, Inc...................... 21,000 747,469
*LBP, Inc............................................. 3,200 10,650
*LCA-Vision, Inc...................................... 46,136 194,636
*LCC International, Inc. Class A...................... 9,700 139,134
*LLEX Oncology, Inc................................... 13,700 238,894
*LLX Resorts, Inc..................................... 2,900 5,619
*LMI Aerospace, Inc................................... 3,500 11,430
LNR Property Corp..................................... 22,600 398,325
LSB Bancshares, Inc. NC............................... 5,156 92,164
#LSB Industries, Inc.................................. 10,700 8,359
LSI Industries, Inc................................... 9,067 219,025
LTV Corp.............................................. 85,600 299,600
*LTX Corp............................................. 31,800 575,381
*LaBarge, Inc......................................... 14,500 18,125
LaCrosse Footwear, Inc................................ 3,000 18,000
LabOne, Inc........................................... 19,050 146,447
*Labor Ready, Inc..................................... 35,300 447,869
*Laboratory Corp. of America Holdings, Inc............ 84,800 318,000
*Labtec, Inc.......................................... 1,900 7,363
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Laclede Gas Co........................................ 15,100 $ 330,313
*#Laclede Steel Co.................................... 2,700 1,181
*Ladd Furniture, Inc.................................. 7,066 149,490
*Ladish Co., Inc...................................... 14,500 99,461
*Lakeland Industries, Inc............................. 2,000 8,250
*Lakes Gaming, Inc.................................... 10,475 90,020
*Lamson & Sessions Co................................. 12,100 63,525
Lance, Inc............................................ 28,400 295,538
*Lancer Corp.......................................... 9,600 51,600
*Landair Corp......................................... 4,100 20,756
Landamerica Financial Group, Inc...................... 13,050 253,659
Landauer, Inc......................................... 7,700 190,575
*Landec Corp.......................................... 11,900 74,375
*Landrys Seafood Restaurants, Inc..................... 29,277 258,461
*Landstar Systems, Inc................................ 9,100 364,284
*Larscom, Inc......................................... 4,000 17,875
*Laser Vision Centers, Inc............................ 25,200 363,825
*LaserSight Corporation............................... 17,500 223,672
*Lason, Inc........................................... 18,800 459,425
Lawson Products, Inc.................................. 10,300 235,934
*Layne Christensen Co................................. 9,100 61,425
*Lazare Kaplan International, Inc..................... 8,800 68,200
*Leapnet, Inc......................................... 12,700 69,255
*Learn2.com, Inc...................................... 34,215 103,180
*Learning Tree International, Inc..................... 19,800 493,763
*Lechters, Inc........................................ 17,000 26,563
*Lecroy Corp.......................................... 6,100 85,400
*Lectec Corp.......................................... 1,902 4,339
Lesco, Inc............................................ 7,725 116,116
*Let's Talk Cellular & Wireless, Inc.................. 4,000 15,125
*LeukoSite, Inc....................................... 14,400 588,150
*Level 8 Systems, Inc................................. 6,900 143,391
*Lexington Global Asset Managers, Inc................. 3,600 9,900
Libbey, Inc........................................... 15,800 418,700
Liberty Bancorp, Inc.................................. 2,700 17,466
Liberty Homes, Inc. Class A........................... 200 1,644
*Life Financial Corp.................................. 5,200 20,719
*Lifecell Corp........................................ 10,200 54,188
*Lifecore Biomedical, Inc............................. 16,100 249,047
*Lifeline Systems, Inc................................ 4,100 62,525
*Lifemark Corporation................................. 2,866 9,628
Lifetime Hoan Corp.................................... 10,762 54,819
*Ligand Pharmaceuticals, Inc.
Class B............................................. 47,377 543,355
*Lightbridge, Inc..................................... 12,600 255,150
Lillian Vernon Corp................................... 8,300 99,600
Lilly Industry, Inc. Class A.......................... 20,500 285,719
*Lindal Cedar Homes, Inc.............................. 4,482 11,415
Lindberg Corp......................................... 6,200 54,250
Lindsay Manufacturer Co............................... 12,100 203,431
*Liposome Co., Inc.................................... 34,200 424,294
Liqui Box Corp........................................ 2,500 135,938
*Lithia Motors, Inc. Class A.......................... 6,100 115,519
*Littlefield, Adams & Co.............................. 900 520
*Littlefuse, Inc...................................... 18,900 396,309
*Lodgenet Entertainment Corp.......................... 10,400 186,875
*#Lodgian, Inc........................................ 21,900 125,925
*Loews Cineplex Entertainment Corp.................... 61,600 400,400
*Logic Devices, Inc................................... 5,600 12,425
*#Logility, Inc....................................... 12,100 87,347
*Lojack Corp.......................................... 14,500 112,828
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Lone Star Steakhouse Saloon.......................... 39,000 $ 294,328
*Lone Star Technologies, Inc.......................... 21,800 551,813
Longview Fibre Co..................................... 48,500 618,375
*Loronix Information Systems, Inc..................... 4,300 84,253
*Louis Dreyfus Natural Gas Corp....................... 38,052 684,936
Luby's Cafeterias, Inc................................ 20,200 234,825
Lufkin Industries, Inc................................ 5,900 82,231
*Lumisy, Inc.......................................... 11,100 35,381
*Lunar Corp........................................... 6,900 48,084
*Lund International Holdings, Inc..................... 2,200 14,781
*Lydall, Inc. DE...................................... 13,200 117,975
*Lynch Corp........................................... 2,200 50,050
*Lynch Interactive Corp............................... 2,200 150,150
*Lynx Therapeutics, Inc............................... 11,100 127,650
M.A. Hanna Co......................................... 34,200 356,963
*M.H. Meyerson & Co., Inc............................. 5,400 23,119
MAF Bancorp, Inc...................................... 23,584 522,533
*MAI Systems Corp..................................... 9,600 6,600
*MB Financial, Inc.................................... 4,300 56,034
MDC Holdings, Inc..................................... 23,600 352,525
*MECH Financial, Inc.................................. 3,500 120,859
*MEDTOX Scientific, Inc............................... 2,000 15,750
MFB Corp.............................................. 1,000 18,438
*MFRI, Inc............................................ 4,400 19,525
*MGC Communications, Inc.............................. 4,500 176,063
*MGI Pharma, Inc...................................... 13,000 165,344
MI Schottenstein Homes, Inc........................... 10,000 157,500
*MIM Corp............................................. 9,000 19,688
*MIPS Technologies, Inc............................... 4,500 198,703
*MMC Network, Inc..................................... 1,700 33,575
MMI Companies, Inc.................................... 18,200 73,938
MOCON, Inc............................................ 6,450 44,948
*MRV Communications, Inc.............................. 24,000 767,250
*MS Carriers, Inc..................................... 11,000 288,063
*MSC Industrial Direct Co., Inc.
Class A............................................. 29,000 262,813
*MSC Software Corp.................................... 12,200 102,175
*MTI Technology Corp.................................. 5,900 165,384
MTS Systems Corp...................................... 18,340 183,687
MYR Group, Inc........................................ 4,810 89,586
*Mace Security International, Inc..................... 6,000 44,813
*Mac-Gray Corp........................................ 23,100 90,956
*Mackie Designs, Inc.................................. 16,100 84,525
*Madden (Steven), Ltd................................. 13,900 176,791
*Made2Manage Systems, Inc............................. 6,000 41,063
Madison Gas & Electric Co............................. 14,450 279,517
*Magainin Pharmaceuticals, Inc........................ 19,400 29,403
*Magellan Health Services, Inc........................ 35,900 224,375
*Magnetek, Inc........................................ 33,400 223,363
*Magnum Hunter Resources, Inc......................... 19,900 63,431
*Mail-Well, Inc....................................... 36,000 429,750
*Main Street & Main, Inc.............................. 8,450 28,783
*Main Street Bancorp, Inc............................. 1,900 20,128
Maine Public Service Co............................... 700 12,513
*Mallon Resources Corp................................ 5,400 32,400
*Manatron, Inc........................................ 1,102 5,992
*Manchester Equipment Co., Inc........................ 7,000 22,094
*Manhattan Associates, Inc............................ 17,200 90,300
Manitowoc Co., Inc.................................... 10,850 330,925
*Manugistic Group, Inc................................ 23,900 401,819
*Mapics, Inc.......................................... 16,300 154,341
*Mapinfo Corp......................................... 4,800 114,900
</TABLE>
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<CAPTION>
SHARES VALUE+
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Marcus Corp........................................... 18,675 $ 238,106
*Marine Drilling Companies, Inc....................... 100 1,688
*Marine Transport Corp................................ 7,540 20,028
*Marisa Christina, Inc................................ 6,700 12,353
Maritrans, Inc........................................ 10,700 59,519
*Marketing Services, Inc.............................. 3,100 55,897
*MarkWest Hydrocarbon, Inc............................ 8,500 46,750
*Marlton Technologies, Inc............................ 5,000 9,375
Marsh Supermarkets, Inc. Class A...................... 1,600 22,000
Marsh Supermarkets, Inc. Class B...................... 3,100 32,356
*Martek Biosciences Corp.............................. 13,900 145,081
*Marten Transport, Ltd................................ 4,200 48,956
*Marvel Enterprises, Inc.............................. 10,200 63,750
MascoTech, Inc........................................ 13,900 166,800
Massbank Corp. Reading, MA............................ 2,433 79,377
*Mastec, Inc.......................................... 6,800 280,075
*Mastech Corp......................................... 12,000 226,500
*Master Graphics, Inc................................. 700 678
*Matec Corp........................................... 1,100 5,775
*Material Sciences Corp............................... 20,500 224,219
*Mathsoft, Inc........................................ 6,300 21,558
*Matlack Systems, Inc................................. 8,500 33,469
*Matria Healthcare, Inc............................... 33,200 129,169
*Matritech, Inc....................................... 21,800 70,509
*Matrix Bancorp, Inc.................................. 2,800 40,688
*Matrix Pharmaceutical, Inc........................... 19,600 101,675
*Matrix Service Co.................................... 7,500 34,219
Matthews International Corp.
Class A............................................. 12,000 272,250
*Matthews Studio Equipment Group...................... 8,800 31,900
*Mattson Technology, Inc.............................. 13,300 215,294
*Maui Land & Pineapple Company, Inc................... 4,300 80,088
*Maverick Tube Corp................................... 13,900 298,416
*Max & Ermas Restaurants, Inc......................... 2,037 13,877
*Maxco, Inc........................................... 1,900 15,705
*Maxicare Health Plans, Inc........................... 16,100 51,822
*Maxim Group, Inc..................................... 17,000 95,625
*#Maxim Pharmaceuticals, Inc.......................... 9,300 131,363
*Maximus, Inc......................................... 18,900 529,200
*Maxtor Corp.......................................... 119,000 725,156
*Maxwell Shoe Company, Inc............................ 8,000 69,500
*Maxwell Technologies, Inc............................ 6,700 72,653
*Maxxam, Inc.......................................... 5,200 236,275
*Maynard Oil Co....................................... 3,100 35,166
*Mays (J.W.), Inc..................................... 200 1,103
*Mazel Stores, Inc.................................... 10,200 96,900
*McClain Industries, Inc.............................. 266 1,463
McGrath Rent Corp..................................... 12,100 218,178
*McMoran Exploration Co............................... 11,896 259,482
*McNaughton Apparel Group, Inc........................ 6,000 42,375
*McWhorter Technologies, Inc.......................... 8,200 112,750
*Meade Instruments Corp............................... 5,500 167,578
*Meadow Valley Corp................................... 2,200 8,456
Meadowbrook Insurance Group, Inc...................... 10,100 59,969
*Measurement Specialties, Inc......................... 2,500 44,688
*Mechanical Dynamics, Inc............................. 4,300 19,619
*Mecon, Inc........................................... 5,400 58,219
*Medarex, Inc......................................... 28,400 324,825
*Medco Research, Inc.................................. 9,500 252,938
Medford Bancorp, Inc.................................. 7,000 117,250
*Media 100, Inc....................................... 7,000 97,781
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Media Arts Group, Inc................................ 16,800 $ 65,100
*MediaBay, Inc........................................ 5,900 76,331
*Medialink Worldwide, Inc............................. 6,700 40,200
*Medical Action Industries, Inc....................... 6,800 22,313
*Medical Alliance, Inc................................ 5,200 9,669
*Medical Assurance, Inc............................... 23,027 505,155
*Medical Graphics Corp................................ 1,500 2,719
*#Medical Resources, Inc.............................. 5,283 3,054
*Medicalcontrol, Inc.................................. 3,500 21,875
*Medicis Pharmaceutical Corp.
Class A............................................. 12,000 421,500
*Medicore, Inc........................................ 3,800 5,463
*#Medplus, Inc........................................ 4,500 19,125
*Medstone International, Inc.......................... 5,800 34,528
*Memberworks, Inc..................................... 14,100 352,059
Mentor Corp. MN....................................... 25,900 603,794
*Mentor Graphics Corp................................. 56,100 504,023
Merchants Bancorp, Inc................................ 2,100 68,119
Merchants Bancshares, Inc............................. 2,700 60,919
Merchants Group, Inc.................................. 1,300 29,575
Merchants New York Bancorp, Inc....................... 1,600 27,950
*Mercury Air Group, Inc............................... 5,800 46,400
*Mercury Computer Systems, Inc........................ 1,600 91,350
Meridian Diagnostics, Inc............................. 12,900 95,138
Meridian Insurance Group, Inc......................... 2,970 45,849
*Meridian Medical Technology, Inc..................... 2,400 13,275
*Meridian Resource Corp............................... 59,172 218,197
*Merisel, Inc......................................... 11,900 19,709
*MeriStar Hotels & Resorts, Inc....................... 19,700 66,488
*Merit Medical Systems, Inc........................... 6,800 45,050
*Merix Corp........................................... 5,200 62,888
*Merrimac Industries, Inc............................. 660 5,115
*Mesa Air Group, Inc.................................. 30,100 152,381
*Mesa Labs, Inc....................................... 3,700 13,759
*Mesaba Holdings, Inc................................. 17,850 220,336
*Messagemedia, Inc.................................... 30,300 502,791
*Mestek, Inc.......................................... 4,200 78,225
*Meta Group, Inc...................................... 10,400 172,250
*Metacreations Corp................................... 21,300 149,766
*Metal Management, Inc................................ 36,421 83,654
*Metals USA, Inc...................................... 31,100 260,463
*Metamor Worldwide, Inc............................... 5,200 137,313
*Metatec Corp. Class A................................ 5,300 13,747
*Met-Coil Systems Corp................................ 1,000 6,063
Methode Electronics, Inc. Class A..................... 30,800 836,413
Methode Electronics, Inc. Class B..................... 500 13,406
Met-Pro Corp.......................................... 11,175 116,639
*Metricom, Inc........................................ 16,700 987,388
*Metrika System Corp.................................. 3,000 18,563
*#Metro Information Services, Inc..................... 4,300 63,963
*Metro One Telecommunications, Inc.................... 9,900 99,619
*Metrocall, Inc....................................... 36,985 76,282
*Metrologic Instruments, Inc.......................... 4,900 67,069
*Metromedia International Group, Inc.................. 87,200 392,400
*Metrotrans Corp...................................... 1,600 912
Metrowest Bank MA..................................... 12,800 80,000
*Miami Computer Supply Corp........................... 2,100 58,800
*Michael Anthony Jewelers, Inc........................ 5,800 18,125
Michael Foods, Inc.................................... 19,058 479,428
*Michaels Stores, Inc................................. 26,800 841,688
*Micro Component Technology, Inc...................... 5,300 24,678
*Micro Linear Corp.................................... 9,600 68,400
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Micro Warehouse, Inc................................. 31,400 $ 369,931
*Microage, Inc........................................ 18,150 53,883
*Microcide Pharmaceuticals, Inc....................... 9,300 67,570
MicroFinancial, Inc................................... 4,000 45,250
*Micrografx, Inc...................................... 10,000 48,438
*Micros Systems, Inc.................................. 14,400 731,250
*Micros to Mainframes, Inc............................ 3,100 13,417
*Microsemi Corp....................................... 10,600 81,819
*Microtest, Inc....................................... 7,900 54,806
*Micro-Therapeutics, Inc.............................. 6,000 56,438
*Microtouch Systems, Inc.............................. 7,300 108,816
*#Microvision, Inc.................................... 3,800 61,513
*Microware Systems Corp............................... 11,600 67,788
*Microwave Power Dynamics, Inc........................ 10,100 76,855
Mid America Banccorp.................................. 9,010 258,474
*Mid Atlantic Medical Services, Inc................... 56,800 454,400
Midas, Inc............................................ 15,150 325,725
Midcoast Energy Resources, Inc........................ 8,625 161,719
*Middleby Corp........................................ 10,300 54,397
Middlesex Water Co.................................... 3,400 119,106
Midland Co............................................ 3,300 76,313
*Midway Airlines Corp................................. 8,500 63,484
*Midway Games, Inc.................................... 34,070 736,764
*Midwest Express Holdings, Inc........................ 12,775 369,677
*Midwest Grain Products, Inc.......................... 7,600 64,838
Mikasa, Inc........................................... 16,400 178,350
*Mikohn Gaming Corp................................... 7,500 38,438
Milacron, Inc......................................... 8,000 116,500
*Millennium Pharmaceuticals, Inc...................... 2,800 272,563
*Miller Building Systems, Inc......................... 3,200 18,000
*Miller Industries, Inc............................... 49,000 119,438
*Miltope Group, Inc................................... 11,000 8,078
Mine Safety Appliances Co............................. 1,900 119,700
Minntech Corp......................................... 6,100 58,713
Minuteman International, Inc.......................... 1,000 9,750
*#Miravant Medical Technologies....................... 15,600 214,500
Mississippi Chemical Corp............................. 24,642 130,911
*Mississippi Valley Bancshares, Inc................... 1,200 37,500
*Mitcham Industries, Inc.............................. 7,900 30,859
*Mity-Lite, Inc....................................... 3,300 57,956
Mobile America Corp................................... 6,100 13,153
*Mobile Mini, Inc..................................... 9,600 165,300
*Mobius Management Systems, Inc....................... 21,400 131,409
*Modtech Holdings, Inc................................ 11,357 83,403
*Molecular Biosystems, Inc............................ 16,700 21,919
*Molecular Devices Corp............................... 5,600 169,750
*Monaco Coach Corp.................................... 16,762 360,383
*Monarch Casino and Resort, Inc....................... 6,300 36,422
*Monarch Dental Corp.................................. 11,000 22,000
*Mondavi (Robert) Corp. Class A....................... 6,400 245,600
*Monro Muffler Brake, Inc............................. 6,641 46,902
Monterey Bay Bancorp, Inc............................. 2,125 26,695
*Monterey Pasta Co.................................... 9,000 33,188
*Moog, Inc. Class A................................... 6,550 171,938
*Moog, Inc. Class B................................... 600 24,169
*Moore Medical Corp................................... 2,700 21,431
Moore Products Co..................................... 2,200 74,044
Morgan Keegan, Inc.................................... 29,400 490,613
*Morgan's Foods, Inc.................................. 900 3,263
*Morrison Knudsen Corp................................ 47,900 416,131
Morrison Management Specialists, Inc.................. 10,833 227,493
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Morrow Snowboards, Inc............................... 1,000 $ 300
*Morton Industrial Group, Inc.
Class A............................................. 1,000 3,500
*Morton's Restaurant Group, Inc....................... 5,300 79,169
*#Mossimo, Inc........................................ 13,500 104,625
*Mother's Work, Inc................................... 3,300 35,681
*Motor Car Parts & Accessories, Inc................... 6,100 8,810
*Motor Club of America................................ 700 6,913
Movado Group, Inc..................................... 9,050 215,503
*Movie Gallery, Inc................................... 11,500 47,438
*Multi Color Corp..................................... 1,000 6,531
*Multiple Zones International, Inc.................... 11,000 113,609
*Musicland Stores Corp................................ 31,800 252,413
Myers Industries, Inc................................. 18,107 271,605
*Myriad Genetics, Inc................................. 8,400 277,988
*Mystic Financial, Inc................................ 1,700 18,700
*N & F Worldwide Corp................................. 19,600 107,800
*NABI, Inc............................................ 35,200 161,700
NBT Bancorp........................................... 11,848 202,160
*NBTY, Inc............................................ 64,400 630,919
NCH Corp.............................................. 6,200 289,075
*NCI Building Systems, Inc............................ 16,300 270,988
*#NCS Healthcare, Inc................................. 16,700 44,620
*NFO Worldwide, Inc................................... 23,000 300,438
NL Industries, Inc.................................... 32,500 442,813
*NMT Medical, Inc..................................... 9,000 18,844
NN Ball & Roller, Inc................................. 12,300 82,256
*NPC International, Inc............................... 22,000 275,688
*NPS Pharmaceuticals, Inc............................. 11,100 66,253
*NS Group, Inc........................................ 14,800 153,550
*NTN Communications, Inc.............................. 2,293 9,029
NUI Corp.............................................. 10,800 272,025
*NYFIX, Inc........................................... 10,350 278,156
*Nabors Industries, Inc............................... 19,372 514,582
*Nanogen, Inc......................................... 9,600 68,700
*Nanometrics, Inc..................................... 7,000 157,063
*Nanophase Technologies Corp.......................... 4,800 19,650
*Napco Security Systems, Inc.......................... 2,150 7,794
*Napro Biotherapeutics, Inc........................... 18,300 51,183
Nash Finch Co......................................... 10,200 73,631
*Nashua Corp.......................................... 5,800 42,775
*Nastech Pharmaceutical Co., Inc...................... 5,100 9,961
*Nathans Famous, Inc.................................. 1,900 6,383
*National Beverage Corp............................... 18,500 150,313
National City Bancorp................................. 6,189 121,459
National City Bankshares, Inc......................... 4,989 146,405
*National Dentex Corp................................. 3,000 51,563
*National Discount Brokers Group, Inc................. 13,600 436,900
*National Equipment Services, Inc..................... 1,800 17,550
*National Home Centers, Inc........................... 3,000 3,703
*National Home Health Care Corp....................... 3,815 16,095
National Penn Bancshares, Inc......................... 12,228 327,863
National Presto Industries, Inc....................... 5,100 179,775
*National Processing, Inc............................. 33,600 289,800
*National Record Mart, Inc............................ 4,200 16,866
*National Research Corp............................... 4,500 19,969
*National RV Holdings, Inc............................ 20,700 385,538
*National Standard Co................................. 6,500 25,188
National Steel Corp. Class B.......................... 23,000 133,688
National Technical Systems, Inc....................... 7,500 28,594
*National Techteam, Inc............................... 14,300 56,753
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*National Western Life Insurance Co. Class A.......... 1,000 $ 80,750
*Natural Alternatives International, Inc.............. 4,800 16,350
*Natural Microsystems Corp............................ 10,200 371,025
*Natural Wonders, Inc................................. 5,700 8,728
Natures Sunshine Products, Inc........................ 22,759 191,318
*Nautica Enterprises, Inc............................. 43,900 577,559
*#Navarre Corp........................................ 23,500 176,984
*Navigant Consulting, Inc............................. 5,300 56,313
*Navigant International, Inc.......................... 11,600 108,025
*Navigators Group, Inc................................ 3,200 38,400
*Neff Corp. Class A................................... 20,500 176,813
Nelson (Thomas), Inc.................................. 11,400 101,175
*Neogen Corp.......................................... 4,800 30,225
*NeoMagic Corp........................................ 3,300 30,009
*Neopharm, Inc........................................ 8,000 133,000
*Neorx Corp........................................... 17,225 32,835
*Neose Technologies, Inc.............................. 8,600 130,613
*#Neotherapeutics, Inc................................ 7,000 83,125
*Netmanage, Inc....................................... 62,145 309,754
*NetMoves Corporation................................. 12,000 65,250
*Netopia, Inc......................................... 11,300 627,856
*NetOptix Corp........................................ 9,100 325,894
*#Netrix Corp......................................... 13,000 117,406
*Netspeak Corp........................................ 11,300 183,272
*Network Computing Devices, Inc....................... 13,900 89,916
*Network Equipment Technologies, Inc.................. 20,100 247,481
*Network Event Theater, Inc........................... 17,000 406,406
*Network Peripherals, Inc............................. 11,100 382,603
*Network Six, Inc..................................... 275 1,014
*Neurobiological Technologies, Inc.................... 2,700 9,028
*Neurocrine Biosciences, Inc.......................... 16,300 213,428
*Neurogen Corp........................................ 11,500 168,906
*New American Healthcare Corp......................... 200 100
*New Brunswick Scientific Co., Inc.................... 3,473 19,102
*New Century Financial Corp........................... 19,500 305,906
New England Business Services, Inc.................... 12,000 271,500
New England Community Bancorp, Inc. Class A........... 4,770 134,603
*#New Era of Networks, Inc............................ 8,400 406,088
New Hampshire Thrift BancShares, Inc.................. 200 2,588
*New Horizons Worldwide, Inc.......................... 7,500 103,125
New Jersey Resources Corp............................. 13,800 555,450
*New Mexico & Arizona Land Co......................... 6,258 32,072
*Newcor, Inc.......................................... 2,940 7,534
*Newmark Homes Corp................................... 3,000 22,125
Newmil Bancorp, Inc................................... 3,500 44,625
*Newpark Resources, Inc............................... 65,100 390,600
Newport Corp.......................................... 8,200 209,100
*Newsedge Corp........................................ 15,450 155,466
*Nexthealth, Inc...................................... 3,400 4,781
*Niagara Bancorp, Inc................................. 1,500 15,703
*Niagara Corp......................................... 7,900 36,784
*Nitches, Inc......................................... 785 2,649
*Nobel Learning Communities, Inc...................... 5,400 43,538
*Nobility Homes....................................... 5,475 31,995
*#Noble International, Ltd............................ 8,400 117,338
*Noel Group, Inc...................................... 8,000 5,332
Noland Co............................................. 200 3,638
*Noodle Kidoodle, Inc................................. 6,800 47,813
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Norstan, Inc......................................... 10,400 $ 74,750
*Nortek, Inc.......................................... 10,400 267,800
*North American Scientific, Inc....................... 6,000 52,688
North Central Bancshares, Inc......................... 2,700 44,888
North Pittsburgh Systems, Inc......................... 100 1,619
Northeast Bancorp..................................... 900 7,200
Northern Technologies International................... 2,700 17,213
*Northfield Laboratories, Inc......................... 15,300 182,166
Northland Cranberries, Inc. Class A................... 16,400 96,863
Northrim Bank......................................... 1,695 16,765
Northwest Bancorp, Inc................................ 43,100 350,861
Northwest Natural Gas Co.............................. 21,650 543,280
*Northwest Pipe Co.................................... 6,200 77,500
*Northwest Teleproductions, Inc....................... 200 88
Northwestern Corp..................................... 18,400 388,700
*Novadigm, Inc........................................ 16,500 284,625
*Novametrix Medical Systems, Inc...................... 6,100 24,400
*Novavax, Inc......................................... 11,900 58,013
*Noven Pharmaceuticals, Inc........................... 19,300 249,694
*Novitron International, Inc.......................... 1,430 4,357
*Novoste Corp......................................... 6,200 93,581
*Nstor Technology..................................... 19,400 36,375
*Nu Horizons Electronics Corp......................... 8,295 75,173
*NuCo2, Inc........................................... 5,100 48,769
*Nuevo Energy Co...................................... 16,200 250,088
*#Number Nine Visual Technology Corp.................. 8,400 8,006
*Numerex Corp. Class A................................ 8,300 55,247
*Nutraceutical International Corp..................... 400 1,794
*Nutramax Products, Inc............................... 3,300 3,713
*#Nutrition for Life International, Inc............... 2,700 7,214
Nymagic, Inc.......................................... 7,600 109,250
*O'Charleys, Inc...................................... 20,750 274,938
*O'Sullivan Industries Holdings, Inc.................. 12,800 219,200
*O.I. Corp............................................ 2,600 11,050
*OAO Technology Solutions, Inc........................ 10,000 39,063
*ODS Networks, Inc.................................... 16,700 136,731
OEA, Inc.............................................. 18,500 100,594
*OMNI Energy Services Corp............................ 5,600 8,925
*ORBIT/FR, Inc........................................ 2,700 7,931
*OSI Pharmaceutical, Inc.............................. 18,300 94,073
*OSI Systems, Inc..................................... 4,700 20,709
*OTR Express, Inc..................................... 200 400
Oak Hill Financial, Inc............................... 1,000 17,438
*Oak Industries, Inc.................................. 15,800 1,189,938
*Oak Technology, Inc.................................. 37,700 242,694
*Oakley, Inc.......................................... 63,600 381,600
Oakwood Homes Corp.................................... 61,000 183,000
*Object Design, Inc................................... 30,300 209,259
*Objective Systems Integrators, Inc................... 32,300 128,695
*Oceaneering International, Inc....................... 25,200 327,600
OceanFirst Financial Corp............................. 12,400 229,788
*Ocular Sciences, Inc................................. 22,900 423,650
*Ocwen Financial Corp................................. 41,400 269,100
*Odetics, Inc. Class A................................ 300 3,722
*Odwalla, Inc......................................... 3,500 18,047
*Officemax, Inc....................................... 12,000 73,500
*Offshore Logistics, Inc.............................. 19,700 194,538
*Ogden Corp........................................... 15,400 200,200
Oglebay Norton Co..................................... 4,400 97,213
Oil-Dri Corp. of America.............................. 4,000 59,250
*Old Dominion Freight Lines, Inc...................... 7,200 91,350
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Old Guard Group, Inc.................................. 3,400 $ 43,988
Olin Corp............................................. 30,500 547,094
Olsten Corp........................................... 55,800 564,975
*Olympic Steel, Inc................................... 10,000 50,313
Omega Financial Corp.................................. 7,150 217,628
*Omega Protein Corp................................... 23,500 61,688
*Omega Research, Inc.................................. 21,300 122,475
*Omega Worldwide, Inc................................. 10,000 37,813
*Omni Nutraceuticals, Inc............................. 21,600 41,175
*Omnipoint Corp....................................... 17,900 1,448,781
*Omtool, Ltd.......................................... 17,000 50,469
*On Assignment, Inc................................... 9,700 272,509
*On Command Corp...................................... 22,100 330,119
*#On Technology Corp.................................. 7,100 63,567
*On-Point Technology Systems, Inc..................... 7,900 17,652
*One Price Clothing Stores, Inc....................... 9,400 24,969
Oneida, Ltd........................................... 15,050 336,744
*Onhealth Network Company............................. 3,800 33,131
*Ontrack Data International, Inc...................... 7,900 84,678
*Onyx Acceptance Corp................................. 4,900 36,138
*Onyx Pharmacueticals, Inc............................ 10,300 88,194
*Open Market, Inc..................................... 39,200 1,444,275
*Openroute Networks, Inc.............................. 12,300 108,778
*Opinion Research Corp................................ 1,700 11,688
*Opta Food Ingredients, Inc........................... 10,000 30,938
*Opti, Inc............................................ 8,600 30,100
*#Optical Cable Corp.................................. 24,000 449,250
Optical Coating Laboratory, Inc....................... 6,000 1,180,313
*Optika Imaging Systems, Inc.......................... 5,900 30,975
*Option Care, Inc..................................... 8,400 28,088
*Orbit International Corp............................. 1,266 1,563
*Orbital Sciences Corp................................ 1,500 20,813
Oregon Steel Mills, Inc............................... 30,200 245,375
Oregon Trail Financial Corp........................... 4,200 46,856
*#Organogenesis, Inc.................................. 26,576 247,489
*#Oriole Homes Corp. Class A Convertible.............. 800 1,900
*Oriole Homes Corp. Class B........................... 2,000 2,500
*Orleans Homebuilders, Inc............................ 2,000 2,938
*Oroamerica, Inc...................................... 5,700 39,722
*Orphan Medical, Inc.................................. 4,585 28,083
*Ortel Corp........................................... 11,100 706,238
*OrthAlliance, Inc.................................... 2,100 18,113
*Orthodontic Centers of America, Inc.................. 43,050 524,672
*Orthologic Corp...................................... 23,800 58,756
Oshkosh B'Gosh, Inc. Class A.......................... 16,200 329,063
Oshkosh Truck Corp. Class B........................... 9,600 265,200
*Oshman's Sporting Goods, Inc......................... 4,100 6,919
*Osicom Technologies, Inc............................. 9,600 189,900
*Osmonics, Inc........................................ 13,100 117,900
*Osteotech, Inc....................................... 10,200 143,119
*Ostex International, Inc............................. 10,000 23,438
Ottawa Financial Corp................................. 4,977 98,762
Otter Tail Power Co................................... 10,200 407,681
*Outlook Group Corp................................... 1,800 8,213
*Outsource International, Inc......................... 6,900 6,361
*Overland Data........................................ 7,100 47,703
Overseas Shipholding Group, Inc....................... 40,200 587,925
Owens & Minor, Inc.................................... 32,700 306,563
Owosso Corp........................................... 300 1,106
Oxford Industries, Inc................................ 7,800 166,238
*#Oxigene, Inc........................................ 13,400 216,913
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*P&F Industries, Inc. Class A......................... 1,300 $ 9,242
*#P-Com, Inc.......................................... 86,800 490,963
*PAM Transportation Services, Inc..................... 6,600 68,269
*PBOC Holdings, Inc................................... 4,500 37,406
*PC Connection, Inc................................... 2,100 57,816
*PC Service Source, Inc............................... 4,900 12,556
*PCD, Inc............................................. 2,100 17,194
*PDS Financial Corp................................... 1,100 1,891
PFF Bancorp, Inc...................................... 2,500 55,000
*PJ America, Inc...................................... 4,000 64,000
*PLM International, Inc............................... 5,100 29,006
*PMCC Financial Corp.................................. 2,600 13,325
*PMR Corp............................................. 6,700 14,866
*PPT Vision, Inc...................................... 4,200 12,731
*PRI Automation, Inc.................................. 17,800 842,719
*PS Group Holdings, Inc............................... 3,000 31,500
*PSC, Inc............................................. 8,900 64,525
*PSS World Medical, Inc............................... 79,000 792,469
*PSW Technologies, Inc................................ 8,000 94,500
PXRE Group, Ltd....................................... 12,120 149,985
Pacific Bank, N.A..................................... 2,100 58,013
Pacific Crest Capital, Inc............................ 1,060 15,503
*#Pacific Gateway Exchange, Inc....................... 15,300 278,747
*Pacific Sunwear of California, Inc................... 18,350 566,556
*Packaged Ice, Inc.................................... 15,000 52,969
*Pagasus Systems, Inc................................. 11,700 597,431
*Pagemart Wireless, Inc. Class A...................... 27,500 236,328
*Paging Network, Inc.................................. 131,300 96,423
*Pairgain Technologies, Inc........................... 900 13,753
*#Palatin Technologies, Inc........................... 62 225
*Palm Harbor Homes, Inc............................... 19,169 349,834
*Pameco Corp.......................................... 4,100 17,681
Pamrapo Bancorp, Inc.................................. 2,300 51,175
*Panavision, Inc...................................... 3,600 16,875
*Pancho's Mexican Buffet, Inc......................... 1,666 4,660
*Panera Bread CO...................................... 7,200 57,150
*Panja, Inc........................................... 8,000 131,500
*Par Technology Corp.................................. 7,500 37,969
*Parallel Petroleum Corp.............................. 12,800 26,000
*Paravant, Inc........................................ 7,500 19,922
*Parexel International Corp........................... 18,800 225,013
Paris Corp............................................ 200 394
Park Electrochemical Corp............................. 10,300 338,613
*Parker Drilling Co................................... 56,700 223,256
*#Parkervision, Inc................................... 9,100 213,850
*Park-Ohio Holdings Corp.............................. 8,934 105,533
Parkvale Financial Corp............................... 3,050 54,900
*Parlex Corp.......................................... 3,900 73,613
*Parlux Fragrances, Inc............................... 8,100 29,869
*Pathogenesis Corp.................................... 13,000 252,688
*Patient Infosy....................................... 5,200 9,425
Patina Oil & Gas Corp................................. 16,834 119,942
Patrick Industries, Inc............................... 4,700 56,694
Patriot Bank Corp..................................... 3,700 30,178
*Patterson Energy, Inc................................ 37,780 478,153
*Paul Harris Stores, Inc.............................. 9,700 31,373
Paula Financial, Inc.................................. 6,200 38,169
*Paul-Son Gaming Corp................................. 2,000 13,000
*Paxar Corp........................................... 44,015 374,128
*Paxson Communications Corp........................... 47,200 539,850
*Payless Cashways, Inc................................ 159 258
*Peapod, Inc.......................................... 18,300 159,553
</TABLE>
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*Pediatric Services of America, Inc................... 4,800 $ 5,025
*#Pediatrix Medical Group, Inc........................ 12,500 96,875
Peerless Manufacturing Co............................. 200 2,288
*Peerless Systems Corp................................ 8,300 71,458
*Pegasystems, Inc..................................... 25,800 192,291
Penford Corp.......................................... 6,600 99,000
Penn Engineering & Manufacturing Corp. Class A........ 600 13,275
Penn Engineering & Manufacturing Corp. Non-voting..... 7,500 182,813
*Penn National Gaming, Inc............................ 12,600 97,059
*#Penn Traffic Company................................ 93 709
*Penn Treaty American Corp............................ 7,000 111,125
Penn Virginia Corp.................................... 8,200 147,088
*Pennaco Energy, Inc.................................. 12,100 112,681
Penn-America Group, Inc............................... 8,450 67,600
Pennfed Financial Services, Inc....................... 6,800 106,888
*Pentacon, Inc........................................ 8,800 24,750
Penton Media, Inc..................................... 27,700 529,763
*Penwest Pharmaceuticals Company...................... 7,700 103,709
Peoples Bancorp, Inc.................................. 300 4,734
Peoples Bancshares, Inc. Massachusetts................ 2,500 49,297
Pep Boys - Manny, Moe & Jack.......................... 5,600 54,250
*Perceptron, Inc...................................... 8,550 37,540
*Performance Food Group Co............................ 10,800 271,688
*Performance Technologies, Inc........................ 8,700 177,263
*Perfumania, Inc...................................... 5,200 18,688
*Pericom Semiconductor Corp........................... 7,000 162,969
*Perini Corp.......................................... 4,900 19,294
*Perrigo Co........................................... 85,200 716,213
*Perry Ellis International, Inc....................... 4,700 53,463
*Per-Se Technologies, Inc............................. 25,200 189,394
*Personnel Group of America, Inc...................... 32,500 253,906
*Pervasive Software, Inc.............................. 12,000 163,875
*Petco Animal Supplies, Inc........................... 18,956 263,015
*Petrocorp, Inc....................................... 6,900 42,694
*Petroglyph Energy, Inc............................... 4,400 10,450
*Petroleum Development Corp........................... 13,600 58,013
*PetSmart, Inc........................................ 18,400 79,925
*Pharmaceutical Products Development Service Co....... 22,070 272,427
*Pharmaceutical Resources, Inc........................ 24,200 145,200
*Pharmacopeia, Inc.................................... 17,000 292,188
*Pharmacyclics........................................ 11,100 382,950
*Pharmanetics, Inc.................................... 6,100 37,934
*#PharmaPrint, Inc.................................... 2,800 4,463
*Pharmchem Laboratories, Inc.......................... 4,400 14,025
*Phar-Mor, Inc........................................ 14,200 36,609
*#Pharmos Corp........................................ 6,200 9,009
*Philadelphia Consolidated Holding Corp............... 9,800 143,938
*Phillips (R.H.), Inc................................. 4,600 12,866
Phillips-Van Heusen Corp.............................. 24,600 209,100
*Phoenix Gold International, Inc...................... 1,000 2,844
*Phoenix International Life Sciences, Inc............. 775 4,335
*Phoenix International, Ltd........................... 6,000 24,375
Phoenix Investment Partners, Ltd...................... 42,400 331,250
*Phoenix Technologies, Ltd............................ 24,087 344,745
*Phonetel Technologies, Inc........................... 13,200 446
*Photo Control Corp................................... 1,000 2,375
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Photon Dynamics, Inc................................. 6,500 $ 248,219
*Photronics, Inc...................................... 22,000 528,688
*Phycor, Inc.......................................... 63,200 92,825
Piccadilly Cafeterias, Inc............................ 9,500 48,094
*Pico Holdings, Inc................................... 9,561 145,506
*Picturetel Corp...................................... 39,700 196,639
Pier 1 Imports, Inc. DE............................... 43,000 298,313
*Pierce Leahy Corp.................................... 13,200 422,400
*Piercing Pagoda, Inc................................. 7,300 95,356
Pilgrim Pride Corp.................................... 25,800 199,950
Pilgrim's Pride Corp.................................. 12,900 75,788
#Pillowtex Corp....................................... 13,717 54,868
*Pilot Network Services, Inc.......................... 9,300 157,809
*Pinnacle Global Group, Inc........................... 1,400 7,525
*Pinnacle Systems, Inc................................ 18,200 599,463
*Pioneer Group, Inc................................... 22,900 339,206
Pioneer Standard Electronics, Inc..................... 23,700 318,469
Pitt-Des Moines, Inc.................................. 8,200 198,338
Pittston Co. Burlington Group......................... 26,700 253,650
Pittston Co. Minerals Group........................... 10,700 12,038
Pizza Inn, Inc........................................ 300 1,083
*Plains Resources, Inc................................ 13,700 150,700
*Planar Systems, Inc.................................. 8,600 55,900
*Plasma-Therm, Inc.................................... 9,800 81,156
*Platinum Entertainment, Inc.......................... 1,700 7,358
*Play By Play Toys and Novelties, Inc................. 5,900 17,423
*Playboy Enterprises, Inc. Class A.................... 3,800 65,313
*Playboy Enterprises, Inc. Class B.................... 15,036 312,937
*Playcore, Inc........................................ 6,336 56,232
*Players International, Inc........................... 27,550 214,373
*Plexus Corp.......................................... 13,660 538,289
Pocahontas Bancorp, Inc............................... 4,400 28,050
Pogo Producing Co..................................... 32,117 578,106
*Point West Capital Corp.............................. 2,300 12,866
*Polycom, Inc......................................... 17,900 1,146,159
*Polymedica Industries, Inc........................... 7,100 125,581
*Polymer Group, Inc................................... 37,500 705,469
*Pomeroy Computer Resource, Inc....................... 10,375 130,012
Pope & Talbot, Inc.................................... 13,400 159,963
*Porta Systems Corp................................... 6,680 6,263
*#Possis Medical, Inc................................. 11,200 94,150
*Powell Industries, Inc............................... 5,300 40,578
*Powercerv Corp....................................... 10,600 27,494
*Power-One, Inc....................................... 14,200 332,813
*Praegitzer Industries, Inc........................... 9,500 52,102
*Prandium, Inc........................................ 21,564 3,720
*Precision Response, Corp............................. 19,200 421,200
*Precision Standard, Inc.............................. 950 9,263
Premier Bancshares, Inc............................... 23,600 390,875
*#Premier Laser Systems, Inc. Class A................. 9,900 17,789
Premier National Bancorp.............................. 6,138 108,182
*Premier Research Worldwide, Ltd...................... 1,100 11,653
*Premiere Technologies, Inc........................... 41,300 314,913
*Premisys Communications, Inc......................... 22,800 226,219
*Premiumwear, Inc..................................... 1,400 7,350
*Pre-Paid Legal Services, Inc......................... 16,450 392,744
Presidential Life Corp................................ 26,400 466,950
*Presstek, Inc........................................ 28,900 319,706
*#Preview Travel, Inc................................. 12,400 575,825
*Price Communications Corp............................ 29,770 746,111
*Pricesmart, Inc...................................... 3,500 136,281
*Pride International, Inc............................. 45,400 652,625
</TABLE>
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<TABLE>
<CAPTION>
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*Prima Energy Corp.................................... 3,500 $ 88,375
*Primark Corp......................................... 23,200 616,250
Prime Bancshares, Inc................................. 2,300 62,172
*Prime Hospitality Corp............................... 44,600 387,463
*Prime Medical Services, Inc.......................... 13,000 123,094
Primesource Corp...................................... 2,581 15,647
*Primix Solutions, Inc................................ 11,200 97,825
*Primus Telecommunications Group, Inc................. 20,229 601,181
*Princeton Video Image, Inc........................... 1,300 8,938
*Printrak International, Inc.......................... 10,100 78,591
*Printronix, Inc...................................... 5,925 102,577
*Printware, Inc....................................... 3,900 8,592
*Priority Healthcare Corp............................. 11,638 287,313
*ProBusiness Services, Inc............................ 14,700 422,166
*#Procept, Inc........................................ 347 672
*Procom Technology, Inc............................... 8,400 265,125
*Procurenet, Inc...................................... 19,700 0
Professional Bancorp, Inc............................. 1,200 11,400
*Professional Detailing, Inc.......................... 10,800 287,550
*Professionals Group, Inc............................. 1,430 36,286
*Progenics Pharmaceuticals, Inc....................... 8,500 243,844
*Programmers Paradise, Inc............................ 3,400 22,738
Progress Financial Corp............................... 3,850 50,291
*Progress Software Corp............................... 15,450 616,552
*Project Software & Development, Inc.................. 8,800 784,850
*ProMedCo Management Company.......................... 16,800 34,913
*Prophet 21, Inc...................................... 1,500 11,578
*Protection One, Inc.................................. 89,500 156,625
*Protein Design Labs, Inc............................. 16,700 669,044
*Protocol Systems, Inc................................ 5,800 45,856
*Provant, Inc......................................... 19,500 427,781
Providence & Worcester Railroad Co.................... 800 7,600
Providence Energy Corp................................ 5,300 200,075
*Provident American Corp.............................. 8,500 256,328
Provident Bankshares Corp............................. 19,548 387,906
*Provident Financial Holdings, Inc.................... 3,300 61,256
*Province Healthcare Co............................... 7,400 152,394
*Proxim, Inc.......................................... 8,700 488,288
*Proxymed, Inc........................................ 14,300 158,641
#Psychemedics Corp.................................... 20,000 90,000
*Public Service Co. of New Mexico..................... 600 9,975
Public Service Co. of North Carolina.................. 18,200 584,675
Pulaski Financial Corp................................ 3,100 33,809
Pulaski Furniture Corp................................ 1,300 21,531
*Puma Technology, Inc................................. 10,200 510,956
*Pure World, Inc...................................... 7,480 21,271
*Pyramid Breweries, Inc............................... 5,700 8,461
*QEP Co., Inc......................................... 1,300 10,075
*QMS, Inc............................................. 2,821 8,463
*QRS Corp............................................. 9,000 525,375
*Qad, Inc............................................. 24,700 118,097
*Quad Systems Corp.................................... 3,600 4,950
*QuadraMed Corp....................................... 8,306 56,585
Quaker Chemical Corp.................................. 7,900 123,438
*Quaker City Bancorp, Inc............................. 2,187 36,906
*Quaker Fabric Corp................................... 14,050 47,199
*Quality Dining, Inc.................................. 10,100 23,672
Quality Systems, Inc.................................. 4,200 28,350
Quanex Corp........................................... 11,300 239,419
*Quantum Corp-Hard Disk Drive......................... 1,570 10,794
Queens County Bancorp................................. 18,000 522,563
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Quest Educational Corporation........................ 8,100 $ 69,989
*Questcor Pharmaceuticals, Inc........................ 15,700 18,644
*Quidel Corp.......................................... 21,300 125,138
*#Quigley Corp........................................ 12,000 25,313
*Quiksilver, Inc...................................... 19,850 300,231
*Quintel Entertainment, Inc........................... 14,900 90,331
Quipp, Inc............................................ 1,400 21,350
Quixote Corp.......................................... 5,900 94,400
*Quokka Sports, Inc................................... 4,600 43,700
*Quorum Health Group, Inc............................. 19,600 175,788
*R & B, Inc........................................... 5,700 35,269
*R H Donnelley Corp................................... 27,100 504,738
*RCM Technologies, Inc................................ 14,200 182,381
*RDO Equipment Co. Class A............................ 5,500 36,094
*RF Monolithics, Inc.................................. 4,600 26,809
RLI Corp.............................................. 9,425 320,450
*RMH Teleservices, Inc................................ 5,700 40,167
*RMI.Net, Inc......................................... 8,000 69,000
RPC, Inc.............................................. 19,100 131,313
*RSA Security, Inc.................................... 5,800 216,775
*RTI International Metals, Inc........................ 20,100 133,163
*RTW, Inc............................................. 10,800 56,363
*RWD Technologies, Inc................................ 13,400 112,225
*Racing Champions Corp................................ 14,400 71,550
*Radiance Medical Systems, Inc........................ 8,988 48,872
*Radiant Systems, Inc................................. 12,800 317,200
*Radiologix, Inc...................................... 16,000 76,000
*RadiSys Corp......................................... 3,262 146,099
*Rag Shops, Inc....................................... 2,415 5,056
*Ragen Mackenzie Group, Inc........................... 10,500 213,281
*Railamerica, Inc..................................... 8,800 71,225
*Railtex, Inc......................................... 8,400 141,750
*RailWorks Corp....................................... 1,400 14,175
*Rainbow Rentals, Inc................................. 3,000 26,438
*Rainbow Technologies, Inc............................ 9,000 152,719
*Rainforest Cafe, Inc................................. 23,000 107,813
*Ralcorp Holdings, Inc................................ 29,300 573,181
*Ramsay Youth Services, Inc........................... 6,400 8,800
*#Ramtron International Corp.......................... 5,760 27,540
#Range Resources Corp................................. 29,000 96,063
*Rare Hospitality International, Inc.................. 15,881 333,997
*Rare Medium Corp..................................... 30,400 847,400
Raven Industries, Inc................................. 2,600 37,781
*Rawlings Sporting Goods, Inc......................... 7,000 53,813
*Rayovac Corp......................................... 5,900 142,706
*Raytech Corp. DE..................................... 2,400 9,150
*Raytel Med Corp...................................... 10,200 30,281
*Reading Entertainment, Inc........................... 4,800 28,200
*Read-Rite Corp....................................... 50,500 276,961
*Recoton Corp......................................... 14,966 122,066
*Redhook Ale Brewery, Inc............................. 6,900 16,711
Redwood Empire Bancorp................................ 2,300 54,194
*Reebok International, Ltd............................ 46,300 416,700
*Reeds Jewelers, Inc.................................. 440 1,416
Regal Beloit Corp..................................... 18,800 413,600
*Regeneron Pharmaceuticals, Inc....................... 23,300 179,119
Regis Corp............................................ 12,025 247,264
*Rehabcare Group, Inc................................. 5,750 115,719
*Rehabilicare, Inc.................................... 7,500 30,938
*Reliability, Inc..................................... 4,800 14,100
Reliance Bancorp, Inc................................. 7,700 302,947
Reliance Group Holdings, Inc.......................... 46,000 184,000
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Reliance Steel and Aluminum Co........................ 22,500 $ 548,438
Reliv International, Inc.............................. 7,750 6,902
*Relm Wireless Corp................................... 4,100 16,913
*Remec, Inc........................................... 22,000 281,875
*Remedy Corp.......................................... 26,300 918,856
*RemedyTemp, Inc...................................... 2,600 40,544
*Remington Oil & Gas Corp............................. 14,460 72,752
*Renaissance Worldwide, Inc........................... 58,000 279,125
*Renex Corp........................................... 8,300 50,578
*Rent-A-Center, Inc................................... 20,000 365,625
*Rentrak Corp......................................... 9,300 50,278
*Rent-Way, Inc........................................ 20,181 307,760
*#Repligen Corp....................................... 22,400 100,100
*Reptron Electronics, Inc............................. 4,600 31,625
Republic Bancorp, Inc................................. 33,604 462,055
*Republic Bankshares, Inc............................. 7,500 105,703
*Republic First Bancorp, Inc.......................... 5,434 34,981
Republic Group, Inc................................... 9,370 148,749
Republic Security Financial Corp...................... 43,782 352,308
*#Res-Care, Inc....................................... 29,850 355,402
*Research Partners International, Inc................. 6,700 32,558
*ResMed, Inc.......................................... 8,900 356,556
*ResortQuest International, Inc....................... 12,300 76,106
Resource America, Inc................................. 19,700 165,603
Resource Bancshares Mortgage Group, Inc............... 28,408 143,816
*Respironics, Inc..................................... 29,248 233,070
*Restoration Hardware, Inc............................ 8,000 65,250
*#Revlon, Inc......................................... 10,000 102,500
*Rex Stores Corp...................................... 6,600 246,263
*Rexhall Industries, Inc.............................. 1,215 10,328
*Ribozyme Pharmaceuticals............................. 7,300 57,031
Richardson Electronics, Ltd........................... 11,000 73,219
Richmond County Financial Corp........................ 17,320 297,146
*Riddell Sports, Inc.................................. 7,255 21,765
Riggs National Corp................................... 25,400 361,156
*Right Management Consultants, Inc.................... 5,300 58,134
*Right Start, Inc..................................... 2,600 43,225
*Rightchoice Managed Care, Inc. Class A............... 2,400 27,000
*Rimage Corp.......................................... 4,000 64,250
*Riverside Group, Inc................................. 1,000 1,141
Riverview Bancorp, Inc................................ 4,900 54,666
Rivianna Foods, Inc................................... 12,500 238,281
*Riviera Holdings Corporation......................... 2,500 12,813
*Roadhouse Grill, Inc................................. 8,700 34,528
Roadway Express, Inc.................................. 16,400 326,463
Roanoke Electric Steel Corp........................... 9,900 161,184
Robbins & Myers, Inc.................................. 8,800 176,000
*Roberds, Inc......................................... 2,900 2,991
*Roberts Pharmaceutical Corp.......................... 18,500 597,781
*Robertson-Ceco Corp.................................. 14,518 116,144
*Robinson Nugent, Inc................................. 2,400 22,950
*Robocom Systems, Inc................................. 800 1,125
*Robotic Vision Systems, Inc.......................... 20,300 121,166
*Rochester Medical Corp............................... 4,900 36,444
*Rock Financial Corp.................................. 1,500 42,938
*Rock of Ages Co...................................... 4,700 28,053
Rock-Tenn Co. Class A................................. 20,100 311,550
*Rocky Mountain Chocolate Factory..................... 1,900 9,203
*Rocky Shoes & Boots, Inc............................. 3,500 26,359
*Rofin-Sinar Technologies, Inc........................ 11,100 78,394
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Rogers Corp.......................................... 10,000 $ 403,125
*Rogue Wave Software, Inc............................. 13,300 105,153
*Rohn Industries, Inc................................. 47,600 168,088
Rollins Truck Leasing Corp............................ 50,300 591,025
Rollins, Inc.......................................... 29,400 470,400
*Romac International, Inc............................. 60,300 676,491
*Ross Systems, Inc.................................... 18,600 46,209
*Rottlund, Inc........................................ 2,300 6,181
Rouge Industries, Inc. Class A........................ 12,100 91,506
Rowe Furniture Corp................................... 13,420 124,974
*Royal Appliance Manufacturing Co..................... 19,500 113,344
Royal Bancshares of Pennsylvania Class A.............. 2,754 42,171
*Royal Energy, Inc.................................... 2,300 6,109
*Royal Gold, Inc...................................... 7,600 33,250
*Royal Precision, Inc................................. 550 1,478
Ruby Tuesday, Inc..................................... 29,500 593,688
*Rural Cellular Corp. Class A......................... 7,300 581,719
*Rural/Metro Corp..................................... 13,500 78,047
*Rush Enterprises, Inc................................ 4,700 71,969
Russ Berrie & Co., Inc................................ 20,100 512,550
Russell Corp.......................................... 13,700 178,956
*Ryans Family Steak Houses, Inc....................... 35,600 350,438
Ryerson Tull, Inc..................................... 16,300 333,131
Ryland Group, Inc..................................... 12,600 286,650
*S&K Famous Brands, Inc............................... 6,500 48,953
S&T Bancorp, Inc...................................... 20,100 473,606
*S1 Corporation....................................... 5,858 283,564
*S3, Inc.............................................. 63,676 537,266
*SAGA Systems, Inc.................................... 21,000 447,563
*SBE, Inc............................................. 1,900 12,172
*SBS Technologies, Inc................................ 4,500 150,891
*SCB Computer Technology, Inc......................... 18,100 53,734
*SCC Communications Corp.............................. 7,200 46,125
*SCP Pool Corp........................................ 9,300 219,422
#SCPIE Holdings, Inc.................................. 10,200 355,088
*SED International Holdings, Inc...................... 9,450 19,343
*SEEC, Inc............................................ 4,600 18,831
SEMCO Energy, Inc..................................... 14,502 202,122
*SEMX Corp............................................ 5,200 33,150
*SGV Bancorp, Inc..................................... 1,400 32,025
SI Handling, Inc...................................... 2,525 22,883
*SICOR, Inc........................................... 96,400 457,900
SJNB Financial Corp................................... 1,300 43,713
SJW Corp.............................................. 1,600 192,800
SL Industries, Inc.................................... 9,200 110,400
*SLI, Inc............................................. 26,700 345,431
*SM&A Corp............................................ 9,200 58,363
*SMC Corp............................................. 5,600 22,750
*SOFTWORKS, Inc....................................... 10,300 69,525
*SOS Staffing Services, Inc........................... 11,400 54,150
*SPAR Group, Inc...................................... 500 2,000
*SPR, Inc............................................. 7,100 32,838
*SPS Technologies, Inc................................ 10,100 330,775
*SPSS, Inc............................................ 11,700 268,003
*SRS Labs, Inc........................................ 9,600 58,650
*SSE Telecom, Inc..................................... 3,500 21,656
*STAR Telecommunications, Inc......................... 40,400 319,413
*STM Wireless, Inc. Class A........................... 5,900 28,947
*SVI Holdings, Inc.................................... 28,700 394,625
*Safeguard Health Enterprises, Inc.................... 4,400 2,819
*Safeskin Corp........................................ 34,100 414,528
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Safety 1st, Inc...................................... 5,900 $ 41,853
*Safety Components International, Inc................. 4,100 11,275
*Saga Communications, Inc. Class A.................... 9,010 224,124
*Salient 3 Communications, Inc.
Class A............................................. 2,400 18,300
*#Salton/Maxim Housewares, Inc........................ 17,700 436,969
*Sames Corp........................................... 1,500 22,500
*#Samsonite Corp...................................... 9,118 53,996
*San Filippo (John B.) & Son, Inc..................... 5,000 17,969
*#Sanchez Computer Associates, Inc.................... 18,600 728,888
Sanderson Farms, Inc.................................. 13,000 121,063
*Sands Regent Casino Hotel............................ 2,000 3,375
*Sangstat Medical Corp................................ 12,800 301,600
*Santa Cruz Operation, Inc............................ 30,700 459,541
*Satcon Technology Corp............................... 8,100 61,889
*Saucony, Inc. Class A................................ 2,200 27,500
*Saucony, Inc. Class B................................ 2,800 35,613
Sauer, Inc............................................ 12,300 159,131
*Savoir Technology Group, Inc......................... 9,900 52,903
*Sawtek, Inc.......................................... 13,400 611,375
*Scan-Optics, Inc..................................... 5,900 7,836
*#ScanSoft, Inc....................................... 6,800 42,288
*ScanSource, Inc...................................... 4,400 170,775
Schawk, Inc. Class A.................................. 25,200 214,200
*Scheid Vineyards, Inc................................ 2,300 9,344
*Schein (Henry), Inc.................................. 20,900 268,434
*Schein Pharmaceutical, Inc........................... 10,900 97,419
*#Schick Technologies, Inc............................ 9,000 7,729
*Schieb (Earl), Inc................................... 2,200 8,250
*Schlotzskys, Inc..................................... 6,200 42,819
*Schmitt Industries, Inc.............................. 9,500 24,938
Schnitzer Steel Industries, Inc.
Class A............................................. 4,400 82,088
*Scholastic Corp...................................... 2,500 136,875
*Schuff Steel Company................................. 6,000 23,250
*Schuler Homes, Inc................................... 20,100 130,022
Schulman (A.), Inc.................................... 28,500 451,547
Schultz Sav-O Stores, Inc............................. 2,550 33,469
Schweitzer-Maudoit International, Inc................. 13,500 178,875
*#Sciclone Pharmaceuticals, Inc....................... 13,700 41,314
*Scientific Games Holdings Corp....................... 12,200 217,313
Scientific Technologies, Inc.......................... 6,700 38,734
*Scios-Nova, Inc...................................... 34,487 132,559
*Scott Technologies, Inc.............................. 14,900 310,106
*Scotts Co. Class A................................... 13,100 526,456
*Scott's Liquid Gold, Inc............................. 7,100 5,103
*Seachange International, Inc......................... 11,000 279,813
Seacoast Banking Corp. Class A........................ 1,500 45,281
Seacoast Financial Services Corp...................... 5,746 60,872
*Seacor Smit, Inc..................................... 6,700 347,563
*Seattle Filmworks, Inc............................... 14,700 47,545
Seaway Food Town, Inc................................. 1,800 40,838
*Secom General Corp................................... 140 438
Second Bancorp, Inc................................... 5,400 129,769
*#Secure Computing Corp............................... 20,800 165,425
*Segue Software, Inc.................................. 23,400 595,969
*Seibels Bruce Group, Inc............................. 5,400 11,559
*Seitel, Inc.......................................... 20,400 137,700
Selas Corp. of America................................ 3,900 24,131
*Select Comfort Corp.................................. 20,000 109,375
Selective Insurance Group, Inc........................ 26,200 459,319
*#Selfcare, Inc....................................... 12,000 48,000
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Semitool, Inc........................................ 11,600 $ 132,313
*Semtech Corp......................................... 16,200 790,256
*Seneca Foods Corp. Class A........................... 200 2,375
*Seneca Foods Corp. Class B........................... 1,100 13,063
*Sensormatic Electronics Corp......................... 9,000 143,438
*Sensory Science Corp................................. 12,100 23,444
*Sequa Corp. Class A.................................. 3,600 200,250
*Sequa Corp. Class B.................................. 1,700 107,100
*SeraCare, Inc........................................ 6,100 19,444
*Serologicals Corp.................................... 11,550 81,933
*Service Experts, Inc................................. 19,500 121,875
*Servotronics, Inc.................................... 900 4,725
Sevenson Environmental Services, Inc.................. 2,080 18,850
*Sharper Image Corp................................... 7,600 153,900
*Shaw Group, Inc...................................... 9,400 196,225
*Sheffield Medical Technologies, Inc.................. 24,050 69,144
*Sheldahl, Inc........................................ 8,500 34,797
*Shells Seafood Restaurants, Inc...................... 3,900 11,334
*Shiloh Industries, Inc............................... 8,800 76,450
*Shoe Carnival, Inc................................... 12,400 126,325
*Shoe Pavilion, Inc................................... 1,400 3,106
*Sholodge, Inc........................................ 3,600 20,588
*Shoney's, Inc........................................ 45,000 61,875
*Shop At Home, Inc.................................... 27,400 346,781
Shoreline Financial Corp.............................. 3,307 66,243
*Shorewood Packaging Corp............................. 22,350 365,981
*Showpower, Inc....................................... 1,700 9,138
*Shuffle Master, Inc.................................. 6,300 51,778
*Sierra Health Services, Inc.......................... 22,427 210,253
Sifco Industries, Inc................................. 4,700 32,313
*Sight Resource Corp.................................. 7,100 15,309
*Sigma Designs, Inc................................... 13,000 88,359
*Sigmatron International, Inc......................... 1,400 11,725
*Signal Apparel Co., Inc. Class A..................... 6,200 3,100
*Signal Technology Corp............................... 6,100 27,450
*Signature Eyewear, Inc............................... 3,600 11,363
*Silgan Holdings, Inc................................. 15,000 226,406
*Silicon Storage Technology, Inc...................... 20,900 551,891
*Silicon Valley Bancshares............................ 18,500 681,031
*Silicon Valley Group, Inc............................ 29,600 424,575
*Siliconix, Inc....................................... 4,000 308,750
*Silverleaf Resorts, Inc.............................. 13,800 100,913
*Simione Central Holdings, Inc........................ 6,600 8,044
Simmons First National Corp. Class A.................. 4,550 123,988
*Simon Transportation Services, Inc................... 4,800 27,300
Simpson Industries, Inc............................... 17,350 182,717
*#Simula, Inc......................................... 13,900 79,056
*Sipex Corp........................................... 14,200 196,581
*#Sirius Satellite Radio, Inc......................... 10,000 269,063
*Sitel Corp........................................... 69,800 414,438
*Sizzler International, Inc........................... 17,500 43,750
Sky Financial Group, Inc.............................. 6,335 147,091
Skyline Corp.......................................... 6,600 163,763
*#SkyMall, Inc........................................ 6,800 70,550
Skywest, Inc.......................................... 21,800 535,463
Smart & Final Food, Inc............................... 18,500 127,188
*Smart Modular Technologies, Inc...................... 15,000 630,000
Smith (A.O.) Corp..................................... 12,750 280,500
Smith (A.O.) Corp. Convertible
Class A............................................. 3,750 80,625
*Smith Micro Software, Inc............................ 2,000 2,844
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Smithway Motor Express Corp.
Class A............................................. 4,000 $ 17,625
Smucker (J.M.) Co. Class A............................ 11,500 231,438
Smucker (J.M.) Co. Class B............................ 13,000 214,500
*Softech, Inc......................................... 3,500 4,375
*Softnet Systems, Inc................................. 10,536 324,311
*#Software Spectrum, Inc.............................. 2,600 28,438
*Sola International, Inc.............................. 27,100 386,175
Somerset Group, Inc................................... 312 5,831
*#Somnus Medical Technologies, Inc.................... 3,900 7,617
*Sonic Automotive, Inc................................ 19,100 171,900
*Sonic Corp........................................... 14,850 401,414
*#Sonic Foundry, Inc.................................. 1,900 24,938
*Sonic Solutions...................................... 7,500 21,563
*Sonosight, Inc....................................... 3,633 109,217
*Sonus Pharmaceuticals, Inc........................... 7,800 18,281
*Sound Advice, Inc.................................... 3,022 29,653
*#Source Media, Inc................................... 10,700 183,906
South Jersey Industries, Inc.......................... 11,148 326,776
*Southern Energy Homes, Inc........................... 11,925 27,204
*#Southern Pacific Funding Corp....................... 19,600 441
*Southern Union Co.................................... 41,558 799,992
*Southwall Technologies, Inc.......................... 5,400 23,541
Southwest Bancorp, Inc................................ 1,500 33,234
*Southwest Bancorporation of Texas, Inc............... 17,700 332,981
Southwest Gas Corp.................................... 17,000 398,438
Southwest Securities Group, Inc....................... 11,282 320,127
Southwest Water Co.................................... 4,095 68,335
Southwestern Energy Co................................ 21,900 162,881
Sovereign Bancorp, Inc................................ 960 8,505
*Spacehab, Inc........................................ 8,900 44,222
*Spacelabs Medical, Inc............................... 8,500 118,469
Span-American Medical System, Inc..................... 2,400 8,138
Spartan Motors, Inc................................... 14,000 58,625
Spartech Corp......................................... 23,200 732,250
*Sparton Corp......................................... 7,200 34,200
*Spatial Technology, Inc.............................. 7,450 30,731
*Special Metals Corp.................................. 7,800 26,569
*Specialty Care Network, Inc.......................... 8,700 25,828
*Specialty Equipment Co., Inc......................... 14,600 323,025
*SpectraLink Corp..................................... 18,500 194,828
*Spectranetics Corp................................... 18,302 84,361
*Spectra-Physics Laser, Inc........................... 2,900 41,053
*Spectrian Corp....................................... 8,700 236,259
*Spectrum Control, Inc................................ 10,600 114,281
*SpectRx, Inc......................................... 6,400 74,400
*SpeedFam-IPEC, Inc................................... 26,447 312,405
*Speizman Industries, Inc............................. 2,300 11,788
*Spire Corp........................................... 3,200 19,300
*Splash Technology Holdings, Inc...................... 9,800 69,672
*Sport Chalet, Inc.................................... 2,700 15,567
*Sport Supply Group, Inc.............................. 5,800 36,975
*Sport-Haley, Inc..................................... 3,500 13,781
*Sports Authority, Inc................................ 37,800 80,325
*Sports Club Co., Inc................................. 17,700 74,119
*SportsLine USA, Inc.................................. 1,400 66,981
*Sportsman's Guide, Inc............................... 4,000 12,875
Springs Industries, Inc. Class A...................... 5,300 212,000
*Spyglass, Inc........................................ 13,500 384,328
St. Francis Capital Corp.............................. 8,100 162,253
St. Joseph Light & Power Co........................... 49,600 1,038,500
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
St. Mary Land & Exploration Co........................ 10,100 $ 213,678
*Staar Surgical Co.................................... 12,100 120,244
*Stac Software, Inc................................... 5,375 33,090
*Staff Leasing, Inc................................... 27,400 229,475
*Staffmark, Inc....................................... 26,700 212,348
*Stage II Apparel Corp................................ 1,700 2,125
*Stage Stores, Inc.................................... 18,700 59,606
*Standard Automotive Corp............................. 2,900 26,100
Standard Commercial Corp.............................. 10,329 40,025
*Standard Management Corp............................. 6,300 37,997
*Standard Microsystems Corp........................... 12,300 150,291
Standard Motor Products, Inc.
Class A............................................. 10,400 190,450
Standard Pacific Corp. DE............................. 37,000 407,000
*Standard Register Co................................. 14,900 313,831
Standex International Corp............................ 10,500 221,813
*Stanford Telecommunications, Inc..................... 10,400 354,575
*Stanley Furniture, Inc............................... 6,600 134,475
*Star Buffet, Inc..................................... 2,800 11,725
*Star Multi Care Services, Inc........................ 4,085 3,000
*Starcraft Corp....................................... 2,500 17,578
*Starmet Corp......................................... 13,000 70,688
Starrett (L.S.) Co. Class A........................... 3,500 83,344
*Startec Global Communications Corp................... 6,600 132,619
*Starter Corp......................................... 24,300 2,187
State Auto Financial Corp............................. 37,700 364,041
State Financial Services Corp.
Class A............................................. 5,972 94,432
*Statewide Financial Corp............................. 800 19,000
*Station Casinos, Inc................................. 28,300 679,200
*Steel Dynamics, Inc.................................. 34,300 474,841
Steel Technologies, Inc............................... 9,000 100,969
*Stein Mart, Inc...................................... 41,100 248,527
*Steinway Musical Instruments, Inc.................... 11,200 224,000
Stepan Co............................................. 7,900 187,131
Stephan Co............................................ 2,700 10,800
*Stericycle, Inc...................................... 11,400 198,788
Sterling Bancorp...................................... 6,500 121,875
Sterling Bancshares................................... 18,337 234,370
*Sterling Financial Corp. WA.......................... 5,820 73,841
*#Sterling Vision, Inc................................ 13,200 26,606
Stewart & Stevenson Services, Inc..................... 25,000 298,438
Stewart Enterprises, Inc.............................. 35,400 180,872
Stewart Information Services Corp..................... 10,200 137,700
Stifel Financial Corp................................. 5,651 58,629
Stone & Webster, Inc.................................. 9,800 160,475
*Stoneridge, Inc...................................... 12,200 164,700
*Storage Computer Corp................................ 8,900 11,125
*Stormedia, Inc. Class A.............................. 8,200 8
*#Stratasys, Inc...................................... 4,400 26,125
*Strategic Diagnostics, Inc........................... 9,700 75,781
*Strategic Distribution, Inc.......................... 40,292 64,215
*Strattec Security Corp............................... 6,500 227,500
*Stratus Properties, Inc.............................. 11,100 45,441
*Strawbridge and Clothier Liquidating Trust........... 4,200 683
#Strayer Ed, Inc...................................... 12,400 255,363
Stride Rite Corp...................................... 56,800 362,100
*Strouds, Inc......................................... 7,200 15,863
*Structural Dynamics Research Corp.................... 32,600 347,394
Sturm Ruger & Co., Inc................................ 24,200 217,800
*#Styleclick.com, Inc................................. 6,700 96,731
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Suburban Lodges of America, Inc...................... 14,300 $ 82,672
*Success Bancshares, Inc.............................. 1,200 14,100
*Successories, Inc.................................... 8,000 21,500
Suffolk Bancorp....................................... 4,300 119,325
*Summa Industries, Inc................................ 2,700 33,244
Summit Bancshares, Inc................................ 2,000 39,000
*Summit Design, Inc................................... 19,700 60,331
*Summit Technology, Inc............................... 19,208 368,554
*Sun Bancorp, Inc..................................... 5,500 62,734
Sun Hydraulics, Inc................................... 4,400 29,700
*Sunair Electronics, Inc.............................. 3,000 7,500
*#Sunbeam Corp........................................ 65,400 322,913
*Sunburst Hospi....................................... 13,400 69,513
*Sundance Homes, Inc.................................. 3,000 675
*Sunglass Hut International, Inc...................... 45,300 553,509
*Sunquest Information Systems, Inc.................... 11,800 160,775
*#Sunrise Assisted Living, Inc........................ 16,999 223,643
*Sunrise Medical, Inc................................. 21,700 130,200
*Sunrise Resources, Inc............................... 5,500 28,102
*#Sunrise Technologies International, Inc............. 42,000 437,063
*Sunterra Corp........................................ 34,200 367,650
*Superconductor Technologies, Inc..................... 5,400 16,031
*#Supergen, Inc....................................... 19,000 634,125
*Superior Consultant Holdings Corp.................... 8,200 119,413
*Superior Energy Services, Inc........................ 42,100 274,966
Superior Industries International, Inc................ 500 13,406
*Superior National Insurance Group, Inc............... 11,800 35,769
Superior Surgical Manufacturing Co., Inc.............. 9,900 96,525
Superior Telecom, Inc................................. 16,125 263,039
*Supertex, Inc........................................ 26,500 409,922
*Suprema Specialties, Inc............................. 4,600 40,394
*Supreme Industries, Inc.............................. 8,219 61,646
*SurModics, Inc....................................... 1,200 25,538
Susquehanna Bancshares, Inc........................... 29,493 509,676
*Swift Energy Corp.................................... 14,780 164,428
*Swisher International, Inc........................... 700 613
*Swiss Army Brands, Inc............................... 6,300 51,581
*Sybase, Inc.......................................... 76,700 1,239,184
*Sybron Chemicals, Inc................................ 1,100 14,988
*Sylvan, Inc.......................................... 5,700 53,081
*Symix Systems, Inc................................... 4,800 60,450
*Symmetricom, Inc..................................... 14,300 106,356
*Symons International Group, Inc...................... 8,300 11,283
*Symphonix Devices, Inc............................... 5,200 16,169
*Syms Corp............................................ 12,900 78,206
Synalloy Corp. DE..................................... 5,300 38,094
*Synaptic Pharmaceutical Corp......................... 9,600 43,800
*Synbiotics Corp...................................... 8,100 18,352
*Sync Research, Inc................................... 3,080 9,433
*Syncor International Corp. DE........................ 9,000 252,000
*#Syntel, Inc......................................... 46,500 579,797
*Syntellect, Inc...................................... 12,000 26,625
*Synthetech, Inc...................................... 11,100 40,238
*Synthetic Industries, Inc............................ 8,500 277,047
*Syntroleum Corp...................................... 10,350 102,045
*Sypris Solutions, Inc................................ 2,250 22,430
*System Software Associates, Inc...................... 10,700 23,406
*Systemax, Inc........................................ 32,900 318,719
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Systems & Computer Technology Corp................... 30,600 $ 437,006
*T&W Financial Corp................................... 3,300 10,467
*#T-HQ, Inc........................................... 4,200 225,225
*T-Netix, Inc......................................... 8,000 31,500
*TALK.com, Inc........................................ 44,600 751,231
*TALX Corp............................................ 1,300 17,469
TB Woods Corp......................................... 4,700 44,944
*TBA Entertainment Corp............................... 9,000 37,688
*TBC Corp............................................. 21,250 125,508
TCBY Enterprises, Inc................................. 24,800 99,200
*TCC Industries, Inc.................................. 1,100 61
*TCI International, Inc............................... 1,200 5,100
*TCSI Corp............................................ 22,500 42,188
*TEAM America Corp.................................... 2,800 17,850
*TESSCO Technologies, Inc............................. 3,700 73,306
TF Financial Corp..................................... 2,600 35,831
*TFC Enterprises, Inc................................. 6,600 28,256
*TII Industries, Inc.................................. 5,360 6,784
TJ International, Inc................................. 13,600 566,525
*TMBR/Sharp Drilling, Inc............................. 4,300 30,906
TNP Enterprises, Inc.................................. 13,200 538,725
*TRC Companies, Inc................................... 5,600 44,100
*#TREEV, Inc.......................................... 9,000 28,688
*TRM Copy Centers Corp................................ 4,800 27,300
*TRO Learning, Inc.................................... 4,800 30,450
*TSI International, Inc............................... 22,700 988,869
TSI, Inc. MN.......................................... 8,600 99,706
*TSR, Inc............................................. 4,800 36,675
*TST/Impreso, Inc..................................... 3,600 12,375
Tab Products Co. DE................................... 4,100 31,263
*Taco Cabana, Inc..................................... 13,800 119,456
*Tag-It Pacific, Inc.................................. 4,500 21,375
*Taitron Components, Inc.............................. 2,200 4,400
*Take Two Interactive Software........................ 17,800 228,619
*Tandy Brand Accessories, Inc......................... 3,700 48,216
*Tandy Crafts, Inc.................................... 11,500 38,094
*Targeted Genetics Corp............................... 37,700 100,141
*Tarrant Apparel Group................................ 14,300 160,875
Tasty Baking Co....................................... 5,375 51,398
*Team, Inc............................................ 6,100 13,725
Tech/Ops Sevcon, Inc.................................. 1,700 17,425
*Techdyne, Inc........................................ 4,200 9,713
*Techne Corp.......................................... 16,600 805,619
*Technical Communications Corp........................ 400 1,425
*Technisource, Inc.................................... 7,600 31,825
Technitrol, Inc....................................... 14,600 625,975
Technology Research Corp.............................. 4,100 4,420
*Technology Solutions Corp............................ 36,750 1,008,328
*Tech-Sym Corp........................................ 4,900 92,488
*Tegal Corp........................................... 10,500 33,961
Tejon Ranch Co........................................ 12,000 288,750
*Tekelec.............................................. 41,500 739,219
*Telcom Semiconductor, Inc............................ 13,200 142,725
*Telescan, Inc........................................ 4,900 132,147
*Telescape International, Inc......................... 5,100 48,131
*Teletech Holdings, Inc............................... 49,500 1,027,125
*Teltrend, Inc........................................ 5,200 108,875
*Telular Corp......................................... 7,000 36,969
Telxon Corp........................................... 12,900 203,578
*Template Software, Inc............................... 3,400 32,300
*Temtex Industries, Inc............................... 2,000 3,344
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Tennant Co............................................ 4,000 $ 142,500
*#Tera Computer Co.................................... 16,700 62,103
*Terex Corp........................................... 9,700 271,600
Terra Industries, Inc................................. 95,400 196,763
*Tesoro Petroleum Corp................................ 42,200 506,400
*Tesseract Group, Inc................................. 7,600 14,250
*Tetra Tech, Inc...................................... 30,081 343,111
*Tetra Technologies, Inc.............................. 13,200 102,300
*Texas Biotechnology Corp............................. 28,600 121,550
Texas Industries, Inc................................. 17,000 616,250
Texas Regional Banchshares, Inc. Class A.............. 11,500 318,766
*Thackeray Corp....................................... 3,600 13,500
*Theragenics Corp..................................... 26,500 253,406
*Thermatrix, Inc...................................... 5,400 10,884
*Thermedics, Inc...................................... 34,400 195,650
*Thermo Bioanalysis Corp.............................. 14,700 259,088
*Thermo Cardiosystems, Inc............................ 31,400 217,838
*Thermo Ecotek Corp................................... 21,100 155,613
*Thermo Fibergen, Inc................................. 6,800 77,350
*#Thermo Fibertek, Inc................................ 52,900 373,606
*Thermo Optek Corp.................................... 42,700 429,669
*Thermo Sentron, Inc.................................. 7,900 117,019
*Thermo Terratech, Inc................................ 12,000 81,000
*Thermo Vision Corp................................... 4,000 27,500
*#Thermolase Corp..................................... 32,700 67,444
*ThermoQuest Corp..................................... 40,800 420,750
Thermoretec Corp...................................... 8,100 53,663
*Thermospectra Corp................................... 12,300 196,031
*Thermotrex Corp...................................... 14,900 121,063
*Thermwood Corp....................................... 200 1,075
*Thistle Group Holdings Co............................ 1,200 9,038
*Thomas Group, Inc.................................... 5,300 43,063
Thomas Industries, Inc................................ 12,850 207,206
*Thomaston Mills, Inc................................. 1,900 2,434
Thor Industries, Inc.................................. 9,750 272,391
*Thoratec Laboratories Corp........................... 16,300 129,381
*#Thorn Apple Valley, Inc............................. 4,600 506
*Three-Five Systems, Inc.............................. 7,100 301,750
*Tier Technologies, Inc. Class B...................... 4,500 32,484
Timberland Bancorp, Inc............................... 4,100 48,303
*Timberland Co. Class A............................... 4,400 211,200
Timberline Software Corp.............................. 23,200 315,375
*Tipperary Corp....................................... 10,500 14,438
*Titan Corp........................................... 33,590 909,029
*Titan Exploration, Inc............................... 12,000 42,750
Titan International, Inc.............................. 20,100 133,163
*Titan Pharmaceuticals, Inc........................... 13,800 198,375
Titanium Metals Corp.................................. 26,100 141,919
*Today's Man, Inc..................................... 4,300 3,225
*Todd Shipyards Corp.................................. 7,900 69,125
Todd-AO Corp. Class A................................. 4,920 87,330
*Toddhunter International, Inc........................ 3,900 35,831
*Tofutti Brands, Inc.................................. 1,700 3,400
*Tokheim Corp......................................... 14,000 44,625
*Toll Brothers, Inc................................... 16,000 286,000
*Tollgrade Communications, Inc........................ 6,300 178,369
Tompkins County Trustco, Inc.......................... 330 9,900
*Topps, Inc........................................... 41,800 476,781
*Toreador Royalty Corp................................ 2,500 11,250
Toro Co............................................... 11,600 376,275
*Total Entertainment Restaurant Corp.................. 9,400 16,009
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Total Renal Care Holdings, Inc....................... 26,200 $ 186,675
*Total-Telephone USA Communications, Inc.............. 3,000 42,375
*Tower Air, Inc....................................... 13,300 19,742
*#Toymax International, Inc........................... 7,400 55,038
*Track Data Corp...................................... 22,800 141,075
*Track 'n Trail, Inc.................................. 4,900 5,666
*Tractor Supply Co.................................... 8,000 136,000
*Trailer Bridge, Inc.................................. 5,000 9,063
*Trammell Crow Co..................................... 21,000 257,250
*#Trans World Airlines, Inc........................... 51,500 167,375
*Trans World Entertainment Corp....................... 49,800 547,800
*Transact Technologies, Inc........................... 5,007 36,927
*Transaction Network Services, Inc.................... 10,600 486,275
*Transcoastal Marine Services, Inc.................... 8,900 28,786
*#Transcrypt International, Inc....................... 7,800 23,156
*Transfinancial Holdings, Inc......................... 3,300 17,531
*Transition Analysis Component Technology............. 299 3,233
*Transkaryotic Therapies, Inc......................... 8,800 403,975
*Transmation, Inc..................................... 6,700 13,609
*Transmedia Network, Inc.............................. 10,000 25,000
*Transmontaigne Oil Co................................ 27,400 184,950
*Transport Industries, Inc............................ 1,000 5,625
*Transportation Components, Inc....................... 21,000 57,750
*Transportation Technologies Industries, Inc.......... 8,800 117,975
Transpro, Inc......................................... 5,300 35,113
Transtechnology Corp.................................. 4,900 42,875
*#Transtexas Gas Corp................................. 48,400 9,680
*Transwitch Corp...................................... 9,200 435,850
*Transworld Healthcare, Inc........................... 16,800 36,750
*Travel Services International, Inc................... 11,000 110,344
*#Travis Boats & Motors, Inc.......................... 2,600 24,619
*Trega Biosciences, Inc............................... 10,100 13,414
Tremont Corp. DE...................................... 5,100 81,281
*Trend-Lines, Inc. Class A............................ 3,300 4,847
*Trendwest Resorts, Inc............................... 11,100 230,325
Trenwick Group, Inc................................... 14,127 286,955
*Trex Medical Corp.................................... 30,700 84,425
*Triad Guaranty, Inc.................................. 10,600 240,819
*Triad Hospitals, Inc................................. 1,000 12,344
Triangle Bancorp, Inc................................. 26,600 541,975
*Triangle Pharmaceuticals, Inc........................ 26,000 511,063
*Triarc Companies, Inc. Class A....................... 22,200 431,513
Trico Bancshares...................................... 4,950 102,558
*Trico Marine Services, Inc........................... 21,300 159,084
*Trident Microsystems, Inc............................ 10,800 113,063
*Tridex Corp.......................................... 4,200 7,481
Trigen Energy Corp.................................... 10,500 171,281
*Trimark Holdings, Inc................................ 1,700 5,259
*Trimble Navigation, Ltd.............................. 18,200 306,556
*Trimedyne, Inc....................................... 5,400 12,403
*Trimeris, Inc........................................ 10,500 223,453
*TriPath Imaging, Inc................................. 22,352 146,685
*Triple S Plastics, Inc............................... 2,600 30,225
*Tripos, Inc.......................................... 2,600 25,878
*Triquint Semiconductor, Inc.......................... 4,100 349,781
*Tristar Aerospace Co................................. 12,100 114,194
*#Tristar Corp........................................ 1,000 4,969
*Triumph Group........................................ 7,900 192,069
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Tropical Sportswear International Corp............... 6,900 $ 124,631
*Trump Hotels & Casino Resorts, Inc................... 22,200 86,025
Trust Co. of New Jersey............................... 15,500 341,000
Trustco Bank Corp. NY................................. 42,852 622,693
*Tuboscope Vetco International, Inc................... 45,400 646,950
*TurboChef Technologies, Inc.......................... 10,600 70,888
Tuscarora, Inc........................................ 8,500 103,063
Twin Disc, Inc........................................ 1,400 19,513
*Twinlab Corp......................................... 29,400 286,650
*Tyler Technologies, Inc.............................. 43,800 180,675
U.S. Bancorp, Inc..................................... 11,200 140,700
*#U.S. Diagnostic, Inc................................ 18,000 15,469
*U.S. Franchise Systems, Inc.......................... 10,000 49,063
*U.S. Home & Garden, Inc.............................. 23,700 55,917
*U.S. Office Products, Co............................. 33,900 125,006
*#U.S. Plastic Lumber Corp............................ 5,200 57,038
*U.S. Vision, Inc..................................... 3,000 7,594
*UCBH Holdings, Inc................................... 3,900 84,459
*UFP Technologies, Inc................................ 2,300 6,684
UGI Corp.............................................. 24,400 477,325
*URS Corp............................................. 16,500 321,750
*US Can Corp.......................................... 11,500 205,563
*US LEC Corp.......................................... 9,300 247,322
*US Liquids, Inc...................................... 14,300 113,506
*US Oncology, Inc..................................... 60,038 286,119
*US Xpress Enterprises, Inc. Class A.................. 10,114 73,010
*USA Detergents, Inc.................................. 18,100 77,491
*USA Floral Products, Inc............................. 16,400 46,638
*USA Truck, Inc....................................... 6,500 56,266
*USData Corp.......................................... 8,950 86,703
*UTI Energy Corp...................................... 14,500 293,625
*Ubics, Inc........................................... 4,700 12,191
*#uBid, Inc........................................... 6,414 252,952
*Ugly Duckling Corp................................... 14,900 110,819
*Ultimate Electronics, Inc............................ 6,900 161,503
*Ultimate Software Group, Inc......................... 3,600 39,263
*Ultradata Systems, Inc............................... 2,000 3,313
*Ultrak, Inc.......................................... 11,600 54,375
*Ultralife Batteries, Inc............................. 10,900 66,081
*Ultratech Stepper, Inc............................... 18,700 353,547
Umpqua Holdings Corp.................................. 1,800 16,144
*#Unapix Entertainment, Inc........................... 6,100 11,438
*Unicapital Corp...................................... 36,900 83,025
Unico American Corp................................... 5,000 34,375
*UniComp, Inc......................................... 6,400 24,000
*Unifab International, Inc............................ 5,800 34,981
*Unifi, Inc........................................... 6,500 86,125
Unifirst Corp......................................... 8,000 121,500
*Unify Corp........................................... 6,800 337,238
*Unimark Group, Inc................................... 10,100 12,941
*Uni-Marts, Inc....................................... 6,500 5,688
*Union Acceptance Corp. Class A....................... 3,500 25,703
*Union Community Bancorp.............................. 1,000 10,938
*Unique Mobility, Inc................................. 12,700 43,656
*Uniroyal Technology Corp............................. 11,600 193,575
*Unisource Energy Corp................................ 28,980 326,025
*Unit Corp............................................ 27,400 157,550
*United American Healthcare Corp.,.................... 5,300 5,631
*United Auto Group, Inc............................... 3,600 32,400
United Community Financial Corp....................... 11,200 120,400
United Financial Corp. MN............................. 400 8,025
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
United Fire Casualty Co............................... 5,400 $ 116,775
United Guardian, Inc.................................. 1,900 7,363
United Illuminating Co................................ 1,900 98,325
United Industrial Corp................................ 10,700 92,956
United National Bancorp............................... 12,836 281,590
*United Natural Foods, Inc............................ 18,300 154,406
*United Payors & United Providors, Inc................ 16,400 263,425
*United Retail Group, Inc............................. 10,500 96,961
*United Road Services, Inc............................ 7,200 13,613
*United States Energy Corp............................ 5,600 21,700
*United States Home Corp.............................. 10,600 272,950
United Water Resources, Inc........................... 9,500 318,250
United Wisconsin Services, Inc........................ 13,600 73,100
*Unitel Video, Inc.................................... 700 263
Unitil Corp........................................... 3,400 95,625
Unity Bancorp, Inc.................................... 2,600 19,663
*Universal American Financial Corp.................... 7,000 29,750
*Universal Electronics, Inc........................... 6,700 253,344
Universal Forest Products, Inc........................ 15,900 245,953
*#Universal International, Inc........................ 7,500 19,453
*Universal Stainless & Alloy Products, Inc............ 4,700 17,698
*Uno Restaurant Corp.................................. 8,700 95,700
*Unova, Inc........................................... 2,000 26,250
*Urban Outfitters, Inc................................ 16,200 327,544
*Urocor, Inc.......................................... 10,400 35,263
*Urogen Corp. (Restricted)............................ 2,100 798
*Urologix, Inc........................................ 12,600 64,181
*Uromed Corp. New..................................... 4,720 5,015
*Uroquest Medical Corp................................ 8,000 14,250
*Ursus Telecom Corp................................... 3,700 66,831
*Utah Medical, Inc.................................... 6,300 42,919
*Utilx Corp........................................... 5,600 24,500
*#V-ONE Corp.......................................... 19,400 261,294
*V.I. Technologies, Inc............................... 8,300 50,059
*VDI Media............................................ 8,800 116,050
*VISTA Information Solutions, Inc..................... 13,600 40,375
VRB Bancorp........................................... 4,600 29,469
*VTEL Corp............................................ 21,800 78,344
*Valence Technology, Inc.............................. 23,000 209,516
*#Valentis, Inc....................................... 25,866 116,397
*Vallen Corp.......................................... 8,200 203,206
*Valley National Gases, Inc........................... 3,800 12,825
Valley Resources, Inc................................. 4,000 82,000
Valmont Industries, Inc............................... 23,200 408,900
*Value City Department Stores, Inc.................... 28,900 482,269
Value Line, Inc....................................... 4,000 141,250
*Vans, Inc............................................ 12,000 144,000
*Vantive Corp......................................... 25,500 398,438
*Varco International, Inc............................. 45,000 480,938
*#Vari L Co., Inc..................................... 6,500 130,203
*Varian Medical Systems, Inc.......................... 24,350 636,144
*Variflex, Inc........................................ 5,100 31,875
*Veeco Instruments, Inc............................... 9,600 396,000
*Venator Group, Inc................................... 24,800 170,500
*#Ventana Medical Systems, Inc........................ 15,500 334,703
Venturian Corp........................................ 330 1,856
*Veramark Technologies, Inc........................... 5,900 70,616
*Verdant Brands, Inc.................................. 2,117 5,954
*Verilink Corp........................................ 11,300 37,255
*Veritas DGC, Inc..................................... 21,000 305,813
</TABLE>
213
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Verity, Inc.......................................... 4,600 $ 475,956
*#Versant Object Technology Corp...................... 6,500 43,266
*Versar, Inc.......................................... 2,000 4,625
*Vertel Corp.......................................... 32,300 60,563
*Vertex Communications Corp........................... 5,100 108,375
*Vertex Pharmaceuticals, Inc.......................... 22,800 604,913
Vesta Insurance Group, Inc............................ 16,300 64,181
*Vestcom Int'l, Inc................................... 9,600 33,600
*Veterinary Centers of America, Inc................... 21,900 245,691
*Viasat, Inc.......................................... 5,400 139,894
*Viasoft, Inc......................................... 16,100 99,367
*Viatel, Inc.......................................... 7,800 325,650
*Vical, Inc........................................... 13,000 281,938
*Vicon Industries, Inc................................ 3,600 21,150
*Vicor Corp........................................... 7,300 236,338
*Vicorp Restaurants, Inc.............................. 7,300 128,206
*Vidamed, Inc......................................... 10,800 22,613
*Video Display Corp................................... 2,300 9,200
*Video Services Corp.................................. 2,000 6,000
*Videonics, Inc....................................... 3,600 3,656
*View Technology, Inc................................. 3,900 11,944
*Viisage Technology, Inc.............................. 6,500 21,531
Vintage Petroleum, Inc................................ 31,500 336,656
*Virbac Corp.......................................... 1,600 3,300
Virco Manufacturing Corp.............................. 8,621 117,461
Virginia Gas Co....................................... 3,900 11,822
*Virtualfund.Com, Inc................................. 13,020 26,854
*#Vision Sciences, Inc................................ 5,100 5,578
*Vision Twenty-One, Inc............................... 8,600 36,550
*VisionAmerica, Inc................................... 7,200 21,150
*Vista Eyecare, Inc................................... 18,400 21,850
*Vista Medical Technologies, Inc...................... 30,000 12,656
Vital Signs, Inc...................................... 11,100 259,463
*Vitalcom, Inc........................................ 6,000 6,469
*#Vitech America, Inc................................. 13,190 100,368
*Vivid Technologies, Inc.............................. 8,500 50,336
*#Vivus, Inc.......................................... 29,900 66,808
*Vlasic Foods International, Inc...................... 36,400 282,100
*Vodavi Technology, Inc............................... 2,600 7,638
*Volt Information Sciences, Inc....................... 17,400 388,238
Vulcan International Corp............................. 700 21,700
*Vysis, Inc........................................... 13,000 41,641
WD-40 Co.............................................. 12,400 288,688
WFS Financial, Inc.................................... 23,100 514,697
*#WHX Corp............................................ 16,700 148,213
*WLR Foods, Inc....................................... 14,598 83,026
*WMF Group, Ltd....................................... 4,700 23,353
*WMS Industries, Inc.................................. 32,300 367,413
*WPI Group, Inc....................................... 5,300 14,409
Wabash National Corp.................................. 19,400 284,938
Wackenhut Corp. Class A............................... 2,700 38,306
Wackenhut Corp. Class B
Non-Voting.......................................... 9,950 100,744
*Wackenhut Corrections Corp........................... 17,800 214,713
*Walker Interactive Systems, Inc...................... 16,000 93,500
*Wall Street Deli, Inc................................ 1,500 2,063
Walter Industries, Inc................................ 40,500 430,313
*Warrantech Corp...................................... 12,100 12,100
Warren Bancorp, Inc................................... 6,300 51,384
*Warwick Community Bancorp, Inc....................... 3,600 37,350
Washington Banking Co................................. 1,000 9,563
*Washington Homes, Inc................................ 6,500 34,531
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Washington Savings Bank FSB Waldorf, MD............... 1,600 $ 5,400
*Washington Trust Bancorp, Inc........................ 2,800 49,350
*Waste Connections, Inc............................... 14,900 196,959
*Waste Industries, Inc................................ 10,200 131,644
*Waterlink, Inc....................................... 10,100 31,563
Waters Instruments, Inc............................... 200 1,106
Watkins-Johnson Co.................................... 5,300 205,706
Watsco, Inc. Class A.................................. 42,800 465,450
Watsco, Inc. Class B.................................. 1,350 14,808
Watts Industries, Inc. Class A........................ 19,100 266,206
Wausau-Mosinee Paper Corp............................. 16,000 212,000
*Wave Technologies International, Inc................. 2,500 7,813
*#Wavo Corp........................................... 22,600 90,047
*Webb (Del) Corp...................................... 15,800 361,425
*Webco Industries, Inc................................ 3,800 12,350
*Webhire, Inc......................................... 8,000 69,000
*Weider Nutrition International, Inc.................. 6,300 21,263
*Weirton Steel Corp................................... 34,300 109,331
Wellman, Inc.......................................... 38,500 613,594
*Wells-Gardner Electronics Corp....................... 3,150 9,844
Werner Enterprises, Inc............................... 40,362 605,430
Wesbanco, Inc......................................... 16,750 384,203
*Wesley Jessen Vision Care, Inc....................... 14,700 423,084
West Coast Bancorp.................................... 12,454 184,086
*West Marine, Inc..................................... 14,300 121,997
West Pharmaceutical Services, Inc..................... 13,600 475,150
*West Teleservices Corp............................... 15,300 262,013
*Westaff, Inc......................................... 14,400 100,575
*Westbank Corp........................................ 2,600 24,863
Westcorp, Inc......................................... 22,996 337,754
*Westell Technologies, Inc............................ 16,500 149,789
Westerfed Financial Corp.............................. 3,900 64,350
*Western Beef, Inc.................................... 3,800 33,131
*#Western Digital Corp................................ 118,000 464,625
Western Gas Resources, Inc............................ 28,900 326,931
Western Ohio Financial Corp........................... 900 16,059
*Western Power & Equipment Corp....................... 2,600 5,688
*Western Water Co..................................... 10,900 14,647
Westinghouse Air Brake Co............................. 39,702 719,599
*Weston (Roy F.), Inc. Class A........................ 5,400 11,981
*Westwood Homestead Financial Corp.................... 1,000 10,906
*Wet Seal, Inc. Class A............................... 9,500 129,141
*White Cap Industries, Inc............................ 9,600 137,700
*White Electronics Designs Corp....................... 11,700 41,681
*White Pine Software, Inc............................. 12,400 199,950
*Whitehall Jewellers, Inc............................. 7,500 236,719
*Whitman Education Group, Inc......................... 12,200 26,688
*Wickes Lumber Co..................................... 6,600 33,516
*#Wild Oats Markets, Inc.............................. 10,700 382,525
*Williams Clayton Energy, Inc......................... 7,100 105,169
*Williams Controls, Inc............................... 14,700 30,319
*Williams Industries, Inc............................. 700 2,953
*Willis Lease Finance Corp............................ 7,400 48,563
*Wilmar Industries, Inc............................... 16,900 231,319
*Wilshire Financial Sevices Group, Inc................ 137 163
*Wilshire Oil Co. of Texas............................ 7,107 27,540
*Wilsons The Leather Experts, Inc..................... 7,500 137,344
*Wind River Systems, Inc.............................. 23,700 818,391
*Windmere Corp........................................ 17,500 250,469
Winnebago Industries, Inc............................. 19,300 364,288
</TABLE>
214
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Wireless Telecom Group, Inc.......................... 15,600 $ 38,025
Wiser Oil Co.......................................... 8,100 22,781
Wolohan Lumber Co..................................... 4,100 50,097
*Wolverine Tube, Inc.................................. 13,000 197,438
Wolverine World Wide, Inc............................. 39,400 430,938
Woodhead Industries, Inc.............................. 10,500 139,125
Woodward Governor Co.................................. 8,300 223,841
*Workflow Management, Inc............................. 11,300 266,256
*Workgroup Technology Corp............................ 5,800 6,344
*World Acceptance Corp................................ 15,400 75,556
*World Access, Inc.................................... 35,372 537,212
World Fuel Services Corp.............................. 11,300 90,400
*World of Science, Inc................................ 2,900 4,622
*Worldtalk Communications Corp........................ 9,500 84,313
*Worldtex, Inc........................................ 13,200 15,675
*Wyant Corp........................................... 266 557
Wynns International, Inc.............................. 15,450 233,681
X-Rite, Inc........................................... 23,900 159,084
*Xceed, Inc........................................... 11,500 302,953
*Xeta Corp............................................ 2,000 63,000
*Xetel Corp........................................... 9,000 16,734
*Xicor, Inc........................................... 16,200 154,406
*Xionics Document Technologies, Inc................... 9,700 71,841
*Xircom, Inc.......................................... 6,600 346,294
*Xoma, Ltd............................................ 44,700 132,703
*Xtra Corp............................................ 6,200 248,000
Yankee Energy Systems, Inc............................ 8,500 362,844
Yardville National Bancorp............................ 5,255 63,060
*Yellow Corp.......................................... 21,900 369,563
York Financial Corp................................... 6,891 87,430
York Group, Inc....................................... 8,200 34,978
*York Research Corp................................... 11,200 41,300
*Young Broadcasting, Inc. Class A..................... 10,000 401,563
*Zamba Corporation.................................... 24,100 124,266
Zap.com Corp.......................................... 334 751
*Zapata Corp.......................................... 16,700 90,806
*Zaring National Corp................................. 1,900 8,669
*Zebra Technologies Corp. Class A..................... 4,680 281,824
*Zemex Corp........................................... 6,794 55,201
Zenith National Insurance Corp........................ 13,600 282,200
*Zevex International, Inc............................. 2,000 9,875
*Zila, Inc............................................ 2,557 7,911
*Zing Technologies, Inc............................... 1,500 12,750
*#Zitel Corp.......................................... 13,800 20,269
*#ZixIt Corp.......................................... 13,800 593,400
*Zoll Medical Corp.................................... 5,200 178,425
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*#Zoltek Companies, Inc............................... 13,000 $ 150,719
*#Zonagen, Inc........................................ 8,100 44,170
*Zoran Corp........................................... 7,900 315,013
*Zygo Corp............................................ 8,800 169,950
*Zymetx, Inc.......................................... 1,500 3,164
------------
TOTAL COMMON STOCKS
(Cost $560,412,731).................................. 574,481,207
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants............ 2,525 0
*Arch Communications Group Inc. Warrants 09/01/03..... 20,420 10,848
*CSF Holdings, Inc. Litigation Rights 12/30/99........ 3,250 0
*Franklin Covey Co. Rights 11/30/99................... 20,300 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
*TALK.com, Inc. 02/12/00.............................. 600 0
*Xinetix, Inc. Warrants 03/17/03...................... 332 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $43,669)....................................... 10,848
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (2.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
7.500%, 11/15/01, valued at $15,410,675) to be
repurchased at $15,181,235.
(Cost $15,179,000).................................. $ 15,179 15,179,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $575,635,400)++................................ $589,671,055
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $579,077,351.
</TABLE>
See accompanying Notes to Financial Statements.
215
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.0%)
*1-800 CONTACTS, Inc.................................. 11,200 $ 296,800
*3-D Systems Corp..................................... 91,200 705,375
*3DO Co............................................... 156,800 1,506,750
*3Dfx Interactive, Inc................................ 54,947 487,655
*4Front Software International, Inc................... 66,400 1,419,300
*800-Jr Cigar, Inc.................................... 7,700 64,487
*#8X8, Inc............................................ 77,900 338,378
*#A Consulting Team, Inc.............................. 8,600 34,400
*A.C. Moore Arts & Crafts, Inc........................ 35,000 172,812
*AAON, Inc............................................ 51,790 647,375
ABC Bancorp........................................... 37,225 490,905
*ABC Rail Products Corp............................... 68,000 756,500
*ACSYS, Inc........................................... 10,200 19,125
*ACT Manufacturing, Inc............................... 15,150 462,548
*ACT Networks, Inc.................................... 80,600 654,875
*ADE Corp............................................. 84,500 1,513,078
*AEP Industries, Inc.................................. 42,050 1,240,475
*AG Services America, Inc............................. 30,550 448,703
*#AMBI, Inc........................................... 11,800 29,131
*AML Communications, Inc.............................. 28,900 127,341
*APAC Teleservices, Inc............................... 59,300 346,534
*ARI Network Services, Inc............................ 32,775 177,190
*ARIS Corp............................................ 8,400 68,775
*#ARV Assisted Living, Inc............................ 127,000 261,937
ASB Financial Corp.................................... 4,500 48,797
*#ASV, Inc............................................ 25,050 364,791
*ATS Medical, Inc..................................... 154,900 1,476,391
*Aavid Thermal Technologies, Inc...................... 57,400 1,325,581
*Abaxis, Inc.......................................... 95,000 445,312
Abington Bancorp, Inc................................. 36,800 472,650
*Abiomed, Inc......................................... 47,000 1,445,250
*#Able Telcom Holding Corp............................ 60,900 620,419
Abrams Industries, Inc................................ 17,100 69,469
*Abraxas Petroleum Corp............................... 50,000 51,562
*Acacia Research Corp................................. 63,200 1,358,800
*Accelr8 Technology Corp.............................. 76,500 94,429
*Acceptance Insurance Companies, Inc.................. 32,200 205,275
*Access Worldwide Communications, Inc................. 74,000 115,625
*Ace Cash Express, Inc................................ 64,425 1,058,986
*Ace Comm Corp........................................ 67,000 663,719
Aceto Corp............................................ 45,766 517,728
*Acme Electric Corp................................... 37,884 252,165
*Acme United Corp..................................... 28,707 30,501
*Acorn Products, Inc.................................. 14,600 30,112
*Active Apparel Group, Inc............................ 5,600 15,750
*Active Voice Corp.................................... 27,800 750,600
*#Actrade International, Ltd.......................... 45,600 807,975
*Adac Laboratories.................................... 14,700 174,103
Adams Resources & Energy, Inc......................... 74,150 648,812
*adam.com, Inc........................................ 20,900 348,769
*Adept Technology, Inc................................ 79,000 506,094
*Administaff, Inc..................................... 90,000 1,507,500
*Advance Lighting Technologies, Inc................... 26,400 146,025
*#Advanced Aerodynamics & Structures, Inc............. 5,000 10,078
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Advanced Communications Group, Inc................... 107,800 $ 855,662
*Advanced Communications Systems, Inc................. 34,100 518,959
*Advanced Digital Information Corp.................... 80,700 3,601,237
*Advanced Magnetics, Inc.............................. 57,550 205,022
Advanced Marketing Services, Inc...................... 58,700 1,197,847
*Advanced Neuromodulation Systems, Inc................ 98,928 738,868
*Advanced Polymer Systems, Inc........................ 162,000 582,187
*Advanced Technical Products, Inc..................... 4,900 65,231
*#Advanced Tissue Sciences, Inc....................... 122,800 389,506
*Advantica Restaurant Group, Inc...................... 329,000 570,609
Advest Group, Inc..................................... 63,400 1,137,237
*Aehr Test Systems.................................... 44,000 218,625
*Aeroflex, Inc........................................ 39,452 325,479
*Aerosonic Corp. DE................................... 24,300 276,412
*Aerovox, Inc......................................... 41,800 114,950
*Aetrium, Inc......................................... 65,700 351,084
*Aftermarket Technology Corp.......................... 42,200 363,975
*Ag-Chem Equipment Co., Inc........................... 49,700 624,356
*Agribiotech, Inc..................................... 5,100 16,416
*Agritope, Inc........................................ 16,500 17,273
*Aht Corp............................................. 86,700 387,441
*Air Methods Corp..................................... 45,400 163,156
*Airnet Systems, Inc.................................. 35,000 188,125
*Akorn, Inc........................................... 115,600 531,037
*Aksys, Ltd........................................... 28,400 138,450
Alabama National Bancorporation....................... 14,100 319,012
Alamo Group, Inc...................................... 54,600 546,000
*Alaris Medical, Inc.................................. 82,600 165,200
Alba-Waldensian, Inc.................................. 42,000 766,500
*Alcide Corp.......................................... 15,300 187,903
*Aldila, Inc.......................................... 99,700 132,414
*Alexion Pharmaceuticals, Inc......................... 92,400 1,614,112
Alico, Inc............................................ 55,700 898,162
*Align-Rite International, Inc........................ 31,000 588,031
*All Amer Semiconductor Inc........................... 11,680 37,777
*Allcity Insurance Co................................. 200 1,400
Allen Organ Co. Class B............................... 4,700 178,894
*Allen Telecom, Inc................................... 65,900 617,812
Alliance Bancorp...................................... 48,200 957,975
Alliance Bancorp of New England, Inc.................. 399 3,741
*Alliance Gaming Corp................................. 90,568 300,006
*Alliance Pharmaceuticals Corp........................ 233,100 1,041,666
*Alliance Semiconductor Corp.......................... 19,200 277,200
*Allied Healthcare Products, Inc...................... 66,800 194,137
*Allied Holdings, Inc................................. 66,435 465,045
Allied Products Corp.................................. 99,841 361,924
*Allied Research Corp................................. 41,040 261,630
*Allin Communications Corp............................ 53,300 266,500
*Allou Health & Beauty Care, Inc. Class A............. 30,000 219,375
*Allstars Systems, Inc................................ 35,000 49,766
*Alltrista Corp....................................... 48,574 1,044,341
*Alpha Microsystems, Inc.............................. 69,800 302,103
*Alpha Technologies Group, Inc........................ 107,200 666,650
*Alphanet Solutions, Inc.............................. 49,600 232,500
</TABLE>
216
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Alpine Group, Inc.................................... 75,544 $ 953,743
*Alteon, Inc.......................................... 125,300 129,216
*Alternative Resources Corp........................... 157,300 830,741
*Alterra Healthcare Corp.............................. 175,200 1,324,950
*#Alyn Corp........................................... 95,500 222,336
Ambanc Holding Co., Inc............................... 49,400 782,681
*Ambassadors, Inc..................................... 84,900 1,037,372
Amcast Industrial Corp................................ 59,200 828,800
*Amedisys, Inc........................................ 13,700 18,837
*America Services Group, Inc.......................... 29,000 407,812
American Bancorporation Ohio.......................... 800 14,075
American Bank of Connecticut.......................... 24,000 579,000
American Biltrite, Inc................................ 57,850 860,519
*American Claims Evaluation, Inc...................... 3,100 6,394
*American Classic Voyages Co.......................... 32,000 940,000
*American Coin Merchandising, Inc..................... 36,800 95,450
*American Dental Technologies, Inc.................... 2,000 2,937
*American Ecology Corp................................ 82,700 131,803
*American Educational Products, Inc................... 2,760 31,999
*American Healthcorp, Inc............................. 68,700 339,206
*American Homestar Corp............................... 101,218 415,943
*American Indemnity Finl Escrow....................... 16,700 16,700
*American Locker Group, Inc........................... 35,200 275,000
*American Medical Electronics, Inc. (Escrow-Bonus).... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 102,100 0
*American Pacific Corp................................ 73,500 539,766
*American Physicians Services Group, Inc.............. 46,800 226,687
*American Precision Industries, Inc................... 160,375 1,744,078
*American Retirement Corp............................. 9,000 77,625
*American Science & Engineering, Inc.................. 75,000 637,500
*American Shared Hospital Services.................... 14,800 64,750
*American Software, Inc. Class A...................... 142,800 707,306
American States Water Company......................... 35,300 1,339,194
*American Superconductor Corp......................... 102,200 1,941,800
*American Technical Ceramics Corp..................... 21,000 291,375
*American Wagering, Inc............................... 6,600 35,475
American Woodmark Corp................................ 47,029 971,443
Americana Bancorp, Inc................................ 20,350 338,955
*Amerihost Properties, Inc............................ 63,600 213,656
*Ameripath, Inc....................................... 156,600 1,279,716
*Ameristar Casinos, Inc............................... 132,250 520,734
Ameron, Inc........................................... 22,200 958,762
*Amistar Corp......................................... 28,300 32,280
Ampco-Pittsburgh Corp................................. 82,100 1,010,856
*Ampex Corp. Class A.................................. 164,100 748,706
Amplicon, Inc......................................... 66,600 703,462
*Amrep Corp........................................... 63,610 302,147
*Amresco, Inc......................................... 116,000 233,812
*Amsurg Corp. Class A................................. 6,331 42,734
*Amsurg Corp. Class B................................. 40,795 258,793
*Amtran, Inc.......................................... 88,200 1,719,900
Amwest Insurance Group, Inc........................... 56,688 396,816
*Amylin Pharmaceuticals, Inc.......................... 115,400 977,294
*Analogy, Inc......................................... 65,500 122,812
*#Analytical Surveys, Inc............................. 46,800 655,200
*Anaren Microwave, Inc................................ 43,700 1,903,681
*Andersen Group, Inc.................................. 15,000 87,187
Andersons, Inc........................................ 33,400 291,206
Andover Bancorp, Inc. DE.............................. 50,625 1,520,332
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Andrea Electronics Corp.............................. 97,100 $ 758,594
*#Anesta Corp......................................... 95,500 1,402,656
*#Angeion Corp........................................ 13,980 30,144
Angelica Corp......................................... 85,700 857,000
*Anicom, Inc.......................................... 118,800 551,306
*Anika Therapeutics, Inc.............................. 33,000 205,219
*Ansoft Corp.......................................... 80,700 592,641
*Ansys, Inc........................................... 116,600 1,073,084
*Anthony and Sylvan Pools Corp........................ 32,409 219,774
*Aphton Corp.......................................... 84,100 1,187,912
*Apple Orthodontix, Inc............................... 19,500 9,750
*Applied Analytical Industries, Inc................... 15,000 127,500
*Applied Digital Solutions, Inc....................... 34,100 214,191
*Applied Extrusion Technologies, Inc.................. 92,700 593,859
*Applied Films Corp................................... 16,000 71,500
*Applied Graphics Technologies, Inc................... 45,000 424,687
*Applied Innovation, Inc.............................. 118,200 707,353
*Applied Microsystems Corp............................ 43,900 370,406
*Applied Science & Technology, Inc.................... 41,600 976,300
Applied Signal Technologies, Inc...................... 75,000 1,021,875
*Applix, Inc.......................................... 79,300 1,405,097
*Aquila Biopharmaceuticals, Inc....................... 44,444 63,888
*Aradigm Corp......................................... 117,300 788,109
*Arcadia Financial, Ltd............................... 42,600 191,700
*Arch Communications Group, Inc....................... 64,266 408,692
*Arguss Holdings, Inc................................. 16,700 229,103
*#Ariad Pharmaceuticals, Inc.......................... 191,500 290,242
*#Ariel Corp.......................................... 89,400 1,109,119
*Ark Restaurants Corp................................. 21,200 206,700
*Arkansas Best Corp................................... 162,200 2,032,569
*Armor Holdings, Inc.................................. 122,000 1,441,125
*Aronex Pharmaceuticals, Inc.......................... 178,250 584,883
*Arqule, Inc.......................................... 86,200 527,975
*Arrhythmia Research Technology, Inc.................. 11,375 22,750
Arrow Financial Corp.................................. 45,243 909,102
*Arthrocare Corp...................................... 10,000 606,562
*Artisan Components, Inc.............................. 25,600 332,000
*Artisoft, Inc........................................ 99,800 1,350,419
*Arts Way Manufacturing Co., Inc...................... 100 381
*Asahi/America, Inc................................... 27,500 258,672
*Asante Technologies, Inc............................. 45,600 38,475
*Ascent Assurance, Inc................................ 623 1,149
*#Asche Transportation Services, Inc.................. 29,800 93,125
*Ashworth, Inc........................................ 108,800 501,500
*Assisted Living Concepts, Inc........................ 78,800 123,125
*Astea International, Inc............................. 50,600 192,912
Astro-Med, Inc........................................ 58,175 359,958
*Astronics Corp....................................... 31,047 296,887
*AstroPower, Inc...................................... 19,900 250,616
Atalanta Sosnoff Capital Corp......................... 37,600 314,900
*Atchison Casting Corp................................ 43,500 435,000
*Athey Products Corp.................................. 31,085 44,685
*Atlantic American Corp............................... 128,925 366,630
*Atlantic Data Services, Inc.......................... 93,000 334,219
*Atlantic Premium Brands, Ltd......................... 24,400 33,550
*Atlantis Plastics, Inc............................... 32,800 483,800
*Atrion Corp.......................................... 59,850 706,978
*Atrix Labs, Inc...................................... 90,106 529,373
*Audiovox Corp. Class A............................... 30,600 910,350
*Ault, Inc............................................ 34,500 265,219
*Aura Systems, Inc.................................... 32,000 14,240
*Aurora Biosciences Corp.............................. 145,600 1,724,450
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Auspex Systems, Inc.................................. 111,100 $ 1,371,391
*#Autobond Acceptance Corp............................ 13,400 2,965
Autocam Corp.......................................... 61,370 1,045,208
*Autologic Information International, Inc............. 27,500 75,625
*Autote Corp. Class A................................. 286,400 716,000
*Avalon Holding Corp. Class A......................... 15,475 79,309
*Avant Immunotherapeutics, Inc........................ 191,210 469,062
Avert, Inc............................................ 21,400 211,325
*Avi Biopharma, Inc................................... 21,200 143,762
*Avigen, Inc.......................................... 77,800 2,319,412
*Avteam, Inc. Class A................................. 80,200 362,153
*Axsys Technologies, Inc.............................. 22,600 254,250
*Axys Pharmaceuticals, Inc............................ 247,830 1,014,554
Aztec Manufacturing Co................................ 55,826 530,347
B B & T Corp.......................................... 27,883 895,741
*BCT International, Inc............................... 23,700 34,069
*BEI Electronics, Inc................................. 42,800 52,162
BEI Technologies, Inc................................. 53,000 675,750
BHA Group Holdings, Inc. Class A...................... 84,954 769,896
*BI, Inc.............................................. 85,900 638,881
*BLC Financial Services, Inc.......................... 5,000 8,125
BMC Industries, Inc................................... 90,400 491,550
BSB Bancorp, Inc...................................... 136,006 2,830,625
*BTG, Inc............................................. 38,500 257,469
*BTU International, Inc............................... 54,300 295,256
*BWAY Corp............................................ 83,550 480,412
Badger Meter, Inc..................................... 64,600 1,978,375
*Badger Paper Mills, Inc.............................. 200 1,200
Bairnco Corp.......................................... 105,400 770,737
Baker (J.), Inc....................................... 115,300 601,722
*Baker (Michael) Corp................................. 72,214 469,391
*Baker (Michael) Corp. Class B........................ 15,400 100,100
*Balance Bar Co....................................... 70,000 774,375
Balchem Corp.......................................... 10,400 89,700
*Baldwin Piano & Organ Co............................. 37,900 322,150
*Baldwin Technology, Inc. Class A..................... 135,000 329,062
*Ballantyne Omaha, Inc................................ 145,635 782,788
*Baltek Corp.......................................... 21,562 155,651
Bancfirst Ohio Corp................................... 31,700 766,744
*Bancinsurance Corp................................... 39,480 223,309
Bancorp Connecticut, Inc.............................. 28,580 469,784
Bangor Hydro-Electric Co.............................. 56,200 902,712
*Bank Plus Corp....................................... 125,200 383,425
*Bank United Financial Corp. Class A.................. 104,900 916,236
Bank West Financial Corp.............................. 3,200 28,800
BankAtlantic Bancorp, Inc. Class A.................... 1,935 8,828
BankAtlantic Bancorp, Inc. Class B.................... 12,900 72,159
*Banyan System, Inc................................... 121,800 1,754,681
*Barnett, Inc......................................... 116,300 1,026,711
*Barnwell Industries, Inc............................. 11,800 140,862
*Barrett Business Services, Inc....................... 56,800 369,200
*Barringer Technologies, Inc.......................... 60,600 392,006
*Barry (R.G.) Corp.................................... 178,235 768,638
*#Base Ten Systems, Inc............................... 12,020 35,872
*Basin Exploration, Inc............................... 34,700 612,672
*Baycorp Holdings, Ltd................................ 28,500 228,000
*Bayou Steel Corp. Class A............................ 79,250 247,656
*Beard Co............................................. 26,533 66,332
Beauticontrol Cosmetics, Inc.......................... 47,500 148,437
*Beazer Homes USA, Inc................................ 65,500 1,240,406
*Bel Fuse, Inc. Class A............................... 43,250 2,130,062
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Bel Fuse, Inc. Class B................................ 43,250 $ 2,081,406
*Belco Oil & Gas Corp................................. 12,000 74,250
Bell Industries, Inc.................................. 76,472 377,580
*Bell Microproducts, Inc.............................. 70,100 516,987
*Bellwether Exploration Co............................ 121,800 605,194
*Ben & Jerry's Homemade, Inc. Class A................. 47,400 859,125
*Benihana, Inc........................................ 11,500 160,281
*Benihana, Inc. Class A............................... 1,400 19,469
*Bentley Pharmaceuticals, Inc......................... 49,550 210,587
*Benton Oil & Gas Co.................................. 142,100 284,200
Berkshire Energy Resources............................ 8,300 289,981
*Berlitz International, Inc........................... 28,200 553,425
*Bethlehem Corp....................................... 200 150
*Big 4 Ranch, Inc..................................... 35,000 0
*Billing Information Concepts Corp.................... 90,000 496,406
*Bio Vascular, Inc.................................... 57,600 117,000
*Bioanalytical Systems, Inc........................... 3,200 10,000
*Biocryst Pharmaceuticals, Inc........................ 13,800 353,194
*Bio-Logic Systems Corp............................... 25,900 148,925
*Biomerica, Inc....................................... 26,100 104,400
*Bionova Holdings Corp................................ 5,400 10,800
*Bionx Implants, Inc.................................. 76,700 203,734
*#Bio-Plexus, Inc..................................... 13,200 52,800
*BioReliance Corp..................................... 20,000 145,000
*Biosite Diagnostics, Inc............................. 111,100 1,451,244
*Biosource International, Inc......................... 71,000 239,625
*Biospecifics Technologies Corp....................... 31,000 51,344
*#Biospherics, Inc.................................... 65,800 371,153
Birmingham Steel Corp................................. 106,200 769,950
*Black Hawk Gaming & Development, Inc................. 17,400 109,837
Blair Corp............................................ 64,300 932,350
Blimpie International................................. 55,450 110,900
*Blonder Tongue Laboratories, Inc..................... 32,500 174,687
*Bluegreen Corp....................................... 127,129 715,101
*Boca Research, Inc................................... 65,400 551,812
*Bolder Technologies Corp............................. 73,600 800,400
*Bolle, Inc........................................... 42,066 205,072
*Bolt Technology Corp................................. 40,750 160,453
*Bombay Co., Inc...................................... 283,400 1,417,000
*Bonded Motors, Inc................................... 14,000 15,094
*Bone Care International, Inc......................... 40,500 373,359
*Bontex, Inc.......................................... 2,200 4,537
*Bon-Ton Stores, Inc.................................. 69,500 342,070
*#Books-a-Million, Inc................................ 140,000 1,456,875
*Boron, Lepore and Associates, Inc.................... 80,400 590,437
Boston Acoustics, Inc................................. 57,450 847,387
*Boston Beer Company, Inc. Class A.................... 71,000 510,312
*Boston Biomedical, Inc............................... 10,500 32,812
*Boston Communications Group, Inc..................... 94,000 511,125
Bostonfed Bancorp, Inc................................ 25,100 411,012
Bowl America, Inc. Class A............................ 56,160 400,140
*Bradley Pharmaceuticals, Inc. Class A................ 8,400 10,500
*Brass Eagle, Inc..................................... 34,000 258,187
*Brauns Fashions Corp................................. 27,400 589,100
*#Breed Technologies, Inc............................. 5,600 2,436
*Bridgestreet Accomodations, Inc...................... 11,800 20,650
Bridgford Foods Corp.................................. 76,109 706,387
*Brigham Exploration Co............................... 20,000 23,125
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*BrightStar Information Technology Group, Inc......... 7,500 $ 57,891
*Brilliant Digital Entertainment, Inc................. 70,000 253,750
*#Britesmile, Inc..................................... 54,500 524,562
*#Broadband Technologies, Inc......................... 86,600 388,347
*Brookdale Living Communities......................... 100,200 1,330,781
*Brooks Automation, Inc............................... 84,200 2,304,975
*Brookstone, Inc...................................... 63,500 1,067,594
*Brooktrout Technology, Inc........................... 102,950 1,647,200
*Brothers Gourmet Coffees, Inc........................ 58,669 587
*Brown & Sharpe Manufacturing Co. Class A............. 102,975 244,566
*Brunswick Technologies, Inc.......................... 33,300 139,444
Bryn Mawr Bank Corp................................... 2,800 70,612
*Buckhead America Corp................................ 3,500 20,344
*Builders Transport, Inc.............................. 29,100 466
*Building Materials Holding Corp...................... 104,900 1,042,444
*Bull Run Corp. GA.................................... 172,400 700,375
Bush Industries, Inc. Class A......................... 84,100 1,345,600
*Business Resource Group.............................. 32,400 146,812
*Butler International, Inc............................ 75,040 572,184
Butler Manufacturing Co............................... 32,600 698,862
*#C-Phone Corp........................................ 51,400 81,919
*C.P. Clare Corp...................................... 80,300 521,950
*C3, Inc.............................................. 27,300 228,637
CB Bancshares, Inc. HI................................ 2,818 87,358
*CCA Industries, Inc.................................. 34,700 50,423
CCBT Financial Companies, Inc......................... 69,200 1,046,650
*CE Software Holdings, Inc............................ 2,180 21,255
*CEM Corp............................................. 41,500 372,203
*CFI Proservices, Inc................................. 36,600 312,816
*CFM Technologies, Inc................................ 49,500 549,141
*CHS Electronics, Inc................................. 30,000 20,625
CMI Corp. Class A..................................... 264,699 2,150,679
CNBT Bancshares, Inc.................................. 42,200 535,412
*CNS Income........................................... 113,600 562,675
CPAC, Inc............................................. 46,878 369,897
CPB, Inc.............................................. 27,700 715,872
*CPI Aerostructures, Inc.............................. 833 1,380
*CSP, Inc............................................. 78,928 389,707
*CTB International Corp............................... 21,200 134,156
*CTC Communications Group, Inc........................ 73,500 1,800,750
*Cache, Inc........................................... 80,125 355,555
*Caci International, Inc. Class A..................... 93,400 2,072,312
*Cade Industries, Inc................................. 74,700 374,667
*Cadiz, Inc........................................... 53,400 455,569
Cadmus Communications Corp............................ 71,800 572,156
*Caere Corp........................................... 121,400 861,181
Cagle's, Inc. Class A................................. 104,900 1,448,931
Calgon Carbon Corp.................................... 3,000 18,375
*Caliber Learning Network, Inc........................ 78,000 163,312
*California Amplifier, Inc............................ 94,400 2,221,350
*California Coastal Communities, Inc.................. 30,600 239,062
*California Culinary Academy, Inc..................... 17,300 68,119
*California Micro Devices Corp........................ 52,100 426,569
*Callon Petroleum Co.................................. 71,700 851,437
*Calloways Nursery, Inc............................... 1,700 2,098
Cal-Maine Foods, Inc.................................. 40,700 138,634
*#Cambridge Heart, Inc................................ 87,100 229,998
*Cameron Ashley Building Products, Inc................ 64,400 515,200
Cameron Financial Corp................................ 11,500 147,344
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Candela Laser Corp................................... 44,400 $ 666,000
*Candies, Inc......................................... 111,000 114,469
*Canisco Resources, Inc............................... 8,600 9,406
*Cannon Express, Inc. Class A......................... 9,650 31,362
*Cannondale Corp...................................... 73,200 514,687
*Cantel Industries, Inc. Class B...................... 28,200 137,916
*Capital Associates, Inc.............................. 26,850 68,803
*Capital Crossing Bank................................ 24,700 341,169
*Capital Pacific Holdings, Inc........................ 75,300 183,544
*Capital Senior Living Corp........................... 85,300 426,500
*Capital Trust........................................ 12,000 57,000
Capitol Bancorp, Ltd.................................. 30,384 353,214
Capitol Transamerica Corp............................. 51,145 594,561
*Carbide/Graphite Group, Inc.......................... 66,600 401,681
*Cardiac Pathways Corp................................ 16,000 34,500
*Cardima, Inc......................................... 19,500 36,867
*Caredata.com, Inc.................................... 33,400 283,900
*Career Blazers, Inc. Trust Units..................... 4,360 0
*Carematrix, Inc...................................... 2,500 5,117
*Caretenders Healthcorp............................... 11,500 28,031
*Carey International, Inc............................. 10,200 221,212
*Caribiner International, Inc......................... 198,100 1,758,137
*Carleton Corporation................................. 6,560 14,555
*Carmike Cinemas, Inc. Class A........................ 62,600 782,500
*Carreker-Antinori, Inc............................... 143,000 1,009,937
*Carriage Services, Inc. Class A...................... 69,000 353,625
*Carrington Laboratories, Inc......................... 76,300 153,792
*Carson, Inc.......................................... 47,500 166,250
Cascade Corp.......................................... 67,100 637,450
Cascade Natural Gas Corp.............................. 76,600 1,345,287
*Casino Data Systems.................................. 96,300 347,583
*Castle Dental Centers, Inc........................... 17,700 68,034
Castle Energy Corp.................................... 13,100 221,881
*Catalina Lighting, Inc............................... 60,600 299,212
*Catalyst International, Inc.......................... 59,500 479,719
*Catherines Stores Corp............................... 59,900 1,229,822
Cato Corp. Class A.................................... 37,400 488,537
Cavalier Homes, Inc................................... 149,981 646,793
*Cavanaughs Hospitality Corp.......................... 115,500 866,250
*Celadon Group, Inc................................... 69,000 444,187
*Celebrity, Inc....................................... 13,500 42,187
*Celeris Corporation.................................. 29,766 31,626
*Celeritek, Inc....................................... 55,700 414,269
*Celestial Seasonings, Inc............................ 53,600 1,110,525
*Celgene Corp......................................... 84,300 5,044,828
*#Cell Genesys, Inc................................... 173,005 1,584,077
*Cell Pathways, Inc................................... 27,670 261,136
*Cellegy Pharmaceuticals, Inc......................... 34,000 116,875
*#Cel-Sci Corp........................................ 23,700 57,769
Cenit Bancorp, Inc.................................... 22,700 408,600
*Centennial Bancorp................................... 90,822 967,822
*Centennial Healthcare Corp........................... 19,200 58,200
*#CenterSpan Communication Corp....................... 32,100 502,566
*Centigram Communications Corp........................ 51,900 713,625
Central Bancorp, Inc.................................. 10,000 195,000
Central Vermont Public Service Corp................... 73,500 909,562
Centris Group, Inc.................................... 108,200 1,325,450
Century Aluminum Co................................... 134,800 1,322,725
Century Bancorp Income Class A........................ 7,600 126,350
*Ceradyne, Inc........................................ 115,100 580,895
Cerberonics, Inc. Class A............................. 3,500 19,469
*Ceres Group, Inc..................................... 49,400 333,450
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Cerion Technologies, Inc............................. 31,000 $ 3,100
*Cerprobe Corp........................................ 65,200 580,687
Champion Industries, Inc.............................. 54,800 267,150
*Champps Entertainment, Inc........................... 74,767 151,870
*Chart House Enterprises, Inc......................... 92,400 490,875
Chart Industries, Inc................................. 16,000 59,000
*Charter Federal Savings Bank (Escrow)................ 43,340 0
Chase Corp............................................ 24,200 293,425
*Chase Industries, Inc................................ 90,750 799,734
*Chattem, Inc......................................... 65,900 1,274,753
*Chaus (Bernard), Inc................................. 15,260 36,242
*Check Technology Corp................................ 39,700 100,491
*Chemfab Corp......................................... 141,300 2,260,800
*Cherry Corp.......................................... 40,500 463,219
*Chesapeake Biological Laboratories, Inc. Class A..... 16,300 46,862
Chesapeake Utilities Corp............................. 30,675 559,819
Chester Valley Bancorp................................ 6,201 96,503
*Chic by His, Inc..................................... 80,000 60,000
Chicago Rivet & Machine Co............................ 20,000 465,000
*Chicos Fas, Inc...................................... 69,100 2,653,872
*Children's Comprehensive Services, Inc............... 64,250 439,711
*Childtime Learning Centers, Inc...................... 25,600 331,200
*Cholestech Corp...................................... 77,500 489,219
*Chromcraft Revington, Inc............................ 112,000 1,274,000
*Chronimed, Inc....................................... 92,800 736,600
*Chyron Corp.......................................... 120,000 90,000
*Cidco, Inc........................................... 95,700 771,581
*Cima Laboratories, Inc............................... 76,900 778,612
*Ciprico, Inc......................................... 41,895 535,470
*Circuit City Stores, Inc. - Carmax Group............. 196,600 466,925
*Circuit Systems, Inc................................. 26,500 36,437
*Citadel Holding Corp................................. 49,000 168,437
*Citation Computer System, Inc........................ 30,000 69,844
*Citation Corp........................................ 32,500 550,469
*Citizens, Inc. Class A............................... 97,958 636,730
*Civic Bancorp........................................ 41,674 668,086
*Clark (Dick) Productions, Inc........................ 18,039 292,006
*Clean Harbors, Inc................................... 82,400 117,162
*click2learn.com, Inc................................. 40,000 295,000
*ClickAction, Inc..................................... 20,000 375,000
*Clintrials Research, Inc............................. 150,600 588,281
*Coast Dental Services, Inc........................... 58,400 186,150
*Coast Distribution System............................ 43,600 89,925
Coastal Bancorp, Inc.................................. 50,500 1,010,000
*Coastcast Corp....................................... 66,300 861,900
*Cobra Electronic Corp................................ 125,100 625,500
*#Coeur d'Alene Mines Corp. ID........................ 152,700 620,344
*Cogeneration Corporation of America.................. 38,100 939,403
*Cognitronics Corp.................................... 86,175 1,486,519
*Cohesion Technologies, Inc........................... 62,300 447,781
*Coinmach Laundry Corp................................ 84,700 910,525
*Coinstar, Inc........................................ 12,400 129,812
Cold Metal Products, Inc.............................. 51,800 182,919
*Coldwater Creek, Inc................................. 36,600 1,027,087
*Cole National Corp. Class A.......................... 68,800 369,800
*Collagenex Pharmaceuticals, Inc...................... 50,900 1,135,706
Collins Industries, Inc............................... 86,325 547,624
*Colorado MEDtech, Inc................................ 90,600 1,143,825
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Columbia Banking System, Inc......................... 58,000 $ 946,125
*Columbia Laboratories, Inc........................... 82,700 656,431
*Columbus Energy Corp................................. 26,257 146,055
*Comarco, Inc......................................... 47,800 866,375
*Comdial Corp......................................... 151,433 1,256,421
*Comforce Corp........................................ 128,766 209,245
*Command Systems, Inc................................. 16,400 26,650
Commercial Bancshares, Inc............................ 20,605 473,915
Commercial Bank of New York........................... 19,650 239,484
Commercial Intertech Corp............................. 75,400 947,212
Commercial National Financial Corp.................... 1,600 31,200
*Commodore Applied Technologies, Inc.................. 132,074 107,310
Commonwealth Industries, Inc.......................... 102,800 1,333,187
Communications Systems, Inc........................... 118,500 1,384,969
Community Bank System, Inc............................ 53,700 1,416,337
Community Banks, Inc.................................. 468 10,179
Community Bankshares, Inc............................. 2,600 32,175
Community Financial Corp.............................. 10,200 87,656
Community Financial Group, Inc........................ 500 7,672
Community First Brokerage Co.......................... 2,400 41,400
Community Savings Bankshares, Inc..................... 41,016 521,672
Community West Bancshares............................. 6,500 90,187
*Competitive Technologies, Inc........................ 109,600 623,350
*Comptek Research, Inc................................ 60,400 800,300
*Compucom Systems, Inc................................ 17,500 55,234
*#Computer Learning Centers, Inc...................... 138,100 468,245
*Computer Motion, Inc................................. 64,500 729,656
*Computer Outsourcing Services, Inc................... 23,100 589,050
*Comshare, Inc........................................ 74,400 365,025
*Comstock Resources, Inc.............................. 192,900 675,150
*Comtech Telecommunications Corp...................... 25,050 463,425
*#Concepts Direct, Inc................................ 3,400 34,850
*Concord Camera Corp.................................. 77,300 1,157,084
*Concurrent Computer Corp............................. 21,480 279,911
*Condor Technology Solutions, Inc..................... 71,500 168,695
*Conductus, Inc....................................... 41,300 136,806
*Cone Mills Corp. NC.................................. 218,700 1,079,831
*Congoleum Corp. Class A.............................. 26,500 89,437
Connecticut Water Services, Inc....................... 63,525 2,136,028
*ConnectInc.com Co.................................... 26,900 110,122
Conning Corp.......................................... 57,000 491,625
*Connitics Corp....................................... 79,100 536,397
*Conso Products Co.................................... 59,000 492,281
*Consolidated Delivery and Logistics, Inc............. 40,700 160,256
*Consolidated Freightways Corp........................ 100,000 909,375
Consolidated Tokoma Land Co........................... 10,900 137,612
*Continental Materials Corp........................... 19,400 436,500
*#Converse, Inc....................................... 147,700 295,400
Cooker Restaurant Corp................................ 70,100 219,062
*Cooperative Bankshares, Inc.......................... 5,500 59,125
*Copart, Inc.......................................... 33,700 871,987
*#Copytele, Inc....................................... 96,000 94,500
*Core Materials Corp.................................. 29,700 50,119
*Core, Inc............................................ 45,300 295,158
*Corixa Corp.......................................... 65,335 1,104,587
*Cornell Corrections, Inc............................. 76,600 876,112
*Correctional Services Corp........................... 90,443 404,167
*Corrpro Companies, Inc............................... 54,850 397,662
*Corsair Communications, Inc.......................... 84,000 895,125
*Corvas International, Inc............................ 106,500 286,219
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Corvel Corp.......................................... 12,400 $ 256,525
*Cotelligent Group, Inc............................... 107,900 451,831
Cotton States Life Insurance Co....................... 13,800 125,494
Counsel Corp.......................................... 17,500 40,469
Courier Corp.......................................... 47,550 1,060,959
*Covenant Transport, Inc. Class A..................... 104,000 1,511,250
*Cover-All Technologies, Inc.......................... 83,445 82,141
Covest Bancshares, Inc................................ 45,000 582,187
*Covol Technologies, Inc.............................. 13,200 12,375
*Coyote Network Systems, Inc.......................... 92,526 448,173
Craftmade International, Inc.......................... 68,250 616,383
*Craig (Jenny), Inc................................... 158,850 357,412
*Craig Corp........................................... 43,900 263,400
*Creative Biomolecules, Inc........................... 308,900 1,052,191
*Creative Computers, Inc.............................. 28,500 273,422
*Crescent Operating, Inc.............................. 53,600 162,475
*Criticare Systems, Inc............................... 46,700 110,912
*Cross (A.T.) Co. Class A............................. 100,400 527,100
*Crossman Communities, Inc............................ 77,000 1,234,406
*Crown Central Petroleum Corp. Class A................ 23,100 150,150
*Crown Central Petroleum Corp. Class B................ 37,800 226,800
Crown Crafts, Inc..................................... 68,600 180,075
*Crown Group, Inc..................................... 11,900 60,430
*Crown Resources Corp................................. 117,700 240,917
*Crown Vantage, Inc................................... 63,700 153,278
*Crown-Andersen, Inc.................................. 10,500 80,719
*Cryolife, Inc........................................ 110,900 1,497,150
*Crystal Gas Storage, Inc............................. 5,700 317,062
Cubic Corp............................................ 38,750 762,891
*Cubist Pharmaceuticals, Inc.......................... 113,100 1,138,069
Culp, Inc............................................. 178,580 1,116,125
*Cunningham Graphics International, Inc............... 36,000 465,750
*CuraGen Corp......................................... 50,800 1,257,300
*Curative Health Services, Inc........................ 15,400 122,237
*Cutter & Buck, Inc................................... 66,250 1,035,156
*#Cybercash, Inc...................................... 77,500 845,234
*#Cyberguard Corp..................................... 37,800 122,850
*Cyberonics, Inc...................................... 118,200 2,053,725
*Cyberoptics Corp..................................... 35,300 650,844
*Cybex International, Inc............................. 72,300 203,344
*Cygnus, Inc.......................................... 124,300 1,239,116
*Cylink Corp.......................................... 44,100 511,284
*Cyrk, Inc............................................ 107,300 798,044
*Cytrx Corp........................................... 25,800 65,306
*D & K Healthcare Resources, Inc...................... 15,100 260,475
*D A Consulting Group, Inc............................ 56,300 249,831
*#DRS Technologies, Inc............................... 52,203 450,251
*DSET Corp............................................ 39,800 1,038,531
DT Industries, Inc.................................... 85,500 667,969
*DVI, Inc............................................. 104,400 1,461,600
*Daily Journal Corp................................... 200 6,700
*Daktronics, Inc...................................... 20,200 438,719
*Damark International, Inc. Class A................... 49,100 481,794
*Dan River, Inc. (GA) Class A......................... 142,000 763,250
*Danielson Holding Corp............................... 9,853 49,265
*Daou Systems, Inc.................................... 69,600 274,050
*Darling International, Inc........................... 58,400 127,750
*#Data Dimensions, Inc................................ 104,000 347,750
*Data I/O Corp........................................ 65,600 141,450
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*#Data Race, Inc...................................... 88,800 $ 270,562
Data Research Association, Inc........................ 50,550 489,703
*Data Systems & Software, Inc......................... 57,200 182,325
*Datakey, Inc......................................... 11,700 20,109
*Datamarine International, Inc........................ 200 406
*Dataram Corp......................................... 34,100 632,981
*Datastream Systems, Inc.............................. 112,800 1,572,150
*DataTRAK International, Inc.......................... 38,900 137,973
*Dataware Technologies, Inc........................... 59,200 202,575
*Datron Systems, Inc.................................. 23,200 191,400
*Datum, Inc........................................... 72,600 651,131
*Dave and Busters, Inc................................ 111,150 1,146,234
Davel Communications, Inc............................. 73,750 260,430
*Davox Corp........................................... 67,400 1,114,206
*Dawson Geophysical Co................................ 44,700 400,903
*Daxor Corp........................................... 46,000 695,750
*Day Runner, Inc...................................... 74,800 525,937
*Dayton Superior Corp. Class A........................ 56,100 1,023,825
Deb Shops, Inc........................................ 82,100 1,608,647
*Deckers Outdoor Corp................................. 56,800 169,512
*Decora Industries, Inc............................... 13,400 43,969
Decorator Industries, Inc............................. 20,587 106,795
*Del Global Technologies Corp......................... 49,016 412,807
Del Laboratories, Inc................................. 168,218 1,492,938
*Delco Remy International, Inc........................ 14,500 135,937
*Delia's, Inc......................................... 64,800 708,750
*#Delta Financial Corp................................ 83,800 387,575
Delta Natural Gas Co., Inc............................ 18,800 289,050
Delta Woodside Industries, Inc........................ 175,800 340,612
*Deltek Systems, Inc.................................. 44,400 571,650
*Denali, Inc.......................................... 19,900 73,381
*#Dense-Pac Microsystems, Inc......................... 76,700 548,884
*DepoMed, Inc......................................... 59,500 416,500
Designs, Inc.......................................... 54,600 81,047
*Detection Systems, Inc............................... 66,186 612,220
*Detrex Corp.......................................... 10,200 50,362
*Devcon International Corp............................ 29,000 143,187
Dewolfe Companies, Inc................................ 6,000 39,375
*Dexterity Surgical, Inc.............................. 8,100 8,353
*Diacrin, Inc......................................... 20,500 122,359
*Diametrics Medical, Inc.............................. 187,500 1,230,469
*Diamond Home Services, Inc........................... 78,500 51,516
*Dianon Systems, Inc.................................. 47,300 473,000
*Diedrich Coffee, Inc................................. 3,920 20,090
*Digene Corp.......................................... 118,600 2,134,800
*Digi International, Inc.............................. 132,100 2,138,369
*#Digital Biometrics, Inc............................. 77,100 295,148
*Digital Courier Technologies, Inc.................... 50,000 384,375
*Digital Generation Systems, Inc...................... 186,200 797,169
*Digital Lightwave, Inc............................... 37,000 1,173,594
*Digital Power Corp................................... 16,500 21,656
Dime Bancorp, Inc..................................... 1 18
Dimon, Inc............................................ 82,900 279,787
*Diodes, Inc.......................................... 42,300 645,075
*Directrix, Inc....................................... 8,950 35,520
*Dispatch Management Services Corp.................... 7,100 15,975
*Display Technologies, Inc............................ 14,400 63,000
*Diversified Corporate Resources, Inc................. 16,200 48,600
*Dixie Group, Inc..................................... 71,319 492,547
*Dixon Ticonderoga Co................................. 27,450 233,325
*DocuCorp International, Inc.......................... 30,000 139,687
*Dominion Homes, Inc.................................. 37,700 237,981
</TABLE>
221
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Donegal Group, Inc.................................... 24,710 $ 168,337
*Donna Karan International, Inc....................... 93,200 728,125
Donnelly Corp. Class A................................ 59,750 862,641
*Dorsey Trailers, Inc................................. 39,000 48,750
*Dot Hill Systems Corp................................ 1,040 5,915
*Drew Industries, Inc................................. 90,700 861,650
*Drexler Technology Corp.............................. 112,950 878,892
*Driver-Harris Co..................................... 23,498 70,494
*Drug Emporium, Inc................................... 105,500 426,945
*Drypers Corp......................................... 48,400 124,781
*DualStar Technologies Corp........................... 42,800 298,931
*Duckwall-Alco Stores, Inc............................ 41,200 328,312
*Ducommun, Inc........................................ 79,500 705,562
*Dunn Computer Corp................................... 60,500 81,297
*Duramed Pharmaceuticals, Inc......................... 115,800 922,781
*Dwyer Group, Inc..................................... 29,500 70,984
*Dynamic Healthcare Technologies, Inc................. 45,900 63,830
*Dynamic Materials Corp............................... 14,700 24,806
*Dynamics Research Corp............................... 71,258 376,331
*E-Z-Em, Inc. Class A................................. 37,000 212,750
*E-Z-Em, Inc. Class B................................. 55,424 304,832
*E4L, Inc............................................. 173,878 543,369
*ECC International Corp............................... 139,750 454,187
*ECCS, Inc............................................ 6,900 48,947
*EFI Electronics Corp................................. 65,400 68,466
*EFTC Corp............................................ 122,300 275,175
*EIS International, Inc............................... 85,100 369,653
EMC Insurance Group, Inc.............................. 51,400 522,031
*EMCORE Corp.......................................... 22,700 518,553
*EMS Technologies, Inc................................ 142,199 1,537,527
ESB Financial Corp.................................... 2,342 29,421
*ESCO Electronics Corp. Trust Receipts................ 101,076 979,174
*EXX, Inc. Class A.................................... 300 1,312
*EXX, Inc. Class B.................................... 100 406
Eagle Bancshares, Inc................................. 41,200 660,487
*Eagle Food Centers, Inc.............................. 82,600 122,609
*Eagle Geophysical, Inc............................... 60,700 2,428
*Eagle Point Software Corp............................ 40,500 215,156
East West Bancorp, Inc................................ 7,700 94,084
*East/West Communications, Inc........................ 29,600 784,400
Eastern Co............................................ 39,000 614,250
*Eateries, Inc........................................ 25,400 68,262
*Echelon International Corp........................... 10,300 234,325
*Eclipse Surgical Technologies, Inc................... 11,300 112,647
*Eco Soil Systems, Inc................................ 143,500 488,797
*Ecogen, Inc.......................................... 56,900 94,241
Ecology & Environment, Inc. Class A................... 11,900 68,425
*Edac Technologies Corp............................... 12,200 21,541
Edelbrock Corp........................................ 47,200 563,450
*#Edison Control Corp................................. 7,000 42,000
Edo Corp.............................................. 52,500 298,594
Educational Development Corp.......................... 8,400 33,600
*Educational Insights, Inc............................ 52,300 109,503
*EduTrek International, Inc........................... 19,100 15,519
*#eFax.com, Inc....................................... 99,300 778,884
*eGlobe, Inc.......................................... 126,135 405,997
*Elantec Semiconductor, Inc........................... 73,000 2,132,969
*Elcom International, Inc............................. 107,800 1,115,056
*Elcotel, Inc......................................... 88,389 203,018
*Electric Fuel Corp................................... 92,200 118,131
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Electro Rent Corp.................................... 19,350 $ 229,177
Electro Sensors, Inc.................................. 2,300 4,672
*Electronic Processing, Inc........................... 12,100 138,394
*Electronic Retailing System International, Inc....... 16,400 17,937
*Elite Information Group, Inc......................... 78,100 556,462
Ellett Brothers, Inc.................................. 44,000 291,500
*Eltrax System, Inc................................... 44,825 315,176
*Embrex, Inc.......................................... 124,600 1,129,187
*Emcee Broadcast Products, Inc........................ 30,000 132,187
*Emcor Group, Inc..................................... 74,800 1,304,325
*Emeritus Corp........................................ 146,800 963,375
*Emisphere Technologies, Inc.......................... 77,300 1,451,791
Empire Federal Bancorp, Inc........................... 5,700 65,906
*En Pointe Technologies, Inc.......................... 43,500 418,687
*Encad, Inc........................................... 90,500 492,094
*#Encore Med Corp..................................... 7,700 15,761
*Encore Wire Corp..................................... 107,675 760,455
*Endocardial Solutions, Inc........................... 63,900 550,139
*Endosonics Corp...................................... 132,000 664,125
*#Energy Biosystems Corp.............................. 13,242 28,967
*Energy Conversion Devices, Inc....................... 82,100 862,050
Energynorth, Inc...................................... 32,526 1,769,618
Energysouth, Inc...................................... 51,150 1,061,362
Engineered Support Systems, Inc....................... 54,150 627,802
*#Engineering Animation, Inc.......................... 11,000 91,437
*Engineering Measurements Co.......................... 35,500 235,187
Engle Homes, Inc...................................... 69,400 739,544
*Enlighten Software Solutions, Inc.................... 12,300 90,328
Ennis Business Forms, Inc............................. 139,200 1,248,450
*Enstar, Inc.......................................... 9,266 114,956
*Entrade, Inc......................................... 68,000 1,568,250
*Envirogen, Inc....................................... 2,316 3,184
*Environmental Elements Corp.......................... 49,900 109,156
*Environmental Technologies Corp...................... 39,700 105,453
*Environmental Tectonics Corp......................... 47,400 456,225
*Epicor Software Corp................................. 17,074 100,043
*Epimmune, Inc........................................ 29,257 81,371
*Epitope, Inc......................................... 104,100 471,703
*#Equimed Inc Nevis................................... 6,533 0
*#Equimed, Inc........................................ 6,533 204
*Equinox Systems, Inc................................. 39,900 491,269
*Equity Marketing, Inc................................ 41,600 672,100
*Equity Oil Co........................................ 109,700 126,841
*Ergo Science Corp.................................... 72,700 96,555
*eShare Technologies, Inc............................. 125,200 1,118,975
Eskimo Pie Corp....................................... 28,600 271,700
Espey Manufacturing & Electronics Corp................ 21,000 307,125
*Evans & Sutherland Computer Corp..................... 76,700 989,909
*Evercel, Inc......................................... 6,233 112,973
*Evergreen Resources, Inc............................. 32,100 673,097
*Exabyte Corp......................................... 154,400 1,078,387
*Exactech, Inc........................................ 40,000 525,000
*Exar Corp............................................ 17,400 848,794
*Excalibur Technologies Corp.......................... 115,500 1,537,594
*Excel Legacy Corp.................................... 20,000 80,000
*Excel Technology, Inc................................ 97,722 1,432,238
*Executone Information Systems, Inc................... 288,500 775,344
Exide Corp............................................ 85,000 876,562
*Exponent, Inc........................................ 73,000 495,031
*Extended Systems, Inc................................ 35,000 521,719
</TABLE>
222
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THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Ezcorp, Inc. Class A Non-Voting....................... 76,800 $ 295,200
*Ezenia! Inc.......................................... 110,900 675,797
F & M Bancorp (MD).................................... 3,675 90,497
FCNB Corp............................................. 30,533 545,777
*FEI Co............................................... 120,600 994,950
FFLC Bancorp.......................................... 19,533 305,203
FFY Financial Corp.................................... 50,800 784,225
FMS Financial Corp.................................... 200 1,912
FNB Financial Services Corp........................... 5,000 58,125
*FRP Properties, Inc.................................. 31,700 752,875
FSF Financial Corp.................................... 16,100 196,219
*FSI International, Inc............................... 85,000 799,531
*FTI Consulting, Inc.................................. 30,800 173,250
*FX Energy, Inc....................................... 60,000 322,500
Fab Industries, Inc................................... 40,700 478,225
*Fairchild Corp. Class A.............................. 97,031 703,475
Falcon Products, Inc.................................. 63,560 595,875
*#Family Golf Centers, Inc............................ 44,500 73,008
*Fansteel, Inc........................................ 73,951 332,779
*Farm Family Holdings, Inc............................ 8,600 350,450
*Farr Co.............................................. 75,962 747,751
Farrel Corp........................................... 34,600 70,281
*Featherlite Manufacturing, Inc....................... 33,500 220,891
Fedders Corp.......................................... 80,900 434,837
Fedders Corp. Class A................................. 13,112 61,462
Federal Screw Works................................... 21,600 973,350
*#Female Health Co.................................... 44,000 55,687
*Fibermark, Inc....................................... 57,525 719,062
*Fiberstars, Inc...................................... 19,800 87,862
Fidelity Bancorp, Inc................................. 402 5,867
Fidelity Bancorp, Inc. Delaware....................... 13,700 240,178
*Fidelity Federal Bancorp............................. 18,940 45,574
Fidelity Financial of Ohio, Inc....................... 5,600 106,575
*Fidelity National Corp............................... 18,000 133,312
*Filenes Basement Corp................................ 146,000 30,660
*Film Roman, Inc...................................... 7,000 17,500
*Finish Line, Inc. Class A............................ 30,000 197,812
*Finishmaster, Inc.................................... 64,800 437,400
*Finlay Enterprises, Inc.............................. 19,100 276,353
First Albany Companies, Inc........................... 4,275 52,502
*First Alliance Corp.................................. 10,000 25,937
*First American Health Concepts, Inc.................. 4,200 10,762
First Bancorp......................................... 1,950 34,978
*First Banks America, Inc............................. 5,879 106,557
First Bell Bancorp, Inc............................... 26,700 428,034
*First Cash, Inc...................................... 38,500 286,344
First Colonial Group, Inc............................. 840 15,697
*First Consulting Group, Inc.......................... 21,714 204,926
First Defiance Financial Corp......................... 59,492 700,890
First Essex Bancorp................................... 53,700 881,016
First Federal Bancshares of Arkansas, Inc............. 13,300 223,606
First Federal Savings & Loan Association of East
Hartford, CT........................................ 24,100 713,962
First Financial Holdings, Inc......................... 84,400 1,527,112
First Franklin Corp................................... 600 8,119
First Indiana Corp.................................... 110,940 2,593,222
*First Investors Financial Services Group, Inc........ 43,200 234,900
First Keystone Financial, Inc......................... 12,700 136,525
First Mariner Bank Corp............................... 10,400 95,225
First Merchants Corp.................................. 24,725 672,211
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
First Midwest Financial, Inc.......................... 12,100 $ 155,409
First Mutual Bancshares, Inc.......................... 22,143 260,872
First Northern Capital Corp........................... 42,400 455,800
First Oak Brook Bancshares, Inc. Class A.............. 20,000 374,375
*First Republic Bank.................................. 68,049 1,603,405
First Savings Bancorp, Inc. North Carolina............ 22,100 426,806
First SecurityFed Financial, Inc...................... 15,000 170,625
*First Sierra Financial, Inc.......................... 91,300 1,945,831
*#First Team Sports, Inc.............................. 42,650 101,294
First United Corp..................................... 15,000 213,750
First Washington Bancorp, Inc......................... 22,800 377,625
First Years, Inc...................................... 89,000 753,719
Firstbank Corp........................................ 2,000 26,562
Firstfed America Bancorp, Inc......................... 12,300 155,287
Firstspartan Financial Corp........................... 8,700 161,494
*Firstwave Technologies, Inc.......................... 40,900 148,262
*Fischer Imaging Corp................................. 51,900 89,203
Flag Financial Corp................................... 28,100 198,456
Flamemaster Corp...................................... 247 1,505
*Flander Corp......................................... 212,600 684,306
Flanigan's Enterprises, Inc........................... 20,600 108,150
Flexsteel Industries, Inc............................. 61,800 857,475
*Flir Systems, Inc.................................... 62,750 962,820
Florida Public Utilities Co........................... 15,300 281,137
*Florsheim Group, Inc................................. 55,800 165,656
*Flow International Corp.............................. 164,300 1,684,075
Flushing Financial Corp............................... 53,650 855,047
*Focal, Inc........................................... 40,200 195,347
*Foilmark, Inc........................................ 56,020 168,060
*Foodarama Supermarkets, Inc.......................... 22,000 588,500
Foothill Independent Bancorp.......................... 32,177 444,445
*Foster (L.B.) Co. Class A............................ 126,600 621,131
*Fotoball USA, Inc.................................... 2,700 17,972
*Fountain Powerboat Industries, Inc................... 30,300 89,953
*Four Media Co........................................ 89,200 1,117,787
*Fourth Shift Corp.................................... 80,300 326,219
Frankfort First Bancorp, Inc.......................... 4,150 62,250
Franklin Bank National Associaton Southfield, MI...... 19,869 173,543
*Franklin Covey Co.................................... 104,000 760,500
*Franklin Electronic Publishers, Inc.................. 51,500 257,500
Freds, Inc. Class A................................... 88,475 1,155,705
*French Fragrances, Inc............................... 82,900 613,978
Frequency Electronics, Inc............................ 62,539 523,764
*Fresh America Corp................................... 36,300 163,350
*Fresh Choice, Inc.................................... 50,000 87,500
*Fresh Foods, Inc..................................... 32,475 242,548
*Friede Goldman International......................... 53,922 454,967
*Friedman Billings Ramsey Group, Inc. Class A......... 99,000 587,812
Friedman Industries, Inc.............................. 149,337 541,347
Friedmans, Inc. Class A............................... 80,900 609,278
Frisch's Restaurants, Inc............................. 64,568 621,467
Frontier Adjusters of America, Inc.................... 2,700 3,206
*Frontier Oil Corp.................................... 239,300 1,301,194
Frozen Food Express Industries, Inc................... 112,000 486,500
*FuelCell Energy, Inc................................. 34,350 822,253
*Funco, Inc........................................... 50,500 874,281
*Fusion Medical Technologies, Inc..................... 39,100 530,294
*G-III Apparel Group, Ltd............................. 48,770 137,166
</TABLE>
223
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THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
GA Financial, Inc..................................... 24,200 $ 326,700
*GP Strategies Corp................................... 81,850 644,569
*GRC International, Inc............................... 131,600 1,373,575
GS Financial Corp..................................... 4,000 43,125
*GT Interactive Software Corp......................... 35,000 71,641
*GTS Duratek, Inc..................................... 112,800 800,175
*GZA Geoenvironmental Technologies, Inc............... 17,500 66,719
*Gadzooks, Inc........................................ 71,200 607,425
Gainsco, Inc.......................................... 157,805 936,967
*Galey & Lord, Inc.................................... 101,000 252,500
*GameTech International, Inc.......................... 19,200 88,800
*#Gantos, Inc......................................... 9,100 9,527
Garan, Inc............................................ 33,600 1,037,400
*Garden Fresh Restaurant Corp......................... 33,500 559,031
*Garden Ridge Corp.................................... 69,400 785,087
*#Gardenburger, Inc................................... 68,400 542,925
*Gardner Denver Machinery, Inc........................ 31,200 510,900
*Gart Sports Co....................................... 9,305 54,667
*Gasonics International, Inc.......................... 112,000 1,722,000
*Gateway Industries, Inc.............................. 11,120 22,935
*Geerling & Wade, Inc................................. 23,900 224,062
*Gehl Co.............................................. 38,500 712,250
*#Geltex Pharmaceuticals, Inc......................... 60,000 635,625
Gencor Industries, Inc................................ 41,700 263,231
*Gene Logic, Inc...................................... 22,336 137,506
*Genelabs Technologies, Inc........................... 340,600 1,314,503
General Chemical Group, Inc........................... 103,100 289,969
*General Cigar Holdings, Inc. Class A................. 21,450 162,216
*General Communications, Inc. Class A................. 297,000 1,215,844
*#General Datacomm Industries, Inc.................... 126,400 774,200
General Employment Enterprises, Inc................... 32,709 147,190
*#General Magic, Inc.................................. 246,300 642,689
General Magnaplate Corp............................... 8,500 25,234
*Genesco, Inc......................................... 1,100 15,400
Genesee Corp. Class B................................. 800 17,750
*Genesis Health Ventures, Inc......................... 182,900 514,406
Genesis Worldwide, Inc................................ 39,761 166,499
*Genlyte Group, Inc................................... 31,700 762,781
*Genome Therapeutics Corp............................. 152,500 662,422
*Gensym Corp.......................................... 46,500 227,414
Gentek, Inc........................................... 145,800 1,704,037
*#Genus, Inc.......................................... 16,500 63,164
*Genzyme Transgenics Corp............................. 128,000 1,072,000
*Geoscience Corp...................................... 25,000 164,062
*Geoworks............................................. 114,600 750,272
*Gerber Childrenswear, Inc............................ 70,000 323,750
*#Geron Corp.......................................... 94,600 1,013,994
*Getty Petroleum Marketing, Inc....................... 111,600 334,800
Getty Realty Corp. (Holding Co.)...................... 46,800 599,625
*Giant Cement Holding, Inc............................ 71,100 2,192,991
*Giant Group, Ltd..................................... 38,300 138,837
*Giant Industries, Inc................................ 87,500 760,156
*Gibson Greetings, Inc................................ 71,600 680,200
*Giga Information Group, Inc.......................... 70,000 301,875
*Giga-Tronics, Inc.................................... 35,000 189,219
*Gilman & Ciocia, Inc................................. 64,000 588,000
*Gish Biomedical, Inc................................. 74,750 254,617
Glacier Bancorp, Inc.................................. 19,214 333,843
*Glacier Water Services, Inc.......................... 30,600 485,775
Gleason Corp.......................................... 217,700 3,864,175
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Glenayre Technologies, Inc........................... 15,100 $ 70,545
*#Gliatech, Inc....................................... 70,400 935,000
*Global Industrial Technologies, Inc.................. 11,500 145,187
*Global Payment Technologies, Inc..................... 38,700 344,672
*Global Technologies, Ltd............................. 900 7,031
*Globe Business Resources, Inc........................ 24,900 316,697
*Globecomm Systems, Inc............................... 13,800 258,319
Gold Banc Corp........................................ 41,800 427,144
*#Golden Books Family Entertainment, Inc.............. 18,500 3,422
Golden Enterprises, Inc............................... 57,600 163,800
*#Good Guys, Inc...................................... 114,500 937,469
Gorman-Rupp Co........................................ 47,200 843,700
*Gottschalks, Inc..................................... 97,400 876,600
*Government Technology Services, Inc.................. 55,700 175,803
*Gradco Systems, Inc.................................. 154,986 162,251
*Graham Corp.......................................... 13,450 95,831
Granite State Bankshares, Inc......................... 42,700 942,069
Gray Communications Systems, Inc...................... 34,100 592,487
Great Southern Bancorp, Inc........................... 19,100 411,844
*Green Mountain Coffee, Inc........................... 20,300 183,969
Green Mountain Power Corp............................. 39,100 334,794
Green Star Financial Corp............................. 6,400 97,400
*Greenbriar Corp...................................... 34,300 21,437
Greenbrier Companies, Inc............................. 111,000 1,110,000
*Griffin Land & Nurseries, Inc. Class A............... 20,800 224,900
*Griffon Corp......................................... 62,000 476,625
*Gristede's Sloans, Inc............................... 33,339 75,013
*Group 1 Software, Inc................................ 66,410 1,008,602
*Grow Biz International, Inc.......................... 55,800 240,637
*Grubb & Ellis Co..................................... 165,952 995,712
Guarantee Life Companies, Inc......................... 43,800 1,378,331
Guaranty Federal Bancshares, Inc...................... 6,500 72,312
*Guess, Inc........................................... 49,400 886,112
*Guest Supply, Inc.................................... 107,100 1,526,175
Guilford Mills, Inc................................... 160,500 1,163,625
*Guilford Pharmaceuticals, Inc........................ 115,000 1,696,250
*Gulf Island Fabrication, Inc......................... 71,800 661,906
*Gulfmark Offshore, Inc............................... 53,000 760,219
*#Gumtech International, Inc.......................... 45,500 713,781
*Gundle/SLT Environmental, Inc........................ 129,600 534,600
*Gymboree Corp........................................ 119,100 722,044
*#HD Vest, Inc........................................ 11,600 86,275
*HEI, Inc............................................. 19,300 119,419
HF Financial Corp..................................... 21,100 267,706
*HIE, Inc............................................. 228,300 549,347
*HMI Industries, Inc.................................. 84,200 113,144
HMN Financial, Inc.................................... 31,200 396,825
*HMT Technology Corp.................................. 34,700 125,245
*HPSC, Inc............................................ 74,800 736,312
*HS Resources, Inc.................................... 59,828 774,025
*HTE, Inc............................................. 22,700 67,391
Haggar Corp........................................... 54,500 677,844
*Hagler Bailly, Inc................................... 4,900 26,797
*Hahn Automotive Warehouse, Inc....................... 36,341 43,155
Halifax Corp.......................................... 8,650 47,034
*Hall Kinion Associates, Inc.......................... 74,400 1,336,875
Hallmark Capital Corp................................. 13,100 128,953
*Hallwood Group, Inc.................................. 2,653 33,494
*#Halsey Drug Co., Inc................................ 133,422 208,472
*Hamilton Bancorp, Inc................................ 80,000 1,545,000
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Hammons (John Q.) Hotels, Inc. Class A............... 55,700 $ 201,912
*Hampshire Group, Ltd................................. 4,900 43,794
*Hampton Industries, Inc.............................. 47,722 116,322
Hancock Fabrics, Inc.................................. 175,100 700,400
*Hanger Orthopedic Group, Inc......................... 25,000 256,250
Harbor Federal Bancorp, Inc........................... 110 1,567
*Harding Lawson Associates Group, Inc................. 41,700 311,447
Hardinge Brothers, Inc................................ 51,650 705,345
Harmon Industries, Inc................................ 86,350 1,079,375
*Harolds Stores, Inc.................................. 40,937 179,099
*Harry's Farmers Market, Inc. Class A................. 20,200 18,306
*Hartmarx Corp........................................ 299,500 1,141,844
*Harvey Entertainment Co.............................. 30,000 146,250
*Hastings Entertainment, Inc.......................... 50,000 245,312
Hastings Manufacturing Co............................. 13,700 131,006
*Hathaway Corp........................................ 34,580 41,064
*Hauppauge Digital, Inc............................... 12,900 314,034
*Hauser, Inc.......................................... 18,875 45,418
Haven Bancorp, Inc.................................... 62,000 1,003,625
Haverty Furniture Co., Inc............................ 47,200 649,000
Haverty Furniture Co., Inc. Class A................... 17,000 229,500
*Hawaii Land & Farming Co., Inc....................... 19,300 6,031
*Hawaiian Airlines, Inc............................... 246,200 538,562
*Hawk Corp............................................ 65,000 349,375
*Hawker Pacific Aerospace............................. 37,000 169,969
Hawkins Chemical, Inc................................. 65,784 544,774
*Hawthorne Financial Corp............................. 36,900 511,987
*Headway Corporate Resources, Inc..................... 46,200 171,806
*Health Management Systems, Inc....................... 104,100 478,209
*Health Power, Inc.................................... 13,700 22,048
*Health Risk Management, Inc.......................... 34,700 236,394
*Health Systems Design Corp........................... 55,800 296,437
*Healthcare Recoveries, Inc........................... 105,000 342,891
*Healthcare Services Group, Inc....................... 118,200 960,375
*Healthcor Holdings................................... 30,000 1,800
Healthplan Services Corp.............................. 117,998 774,362
*Healthworld Corp..................................... 45,500 955,500
*Heartport, Inc....................................... 181,200 900,337
*Hecla Mining Co...................................... 45,000 92,812
*Hector Communications Corp........................... 21,300 332,812
Heico Corp............................................ 75,598 1,294,616
Heico Corp. Class A................................... 20,149 293,420
*Heist (C.H.) Corp.................................... 11,700 73,125
*Hello Direct, Inc.................................... 43,500 523,359
*Helmstar Group, Inc.................................. 5,500 22,687
*Hemasure, Inc........................................ 56,400 327,825
*#Hemispherx Biopharma, Inc........................... 61,200 562,275
Heritage Financial Corp............................... 31,900 270,153
*Herley Industries, Inc............................... 20,533 282,970
*Heska Corp........................................... 97,800 207,825
*Hi-Shear Technology Corp............................. 37,400 112,200
*Hi-Tech Pharmacal, Inc............................... 37,500 184,570
*#Hibbett Sporting Goods, Inc......................... 49,600 644,800
*High Plains Corp..................................... 137,576 193,466
*Highlands Insurance Group, Inc....................... 82,300 596,675
*Highway Master Communications, Inc................... 222,700 528,912
Hilb Rogal Hamilton Co................................ 50,335 1,365,337
Hingham Institution for Savings MA.................... 5,350 79,581
*Hirsch International Corp. Class A................... 53,900 76,639
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Hoenig Group, Inc.................................... 41,600 $ 412,100
*Holiday RV Superstores, Inc.......................... 30,900 145,809
Holly Corp............................................ 46,100 662,687
*Hollywood Casino Corp. Class A....................... 213,400 720,225
*Hologic, Inc......................................... 111,800 600,925
*Holt's Cigar Holdings, Inc........................... 3,264 14,892
Home Bancorp.......................................... 4,800 97,500
Home Federal Bancorp.................................. 33,300 778,387
Home Port Bancorp, Inc................................ 7,200 191,700
*Home Products International, Inc..................... 47,500 426,016
*Homebase, Inc........................................ 253,000 869,687
*#Homegold Financial, Inc............................. 32,600 21,903
Horizon Financial Corp................................ 43,503 437,749
*Horizon Health Corp.................................. 52,000 386,750
*Horizon Offshore, Inc................................ 20,000 125,625
*Horizon Pharmacies, Inc.............................. 21,900 64,331
*Hospitality Worldwide Services, Inc.................. 82,100 225,775
*Hot Topic, Inc....................................... 28,800 1,273,500
*Hovnanian Enterprises, Inc. Class A.................. 120,900 770,737
#Howell Corp.......................................... 108,200 662,725
*Howtek, Inc.......................................... 37,500 73,828
*Hub Group, Inc. Class A.............................. 55,700 964,306
*Hudson Hotels Corp................................... 9,500 10,391
*Hudson Technologies, Inc............................. 25,300 49,809
Huffy Corp............................................ 105,800 694,312
Hunt Corp............................................. 72,100 594,825
Huntco, Inc. Class A.................................. 41,200 90,125
*Hurco Companies, Inc................................. 50,000 193,750
*#Hvide Marine, Inc. Class A.......................... 52,300 7,060
*Hycor Biomedical, Inc................................ 69,316 158,127
*Hypercom Corp........................................ 25,000 235,937
*HyperFeed Technologies, Inc.......................... 118,600 617,091
*Hyseq, Inc........................................... 100,800 680,400
*I-Stat Corp.......................................... 89,500 1,197,062
*ICF Kaiser International, Inc........................ 199,000 111,937
*ICT Group, Inc....................................... 32,300 395,675
*ICU Medical, Inc..................................... 75,550 1,159,220
*IEC Electronics Corp................................. 59,800 138,287
*IFR Systems, Inc..................................... 95,102 368,520
*IGI, Inc............................................. 67,300 84,125
*II-VI, Inc........................................... 59,600 1,035,550
IMCO Recycling, Inc................................... 28,700 369,512
ISB Financial Corp. LA................................ 42,800 684,800
*ISOCOR............................................... 81,400 1,892,550
*ITC Learning Corp.................................... 26,300 42,737
*ITEQ, Inc............................................ 182,255 156,625
*ITI Technologies, Inc................................ 70,100 2,098,619
*ITLA Capital Corp.................................... 63,400 929,206
*IVI Checkmate Corp................................... 106,203 368,392
*Ibis Technology Corp................................. 35,700 1,448,081
Ico, Inc.............................................. 171,518 265,317
*Identix, Inc......................................... 108,900 959,681
*Ikos Systems, Inc.................................... 63,250 488,211
*Il Fornaio (America) Corp............................ 30,700 185,639
*Image Entertainment, Inc............................. 136,600 789,719
*#Imatron, Inc........................................ 266,900 579,673
*Immucor, Inc......................................... 55,500 686,812
*Immune Response Corp. DE............................. 170,900 763,709
*#Immunogen, Inc...................................... 106,400 369,075
*#Immunomedics, Inc................................... 223,200 519,637
*Impath, Inc.......................................... 35,700 796,556
*Impco Technologies, Inc.............................. 32,600 419,725
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Imperial Sugar Co..................................... 199,900 $ 799,600
Independence Holding Co............................... 13,519 153,779
Independent Bank Corp. MA............................. 131,800 1,799,894
Independent Bank East................................. 75,085 1,241,249
Independent Bankshares, Inc........................... 1,182 18,247
*Individual Investor Group, Inc....................... 30,600 87,019
Industrial Bancorp, Inc............................... 16,300 283,212
*Industrial Data Systems Corp......................... 11,500 10,781
*Industrial Distribution Group, Inc................... 60,000 228,750
*Industrial Holdings, Inc............................. 79,900 204,744
*Inference Corp. Class A.............................. 60,000 283,125
*Infinium Software, Inc............................... 113,600 560,900
*#Infonautics Corp. Class A........................... 47,600 369,644
*#Information Architects Corp......................... 8,400 36,750
*Information Management Associates, Inc............... 56,000 224,875
*Information Resource Engineering, Inc................ 38,200 624,331
*Information Resources, Inc........................... 12,000 119,812
*Infu-tech, Inc....................................... 14,600 16,425
*Innerdyne, Inc....................................... 153,800 576,750
*Innodata Corp........................................ 8,349 67,053
*Innotrac Corp........................................ 120,000 1,755,000
*Innovative Clinical Solutions, Ltd................... 40,600 20,300
*#Innovative Gaming Corp. of America.................. 34,050 58,523
Innovex, Inc.......................................... 28,700 259,197
*Inprise Corp......................................... 8,500 75,969
*Input Software, Inc.................................. 56,300 256,869
*Insignia Financial Group, Inc........................ 184,000 1,495,000
*Insite Vision, Inc................................... 95,300 244,206
*Insituform East, Inc................................. 20,200 32,194
*Inso Corp............................................ 111,500 2,533,141
*Inspire Insurance Solutions, Inc..................... 137,000 862,672
Insteel Industries, Inc............................... 65,144 549,652
*Insurance Auto Auctions, Inc......................... 81,300 1,161,066
*Insurance Management Solutions, Inc.................. 103,000 309,000
*Integra Lifesciences Corp............................ 63,350 398,907
*Integra, Inc......................................... 41,400 67,275
*Integral Vision, Inc................................. 105,500 150,008
*IntegraMed America, Inc.............................. 4,900 15,542
*Integrated Measurement System, Inc................... 55,500 775,266
*Integrated Silicon Solution, Inc..................... 156,600 1,426,528
*Intellicall, Inc..................................... 80,807 45,454
*Intellicorp, Inc..................................... 6,900 11,967
*Intellidata Technologies Corp........................ 63,800 314,016
*Intelligent Life Corp................................ 45,000 195,469
*Intelligent Systems Corp............................. 27,300 72,516
*#Intelligroup, Inc................................... 97,000 1,494,406
*Inter Parfums, Inc................................... 69,000 633,937
Interchange Financial Services Corp. Saddle Brook..... 35,280 628,425
*InterDent, Inc....................................... 118,600 1,008,100
*Interdigital Communications Corp..................... 29,200 295,650
*Interface Systems, Inc............................... 30,500 426,047
*Interferon Scientific, Inc........................... 13,680 4,275
*Interleaf, Inc....................................... 35,600 1,310,525
*Interlink Electronics................................ 44,600 1,333,819
*Interlinq Software Corp.............................. 39,900 173,316
*Interlott Technologies, Inc.......................... 19,500 99,937
*Intermagnetics General Corp.......................... 165,361 1,105,852
International Aluminum Corp........................... 14,900 367,844
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*International FiberCom, Inc.......................... 14,700 $ 104,508
*#International Microcomputer Software, Inc........... 41,700 93,825
*International Remote Imaging Systems, Inc............ 35,350 24,303
International Shipholding Corp........................ 53,950 728,325
*International Thoroughbred Breeders, Inc............. 56,650 24,926
*International Total Services, Inc.................... 46,000 61,669
*Interneuron Pharmaceuticals, Inc..................... 72,400 239,825
*Interphase Corp...................................... 39,200 1,163,750
*Interpore International.............................. 98,200 653,644
*Interstate National Dealers Services, Inc............ 28,500 173,672
*Intertan, Inc........................................ 23,900 572,106
*Intervisual Books, Inc. Class A...................... 5,900 11,062
*Intevac, Inc......................................... 98,200 386,662
Investors Title Co.................................... 24,000 422,250
*Invision Technologies, Inc........................... 84,700 341,447
*Invivo Corp.......................................... 25,200 326,025
*Iomed, Inc........................................... 2,200 8,525
*Iridex Corp.......................................... 39,200 365,050
Iroquois Bancorp...................................... 1,700 31,769
Isco, Inc............................................. 101,341 508,288
*Isle of Capri Casinos, Inc........................... 200,500 2,587,703
*Isolyser Co., Inc.................................... 303,025 861,727
*#Itron, Inc.......................................... 53,400 338,756
*Ivex Packaging Corp.................................. 29,600 312,650
*J & J Snack Foods Corp............................... 68,300 1,287,028
*J. Alexander's Corp.................................. 120,200 368,112
*J. Jill Group, Inc................................... 71,350 389,080
*JLM Industries, Inc.................................. 32,000 117,000
*#JMAR Industries, Inc................................ 90,500 145,648
*JPM Co............................................... 54,900 494,100
*JWGenesis Financial Corp............................. 45,900 740,137
*Jackpot Enterprises, Inc............................. 64,575 528,708
Jacksonville Bancorp, Inc............................. 14,500 223,844
*Jaclyn, Inc.......................................... 23,227 65,326
*Jaco Electronics, Inc................................ 28,473 105,884
*Jacobson Stores, Inc................................. 49,700 343,241
*Jan Bell Marketing, Inc.............................. 224,900 632,531
*Jason, Inc........................................... 128,000 960,000
*Javelin Systems, Inc................................. 75,700 870,550
Jeffbanks, Inc........................................ 22,645 684,304
Jefferson Savings Bancorp, Inc........................ 80,000 960,000
*Jennifer Convertibles, Inc........................... 41,000 85,844
*Johnson Worldwide Associates, Inc. Class A........... 64,000 503,000
*Johnston Industries, Inc............................. 197,813 309,083
*Jos. A. Bank Clothiers, Inc.......................... 47,900 131,725
*Joule, Inc........................................... 42,100 81,569
*Jps Packaging Company................................ 19,250 56,547
*#Just for Feet, Inc.................................. 50,800 63,500
*#K-Tel International, Inc............................ 48,200 317,819
*K-Tron International, Inc............................ 63,400 899,487
K2, Inc............................................... 106,570 785,954
*KBK Capital Corp..................................... 30,000 146,250
KCS Energy, Inc....................................... 52,100 39,075
*#KFX, Inc............................................ 73,700 78,306
*KLLM Transport Services, Inc......................... 37,400 236,672
*KTI, Inc............................................. 38,519 317,782
*KVH Industries, Inc.................................. 20,200 62,178
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Kaiser Ventures, Inc................................. 84,800 $ 1,171,300
*Kaneb Services, Inc.................................. 235,600 1,030,750
Kankakee Bancorp, Inc................................. 1,500 34,687
*Kasper A.S.L., Ltd................................... 27,900 81,956
Katy Industries, Inc.................................. 62,700 658,350
Kaye Group, Inc....................................... 42,000 362,250
Keithley Instruments, Inc............................. 21,800 448,262
*Kellstrom Industries, Inc............................ 28,700 252,022
Kenan Transport Co.................................... 200 6,575
*Kendle International, Inc............................ 27,600 224,250
*Kennedy-Wilson, Inc.................................. 47,900 362,244
*Kensey Nash Corp..................................... 59,800 779,269
*Kent Financial Services, Inc......................... 28,556 109,762
*Kentucky Electric Steel, Inc......................... 15,700 45,628
Kentucky First Bancorp, Inc........................... 4,500 46,125
*#Keravision, Inc..................................... 79,300 706,266
*Kevco, Inc........................................... 59,600 173,212
Kewaunee Scientific Corp.............................. 20,400 207,825
*Key Production Co., Inc.............................. 88,661 720,371
*Key Technology, Inc.................................. 29,300 220,666
*Key Tronic Corp...................................... 129,100 540,606
*Keystone Automotive Industries, Inc.................. 90,000 517,500
*Keystone Consolidated Industries, Inc................ 88,600 348,862
*Kimmins Corp......................................... 10,833 4,232
*Kinark Corp.......................................... 52,800 66,000
*Kinnard Investment, Inc.............................. 35,800 204,731
*Kit Manufacturing Co................................. 12,000 57,000
*Kitty Hawk, Inc...................................... 66,200 517,187
Klamath First Bancorp, Inc............................ 61,700 701,837
Knape & Vogt Manufacturing Co......................... 27,899 421,101
*Knight Transportation, Inc........................... 41,200 575,512
*Koala Corp........................................... 31,800 456,131
Kollmorgen Corp....................................... 54,800 500,050
*Komag, Inc........................................... 248,200 581,719
*Koss Corp............................................ 52,000 776,750
*Krug International Corp.............................. 33,465 43,923
*LBP, Inc............................................. 27,800 92,522
*LCC International, Inc. Class A...................... 62,500 896,484
*LLEX Oncology, Inc................................... 75,300 1,313,044
*LLX Resorts, Inc..................................... 13,400 25,962
LSB Bancshares, Inc. NC............................... 30,190 539,646
LSB Industries, Inc................................... 109,200 85,312
LSI Industries, Inc................................... 143,403 3,464,079
*LaBarge, Inc......................................... 221,650 277,062
LaCrosse Footwear, Inc................................ 14,200 85,200
LabOne, Inc........................................... 45,800 352,087
*Labtec, Inc.......................................... 12,466 48,306
*Laclede Steel Co..................................... 25,450 11,134
*Ladd Furniture, Inc.................................. 62,633 1,325,079
*Ladish Co., Inc...................................... 80,000 548,750
*Lakeland Industries, Inc............................. 22,500 92,812
*Lakes Gaming, Inc.................................... 8,400 72,187
*Lamson & Sessions Co................................. 143,800 754,950
*Lancer Corp.......................................... 99,225 533,334
*Landair Corp......................................... 50,100 253,631
Landauer, Inc......................................... 76,800 1,900,800
*Landec Corp.......................................... 110,100 688,125
*Landrys Seafood Restaurants, Inc..................... 28,100 248,070
*Larscom, Inc......................................... 27,000 120,656
*LaserSight Corporation............................... 59,700 763,041
Lawrence Savings Bank MA.............................. 7,700 62,322
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Lawson Products, Inc.................................. 4,900 $ 112,241
*Layne Christensen Co................................. 88,700 598,725
*Lazare Kaplan International, Inc..................... 72,800 564,200
*Leapnet, Inc......................................... 49,800 271,566
*Learn2.com, Inc...................................... 151,057 455,531
*Lechters, Inc........................................ 137,600 215,000
*Lecroy Corp.......................................... 49,200 688,800
*Lectec Corp.......................................... 19,180 43,754
Lesco, Inc............................................ 87,100 1,309,222
*LeukoSite, Inc....................................... 62,000 2,532,312
*#Level 8 Systems, Inc................................ 69,800 1,450,531
*Lexington Global Asset Managers, Inc................. 20,100 55,275
Liberty Bancorp, Inc.................................. 3,600 23,287
Liberty Homes, Inc. Class A........................... 200 1,644
*Life Financial Corp.................................. 16,500 65,742
*Lifecell Corp........................................ 18,000 95,625
*Lifecore Biomedical, Inc............................. 108,400 1,676,812
*Lifeline Systems, Inc................................ 34,000 518,500
*Lifemark Corporation................................. 20,133 67,634
Lifetime Hoan Corp.................................... 89,302 454,882
*Lightbridge, Inc..................................... 9,400 190,350
Lillian Vernon Corp................................... 62,600 751,200
*Lindal Cedar Homes, Inc.............................. 40,777 103,854
Lindberg Corp......................................... 53,200 465,500
Lindsay Manufacturer Co............................... 42,500 714,531
Liqui Box Corp........................................ 13,400 728,625
*Lithia Motors, Inc. Class A.......................... 43,900 831,356
*Littlefield, Adams & Co.............................. 16,577 9,584
*Lodgenet Entertainment Corp.......................... 93,600 1,681,875
*Lodgian, Inc......................................... 180,000 1,035,000
*Loehmanns, Inc....................................... 75,000 6,750
*Logic Devices, Inc................................... 49,300 109,384
*Logility, Inc........................................ 67,500 487,266
*Lojack Corp.......................................... 124,600 969,544
*Loronix Information Systems, Inc..................... 27,400 536,869
Lufkin Industries, Inc................................ 41,600 579,800
*Lumisy, Inc.......................................... 67,200 214,200
*Lunar Corp........................................... 83,100 579,103
*Lund International Holdings, Inc..................... 15,800 106,156
*Lydall, Inc. DE...................................... 134,500 1,202,094
*Lynch Corp........................................... 29,600 673,400
*Lynch Interactive Corp............................... 29,600 2,020,200
*Lynx Therapeutics, Inc............................... 19,000 218,500
*M.H. Meyerson & Co., Inc............................. 44,850 192,014
*MAI Systems Corp..................................... 87,207 59,955
*MB Financial, Inc.................................... 13,600 177,225
MFB Corp.............................................. 7,000 129,063
*MFRI, Inc............................................ 30,800 136,675
*MGI Pharma, Inc...................................... 146,200 1,859,481
MI Schottenstein Homes, Inc........................... 73,000 1,149,750
*MIM Corp............................................. 53,900 117,906
MMI Companies, Inc.................................... 23,500 95,469
MOCON, Inc............................................ 84,975 592,170
*MS Carriers, Inc..................................... 14,100 369,244
*MSC Software Corp.................................... 124,600 1,043,525
MTS Systems Corp...................................... 74,647 747,636
MYR Group, Inc........................................ 65,333 1,216,827
*Mac-Gray Corp........................................ 104,000 409,500
*Mackie Designs, Inc.................................. 107,900 566,475
*Madden (Steven), Ltd................................. 93,500 1,189,203
*Made2Manage Systems, Inc............................. 24,700 169,041
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Magainin Pharmaceuticals, Inc........................ 215,000 $ 325,859
*Magellan Health Services, Inc........................ 134,000 837,500
*Magnum Hunter Resources, Inc......................... 182,500 581,719
*Main Street & Main, Inc.............................. 61,075 208,037
Maine Public Service Co............................... 32,700 584,512
*Mallon Resources Corp................................ 42,475 254,850
*Manatron, Inc........................................ 115 625
*Manchester Equipment Co., Inc........................ 29,800 94,056
*Manhattan Associates, Inc............................ 45,300 237,825
*Manugistic Group, Inc................................ 66,000 1,109,625
*Mapics, Inc.......................................... 174,900 1,656,084
*Mapinfo Corp......................................... 46,000 1,101,125
*Marine Transport Corp................................ 51,000 135,469
*Marisa Christina, Inc................................ 72,200 133,119
Maritrans, Inc........................................ 89,000 495,062
*MarkWest Hydrocarbon, Inc............................ 56,500 310,750
*Marlton Technologies, Inc............................ 62,300 116,813
Marsh Supermarkets, Inc. Class A...................... 17,700 243,375
Marsh Supermarkets, Inc. Class B...................... 23,400 244,238
*Martek Biosciences Corp.............................. 86,700 904,931
*Marten Transport, Ltd................................ 52,800 615,450
Massbank Corp. Reading, MA............................ 18,700 610,088
*Matec Corp........................................... 23,800 124,950
*Material Sciences Corp............................... 135,167 1,478,389
*Mathsoft, Inc........................................ 40,100 137,217
*Matlack Systems, Inc................................. 75,650 297,872
*Matria Healthcare, Inc............................... 265,700 1,033,739
*Matritech, Inc....................................... 192,300 621,970
*Matrix Bancorp, Inc.................................. 8,600 124,969
*Matrix Pharmaceutical, Inc........................... 169,300 878,244
*Matrix Service Co.................................... 83,600 381,425
*Matthews Studio Equipment Group...................... 50,600 183,425
*Mattson Technology, Inc.............................. 125,000 2,023,438
*Maverick Tube Corp................................... 75,700 1,625,184
*Max & Ermas Restaurants, Inc......................... 19,257 131,188
*Maxco, Inc........................................... 18,000 148,781
*Maxicare Health Plans, Inc........................... 99,800 321,231
*Maxim Group, Inc..................................... 76,600 430,875
*#Maxim Pharmaceuticals, Inc.......................... 63,800 901,175
*Maxwell Shoe Company, Inc............................ 66,000 573,375
*Maxwell Technologies, Inc............................ 61,992 672,226
Mayflower Co-Operative Bank Middleboro................ 300 4,031
*Maynard Oil Co....................................... 103,200 1,170,675
*Mays (J.W.), Inc..................................... 2,700 14,892
*Mazel Stores, Inc.................................... 49,000 465,500
*McClain Industries, Inc.............................. 91,066 500,863
McGrath Rent Corp..................................... 52,800 952,050
*McMoran Exploration Co............................... 2,100 45,806
*McNaughton Apparel Group, Inc........................ 62,500 441,406
*McWhorter Technologies, Inc.......................... 86,000 1,182,500
*Meade Instruments Corp............................... 40,600 1,237,031
*Meadow Valley Corp................................... 14,800 56,888
Meadowbrook Insurance Group, Inc...................... 75,000 445,313
*Measurement Specialties, Inc......................... 21,750 388,781
*Mechanical Dynamics, Inc............................. 35,400 161,513
*Mecon, Inc........................................... 66,200 713,719
*Medarex, Inc......................................... 236,900 2,709,544
*Medco Research, Inc.................................. 63,300 1,685,363
Medford Bancorp, Inc.................................. 75,800 1,269,650
*Media 100, Inc....................................... 82,600 1,153,819
*Media Arts Group, Inc................................ 103,500 401,063
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Medialink Worldwide, Inc............................. 44,400 $ 266,400
*Medical Action Industries, Inc....................... 60,300 197,859
*Medical Alliance, Inc................................ 53,800 100,034
*Medical Graphics Corp................................ 19,050 34,528
*Medical Resources, Inc............................... 40,175 23,226
*Medicalcontrol, Inc.................................. 21,700 135,625
*Medicore, Inc........................................ 47,500 68,281
*#Medplus, Inc........................................ 50,700 215,475
*Medstone International, Inc.......................... 43,700 260,152
Merchants Bancorp, Inc................................ 20,000 648,750
Merchants Bancshares, Inc............................. 26,700 602,419
Merchants Group, Inc.................................. 12,300 279,825
*Mercury Air Group, Inc............................... 49,965 399,720
Meridian Diagnostics, Inc............................. 129,454 954,723
Meridian Insurance Group, Inc......................... 31,370 484,274
*Meridian Medical Technology, Inc..................... 18,000 99,563
*Meridian Resource Corp............................... 433,272 1,597,691
*Merisel, Inc......................................... 240,800 398,825
*Merit Medical Systems, Inc........................... 53,150 352,119
*Merix Corp........................................... 48,000 580,500
*Merrimac Industries, Inc............................. 13,565 105,129
*Mesa Air Group, Inc.................................. 243,500 1,232,719
*Mesa Labs, Inc....................................... 26,300 97,803
*Mesaba Holdings, Inc................................. 34,050 420,305
*Mestek, Inc.......................................... 118,750 2,211,719
*Meta Group, Inc...................................... 16,800 278,250
*Metacreations Corp................................... 141,200 992,813
*Metal Management, Inc................................ 162,606 373,486
*Metatec Corp. Class A................................ 65,100 168,853
*Met-Coil Systems Corp................................ 27,500 166,719
Met-Pro Corp.......................................... 151,665 1,583,003
*Metricom, Inc........................................ 18,900 1,117,463
*Metrika System Corp.................................. 24,000 148,500
*Metro One Telecommunications, Inc.................... 69,100 695,319
*Metrocall, Inc....................................... 280,263 578,042
*Metrologic Instruments, Inc.......................... 57,300 784,294
*Metrotrans Corp...................................... 7,000 3,990
Metrowest Bank MA..................................... 99,500 621,875
*Michael Anthony Jewelers, Inc........................ 74,300 232,188
*Micro Component Technology, Inc...................... 9,000 41,906
*Micro Linear Corp.................................... 98,000 698,250
*Microage, Inc........................................ 106,100 314,984
*Microcide Pharmaceuticals, Inc....................... 53,200 386,531
MicroFinancial, Inc................................... 28,000 316,750
*Micrografx, Inc...................................... 89,800 434,969
*Micros to Mainframes, Inc............................ 22,300 96,517
*Microsemi Corp....................................... 135,875 1,048,785
*Microtest, Inc....................................... 64,200 445,388
*Micro-Therapeutics, Inc.............................. 30,900 290,653
*Microtouch Systems, Inc.............................. 71,200 1,061,325
*Microware Systems Corp............................... 62,900 367,572
*Microwave Power Dynamics, Inc........................ 85,500 650,602
Mid America Banccorp.................................. 32,964 945,655
Midcoast Energy Resources, Inc........................ 27,050 507,188
*Middleby Corp........................................ 93,600 494,325
Middlesex Water Co.................................... 20,400 714,638
Midland Co............................................ 44,100 1,019,813
*Midway Airlines Corp................................. 64,200 479,494
*Midwest Grain Products, Inc.......................... 54,900 468,366
Mikasa, Inc........................................... 21,100 229,463
*Mikohn Gaming Corp................................... 50,150 257,019
*Miller Building Systems, Inc......................... 72,800 409,500
</TABLE>
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*Miller Industries, Inc............................... 119,000 $ 290,063
*Miltope Group, Inc................................... 44,000 32,313
Minntech Corp......................................... 49,430 475,769
Minuteman International, Inc.......................... 15,400 150,150
*#Miravant Medical Technologies....................... 26,500 364,375
Mississippi Chemical Corp............................. 70,000 371,875
*Mitcham Industries, Inc.............................. 57,700 225,391
*Mity-Lite, Inc....................................... 42,150 740,259
Mobile America Corp................................... 43,300 93,366
*Mobile Mini, Inc..................................... 56,200 967,694
*Mobius Management Systems, Inc....................... 133,400 819,159
*Modtech Holdings, Inc................................ 76,445 561,393
*Molecular Biosystems, Inc............................ 160,700 210,919
*Molecular Devices Corp............................... 41,100 1,245,844
*Monarch Casino and Resort, Inc....................... 82,100 474,641
*Monarch Dental Corp.................................. 89,800 179,600
*Monro Muffler Brake, Inc............................. 46,683 329,699
Monterey Bay Bancorp, Inc............................. 21,125 265,383
*Monterey Pasta Co.................................... 65,400 241,163
*Moore Handley, Inc................................... 1,500 2,297
*Moore Medical Corp................................... 25,100 199,231
Moore Products Co..................................... 21,900 737,072
Morrison Management Specialists, Inc.................. 2,000 42,000
*Morrow Snowboards, Inc............................... 12,000 3,600
*Morton Industrial Group, Inc. Class A................ 22,645 79,258
*Morton's Restaurant Group, Inc....................... 54,900 820,069
*#Mossimo, Inc........................................ 149,750 1,160,563
*Mother's Work, Inc................................... 33,500 362,219
*Motor Car Parts & Accessories, Inc................... 46,500 67,156
*Motor Club of America................................ 20,500 202,438
Movado Group, Inc..................................... 65,575 1,561,505
*Movie Gallery, Inc................................... 110,000 453,750
Mueller (Paul) Co..................................... 26,700 864,413
*Multi Color Corp..................................... 12,100 79,028
*Multigraphics, Inc................................... 3,400 3,825
*Multiple Zones International, Inc.................... 115,500 1,192,898
*Myriad Genetics, Inc................................. 61,600 2,038,575
*N & F Worldwide Corp................................. 138,400 761,200
*NABI, Inc............................................ 300,086 1,378,520
NBT Bancorp........................................... 56,192 958,791
*#NCS Healthcare, Inc................................. 102,600 274,134
*NMT Medical, Inc..................................... 85,500 179,016
NN Ball & Roller, Inc................................. 143,300 958,319
*NPS Pharmaceuticals, Inc............................. 86,200 514,506
*NS Group, Inc........................................ 158,000 1,639,250
*NTN Communications, Inc.............................. 58,791 231,490
*NYFIX, Inc........................................... 89,200 2,397,250
*Nanometrics, Inc..................................... 57,200 1,283,425
*Napco Security Systems, Inc.......................... 64,100 232,363
*Napro Biotherapeutics, Inc........................... 91,100 254,795
Nash Finch Co......................................... 72,200 521,194
*Nashua Corp.......................................... 47,000 346,625
*Nastech Pharmaceutical Co., Inc...................... 54,800 107,031
*Nathans Famous, Inc.................................. 30,400 102,125
*National Beverage Corp............................... 87,100 707,688
National City Bancorp................................. 51,049 1,001,837
*National Dentex Corp................................. 37,000 635,938
*National Home Centers, Inc........................... 60,000 74,063
*National Home Health Care Corp....................... 22,283 94,006
*National Record Mart, Inc............................ 35,200 141,350
*National Research Corp............................... 45,200 200,575
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*National RV Holdings, Inc............................ 80,550 $ 1,500,244
National Security Group, Inc.......................... 10,500 131,250
*National Standard Co................................. 96,500 373,938
National Technical Systems, Inc....................... 58,384 222,589
*National Techteam, Inc............................... 117,300 465,534
*Natrol, Inc.......................................... 40,000 320,000
*Natural Alternatives International, Inc.............. 51,800 176,444
*Natural Microsystems Corp............................ 67,400 2,451,675
*Natural Wonders, Inc................................. 61,300 93,866
Natures Sunshine Products, Inc........................ 138,500 1,164,266
*Navarre Corp......................................... 70,300 529,447
*Navigant International, Inc.......................... 27,400 255,163
*Navigators Group, Inc................................ 21,620 259,440
*Neff Corp. Class A................................... 100,000 862,500
Nelson (Thomas), Inc.................................. 76,100 675,388
*Neogen Corp.......................................... 36,800 231,725
*Neopharm, Inc........................................ 97,800 1,625,925
*Neorx Corp........................................... 167,200 318,725
*Neose Technologies, Inc.............................. 79,300 1,204,369
*#Neotherapeutics, Inc................................ 38,200 453,625
*Netmanage, Inc....................................... 299,077 1,490,712
*NetMoves Corporation................................. 83,300 452,944
*NetOptix Corp........................................ 73,600 2,635,800
*#Netrix Corp......................................... 92,200 832,681
*Netspeak Corp........................................ 80,600 1,307,231
*Network Computing Devices, Inc....................... 133,500 863,578
*Network Equipment Technologies, Inc.................. 99,000 1,218,938
*Network Peripherals, Inc............................. 69,200 2,385,238
*Network Six, Inc..................................... 775 2,858
*Neurobiological Technologies, Inc.................... 14,600 48,819
*Neurocrine Biosciences, Inc.......................... 95,700 1,253,072
*Neurogen Corp........................................ 55,600 816,625
*New American Healthcare Corp......................... 9,800 4,900
*New Brunswick Scientific Co., Inc.................... 45,419 249,805
*New Century Financial Corp........................... 74,400 1,167,150
New England Community Bancorp, Inc. Class A........... 43,360 1,223,565
New Hampshire Thrift BancShares, Inc.................. 600 7,763
*New Horizons Worldwide, Inc.......................... 71,750 986,563
*New Mexico & Arizona Land Co......................... 59,482 304,845
*Newcor, Inc.......................................... 86,126 220,698
Newmil Bancorp, Inc................................... 44,200 563,550
Newport Corp.......................................... 76,000 1,938,000
*Newsedge Corp........................................ 124,400 1,251,775
*Nexthealth, Inc...................................... 26,700 37,547
*Niagara Corp......................................... 62,400 290,550
*Nitches, Inc......................................... 10,194 34,405
*Nobel Learning Communities, Inc...................... 43,150 347,897
*Nobility Homes....................................... 39,082 228,385
*Noel Group, Inc...................................... 43,600 29,059
Noland Co............................................. 500 9,094
*Noodle Kidoodle, Inc................................. 65,000 457,031
*Norstan, Inc......................................... 90,400 649,750
*North American Scientific, Inc....................... 52,900 464,528
North Central Bancshares, Inc......................... 15,500 257,688
*North Face, Inc...................................... 78,100 412,466
Northeast Bancorp..................................... 10,400 83,200
Northern Technologies International................... 22,600 144,075
*Northfield Laboratories, Inc......................... 94,100 1,120,378
Northland Cranberries, Inc. Class A................... 111,400 657,956
</TABLE>
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<TABLE>
<CAPTION>
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Northrim Bank......................................... 11,460 $ 113,347
*Northwest Pipe Co.................................... 46,100 576,250
*Northwest Teleproductions, Inc....................... 15,800 6,913
*Novadigm, Inc........................................ 114,000 1,966,500
*Novametrix Medical Systems, Inc...................... 61,600 246,400
*Novavax, Inc......................................... 105,500 514,313
*Noven Pharmaceuticals, Inc........................... 162,800 2,106,225
*Novitron International, Inc.......................... 4,712 14,357
*Nstor Technology..................................... 23,700 44,438
*Nu Horizons Electronics Corp......................... 74,606 676,117
*#Number Nine Visual Technology Corp.................. 50,400 48,038
*Numerex Corp. Class A................................ 40,200 267,581
*Nutramax Products, Inc............................... 44,000 49,500
*#Nutrition for Life International, Inc............... 1,400 3,741
Nymagic, Inc.......................................... 62,700 901,313
*O'Charleys, Inc...................................... 93,075 1,233,244
*O'Sullivan Industries Holdings, Inc.................. 133,400 2,284,475
*O.I. Corp............................................ 21,900 93,075
*OAO Technology Solutions, Inc........................ 50,900 198,828
*ODS Networks, Inc.................................... 86,600 709,038
OEA, Inc.............................................. 30,900 168,019
*OMNI Energy Services Corp............................ 32,900 52,434
*ORBIT/FR, Inc........................................ 7,900 23,206
*OSI Pharmaceutical, Inc.............................. 155,600 799,881
*OSI Systems, Inc..................................... 24,900 109,716
*OTR Express, Inc..................................... 16,600 33,200
Oak Hill Financial, Inc............................... 10,900 190,069
*Oak Technology, Inc.................................. 264,800 1,704,650
Oakwood Homes Corp.................................... 405,000 1,215,000
*Object Design, Inc................................... 226,000 1,560,813
*Objective Systems Integrators, Inc................... 296,537 1,181,515
*Odwalla, Inc......................................... 32,600 168,094
Oglebay Norton Co..................................... 50,000 1,104,688
Ohio Art Co........................................... 3,400 69,275
Oil-Dri Corp. of America.............................. 60,900 902,081
*Old Dominion Freight Lines, Inc...................... 71,800 910,963
*Olympic Steel, Inc................................... 94,000 472,938
*Omega Protein Corp................................... 97,500 255,938
*Omega Research, Inc.................................. 103,500 595,125
*Omega Worldwide, Inc................................. 65,000 245,781
*Omni Nutraceuticals, Inc............................. 128,700 245,334
*Omtool, Ltd.......................................... 111,500 331,016
*On Assignment, Inc................................... 30,800 865,288
*#On Technology Corp.................................. 42,000 376,031
*On-Point Technology Systems, Inc..................... 76,800 171,600
*One Price Clothing Stores, Inc....................... 81,700 217,016
*Onhealth Network Company............................. 65,000 566,719
*Ontrack Data International, Inc...................... 78,700 843,566
*Onyx Acceptance Corp................................. 40,400 297,950
*Onyx Pharmacueticals, Inc............................ 65,400 559,988
*Openroute Networks, Inc.............................. 19,300 170,684
*Opinion Research Corp................................ 15,500 106,563
*Opta Food Ingredients, Inc........................... 93,600 289,575
*Opti, Inc............................................ 69,600 243,600
*Optika Imaging Systems, Inc.......................... 58,500 307,125
*Option Care, Inc..................................... 14,900 49,822
*Orbit International Corp............................. 9,333 11,521
Oregon Steel Mills, Inc............................... 15,000 121,875
Oregon Trail Financial Corp........................... 11,000 122,719
*Oriole Homes Corp. Class A Convertible............... 66,300 157,463
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Oriole Homes Corp. Class B........................... 23,000 $ 28,750
*Orleans Homebuilders, Inc............................ 101,400 148,931
*Oroamerica, Inc...................................... 53,300 371,434
*Orphan Medical, Inc.................................. 51,600 316,050
*Ortel Corp........................................... 73,000 4,644,625
*Orthologic Corp...................................... 165,500 408,578
*Oshman's Sporting Goods, Inc......................... 50,200 84,713
*Osicom Technologies, Inc............................. 49,200 973,238
*Osmonics, Inc........................................ 88,200 793,800
Ottawa Financial Corp................................. 32,430 643,533
*Outlook Group Corp................................... 37,900 172,919
*Outsource International, Inc......................... 51,000 47,016
*Overland Data........................................ 19,600 131,688
Owosso Corp........................................... 50,000 184,375
Oxford Industries, Inc................................ 36,100 769,381
*#Oxigene, Inc........................................ 87,500 1,416,406
*P&F Industries, Inc. Class A......................... 600 4,266
*PAM Transportation Services, Inc..................... 41,150 425,645
*PBOC Holdings, Inc................................... 9,000 74,813
*PC Service Source, Inc............................... 43,400 111,213
*PCD, Inc............................................. 5,000 40,938
*PJ America, Inc...................................... 44,500 712,000
*PLM International, Inc............................... 55,700 316,794
*PMR Corp............................................. 63,400 140,669
*PPT Vision, Inc...................................... 46,200 140,044
*PS Group Holdings, Inc............................... 2,700 28,350
*PSC, Inc............................................. 89,800 651,050
*PSW Technologies, Inc................................ 88,200 1,041,863
PXRE Group, Ltd....................................... 13,400 165,825
*Packaged Ice, Inc.................................... 35,000 123,594
*#Palatin Technologies, Inc........................... 875 3,172
*Pameco Corp.......................................... 40,700 175,519
Pamrapo Bancorp, Inc.................................. 17,000 378,250
*Panavision, Inc...................................... 13,000 60,938
*Pancho's Mexican Buffet, Inc......................... 15,866 44,375
*Panera Bread CO...................................... 88,400 701,675
*Panja, Inc........................................... 59,300 974,744
*Par Technology Corp.................................. 81,800 414,113
*Parallel Petroleum Corp.............................. 81,800 166,156
*Paravant, Inc........................................ 21,100 56,047
Paris Corp............................................ 200 394
*Park-Ohio Holdings Corp.............................. 141,225 1,668,220
Parkvale Financial Corp............................... 69,195 1,245,510
*Parlex Corp.......................................... 38,850 733,294
*Parlux Fragrances, Inc............................... 108,200 398,988
*Pathogenesis Corp.................................... 5,600 108,850
*Patient Infosy....................................... 4,900 8,881
Patina Oil & Gas Corp................................. 127,389 907,647
Patrick Industries, Inc............................... 46,050 555,478
*Paul Harris Stores, Inc.............................. 88,075 284,868
Paula Financial, Inc.................................. 29,800 183,456
*Paul-Son Gaming Corp................................. 32,500 211,250
*Payless Cashways, Inc................................ 2,121 3,447
*Peapod, Inc.......................................... 101,800 887,569
*Pediatric Services of America, Inc................... 51,200 53,600
*Pediatrix Medical Group, Inc......................... 10,500 81,375
Peerless Manufacturing Co............................. 9,250 105,797
*Pegasystems, Inc..................................... 15,000 111,797
Penford Corp.......................................... 38,500 577,500
Penn Engineering & Manufacturing Corp. Class A........ 33,600 743,400
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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Penn Engineering & Manufacturing Corp. Non-voting..... 100,800 $ 2,457,000
*Penn National Gaming, Inc............................ 92,400 711,769
*#Penn Traffic Company................................ 922 7,030
*Penn Treaty American Corp............................ 62,500 992,188
Penn Virginia Corp.................................... 74,200 1,330,963
Penn-America Group, Inc............................... 75,000 600,000
Pennfed Financial Services, Inc....................... 52,000 817,375
*Pentacon, Inc........................................ 54,500 153,281
*Penwest Pharmaceuticals Company...................... 48,150 648,520
Peoples Bancorp, Inc.................................. 400 6,313
Peoples Bancshares, Inc. Massachusetts................ 28,245 556,956
*Perceptron, Inc...................................... 65,350 286,927
*Performance Technologies, Inc........................ 81,525 1,661,072
*Perfumania, Inc...................................... 20,800 74,750
*Pericom Semiconductor Corp........................... 34,200 796,219
*Perini Corp.......................................... 41,100 161,831
*Perry Ellis International, Inc....................... 48,100 547,138
*Petco Animal Supplies, Inc........................... 33,400 463,425
*Petrocorp, Inc....................................... 37,100 229,556
*Petroglyph Energy, Inc............................... 22,300 52,963
*Petroleum Development Corp........................... 126,300 538,748
*Pharmaceutical Resources, Inc........................ 153,855 923,130
*Pharmacopeia, Inc.................................... 115,400 1,983,438
*Pharmanetics, Inc.................................... 64,100 398,622
*Pharmchem Laboratories, Inc.......................... 47,800 152,363
*Phar-Mor, Inc........................................ 96,900 249,820
*#Pharmos Corp........................................ 88,000 127,875
*Philadelphia Consolidated Holding Corp............... 55,000 807,813
*Phillips (R.H.), Inc................................. 18,000 50,344
Phillips-Van Heusen Corp.............................. 120,800 1,026,800
*Phoenix Gold International, Inc...................... 13,500 38,391
*Phoenix International Life Sciences, Inc............. 3,410 19,075
*Phoenix International, Ltd........................... 67,350 273,609
*Phoenix Technologies, Ltd............................ 47,230 675,979
*Photo Control Corp................................... 1,000 2,375
*Photon Dynamics, Inc................................. 62,500 2,386,719
Piccadilly Cafeterias, Inc............................ 84,200 426,263
*Pico Holdings, Inc................................... 17,711 269,539
#Piedmont Bancorp, Inc................................ 1,450 11,600
*Piercing Pagoda, Inc................................. 71,200 930,050
Pinnacle Bancshares, Inc.............................. 700 6,300
*Pinnacle Global Group, Inc........................... 4,950 26,606
Pitt-Des Moines, Inc.................................. 72,900 1,763,269
Pittston Co. Burlington Group......................... 155,900 1,481,050
Pittston Co. Minerals Group........................... 72,200 81,225
Pizza Inn, Inc........................................ 3,000 10,828
*Planar Systems, Inc.................................. 86,100 559,650
*Plasma-Therm, Inc.................................... 103,600 857,938
*#Play By Play Toys and Novelties, Inc................ 57,800 170,691
*Playcore, Inc........................................ 50,957 452,243
*Players International, Inc........................... 225,200 1,752,338
*Plymouth Rubber, Inc. Class A........................ 900 7,538
*Plymouth Rubber, Inc. Class B non-voting............. 5 34
Pocahontas Bancorp, Inc............................... 18,400 117,300
*Polymedica Industries, Inc........................... 44,150 780,903
*Polyvision Corp...................................... 17,000 32,938
*Pomeroy Computer Resource, Inc....................... 101,242 1,268,689
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Pope & Talbot, Inc.................................... 107,800 $ 1,286,863
*Porta Systems Corp................................... 51,930 48,684
*#Possis Medical, Inc................................. 114,400 961,675
*Powell Industries, Inc............................... 46,100 352,953
*Powercerv Corp....................................... 115,700 300,097
*Power-One, Inc....................................... 17,700 414,844
*Praegitzer Industries, Inc........................... 91,000 499,078
*Prandium, Inc........................................ 216,111 37,279
*Precision Response, Corp............................. 52,800 1,158,300
*Precision Standard, Inc.............................. 250 2,438
*#Premier Laser Systems, Inc. Class A................. 47,300 84,992
Premier National Bancorp.............................. 48,397 852,997
*Premisys Communications, Inc......................... 54,800 543,719
*Premiumwear, Inc..................................... 13,295 69,799
*Presstek, Inc........................................ 9,100 100,669
*Prima Energy Corp.................................... 26,700 674,175
*Prime Medical Services, Inc.......................... 153,000 1,448,719
Primesource Corp...................................... 24,843 150,611
*Primix Solutions, Inc................................ 20,200 176,434
*Printrak International, Inc.......................... 100,400 781,238
*Printronix, Inc...................................... 67,050 1,160,803
*Printware, Inc....................................... 7,800 17,184
*#Procept, Inc........................................ 3,063 5,935
*Procom Technology, Inc............................... 84,000 2,651,250
Professional Bancorp, Inc............................. 10,720 101,840
*Programmers Paradise, Inc............................ 35,300 236,069
Progress Financial Corp............................... 34,827 454,928
*ProMedCo Management Company.......................... 181,800 377,803
*Prophet 21, Inc...................................... 9,000 69,469
*Protocol Systems, Inc................................ 72,600 573,994
Provena Foods, Inc.................................... 200 513
Providence & Worcester Railroad Co.................... 6,500 61,750
Providence Energy Corp................................ 61,950 2,338,613
*Provident American Corp.............................. 83,600 2,521,063
*Provident Financial Holdings, Inc.................... 17,200 319,275
*Proxymed, Inc........................................ 107,900 1,197,016
Psychemedics Corp..................................... 171,594 772,173
Pulaski Financial Corp................................ 4,000 43,625
Pulaski Furniture Corp................................ 15,400 255,063
*Puma Technology, Inc................................. 79,800 3,997,481
*Pure World, Inc...................................... 72,930 207,395
*Pyramid Breweries, Inc............................... 36,800 54,625
*QEP Co., Inc......................................... 9,100 70,525
*QMS, Inc............................................. 23,274 69,822
*Qad, Inc............................................. 28,200 134,831
*Quad Systems Corp.................................... 35,700 49,088
Quaker Chemical Corp.................................. 52,400 818,750
*Quaker City Bancorp, Inc............................. 22,656 382,320
*Quaker Fabric Corp................................... 108,450 364,324
*Quality Dining, Inc.................................. 108,300 253,828
Quality Systems, Inc.................................. 44,900 303,075
*Quest Educational Corporation........................ 41,000 354,266
*Questcor Pharmaceuticals, Inc........................ 102,900 122,194
*Quidel Corp.......................................... 191,000 1,122,125
*#Quigley Corp........................................ 38,300 80,789
*Quintel Entertainment, Inc........................... 75,300 456,506
Quipp, Inc............................................ 13,800 210,450
Quixote Corp.......................................... 67,600 1,081,600
*R & B, Inc........................................... 68,600 424,463
*RCM Technologies, Inc................................ 93,100 1,195,753
*RDO Equipment Co. Class A............................ 46,000 301,875
*RF Monolithics, Inc.................................. 42,100 245,364
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*RMH Teleservices, Inc................................ 17,400 $ 122,616
*RMI.Net, Inc......................................... 40,700 351,038
RPC, Inc.............................................. 58,400 401,500
*RTI International Metals, Inc........................ 31,000 205,375
*RTW, Inc............................................. 62,500 326,172
*RWD Technologies, Inc................................ 20,900 175,038
*Racing Champions Corp................................ 45,800 227,569
*Radiance Medical Systems, Inc........................ 71,036 386,258
*Radiant Systems, Inc................................. 41,500 1,028,422
*Radiologix, Inc...................................... 130,000 617,500
*RadiSys Corp......................................... 26,139 1,170,537
*Rag Shops, Inc....................................... 34,650 72,548
*Ragen Mackenzie Group, Inc........................... 29,150 592,109
*Railamerica, Inc..................................... 74,000 598,938
*Railtex, Inc......................................... 79,100 1,334,813
*Rainbow Rentals, Inc................................. 15,000 132,188
*Rainbow Technologies, Inc............................ 78,450 1,331,198
*Rainforest Cafe, Inc................................. 57,900 271,406
*Ramsay Youth Services, Inc........................... 52,722 72,493
*#Ramtron International Corp.......................... 186,746 892,879
#Range Resources Corp................................. 252,000 834,750
*Rare Hospitality International, Inc.................. 68,424 1,439,042
*Rare Medium Corp..................................... 37,200 1,036,950
Raven Industries, Inc................................. 99,150 1,440,773
*Rawlings Sporting Goods, Inc......................... 69,200 531,975
*Raytech Corp. DE..................................... 27,795 105,968
*Raytel Med Corp...................................... 25,700 76,297
*Reading Entertainment, Inc........................... 34,300 201,513
*Read-Rite Corp....................................... 53,000 290,672
*Recoton Corp......................................... 99,916 814,940
*#Redhook Ale Brewery, Inc............................ 57,200 138,531
Redwood Empire Bancorp................................ 16,500 388,781
*Reeds Jewelers, Inc.................................. 22,990 73,999
*Refac................................................ 45,597 210,886
*Regeneron Pharmaceuticals, Inc....................... 243,300 1,870,369
*Rehabcare Group, Inc................................. 48,700 980,088
*Rehabilicare, Inc.................................... 63,600 262,350
*Reliability, Inc..................................... 120,000 352,500
Reliance Bancorp, Inc................................. 4,900 192,784
Reliv International, Inc.............................. 62,260 55,450
*Relm Wireless Corp................................... 50,941 210,132
*Remington Oil & Gas Corp............................. 129,100 649,534
*Renaissance Worldwide, Inc........................... 110,000 529,375
*Renex Corp........................................... 56,800 346,125
*Rentrak Corp......................................... 83,500 451,422
*#Repligen Corp....................................... 115,900 517,928
*#Reptron Electronics, Inc............................ 46,800 321,750
*Republic Bankshares, Inc............................. 41,940 591,092
*Republic First Bancorp, Inc.......................... 36,868 237,338
Republic Group, Inc................................... 112,904 1,792,351
*Research Partners International, Inc................. 35,400 172,022
*Research, Inc........................................ 25,250 126,250
*ResortQuest International, Inc....................... 74,000 457,875
Resource America, Inc................................. 47,980 403,332
Resource Bancshares Mortgage Group, Inc............... 31,200 157,950
*Rex Stores Corp...................................... 47,600 1,776,075
*Rexhall Industries, Inc.............................. 13,625 115,813
*Ribozyme Pharmaceuticals............................. 78,600 614,063
Richardson Electronics, Ltd........................... 87,700 583,753
*Richton International Corp........................... 2,000 32,000
*Riddell Sports, Inc.................................. 56,682 170,046
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Right Management Consultants, Inc.................... 49,950 $ 547,889
*Right Start, Inc..................................... 32,500 540,313
*Rightchoice Managed Care, Inc. Class A............... 28,100 316,125
*Rimage Corp.......................................... 43,500 698,719
*Riverside Group, Inc................................. 1,300 1,483
Riverview Bancorp, Inc................................ 24,300 271,097
*Riviera Holdings Corporation......................... 6,200 31,775
*Roadhouse Grill, Inc................................. 52,900 209,947
Roanoke Electric Steel Corp........................... 70,250 1,143,758
*Roberds, Inc......................................... 33,100 34,134
*Robertson-Ceco Corp.................................. 91,157 729,256
*Robinson Nugent, Inc................................. 42,100 402,581
*Robocom Systems, Inc................................. 1,100 1,547
*#Robotic Vision Systems, Inc......................... 164,145 979,740
*Rochester Medical Corp............................... 43,600 324,275
*Rock of Ages Co...................................... 28,500 170,109
*Rocky Mountain Chocolate Factory..................... 25,000 121,094
*Rocky Shoes & Boots, Inc............................. 35,000 263,594
*Rofin-Sinar Technologies, Inc........................ 74,000 522,625
*Rogers Corp.......................................... 85,400 3,442,688
*Rogue Wave Software, Inc............................. 89,300 706,028
*Rohn Industries, Inc................................. 432,200 1,526,206
*Ross Systems, Inc.................................... 148,937 370,015
*Rottlund, Inc........................................ 19,250 51,734
Rouge Industries, Inc. Class A........................ 36,000 272,250
Rowe Furniture Corp................................... 126,568 1,178,666
*Royal Appliance Manufacturing Co..................... 197,500 1,147,969
Royal Bancshares of Pennsylvania Class A.............. 1,888 28,910
*Royal Energy, Inc.................................... 17,400 46,219
*Royal Gold, Inc...................................... 119,500 522,813
*Royal Precision, Inc................................. 8,700 23,381
*Rural Cellular Corp. Class A......................... 30,800 2,454,375
*Rural/Metro Corp..................................... 50,400 291,375
*Rush Enterprises, Inc................................ 40,500 620,156
*S&K Famous Brands, Inc............................... 43,700 329,116
*S1 Corporation....................................... 26,973 1,305,662
*SBE, Inc............................................. 15,400 98,656
*SBS Technologies, Inc................................ 41,800 1,401,606
*SCB Computer Technology, Inc......................... 71,800 213,156
*SCC Communications Corp.............................. 36,000 230,625
*SCP Pool Corp........................................ 2,800 66,063
*SED International Holdings, Inc...................... 61,900 126,702
*SEEC, Inc............................................ 11,500 47,078
SEMCO Energy, Inc..................................... 65,020 906,216
*SEMX Corp............................................ 49,100 313,013
*SGV Bancorp, Inc..................................... 2,300 52,613
SI Handling, Inc...................................... 41,625 377,227
SJNB Financial Corp................................... 10,500 353,063
SL Industries, Inc.................................... 96,685 1,160,220
*SMC Corp............................................. 52,200 212,063
*SOS Staffing Services, Inc........................... 81,700 388,075
*SPR, Inc............................................. 18,000 83,250
*SPSS, Inc............................................ 77,600 1,777,525
*SRS Labs, Inc........................................ 70,200 428,878
*SSE Telecom, Inc..................................... 31,600 195,525
*STM Wireless, Inc. Class A........................... 54,300 266,409
*STV Group, Inc....................................... 35,000 289,297
*Safeguard Health Enterprises, Inc.................... 84,600 54,197
*Safety 1st, Inc...................................... 62,400 442,650
*Safety Components International, Inc................. 41,100 113,025
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Saga Communications, Inc. Class A.................... 59,171 $ 1,471,879
*Salient 3 Communications, Inc. Class A............... 45,000 343,125
*#Salton/Maxim Housewares, Inc........................ 54,650 1,349,172
*Sames Corp........................................... 61,400 921,000
*#Samsonite Corp...................................... 20,600 121,991
*San Filippo (John B.) & Son, Inc..................... 67,400 242,219
Sanderson Farms, Inc.................................. 86,300 803,669
*Santa Cruz Operation, Inc............................ 137,700 2,061,197
*Satcon Technology Corp............................... 67,300 514,214
*Saucony, Inc. Class A................................ 56,700 708,750
*Saucony, Inc. Class B................................ 63,800 811,456
*Savoir Technology Group, Inc......................... 86,900 464,372
*Scan-Optics, Inc..................................... 56,200 74,641
*#ScanSoft, Inc....................................... 6,800 42,288
*ScanSource, Inc...................................... 39,300 1,525,331
Schawk, Inc. Class A.................................. 154,000 1,309,000
*Scheid Vineyards, Inc................................ 11,200 45,500
*Scherer Healthcare, Inc.............................. 200 619
*Schick Technologies, Inc............................. 47,200 40,533
*Schieb (Earl), Inc................................... 74,400 279,000
*Schlotzskys, Inc..................................... 63,400 437,856
*Schmitt Industries, Inc.............................. 64,100 168,263
Schnitzer Steel Industries, Inc. Class A.............. 25,700 479,466
*#Schuff Steel Company................................ 45,500 176,313
*Schuler Homes, Inc................................... 157,200 1,016,888
Schultz Sav-O Stores, Inc............................. 60,000 787,500
Schweitzer-Maudoit International, Inc................. 68,000 901,000
*#Sciclone Pharmaceuticals, Inc....................... 133,000 401,078
*Scientific Games Holdings Corp....................... 60,400 1,075,875
Scientific Technologies, Inc.......................... 25,700 148,578
*Scios-Nova, Inc...................................... 189,100 726,853
Scope Industries, Inc................................. 18,650 1,030,413
*Scott's Liquid Gold, Inc............................. 84,000 60,375
*Seachange International, Inc......................... 129,500 3,294,156
Seacoast Banking Corp. Class A........................ 22,100 667,144
Seacoast Financial Services Corp...................... 98,329 1,041,673
*Seattle Filmworks, Inc............................... 173,375 560,760
Seaway Food Town, Inc................................. 24,000 544,500
*Secom General Corp................................... 1,000 3,125
*#Secure Computing Corp............................... 138,100 1,098,327
*Security Capital Corp................................ 5 32
*Segue Software, Inc.................................. 72,300 1,841,391
*Seibels Bruce Group, Inc............................. 30,800 65,931
Selas Corp. of America................................ 44,700 276,581
*Select Comfort Corp.................................. 130,000 710,938
*#Selfcare, Inc....................................... 94,500 378,000
*Semitool, Inc........................................ 97,700 1,114,391
*Seneca Foods Corp. Class A........................... 200 2,375
*Seneca Foods Corp. Class B........................... 6,800 80,750
*Sensory Science Corp................................. 115,400 223,588
*SeraCare, Inc........................................ 26,000 82,875
*Service Experts, Inc................................. 5,000 31,250
*Servotronics, Inc.................................... 24,804 130,221
Sevenson Environmental Services, Inc.................. 13,280 120,350
*Sharper Image Corp................................... 67,300 1,362,825
*Shaw Group, Inc...................................... 81,950 1,710,706
*Sheffield Medical Technologies, Inc.................. 135,100 388,413
*Sheldahl, Inc........................................ 84,650 346,536
*Shells Seafood Restaurants, Inc...................... 20,700 60,159
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Shiloh Industries, Inc............................... 111,500 $ 968,656
*Shoe Carnival, Inc................................... 100,800 1,026,900
*Sholodge, Inc........................................ 52,300 299,091
*Shoney's, Inc........................................ 419,000 576,125
Shoreline Financial Corp.............................. 15,671 313,910
*Shuffle Master, Inc.................................. 63,100 518,603
Sifco Industries, Inc................................. 46,275 318,141
*Sight Resource Corp.................................. 57,400 123,769
*Sigma Designs, Inc................................... 102,600 697,359
*Sigmatron International, Inc......................... 13,000 108,875
*Signal Apparel Co., Inc. Class A..................... 73,600 36,800
*Signal Technology Corp............................... 62,000 279,000
*Signature Eyewear, Inc............................... 14,500 45,766
*Silicon Storage Technology, Inc...................... 61,200 1,616,063
*Silverleaf Resorts, Inc.............................. 93,400 682,988
*Simione Central Holdings, Inc........................ 67,900 82,753
Simmons First National Corp. Class A.................. 26,450 720,763
*Simon Transportation Services, Inc................... 34,600 196,788
Simpson Industries, Inc............................... 143,400 1,510,181
*#Simula, Inc......................................... 78,250 445,047
*Sitel Corp........................................... 404,700 2,402,906
*Sizzler International, Inc........................... 218,400 546,000
*#SkyMall, Inc........................................ 33,700 349,638
*Smithway Motor Express Corp. Class A................. 26,000 114,563
*Softech, Inc......................................... 46,500 58,125
*#Software Spectrum, Inc.............................. 36,100 394,844
Somerset Group, Inc................................... 412 7,699
Sonesta International Hotels Corp. Class A............ 400 3,013
*Sonic Solutions...................................... 73,650 211,744
*Sonus Pharmaceuticals, Inc........................... 99,100 232,266
*Sound Advice, Inc.................................... 60,425 592,920
*#Source Media, Inc................................... 40,700 699,531
*Southern Energy Homes, Inc........................... 127,125 290,004
*Southwall Technologies, Inc.......................... 74,600 325,209
Southwest Bancorp, Inc................................ 14,300 316,834
Southwest Water Co.................................... 37,246 621,543
Southwestern Energy Co................................ 16,700 124,206
*Spacehab, Inc........................................ 58,800 292,163
*Spacelabs Medical, Inc............................... 58,300 812,556
Span-American Medical System, Inc..................... 40,500 137,320
Spartan Motors, Inc................................... 119,300 499,569
*Sparton Corp......................................... 69,200 328,700
*Spatial Technology, Inc.............................. 29,050 119,831
*SpectraLink Corp..................................... 114,800 1,208,988
*Spectranetics Corp................................... 159,702 736,126
*Spectra-Physics Laser, Inc........................... 7,000 99,094
*Spectrian Corp....................................... 67,700 1,838,478
*Spectrum Control, Inc................................ 84,400 909,938
*SpectRx, Inc......................................... 42,500 494,063
*Speizman Industries, Inc............................. 28,900 148,113
*Spire Corp........................................... 56,200 338,956
*Splash Technology Holdings, Inc...................... 34,600 245,984
*Sport Chalet, Inc.................................... 55,000 317,109
*Sport Supply Group, Inc.............................. 55,400 353,175
*Sport-Haley, Inc..................................... 24,800 97,650
*Sports Authority, Inc................................ 228,200 484,925
*Sports Club Co., Inc................................. 136,700 572,431
*Sportsman's Guide, Inc............................... 34,000 109,438
St. Francis Capital Corp.............................. 48,800 977,525
St. Joseph Light & Power Co........................... 69,800 1,461,438
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
St. Mary Land & Exploration Co........................ 34,500 $ 729,891
*Staar Surgical Co.................................... 93,975 933,877
*Stac Software, Inc................................... 10,350 63,717
*Staff Leasing, Inc................................... 170,000 1,423,750
*Stage II Apparel Corp................................ 14,600 18,250
*Stage Stores, Inc.................................... 13,100 41,756
*Standard Automotive Corp............................. 10,000 90,000
Standard Commercial Corp.............................. 92,508 358,469
*Standard Management Corp............................. 57,115 344,475
*Standard Microsystems Corp........................... 99,600 1,216,988
*Stanley Furniture, Inc............................... 62,400 1,271,400
*Star Buffet, Inc..................................... 4,500 18,844
*Star Multi Care Services, Inc........................ 37,229 27,340
*Star Struck, Ltd..................................... 500 2,250
*Starcraft Corp....................................... 16,500 116,016
*Starmet Corp......................................... 126,100 685,669
Starrett (L.S.) Co. Class A........................... 26,200 623,888
*Startec Global Communications Corp................... 6,700 134,628
*Starter Corp......................................... 130,100 11,709
State Financial Services Corp. Class A................ 33,580 530,984
Steel Technologies, Inc............................... 98,400 1,103,925
*Steinway Musical Instruments, Inc.................... 75,500 1,510,000
Stepan Co............................................. 19,600 464,275
Stephan Co............................................ 24,700 98,800
*Stericycle, Inc...................................... 52,000 906,750
Sterling Bancorp...................................... 150,400 2,820,000
*Sterling Financial Corp. WA.......................... 48,850 619,784
*Sterling Vision, Inc................................. 92,200 185,841
Stewart Information Services Corp..................... 11,700 157,950
Stifel Financial Corp................................. 45,142 468,348
*Storage Computer Corp................................ 73,792 92,240
*Stormedia, Inc. Class A.............................. 40,500 41
*Stratasys, Inc....................................... 31,700 188,219
*Strategic Diagnostics, Inc........................... 76,000 593,750
*Strategic Distribution, Inc.......................... 293,548 467,842
*Strattec Security Corp............................... 35,400 1,239,000
*Stratus Properties, Inc.............................. 83,900 343,466
*Strawbridge and Clothier Liquidating Trust........... 5,200 845
*Strouds, Inc......................................... 72,800 160,388
*Styleclick.com, Inc.................................. 45,000 649,688
*Suburban Lodges of America, Inc...................... 95,000 549,219
*Success Bancshares, Inc.............................. 4,200 49,350
*Successories, Inc.................................... 57,800 155,338
Suffolk Bancorp....................................... 29,200 810,300
*Summa Industries, Inc................................ 4,800 59,100
Summit Bancshares, Inc................................ 28,000 546,000
*Summit Design, Inc................................... 133,000 407,313
Sun Hydraulics, Inc................................... 12,600 85,050
*Sunair Electronics, Inc.............................. 33,900 84,750
*Sunburst Hospi....................................... 1,200 6,225
*Sundance Homes, Inc.................................. 50,000 11,250
*Sunquest Information Systems, Inc.................... 59,200 806,600
*Sunrise Medical, Inc................................. 108,100 648,600
*Sunrise Resources, Inc............................... 46,800 239,119
*Superconductor Technologies, Inc..................... 49,750 147,695
*Superior Energy Services, Inc........................ 67,700 442,166
*Superior National Insurance Group, Inc............... 34,400 104,275
Superior Surgical Manufacturing Co., Inc.............. 90,100 878,475
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Supertex, Inc........................................ 177,300 $ 2,742,609
*Suprema Specialties, Inc............................. 37,300 327,541
*Supreme Industries, Inc.............................. 82,367 617,754
*Surgical Laser Technologies, Inc..................... 10,900 17,372
*Swift Energy Corp.................................... 111,500 1,240,438
*Swisher International, Inc........................... 8,500 7,438
*Swiss Army Brands, Inc............................... 65,500 536,281
*Sybron Chemicals, Inc................................ 34,300 467,338
*Sylvan, Inc.......................................... 63,500 591,344
*Symix Systems, Inc................................... 54,600 687,619
*Symmetricom, Inc..................................... 136,600 1,015,963
*Symons International Group, Inc...................... 93,900 127,645
*Symphonix Devices, Inc............................... 34,100 106,030
*Syms Corp............................................ 97,900 593,519
Synalloy Corp. DE..................................... 89,158 640,823
*Synaptic Pharmaceutical Corp......................... 85,900 391,919
*Synbiotics Corp...................................... 66,300 150,211
*Sync Research, Inc................................... 19,760 60,515
*Syntellect, Inc...................................... 114,200 253,381
*Synthetech, Inc...................................... 81,900 296,888
*Synthetic Industries, Inc............................ 62,000 2,020,813
*Syntroleum Corp...................................... 4,400 43,381
*Sypris Solutions, Inc................................ 38,000 378,813
*System Software Associates, Inc...................... 1,925 4,211
*T&W Financial Corp................................... 16,000 50,750
*T-Netix, Inc......................................... 75,200 296,100
TB Woods Corp......................................... 10,100 96,581
*TBA Entertainment Corp............................... 70,000 293,125
*TBC Corp............................................. 201,700 1,191,291
TCBY Enterprises, Inc................................. 173,800 695,200
*TCC Industries, Inc.................................. 23,800 1,309
*TCI International, Inc............................... 32,060 136,255
*TCSI Corp............................................ 189,900 356,063
*TEAM America Corp.................................... 10,400 66,300
*TESSCO Technologies, Inc............................. 43,200 855,900
TF Financial Corp..................................... 10,800 148,838
*TFC Enterprises, Inc................................. 101,000 432,406
*TII Industries, Inc.................................. 51,760 65,509
*TMBR/Sharp Drilling, Inc............................. 40,500 291,094
*TRC Companies, Inc................................... 60,400 475,650
*#TREEV, Inc.......................................... 18,600 59,288
*TRM Copy Centers Corp................................ 61,000 346,938
*TRO Learning, Inc.................................... 37,500 237,891
TSI, Inc. MN.......................................... 93,200 1,080,538
*TSR, Inc............................................. 106,400 812,963
*TST/Impreso, Inc..................................... 27,600 94,875
Tab Products Co. DE................................... 41,750 318,344
*Taco Cabana, Inc..................................... 134,700 1,165,997
*Take Two Interactive Software........................ 116,800 1,500,150
*Tandy Brand Accessories, Inc......................... 55,977 729,450
*Tandy Crafts, Inc.................................... 138,200 457,788
*Targeted Genetics Corp............................... 248,900 661,141
Tasty Baking Co....................................... 66,500 635,906
*Team, Inc............................................ 50,400 113,400
Tech/Ops Sevcon, Inc.................................. 61,400 629,350
*Techdyne, Inc........................................ 19,400 44,863
Teche Holding Co...................................... 2,700 38,475
*Technical Communications Corp........................ 7,300 26,006
*Technisource, Inc.................................... 52,900 221,519
Technology Research Corp.............................. 40,100 43,233
*Tech-Sym Corp........................................ 67,300 1,270,288
*Tegal Corp........................................... 88,700 286,889
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Telcom Semiconductor, Inc............................ 108,200 $ 1,169,913
*Telescape International, Inc......................... 14,900 140,619
*Teltrend, Inc........................................ 46,600 975,688
*Telular Corp......................................... 19,700 104,041
Telxon Corp........................................... 27,000 426,094
*Temtex Industries, Inc............................... 34,100 57,011
*#Tera Computer Co.................................... 75,500 280,766
Terra Industries, Inc................................. 8,000 16,500
*Tesseract Group, Inc................................. 68,100 127,688
*Tetra Technologies, Inc.............................. 116,500 902,875
*Texas Biotechnology Corp............................. 227,900 968,575
*Thackeray Corp....................................... 74,700 280,125
*Theragenics Corp..................................... 157,700 1,508,006
*Thermatrix, Inc...................................... 31,500 63,492
*Thermo Fibergen, Inc................................. 22,000 250,250
*Thermo Sentron, Inc.................................. 72,400 1,072,425
*Thermo Terratech, Inc................................ 83,800 565,650
*Thermolase Corp...................................... 18,700 38,569
Thermoretec Corp...................................... 77,800 515,425
*Thermospectra Corp................................... 32,900 524,344
*Thermotrex Corp...................................... 15,500 125,938
*Thermwood Corp....................................... 920 4,945
*Thomas Group, Inc.................................... 50,800 412,750
*Thomaston Mills, Inc................................. 12,600 16,144
*Thoratec Laboratories Corp........................... 73,400 582,613
*Thorn Apple Valley, Inc.............................. 49,900 5,489
*Three-Five Systems, Inc.............................. 42,200 1,793,500
*Tier Technologies, Inc. Class B...................... 40,000 288,750
Timberland Bancorp, Inc............................... 15,100 177,897
Timberline Software Corp.............................. 175,921 2,391,426
*Tipperary Corp....................................... 56,500 77,688
Titan International, Inc.............................. 33,250 220,281
*Titan Pharmaceuticals, Inc........................... 29,100 418,313
*Today's Man, Inc..................................... 63,600 47,700
*Todd Shipyards Corp.................................. 79,300 693,875
Todd-AO Corp. Class A................................. 14,600 259,150
*Toddhunter International, Inc........................ 48,000 441,000
*Tokheim Corp......................................... 108,800 346,800
*Tollgrade Communications, Inc........................ 39,300 1,112,681
Tompkins County Trustco, Inc.......................... 430 12,900
*Topps, Inc........................................... 48,600 554,344
*Toreador Royalty Corp................................ 41,700 187,650
*Total Entertainment Restaurant Corp.................. 11,000 18,734
*Total-Telephone USA Communications, Inc.............. 20,400 288,150
*Tower Air, Inc....................................... 129,000 191,484
*#Toymax International, Inc........................... 9,300 69,169
*Track Data Corp...................................... 20,400 126,225
*Track 'n Trail, Inc.................................. 15,900 18,384
*Tractor Supply Co.................................... 69,500 1,181,500
*Trailer Bridge, Inc.................................. 36,500 66,156
*Transact Technologies, Inc........................... 40,199 296,468
*Transaction Network Services, Inc.................... 63,800 2,926,825
*Transcoastal Marine Services, Inc.................... 68,400 221,231
*#Transcrypt International, Inc....................... 9,000 26,719
*Transfinancial Holdings, Inc......................... 27,800 147,688
*Transition Analysis Component Technology............. 2,538 27,442
*Transmation, Inc..................................... 42,500 86,328
*Transmedia Network, Inc.............................. 79,250 198,125
*Transport Industries, Inc............................ 9,700 54,563
#Transport Lux Corp................................... 14,245 112,179
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Transportation Components, Inc....................... 140,300 $ 385,825
*Transportation Technologies Industries, Inc.......... 86,700 1,162,322
Transpro, Inc......................................... 22,100 146,413
Transtechnology Corp.................................. 99,100 867,125
*#Transtexas Gas Corp................................. 81,000 16,200
*Transworld Healthcare, Inc........................... 99,900 218,531
*Travel Services International, Inc................... 12,900 129,403
*Travis Boats & Motors, Inc........................... 8,900 84,272
*Trega Biosciences, Inc............................... 83,400 110,766
Tremont Corp. DE...................................... 14,600 232,688
*Trend-Lines, Inc. Class A............................ 50,650 74,392
Trenwick Group, Inc................................... 48,262 980,322
*Trex Medical Corp.................................... 52,400 144,100
*Triad Guaranty, Inc.................................. 5,200 118,138
Trico Bancshares...................................... 18,850 390,548
*Trico Marine Services, Inc........................... 135,800 1,014,256
*Trident Microsystems, Inc............................ 104,000 1,088,750
*#Trident Rowan Group, Inc............................ 9,300 39,089
*Tridex Corp.......................................... 44,300 78,909
Trigen Energy Corp.................................... 85,700 1,397,981
*Trimark Holdings, Inc................................ 7,100 21,966
*Trimble Navigation, Ltd.............................. 2,500 42,109
*Trimedyne, Inc....................................... 48,800 112,088
*Trimeris, Inc........................................ 64,100 1,364,128
*TriPath Imaging, Inc................................. 162,211 1,064,514
*Triple S Plastics, Inc............................... 8,000 93,000
*Tripos, Inc.......................................... 21,000 209,016
*#Tristar Corp........................................ 3,300 16,397
*Triumph Group........................................ 4,100 99,681
*Tropical Sportswear International Corp............... 38,900 702,631
*Trump Hotels & Casino Resorts, Inc................... 184,400 714,550
*Tultex Corp.......................................... 58,900 12,884
*#TurboChef Technologies, Inc......................... 31,900 213,331
Tuscarora, Inc........................................ 47,150 571,694
Twin Disc, Inc........................................ 41,200 574,225
*Tyler Technologies, Inc.............................. 284,350 1,172,944
U.S. Bancorp, Inc..................................... 40,775 512,236
*#U.S. Diagnostic, Inc................................ 142,800 122,719
*U.S. Home & Garden, Inc.............................. 133,700 315,448
*U.S. Office Products, Co............................. 50,200 185,113
*U.S. Vision, Inc..................................... 24,714 62,557
*UFP Technologies, Inc................................ 10,100 29,353
*US Can Corp.......................................... 42,300 756,113
*US Xpress Enterprises, Inc. Class A.................. 50,500 364,547
*USA Detergents, Inc.................................. 119,900 513,322
*USA Floral Products, Inc............................. 51,900 147,591
*USA Truck, Inc....................................... 23,700 205,153
*USANA, Inc........................................... 5,200 32,013
*USData Corp.......................................... 55,400 536,688
*Ubics, Inc........................................... 55,800 144,731
*Ugly Duckling Corp................................... 62,400 464,100
*Ultimate Electronics, Inc............................ 69,200 1,619,713
*Ultradata Systems, Inc............................... 13,600 22,525
*Ultrak, Inc.......................................... 70,100 328,594
*Ultralife Batteries, Inc............................. 70,400 426,800
*#Unapix Entertainment, Inc........................... 49,600 93,000
*Unicapital Corp...................................... 8,500 19,125
Unico American Corp................................... 117,600 808,500
*UniComp, Inc......................................... 46,900 175,875
Unifirst Corp......................................... 33,200 504,225
</TABLE>
235
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Unify Corp........................................... 56,500 $ 2,802,047
*Unimark Group, Inc................................... 79,400 101,731
*Uni-Marts, Inc....................................... 64,600 56,525
*Union Acceptance Corp. Class A....................... 24,700 181,391
*Unique Mobility, Inc................................. 113,200 389,125
*Uniroyal Technology Corp............................. 130,900 2,184,394
*Unit Corp............................................ 192,700 1,108,025
*United American Healthcare Corp.,.................... 53,850 57,216
*United Capital Corp.................................. 50,754 964,326
United Financial Corp. MN............................. 1,600 32,100
United Guardian, Inc.................................. 41,020 158,953
United Industrial Corp................................ 104,800 910,450
United National Bancorp............................... 25,965 569,607
*United Natural Foods, Inc............................ 43,000 362,813
*United Retail Group, Inc............................. 91,500 844,945
*United Road Services, Inc............................ 7,100 13,423
*United States Energy Corp............................ 62,870 243,621
United States Lime & Minerals, Inc.................... 14,300 102,334
United Wisconsin Services, Inc........................ 13,900 74,713
*Unitel Video, Inc.................................... 23,200 8,700
Unitil Corp........................................... 39,552 1,112,400
Unity Bancorp, Inc.................................... 1,100 8,319
*Universal American Financial Corp.................... 13,100 55,675
*Universal Electronics, Inc........................... 52,300 1,977,594
Universal Forest Products, Inc........................ 53,700 830,672
*#Universal International, Inc........................ 16,000 41,500
*Universal Stainless & Alloy Products, Inc............ 39,900 150,248
*Uno Restaurant Corp.................................. 231,491 2,546,401
*Urocor, Inc.......................................... 77,400 262,434
*Urogen Corp. (Restricted)............................ 28,200 10,716
*Urologix, Inc........................................ 91,800 467,606
*Uromed Corp. New..................................... 45,660 48,514
*Uroquest Medical Corp................................ 52,400 93,338
*Utah Medical, Inc.................................... 59,800 407,388
*Utilx Corp........................................... 144,800 633,500
*#V-ONE Corp.......................................... 133,000 1,791,344
*V.I. Technologies, Inc............................... 5,000 30,156
*VDI Media............................................ 12,600 166,163
*VISTA Information Solutions, Inc..................... 93,700 278,172
VRB Bancorp........................................... 2,600 16,656
*VTEL Corp............................................ 194,954 700,616
*Valence Technology, Inc.............................. 184,500 1,680,680
*#Valentis, Inc....................................... 182,134 819,603
*Vallen Corp.......................................... 62,400 1,546,350
*Valley National Gases, Inc........................... 5,000 16,875
Valley Resources, Inc................................. 37,487 768,484
*Vans, Inc............................................ 105,900 1,270,800
*Vantive Corp......................................... 148,000 2,312,500
*#Vari L Co., Inc..................................... 46,900 939,466
*Variflex, Inc........................................ 51,100 319,375
*#Ventana Medical Systems, Inc........................ 33,500 723,391
Venturian Corp........................................ 23,100 129,938
*Veramark Technologies, Inc........................... 50,100 599,634
*Verdant Brands, Inc.................................. 24,763 69,646
*Verilink Corp........................................ 114,800 378,481
*#Versant Object Technology Corp...................... 29,800 198,356
*Versar, Inc.......................................... 46,100 106,606
*Vertel Corp.......................................... 212,700 398,813
*Vertex Communications Corp........................... 43,300 920,125
Vesta Insurance Group, Inc............................ 81,100 319,331
*Vestcom Int'l, Inc................................... 63,000 220,500
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Viasat, Inc.......................................... 47,200 $ 1,222,775
*Viasoft, Inc......................................... 64,400 397,469
*Vical, Inc........................................... 105,200 2,281,525
*Vicon Industries, Inc................................ 46,250 271,719
*Vicorp Restaurants, Inc.............................. 64,900 1,139,806
*Vidamed, Inc......................................... 500 1,047
*Video Display Corp................................... 41,750 167,000
*Video Services Corp.................................. 17,700 53,100
*Videonics, Inc....................................... 32,400 32,906
*View Technology, Inc................................. 43,400 132,913
*Viisage Technology, Inc.............................. 21,000 69,563
*Virbac Corp.......................................... 16,800 34,650
Virco Manufacturing Corp.............................. 125,827 1,714,393
Virginia Gas Co....................................... 10,400 31,525
*Virtualfund.Com, Inc................................. 123,500 254,719
*#Vision Sciences, Inc................................ 23,250 25,430
*VisionAmerica, Inc................................... 52,800 155,100
*Vista Eyecare, Inc................................... 208,600 247,713
*Vista Medical Technologies, Inc...................... 95,000 40,078
Vital Signs, Inc...................................... 101,500 2,372,563
*Vitalcom, Inc........................................ 68,800 74,175
*#Vitech America, Inc................................. 51,780 394,013
*Vivid Technologies, Inc.............................. 92,200 545,997
*#Vivus, Inc.......................................... 70,900 158,417
*Vodavi Technology, Inc............................... 13,800 40,538
Vulcan International Corp............................. 10,951 339,481
*Vysis, Inc........................................... 89,000 285,078
*#WHX Corp............................................ 93,200 827,150
*WLR Foods, Inc....................................... 97,586 555,020
*WMF Group, Ltd....................................... 5,800 28,819
*WPI Group, Inc....................................... 51,850 140,967
WSFS Financial Corp................................... 12,200 174,994
Wainwright Bank & Trust Co............................ 200 1,538
*Walker Interactive Systems, Inc...................... 116,000 677,875
*Wall Street Deli, Inc................................ 14,800 20,350
*Warrantech Corp...................................... 133,500 133,500
Warren Bancorp, Inc................................... 162,800 1,327,838
*Washington Homes, Inc................................ 63,600 337,875
Washington Savings Bank FSB Waldorf, MD............... 28,912 97,578
*Waste Industries, Inc................................ 16,700 215,534
*Waterlink, Inc....................................... 105,100 328,438
Waters Instruments, Inc............................... 500 2,766
Watkins-Johnson Co.................................... 56,900 2,208,431
*Wave Technologies International, Inc................. 23,300 72,813
*Wavo Corp............................................ 158,900 633,117
*Waxman Industries, Inc. Class B...................... 9,750 3,998
*Webco Industries, Inc................................ 30,750 99,938
*Webhire, Inc......................................... 48,300 416,588
*Weirton Steel Corp................................... 197,800 630,488
Wellco Enterprises, Inc............................... 12,300 96,863
*Wells-Gardner Electronics Corp....................... 36,750 114,844
West Coast Bancorp.................................... 29,705 439,077
*West Marine, Inc..................................... 45,100 384,759
*Westaff, Inc......................................... 82,800 578,306
*Westell Technologies, Inc............................ 135,100 1,226,455
*Westerbeke Corp...................................... 20,000 51,250
Westerfed Financial Corp.............................. 29,300 483,450
*Western Beef, Inc.................................... 42,386 369,553
Western Ohio Financial Corp........................... 6,700 119,553
*Western Power & Equipment Corp....................... 9,900 21,656
*Western Water Co..................................... 71,400 95,944
</TABLE>
236
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Weston (Roy F.), Inc. Class A........................ 48,300 $ 107,166
*Westwood Homestead Financial Corp.................... 2,900 31,628
Weyco Group, Inc...................................... 1,200 29,550
*White Cap Industries, Inc............................ 91,600 1,313,888
*White Electronics Designs Corp....................... 55,800 198,788
*White Pine Software, Inc............................. 94,000 1,515,750
*Whitman Education Group, Inc......................... 118,700 259,656
*Wickes Lumber Co..................................... 66,500 337,695
*Williams Clayton Energy, Inc......................... 71,800 1,063,538
*Williams Controls, Inc............................... 87,100 179,644
*Willis Lease Finance Corp............................ 44,900 294,656
*Wilmar Industries, Inc............................... 107,000 1,464,563
*Wilshire Financial Sevices Group, Inc................ 1,002 1,190
*Wilshire Oil Co. of Texas............................ 142,975 554,028
*Wilsons The Leather Experts, Inc..................... 30,400 556,700
*Windmere Corp........................................ 4,900 70,131
*Wireless Telecom Group, Inc.......................... 149,200 363,675
Wiser Oil Co.......................................... 66,700 187,594
*Wolf (Howard B.), Inc................................ 6,000 750
Wolohan Lumber Co..................................... 49,100 599,941
Woodhead Industries, Inc.............................. 176,550 2,339,288
*Workflow Management, Inc............................. 59,000 1,390,188
*Workgroup Technology Corp............................ 42,900 46,922
*World Acceptance Corp................................ 174,000 853,688
World Fuel Services Corp.............................. 102,970 823,760
*Worldtalk Communications Corp........................ 58,700 520,963
*Worldtex, Inc........................................ 141,800 168,388
*Wyant Corp........................................... 666 1,394
X-Rite, Inc........................................... 103,000 685,594
*Xeta Corp............................................ 17,800 560,700
*Xetel Corp........................................... 59,900 111,377
*Xicor, Inc........................................... 128,500 1,224,766
*Xionics Document Technologies, Inc................... 69,500 514,734
*Xoma, Ltd............................................ 224,200 665,594
Yardville National Bancorp............................ 41,167 494,004
York Financial Corp................................... 58,748 745,365
York Group, Inc....................................... 51,800 220,959
*York Research Corp................................... 90,800 334,825
*Zamba Corporation.................................... 151,600 781,688
Zap.com Corp.......................................... 650 1,463
*Zapata Corp.......................................... 32,500 176,719
*Zaring National Corp................................. 20,300 92,619
*Zebra Technologies Corp. Class A..................... 47,520 2,861,595
*Zemex Corp........................................... 56,672 460,460
*Zevex International, Inc............................. 9,900 48,881
Ziegler Co., Inc...................................... 4,200 60,113
*Zila, Inc............................................ 6,435 19,908
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Zing Technologies, Inc............................... 13,300 $ 113,050
*#Zitel Corp.......................................... 100,200 147,169
*Zoll Medical Corp.................................... 50,500 1,732,781
*#Zoltek Companies, Inc............................... 15,600 180,863
*#Zonagen, Inc........................................ 22,900 124,877
*Zoran Corp........................................... 14,200 566,225
*Zygo Corp............................................ 67,400 1,301,663
*Zymetx, Inc.......................................... 9,000 18,984
*iNTELFILM Corp....................................... 35,800 90,619
--------------
TOTAL COMMON STOCKS
(Cost $1,242,520,703)................................ 1,303,135,013
--------------
RIGHTS/WARRANTS -- (0.0%)
*Arch Communications Group Inc. Warrants 09/01/03..... 23,245 12,349
*Buell Industries, Inc. Contingent Payment Rights..... 59,800 0
*Franklin Covey Co. Rights 11/30/99................... 104,000 0
*#Intercontinental Telecom Corp. Warrants 04/30/02.... 15,680 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 $422,535)...................................... 12,349
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (2.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $27,341,650) to be
repurchased at $26,932,965.
(Cost $26,929,000).................................. $ 26,929 26,929,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost$1,269,872,238)++............................... $1,330,076,362
==============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $1,269,879,690.
</TABLE>
See accompanying Notes to Financial Statements.
237
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (28.2%)
COMMON STOCKS -- (28.2%)
Aichi Bank, Ltd....................................... 10,500 $ 813,818
Aisin Seiki Co., Ltd.................................. 137,000 2,083,456
Amada Co., Ltd........................................ 376,000 2,134,168
Amano Corp............................................ 115,000 804,668
#Aomori Bank, Ltd..................................... 170,000 707,051
Aoyama Trading Co., Ltd............................... 41,100 977,374
Asahi Glass Co., Ltd.................................. 140,000 1,124,822
*Ashikaga Bank, Ltd................................... 808,000 1,739,589
Awa Bank, Ltd......................................... 196,600 1,010,079
Bank of Ikeda, Ltd.................................... 13,000 720,066
Bank of Iwate, Ltd.................................... 18,590 827,758
*Bank of Kinki, Ltd................................... 225,000 616,529
#Bank of Kyoto, Ltd................................... 347,400 2,039,829
Bank of Nagoya, Ltd................................... 185,000 1,140,578
#Bank of Saga, Ltd.................................... 215,000 786,906
Bank of Yokohama, Ltd................................. 978,000 4,431,314
#Best Denki Co., Ltd.................................. 153,000 1,497,284
Canon Sales Co., Inc.................................. 124,900 1,711,210
Casio Computer Co., Ltd............................... 60,000 408,670
#Chiba Bank, Ltd...................................... 941,000 5,037,206
Chiyoda Fire and Marine Insurance Co., Ltd............ 444,150 1,443,047
Chudenko Corp......................................... 84,460 1,472,894
#Chugoku Bank, Ltd.................................... 199,000 2,243,460
Citizen Watch Co., Ltd................................ 317,000 1,941,987
Cosmo Oil Co., Ltd.................................... 764,000 1,196,261
Dai Nippon Pharmaceutical Co., Ltd.................... 203,000 1,358,829
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 529,000 2,262,298
Daicel Chemical Industries, Ltd....................... 485,000 1,433,380
Daio Paper Corp....................................... 3,000 23,017
Daisan Bank, Ltd...................................... 68,000 299,457
Daishi Bank, Ltd...................................... 355,000 1,396,584
Daito Trust Construction Co., Ltd..................... 180,784 2,282,246
Daiwa Bank, Ltd....................................... 500,000 1,688,114
Daiwa House Industry Co., Ltd......................... 663,000 5,969,172
Daiwa Kosho Lease Co., Ltd............................ 193,000 746,049
*#Daiwa Securities Co., Ltd........................... 1,693,000 24,156,121
Dowa Fire & Marine Insurance Co., Ltd................. 383,000 993,247
Ehime Bank, Ltd....................................... 143,000 629,740
#Eighteenth Bank, Ltd................................. 226,000 875,823
Ezaki Glico Co., Ltd.................................. 174,600 837,246
Fuji Photo Film Co., Ltd.............................. 355,000 14,417,474
Fukui Bank, Ltd....................................... 343,000 899,584
#Fukuoka City Bank, Ltd............................... 264,532 1,255,546
#Fukuyama Transporting Co., Ltd....................... 266,000 1,900,278
Futaba Corp........................................... 16,000 613,789
Futaba Industrial Co., Ltd............................ 85,000 986,544
Hanshin Electric Railway Co., Ltd..................... 141,000 420,854
Higo Bank, Ltd........................................ 308,000 1,350,335
*Hino Motors, Ltd..................................... 398,000 1,265,841
Hiroshima Bank, Ltd................................... 593,000 2,303,870
Hitachi Construction Machinery Co., Ltd............... 64,000 328,815
#Hitachi Maxell, Ltd.................................. 96,000 2,574,154
Hitachi Metals, Ltd................................... 360,000 1,655,820
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
#Hitachi Transport System, Ltd........................ 138,000 $ 767,079
Hitachi, Ltd.......................................... 3,717,000 51,289,020
#Hokuetsu Bank........................................ 275,330 811,022
#Hokuetsu Paper Mills, Ltd............................ 162,000 1,255,605
*Hokuriku Bank, Ltd................................... 891,000 2,101,394
House Foods Corp...................................... 115,000 1,632,969
Hyakugo Bank, Ltd. (105th Bank)....................... 258,000 1,232,118
#Hyakujishi Bank, Ltd................................. 314,000 2,021,940
Inax Corp............................................. 309,000 1,829,475
*Itochu Corp.......................................... 1,000,000 5,949,991
Itoham Foods, Inc..................................... 284,000 1,270,127
Japan Pulp and Paper Co., Ltd......................... 27,000 87,195
Joyo Bank, Ltd........................................ 45,000 207,418
Juroku Bank, Ltd...................................... 349,000 1,591,564
KDD Corporation....................................... 14,500 2,000,782
Kagoshima Bank, Ltd................................... 266,000 1,174,008
Kajima Corp........................................... 826,000 2,780,681
Kamigumi Co., Ltd..................................... 357,000 1,519,743
Kandenko Co., Ltd..................................... 266,000 1,400,479
Kansai Paint Co., Ltd., Osaka......................... 108,000 271,625
Katokichi Co., Ltd.................................... 72,000 1,807,310
*Kikkoman Corp........................................ 256,000 1,969,134
Kinden Corp........................................... 67,000 538,308
Kissei Pharmaceutical Co., Ltd........................ 40,000 670,157
Koa Fire & Marine Insurance Co., Ltd.................. 45,000 136,077
*Kobe Steel, Ltd...................................... 2,632,000 2,009,061
Koito Manufacturing Co., Ltd.......................... 146,000 685,815
Kokusai Securities Co., Ltd........................... 100,000 1,590,253
Komatsu, Ltd.......................................... 1,279,000 7,196,994
#Komori Corp.......................................... 74,000 1,451,974
Konica Corp........................................... 71,000 284,875
Koyo Seiko Co......................................... 198,000 1,937,662
Kureha Chemical Industry Co., Ltd..................... 263,000 710,358
Lion Corp............................................. 320,000 1,227,577
Makita Corp........................................... 209,000 1,902,138
*Marubeni Corp........................................ 1,942,000 7,544,882
Maruichi Steel Tube, Ltd.............................. 117,000 1,488,476
#Matsushita Electric Industrial Co., Ltd.............. 1,933,000 48,899,580
#Matsushita Electric Works, Ltd....................... 190,000 1,831,482
Michinoku Bank, Ltd................................... 187,000 1,125,458
Mitsubishi Chemical Corp.............................. 400,000 1,651,905
Mitsubishi Electric Corp.............................. 1,000,000 5,930,419
Mitsubishi Gas Chemical Co., Inc...................... 548,000 1,254,900
*Mitsubishi Materials Corp............................ 975,000 2,099,133
*#Mitsubishi Motors Corp.............................. 866,000 4,017,066
Mitsui Chemicals, Inc................................. 800 6,545
*Mitsui Engineering and Shipbuilding Co., Ltd......... 781,000 611,440
Mitsui Trust & Banking Co., Ltd....................... 1,030,000 3,175,123
#Mori Seiki Co., Ltd.................................. 121,000 1,657,777
Musashino Bank, Ltd................................... 26,000 1,208,592
*NKK Corp............................................. 2,612,000 2,070,479
NTN Corp.............................................. 398,000 1,382,688
Nanto Bank, Ltd....................................... 288,000 2,260,370
*National House Industrial Co., Ltd................... 95,000 669,374
Nichicon Corp......................................... 54,000 1,194,304
Nichirei Corp......................................... 366,000 1,020,795
Nifco, Inc............................................ 45,000 543,866
</TABLE>
238
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Nikko Securities Co., Ltd............................. 800,000 $ 9,942,748
*Nippon Credit Bank, Ltd.............................. 1,683,000 0
Nippon Mitsubishi Oil Company......................... 1,598,000 7,052,873
Nippon Sanso Corp..................................... 367,000 1,149,288
Nippon Sheet Glass Co., Ltd........................... 200,000 1,158,682
Nippon Shokubai Co., Ltd.............................. 163,000 749,718
#Nishimatsu Construction Co., Ltd..................... 359,000 1,612,575
#Nishi-Nippon Bank, Ltd............................... 23,540 100,900
Nissei Sangyo Co., Ltd................................ 110,050 1,626,222
Nisshin Flour Milling Co., Ltd........................ 96,000 702,725
Nisshin Steel Co., Ltd................................ 1,318,000 1,354,308
*Nisshinbo Industries, Inc............................ 305,000 1,540,147
*Nissho Iwai Corp..................................... 544,000 489,778
Obayashi Corp......................................... 520,000 2,666,535
Ogaki Kyoritsu Bank, Ltd.............................. 50,000 244,654
Oita Bank, Ltd........................................ 145,000 737,877
Oji Paper Co., Ltd.................................... 275,000 1,762,734
*Oki Electric Industry Co., Ltd....................... 400,000 2,372,167
Okumura Corp.......................................... 322,000 1,087,146
Pioneer Electronic.................................... 182,000 4,051,963
*#Q.P. Corp........................................... 168,000 1,175,515
#Ryosan Co., Ltd...................................... 53,000 1,296,667
Sakura Bank, Ltd...................................... 816,000 6,029,063
San In Godo Bank, Ltd................................. 222,000 1,640,260
Sanyo Electric........................................ 2,565,000 10,166,117
Seino Transportation Co., Ltd......................... 197,000 1,185,643
Sekisui Chemical Co., Ltd............................. 557,000 2,643,685
#Sekisui House, Ltd................................... 938,000 9,087,633
Sharp Corp. Osaka..................................... 200,000 4,080,833
#Shiga Bank, Ltd...................................... 272,000 1,330,919
Shimachu Co., Ltd..................................... 20,200 286,637
Shimadzu Corp......................................... 181,000 743,945
Shimizu Corp.......................................... 997,000 3,375,857
Shinwa Bank, Ltd...................................... 50,000 144,835
Shionogi & Co., Ltd................................... 455,000 5,387,775
Showa Shell Sekiyu KK................................. 75,000 427,900
Snow Brand Milk Products Co., Ltd..................... 419,000 1,701,668
#Stanley Electric Co., Ltd............................ 246,000 1,379,439
Sumitomo Corp......................................... 918,000 8,938,785
Sumitomo Forestry Co., Ltd............................ 136,000 971,571
*Sumitomo Metal Industries, Ltd. Osaka................ 1,481,000 1,420,345
*Sumitomo Metal Mining Co., Ltd....................... 313,000 713,696
#Sumitomo Realty & Development Co., Ltd............... 488,000 1,814,747
Sumitomo Trust & Banking Co., Ltd..................... 21,000 180,026
TEC Corp.............................................. 345,000 1,083,769
TOC Co., Ltd.......................................... 950 6,536
Taiheiyo Cement Corp.................................. 746,000 1,467,397
#Taisei Corp.......................................... 1,325,000 2,813,768
Takara Standard Co., Ltd.............................. 175,000 899,104
#Takashimaya Co., Ltd................................. 214,000 1,803,141
Tanabe Seiyaku Co., Ltd............................... 167,000 1,039,409
Teijin, Ltd........................................... 917,000 4,110,054
Teikoku Oil Co., Ltd.................................. 346,000 1,195,263
Toda Corp............................................. 418,000 1,587,160
Toho Bank, Ltd........................................ 240,000 1,087,439
Tokuyama Corp......................................... 248,000 944,091
Tokyo Style Co., Ltd.................................. 133,000 1,184,420
*Tokyo Tomin Bank, Ltd................................ 30,900 922,298
Tostem Corp........................................... 188,000 3,376,033
Toto, Ltd............................................. 247,000 1,510,740
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Toyo Seikan Kaisha, Ltd............................... 287,600 $ 5,150,539
Toyo Suisan Kaisha, Ltd............................... 116,000 896,805
#Toyo Trust & Banking Co., Ltd........................ 715,000 3,792,434
Toyobo Co., Ltd....................................... 468,000 677,829
Toyota Auto Body Co., Ltd............................. 86,000 683,388
#Toyota Tsusho Corp................................... 314,000 983,314
UNY Co., Ltd.......................................... 5,000 52,356
Victor Co. of Japan, Ltd.............................. 246,000 1,687,586
Wacoal Corp........................................... 149,000 1,328,365
Yamagata Bank, Ltd.................................... 153,700 782,150
#Yamaguchi Bank....................................... 133,000 1,145,373
Yamaha Corp........................................... 3,000 27,480
Yamatake-Honeywell Co., Ltd........................... 87,000 634,291
*Yasuda Trust & Banking Co., Ltd...................... 1,434,000 2,764,573
Yodogawa Steel Works, Ltd............................. 296,000 941,429
Yokogawa Electric Corp................................ 337,000 2,199,725
Yokohama Rubber Co., Ltd.............................. 404,000 937,006
--------------
TOTAL COMMON STOCKS
(Cost $490,065,450).................................. 467,032,699
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $740,472)..................................... 741,992
--------------
TOTAL -- JAPAN
(Cost $490,805,922).................................. 467,774,691
--------------
UNITED KINGDOM -- (17.5%)
COMMON STOCKS -- (17.5%)
Aggregate Industries P.L.C............................ 1,300,668 1,465,648
*Allied Domecq P.L.C. (New)........................... 146,994 781,372
Anglian Water P.L.C................................... 151,281 1,595,068
Antofagasta Holdings P.L.C............................ 38,000 255,104
Arjo Wiggins Appleton P.L.C........................... 814,500 2,477,771
Associated British Foods P.L.C........................ 766,096 3,816,078
Associated British Ports Holdings P.L.C............... 375,400 1,778,762
BAA P.L.C............................................. 1,083,993 7,656,968
BG P.L.C.............................................. 2,574,617 13,511,537
BOC Group P.L.C....................................... 143,513 2,955,469
BPB P.L.C............................................. 458,500 2,404,373
Barclays P.L.C........................................ 352,777 10,169,873
Barratt Developments P.L.C............................ 226,000 1,090,656
Bass P.L.C............................................ 682,070 7,680,427
Beazer Group P.L.C.................................... 239,257 558,263
Berkeley Group P.L.C.................................. 122,792 1,291,753
Blue Circle Industries P.L.C.......................... 338,731 1,940,852
Britannic P.L.C....................................... 181,600 3,065,903
British Airways P.L.C................................. 935,331 5,597,589
British Land Co. P.L.C................................ 502,381 3,620,666
British Vita P.L.C.................................... 216,100 831,206
Brixton Estate P.L.C.................................. 235,685 852,108
Burford Holdings P.L.C................................ 337,000 571,632
CGU P.L.C............................................. 1,226,541 18,558,479
Capital Shopping Centres P.L.C........................ 395,375 2,484,236
Caradon P.L.C......................................... 214,000 550,456
Carillion P.L.C....................................... 194,858 346,043
Chelsfield P.L.C...................................... 236,036 1,234,953
Chorion P.L.C......................................... 98,404 62,692
Cookson Group P.L.C................................... 598,560 2,357,115
*Corus Group P.L.C.................................... 2,724,027 5,531,696
Enterprise Oil P.L.C.................................. 354,000 2,537,187
Glynwed International P.L.C........................... 140,000 497,244
</TABLE>
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<S> <C> <C>
Great Portland Estates P.L.C.......................... 197,275 $ 596,984
Great Universal Stores P.L.C.......................... 814,600 5,455,658
Greenalls Group P.L.C................................. 255,461 1,196,213
Hammerson P.L.C....................................... 280,000 2,040,262
Hanson P.L.C.......................................... 400,000 3,335,135
Hilton Group P.L.C.................................... 1,251,117 4,015,223
Hyder P.L.C........................................... 90,415 616,341
Imperial Chemical Industries P.L.C.................... 300,000 3,058,003
Invensys P.L.C........................................ 379,594 1,765,383
Johnson Matthey P.L.C................................. 178,000 1,885,291
Lasmo P.L.C........................................... 936,935 1,850,410
Lex Service P.L.C..................................... 121,933 922,469
Lonmin P.L.C.......................................... 232,440 2,087,982
Marks & Spencer P.L.C................................. 158,500 634,898
Mersey Docks & Harbour Co. P.L.C...................... 53,050 374,728
Meyer International P.L.C............................. 102,281 608,446
Millennium and Copthorne Hotels P.L.C................. 219,300 1,336,001
National Westminster Bank P.L.C....................... 1,145,655 26,293,872
Norwich Union P.L.C................................... 871,000 6,155,924
Peel Holdings P.L.C................................... 45,400 415,777
Peninsular & Oriental Steam Navigation Co............. 68,000 997,482
Pilkington P.L.C...................................... 1,094,837 1,525,788
Pillar Property P.L.C................................. 21,250 108,304
Powergen P.L.C........................................ 443,177 3,808,074
RMC Group P.L.C....................................... 252,000 3,078,454
Rank Group P.L.C...................................... 793,530 2,474,012
Rexam P.L.C........................................... 402,813 1,599,099
Rio Tinto P.L.C....................................... 624,863 12,241,274
Rolls-Royce P.L.C..................................... 331,808 1,006,743
Royal & Sun Alliance Insurance Group P.L.C............ 1,446,370 8,880,563
Rugby Group P.L.C..................................... 549,000 1,112,671
Safeway P.L.C......................................... 1,069,564 3,142,967
Sainsbury (J.) P.L.C.................................. 1,547,284 7,627,240
Scottish & Newcastle P.L.C............................ 322,000 2,464,257
Severn Trent P.L.C.................................... 210,597 2,636,401
Shell Transport & Trading Co., P.L.C.................. 1,800,000 13,818,352
Signet Group P.L.C.................................... 803,000 773,762
Slough Estates P.L.C.................................. 399,400 2,220,088
Smith (David S.) Holdings P.L.C....................... 298,000 821,106
Somerfield P.L.C...................................... 165,142 227,515
South West Water P.L.C................................ 44,765 578,937
Tarmac P.L.C.......................................... 197,367 1,741,495
Tate & Lyle P.L.C..................................... 443,200 3,022,970
Taylor Woodrow P.L.C.................................. 396,277 949,887
Tesco P.L.C........................................... 4,395,931 11,867,446
Thames Water P.L.C.................................... 165,347 2,295,094
Thistle Hotels P.L.C.................................. 466,707 1,319,409
Trinity P.L.C......................................... 220,450 1,929,365
Unigate P.L.C......................................... 233,600 1,117,101
Unilever P.L.C........................................ 800,000 5,835,689
United Assurance Group P.L.C.......................... 335,000 1,947,486
United Biscuits Holdings P.L.C........................ 484,668 1,760,013
United Utilities P.L.C................................ 265,595 2,474,642
Whitbread P.L.C....................................... 483,242 4,629,531
Wilson Bowden P.L.C................................... 96,900 1,049,468
<CAPTION>
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<S> <C> <C>
Wimpey (George) P.L.C................................. 348,650 $ 696,899
Wolseley P.L.C........................................ 100,678 741,222
Yorkshire Water P.L.C................................. 161,510 874,611
--------------
TOTAL COMMON STOCKS
(Cost $245,539,711).................................. 290,169,596
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $360)......................................... 356
--------------
TOTAL -- UNITED KINGDOM
(Cost $245,540,071).................................. 290,169,952
--------------
FRANCE -- (10.0%)
COMMON STOCKS -- (10.0%)
AGF (Assurances Generales de France SA)............... 82,914 4,558,283
Banque Nationale de Paris............................. 324,843 29,764,301
*Banque Nationale de Paris Certified Value Rights
07/15/02............................................ 58,864 252,488
Bongrain SA........................................... 1,653 524,281
Christian Dior SA..................................... 31,100 5,589,583
Colas SA.............................................. 5,070 994,438
Credit Commercial de France........................... 30,000 3,655,000
Eridania Beghin-Say SA................................ 18,900 2,112,348
Esso SA............................................... 8,476 640,078
*#Euro Disney SCA..................................... 758,586 695,068
Faurecia SA........................................... 6,750 375,506
Fonciere Lyonnaise SA................................. 2,168 279,197
Fromageries Bel la Vache qui Rit...................... 275 192,857
GTM Entrepose......................................... 21,077 1,995,944
Generale des Establissements Michelin SA Series B..... 59,300 2,376,395
Groupe Danone......................................... 42,500 9,855,159
Hachette Filipacchi Medias............................ 6,500 334,438
Imetal................................................ 11,000 1,417,697
LaFarge SA............................................ 76,032 7,169,436
Labinal SA............................................ 6,400 702,404
#Lyonnais des Eaux SA................................. 30,000 4,419,228
Pechiney SA Series A.................................. 55,475 3,214,574
Pernod-Ricard......................................... 38,900 2,216,904
Peugeot SA............................................ 37,150 7,275,439
#Rallye SA............................................ 17,220 1,213,702
*Remy Cointreau SA.................................... 27,400 551,774
Rhone-Poulenc SA Series A............................. 156,000 9,660,075
SEB SA................................................ 9,000 518,345
Saint-Gobain.......................................... 65,436 11,134,846
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 200 33,207
Societe Generale Paris................................ 70,432 15,176,254
Sophia SA............................................. 7,700 303,221
Thomson-CSF........................................... 87,203 2,529,621
*Total SA............................................. 224,612 29,875,635
Union Assurances Federales SA......................... 7,500 906,198
Usinor................................................ 167,800 2,568,126
--------------
TOTAL COMMON STOCKS
(Cost $99,988,048)................................... 165,082,050
--------------
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<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants
06/15/00............................................ 41,214 $ 145,242
*Fonciere Lyonnaise SA Warrants 07/30/02.............. 868 271
--------------
TOTAL RIGHTS/WARRANTS
(Cost $180,303)...................................... 145,513
--------------
TOTAL -- FRANCE
(Cost $100,168,351).................................. 165,227,563
--------------
GERMANY -- (9.6%)
COMMON STOCKS -- (9.6%)
AGIV AG fuer Industrie & Verkehrswesen................ 57,800 1,073,754
#BASF AG.............................................. 640,050 29,419,512
BHW Holding AG, Berlin................................ 167,300 2,947,914
*Bankgesellschaft Berlin AG........................... 233,550 3,644,957
Bayer AG.............................................. 168,100 7,083,436
Bayerische Vereinsbank AG............................. 290,000 17,987,031
Berliner Kraft & Licht Bewag AG....................... 177,600 2,011,760
Bilfinger & Berger Bau AG, Mannheim................... 46,500 856,811
Commerzbank AG........................................ 408,050 13,147,529
Continental AG........................................ 44,100 870,313
DBV Holding AG........................................ 44,000 2,259,455
Deutsche Bank AG...................................... 359,305 23,389,049
Deutsche Lufthansa AG................................. 305,250 6,731,015
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 46,400 3,499,295
Dresdner Bank AG...................................... 331,200 15,340,126
Dyckerhoff AG......................................... 22,750 733,014
FPB Holding AG........................................ 5,789 932,619
Fresenius Medical Care AG............................. 37,600 3,070,361
GEA AG................................................ 11,799 356,408
#Heidelberger Zement AG, Heidelberg................... 27,170 2,051,784
Hochtief AG........................................... 91,150 3,482,966
*Holzmann (Philipp) AG................................ 1,860 48,318
Karstadt Quelle AG.................................... 70,000 2,382,295
Linde AG.............................................. 76,000 3,787,909
*#MAN AG.............................................. 140,000 4,257,119
Merck KGAA............................................ 58,000 1,751,984
PWA Papierwerke Waldhof-Aschaffenburg AG.............. 3,550 714,890
*Thyssen Krupp AG..................................... 108,750 2,797,699
Vereins & Westbank AG................................. 73,187 2,092,826
--------------
TOTAL -- GERMANY
(Cost $121,446,796).................................. 158,722,149
--------------
NETHERLANDS -- (7.1%)
COMMON STOCKS -- (7.1%)
ABN Amro Holding NV................................... 1,320,538 32,137,222
Asr Verzekeringsgroep NV.............................. 41,171 2,379,491
Buhrmann NV........................................... 80,524 1,265,637
DSM NV................................................ 124,392 4,258,456
Fortis (NL)........................................... 558,051 19,121,265
Ing Groep NV.......................................... 732,972 41,218,420
KLM (Koninklijke Luchtvaart Mij) NV................... 61,019 1,492,980
Koninklijke KPN NV.................................... 20,966 1,167,419
*Koninklijke Vopak NV................................. 38,986 1,026,505
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
NV Holdingsmij de Telegraaf........................... 6,800 $ 132,144
*Philips Electronics NV............................... 101,200 12,314,249
Vendex NV (non-food).................................. 11,391 300,500
--------------
TOTAL -- NETHERLANDS
(Cost $58,429,322)................................... 116,814,288
--------------
SWITZERLAND -- (6.7%)
COMMON STOCKS -- (6.7%)
Ascom Holding AG, Bern................................ 1,410 3,000,132
Baloise-Holding, Basel................................ 26,676 21,412,836
Banque Cantonale Vaudois.............................. 5,795 1,784,893
Bobst SA, Prilly...................................... 513 596,556
Ciba Spezialitaetenchemie Holding AG.................. 2,100 151,803
Financiere Richemont AG............................... 8,973 20,022,975
Fischer (Georg) AG, Schaffhausen (Namen).............. 12,987 4,036,804
Helvetia Patria Holding, St. Gallen................... 4,830 3,734,348
Holderbank Financiere Glarus AG, Glarus............... 936 1,172,589
Intershop Holding AG, Zuerich......................... 5,400 3,211,053
Jelmoli Holding AG, Zuerich........................... 500 557,867
*#Oerlikon-Buehrle Holding AG, Zuerich................ 44,781 7,684,560
Pargesa Holding SA, Geneve............................ 1,935 3,101,585
Roche Holding AG, Basel............................... 892 14,886,478
Sairgroup, Zuerich.................................... 37,480 7,715,667
Schindler Holding AG, Hergiswil....................... 3,469 5,047,983
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 8,066 4,431,311
Sika Finanz AG, Baar.................................. 1,280 411,948
*Sulzer AG, Winterthur................................ 8,280 5,157,824
United Bank of Switzerland............................ 7,000 1,914,035
--------------
TOTAL COMMON STOCKS
(Cost $83,540,662)................................... 110,033,247
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $195)......................................... 191
--------------
TOTAL -- SWITZERLAND
(Cost $83,540,857)................................... 110,033,438
--------------
ITALY -- (4.1%)
COMMON STOCKS -- (4.1%)
#Banca Commerciale Italiana SpA....................... 3,565,000 18,127,240
#Banca di Roma........................................ 7,168,500 9,599,767
Banca Toscana......................................... 607,000 2,163,579
*Beni Stabili SpA, Roma............................... 500,000 175,702
CIR SpA (Cie Industriale Riunite), Torino............. 885,000 2,129,717
Cartiere Burgo SpA.................................... 235,000 1,597,175
*Fabbrica Italiana Magneti Marelli SpA................ 350,000 1,180,575
Fiat SpA.............................................. 399,789 10,933,051
Ifil Finanziaria Partecipazioni SpA................... 510,187 3,955,496
#Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 364,000 4,453,059
#Montedison SpA....................................... 2,836,600 4,341,327
#San Paolo-Imi SpA.................................... 500,000 6,242,700
</TABLE>
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#Sirti SpA............................................ 25,000 $ 151,285
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 168,350 1,879,860
--------------
TOTAL COMMON STOCKS
(Cost $46,599,116)................................... 66,930,533
--------------
RIGHTS/WARRANTS -- (0.0%)
*Finmeccanica SpA Warrants 06/30/00................... 2,406,375 107,821
--------------
TOTAL -- ITALY
(Cost $46,599,116)................................... 67,038,354
--------------
SPAIN -- (3.1%)
COMMON STOCKS -- (3.1%)
Aceralia Corporacion Siderurgica SA................... 22,500 263,477
Acerinox SA........................................... 154,740 4,759,865
Aumar (Autopistas del Mare Nostrum SA)................ 176,800 3,031,640
Autopistas Concesionaria Espanola SA.................. 453,789 4,646,818
Azucarera Ebro Agricolas SA........................... 111,600 1,794,527
Banco Pastor SA, La Coruna............................ 39,600 1,512,771
Cementos Portland SA.................................. 26,000 650,550
Cia Espanola de Petroleous SA......................... 449,382 4,524,769
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 36,300 619,523
Cristaleria Espanola SA, Madrid....................... 40,544 1,694,164
ENDESA SA, Madrid..................................... 190,892 3,786,472
Grupo Dragados SA, Madrid............................. 456,567 4,183,374
Hidroelectrica del Cantabrico SA...................... 299,700 4,300,138
Iberdrola SA.......................................... 535,000 7,455,395
Metrovacesa SA........................................ 94,462 1,678,737
Union Electrica Fenosa SA............................. 230,000 3,876,717
Vallehermoso SA....................................... 240,000 1,783,398
--------------
TOTAL -- SPAIN
(Cost $46,334,105)................................... 50,562,335
--------------
AUSTRALIA -- (2.7%)
COMMON STOCKS -- (2.7%)
Amcor, Ltd............................................ 505,844 2,195,589
#Boral, Ltd........................................... 1,040,426 1,541,019
CSR, Ltd.............................................. 842,897 2,020,025
Colonial, Ltd......................................... 242,133 965,078
*GIO Australia Holdings, Ltd.......................... 161,533 251,575
Goodman Fielder, Ltd.................................. 329,786 295,592
MIM Holdings.......................................... 1,407,905 1,172,426
Mayne Nickless, Ltd................................... 92,828 241,938
News Corp., Ltd....................................... 1,169,358 10,116,878
Normandy Mining, Ltd.................................. 460,290 330,637
North, Ltd............................................ 420,283 825,546
Pacific Dunlop, Ltd................................... 756,467 1,014,643
*Pasminco, Ltd........................................ 292,385 278,796
Pioneer International, Ltd............................ 658,231 1,928,946
Quantas Airways, Ltd.................................. 906,085 2,378,811
Rio Tinto, Ltd........................................ 497,496 8,712,687
Santos, Ltd........................................... 157,503 420,513
#St. George Bank, Ltd................................. 120,080 731,269
Stockland Trust Group................................. 162,426 340,730
Suncorp-Metway Limited................................ 52,500 271,326
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
WMC, Ltd.............................................. 844,189 $ 3,874,519
Westpac Banking Corp.................................. 715,661 4,815,475
--------------
TOTAL COMMON STOCKS
(Cost $40,727,467)................................... 44,724,018
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $12,183)...................................... 12,077
--------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $126)......................................... 92 173
--------------
TOTAL -- AUSTRALIA
(Cost $40,739,776)................................... 44,736,268
--------------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.6%)
Assidomaen AB......................................... 213,850 3,597,272
*#Boliden, Ltd........................................ 57,213 154,793
Fastighets AB Balder.................................. 8,000 95,047
Gambro AB Series A.................................... 42,500 439,946
*Gambro AB Series B................................... 15,900 163,656
Invik and Co.......................................... 32 2,447
Invik and Co. AB Series B............................. 360 28,796
Kinnevik Industrifoervaltnings AB Series A............ 3,200 79,049
Kinnevik Industrifoervaltnings AB Series B............ 36,000 927,416
Mo Och Domsjoe AB Series A............................ 6,300 204,540
Mo Och Domsjoe AB Series B............................ 118,300 3,868,633
NCC AB Series A....................................... 45,400 469,966
NCC AB Series B....................................... 95,000 988,997
SSAB Swedish Steel Series A........................... 129,900 1,665,573
SSAB Swedish Steel Series B........................... 48,000 604,161
Skandinaviska Enskilda Banken Series A................ 100,000 952,825
Svedala Industri...................................... 28,700 481,088
Svenska Cellulosa AB Series A......................... 57,000 1,575,690
#Svenska Cellulosa AB Series B........................ 217,600 6,053,659
Svenska Handelsbanken Series A........................ 240,000 3,274,893
*Svenska Kullagerfabriken AB
Series A............................................ 68,400 1,460,362
Svenska Kullagerfabriken AB
Series B............................................ 89,700 1,999,538
Sydkraft AB Series C.................................. 6,600 117,233
Trelleborg AB Series B................................ 146,400 1,214,110
Volvo AB Series A..................................... 192,600 4,644,491
Volvo AB Series B..................................... 305,100 7,411,228
--------------
TOTAL COMMON STOCKS
(Cost $38,625,606)................................... 42,475,409
--------------
RIGHTS/WARRANTS -- (0.0%)
*Skandinaviska Enskilda Banken Series A Rights
12/14/99
(Cost $0)........................................... 100,000 108,222
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $4,023)....................................... 3,950
--------------
TOTAL -- SWEDEN
(Cost $38,629,629)................................... 42,587,581
--------------
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HONG KONG -- (2.4%)
COMMON STOCKS -- (2.4%)
Amoy Properties, Ltd.................................. 4,570,500 $ 3,530,966
HKR International, Ltd................................ 1,077,384 690,148
Hang Lung Development Co., Ltd........................ 2,126,000 2,203,625
Hysan Development Co., Ltd............................ 1,683,822 2,005,471
Kerry Properties, Ltd................................. 1,261,000 1,501,881
New World Development Co., Ltd........................ 1,932,105 3,831,158
*Shangri-La Asia, Ltd................................. 2,982,000 3,494,038
*Sino Hotels (Holdings), Ltd.......................... 353,653 44,625
Sino Land Co., Ltd.................................... 4,915,200 2,341,647
Swire Pacific, Ltd. Series A.......................... 1,062,000 6,098,710
*Tsim Sha Tsui Properties, Ltd........................ 1,174,000 748,259
Wharf Holdings, Ltd................................... 3,776,914 9,580,361
#Wheelock and Co., Ltd................................ 3,243,000 3,298,774
--------------
TOTAL COMMON STOCKS
(Cost $53,728,027)................................... 39,369,663
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $6,434)....................................... 6,440
--------------
TOTAL -- HONG KONG
(Cost $53,734,461)................................... 39,376,103
--------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Asko Oyj.............................................. 20,000 318,176
#Enso Oy Series A..................................... 172,971 2,438,272
Enso Oy Series R...................................... 300,000 4,262,153
Kemira Oyj............................................ 229,200 1,333,900
Kesko Oyj............................................. 141,500 1,513,080
#Metra Oyj Series B................................... 43,200 725,539
#Metsa-Serla Oyj Series B............................. 337,500 3,330,279
*Metso Oyj............................................ 112,709 1,219,966
Outokumpu Oyj Series A................................ 301,300 3,412,970
Rautaruukki Oy Series K............................... 237,100 1,408,524
Upm-Kymmene Oyj....................................... 48,900 1,634,661
--------------
TOTAL -- FINLAND
(Cost $21,481,132)................................... 21,597,520
--------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Banque Bruxelles Lambert VVPR......................... 128 3
*Bekaert SA........................................... 34,000 1,727,114
Cimenteries CBR Cementsedrijoen....................... 11,500 1,175,289
Cofinimmo SA.......................................... 300 30,962
Credit Communal Holding Dexia Belgium................. 5,400 880,825
Electrafina SA........................................ 8,000 902,976
*Fortis AG............................................ 32,270 136,467
Fortis AG VVPR........................................ 290,430 2,924
Glaverbel SA.......................................... 14,812 1,312,433
Glaverbel SA VVPR..................................... 22 0
Groupe Bruxelles Lambert SA, Bruxelles................ 6,300 1,085,988
Nationale a Portefeuille.............................. 4,029 354,966
Sofina SA............................................. 10,500 396,568
Solvay SA............................................. 101,490 7,561,984
Suez Lyonnaise des Eaux............................... 19,080 2,806,786
*Suez Lyonnaise des Eaux SA VVPR...................... 19,080 192
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Suez Lyonnaise ds Eaux CVG........................... 19,080 $ 230,537
Tessenderlo Chemie.................................... 14,400 643,763
Union Miniere SA...................................... 40,200 1,477,406
--------------
TOTAL -- BELGIUM
(Cost $19,005,474)................................... 20,727,183
--------------
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
Den Danske Bank A.S................................... 44,140 5,018,740
*Forsikringsselskabet Codan A.S. Issue 99............. 2,554 201,009
*Jyske Bank A.S....................................... 49,950 988,341
Kapital Holdings A.S.................................. 32,497 1,576,941
Tele Danmark A.S...................................... 60,000 3,865,817
Unidanmark A.S. Series A.............................. 72,884 5,524,632
--------------
TOTAL COMMON STOCKS
(Cost $13,665,852)................................... 17,175,480
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $70).......................................... 68
--------------
TOTAL -- DENMARK
(Cost $13,665,922)................................... 17,175,548
--------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Fraser & Neave, Ltd................................... 769,000 3,364,415
Keppel Corp., Ltd..................................... 1,379,000 3,660,960
Keppel Land, Ltd...................................... 600,000 971,440
Singapore Airlines, Ltd............................... 40,000 404,767
Singapore Land, Ltd................................... 1,048,000 2,470,315
--------------
TOTAL COMMON STOCKS
(Cost $13,906,783)................................... 10,871,897
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $2,101)....................................... 2,086
--------------
TOTAL -- SINGAPORE
(Cost $13,908,884)................................... 10,873,983
--------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
#Bergesen Dy ASA Series A............................. 105,892 1,563,121
Den Norske Bank ASA Series A.......................... 589,194 2,382,640
*Kvaerner ASA......................................... 59,851 1,128,489
Norsk Hydro ASA....................................... 31,700 1,238,661
Norske Skogindustrier ASA Series A.................... 52,781 2,337,375
--------------
TOTAL COMMON STOCKS
(Cost $10,772,768)................................... 8,650,286
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $181)......................................... 174
--------------
TOTAL -- NORWAY
(Cost $10,772,949)................................... 8,650,460
--------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Espirito Santo e Comercial de Lisboa............ 41,192 1,028,597
</TABLE>
243
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Cimpor Cimentos de Portugal SA........................ 85,253 $ 1,334,814
Portugal Telecom SA................................... 476,140 4,578,454
--------------
TOTAL -- PORTUGAL
(Cost $6,729,243).................................... 6,941,865
--------------
IRELAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Independent Newspapers P.L.C.......................... 245,186 1,283,748
Irish Permanent P.L.C................................. 37,534 374,146
Jefferson Smurfit Group P.L.C......................... 877,165 2,384,656
--------------
TOTAL -- IRELAND
(Cost $3,512,365).................................... 4,042,550
--------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Bank Austria AG....................................... 47,110 2,490,783
Voest-Alpine Stahl AG................................. 13,596 457,645
--------------
TOTAL -- AUSTRIA
(Cost $2,738,771).................................... 2,948,428
--------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Carter Holt Harvey, Ltd............................... 1,509,500 1,831,153
*Lion Nathan, Ltd..................................... 476,400 1,056,272
--------------
TOTAL COMMON STOCKS
(Cost $3,178,163).................................... 2,887,425
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $72).......................................... 71
--------------
TOTAL -- NEW ZEALAND
(Cost $3,178,235).................................... 2,887,496
--------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency (Cost $476,119)........................ $ 465,213
--------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Rekapacific Berhad
(Cost $1,085,453)................................... 691,000 83,647
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $3,495,625) to be
repurchased at $3,437,506.
(Cost $3,437,000)................................... $ 3,437 3,437,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,425,959,953)++.............................. $1,652,873,615
==============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $1,426,309,289.
</TABLE>
See accompanying Notes to Financial Statements.
244
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (98.2%)
COMMON STOCKS -- (98.2%)
*ASK Corp., Yokohama.................................. 64,000 $ 84,553
Achilles Corp......................................... 549,000 913,343
Aica Kogyo Co., Ltd................................... 164,000 1,073,699
*Aichi Corp........................................... 57,000 134,433
Aichi Machine Industry Co., Ltd....................... 157,000 330,332
Aichi Steel Works, Ltd................................ 292,000 742,966
Aichi Tokei Denki Co., Ltd............................ 67,000 219,651
Aida Engineering, Ltd................................. 160,000 505,749
Airport Facilities Co., Ltd........................... 37,000 213,632
*Akai Electric Co., Ltd............................... 363,000 241,562
*#Akebono Brake Industry Co., Ltd..................... 141,000 303,567
Amada Metrecs Co., Ltd................................ 102,000 486,118
#Amada Sonoike Co., Ltd............................... 132,000 260,938
*#Amada Wasino Co., Ltd............................... 122,000 125,361
Ando Corp............................................. 120,000 241,914
Anest Iwata Corp...................................... 74,000 133,248
*#Aoki Corp........................................... 70,000 35,622
Aoki International Co., Ltd........................... 74,200 270,122
Arai-Gumi, Ltd........................................ 49,300 92,632
Araya Industrial Co., Ltd............................. 84,000 105,221
Asahi Denka Kogyo KK.................................. 169,000 1,028,703
Asahi Diamond Industrial Co., Ltd..................... 68,000 362,675
Asahi Kogyosha Co., Ltd............................... 48,000 132,466
Asahi Optical Co., Ltd................................ 102,000 261,526
Asahi Organic Chemicals Industry Co., Ltd............. 259,000 765,455
*Asahi Tec Corp....................................... 86,000 164,114
Asanuma Corp.......................................... 145,000 234,134
Ashimori Industry Co., Ltd............................ 84,000 185,781
*Asics Corp........................................... 333,000 443,196
*#Atsugi Nylon Industrial Co., Ltd.................... 254,000 313,197
Azel Corp., Tokyo..................................... 89,000 291,775
Bando Chemical Industries, Ltd........................ 213,000 452,327
Bank of Okinawa, Ltd.................................. 19,300 530,733
*#Bank of Osaka, Ltd.................................. 185,000 327,690
#Bank of the Ryukyus, Ltd............................. 20,280 297,695
Bunka Shutter Co., Ltd................................ 134,000 313,412
CKD Corp.............................................. 113,000 387,043
*Cabin Co., Ltd....................................... 67,000 101,629
Calpis Co., Ltd....................................... 66,000 300,983
Calsonic Corp......................................... 109,000 272,007
Canon Electronics, Inc................................ 22,000 236,825
Central Finance Co., Ltd.............................. 180,000 512,600
Central Glass Co., Ltd................................ 184,000 401,546
#Cesar Co............................................. 79,000 208,739
*#Chiba Kogyo Bank, Ltd............................... 38,100 439,594
Chino Corp............................................ 70,000 150,707
*Chisan Tokan Co., Ltd................................ 64,000 72,026
*Chiyoda Corp......................................... 162,000 328,169
*Chori Co., Ltd....................................... 175,000 200,372
Chuetsu Pulp and Paper Co., Ltd....................... 172,000 302,980
Chugai Ro Co., Ltd.................................... 139,000 395,841
Chugoku Marine Paints, Ltd............................ 111,000 254,186
Chugokukogyo Co., Ltd................................. 45,000 70,901
Chukyo Coca-Cola Bottling Co., Ltd.................... 40,000 420,414
Chukyo Sogo Bank, Ltd................................. 118,000 474,610
*Chuo Paperboard Co., Ltd............................. 31,000 32,764
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Chuo Spring Co., Ltd., Nagoya......................... 99,000 $ 324,558
Cleanup Corp.......................................... 41,000 184,567
*Co-Op Chemical Co., Ltd.............................. 80,000 93,947
*#Copal Co., Ltd...................................... 78,000 1,656,407
#D'urban, Inc......................................... 114,000 238,743
#Dai Nippon Toryo, Ltd................................ 193,000 349,415
Dai-Dan Co., Ltd...................................... 80,000 508,881
*Daido Concrete Co., Ltd.............................. 33,000 0
#Daido Hoxan, Inc..................................... 196,000 552,410
Daido Kogyo Co., Ltd.................................. 60,000 123,306
*Daido Steel Sheet Corp............................... 84,000 202,221
Daidoh, Ltd........................................... 54,000 133,699
Daihen Corp........................................... 205,000 407,251
Daiho Corp............................................ 96,000 172,863
Daiichi Cement Co., Ltd............................... 33,000 45,535
*Daiichi Chuo Kisen Kaisha............................ 390,000 232,813
*Dai-Ichi Hotel, Ltd., Tokyo.......................... 52,000 71,243
Dai-Ichi Jitsugyo Co., Ltd............................ 80,000 134,658
*#Dai-Ichi Katei Denki Co., Ltd....................... 91,000 75,696
*Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 47,000 243,773
*Dai-Ichi Securities Co., Ltd......................... 228,000 363,693
Daiken Corp........................................... 110,000 355,238
#Daiki Co., Ltd....................................... 31,000 417,135
*#Daikyo, Inc......................................... 268,000 773,695
#Daimei Telecom Engineering Corp...................... 66,000 704,017
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 163,000 574,252
Daiso Co., Ltd........................................ 112,000 217,018
*#Daisue Construction Co., Ltd........................ 185,000 181,044
*Daito Woolen Spinning & Weaving Co., Ltd., Tokyo..... 42,000 45,212
*#Daiwa Danchi Co., Ltd............................... 202,000 474,433
Daiwa Industries, Ltd................................. 42,000 128,238
Daiwa Seiko, Inc...................................... 145,000 305,084
Daiwabo Co., Ltd...................................... 262,000 341,009
*Dantani Corp......................................... 68,000 83,848
*Danto Corp........................................... 42,000 172,217
Denki Kogyo Co., Ltd.................................. 59,000 508,675
Deodeo Corp........................................... 14,200 153,833
Descente, Ltd......................................... 133,000 318,882
*Dijet Industrial Co., Ltd............................ 34,000 50,575
*Dynic Corp........................................... 52,000 99,741
Eagle Industry Co., Ltd............................... 43,000 145,599
*Enshu, Ltd........................................... 69,000 101,962
*FDK Corp............................................. 94,000 496,746
*First Baking Co., Ltd................................ 67,000 198,669
France Bed Co., Ltd................................... 193,000 1,135,127
Fudo Construction Co., Ltd............................ 201,000 363,899
*Fuji Car Manufacturing Co., Ltd...................... 36,000 47,561
Fuji Denki Reiki Co., Ltd............................. 81,800 420,267
Fuji Kiko Co., Ltd.................................... 51,000 87,342
*Fuji Kosan Co., Ltd.................................. 130,000 115,770
Fuji Kyuko Co., Ltd................................... 98,000 306,894
*Fuji Spinning Co., Ltd., Tokyo....................... 163,000 157,919
*Fujii & Co., Ltd..................................... 44,000 43,490
*Fujiko Co., Ltd...................................... 55,000 58,668
Fujirebio, Inc........................................ 75,000 492,489
*Fujiya Co., Ltd...................................... 190,000 474,140
Fukuda Corp........................................... 65,000 201,008
</TABLE>
245
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Fukushima Bank, Ltd................................... 90,000 $ 281,842
*Fukusuke Corp........................................ 95,000 190,586
*Furukawa Battery Co., Ltd............................ 45,000 87,195
*Furukawa Co., Ltd.................................... 208,000 346,039
Fuso Pharmaceutical Industries, Ltd................... 78,000 335,861
*Ga-jo-en Kanko KK.................................... 37,000 0
*#Gakken Co., Ltd..................................... 158,000 316,974
Gastec Service, Inc................................... 41,000 232,314
Godo Shusei Co., Ltd.................................. 74,000 162,940
*Godo Steel, Ltd...................................... 245,000 299,701
*Goldwin, Inc......................................... 47,000 71,292
Gourmet Kineya Co., Ltd............................... 31,000 232,079
*Graphtec Corp........................................ 39,000 72,516
Gun-Ei Chemical Industry Co., Ltd..................... 164,000 280,863
*Gunze Sangyo, Inc., Tokyo............................ 90,000 114,498
Hac Kimisawa Co., Ltd................................. 21,000 227,088
*Hakone Tozan Railway Co., Ltd........................ 52,000 160,297
Hakuyosha Co., Ltd.................................... 57,000 172,922
*#Hanshin Sogo Bank, Ltd.............................. 189,000 369,917
*Hanwa Co., Ltd....................................... 405,000 463,718
Harima Chemicals, Inc................................. 37,000 134,697
*Hayashikane Sangyo Co., Ltd.......................... 128,000 195,410
*Hazama Corp.......................................... 19,000 12,086
Heiwado Co., Ltd...................................... 49,000 345,256
#Hibiya Engineering, Ltd.............................. 60,000 434,506
Hisaka Works, Ltd..................................... 48,000 216,079
Hitachi Electronics, Ltd.............................. 100,000 551,940
Hitachi Medical Corp.................................. 28,000 346,626
Hitachi Plant Engineering & Construction Co., Ltd..... 204,000 503,087
Hitachi Powdered Metal Co., Ltd....................... 46,000 306,111
*#Hitachi Seiki Co., Ltd.............................. 141,000 208,357
Hochiki Corp.......................................... 42,000 138,924
*Hodogaya Chemical Co., Ltd........................... 100,000 166,365
*Hohsui Corp.......................................... 56,000 54,803
Hokkai Can Co., Ltd., Tokyo........................... 116,000 284,934
*Hokkaido Bank, Ltd................................... 100,000 158,536
Hokkaido Gas Co., Ltd................................. 87,000 160,914
Hokko Chemical Industry Co., Ltd...................... 41,000 98,703
*Hoko Fishing Co., Ltd................................ 79,000 78,084
*Hokuriku Electric Industry Co., Ltd.................. 112,000 201,673
Hokuriku Electrical Construction Co., Ltd............. 36,000 96,883
Hokushin Co., Ltd..................................... 39,900 86,684
Honen Corp............................................ 128,000 246,768
#Horiba, Ltd.......................................... 54,000 545,364
#Hosokawa Micron Corp................................. 40,000 235,651
*#Howa Machinery, Ltd................................. 181,000 228,497
*Ichida and Co., Ltd.................................. 78,000 70,989
Ichikawa Co., Ltd..................................... 49,000 82,478
Ichiken Co., Ltd...................................... 48,000 63,414
Ichikoh Industries, Ltd............................... 141,000 333,924
Idec Izumi Corp....................................... 60,000 733,963
#Ihara Chemical Industry Co., Ltd..................... 80,000 180,848
Iino Kaiun Kaisha, Ltd................................ 161,000 263,121
*Ikegai Corp.......................................... 90,000 103,048
*Ikegami Tsushinki Co., Ltd........................... 102,000 245,555
Inaba Denki Sangyo Co., Ltd........................... 22,000 315,193
Inabata and Co., Ltd., Osaka.......................... 85,000 346,871
Inageya Co., Ltd...................................... 56,000 460,889
Intec, Inc............................................ 19,000 297,871
*Inui Steamship Co., Ltd.............................. 31,000 26,090
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*#Iseki & Co., Ltd.................................... 322,000 $ 359,231
*Ishihara Sangyo Kaisha, Ltd.......................... 193,000 311,641
Ishii Iron Works Co., Ltd............................. 52,000 111,445
*Ishikawa Seisakusho, Ltd............................. 75,000 104,957
Ishizuka Glass Co., Ltd............................... 49,000 92,068
Itochu Fuel Corp...................................... 192,000 603,141
Itoki Crebio Corp..................................... 56,000 163,860
*Iwasaki Electric Co., Ltd............................ 110,000 258,355
*Iwatsu Electric Co., Ltd............................. 145,000 390,223
Izumi Co., Ltd........................................ 55,000 398,297
#Izutsuya Co., Ltd.................................... 70,000 295,249
*#JGC Corp............................................ 146,000 401,487
JMS Co., Ltd.......................................... 59,000 274,835
*#Janome Sewing Machine Co., Ltd...................... 224,000 243,323
Japan Aircraft Manufacturing Co., Ltd................. 70,000 159,612
Japan Aviation Electronics Industry, Ltd.............. 130,000 487,253
Japan Carlit Co., Ltd................................. 28,000 204,139
*Japan Coated Paper Manufacturing Co., Ltd............ 132,000 126,594
Japan Digital Laboratory Co., Ltd..................... 28,100 591,231
#Japan Foundation Engineering Co., Ltd................ 49,200 359,184
*Japan Metals & Chemicals Co., Ltd.................... 201,000 523,227
Japan Oil Transportation Co., Ltd..................... 45,000 77,947
*Japan Paperboard Industries Co., Ltd., Tokyo......... 127,000 306,982
Japan Pulp and Paper Co., Ltd......................... 99,000 319,714
*Japan Steel Works, Ltd............................... 308,000 446,093
Japan Storage Battery Co., Ltd........................ 63,000 221,950
Japan Transcity Corp.................................. 90,000 180,555
Japan Vilene Co., Ltd................................. 101,000 236,228
Japan Wool Textile Co., Ltd........................... 78,000 270,979
Jeol, Ltd............................................. 97,000 596,134
Joban Kosan Co., Ltd.................................. 101,000 168,029
#Joshin Denki Co., Ltd................................ 98,000 281,959
*#Jujiya Co., Ltd..................................... 161,000 165,435
Juken Sangyo Co., Ltd................................. 86,000 459,519
Juki Corp............................................. 153,000 250,046
#Kaga Electronics Co., Ltd............................ 17,000 190,654
#Kagawa Bank, Ltd..................................... 68,350 428,086
Kahma Co., Ltd........................................ 46,000 295,307
*#Kakuei (L.) Corp.................................... 100,000 68,503
Kamei Corp............................................ 59,000 334,305
Kanaden Corp.......................................... 50,000 310,222
Kanagawa Chuo Kotsu Co., Ltd.......................... 90,000 379,606
Kanamoto Co., Ltd..................................... 24,000 145,148
#Kanematsu Corp....................................... 204,500 202,128
Kanematsu Electronics, Ltd............................ 38,000 216,431
Kanematsu-NNK Corp.................................... 60,000 139,746
*Kansai Kisen Kaisha.................................. 184,000 122,445
Kansei Corp........................................... 93,000 254,832
Kanto Auto Works, Ltd., Yokosuka...................... 74,000 617,723
#Kanto Bank, Ltd...................................... 13,400 180,966
Kanto Denka Kogyo Co., Ltd............................ 83,000 232,304
Kanto Natural Gas Development Co., Ltd................ 104,000 465,117
*Kanto Special Steel Works, Ltd....................... 84,000 77,272
Kasei (C.I.) Co., Ltd................................. 46,000 185,017
Kasho Co., Ltd., Tokyo................................ 46,000 185,017
#Kasumi Co., Ltd...................................... 132,000 600,675
Katakura Chikkarin Co., Ltd........................... 17,000 68,542
</TABLE>
246
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Katakura Industries Co., Ltd.......................... 49,000 $ 240,720
Kato Works Co., Ltd................................... 82,000 138,827
Katsumura Construction Co., Ltd....................... 48,600 77,524
Kawada Industries, Inc................................ 76,000 175,525
Kawai Musical Instruments Manufacturing Co., Ltd...... 99,000 191,828
*Kawashima Textile Manufacturers, Ltd................. 126,000 163,997
Kawasho Corp.......................................... 222,000 295,464
Kawasho Gecoss Corp................................... 52,000 216,274
#Kayaba Industry Co., Ltd............................. 321,000 681,675
Keihin Co., Ltd....................................... 100,000 149,728
#Keiyo Co., Ltd....................................... 104,900 564,613
*Kimmon Manufacturing Co., Ltd........................ 41,000 64,197
Kimura Chemical Plants Co., Ltd....................... 27,000 47,561
*Kinki Nippon Tourist Co., Ltd........................ 133,000 367,040
Kinki Sharyo Co., Ltd., Nagaokakyo.................... 101,000 156,168
Kinseki, Ltd.......................................... 56,000 317,307
*Kinsho-Mataichi Corp................................. 42,000 43,157
*Kinugawa Rubber Industrial Co., Ltd.................. 83,000 79,601
Kioritz Corp.......................................... 96,000 134,345
#Kitagawa Iron Works Co., Ltd......................... 124,000 195,371
Kita-Nippon Bank, Ltd................................. 6,806 347,676
Kitano Construction Corp.............................. 116,000 289,475
*Kitz Corp............................................ 234,000 453,413
Koa Corp.............................................. 35,000 619,954
Koa Oil Co., Ltd...................................... 120,000 352,302
Koatsu Gas Kogyo Co., Ltd............................. 78,000 228,996
*Kobe Kiito Co., Ltd.................................. 53,000 37,344
Kokune Corp........................................... 42,000 49,322
Kokusai Kogyo Co., Ltd................................ 60,000 405,147
Komai Tekko, Inc...................................... 53,000 214,728
*Komatsu Construction Co., Ltd........................ 29,000 36,894
*Komatsu Forklift Co., Ltd............................ 153,000 257,533
Komatsu Seiren Co., Ltd............................... 75,000 341,293
Komatsu Zenoah Co..................................... 73,000 222,890
Konishi Co., Ltd...................................... 16,000 191,026
*Kosei Securities Co., Ltd............................ 137,000 294,955
*Krosaki Corp......................................... 96,000 216,079
Kumiai Chemical Industry Co., Ltd., Tokyo............. 153,000 284,484
#Kurabo Industries, Ltd............................... 374,000 545,344
#Kuraya Corp.......................................... 33,500 391,109
Kurimoto, Ltd......................................... 116,000 257,689
Kyodo Printing Co., Ltd............................... 75,000 355,972
Kyodo Shiryo Co., Ltd................................. 145,000 214,268
Kyoei Sangyo Co., Ltd................................. 23,000 83,055
Kyoei Tanker Co., Ltd................................. 53,000 59,647
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 38,300 213,642
*#Kyokuyo Co., Ltd.................................... 167,000 236,972
Kyosan Electric Manufacturing Co., Ltd................ 94,000 222,616
Kyowa Leather Cloth Co., Ltd.......................... 32,000 141,547
Kyudenko Corp......................................... 68,000 262,191
Kyushu Bank, Ltd...................................... 146,000 438,636
Life Corp............................................. 83,000 454,861
#MR Max Corp.......................................... 56,300 212,671
Maezawa Industries, Inc............................... 18,700 228,752
Magara Construction Co., Ltd.......................... 61,000 111,034
*Marudai Food Co., Ltd................................ 232,000 422,293
Maruei Department Store Co., Ltd...................... 72,000 214,904
Maruetsu, Inc......................................... 43,000 160,748
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Maruha Corp........................................... 434,000 $ 496,922
Marusan Securities Co., Ltd........................... 67,000 445,858
Maruwn Corp........................................... 44,000 139,081
Maruyama Manufacturing Co., Inc....................... 73,000 128,590
Maruzen Co., Ltd...................................... 179,000 380,124
Maruzen Showa Unyu Co., Ltd........................... 175,000 342,516
Maspro Denkoh Corp.................................... 16,000 222,655
Matsui Construction Co., Ltd.......................... 40,000 119,000
Matsuo Bridge Co., Ltd................................ 37,000 77,849
Matsuya Co., Ltd...................................... 74,000 260,704
Meiden Engineering Co., Ltd........................... 31,000 224,798
*Meidensha Corp....................................... 167,000 274,561
*Meiji Shipping Co., Ltd.............................. 47,000 82,331
*Meiko National Securities Letters of Guarantee....... 73,000 193,600
Meisei Industrial Co., Ltd............................ 29,000 56,760
Meito Sangyo Co., Ltd................................. 38,000 417,987
*Meiwa Trading Co., Ltd............................... 55,000 70,509
#Misawa Homes Co., Ltd................................ 108,000 420,649
*Misawa Resort Co., Ltd............................... 40,000 97,862
#Mitsuba Corp......................................... 67,000 432,744
Mitsubishi Cable Industries, Ltd...................... 270,000 412,193
*#Mitsubishi Chemical Corp............................ 208,250 888,555
*Mitsubishi Kakoki Kaisha, Ltd........................ 117,000 278,231
Mitsubishi Pencil Co., Ltd............................ 61,000 496,071
*Mitsubishi Plastics, Inc............................. 310,000 461,124
*Mitsubishi Shindoh Co., Ltd.......................... 82,000 153,271
*Mitsubishi Steel Manufacturing Co., Ltd.............. 253,000 240,162
Mitsuboshi Belting, Ltd............................... 153,000 434,212
*Mitsui Construction Co., Ltd......................... 314,000 291,921
Mitsui Home Co., Ltd.................................. 55,000 256,740
Mitsui Matsushima Co., Ltd............................ 90,000 172,628
*Mitsui Mining Co., Ltd............................... 225,000 270,832
Mitsui Sugar Co., Ltd................................. 116,000 205,470
Mitsui Wood Systems, Inc.............................. 41,500 70,260
Mitsui-Soko Co., Ltd.................................. 115,000 280,227
Mitsuuroko Co., Ltd................................... 76,000 376,337
Miura Co., Ltd........................................ 31,000 433,821
Miyaji Iron Works Co. Ltd............................. 90,000 186,720
*Miyakoshi Corp....................................... 18,000 15,677
Miyoshi Oil & Fat Co., Ltd............................ 120,000 328,815
Miyuki Keori Co., Ltd................................. 50,000 212,849
Mizuno Corp........................................... 110,000 313,255
Morinaga & Co., Ltd................................... 220,000 536,086
Morita Corp........................................... 72,000 251,544
*Morozoff, Ltd., Osaka................................ 50,000 99,819
Mory Industries, Inc.................................. 66,000 175,681
Mos Food Services, Inc................................ 20,000 278,123
*#Mutoh Industries, Ltd............................... 61,000 331,311
Mutow Co., Ltd........................................ 38,000 340,265
NOF Corp.............................................. 54,000 142,682
Nabco, Ltd............................................ 120,000 200,812
Nachi-Fujikoshi Corp.................................. 188,000 296,208
*#Nagasakiya Co., Ltd. (Tokyo)........................ 231,000 341,351
Nagatanien Co., Ltd................................... 32,000 351,049
*Naigai Co., Ltd...................................... 109,000 117,336
Nakabayashi Co., Ltd.................................. 92,000 342,124
Nakamuraya Co., Ltd................................... 85,000 248,715
*#Nakano Corp......................................... 66,000 72,985
Nakayama Steel Works, Ltd............................. 206,000 316,504
*Nemic Lambda KK...................................... 3,484 173,203
</TABLE>
247
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Neturen Co., Ltd., Tokyo.............................. 67,000 $ 194,079
Nichia Steel Works, Ltd............................... 64,900 317,561
#Nichias Corp......................................... 237,000 394,285
Nichiban Co., Ltd..................................... 58,000 228,174
*Nichiboshin, Ltd..................................... 119,000 82,683
Nichiha Corp.......................................... 27,000 243,088
Nichimo Co., Ltd...................................... 54,000 89,837
*Nichimo Corp......................................... 85,000 95,660
Nichireki Co., Ltd.................................... 44,000 226,491
Nichiro Corp.......................................... 289,000 494,936
Nifco, Inc............................................ 50,000 604,296
*Nihon Kentetsu Co., Ltd.............................. 27,000 91,951
Nihon Kohden Corp..................................... 85,000 257,866
Nihon Matai Co., Ltd.................................. 50,000 123,795
Nihon Nohyaku Co., Ltd................................ 103,000 229,818
Nihon Nosan Kogyo KK.................................. 201,000 393,404
#Nihon Parkerizing Co., Ltd........................... 92,000 297,108
*Nihon Spindle Manufacturing Co., Ltd................. 56,000 103,029
Nihon Tokushu Toryo Co., Ltd.......................... 35,000 79,121
Niigata Chuo Bank, Ltd................................ 130,000 1,272
*Niigata Engineering Co., Ltd......................... 586,000 1,382,062
Nikken Chemicals Co., Ltd............................. 130,000 499,975
Nikkiso Co., Ltd...................................... 61,000 294,896
Nikko Co., Ltd., Akashi............................... 65,000 157,753
Nippon Beet Sugar Manufacturing Co., Ltd.............. 265,000 451,240
*Nippon Carbide Industries Co., Inc., Tokyo........... 101,000 167,040
Nippon Carbon Co., Ltd................................ 177,000 251,162
Nippon Chemical Industrial Co., Ltd................... 131,000 356,393
#Nippon Chemi-Con Corp................................ 103,000 322,552
*Nippon Chemiphar Co., Ltd............................ 49,000 130,910
#Nippon Chutetsukan KK................................ 44,000 103,342
*Nippon Columbia Co., Ltd............................. 99,000 194,735
*Nippon Concrete Industries Co., Ltd.................. 65,000 73,152
Nippon Conlux Co., Ltd................................ 63,000 320,595
*#Nippon Conveyor Co., Ltd............................ 43,000 50,917
Nippon Denko Co., Ltd................................. 159,000 242,736
Nippon Densetsu Kogyo Co., Ltd........................ 118,000 352,204
Nippon Dry-Chemical Co., Ltd.......................... 40,500 129,207
Nippon Felt Co., Ltd.................................. 28,000 79,464
Nippon Fine Chemical Co., Ltd......................... 23,000 91,833
Nippon Flour Mills Co., Ltd........................... 95,000 231,492
*Nippon Formula Feed Manufacturing Co., Ltd........... 100,000 133,092
Nippon Gas Co., Ltd................................... 62,000 373,147
Nippon Hume Pipe Co., Ltd............................. 43,000 130,029
*Nippon Kasei Chemical Co., Ltd....................... 113,000 176,934
Nippon Kinzoku Co., Ltd............................... 93,000 131,966
Nippon Koei Co., Ltd., Tokyo.......................... 146,000 348,622
*Nippon Koshuha Steel Co., Ltd........................ 151,000 169,937
*Nippon Lace Co., Ltd................................. 26,000 38,421
Nippon Light Metal Co., Ltd........................... 243,000 287,743
Nippon Metal Industry Co., Ltd........................ 282,000 383,598
#Nippon Pipe Manufacturing Co., Ltd................... 35,000 150,707
#Nippon Piston Ring Co., Ltd.......................... 133,000 188,726
Nippon Road Co., Ltd.................................. 147,000 280,521
*Nippon Seisen Co., Ltd............................... 39,000 95,033
Nippon Sharyo, Ltd.................................... 122,000 280,569
Nippon Shinyaku Co., Ltd.............................. 59,000 357,978
Nippon Signal Co., Ltd................................ 109,000 597,348
*Nippon Steel Chemical Co., Ltd....................... 241,000 356,128
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Nippon Suisan Kaisha, Ltd............................. 246,000 $ 479,072
Nippon Synthetic Chemical Industry Co., Ltd........... 152,000 285,600
Nippon Thompson Co., Ltd.............................. 62,000 497,529
*Nippon Valqua Industries, Ltd........................ 119,000 203,797
*Nippon Yakin Kogyo Co., Ltd.......................... 243,000 294,877
Nippon Yusoki Co., Ltd................................ 49,000 93,507
*Nissan Construction Co., Ltd......................... 128,000 150,316
*Nissan Diesel Motor Co., Ltd......................... 214,000 207,330
Nissan Shatai Co., Ltd................................ 251,000 393,013
*Nisseki House Industry Co., Ltd...................... 260,000 445,271
Nissha Printing Co., Ltd.............................. 81,000 554,876
Nisshin Oil Mills, Ltd................................ 122,000 445,329
Nissin Corp........................................... 150,000 273,034
Nissin Electric Co., Ltd.............................. 187,000 393,453
Nitsuko Corp.......................................... 75,000 333,953
Nitta Corp............................................ 24,000 176,151
Nittetsu Mining Co., Ltd.............................. 147,000 352,449
*Nitto Construction Co., Ltd.......................... 19,000 44,625
Nitto Electric Works, Ltd............................. 67,000 426,188
Nitto Flour Milling Co., Ltd.......................... 54,000 126,300
Nitto Seiko Co., Ltd.................................. 56,000 93,164
*Nitto Seimo Co., Ltd................................. 32,000 36,013
Nittoc Construction Co., Ltd.......................... 61,000 158,193
Nohmi Bosai, Ltd...................................... 59,000 265,597
O-M, Ltd.............................................. 46,000 69,775
*OKK Corp............................................. 101,000 120,585
#Obayashi Road Corp................................... 65,000 172,383
*Odakyu Construction Co., Ltd......................... 29,000 69,531
*Odakyu Real Estate Co., Ltd.......................... 58,000 105,006
#Ohki Corp............................................ 73,000 165,739
*Ohkura Electric Co., Ltd............................. 34,000 81,519
Okabe Co., Ltd........................................ 39,000 116,406
#Okamoto Industries, Inc.............................. 127,000 310,711
Okamura Corp.......................................... 197,000 570,651
*Oki Electric Cable Co., Ltd.......................... 56,000 117,825
#Okuma and Howa Machinery, Ltd........................ 69,000 111,416
*Okura and Co., Ltd................................... 128,000 0
Okura Industrial Co., Ltd............................. 96,000 341,968
Ono Sokki Co., Ltd.................................... 43,000 113,617
*Optec Dai-Ichi Denko Co., Ltd........................ 116,333 99,046
Organo Corp........................................... 101,000 360,767
Oriental Construction Co., Ltd........................ 39,000 205,333
Origin Electric Co., Ltd.............................. 54,000 629,388
Osaka Oxygen Industries, Ltd.......................... 190,000 314,234
Osaki Electric Co., Ltd............................... 56,000 277,301
P.S.C. Corp........................................... 35,000 164,750
Pacific Industrial Co., Ltd........................... 78,000 235,866
*#Pacific Metals Co., Ltd............................. 299,000 529,618
#Parco Co., Ltd....................................... 82,000 282,468
*#Pasco Corp.......................................... 37,500 350,834
Pilot Corp............................................ 32,000 137,789
#Pokka Corp........................................... 48,000 272,447
*Press Kogyo Co., Ltd................................. 143,000 125,948
*#Prima Meat Packers, Ltd............................. 230,000 423,154
Raito Kogyo Co., Ltd.................................. 47,800 232,018
Rasa Industries, Ltd.................................. 119,000 356,354
Rengo Co., Ltd........................................ 800 4,525
*Renown Look, Inc..................................... 50,000 79,268
*Renown, Inc.......................................... 402,000 1,046,455
Rheon Automatic Machinery Co., Ltd.................... 40,000 152,273
*Rhythm Watch Co., Ltd................................ 344,000 972,902
</TABLE>
248
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THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Riken Corp............................................ 193,000 $ 438,186
Riken Keiki Co., Ltd.................................. 33,000 135,636
Riken Vinyl Industry Co., Ltd......................... 123,000 481,480
#Rohto Pharmaceutical Co., Ltd........................ 57,000 418,359
Ryobi, Ltd............................................ 238,000 333,062
Ryoden Trading Co., Ltd............................... 80,000 281,842
Ryoyo Electro Corp.................................... 45,000 657,924
S.T. Chemical Co., Ltd................................ 48,000 302,980
SMK Corp.............................................. 127,000 809,091
SXL Corp.............................................. 148,000 405,539
Saeki Kensetsu Kogyo Co., Ltd......................... 71,000 114,645
Sagami Chain Co., Ltd................................. 20,000 168,322
Sagami Co., Ltd....................................... 60,000 137,985
Sakai Chemical Industry Co., Ltd...................... 184,000 1,278,465
Sakai Heavy Industries, Ltd........................... 60,000 140,921
*Sakai Ovex Co., Ltd.................................. 85,000 97,323
Sakata Inx Corp....................................... 92,000 324,118
*Sakurada Co., Ltd.................................... 38,000 37,931
San-Ai Oil Co., Ltd................................... 118,000 346,430
Sankei Building Co., Ltd.............................. 97,000 323,697
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 54,000 67,114
*Sankyo Aluminum Industry Co., Ltd.................... 359,000 351,323
Sankyo Seiko Co., Ltd................................. 86,000 227,235
Sankyu, Inc., Tokyo................................... 302,000 354,651
Sanshin Electronics Co., Ltd.......................... 51,000 379,312
*Sansui Electric Co., Ltd............................. 353,000 103,636
Sanwa Electric Co., Ltd............................... 17,000 63,219
Sanyo Industries, Ltd., Tokyo......................... 48,000 80,795
Sanyo Shokai, Ltd..................................... 113,000 342,810
Sanyo Special Steel Co., Ltd.......................... 339,000 520,849
Sasebo Heavy Industries Co., Ltd., Tokyo.............. 257,000 211,264
Sata Construction Co., Ltd., Gumma.................... 61,000 113,422
*#Sato Kogyo Co., Ltd................................. 34,000 23,957
Sato Shoji Corp....................................... 31,000 98,292
*Sawafugji Electric Co., Ltd.......................... 31,000 92,832
Seika Corp............................................ 145,000 297,989
*Seikitokyu Kogyo Co., Ltd............................ 86,000 84,161
Seiko Corp............................................ 43,000 191,887
Seiren Co., Ltd....................................... 81,000 241,767
Seiyo Food Systems, Inc............................... 137,000 538,963
Sekisui Jushi Co., Ltd................................ 85,000 357,684
*Sekisui Plastics Co., Ltd............................ 150,000 277,438
Senko Co., Ltd........................................ 205,000 517,590
Senshukai Co., Ltd.................................... 40,000 715,956
Shibaura Engineering Works Co., Ltd................... 45,000 579,097
Shibusawa Warehouse Co., Ltd.......................... 119,000 341,214
Shibuya Kogyo Co., Ltd................................ 54,000 484,063
*Shikibo, Ltd......................................... 155,000 141,068
Shikoku Chemicals Corp................................ 89,000 283,065
Shimizu Bank, Ltd..................................... 8,100 435,974
*Shimura Kako Co., Ltd................................ 55,000 138,866
Shin Nippon Air Technologies Co., Ltd................. 37,180 176,467
Shinagawa Fuel Co., Ltd............................... 160,000 610,657
*#Shinagawa Refractories Co., Ltd..................... 116,000 373,479
Shindengen Electric Manufacturing Co., Ltd............ 68,000 319,421
Shin-Etsu Polymer Co., Ltd............................ 68,000 409,258
*#Shinko Electric Co., Ltd............................ 257,000 442,648
#Shinko Shoji Co., Ltd................................ 41,000 397,221
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Shin-Kobe Electric Machinery Co., Ltd................. 71,000 $ 243,186
*Shinmaywa Industries, Ltd............................ 168,000 330,459
Shinsho Corp.......................................... 110,000 198,072
*Shintom Co., Ltd..................................... 115,000 70,901
*Shinwa Kaiun Kaisha, Ltd............................. 238,000 160,708
Shinyei Kaisha........................................ 54,000 89,837
Shiroki Co., Ltd...................................... 132,000 284,190
*Shochiku Co., Ltd.................................... 99,000 425,317
Shoko Co., Ltd........................................ 156,000 228,996
*#Shokusan Jutaku Sogo Co., Ltd....................... 207,000 279,552
#Showa Corp........................................... 117,000 471,733
*Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 313,000 523,785
Showa Highpolymer Co., Ltd............................ 79,000 255,125
Showa Sangyo Co., Ltd................................. 160,000 327,250
*#Silver Seiko, Ltd................................... 87,000 340,559
Sintokogio, Ltd., Nagoya.............................. 108,000 281,137
Soda Nikka Co., Ltd................................... 35,000 63,708
*#Sogo Co., Ltd....................................... 263,000 347,458
*Sokkisha Co., Ltd.................................... 40,000 73,201
Sotetsu Rosen Co., Ltd................................ 42,000 221,950
Star Micronics Co., Ltd............................... 84,000 1,068,650
Subaru Enterprise Co., Ltd............................ 36,000 126,829
*Suminoe Textile Co., Ltd............................. 142,000 234,848
*Sumitomo Coal Mining Co., Ltd........................ 107,000 125,654
*#Sumitomo Construction Co., Ltd...................... 320,000 350,736
Sumitomo Corporation's Leasing, Ltd................... 35,000 452,121
Sumitomo Densetsu Co., Ltd............................ 50,700 273,383
*#Sumitomo Light Metal Industries, Ltd................ 493,000 453,511
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 78,000 259,529
Sumitomo Seika Chemicals Co., Ltd..................... 102,000 274,502
Sun Wave Corp......................................... 88,000 192,044
Sun-S, Inc............................................ 38,300 258,619
SunTelephone Co., Ltd................................. 65,000 227,088
*#Suzutan Co., Ltd.................................... 62,000 127,416
TYK Corp.............................................. 67,000 154,083
Tabai Espec Corp...................................... 34,000 229,584
Tadano, Ltd........................................... 23,000 52,894
Taihei Dengyo Kaisha, Ltd............................. 66,000 176,327
Taihei Kogyo Co., Ltd................................. 114,000 215,315
*Taiheiyo Kaiun Co., Ltd.............................. 72,000 41,572
Taiheiyo Kouhatsu, Inc................................ 90,000 132,994
*#Taiheiyo Securities Co., Ltd........................ 218,000 437,344
Taikisha, Ltd......................................... 97,000 778,392
#Taisei Fire & Marine Insurance Co., Ltd.............. 118,000 306,014
*Taisei Prefab Construction Co., Ltd.................. 134,000 127,201
Taisei Rotec Corp..................................... 127,000 242,354
Taito Co., Ltd........................................ 70,000 178,108
Taiyo Toyo Sanso Co., Ltd............................. 232,000 433,645
Takada Kiko Co., Ltd.................................. 31,000 139,551
Takaoka Electric Manufacturing Co., Ltd., Tokyo....... 156,000 282,429
*Taka-Q Co., Ltd...................................... 69,500 111,543
#Takara Co., Ltd...................................... 39,000 146,939
*Takarabune Corp...................................... 52,000 61,575
Takasago International Corp........................... 84,000 399,511
*#Takasaki Paper Manufacturing Co., Ltd............... 157,000 161,325
*Takashima & Co., Ltd................................. 60,000 85,140
</TABLE>
249
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Takiron Co., Ltd...................................... 140,000 $ 498,703
Tamura Corp........................................... 65,000 256,985
*Tamura Electric Works, Ltd........................... 74,000 242,599
Tasaki Shinju Co., Ltd................................ 53,000 225,620
*Tateho Chemical Industries Co., Ltd.................. 26,500 59,647
*Tatsuta Electric Wire & Cable Co., Ltd............... 106,000 203,317
*Tayca Corp........................................... 74,000 246,220
*Teac Corp............................................ 109,000 374,409
Teijin Seiki Co., Ltd................................. 138,000 222,831
Teikoku Hormone Manufacturing Co., Ltd................ 33,000 244,468
Teikoku Sen-I Co., Ltd................................ 39,000 74,424
Teikoku Tsushin Kogyo Co., Ltd........................ 73,000 207,888
Teisan KK............................................. 219,000 642,951
*Tekken Corp.......................................... 274,000 375,397
Ten Allied Co., Ltd................................... 37,000 161,853
Tenma Corp............................................ 29,000 329,774
*Tesac Corp........................................... 92,000 71,126
Tetra Co., Ltd., Tokyo................................ 41,000 93,487
The Daito Bank, Ltd................................... 81,000 269,511
Titan Kogyo KK........................................ 36,000 63,767
#Toa Corp............................................. 110,000 191,613
Toa Doro Kogyo Co., Ltd............................... 85,000 218,770
*Toa Wool Spinning & Weaving Co., Ltd................. 73,000 82,155
*#Tobishima Corp...................................... 100,000 68,503
*Tobu Store Co., Ltd.................................. 71,000 145,912
Tochigi Bank, Ltd..................................... 60,000 396,340
Tochigi Fuji Industrial Co., Ltd...................... 51,000 96,325
Toda Kogyo Corp....................................... 88,000 377,198
Todentu Corp.......................................... 57,000 333,571
Toenec Corp........................................... 80,000 299,065
Toho Real Estate Co., Ltd............................. 98,000 439,242
#Toho Zinc Co., Ltd................................... 205,000 471,449
*Tohpe Corp........................................... 36,000 56,368
Tohto Suisan Co., Ltd................................. 54,000 211,910
Tokai Carbon Co., Ltd................................. 170,000 334,393
Tokai Corp............................................ 108,000 567,559
*Tokai Kanko Co., Ltd................................. 198,000 174,390
#Tokai Maruman Securities Co., Ltd.................... 99,000 716,935
#Tokai Pulp Co., Ltd.................................. 88,000 327,250
Tokai Rika Co., Ltd................................... 61,000 587,405
*Tokai Senko KK, Nagoya............................... 47,000 79,111
Tokico, Ltd........................................... 189,000 303,332
*Tokimec, Inc......................................... 119,000 189,822
Tokin Corp............................................ 53,000 301,346
Toko Electric Corp.................................... 39,000 125,948
Toko, Inc............................................. 81,000 358,291
#Tokushima Bank, Ltd.................................. 51,000 390,791
#Tokushu Paper Manufacturing Co., Ltd................. 119,000 556,657
Tokyo Denki Komusho Co., Ltd.......................... 57,000 222,009
*Tokyo Nissan Auto Sales Co., Ltd..................... 63,000 152,283
Tokyo Rakutenchi Co., Ltd............................. 92,000 315,115
Tokyo Rope Manufacturing Co., Ltd..................... 286,000 422,626
Tokyo Sangyo Co., Ltd................................. 36,500 119,303
*#Tokyo Securities Co., Ltd........................... 193,000 780,046
#Tokyo Tatemono Co., Ltd.............................. 244,000 544,424
*#Tokyo Tekko Co., Ltd................................ 67,000 52,454
Tokyo Theatres Co., Inc., Tokyo....................... 116,000 206,606
Tokyotokeiba Co., Ltd................................. 77,000 111,523
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Tokyu Car Corp....................................... 213,000 $ 216,783
*#Tokyu Construction Co., Ltd......................... 356,000 264,775
*#Tokyu Department Store Co., Ltd..................... 266,000 314,978
*#Tokyu Hotel Chain Co., Ltd.......................... 189,000 310,730
Tokyu Store Chain Corp................................ 175,000 561,726
*Tokyu Tourist Corp................................... 38,000 45,369
Toli Corp............................................. 101,000 207,565
Tomoe Corp............................................ 56,000 126,046
*Tomoegawa Paper Co., Ltd............................. 55,000 226,599
Tomoku Co., Ltd....................................... 185,000 334,932
Tonami Transportation Co., Ltd........................ 173,000 330,136
Topcon Corp........................................... 68,000 254,206
Topre Corp............................................ 85,000 274,502
Topy Industries, Ltd.................................. 187,000 287,312
*Torigoe Co., Ltd..................................... 21,000 97,001
Torishima Pump Manufacturing Co., Ltd., Osaka......... 45,000 192,445
*Toshiba Ceramics Co., Ltd............................ 127,000 345,510
Toshiba Engineering & Construction Co., Ltd........... 101,000 235,240
Toshiba Machine Co., Ltd.............................. 294,000 561,041
Toshiba Tungaloy Co., Ltd............................. 124,000 319,147
Tosho Printing Co., Ltd............................... 94,000 230,895
*Tostem Viva Corp..................................... 119,000 331,898
Totenko Co., Ltd...................................... 35,000 393,893
Totetsu Kogyo Co., Ltd................................ 53,000 123,443
*Totoku Electric Co., Ltd., Tokyo..................... 62,000 129,236
*#Towa Real Estate Development Co., Ltd............... 160,000 122,131
Toyo Chemical Co., Ltd................................ 52,000 218,310
*Toyo Communication Equipment Co., Ltd................ 79,000 865,880
*#Toyo Construction Co., Ltd.......................... 290,000 292,313
*Toyo Electric Co., Ltd............................... 67,000 96,384
*#Toyo Engineering Corp............................... 247,000 246,553
*#Toyo Kanetsu KK..................................... 206,000 294,329
Toyo Kohan Co., Ltd................................... 140,000 535,695
Toyo Radiator Co., Ltd................................ 104,000 298,204
*#Toyo Securities Co., Ltd............................ 113,000 337,280
Toyo Shutter Co., Ltd................................. 77,000 97,206
Toyo Sugar Refining Co., Ltd.......................... 60,000 116,847
*Toyo Tire & Rubber Co., Ltd.......................... 173,000 270,881
#Toyo Umpanki Co., Ltd................................ 146,000 225,747
Toyo Wharf & Warehouse Co., Ltd....................... 118,000 176,679
Tsubaki Nakashima Co., Ltd............................ 47,000 653,129
Tsubakimoto Machinery & Engineering Co., Ltd.......... 44,000 86,118
*Tsudakoma Corp....................................... 101,000 143,318
*#Tsugami Corp........................................ 124,000 269,394
*Tsukamoto Co., Ltd................................... 44,000 82,243
Tsukishima Kikai Co., Ltd............................. 38,000 242,834
*Tsumura & Co., Inc................................... 124,000 521,799
Tsurumi Manufacturing Co., Ltd........................ 42,000 214,963
Tsutsumi Jewelry Co., Ltd............................. 16,900 525,928
Tsutsunaka Plastic Industry Co., Ltd.................. 71,000 216,783
U-Shin, Ltd........................................... 19,000 98,361
Uchida Yoko Co., Ltd.................................. 72,000 514,361
Ueki Corp............................................. 47,000 94,290
Unisia Jecs Corp...................................... 215,000 258,795
*Unitika, Ltd......................................... 394,000 320,027
*Utoc Corp............................................ 38,000 53,550
Wakachiku Construction Co., Ltd....................... 194,000 347,429
</TABLE>
250
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wakamoto Pharmaceutical Co., Ltd...................... 48,000 $ 193,062
Yahagi Construction Co., Ltd.......................... 59,000 237,305
*Yahagi Corp.......................................... 40,000 0
Yamamura Glass Co., Ltd............................... 213,000 385,624
Yamatane Corp......................................... 131,000 185,888
*#Yamatane Securities Co., Ltd........................ 203,000 441,024
*Yamato International, Inc............................ 43,000 60,596
Yamazen Co., Ltd...................................... 140,000 213,730
Yaoko Co., Ltd........................................ 16,000 241,131
Yokogawa Bridge Corp.................................. 70,400 206,684
*Yokohama Matsuzakaya, Ltd............................ 27,000 26,423
Yokohama Reito Co., Ltd............................... 111,000 659,363
Yomeishu Seizo Co., Ltd............................... 46,000 315,565
Yomiuri Land Co., Ltd................................. 157,000 419,445
Yondenko Corp......................................... 58,800 212,908
#Yonekyu Corp......................................... 31,500 437,735
Yorozu Corp........................................... 26,800 114,087
*Yoshihara Oil Mill, Ltd.............................. 36,000 83,143
Yoshimoto Kogyo Co., Ltd.............................. 60,000 640,015
*Yuasa Corp........................................... 147,000 300,660
Yuasa Trading Co., Ltd................................ 174,000 279,258
*Yuken Kogyo Co., Ltd................................. 60,000 85,140
Yurtec Corp........................................... 54,000 223,536
#Zenchiku Co., Ltd.................................... 126,000 298,400
------------
TOTAL COMMON STOCKS
(Cost $367,681,466).................................. 198,349,810
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $14,884).......................... $ 15,286
------------
TOTAL -- JAPAN
(Cost $367,696,350).................................. 198,365,096
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $3,705,363) to be
repurchased at $3,647,537.
(Cost $3,647,000)................................... $ 3,647 3,647,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $371,343,350)++................................ $202,012,096
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements. Denominated in local currency.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
251
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
HONG KONG -- (29.8%)
COMMON STOCKS -- (29.4%)
ABC Communications (Holdings), Ltd.................... 930,000 $ 189,199
ALCO Holdings, Ltd.................................... 314,000 29,514
ASM Pacific Technology, Ltd........................... 874,000 1,401,068
*AWT World Transport Holdings, Ltd.................... 250,800 4,392
*Allied Group, Ltd.................................... 7,298,000 723,558
*Allied Properties (Hong Kong), Ltd................... 6,786,000 345,135
*Anex International Holdings, Ltd..................... 152,000 3,073
Applied International Holdings, Ltd................... 1,243,000 45,614
*Asia Commercial Holdings, Ltd........................ 72,800 4,968
Asia Financial Holdings, Ltd.......................... 1,795,112 312,035
*Asia Securities International, Ltd................... 2,386,600 175,159
Asia Standard International Group, Ltd................ 1,722,000 241,679
Associated International Hotels, Ltd.................. 898,000 381,565
Beauforte Investors Corp., Ltd........................ 72,000 103,368
*Beijing Development (Hong Kong), Ltd................. 166,000 20,947
*Benelux International, Ltd........................... 30,000 147
Bossini International Holdings, Ltd................... 122,000 22,149
Boto International Holdings, Ltd...................... 458,000 60,741
*Burlingame International Co., Ltd.................... 990,000 26,259
Burwill Holdings, Ltd................................. 2,059,200 225,370
*CCT Telecom Holdings, Ltd............................ 1,449,700 611,319
*CIL Holdings, Ltd.................................... 2,058,000 18,019
*CNT Group, Ltd....................................... 3,078,000 95,910
Cafe de Coral Holdings, Ltd........................... 1,191,000 467,725
*Capetronic International Holdings, Ltd............... 292,490 144,994
*Capital Asia, Ltd.................................... 49,368 1,939
*Central China Enterprises, Ltd....................... 2,104,000 89,400
*Century City International Holdings, Ltd............. 542,056 17,449
Champion Technology Holdings, Ltd..................... 11,769,380 689,515
*Cheerful Holdings, Ltd............................... 818,850 87,511
Chen Hsong Holdings, Ltd.............................. 1,515,000 492,553
Cheuk Nang Properties (Holdings), Ltd................. 750,008 96,570
*Cheung Tai Hong Holdings, Ltd........................ 2,018,400 39,763
*Cheung Wah Development Co., Ltd...................... 1,286,000 38,416
Chevalier (OA) International, Ltd..................... 1,776,251 109,780
*Chevalier Construction Holdings, Ltd................. 131,203 2,838
Chevalier Development International, Ltd.............. 899,109 106,507
Chevalier International Holdings, Ltd................. 2,656,469 188,125
*China Aerospace International Holdings, Ltd.......... 1,499,400 169,894
*China Development Corp., Ltd......................... 1,150,000 28,134
*China Everbright International, Ltd.................. 1,975,000 172,924
*China Everbright Technology, Ltd..................... 3,244,000 367,572
China Foods Holdings, Ltd............................. 1,544,000 290,254
*China Investments Holdings, Ltd...................... 175,000 3,921
China Motor Bus Co., Ltd.............................. 114,200 749,920
China Online (Bermuda), Ltd........................... 10,580,000 239,760
*China Overseas Land & Investment, Ltd................ 4,558,000 422,557
China Pharmaceutical Enterprise and Investment Corp.,
Ltd................................................. 2,444,000 421,682
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*China Star Entertainment, Ltd........................ 1,676,400 $ 106,847
*China Strategic Holdings, Ltd........................ 3,760,000 186,392
#China Travel International Investment, Ltd........... 2,730,000 442,906
*China United (Holdings), Ltd......................... 8,199,000 23,225
#China-Hong Kong Photo Products Holdings, Ltd......... 2,338,000 316,091
*Chinese Estates Holdings, Ltd........................ 1,204,000 178,280
*Chinney Investments, Ltd............................. 1,144,000 71,441
Chow Sang Sang Holdings International, Ltd............ 1,098,400 240,430
Chuangs China Investments, Ltd........................ 1,347,000 109,266
Chuang's Consortium International, Ltd................ 1,858,884 83,772
Chun Wo Holdings, Ltd................................. 1,337,534 92,999
*Chung Hwa Devlopment Holdings, Ltd................... 3,383,425 21,782
*Cig-Wh International Holdings, Ltd................... 472,000 27,348
*Climax International Co., Ltd........................ 296,000 5,183
*Companion Building Material International Holdings,
Ltd................................................. 3,607,514 51,560
*Companion Marble (Holdings), Ltd..................... 48,848 8,743
Continental Holdings, Ltd............................. 98,825 3,945
*Continental Mariner Investment Co., Ltd.............. 1,629,000 226,529
Cosmos Machinery Enterprises, Ltd..................... 1,024,000 54,058
*Crocodile Garments, Ltd.............................. 1,539,000 32,895
Cross Harbour Tunnel Co., Ltd......................... 365,603 270,680
*Culturecom Holdings, Ltd............................. 2,161,000 129,386
*Cybersonic Technology, Ltd........................... 193,000 73,309
*DC Finance Holdings, Ltd............................. 27,000 7,127
*Dah Hwa International Holdings, Ltd.................. 1,122,000 36,839
*Daido Concrete (Hong Kong), Ltd...................... 223,000 5,025
Dickson Concepts International, Ltd................... 222,000 228,676
*Dong-Jun Holdings, Ltd............................... 2,484,000 37,741
*Dransfield Holdings, Ltd............................. 190,000 3,474
Dynamic Holdings, Ltd................................. 158,000 23,396
*Easyknit International Holdings, Ltd................. 353,575 14,341
*#Egana International Holdings, Ltd................... 19,766,208 621,000
Egana Jewelry & Pearls, Ltd........................... 2,823,744 92,714
Elec & Eltek International Holdings, Ltd.............. 2,565,659 419,548
*Emperor (China Concept) Investments, Ltd............. 6,435,000 62,971
*Emporer International Holdings, Ltd.................. 644,369 58,078
*Englong International, Ltd........................... 130,000 0
*Essential Enterprises Co., Ltd....................... 320,000 94,767
*Evergo China Holdings, Ltd........................... 3,720,000 65,142
*FPB Bank Holding Co., Ltd............................ 2,784,520 512,702
*Fairwood Holdings, Ltd............................... 426,000 9,764
*Fairyoung Holdings, Ltd.............................. 1,446,000 57,718
Far East Consortium International, Ltd................ 1,641,378 120,465
*Far East Holdings International, Ltd................. 70,000 3,831
*Far East Hotels & Entertainment, Ltd................. 1,853,000 174,171
First Sign International Holdings, Ltd................ 1,050,000 41,911
Fong's Industries Co., Ltd............................ 962,000 37,160
*Fortuna International Holdings, Ltd.................. 2,727,000 23,877
*Founder, Ltd......................................... 590,000 471,001
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Fountain Set Holdings, Ltd............................ 1,274,000 $ 164,039
Four Seas Mercantile Holdings, Ltd.................... 592,000 138,730
*Four Seas Travel International, Ltd.................. 150,000 9,850
Frankie Dominion International, Ltd................... 630,173 12,982
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 688,000 6,998
*G-Prop Holdings, Ltd................................. 378,200 63,306
Giordano International, Ltd........................... 1,650,000 1,646,509
Glorious Sun Enterprises, Ltd......................... 840,000 356,921
Gold Peak Industries (Holdings), Ltd.................. 1,059,250 225,041
*Golden Power International Holdings, Ltd............. 562,000 47,036
Golden Resources Development International, Ltd....... 971,000 58,762
Gold-Face Holdings, Ltd............................... 2,003,600 193,487
Goldlion Holdings, Ltd................................ 2,052,000 227,224
*Goldtron (Bermuda) Holdings, Ltd..................... 51,111 3,356
*Golik Holdings, Ltd.................................. 1,536,500 57,373
Grand Hotel Holdings, Ltd. Series A................... 1,333,000 178,502
Grande Holdings, Ltd.................................. 420,088 186,611
Great Wall Electronic International, Ltd.............. 3,159,034 168,803
Group Sense (International), Ltd...................... 2,062,000 183,196
*#Guangdong Investment, Ltd........................... 2,150,000 254,686
*Guangnan Holdings, Ltd............................... 762,000 40,227
*Guangzhou Investment Co., Ltd........................ 3,510,000 262,128
*Guoco Land (Philippines), Ltd........................ 159,000 44,016
*HKCB Bank Holding Co., Ltd........................... 1,130,000 298,271
#Hanny Holdings, Ltd.................................. 911,056 413,507
Harbour Centre Development, Ltd....................... 784,000 580,447
Harbour Ring International Holdings, Ltd.............. 2,636,000 95,035
Henderson China Holdings, Ltd......................... 911,000 521,984
*Heng Fung Holdings Co., Ltd.......................... 1,050,000 39,207
High Fashion International, Ltd....................... 178,000 20,627
*Hon Kwok Land Investment Co., Ltd.................... 2,290,145 132,695
Hong Kong Building & Loan Agency, Ltd................. 407,000 46,116
Hong Kong Ferry (Holdings) Co., Ltd................... 671,300 613,696
*Hong Kong Parkview Group, Ltd........................ 1,130,000 614,729
Hop Hing Holdings, Ltd................................ 660,265 40,807
*Hsin Chong Construction Group, Ltd................... 1,569,658 84,885
*Hualing Holdings, Ltd................................ 1,344,000 43,263
*Huey Tai International, Ltd.......................... 2,363,112 158,222
Hung Hing Printing Group, Ltd......................... 934,442 366,970
*Hwa Kay Thai Holdings, Ltd........................... 244,423 7,805
IDT International, Ltd................................ 4,028,486 425,338
*IMC Holdings, Ltd.................................... 604,000 58,328
ITC Corp., Ltd........................................ 466,157 89,433
*Ideal Pacific Holdings, Ltd.......................... 838,000 80,925
*Innovative International (Holdings), Ltd............. 1,474,003 31,316
*Interform Ceramics Technologies, Ltd................. 1,104,000 26,866
International Bank of Asia, Ltd....................... 2,615,714 565,820
International Pipe, Ltd............................... 1,926,726 183,582
*Island Dyeing & Printing Co., Ltd.................... 148,000 48,594
JCG Holdings, Ltd..................................... 1,048,333 573,676
Jackin International Holdings, Ltd.................... 210,000 31,095
*Jinhui Holdings Co., Ltd............................. 370,000 12,387
*Joyce Boutique Holdings, Ltd......................... 1,360,000 34,147
*K Wah International Holdings, Ltd.................... 2,548,380 142,735
KPI Co., Ltd.......................................... 264,000 9,688
*KTP Holdings, Ltd.................................... 180,400 7,929
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Kader Holdings Co., Ltd.............................. 545,600 $ 15,806
*Kantone Holdings, Ltd................................ 123,902 16,911
Keck Seng Investments (Hong Kong), Ltd................ 858,600 116,080
Kee-Shing Holdings Co., Ltd........................... 886,000 102,673
*King Fook Holdings, Ltd.............................. 1,000,000 36,053
Kingboard Chemical Holdings, Ltd...................... 926,000 369,616
Kingmaker Footwear Holdings, Ltd...................... 770,000 123,931
*Kong Sun Holdings, Ltd............................... 480,000 12,484
*Kong Tai International Holdings Co., Ltd............. 8,300,000 42,748
Kumagai Gumi Hong Kong, Ltd........................... 970,000 359,077
*Kwong Sang Hong International, Ltd................... 1,434,000 127,402
Kwoon Chung Bus Holdings, Ltd......................... 556,000 116,692
*Lai Sun Development Co., Ltd......................... 2,970,000 130,021
*Lai Sun Garment (International), Ltd................. 2,325,000 80,829
*Lai Sun Hotels International, Ltd.................... 3,268,000 227,224
*Lam Soon (Hong Kong), Ltd............................ 302,310 58,388
*Lam Soon Food Industries, Ltd........................ 228,000 45,797
*Lamex Holdings, Ltd.................................. 2,419,200 64,791
Le Saunda Holdings, Ltd............................... 236,000 15,194
Leefung-Asco Printers Holdings, Ltd................... 144,000 28,739
#Legend Holdings, Ltd................................. 1,100,000 2,563,597
*Leung Kee Holdings, Ltd.............................. 354,000 4,786
*Lippo, Ltd........................................... 1,074,760 218,649
Liu Chong Hing Bank, Ltd.............................. 365,000 373,627
Liu Chong Hing Investment, Ltd........................ 635,200 398,716
*Logic International Holdings, Ltd.................... 812,000 27,706
*Luks Industrial Co., Ltd............................. 537,963 83,121
Lung Kee (Bermuda) Holdings, Ltd...................... 686,000 147,509
*Magnificent Estates, Ltd............................. 3,778,000 38,916
*Magnum International Holdings, Ltd................... 300,000 3,283
*Mansion Holdings, Ltd................................ 1,420,360 14,082
*Mansion House Group, Ltd............................. 698,200 44,950
*Megga (S.) International Holdings, Ltd............... 1,513,400 15,979
Melbourne Enterprises, Ltd............................ 45,500 195,675
*Melco International Development, Ltd................. 180,000 23,177
Midland Realty (Holding), Ltd......................... 496,000 51,092
*Millenium Group, Ltd................................. 3,712,000 35,369
*Min Xin Holdings, Ltd................................ 987,200 88,978
Mingly Corp., Ltd..................................... 4,032,600 706,159
Moulin International Holdings, Ltd.................... 3,109,574 292,282
*Mui Hong Kong, Ltd................................... 1,230,000 15,521
*Multi-Asia International Holdings, Ltd............... 1,867,000 146,640
Nanyang Holdings, Ltd................................. 137,500 123,931
*National Electronics Holdings, Ltd................... 2,156,000 55,521
*New Island Printing Holdings, Ltd.................... 176,000 8,951
*New World Cyberbase, Ltd............................. 25,220 6,819
Ngai Lik Industrial Holdings, Ltd..................... 1,556,000 510,891
*Nph International Holdings, Ltd...................... 542,000 13,539
Ocean Information Holdings, Ltd....................... 122,000 8,797
Onfem Holdings, Ltd................................... 1,922,000 163,334
*Oriental Metals Holdings Co., Ltd.................... 1,237,800 133,878
*Oriental Press Group, Ltd............................ 3,400,500 398,440
Oxford Properties & Finance, Ltd...................... 110,000 85,264
*Pacific Andes International Holdings, Ltd............ 156,000 6,528
*Pacific Concord Holding, Ltd......................... 2,065,770 226,089
*Pacific Plywood Holdings, Ltd........................ 10,210,000 160,385
*Paramount Publishing Group, Ltd...................... 620,000 85,419
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Paul Y. ITC Construction Holdings, Ltd................ 604,153 $ 52,897
*Peace Mark (Holdings), Ltd........................... 6,758,122 91,368
*Pearl Oriental Holdings, Ltd......................... 9,064,000 250,921
Pegasus International Holdings, Ltd................... 226,000 27,354
Perfect Treasure Holdings, Ltd........................ 364,000 68,897
Perfectech International Holdings, Ltd................ 519,500 65,553
*Pico Far East Holdings, Ltd.......................... 1,190,000 114,918
Playmate Toys Holdings, Ltd........................... 1,585,000 83,674
Pokfulam Development Co., Ltd......................... 234,000 70,051
*Poly Investments Holdings, Ltd....................... 2,670,000 137,515
Prestige Properties Holdings, Ltd..................... 965,000 44,731
Prime Succession, Ltd................................. 768,000 19,382
*QPL International Holdings, Ltd...................... 1,191,000 463,891
*Quality Healthcare Asia, Ltd......................... 1,338,000 542,682
*RJP Electronics, Ltd................................. 1,658,000 24,337
*RNA Holdings, Ltd.................................... 20,600 1,989
Raymond Industrial, Ltd............................... 605,400 39,755
Realty Development Corp., Ltd. Series A............... 60,000 90,389
*Regal Hotels International Holdings, Ltd............. 1,950,000 150,648
*Rhine Holdings, Ltd.................................. 64,000 0
*Rivera Holdings, Ltd................................. 3,160,000 40,688
Road King Infrastructure, Ltd......................... 449,000 289,065
*Ryoden Development, Ltd.............................. 1,912,000 120,632
*S.A.S.Dragon Holdings, Ltd........................... 1,696,000 90,626
SA SA International Holdings, Ltd..................... 1,134,000 183,976
Safety Godown Co., Ltd................................ 408,000 225,895
*Same Time Holdings, Ltd.............................. 410,000 6,441
San Miguel Brewery Hong Kong, Ltd..................... 930,800 153,407
Sea Holdings, Ltd..................................... 1,068,000 385,042
*Seapower International Holdings, Ltd................. 854,000 30,789
*Seapower Resources International, Ltd................ 2,528,000 52,081
*Semi-Tech (Global) Co., Ltd.......................... 4,273,327 114,998
*Shangri-La Asia, Ltd................................. 1,052,469 1,233,188
Shaw Brothers Hong Kong, Ltd.......................... 325,000 338,959
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,255,000 130,890
*Shenyin Wanguo (Hong Kong), Ltd...................... 847,500 80,751
*Shenzhen International Holdings, Ltd................. 6,187,500 103,571
*Shougang Concord Century Holdings, Ltd............... 1,292,000 37,264
*Shougang Concord Grand (Group), Ltd.................. 1,701,000 73,372
*Shougang Concord International Enterprises Co.,
Ltd................................................. 4,166,000 166,287
*Shougang Concord Technology Holdings, Ltd............ 1,647,914 103,970
Shui On Construction & Materials, Ltd................. 218,000 319,993
*Shun Ho Construction (Holdings), Ltd................. 1,037,452 42,078
*Shun Ho Resources Holdings, Ltd...................... 483,000 18,657
*#Shun Shing Holdings, Ltd............................ 2,573,600 397,650
#Shun Tak Holdings, Ltd............................... 3,422,000 713,795
*Silver Grant International Industries, Ltd........... 2,087,000 201,540
Sime Darby Hong Kong, Ltd............................. 1,040,000 348,165
*Simsen Metals & Holdings, Ltd........................ 1,024,000 18,459
*Sincere Co., Ltd..................................... 505,500 29,615
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sing Tao Holdings, Ltd................................ 913,000 $ 150,473
*Singamas Container Holdings, Ltd..................... 320,000 19,365
*Sino Foundations Holdings, Ltd....................... 1,074,000 29,732
*Sinocan Holdings, Ltd................................ 350,000 4,822
Solartech International Holdings, Ltd................. 496,000 90,049
*Sound International, Ltd............................. 79,200 1,091
South China Brokerage Co., Ltd........................ 4,060,000 93,575
South China Industries, Ltd........................... 1,124,000 83,941
*South China Strategic Investments, Ltd............... 857,400 85,007
*South Sea Development Co., Ltd....................... 2,603,158 140,776
*Southeast Asia Properties & Finance, Ltd............. 175,692 36,195
Starlight International Holdings, Ltd................. 1,049,034 90,499
*Stelux Holdings International, Ltd................... 1,307,702 48,830
*Styland Holdings, Ltd................................ 258,560 1,764
Sun Fook Kong Holdings, Ltd........................... 1,778,000 595,228
Sun Hung Kai & Co., Ltd............................... 3,338,600 395,486
*Suncorp Technologies, Ltd............................ 158,400 4,222
Suwa International Holdings, Ltd...................... 1,062,000 64,269
*Swank International Manufacturing Co., Ltd........... 638,000 6,983
Symphony Holdings, Ltd................................ 6,950,000 91,277
*Tack Hsin Holdings, Ltd.............................. 542,000 40,477
Tai Cheung Holdings, Ltd.............................. 1,445,000 305,134
Tai Sang Land Development, Ltd........................ 627,984 169,803
*Tak Sing Alliance Holdings, Ltd...................... 2,909,865 146,122
*Tak Wing Investment Holdings, Ltd.................... 432,800 31,764
Techtronic Industries Co., Ltd........................ 1,330,000 227,762
*#Tem Fat Hing Fung (Holdings), Ltd................... 5,488,000 194,324
Termbray Industries International (Holdings), Ltd..... 2,304,900 296,777
Tern Properties Co., Ltd.............................. 61,200 11,465
Texwinca Holdings, Ltd................................ 1,074,000 193,602
*Tian An China Investments Co., Ltd................... 4,355,750 171,057
Tian Teck Land, Ltd................................... 1,098,000 186,619
*Triplenic Holdings, Ltd.............................. 2,378,000 38,886
Tristate Holdings, Ltd................................ 138,000 31,984
Truly International Holdings, Ltd..................... 1,014,000 349,253
*Tse Sui Luen Jewellry (International), Ltd........... 1,529,226 56,117
*Tung Fong Hung Holdings, Ltd......................... 1,157,745 57,392
Tungtex (Holdings) Co., Ltd........................... 788,000 108,565
*Tysan Holdings, Ltd.................................. 1,040,773 53,604
*UDL Holdings, Ltd.................................... 474,000 1,953
*USI Holdings, Ltd.................................... 928,999 178,230
*Union Bank of Hong Kong, Ltd......................... 1,005,934 615,236
*United Power Investment, Ltd......................... 1,664,000 40,280
*Universal Appliances, Ltd............................ 2,770,000 98,082
Van Shung Chong Holdings, Ltd......................... 712,000 158,601
*Vanda Systems & Communications Holdings, Ltd......... 644,000 178,280
Vitasoy International Holdings, Ltd................... 546,000 147,635
Wah Ha Realty Co., Ltd................................ 278,600 34,437
*Wah Kwong Shipping Holdings, Ltd..................... 230,500 122,426
*Wah Nam Group, Ltd................................... 1,934,800 12,954
Wai Kee Holdings, Ltd................................. 1,562,738 313,899
*Winfoong International, Ltd.......................... 1,210,000 56,867
*Wing Fai International, Ltd.......................... 3,380,000 156,674
Wing On Co. International, Ltd........................ 565,000 261,896
Wing On International Holdings, Ltd................... 50,000 47,641
Wing Shan International, Ltd.......................... 896,000 64,606
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Winsan China Investment Group, Ltd................... 384,000 $ 11,372
Winsor Industrial Corp., Ltd.......................... 498,000 79,511
*Winsor Properties Holdings, Ltd...................... 498,000 129,847
*Wo Kee Hong (Holdings), Ltd.......................... 1,944,000 27,534
Wong's International (Holdings), Ltd.................. 1,012,000 222,821
*Wong's Kong King International (Holdings), Ltd....... 1,139,600 33,749
World Houseware (Holdings), Ltd....................... 556,984 22,591
YGM Trading, Ltd...................................... 228,000 99,080
Yangtzekiang Garment Manufacturing Co., Ltd........... 405,000 45,890
Yaohan Food Processing & Trading Co., Ltd............. 124,000 9,739
*Yaohan Hong Kong Corp., Ltd.......................... 760,000 0
Yaohan International Caterers, Ltd.................... 512,000 50,103
*Yaohan International Holdings, Ltd................... 974,000 0
*Yau Lee Holdings, Ltd................................ 2,136,000 30,253
*Yeebo International Holdings, Ltd.................... 40,800 1,156
*Yiu Wing International Holdings, Ltd................. 1,404,200 106,674
*Yoshiya International Corp., Ltd..................... 612,300 39,420
Yugang International, Ltd............................. 5,958,000 233,980
*Yunnan Enterprises Holdings, Ltd..................... 240,000 32,447
------------
TOTAL COMMON STOCKS
(Cost $79,367,229)................................... 53,722,312
------------
RIGHTS/WARRANTS -- (0.3%)
*Can Do Holdings, Ltd. Rights 01/07/00................ 296,000 1,906
*Capital Asia, Ltd. Rights 12/03/99................... 49,368 32
*#Egana Jewelry & Pearls, Ltd. Warrants 06/30/01...... 494,155 4,136
*Gold-Face Holdings, Ltd. Warrants 09/30/01........... 182,145 3,659
*Grande Holdings, Ltd. Warrants 10/15/00.............. 84,017 2,704
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 132,053 0
*Mansion Holdings, Ltd. Warrants 07/28/01............. 30,360 98
*Ngai Lik Industrial Holdings, Ltd. Warrants
06/30/01............................................ 155,600 39,068
*Online Credit International, Ltd. Warrants
12/31/00............................................ 210,000 0
Process Automation (Holdings), Ltd. Warrants
03/28/01............................................ 10,520,000 467,319
*Yunnan Enterprise Holdings, Ltd. Warrants 09/30/02... 48,000 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $90,811)....................................... 518,953
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $232,442)..................................... 232,555
------------
TOTAL -- HONG KONG
(Cost $79,690,482)................................... 54,473,789
------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
SINGAPORE -- (29.1%)
COMMON STOCKS -- (29.0%)
AV Jennings Homes, Ltd................................ 30,800 $ 8,433
Acma, Ltd............................................. 472,600 315,070
*Alliance Technology & Development, Ltd............... 156,000 35,750
Amtek Engineering, Ltd................................ 432,500 303,783
*Ana Hotels Singapore, Ltd............................ 124,000 184,526
Apollo Enterprises, Ltd............................... 193,000 103,394
Armstrong Industrial Corp............................. 730,000 149,913
Avimo Group, Ltd...................................... 317,250 564,636
Benjamin (F.J.) Holdings, Ltd......................... 611,000 201,851
*Bonvests Holdings, Ltd............................... 750,000 363,844
*Broadway Industrial Group, Ltd....................... 352,000 64,953
Bukit Sembawang Estates, Ltd.......................... 71,334 683,626
*CK Tang, Ltd......................................... 307,000 97,766
CWT Distribution, Ltd................................. 461,500 362,611
Carnaudmetalbox Asia, Ltd............................. 213,000 290,343
Causeway Investment, Ltd.............................. 248,000 66,429
Central Properties, Ltd............................... 66,000 526,435
Chemical Industries (Far East), Ltd................... 105,910 121,672
Chevalier Singapore Holdings, Ltd..................... 220,000 53,691
Chuan Hup Holdings, Ltd............................... 610,000 795,188
Chuan Soon Huat Industrial Group, Ltd................. 614,000 175,431
Comfort Group, Ltd.................................... 1,646,000 920,987
Compact Metal Industries.............................. 643,000 158,838
Cosco Investment (Singapore), Ltd..................... 244,400 168,754
Courts Singapore, Ltd................................. 495,000 238,664
Dovechem Terminals Holdings, Ltd...................... 339,000 193,717
Econ International, Ltd............................... 621,000 251,360
Eltech Electronics, Ltd............................... 704,000 150,859
Eng Wah Organisation, Ltd............................. 265,000 61,519
First Capital Corp., Ltd.............................. 1,215,000 1,634,484
Focal Finance, Ltd.................................... 336,200 438,266
*Freight Links Express Holdings, Ltd.................. 1,648,000 309,004
Fu Yu Manufacturing, Ltd.............................. 1,291,000 380,388
Fuji Offset Plates Manufacturing, Ltd................. 33,750 10,045
GB Holdings, Ltd...................................... 200,000 110,716
GK Goh Holdings....................................... 1,120,000 1,013,345
*General Magnetics, Ltd............................... 308,000 88,001
*Goldtron, Ltd........................................ 473,000 63,349
Great Eastern Holdings, Ltd........................... 20,000 213,098
Guthrie GTS, Ltd...................................... 1,174,400 342,537
*HTP Holdings, Ltd.................................... 479,000 171,073
Hai Sun Hup Group, Ltd................................ 1,302,000 558,007
Haw Par Brothers International, Ltd................... 565,200 975,654
Hind Hotels International, Ltd........................ 171,000 253,449
Hitachi Zosen (Singapore), Ltd........................ 962,000 564,036
Hong Kok Corp., Ltd................................... 449,000 387,534
Hotel Grand Central, Ltd.............................. 437,640 234,453
Hotel Plaza, Ltd...................................... 1,189,000 460,035
Hotel Properties, Ltd................................. 1,393,000 1,276,932
Hotel Royal, Ltd...................................... 144,333 159,799
Hour Glass, Ltd....................................... 298,000 125,942
Hup Seng Huat, Ltd.................................... 900,200 208,978
Hwa Hong Corp., Ltd................................... 499,000 626,728
Hwa Tat Lee, Ltd...................................... 455,000 93,439
*IPC Corp., Ltd....................................... 1,936,000 322,671
Inchcape Motors, Ltd.................................. 491,000 514,387
*Inno-Pacific Holdings, Ltd........................... 962,500 177,606
Insurance Corp. of Singapore, Ltd..................... 138,250 559,590
</TABLE>
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CONTINUED
<TABLE>
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<S> <C> <C>
International Factors (Singapore), Ltd................ 290,000 $ 163,990
Intraco, Ltd.......................................... 292,500 259,423
Isetan (Singapore), Ltd............................... 98,000 142,918
Jack Chia-MPH, Ltd.................................... 638,000 311,408
Jaya Holdings, Ltd.................................... 425,400 339,311
Jurong Cement, Ltd.................................... 132,500 211,372
Jurong Engineering, Ltd............................... 112,000 175,335
Kay Hian Holdings, Ltd. (Foreign)..................... 1,352,000 933,535
*Keppel Fels Energy and Infrastructure, Ltd........... 1,526,500 1,235,753
Keppel Marine Industries, Ltd......................... 568,500 700,482
Keppel Tatlee Finance, Ltd............................ 319,750 251,235
#Keppel Telecommunications and Transportation, Ltd.... 1,376,000 1,957,547
Khong Guan Flour Milling, Ltd......................... 19,000 31,215
Kian Ann Engineering, Ltd............................. 868,000 227,336
Kian Ho Bearings, Ltd................................. 277,000 58,533
Kim Eng Holdings, Ltd................................. 1,775,200 1,183,481
Koh Brothers, Ltd..................................... 747,000 213,431
*L & M Group Investments, Ltd......................... 337,100 256,841
LC Development, Ltd................................... 1,191,767 283,757
*Labroy Marine, Ltd................................... 650,000 619,055
Lee Kim Tah Holdings, Ltd............................. 159,000 92,751
Liang Court Holdings, Ltd............................. 1,425,000 631,927
Liang Huat Aluminum, Ltd.............................. 1,477,000 303,316
*Lim Kah Ngam, Ltd.................................... 350,999 84,617
*Low Keng Huat Singapore, Ltd......................... 372,000 101,858
Lum Chang Holdings, Ltd............................... 1,134,030 499,519
Marco Polo Developments, Ltd.......................... 377,000 556,530
Metalock (Singapore), Ltd............................. 60,000 19,643
Metro Holdings, Ltd................................... 315,160 405,211
*Neptune Orient Lines, Ltd............................ 1,222,000 1,818,474
*Nippecraft, Ltd...................................... 1,013,000 177,880
Orchard Parade Holdings, Ltd.......................... 1,080,320 713,791
*Osprey Maritime, Ltd................................. 966,000 347,879
Ossia International, Ltd.............................. 708,000 263,396
Overseas Union Enterprise, Ltd........................ 542,000 1,464,708
Overseas Union Trust (Foreign)........................ 163,800 274,953
*PCI, Ltd............................................. 530,000 381,731
*Pacific Can Investment Holdings, Ltd................. 101,000 11,122
Pacific Carriers, Ltd................................. 900,000 589,293
Pan Pacific Public Co., Ltd........................... 69,750 22,835
Pan-United Corp., Ltd................................. 1,624,000 584,840
Pentex-Schweizer Circuits, Ltd........................ 183,200 107,958
Pertama Holdings, Ltd................................. 278,750 84,622
*Pokka Corp. (Singapore), Ltd......................... 159,000 37,384
Prima, Ltd............................................ 106,000 287,718
Provisions Suppliers Corp............................. 674,600 417,615
Republic Hotels and Resorts, Ltd...................... 881,000 603,073
Robinson & Co., Ltd................................... 237,360 784,145
Rotary Engineering, Ltd............................... 1,231,000 377,365
SMB United............................................ 1,254,000 298,575
SNP Corp., Ltd........................................ 175,500 139,984
*SPP, Ltd............................................. 454,000 90,531
*ST Capital, Ltd...................................... 940,553 316,321
San Teh, Ltd.......................................... 838,406 254,519
*Scotts Holdings, Ltd................................. 482,000 206,574
Sea View Hotel, Ltd................................... 66,000 424,291
Sembcorp Industries, Ltd.............................. 75,944 101,260
Sime Singapore, Ltd................................... 1,617,000 673,758
*Sin Soon Huat, Ltd................................... 929,000 212,898
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sing Investments & Finance, Ltd. (Foreign)............ 94,500 $ 72,001
Singapore Finance, Ltd................................ 598,000 662,079
Singapore Reinsurance Corp., Ltd...................... 254,700 224,381
Singapura Building Society, Ltd....................... 139,250 103,610
*Singatronics, Ltd.................................... 748,000 207,038
Ssangyong Cement (Singapore), Ltd..................... 236,000 255,670
Stamford Tyres Corp., Ltd............................. 62,000 21,036
Straits Trading Co., Ltd.............................. 931,000 986,428
Sunright, Ltd......................................... 378,000 267,753
Superbowl Holdings, Ltd............................... 490,000 135,627
Superior Metal Printing, Ltd.......................... 490,500 140,145
Tibs Holdings, Ltd.................................... 282,000 322,290
Haw Par Healthcare, Ltd............................... 224,000 179,335
Times Publishing, Ltd................................. 365,000 760,426
*Transmarco, Ltd...................................... 71,000 92,132
*Tuan Sing Holdings, Ltd.............................. 3,362,000 730,443
United Engineers, Ltd................................. 474,500 494,277
United Overseas Finance, Ltd.......................... 196,500 225,744
United Overseas Insurance, Ltd........................ 125,500 168,829
United Overseas Land, Ltd............................. 1,104,000 959,440
United Pulp & Paper Co., Ltd.......................... 354,000 164,359
*Uraco Holdings, Ltd.................................. 1,002,000 199,806
*Van der Horst, Ltd................................... 309,100 120,514
Vickers Ballas Holdings, Ltd.......................... 1,314,000 868,189
WBL Corp., Ltd........................................ 340,000 429,053
Wearnes International (1994), Ltd..................... 33,000 14,929
------------
TOTAL COMMON STOCKS
(Cost $53,991,802)................................... 53,013,946
------------
PREFERRED STOCKS -- (0.1%)
First Capital Corp., Ltd. 7% Non-Redeemable
Convertible (Cost $102,710)......................... 172,500 226,922
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $20,402)...................................... 20,597
------------
RIGHTS/WARRANTS -- (0.0%)
*Chuan Soon Huat Industrial Group, Ltd. Rights
12/03/99
(Cost $0)........................................... 122,800 7,675
------------
TOTAL -- SINGAPORE
(Cost $54,114,914)................................... 53,269,140
------------
AUSTRALIA -- (28.9%)
COMMON STOCKS -- (28.6%)
*A.I. Engineering Corp., Ltd.......................... 129,195 21,764
A.P. Eagers, Ltd...................................... 19,822 48,512
ARB Corporation, Ltd.................................. 11,364 43,343
*AWA, Ltd............................................. 373,000 149,379
Abigroup, Ltd......................................... 129,710 173,154
Acacia Resources, Ltd................................. 501,762 903,938
Adelaide Bank, Ltd.................................... 108,994 367,214
*Adelaide Brighton, Ltd............................... 367,220 172,742
Adsteam Marine, Ltd................................... 160,275 254,710
Adtrans Group Limited................................. 29,000 36,870
*Airboss, Ltd......................................... 27,480 2,970
*Allstate Explorations NL............................. 49,087 24,963
Amalgamated Holdings, Ltd............................. 266,483 694,535
*Amity Oil NL......................................... 43,079 6,298
</TABLE>
256
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*An Feng Kingstream Steel, Ltd........................ 764,927 $ 97,250
*Anaconda Nickel NL................................... 500,170 810,772
*Anzoil NL............................................ 123,126 9,784
*Aquarius Platinum (Australia), Ltd................... 44,452 56,515
*Ariadne Australia, Ltd............................... 270,353 111,708
Ashanti Goldfields Co., Ltd........................... 16,421 58,456
Ashanti Goldfields Co., Ltd. ADR...................... 15,990 31,085
Ashton Mining, Ltd.................................... 523,700 256,339
*Asia Gold Mining Corp................................ 10,933 2,780
Asia Pacific Specialty Chemicals, Ltd................. 88,182 41,481
Atkins Carlyle, Ltd................................... 64,196 155,072
*AuIron Energy, Ltd................................... 70,200 10,710
*AuIron Energy, Ltd. Issue 99......................... 35,100 5,355
*Auridiam Consolidated NL............................. 63,097 2,808
*Aurora Gold, Ltd..................................... 226,812 55,510
Ausdoc Group, Ltd..................................... 111,697 198,811
Ausdrill, Ltd......................................... 103,961 28,417
Australian Hospital Care, Ltd......................... 215,500 93,153
*Australian Kaolin, Ltd............................... 182,145 18,526
Australian Oil & Gas Corp., Ltd....................... 96,119 106,927
Australian Pharmaceutical Industries, Ltd............. 287,700 384,061
Australian Provincial Newspaper Holdings, Ltd......... 368,776 750,159
*Australian Resources, Ltd............................ 141,446 20,680
Avatar Industries, Ltd................................ 229,505 41,579
BT Hotel Group BHT.................................... 455,185 260,418
#Bank of Queensland, Ltd.............................. 118,629 414,004
*Beach Petroleum NL................................... 247,800 4,253
*Beaconsfield Gold NL................................. 89,078 54,927
#Bendigo Bank, Ltd.................................... 134,327 461,274
*Bendigo Mining NL.................................... 728,345 76,394
*Beyond International, Ltd............................ 61,256 33,098
*Biota Holdings, Ltd.................................. 97,808 376,469
Biotech International, Ltd............................ 149,379 38,458
*Black Range Minerals NL.............................. 169,951 46,995
Blackmores, Ltd....................................... 27,894 93,446
*Bligh Oil & Minerals NL.............................. 58,844 4,863
Boag (J.) & Son, Ltd.................................. 84,500 48,881
*Boulder Group NL..................................... 78,500 13,972
Brandrill, Ltd........................................ 94,465 19,816
Bridgestone Australia, Ltd............................ 49,000 71,953
Bristile, Ltd......................................... 81,032 58,207
Buderim Ginger, Ltd................................... 7,889 3,510
CI Technologies Group, Ltd............................ 109,822 555,006
Caltex Australia, Ltd................................. 407,700 655,695
Campbell Brothers, Ltd................................ 56,042 158,531
*Cape Range, Ltd...................................... 430,495 53,363
Capral Aluminium, Ltd................................. 379,330 482,268
*Carrington Cotton Corp., Ltd......................... 22,200 59,412
Casinos Austria International, Ltd.................... 258,299 129,715
Cedar Woods Properties, Ltd........................... 46,065 23,719
*Centamin Egypt, Ltd.................................. 261,882 16,647
*Centaur Mining & Exploration, Ltd.................... 620,579 92,706
Central Equity, Ltd................................... 123,243 186,458
Central Norseman Gold Corp., Ltd...................... 409,800 112,016
Centro Properties, Ltd................................ 239,291 412,227
*Charter Pacific Corp., Ltd........................... 72,823 24,072
*Cinema Plus, Ltd..................................... 75,700 28,873
*Circadian Technologies, Ltd.......................... 40,370 89,562
*Cityview Energy Corp., Ltd........................... 4,945 2,483
*Clifford Corp., Ltd.................................. 161,750 0
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Climax Mining, Ltd................................... 163,017 $ 15,026
Coal & Allied Industries, Ltd......................... 11,250 107,272
Coates Hire, Ltd...................................... 258,842 353,764
Cochlear, Ltd......................................... 57,598 622,440
*Comet Resources NL................................... 83,600 35,074
Computershare, Ltd.................................... 160,000 726,306
Consolidated Manufacturing Industries, Ltd............ 32,784 22,924
Consolidated Paper Industries, Ltd.................... 61,107 95,946
*Consolidated Rutile, Ltd............................. 310,652 138,233
*Coolgardie Gold NL................................... 222,685 10,192
*Coplex Resources NL.................................. 231,400 13,239
*Corporate Express Australia, Ltd..................... 176,355 322,865
Coventry Group, Ltd................................... 63,616 184,000
Crane (G.E) Holdings, Ltd............................. 80,192 400,167
*Croesus Mining NL.................................... 97,100 17,592
*Cudgen RZ, Ltd....................................... 36,650 15,144
*DC International, Ltd................................ 299,350 14,652
*DJL, Ltd............................................. 277,900 1,590
*Dalrymple Resources NL............................... 57,169 23,258
Danks Holdings, Ltd................................... 10,425 64,216
Delfin Property Group, Ltd............................ 26,361 112,274
Delta Gold NL......................................... 373,100 621,395
*Denehurst, Ltd....................................... 95,000 4,408
*Devex, Ltd........................................... 205,364 58,746
Devine, Ltd........................................... 44,183 14,886
*Diamin Resources NL.................................. 127,684 44,642
Dollar Sweets Holdings, Ltd........................... 129,434 64,178
Dome Resources NL..................................... 167,572 28,761
*Dominion Mining, Ltd................................. 168,015 39,518
ERG, Ltd.............................................. 399,132 2,080,517
Eastern Aluminum, Ltd................................. 148,949 119,302
*Easycall Communications (Philippines), Ltd........... 177,300 51,282
#Email, Ltd........................................... 409,709 625,069
*Emporer Mines, Ltd................................... 120,600 55,198
Energy Developments, Ltd.............................. 161,278 984,209
*Energy Equity Corp., Ltd............................. 325,630 45,539
Energy Resources of Australia, Ltd. Series A.......... 231,589 301,795
*Equatorial Mining, Ltd............................... 43,214 104,388
*Equigold NL.......................................... 99,000 18,880
Evans Deakin Industries, Ltd.......................... 177,590 257,392
*Exergy, Inc. Issue 99................................ 7,175 0
Finemore Holdings, Ltd................................ 75,789 63,595
Fleetwood Corp., Ltd.................................. 36,570 39,520
Flight Centre, Ltd.................................... 61,473 508,006
*ForBio, Inc.......................................... 5,480 15,328
Forest Place Group, Ltd............................... 77,290 29,479
*Formulab Neuronetics Corp., Ltd...................... 74,250 897
Forrester Parker Group, Ltd........................... 142,602 102,434
Freedom Furniture, Ltd................................ 123,400 142,767
Futuris Corp., Ltd.................................... 638,000 851,689
GUD Holdings, Ltd..................................... 83,979 75,271
GWA International, Ltd................................ 415,102 581,841
Gazal Corp., Ltd...................................... 71,177 85,967
George Weston Foods, Ltd.............................. 59,223 244,706
*Gold Mines of Australia, Ltd......................... 55,307 2,566
Golden West Refining Corp., Ltd....................... 17,330 6,830
Goldfields, Ltd....................................... 477,502 309,611
*Goldstream Mining NL................................. 90,901 43,338
Gowing Bros., Ltd..................................... 50,570 64,936
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Gradipore, Ltd....................................... 21,628 $ 72,867
Grand Hotel Group..................................... 347,700 271,863
*Grange Resources, Ltd................................ 57,506 23,030
*Greenfields Energy Corp., Ltd........................ 193,687 11,450
Green's Foods, Ltd.................................... 52,866 19,828
Gunns, Ltd............................................ 48,287 52,182
*Gutnick Resources NL................................. 73,076 29,265
*HIH Insurance, Ltd................................... 736,721 753,997
Hancock and Gore, Ltd................................. 46,962 38,958
Haoma Mining NL....................................... 98,816 11,935
*Hardman Resources NL................................. 314,890 23,020
Harris Scarfe Holdings, Ltd........................... 96,035 112,939
Hartley Poynton, Ltd.................................. 82,168 94,019
*Helix Resources NL................................... 25,000 3,735
#Henry Walker Group, Ltd.............................. 287,948 278,227
*Herald Resources, Ltd................................ 69,910 15,999
Hills Industries, Ltd................................. 195,976 307,709
Hills Motorway Group.................................. 279,349 630,578
*Holyman, Ltd......................................... 75,312 50,747
*Hudson Conway, Ltd................................... 64,235 273,990
Iama, Ltd............................................. 187,940 283,145
*Industrial & Commercial Electronic Industries,
Ltd................................................. 54,361 20,388
Institute of Drug Technology, Ltd..................... 21,130 41,102
*Intellect Holdings, Ltd.............................. 75,070 18,611
Ipoh, Ltd............................................. 139,966 167,271
Ipswich and West Moreton Building Society, Ltd........ 17,541 28,991
*Ixla, Ltd............................................ 82,115 97,612
*Johnson's Well Mining NL............................. 200,000 44,498
#Jones (David), Ltd................................... 593,400 554,505
Joyce Corp., Ltd...................................... 13,049 15,595
*Jubilee Gold Mines NL................................ 113,400 38,206
Jupiters, Ltd......................................... 127,523 267,107
Just Jeans Holdings, Ltd.............................. 94,342 70,767
*Keycorp, Ltd......................................... 51,992 284,234
*Kidston Gold Mines, Ltd.............................. 246,300 56,365
*Kingsgate Consolidated NL............................ 71,492 35,903
*Kolback Group, Ltd................................... 90,810 37,522
*Kresta Holdings, Ltd................................. 56,700 3,785
Lemarne Corp., Ltd.................................... 20,790 37,797
*Leo Shield Exploration, Ltd.......................... 286,300 22,749
*Lynas Gold NL........................................ 40,500 4,892
*MRI Holdings, Ltd.................................... 36,169 6,208
MacMahon Holdings, Ltd................................ 192,179 32,374
Magellan Petroleum Australia, Ltd..................... 32,760 37,068
Maryborough Sugar Factory, Ltd........................ 600 2,193
Maxi-Cube, Ltd........................................ 128,356 17,135
McConnell Dowell Corp., Ltd........................... 62,776 83,802
McGuigan (Brian) Wines, Ltd........................... 48,953 111,716
McPherson's, Ltd...................................... 61,500 42,222
*Media Entertainment Group, Ltd....................... 150,814 42,183
Metalcorp, Ltd........................................ 112,800 136,240
*Micromedical Industries, Ltd......................... 136,783 50,431
*Mikoh Corp., Ltd..................................... 39,999 18,053
Mirvac, Ltd........................................... 279,793 563,460
*Mobile Computing Corp................................ 75,400 656,648
*Mogul Mining NL...................................... 240,504 41,279
Monadelphous Group, Ltd............................... 16,383 39,575
*Mosaic Oil NL........................................ 314,295 35,963
*Murchison United NL.................................. 71,536 23,647
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*'Murrin Murrin Investments, Ltd. Promissory Notes
06/30/00............................................ 40,918 $ 4,942
*'Murrin Murrin Investments, Ltd. Promissory Notes
06/30/99............................................ 40,918 8,974
National Can Industries, Ltd.......................... 97,017 96,208
National Foods, Ltd................................... 413,902 699,874
Nautronix, Ltd........................................ 74,694 61,251
*New Hampton Goldfields NL............................ 178,048 28,296
*Newcrest Mining, Ltd................................. 127,708 406,721
Normandy Mt. Leyshon, Ltd............................. 133,376 173,809
Normans Wine, Ltd..................................... 35,848 35,321
*North Flinders Mines, Ltd............................ 99,807 209,371
*Novogen, Ltd......................................... 105,184 207,278
*Novus Petroleum, Ltd................................. 245,359 237,075
OPSM Protector, Ltd................................... 257,306 466,324
Oil Company of Australia, Ltd......................... 51,800 61,411
*Orbital Engine Corp., Ltd............................ 537,358 307,431
Oroton International, Ltd............................. 34,600 57,186
*Osmere NL............................................ 12,375 456
PMP Communications, Ltd............................... 381,871 546,671
Pacific BBA, Ltd...................................... 259,218 840,381
*Pacific Communications Holdings, Ltd................. 46,927 33,112
Pacific Hydro, Ltd.................................... 54,536 41,948
*Pan Pacific Petroleum NL............................. 327,800 18,754
Parbury, Ltd.......................................... 168,113 42,747
*Payce Consolidated, Ltd.............................. 18,000 8,467
Penfold (W.C.), Ltd................................... 14,100 12,997
*Peptide Technology, Ltd.............................. 176,600 56,131
*Perilya Mines NL..................................... 263,500 44,388
Permanent Trustee Co., Ltd............................ 20,052 146,715
Perpetual Trustees Australia, Ltd..................... 46,455 571,537
Petaluma, Ltd......................................... 29,519 99,453
Peter Lehmann Wines, Ltd.............................. 35,586 62,209
*Petroz NL............................................ 308,910 67,747
*Petsec Energy, Ltd................................... 97,992 13,704
*Pima Mining NL....................................... 214,601 35,469
Pirelli Cables Australia, Ltd......................... 97,420 40,873
Plaspak Group, Ltd.................................... 68,328 20,849
*Polartechnics, Ltd................................... 37,205 78,047
*Port Douglas Reef Resorts, Ltd....................... 264,900 21,891
Portman Mining, Ltd................................... 241,600 96,142
*Precious Metals Australia, Ltd....................... 106,059 20,226
*Preston Resources NL................................. 64,000 10,985
Prime Television, Ltd................................. 160,382 167,202
*Progen Industries, Ltd............................... 24,788 69,332
QCT Resources, Ltd.................................... 1,039,400 609,192
*Quantum Resources, Ltd............................... 115,007 8,773
Queensland Cotton Holdings, Ltd....................... 39,866 108,971
*Queensland Metals Corp., Ltd......................... 421,284 115,155
*Quiktrak Networks, Ltd............................... 396,495 57,970
*Raptis Group, Ltd.................................... 12,000 1,220
Rebel Sport, Ltd...................................... 77,898 42,091
*Redfire Resources NL................................. 23,250 1,301
Reece Australia, Ltd.................................. 32,100 372,195
#Reinsurance Australia Corp., Ltd..................... 399,993 177,988
Resolute, Ltd......................................... 324,045 95,785
Ridley Corp., Ltd..................................... 574,852 255,431
Rock Building Society, Ltd............................ 11,373 16,556
Ross Mining NL........................................ 296,807 78,300
Rural Press, Ltd...................................... 202,588 656,787
SPC, Ltd.............................................. 91,854 49,632
</TABLE>
258
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Sabre Group, Ltd...................................... 40,702 $ 51,747
Schaffer Corp., Ltd................................... 13,800 24,212
Scientific Services, Ltd.............................. 122,237 27,973
*Scitec, Ltd.......................................... 136,800 31,306
Scott Corp., Ltd...................................... 43,000 41,002
Select Harvests....................................... 41,257 26,489
Siddons Ramset, Ltd................................... 105,522 309,232
Simeon Wines, Ltd..................................... 193,003 417,142
#Simsmetal, Ltd....................................... 150,449 526,009
Singleton Group, Ltd.................................. 26,804 110,753
*Sino Securities International, Ltd................... 8,118 14,140
Skilled Engineering, Ltd.............................. 118,314 276,022
*Solution 6 Holdings, Ltd............................. 156,041 1,101,039
#Sonic Healthcare, Ltd................................ 245,203 997,578
Sons of Gwalia, Ltd................................... 210,780 629,348
Southern Cross Broadcasting (Australia), Ltd.......... 42,574 217,862
*Southern Pacific Petroleum NL........................ 82,140 161,867
Southern Star Group, Ltd.............................. 154,982 86,697
*Spectrum Network Systems, Ltd. Series B.............. 153,959 264,247
Spicers Paper, Ltd.................................... 246,300 297,481
Spotless Group, Ltd................................... 248,659 871,431
Spotless Services, Ltd................................ 664,450 633,570
*St. Barbara Mines, Ltd............................... 375,500 28,644
*Straits Resources, Ltd............................... 56,534 13,297
*Strategic Minerals Corp. NL.......................... 13,100 416
Sydney Aquarium, Ltd.................................. 24,135 65,204
*Taipan Resources NL.................................. 300,000 17,736
Tandou, Ltd........................................... 3,100 2,916
*Tanganyika Gold NL................................... 14,760 5,911
*Tap Oil.............................................. 193,100 100,655
Tassal, Ltd........................................... 86,733 57,891
*Techniche, Ltd....................................... 35,729 107,884
Telecasters Australia, Ltd............................ 30,643 140,251
Television & Media Services, Ltd...................... 173,137 209,115
Tempo Service, Ltd.................................... 49,087 87,371
Ten Network Holdings, Ltd............................. 110,000 144,046
Thakral Holdings Group................................ 974,309 445,934
*Thakral Holdings Group Issue 99...................... 44,183 19,941
Ticor, Ltd............................................ 347,850 254,291
Timbercorp, Ltd....................................... 200,000 275,887
*Titan Resources NL................................... 50,000 4,132
Toll Holdings, Ltd.................................... 91,092 317,902
*Tooth & Co., Ltd..................................... 153,000 19,452
Tourism Assets Holdings, Ltd.......................... 469,760 197,088
*Transcom International, Ltd.......................... 113,691 99,012
Triako Resources, Ltd................................. 5,400 1,133
*Troy Resources NL.................................... 22,548 5,733
*Union Gold Mining Co. NL............................. 142,500 74,280
United Construction Group, Ltd........................ 81,554 119,238
United Overseas Australia, Ltd........................ 11,936 4,552
*Utility Services Corp., Ltd.......................... 96,769 41,830
*Victoria Petroleum NL................................ 147,973 4,891
Villa World, Ltd...................................... 134,700 82,201
Village Roadshow, Ltd................................. 356,394 712,285
Visions Systems, Ltd.................................. 17,536 72,458
*Voicenet (Australia), Ltd............................ 97,365 157,828
*Vos Industries, Ltd.................................. 102,161 22,080
*Walhalla Mining Company NL........................... 95,388 36,988
Walker Corp., Ltd..................................... 458,113 232,972
Waterco, Ltd.......................................... 22,304 24,812
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Watpac, Ltd........................................... 103,847 $ 31,357
Wattyl, Ltd........................................... 137,633 384,086
Webster, Ltd.......................................... 33,551 19,835
Western Metals, Ltd................................... 385,787 132,429
Westralian Sands, Ltd................................. 293,919 698,966
White (Joe) Maltings, Ltd............................. 27,254 56,306
Wide Bay Capricorn Building Society, Ltd.............. 26,075 58,843
Williams R.M. Holdings, Ltd........................... 24,075 48,973
Yates (Arthur) and Co. Property, Ltd.................. 147,962 75,246
*Zimbabwe Platinum Mines, Ltd......................... 74,620 33,204
------------
TOTAL COMMON STOCKS
(Cost $53,188,256)................................... 52,286,562
------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $22,619)...................................... 11,497 21,633
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Australian Dollar
(Cost $422,132)..................................... 422,355
------------
RIGHTS/WARRANTS -- (0.0%)
*Advanced Engine Components, Ltd. Options 1999........ 11,369 0
*Bristile, Ltd. Rights 12/07/99....................... 32,412 103
*Eagers (A.P.), Ltd. Warrants 01/31/03................ 2,204 490
*Green Foods, Ltd. Rights 12/20/99.................... 13,216 588
*Micro Medical Industries, Inc. Rights 12/15/99....... 13,678 1,043
*Pacific Hydro, Ltd. Rights 12/17/99.................. 53,834 7,871
*Timbercorp, Ltd. Rights 12/03/99..................... 20,000 15,892
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 25,987
------------
TOTAL -- AUSTRALIA
(Cost $53,633,007)................................... 52,756,537
------------
NEW ZEALAND -- (9.1%)
COMMON STOCKS -- (9.0%)
*AFFCO Holdings, Ltd.................................. 503,188 87,202
*Advantage Group, Ltd................................. 101,600 152,249
Baycorp Holdings, Ltd................................. 200,614 700,433
CDL Hotels NZ, Ltd.................................... 657,244 97,149
CDL Investments NZ, Ltd............................... 209,599 25,640
Cavalier Corp., Ltd................................... 88,507 144,358
Ceramco Corp., Ltd.................................... 102,827 86,478
Colonial Motor Co., Ltd............................... 53,217 67,812
Corporate Investments, Ltd............................ 503,564 539,000
*Cue Energy Resources NL.............................. 452,354 26,515
DB Group, Ltd......................................... 264,177 315,083
Donaghys, Ltd......................................... 37,239 27,712
Ebos Group, Ltd....................................... 57,108 104,789
*Evergreen Forests, Ltd............................... 323,301 85,689
#Fernz Corp., Ltd..................................... 391,902 864,928
Fisher & Paykel Industries, Ltd....................... 307,890 965,129
Force Corp., Ltd...................................... 380,914 99,017
Hallenstein Glassons Holdings, Ltd.................... 142,638 174,486
Hellaby Holdings, Ltd................................. 118,179 113,846
Horizon Energy Distribution, Ltd...................... 8,084 34,612
Independent Newspapers, Ltd. (Auckland)............... 338,000 1,395,457
</TABLE>
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CONTINUED
<TABLE>
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<S> <C> <C>
*Kingsgate International Corp., Ltd................... 479,679 $ 39,119
Met Lifecare, Ltd..................................... 144,900 161,744
Michael Hill International, Ltd....................... 90,546 147,684
Natural Gas Corp. Holdings, Ltd....................... 1,033,200 911,056
*New Zealand Oil & Gas, Ltd........................... 394,610 86,487
New Zealand Refining Co., Ltd......................... 62,819 368,217
Northland Port Corp. (New Zealand), Ltd............... 108,571 73,600
Nuplex Industries, Ltd................................ 177,286 275,606
*Otter Gold Mines, Ltd................................ 89,321 42,795
Owens Group, Ltd...................................... 138,522 91,080
PDL Holdings, Ltd..................................... 33,381 95,280
Pacific Retail Group, Ltd............................. 110,844 90,396
Port of Tauranga, Ltd................................. 187,176 605,813
Ports of Auckland..................................... 347,158 867,038
Radio Pacific, Ltd.................................... 5,200 18,686
Reid Farmers, Ltd..................................... 146,734 44,874
Restaurant Brand New Zealand, Ltd..................... 209,000 156,595
*Richina Pacific, Ltd................................. 137,322 37,096
Sanford, Ltd.......................................... 250,511 708,654
Scott Technology, Ltd................................. 48,074 62,483
*Seafresh Fisheries................................... 80,520 5,376
Shortland Properties, Ltd............................. 478,180 155,986
*Shotover Jet, Ltd.................................... 106,500 37,998
Sky City, Ltd......................................... 250,100 936,948
South Eastern Utilities, Ltd.......................... 147,679 73,767
South Port New Zealand, Ltd........................... 39,528 17,730
St. Lukes Group, Ltd.................................. 457,777 363,993
Steel & Tube Holdings, Ltd............................ 151,610 120,550
*Summit Gold, Ltd..................................... 107,419 5,585
Tasman Agriculture, Ltd............................... 327,200 125,080
Taylors Group, Ltd.................................... 29,646 17,830
Tourism Holdings, Ltd................................. 197,558 312,155
*Trans Tasman Properties, Ltd......................... 891,408 127,218
Tranz Rail Holdings, Ltd.............................. 316,409 572,522
Trustpower, Ltd....................................... 445,029 1,043,424
Warehouse Group, Ltd.................................. 251,743 1,000,845
Waste Management NZ, Ltd.............................. 254,272 563,771
Williams & Kettle, Ltd................................ 38,372 40,681
*Wrightson, Ltd....................................... 317,720 66,396
------------
TOTAL COMMON STOCKS
(Cost $18,963,700)................................... 16,579,742
------------
INVESTMENT IN CURRENCY -- (0.1%)
*New Zealand Dollar (Cost $127,219)................... 127,323
------------
TOTAL -- NEW ZEALAND
(Cost $19,090,919)................................... 16,707,065
------------
MALAYSIA -- (0.7%)
COMMON STOCKS -- (0.7%)
*Aokam Perdana Berhad................................. 7,100 34,472
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Arensi Holdings (Malaysia) Berhad.................... 33,000 $ 3,561
*Autoways Holdings Berhad............................. 10,000 3,395
*Idris Hydraulic (Malaysia) Berhad.................... 1,265,000 221,375
*Instangreen Corp. Berhad............................. 15,000 3,789
*Kedah Cement Holdings Berhad......................... 962,000 615,174
*Kuala Lumpur Industries Holdings Berhad.............. 138,000 17,976
*MBF Holdings Berhad.................................. 2,228,250 120,208
*Mun Loong Berhad..................................... 40,000 6,158
*Perdana Industrial Holdings Berhad................... 46,000 3,753
*Promet Berhad........................................ 1,143,000 87,229
*Rahman Hydraulic Tin Berhad.......................... 111,000 19,425
*Red Box (Malaysia) Berhad............................ 41,000 4,370
*Rekapacific Berhad................................... 473,000 57,258
*SCK Group Berhad..................................... 22,000 0
*Tai Wah Garments Manufacturing Berhad (Foreign)...... 60,000 6,947
*Taiping Consolidated Berhad.......................... 232,000 12,821
*Westmont Industries Berhad........................... 223,520 52,351
*Wing Tiek Holdings Berhad............................ 95,800 22,437
------------
TOTAL COMMON STOCKS
(Cost $3,913,900).................................... 1,292,699
------------
TOTAL -- MALAYSIA
(Cost $3,913,900).................................... 1,292,699
------------
SOUTH KOREA -- (0.0%)
COMMON STOCKS -- (0.0%)
Korea Green Cross Co., Ltd. (Cost $131)............... 4 136
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (2.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $4,419,469) to be
repurchased at $4,349,640 (Cost $4,349,000)......... $ 4,349 4,349,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $214,792,353)++................................ $182,848,366
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $215,329,384.
</TABLE>
See accompanying Notes to Financial Statements.
260
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
UNITED KINGDOM -- (99.3%)
COMMON STOCKS -- (99.2%)
*10 Group P.L.C....................................... 56,000 $ 4,794
600 Group P.L.C....................................... 100,910 105,272
AIM Group P.L.C....................................... 32,063 139,158
ANS P.L.C............................................. 28,000 71,353
API Group P.L.C....................................... 51,500 274,782
ASDA Property Holdings P.L.C.......................... 94,000 232,058
*ASW Holdings P.L.C................................... 949,314 166,318
Abacus Polar P.L.C.................................... 75,000 331,483
Abbeycrest P.L.C...................................... 42,590 86,488
Abbot Group P.L.C..................................... 92,595 176,972
Aberdeen Asset Management P.L.C....................... 38,500 132,143
Acal P.L.C............................................ 13,671 110,503
*Acatos & Hutcheson P.L.C............................. 79,000 124,566
Action Computer Supplies Holdings, Ltd................ 88,000 112,127
Adam & Harvey Group P.L.C............................. 10,500 33,447
*Advanced Medical Solutions P.L.C..................... 16,000 8,155
*African Lakes Corp. P.L.C............................ 7,760 10,073
Aggregate Industries P.L.C............................ 3 3
Airflow Streamlines P.L.C............................. 20,500 47,343
Airsprung Furniture Group P.L.C....................... 58,000 130,714
Alba P.L.C............................................ 100,125 703,263
Alexanders Holdings P.L.C............................. 71,000 20,920
Alexandra Workwear P.L.C.............................. 86,243 192,304
*Alexon Group P.L.C................................... 106,500 236,625
Alldays P.L.C......................................... 101,504 117,208
Allders P.L.C......................................... 16,000 35,549
Allen P.L.C........................................... 25,000 115,073
Allied Leisure P.L.C.................................. 265,166 147,816
Allied London Properties P.L.C........................ 154,852 308,293
Allied Textile Companies P.L.C........................ 128,033 228,390
Alpha Airports Group P.L.C............................ 331,241 337,645
*Alphameric P.L.C..................................... 2,046 4,562
Alumasc Group P.L.C................................... 100,245 173,232
Alvis P.L.C........................................... 150,000 353,582
Amey P.L.C............................................ 77,000 1,496,192
Amstrad P.L.C......................................... 149,652 527,950
Andrew Sykes Group P.L.C.............................. 203,650 364,900
*Anglesey Mining P.L.C................................ 55,000 3,066
Anglian Group P.L.C................................... 126,280 502,819
Anglo Eastern Plantations P.L.C....................... 57,166 46,435
Anite Group P.L.C..................................... 250,000 356,369
Apollo Metals P.L.C................................... 63,223 95,158
Aquarius Group P.L.C.................................. 8,000 19,431
*Arena Leisure P.L.C.................................. 37,500 34,044
Armitage Brothers P.L.C............................... 4,000 11,468
*Armour Trust P.L.C................................... 198,500 50,584
Ascot P.L.C........................................... 53,435 265,958
Ash & Lacy P.L.C...................................... 78,098 154,240
Ashtenne Holdings P.L.C............................... 50,000 141,751
*Associated British Engineering P.L.C................. 2,672 11,703
Aukett Associates P.L.C............................... 142,375 45,352
Austin Reed Group P.L.C............................... 68,999 86,268
Avesco P.L.C.......................................... 29,998 381,030
Avon Rubber P.L.C..................................... 60,364 449,465
*Axis-Shield P.L.C.................................... 5,384 45,234
*Azlan Group P.L.C.................................... 185,000 262,240
BNB Resources P.L.C................................... 49,000 114,333
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
BPP Holdings P.L.C.................................... 50,450 $ 419,840
*BS P.L.C............................................. 7,000 18,953
BSS Group P.L.C....................................... 47,905 381,494
*BTG P.L.C............................................ 50,166 469,412
*BWA Group P.L.C...................................... 6,300 753
Babcock International Group P.L.C..................... 122,557 191,294
Baggeridge Brick P.L.C................................ 98,000 163,109
Bailey (Ben) Construction P.L.C....................... 26,000 17,599
*Bailey (C.H.) P.L.C.................................. 109,500 13,952
*Bailey (C.H.) P.L.C. Class B......................... 10,000 3,743
Banks (Sidney C.) P.L.C............................... 26,736 102,198
Barlows P.L.C......................................... 50,000 48,578
Barr (A.G.) P.L.C..................................... 43,000 287,643
Baynes (Charles) P.L.C................................ 341,378 271,858
Beattie (James) P.L.C................................. 132,247 323,319
*Beauford P.L.C....................................... 1,312 52
Bellway P.L.C......................................... 93,000 510,280
Bemrose Corp. P.L.C................................... 50,375 209,809
Benchmark Group P.L.C................................. 26,892 92,729
Bentalls P.L.C........................................ 91,617 95,577
Berisford P.L.C....................................... 200,000 1,025,705
Bespak P.L.C.......................................... 55,918 477,813
Bett Brothers P.L.C................................... 33,108 122,073
*Beverley Group P.L.C................................. 86,820 0
*Biocompatibles International P.L.C................... 13,750 67,123
*Biotrace International P.L.C......................... 50,000 29,863
Birse Group P.L.C..................................... 421,901 77,276
Black (A & C) P.L.C................................... 2,250 16,485
Black (Peter) Holdings P.L.C.......................... 111,495 541,617
Black Arrow Group P.L.C............................... 56,500 79,639
Blacks Leisure Group P.L.C............................ 60,959 277,677
Blagden Industries P.L.C.............................. 131,092 168,077
Blick P.L.C........................................... 68,555 274,608
Blockleys P.L.C....................................... 74,244 46,708
Body Shop International P.L.C......................... 194,000 412,496
*Bolton Group (International), Ltd.................... 23,000 733
Boosey & Hawkes P.L.C................................. 35,500 228,992
Boot (Henry) & Sons P.L.C............................. 47,000 157,200
Booth Industries Group P.L.C.......................... 5,000 2,429
Bostrom P.L.C......................................... 36,000 116,109
Bourne End Properties P.L.C........................... 141,021 129,148
Bradstock Group P.L.C................................. 130,000 59,010
Brammer (H.) P.L.C.................................... 86,623 631,191
Breedon P.L.C......................................... 65,428 128,697
*Bridgend Group P.L.C................................. 325,500 10,369
Bristol United Press P.L.C............................ 29,500 339,466
Bristol Water Holdings P.L.C.......................... 12,000 247,507
Britannia Group P.L.C................................. 50,000 37,030
Britax International P.L.C............................ 59,597 117,702
*British Biotech P.L.C................................ 198,000 93,819
British Mohair Holdings P.L.C......................... 31,500 58,950
British Polythene Industries P.L.C.................... 56,740 252,133
*British-Borneo Petroleum Syndicate P.L.C............. 38,414 114,411
Brockhampton Holdings P.L.C........................... 12,000 39,181
Brockhampton Holdings P.L.C. Series A Non-Voting...... 48,000 69,187
Brooke Industrial Holdings P.L.C...................... 15,574 16,991
Brooks Service Group P.L.C............................ 25,500 67,622
Brown & Jackson P.L.C................................. 296,819 985,677
</TABLE>
261
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Brunel Holdings P.L.C................................. 276,000 $ 26,375
Bryant Group P.L.C.................................... 21,869 50,505
Budgens P.L.C......................................... 306,137 286,458
Bulgin (A.F.) & Co. P.L.C............................. 4,000 9,556
Bullough P.L.C........................................ 256,000 285,414
Bulmer (H.P.) Holdings P.L.C.......................... 60,500 438,433
*Burn Stewart Distillers P.L.C........................ 142,500 52,201
*Burnden Leisure P.L.C................................ 33,000 7,358
Burndene Investments P.L.C............................ 175,001 100,341
Burtonwood Brewery P.L.C.............................. 38,000 109,244
Business Post Group P.L.C............................. 25,000 134,385
*CLS Holdings P.L.C................................... 102,907 228,642
Cadcentre Group P.L.C................................. 10,000 52,559
Caffyns P.L.C......................................... 6,000 33,447
*Cairn Energy P.L.C................................... 43,306 92,770
*Calluna P.L.C........................................ 77,140 10,443
Camellia P.L.C........................................ 2,950 143,304
Cannons Group P.L.C................................... 188,000 541,967
*Cantab Pharmaceuticals P.L.C......................... 80,000 212,149
Cape P.L.C............................................ 119,518 124,684
Capital Bars P.L.C.................................... 70,000 43,481
Carbo P.L.C........................................... 310,557 79,140
Carclo Engineering Group P.L.C........................ 100,463 223,212
*Carlisle Holdings, Ltd............................... 8,709 93,282
Carpetright P.L.C..................................... 95,000 692,232
Carr's Milling Industries P.L.C....................... 19,000 32,531
Castings P.L.C........................................ 79,000 195,027
*Cathay International P.L.C........................... 439,600 42,009
Caverdale Group P.L.C................................. 63,924 61,087
*Celltech P.L.C....................................... 13,200 109,849
Chamberlin & Hill P.L.C............................... 18,000 58,054
*Channel Holdings P.L.C............................... 230,500 11,014
Chapelthorpe P.L.C.................................... 458,928 233,901
Chemring Group P.L.C.................................. 49,000 156,086
Chloride Group P.L.C.................................. 485,500 761,662
Christie Group P.L.C.................................. 52,725 90,274
Chrysalis Group P.L.C................................. 66,336 1,038,051
Church & Co. P.L.C.................................... 500 7,485
*Churchill China P.L.C................................ 30,000 31,058
City Centre Restaurants P.L.C......................... 433,500 455,690
City Technology Holdings P.L.C........................ 85,000 182,763
Clarkson (Horace) P.L.C............................... 44,733 63,410
*Clinical Computing P.L.C............................. 40,000 41,729
Clinton Cards P.L.C................................... 124,460 561,978
Close Brothers Group P.L.C............................ 13,320 210,027
*Clubhaus P.L.C....................................... 31,694 35,840
*Cohen (A.) & Co. P.L.C............................... 2,100 3,679
Colefax & Fowler Group P.L.C.......................... 60,000 86,484
Community Hospitals Group P.L.C....................... 63,833 440,220
*Consolidated Coal P.L.C.............................. 92 179
Cornwell Parker P.L.C................................. 78,333 74,857
Cosalt P.L.C.......................................... 30,700 107,816
Countryside Property P.L.C............................ 138,259 297,279
Countrywide Assured Group P.L.C....................... 156,746 386,959
Courtaulds Textiles P.L.C............................. 75,000 89,590
Courts P.L.C.......................................... 110,722 639,262
Cradley Group Holdings P.L.C.......................... 80,000 42,685
Crest Nicholson P.L.C................................. 267,250 646,991
Creston Land & Estates P.L.C.......................... 5,000 15,569
Critchley Group P.L.C................................. 7,500 49,872
Cropper (James) P.L.C................................. 22,000 72,006
*Culver Holdings P.L.C................................ 338 1,494
DCS Group P.L.C....................................... 10,000 144,937
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
DTZ Holdings P.L.C.................................... 89,500 $ 255,873
Daejan Holdings P.L.C................................. 23,000 456,988
Dairy Crest Group P.L.C............................... 5,000 17,958
*Danka Business Systems P.L.C......................... 15,000 41,570
Dart Group P.L.C...................................... 74,000 242,793
Dawson Group P.L.C.................................... 100,674 272,586
*Dawson International P.L.C........................... 408,769 224,612
*Deanes Holdings P.L.C................................ 4,316 120
Delancey Estates P.L.C................................ 53,758 73,634
*Delaney Group P.L.C.................................. 270,000 0
Delyn Group P.L.C. ................................... 22,500 42,824
Dencora P.L.C......................................... 23,000 72,715
Denmans Electrical P.L.C.............................. 53,568 113,900
Densitron International P.L.C......................... 42,386 45,906
Derwent Valley Holdings P.L.C......................... 90,000 809,893
Development Securities P.L.C.......................... 50,000 204,265
Dewhirst Group P.L.C.................................. 275,760 296,464
Dewhurst P.L.C........................................ 9,000 12,113
Dewhurst P.L.C. Class A Non-Voting.................... 15,500 17,528
*Dialog Corp. P.L.C................................... 115,000 146,529
Dicom Group P.L.C..................................... 30,000 201,876
Diploma P.L.C......................................... 96,000 282,865
Dixon Motors P.L.C.................................... 55,408 110,311
Dolphin Packaging P.L.C............................... 49,110 195,545
Domino Printing Sciences P.L.C........................ 67,187 765,117
Domnick Hunter Group P.L.C............................ 30,000 154,572
Dorling Kindersley Holdings P.L.C..................... 20,000 89,670
Dowding & Mills P.L.C................................. 336,440 246,492
Druck Holdings P.L.C.................................. 8,000 34,403
*Drummond Group P.L.C................................. 26,250 7,107
EBC Group P.L.C....................................... 30,000 33,208
*ERA Group P.L.C...................................... 400,000 63,708
Eadie Holdings P.L.C.................................. 118,000 14,095
East Surrey Holdings P.L.C............................ 36,800 133,049
Edinburgh Fund Managers Group P.L.C................... 61,000 460,516
*Elbief P.L.C......................................... 23,500 5,053
Eldridge Pope & Co. P.L.C............................. 25,000 90,386
Eleco Holdings P.L.C.................................. 104,685 45,852
Electronic Data Processing P.L.C...................... 55,200 109,457
Electronics Boutique P.L.C............................ 150,000 103,924
Ellis & Everard P.L.C................................. 183,661 580,650
Emess P.L.C........................................... 288,250 180,196
*Energy Technique P.L.C............................... 77,856 15,500
Ennstone P.L.C........................................ 75,000 47,781
Epwin Group P.L.C..................................... 58,000 184,292
Eurocopy P.L.C........................................ 131,000 45,902
Eurodis Electron P.L.C................................ 70,000 115,392
Euromoney Publications P.L.C.......................... 20,000 637,084
European Colour P.L.C................................. 82,090 96,752
European Motor Holdings P.L.C......................... 118,325 112,132
Europower P.L.C....................................... 229,158 35,586
Expamet International P.L.C........................... 139,749 209,225
Expro International Group P.L.C....................... 50,000 270,761
FII Group P.L.C....................................... 41,166 17,047
Fairey Group P.L.C.................................... 28,226 206,122
Falcon Holdings P.L.C................................. 5,500 14,892
*Fastrack Group P.L.C................................. 25,000 3,683
Fenner P.L.C.......................................... 215,276 294,870
Ferguson International Holdings P.L.C................. 89,105 48,962
Fine Art Developments P.L.C........................... 108,000 265,760
Finelist Group P.L.C.................................. 149,000 285,963
</TABLE>
262
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Finlay (James) P.L.C.................................. 200,370 $ 232,966
First Choice Holidays................................. 40,000 83,777
First Technology P.L.C................................ 86,350 666,335
*Firth (G.M.) Holdings P.L.C.......................... 163,080 49,350
Firth Rixson P.L.C.................................... 416,888 454,827
*Flare Group P.L.C.................................... 20,600 2,215
Fletcher King P.L.C................................... 17,500 14,912
Folkes Group P.L.C.................................... 28,000 37,238
Folkes Group P.L.C. Non-Voting........................ 65,500 68,331
Forminster P.L.C...................................... 43,333 28,297
Forth Ports P.L.C..................................... 126,000 1,053,578
Fortress Holdings P.L.C............................... 120,728 50,955
*Fortune Oil P.L.C.................................... 609,000 31,524
*Forward Technology Industries P.L.C.................. 84,260 59,049
*Foster (John) & Son P.L.C............................ 27,500 5,694
Frederick Cooper P.L.C................................ 5,796 3,000
French Connection Group P.L.C......................... 25,000 312,569
*French P.L.C......................................... 32,000 40,009
Friendly Hotels P.L.C................................. 51,533 90,695
Friends, Ivory & Sime P.L.C........................... 78,125 293,656
Frogmore Estates P.L.C................................ 51,000 386,646
Fulmar P.L.C.......................................... 32,500 42,187
*GBE International P.L.C.............................. 149,628 0
GEI International P.L.C............................... 90,895 17,734
GWR Group P.L.C....................................... 35,698 336,875
Galliford P.L.C....................................... 239,500 93,456
Games Workshop Group P.L.C............................ 8,000 57,019
Gardner Group P.L.C................................... 26,923 144,079
Garton Engineering P.L.C.............................. 10,248 17,954
Gaskell P.L.C......................................... 36,000 48,450
Gearhouse Group P.L.C................................. 25,000 42,804
Geest P.L.C........................................... 85,000 617,334
Gerrard Group P.L.C................................... 123,860 917,320
Gibbs & Dandy P.L.C................................... 4,500 15,768
Gleeson (M.J.) Group P.L.C............................ 22,471 272,002
Glenchewton P.L.C..................................... 50,000 41,809
Glenmorangie P.L.C.................................... 20,000 150,511
Go-Ahead Group P.L.C.................................. 4,000 36,887
Goodhead Group P.L.C.................................. 36,000 24,942
Gowrings P.L.C........................................ 5,000 8,959
Grainger Trust, Ltd................................... 22,000 145,414
Grampian Holdings P.L.C............................... 200,324 291,938
Grantchester Holdings P.L.C........................... 100,000 256,426
Greene King P.L.C..................................... 23,039 185,674
Greenway Holdings P.L.C............................... 60,197 28,284
*Greenwich Resources P.L.C............................ 219,332 24,453
Greggs P.L.C.......................................... 26,000 816,821
Guiness Peat Group P.L.C.............................. 111,183 89,427
Haden Maclellan Holdings P.L.C........................ 206,224 141,236
Halstead (James) Group P.L.C.......................... 70,250 262,937
Hamley's P.L.C........................................ 47,500 106,672
Hampson Industries P.L.C.............................. 293,740 238,600
*Hampton Trust P.L.C.................................. 232,050 53,590
Hardys & Hansons P.L.C................................ 48,000 180,804
Hartstone Group P.L.C................................. 800,263 114,713
Harvey Nash Group..................................... 125,000 955,626
Harvey's Furnishing P.L.C............................. 126,750 269,504
Havelock Europa P.L.C................................. 64,250 52,701
*Hawtal Whiting Holdings P.L.C........................ 22,588 12,592
Hawtin P.L.C.......................................... 196,500 58,681
Hay (Norman) P.L.C.................................... 48,000 32,491
Haynes Publishing Group P.L.C......................... 14,703 48,592
Headlam Group P.L.C................................... 188,861 1,018,211
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Heath (Samuel) & Sons P.L.C........................... 7,500 $ 18,396
Helical Bar P.L.C..................................... 35,000 329,731
Henlys Group P.L.C.................................... 8,303 67,444
Heywood Williams Group P.L.C.......................... 50,400 179,811
Hi-Tech Sports P.L.C.................................. 135,599 38,875
Hicking Pentecost P.L.C............................... 9,819 37,455
Hickson International P.L.C........................... 387,128 237,384
Highbury House Communications P.L.C................... 283,333 292,196
High-Point P.L.C...................................... 57,510 67,782
Hill & Smith Holdings P.L.C........................... 86,850 98,212
Hitachi Credit (UK) P.L.C............................. 7,000 41,530
Hogg Robinson P.L.C................................... 186,000 796,897
Holidaybreak P.L.C.................................... 92,974 524,205
Holt (Joseph) P.L.C................................... 6,000 158,873
Horace Small Apparel P.L.C............................ 82,500 41,391
*Howard Holdings P.L.C................................ 57,730 54,249
Hunting P.L.C......................................... 223,174 390,997
*Huntingdon Life Sciences Group P.L.C................. 394,550 84,834
*Huntsworth P.L.C..................................... 54,000 16,341
IAF Group P.L.C....................................... 30,000 36,314
IMS Group P.L.C....................................... 75,000 637,283
*ISA International P.L.C.............................. 95,214 59,901
*Imagination Technologies Group P.L.C................. 285,366 1,488,505
Incepta Group P.L.C................................... 176,000 226,356
Industrial Control Services Group P.L.C............... 551,666 252,610
Informa Group P.L.C................................... 95,104 815,683
Intelek P.L.C......................................... 79,904 38,815
Interx P.L.C.......................................... 20,000 130,602
Isotron P.L.C......................................... 30,500 257,462
Ite Group P.L.C....................................... 120,000 159,590
J.& J. Dyson P.L.C.................................... 28,500 34,952
*JKX Oil and Gas P.L.C................................ 20,533 2,862
Jacobs (John I.) P.L.C................................ 116,000 131,176
Jardine Lloyd Thompson Group P.L.C.................... 342,500 1,350,120
Jarvis Hotels P.L.C................................... 300,000 544,707
Jarvis P.L.C.......................................... 100,000 479,804
Jarvis Porter Group P.L.C............................. 99,894 181,376
John David Sports P.L.C............................... 114,500 283,578
Johnson Group Cleaners P.L.C.......................... 110,535 543,115
Johnston Group P.L.C.................................. 26,000 151,148
Johnston Press P.L.C.................................. 10,000 44,198
Joseph (Leopold) Holdings P.L.C....................... 14,000 148,281
Jourdan (Thomas) P.L.C................................ 40,000 38,544
*Kalamazoo Computer Group P.L.C....................... 56,120 67,484
Keller Group P.L.C.................................... 110,000 475,663
Kelsey Industries P.L.C............................... 7,500 72,866
*Kenwood Appliances P.L.C............................. 100,892 107,663
Kewill Systems P.L.C.................................. 5,000 93,572
Kier Group P.L.C...................................... 7,250 34,757
Kleeneze P.L.C........................................ 84,300 436,363
Kunick P.L.C.......................................... 420,000 158,873
Laing (John) P.L.C.................................... 99,026 467,639
*Laird Group P.L.C.................................... 6,000 23,747
Lambert Fenchurch P.L.C............................... 202,000 453,636
Lambert Howarth Group P.L.C........................... 25,200 101,946
Lamont Holdings P.L.C................................. 72,231 29,336
Lasmo P.L.C........................................... 92,285 182,259
*Laura Ashley Holdings P.L.C.......................... 249,150 59,524
</TABLE>
263
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Lavendon Group P.L.C.................................. 4,000 $ 26,662
Leeds Group P.L.C..................................... 86,938 62,310
Leicester City P.L.C.................................. 100,000 76,450
*Leslie Wise Group P.L.C.............................. 107,000 19,598
*Liberty P.L.C........................................ 40,775 92,543
*Lilleshall P.L.C..................................... 51,564 62,827
Limelight Group P.L.C................................. 42,000 26,758
Lincat Group P.L.C.................................... 4,000 24,942
Linden P.L.C.......................................... 45,535 158,465
Linton Park P.L.C..................................... 39,000 192,559
Linx Printing Technologies P.L.C...................... 27,000 110,518
*Lionheart P.L.C...................................... 20,997 9,949
*Lister & Co. P.L.C................................... 41,000 0
Litho Supplies P.L.C.................................. 100,000 180,773
Locker (Thomas) Holdings P.L.C........................ 176,168 58,221
London Clubs International P.L.C...................... 125,000 229,947
*London Forfeiting Co................................. 12,000 7,167
London Scottish Bank P.L.C............................ 263,000 490,093
Lookers P.L.C......................................... 53,160 63,925
Lorien P.L.C.......................................... 60,000 80,273
Low & Bonar P.L.C..................................... 65,000 164,089
*Lowe (Robert H.) & Co. P.L.C......................... 251,985 22,074
Lynx Holdings P.L.C................................... 100,000 205,460
M Y Holdings P.L.C.................................... 23,000 42,677
MDIS Group P.L.C...................................... 238,000 97,609
MFI Furniture Group P.L.C............................. 450,000 277,729
MMT Computing P.L.C................................... 3,000 38,344
MS International P.L.C................................ 71,500 29,039
MSB International P.L.C............................... 16,000 66,129
MacDonald Hotels P.L.C................................ 15,500 50,608
MacFarlane Group Clansman P.L.C....................... 228,287 287,240
Macro 4 P.L.C......................................... 42,500 483,985
Mallett P.L.C......................................... 24,837 55,975
Manganese Bronze Holdings P.L.C....................... 32,184 108,927
Mansfield Brewery P.L.C............................... 131,892 753,086
Marshalls P.L.C....................................... 225,800 855,929
Martin International Holdings P.L.C................... 135,800 33,525
Marylebone Warwick Balfour Group P.L.C................ 42,023 98,722
Matthews (Bernard) P.L.C.............................. 223,742 418,718
McAlpine (Alfred) P.L.C............................... 171,111 641,809
McBride P.L.C......................................... 10,000 12,503
McCarthy & Stone P.L.C................................ 194,968 683,160
McKay Securities P.L.C................................ 68,500 163,651
McLeod Russel Holdings P.L.C.......................... 149,524 167,895
Meggitt P.L.C......................................... 281,111 734,274
Mentmore Abbey P.L.C.................................. 262,423 641,574
Menzies (John) P.L.C.................................. 5,000 29,067
*Merant P.L.C......................................... 172,500 1,236,341
Merchant Retail Group P.L.C........................... 185,666 208,477
Meristem P.L.C........................................ 84,250 27,508
*Merrydown P.L.C...................................... 59,927 26,725
Metal Bulletin P.L.C.................................. 19,100 497,379
Metalrax Group P.L.C.................................. 358,740 391,388
*Metaltech International P.L.C........................ 401,163 5,431
Meyer International P.L.C............................. 3,770 22,427
Mice Group P.L.C...................................... 15,909 30,279
Microgen Holdings P.L.C............................... 88,000 511,578
Mitie Group P.L.C..................................... 250,000 993,453
Molins P.L.C.......................................... 68,000 151,626
Moorfield Estates P.L.C............................... 333,333 164,580
Morrison Construction Group P.L.C..................... 5,000 25,921
Moss Brothers Group P.L.C............................. 163,400 238,128
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Mowlem (John) & Co. P.L.C............................. 304,026 $ 566,544
Mucklow (A & J) Group P.L.C........................... 175,000 519,821
*NXT P.L.C............................................ 50,000 1,047,207
Nestor Healthcare Group P.L.C......................... 180,200 1,957,383
Network Technology P.L.C.............................. 15,000 11,109
Newcastle United P.L.C................................ 48,000 65,747
Nichols (J.N.) (Vimto) P.L.C.......................... 66,550 143,623
Nightfreight P.L.C.................................... 125,000 109,499
Nord Anglia Education P.L.C........................... 5,000 10,870
Northamber P.L.C...................................... 75,888 132,954
Northern Leisure P.L.C................................ 22,814 61,771
Northgate P.L.C....................................... 118,200 991,180
Novara P.L.C.......................................... 88,591 69,139
*OEM P.L.C............................................ 12,000 4,969
Oasis Stores.......................................... 13,000 37,580
Ocean Wilson Holdings, Ltd............................ 84,250 110,703
Ockham Holdings P.L.C................................. 122,000 170,022
*Octroi P.L.C......................................... 52,760 0
Old English Pub Company P.L.C......................... 25,000 66,695
*Oliver Group P.L.C................................... 68,000 18,953
*Orb Estates P.L.C.................................... 40,000 26,120
Orbis P.L.C........................................... 134,708 43,983
Oriental Restaurants P.L.C............................ 20,000 49,374
Osborne & Little P.L.C................................ 11,200 88,300
*Osprey Communications P.L.C.......................... 23,524 3,559
Owen (H.R.) P.L.C..................................... 30,000 54,232
Oxford Instruments P.L.C.............................. 99,838 344,263
*Oxford Molecular Group P.L.C......................... 41,440 16,500
*PGA European Tour Courses P.L.C...................... 80,000 46,507
PSD Group............................................. 43,500 465,927
PWS Holdings P.L.C.................................... 134,428 35,327
Pace Micro Technology P.L.C........................... 27,000 193,514
*Paladin Resources P.L.C.............................. 74,000 32,412
Paragon Group of Companies P.L.C...................... 47,000 152,709
Parity Group P.L.C.................................... 168,750 721,647
Park Food Group P.L.C................................. 291,600 130,042
*Partners Holdings P.L.C.............................. 40,000 23,254
Partridge Fine Arts P.L.C............................. 58,000 66,050
Paterson Zochonis P.L.C............................... 22,000 141,910
Paterson Zochonis P.L.C. Non-Voting................... 27,000 153,951
Pendragon P.L.C....................................... 95,750 223,415
*Peptide Therapeutics Group P.L.C..................... 35,000 20,068
Perkins Foods P.L.C................................... 280,000 450,418
Perry Group P.L.C..................................... 47,666 87,306
Peterhouse Group P.L.C................................ 45,427 170,751
*Pex P.L.C............................................ 85,517 1,703
Photo-Me International P.L.C.......................... 340,000 2,022,582
Pifco Holdings P.L.C.................................. 32,666 73,359
Pittards P.L.C........................................ 60,985 46,137
Planit Holdings P.L.C................................. 35,000 45,153
*Plantation & General Investment P.L.C................ 70,623 44,430
*Plasmon P.L.C........................................ 100,000 402,159
Plysu P.L.C........................................... 86,858 263,537
Portmeirion Potteries (Holdings) P.L.C................ 22,856 56,425
Porvair P.L.C......................................... 35,000 110,654
Precoat International P.L.C........................... 25,000 56,342
*Premier Consolidated Oilfields P.L.C................. 152,488 38,252
Pressac Holdings P.L.C................................ 176,166 708,468
*Princedale Group P.L.C............................... 250,000 30,859
*Probus Estates P.L.C................................. 83,333 5,973
*Property Partnerships P.L.C.......................... 10,000 12,742
</TABLE>
264
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Proudfoot P.L.C....................................... 202,646 $ 51,641
*Provalis P.L.C....................................... 104,615 24,160
Prowting P.L.C........................................ 157,630 294,994
QS Holdings P.L.C..................................... 95,775 69,407
*Quadrant Group P.L.C................................. 5,662 6,763
*Quality Software Products Holdings P.L.C............. 6,250 65,450
Queensborough Holdings P.L.C.......................... 53,000 13,084
Quick Group P.L.C..................................... 70,807 84,581
Quintain Estates & Development P.L.C.................. 108,350 308,901
*Quintain Estates Letters of Entitlement.............. 25,000 0
RCO Holdings P.L.C.................................... 27,000 89,232
RJB Mining P.L.C...................................... 16,000 8,664
*RMS Communications P.L.C............................. 15,000 0
Radamec Group P.L.C................................... 35,000 17,560
Raglan Property P.L.C................................. 104,631 50,411
Ransom (William) & Son P.L.C.......................... 30,000 21,263
Real Time Control P.L.C............................... 10,000 149,715
*Reece P.L.C.......................................... 283,750 10,168
Reed Executive P.L.C.................................. 116,500 359,968
Reg Vardy P.L.C....................................... 103,597 452,100
Regal Hotel Group P.L.C............................... 700,000 175,596
Regent Inns P.L.C..................................... 85,000 217,285
Reliance Security Group P.L.C......................... 9,000 54,471
Relyon Group P.L.C.................................... 40,777 172,756
Renishaw P.L.C........................................ 146,806 1,206,508
Renold P.L.C.......................................... 144,000 258,019
Ricardo Group P.L.C................................... 84,709 590,261
*Richards P.L.C....................................... 61,500 5,387
Richardsons Westgarth P.L.C........................... 79,911 83,365
*Richmond Oil & Gas P.L.C............................. 220,000 0
Ring P.L.C............................................ 327,496 172,130
*Rodime P.L.C......................................... 261,000 31,177
Rolfe & Nolan P.L.C................................... 24,000 123,276
Roseby's P.L.C........................................ 33,500 175,007
*Ross Group P.L.C..................................... 13,200 315
Rotork P.L.C.......................................... 156,569 773,044
Rowe Evans Investments P.L.C.......................... 86,917 92,058
Roxboro Group P.L.C................................... 5,000 20,387
Roxspur P.L.C......................................... 167,464 110,689
*Royal Doulton P.L.C.................................. 60,000 87,918
Russell (Alexander) P.L.C............................. 47,500 98,350
Rutland Trust P.L.C................................... 544,800 334,068
S & U P.L.C........................................... 21,140 75,084
*SEP Industrial Holdings P.L.C........................ 200,000 46,189
SGB Group P.L.C....................................... 9,000 37,771
SIG P.L.C............................................. 103,200 395,304
STH Staff Water Holdings P.L.C........................ 108,000 550,441
Safeland P.L.C........................................ 25,000 13,936
Salvesen (Christian) P.L.C............................ 100,000 196,700
Sanderson Bramall Motor Group P.L.C................... 68,166 149,282
Sanderson Electronics P.L.C........................... 90,000 299,589
Save Group P.L.C...................................... 175,080 75,290
Saville (J.) Gordon Group P.L.C....................... 379,926 459,885
Savills P.L.C......................................... 104,000 365,240
Scapa Group P.L.C..................................... 30,000 76,211
*Scotia Holdings P.L.C................................ 6,000 14,000
Scottish Metropolitan Property P.L.C.................. 262,499 363,734
Secure Trust Group P.L.C.............................. 27,118 156,568
Seet P.L.C............................................ 7,000 2,620
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Semara Holdings P.L.C................................ 141,800 $ 150,188
Semple Cochrane P.L.C................................. 42,000 239,814
Sennah Rubber Co., Ltd. (Guernsey).................... 1,214 105,137
Severfield-Rowan P.L.C................................ 20,000 71,672
Shaftesbury P.L.C..................................... 112,500 456,909
Shani Group P.L.C..................................... 30,000 18,396
Sharpe & Fisher P.L.C................................. 48,469 256,680
*Sheffield United P.L.C............................... 3,000 788
Sherwood Group P.L.C.................................. 270,000 59,129
Shiloh P.L.C.......................................... 14,500 36,374
*ShopRite Group P.L.C................................. 204,780 61,154
Silentnight Holdings P.L.C............................ 84,300 334,321
Simon Engineering P.L.C............................... 348,089 435,208
Sinclair (William) Holdings P.L.C..................... 53,000 96,654
Sindall (William) P.L.C............................... 66,000 300,640
Singapore Para Rubber Estates P.L.C................... 26,000 38,098
Singer & Friedlander Group P.L.C...................... 364,000 979,771
Sirdar P.L.C.......................................... 120,545 130,555
Skillsgroup P.L.C..................................... 177,250 619,666
Slug and Lettuce Group P.L.C.......................... 25,000 61,917
Smart (J.) & Co. (Contractors) P.L.C.................. 22,500 97,653
*Soco International P.L.C............................. 9,000 11,109
*Solvera P.L.C........................................ 173,158 13,100
Southampton Leisure Holdings P.L.C.................... 19,615 13,121
Southnews P.L.C....................................... 5,000 49,573
Spring Group P.L.C.................................... 94,495 243,063
Springwood P.L.C...................................... 37,500 143,643
St. Modwen Properties P.L.C........................... 50,000 77,844
Stadium Group P.L.C................................... 5,903 8,415
Stanley (Charles) Group P.L.C......................... 19,200 577,198
Stanley Leisure Organisation P.L.C.................... 221,258 801,710
Stat-Plus Group P.L.C................................. 58,000 115,471
Staveley Industries P.L.C............................. 209,500 221,892
Sterling Industries P.L.C............................. 76,000 375,242
Stirling Group P.L.C.................................. 193,011 70,704
*Stoddard Sekers International P.L.C.................. 179,100 14,263
Stoves Group P.L.C.................................... 10,000 8,362
Stratagem Group P.L.C................................. 70,315 73,354
Stylo P.L.C........................................... 127,367 61,872
Swallowfield P.L.C.................................... 15,000 14,693
Swan (John) and Sons P.L.C............................ 1,000 6,928
Swan Hill Group P.L.C................................. 109,500 109,873
Syltone P.L.C......................................... 50,400 83,082
T & S Stores P.L.C.................................... 138,335 815,212
TGI Group P.L.C....................................... 59,560 49,802
*Tadpole Technology P.L.C............................. 100,000 73,265
*Talbex Group P.L.C................................... 38,500 3,066
Tamaris P.L.C......................................... 5,161 2,302
*Tandem Group P.L.C................................... 327,365 41,712
*Tay Homes P.L.C...................................... 52,629 68,316
Taylor Nelson AGB P.L.C............................... 16,975 70,700
Telemetrix P.L.C...................................... 165,708 587,233
Telspec P.L.C......................................... 25,000 47,582
Tex Holdings P.L.C.................................... 14,000 28,430
Thorntons P.L.C....................................... 158,000 479,390
Thorpe (F.W.) P.L.C................................... 24,000 45,297
Tibbett & Britten Group P.L.C......................... 86,123 613,831
Tilbury Douglas P.L.C................................. 186,419 831,352
Time Products P.L.C................................... 90,242 148,760
Tinsley (Eliza) Group P.L.C........................... 19,844 26,865
Topps Tiles P.L.C..................................... 12,000 53,993
Tops Estates P.L.C.................................... 10,088 26,270
</TABLE>
265
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Torday & Carlisle P.L.C............................... 97,500 $ 33,387
Torex P.L.C........................................... 50,000 323,718
*Tottenham Hotspur P.L.C.............................. 150,000 157,678
Town Centre Securities (New) P.L.C.................... 142,137 185,634
*Trace Computers P.L.C................................ 33,552 87,372
*Trafficmaster P.L.C.................................. 20,000 290,510
Transport Development Group P.L.C..................... 19,782 58,603
Transtec P.L.C........................................ 601,525 67,064
Trifast P.L.C......................................... 1,997 31,965
Try Group P.L.C....................................... 152,247 72,746
Ugland International Holdings P.L.C................... 219,500 176,548
Ulster Television, Ltd................................ 115,602 379,288
*Ultima Networks P.L.C................................ 100,000 13,140
*Union P.L.C.......................................... 94,000 44,166
United Industries P.L.C............................... 98,470 98,021
*United Overseas Group P.L.C.......................... 64,209 16,107
*Vanguard Medica Group P.L.C.......................... 8,000 16,883
Vega Group P.L.C...................................... 10,000 105,517
*Vert (Jacques) P.L.C................................. 45,000 12,901
Vibroplant P.L.C...................................... 83,100 77,427
Victoria Carpet Holdings P.L.C........................ 12,000 23,891
Viglen Technology P.L.C............................... 13,791 17,352
Vitec Group P.L.C..................................... 4,500 39,061
Volex Group P.L.C..................................... 58,801 798,391
Vosper Thornycroft Holdings P.L.C..................... 20,000 346,096
WF Electrical P.L.C................................... 32,935 170,482
WSP Group P.L.C....................................... 50,000 219,396
WT Foods P.L.C........................................ 145,194 129,501
Waddington (John) P.L.C............................... 207,285 751,080
Wagon Industrial Holdings P.L.C....................... 80,000 339,566
Walker Greenbank P.L.C................................ 144,462 108,140
Ward Holdings P.L.C................................... 130,000 93,174
Wardle Storeys P.L.C.................................. 46,300 320,780
Warner Estate Holdings P.L.C.......................... 70,000 263,673
*Water Hall Group P.L.C............................... 11,772 3,281
Waterman Partnership Holdings P.L.C................... 45,000 72,747
Wates City of London Properties P.L.C................. 230,000 313,206
*Waverly Mining Finance P.L.C......................... 42,500 4,738
Wellington Holdings P.L.C............................. 9,000 9,676
Wembley P.L.C......................................... 6,053 35,333
Wescol Group P.L.C.................................... 125,000 92,576
Westbury P.L.C........................................ 202,522 859,619
Whatman P.L.C......................................... 48,387 712,865
Whitecroft P.L.C...................................... 105,000 96,160
Whittard of Chelsea P.L.C............................. 30,000 18,157
Widney P.L.C.......................................... 39,528 22,350
*Wiggins Group P.L.C.................................. 1,148,266 578,375
*Willoughby's Consolidated P.L.C...................... 9,000 17,560
*Wilshaw P.L.C........................................ 198,409 156,424
Wilson (Connolly) Holdings P.L.C...................... 51,000 109,658
Windsor P.L.C......................................... 83,441 18,606
Wintrust P.L.C........................................ 22,500 163,950
Wolstenholme Rink P.L.C............................... 15,500 113,560
Wolverhampton & Dudley Breweries P.L.C................ 48,550 417,561
Worthington Group P.L.C............................... 102,653 62,946
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wyevale Garden Centres P.L.C.......................... 5,000 $ 38,504
Wyndeham Press Group P.L.C............................ 63,066 297,822
*YJL P.L.C............................................ 70,932 14,122
Yates Brothers Wine Lodges P.L.C...................... 3,023 16,370
Yorklyde P.L.C........................................ 25,555 28,898
Yorkshire Group P.L.C................................. 82,504 121,550
Young & Co's Brewery P.L.C............................ 10,000 94,766
Young & Co's Brewery P.L.C. Class A................... 5,234 67,940
Young (H.) Holdings P.L.C............................. 49,542 76,933
Yule Catto & Co. P.L.C................................ 7,044 30,460
Zetters Group P.L.C................................... 14,500 29,214
Zotefoams P.L.C....................................... 12,000 23,700
------------
TOTAL COMMON STOCKS
(Cost $105,241,265).................................. 129,922,712
------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling (Cost $110,938)............... 93,410
------------
RIGHTS/WARRANTS -- (0.0%)
*Evans of Leeds Contingent Units...................... 80,000 0
*Jourdan P.L.C. Warrants 1999-2006.................... 4,000 1,274
*Northern Leisure P.L.C. Warrants 08/18/06............ 497 412
*Trafficmaster P.L.C. Rights 12/07/99................. 1,666 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $200).......................................... 1,686
------------
TOTAL -- UNITED KINGDOM
(Cost $105,450,565).................................. 130,017,808
------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
*Lason, Inc. (Cost $360,633).......................... 6,620 161,363
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency (Cost $88)............................. 84
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $789,013) to be
repurchased at $773,114 (Cost $773,000)............. $ 773 773,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $106,486,124)++................................ $130,952,255
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
@ Denominated in local currency.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $107,184,935.
</TABLE>
See accompanying Notes to Financial Statements.
266
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
FRANCE -- (20.8%)
COMMON STOCKS -- (20.8%)
Agricole de la Crau................................... 449 $ 34,133
Apem SA............................................... 1,000 38,262
Assurance Banque Populaire............................ 34 3,201
Assystem SA........................................... 2,657 107,012
Aurea................................................. 600 5,498
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 2,367 307,446
Bains de Mer et du Cercle des Etrangers a Monaco...... 4,615 766,719
Banque Transatlantique................................ 3,030 167,798
Bazar de l'Hotel de Ville SA.......................... 9,950 1,222,260
Berger Levrault SA.................................... 476 64,703
Boiron SA............................................. 3,800 248,701
Bollore Technologies SA............................... 2,245 421,576
Brioche Pasquier SA................................... 2,600 246,345
Burelle SA............................................ 4,030 276,130
CEGID SA.............................................. 4,500 918,885
COM 1 SA.............................................. 450 10,874
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 255 15,919
Cambodge.............................................. 1,605 977,713
#Carbone Lorraine..................................... 33,245 1,223,473
Cegedim SA............................................ 6,400 431,753
*Centrest (Societe Developpement Regional du
Centre-Est)......................................... 1,705 103
Change de la Bourse SA................................ 614 16,074
Christian Dalloz SA................................... 2,022 93,653
Cie Francaise des Ferrailles.......................... 10,576 330,114
*Cofigeo (Cie Financiere Geo)......................... 400 54,775
Compagnie Financiere Saint-Honore..................... 1,188 87,919
Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA........................................... 2,992 1,358,685
Consortium International de Diffusion et de
Representation Sante Cider Sante.................... 600 11,479
Continentale d'Entreprises SA......................... 20,087 813,059
Costimex SA........................................... 700 16,634
Courtois SA........................................... 100 8,559
Credit Foncier et Communal d'Alsace et de Lorraine.... 840 140,569
*Cristalleries de Baccarat............................ 1,567 132,377
Damart SA............................................. 22,900 1,663,614
Deveaux SA............................................ 1,040 69,427
Didot-Bottin.......................................... 1,620 99,990
Dietrich et Cie....................................... 20,775 1,244,626
Distriborg Groupe SA.................................. 1,050 46,497
Docks des Petroles d'Ambes............................ 100 10,170
Docks Lyonnais........................................ 1,147 26,563
#Dynaction SA......................................... 10,660 273,702
*EMI France SA........................................ 300 0
Electricite de Strasbourg............................. 7,928 997,825
*Emprunt Conjoint de Banque du Batiment et des Travaux
Publics et de Financiere de Gestion et
d'Investissement SA................................. 29,814 0
Exacompta Clairefontaine SA........................... 1,600 133,715
Expand SA............................................. 2,060 79,856
Explosifs et de Produits Chimiques.................... 524 80,460
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Faienceries Sarreguemines Digoin et Vitry-le-Francois
SA.................................................. 330 $ 14,952
Fimalac SA............................................ 20,820 2,305,973
Financiere et Immobiliere de l'Etang de Berre et de la
Mediterranee SA..................................... 4,000 14,298
Fininfo SA............................................ 976 190,648
Fives-Lille........................................... 6,526 545,388
Fonciere Lyonnaise SA................................. 753 96,972
Fonderies Franco Belge................................ 492 39,136
Fraikin SA............................................ 3,284 263,041
Francaise des Magasins Uniprix........................ 1,314 149,240
France-Africaine de Recherches Petrolieres
Francarep........................................... 3,864 194,531
*Fromagerie F. Paul Renard............................ 200 35,442
*GCI (Groupe Chatellier Industrie SA)................. 7,258 438
GFI Industries SA..................................... 6,845 137,912
Gantois Series A...................................... 647 79,478
Gascogne SA........................................... 6,472 508,944
Gaumont............................................... 14,500 803,722
Gautier France SA..................................... 1,680 86,608
*#Generale de Geophysique SA.......................... 22,068 1,122,109
Generale de Transport et d'Industrie.................. 11,890 1,350,429
Gevelot............................................... 3,584 158,782
*Gifrer Barbezat SA................................... 550 33,504
Grands Moulins de Strasbourg.......................... 110 24,898
Groupe Guillin SA..................................... 1,200 27,790
Groupe Norbert Dentressangle SA....................... 6,320 139,361
Groupe Zannier SA..................................... 4,100 147,172
Guerbet SA............................................ 1,990 42,078
Guitel-Etienne-Mobilor SA............................. 240 16,457
Guyenne et Gascogne SA................................ 5,200 2,408,474
Hoteliere Lutetia Concorde............................ 2,505 203,798
Hotels et Casinos de Deauville........................ 2,055 351,963
*ICBT Groupe SA....................................... 1,200 16,070
IMS International Metal Service SA.................... 12,630 114,453
Immobanque............................................ 1,098 117,190
Immobiliere Marseillaise.............................. 656 1,532,402
Industrie des Transports.............................. 600 34,315
Industrielle et Financiere d'Entreprise SA............ 300 17,520
Industrielle et Financiere d'Ingenierie SA............ 28,100 795,048
Informatique et Realite SA............................ 2,643 77,175
#Intertechnique SA.................................... 4,150 1,755,004
Jet Multimedia SA..................................... 505 154,577
Lacroix SA, Saint Herbalin............................ 593 14,390
Laurent Bouillet...................................... 480 43,981
*Lectra Systemes SA................................... 19,192 123,675
Legris Industries SA.................................. 29,350 1,122,981
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 1,600 182,045
*MRM.................................................. 1,424 43,731
Manitou SA............................................ 11,092 558,420
*Marie Brizard & Roger International SA............... 306 18,517
Matussiere et Forest SA............................... 13,600 118,450
*#Metaleurop SA....................................... 58,400 464,537
Michel Thierry SA..................................... 700 93,036
*Montupet SA.......................................... 32,450 965,502
*#Moulinex SA......................................... 48,900 457,902
*NAF NAF SA........................................... 4,200 52,862
</TABLE>
267
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Nord-Est SA........................................... 2,707 $ 72,775
*Nordon & Cie......................................... 800 55,580
*Olipar............................................... 250 2,127
PSB Industries SA..................................... 1,240 95,513
Papiers Peints (Societe Francaise des)................ 200 19,534
*Parc Asterix SA...................................... 822 19,111
Parisienne de Chauffage Urbain........................ 200 13,492
*Paul Predault SA..................................... 2,199 27,234
*Pier Import Europe SA................................ 12,100 111,477
Plastic Omnium........................................ 11,036 1,122,313
Radiall SA............................................ 1,340 110,434
Robertet SA........................................... 269 39,274
*Rocamat.............................................. 5,579 8,819
Rochefortaise Communication SA........................ 10,420 1,925,239
*Rochette............................................. 84,470 568,146
Rougier SA............................................ 2,040 122,319
*Rouleau-Guichard SA.................................. 300 11,720
SAMSE SA.............................................. 1,100 304,583
*SDR de Bretagne SA................................... 714 6,362
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................. 463 12,680
SOGEPAG (Societe Exploitation de Parces et Gauges).... 379 14,852
Sabate SA............................................. 600 73,704
Sabeton............................................... 1,350 221,566
*Saupiquet............................................ 4,500 344,355
Sechilienne........................................... 220 54,493
Securidev SA.......................................... 1,500 14,273
*Selectibanque SA..................................... 7,100 100,013
Sidergie SA........................................... 800 128,076
Signaux et d'Equipements Electroniques SA............. 23,983 964,478
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,064 508,733
#Skis Rossignol SA.................................... 41,668 599,956
Smoby SA.............................................. 500 21,447
Societe des Immeubles de France....................... 105,056 2,014,042
Societe Financiere Immobail SA........................ 4,807 176,664
Soie SA............................................... 390 14,345
Solitaire Produits d'Entretien Francais Prodef........ 300 27,186
Sommer-Allibert SA.................................... 12,900 317,058
#Sophia SA............................................ 11,700 460,738
Sopra SA.............................................. 6,900 487,716
Sucriere de Pithiviers-le-Vieil....................... 1,825 646,273
Sylea SA.............................................. 4,159 212,732
Taittinger SA......................................... 2,540 1,575,416
Tanneries de France................................... 158 6,204
Teisseire France SA................................... 700 15,041
Touax (Touage Investissement SA)...................... 8,649 329,184
*Trouvay et Cauvin SA................................. 1,500 18,215
Unilog SA............................................. 6,320 493,173
Union Generale du Nord SA............................. 994 50,142
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 31,700 1,235,239
Vermandoise de Sucreries.............................. 323 232,536
Via Banque............................................ 20,692 558,156
Viel et Cie........................................... 3,519 101,691
*Vilmorin et Cie SA................................... 2,349 181,882
Virax................................................. 954 33,735
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Virbac SA............................................. 1,713 $ 103,143
Vulcanic SA........................................... 400 16,110
------------
TOTAL COMMON STOCKS
(Cost $42,637,307)................................... 52,647,466
------------
RIGHTS/WARRANTS -- (0.0%)
*Continental d'Enterprises SA Warrants 10/31/01....... 2,707 3,025
*Fonciere Lyonnaise SA Warrants 07/30/02.............. 4,515 1,409
*Touax (Touage Investissement) SA Warrants 12/03/99... 3 1
------------
TOTAL RIGHTS/WARRANTS
(Cost $3,178)........................................ 4,435
------------
TOTAL -- FRANCE
(Cost $42,640,485)................................... 52,651,901
------------
GERMANY -- (19.4%)
COMMON STOCKS -- (19.4%)
*A. Friedrich Flender AG.............................. 9,000 72,496
Aachener Strassenbahn und Energieversorguns AG........ 161 32,989
*Agrob AG............................................. 290 178,118
*Aigner (Etienne) AG.................................. 600 78,537
*Alexanderwerk AG..................................... 60 2,417
Alsen AG, Hamburg..................................... 16,400 363,285
Alte Leipziger Versicherungs AG Series C.............. 1,043 630,110
Amira Verwaltungs AG.................................. 200 82,162
Andreae-Noris Zahn AG, Anzag.......................... 27,200 687,422
Anterra Vermoegensverwaltungs AG...................... 1,350 100,588
Apoca Parking AG...................................... 1,650 116,295
*Augsburger Kammgarn Spinnerei AG..................... 660 6,380
Balcke-Duerr AG....................................... 32,910 298,230
Barmag AG............................................. 13,000 235,612
Bayerische Handelsbank AG............................. 25,050 807,121
Berliner Elektro Holding AG........................... 11,061 90,768
Berliner Kindl-Brauerei AG............................ 790 159,088
Binding-Brauerei AG................................... 2,925 589,029
Biotest AG............................................ 8,060 87,242
Blaue Quellen Mineral und Heilbrunnen AG.............. 267 116,945
*Bochum-Gelsenkirchener Strassenbahnen AG............. 201 27,322
Boewe Systec AG....................................... 3,000 66,515
*Brau und Brunnen AG.................................. 4,995 225,820
*Bremer Woll-Kaemmerei AG............................. 19,960 66,925
Brillant AG........................................... 1,310 167,516
Buckau (Walther) AG................................... 780 80,108
Ceag Industrie-Aktien und Anlagen AG.................. 2,067 228,936
*Concordia Bau und Boden AG........................... 73,288 361,584
*Data Modul AG........................................ 2,400 49,539
*Deutsche Babcock AG, Oberhausen...................... 2,900 112,419
Deutsche Hypoteken Bank AG, Frankfurt/Hamburg......... 28,295 797,716
Deutsche Spezialglas AG............................... 1,600 288,372
Deutsche Steinzeug Cremer & Breuer AG................. 43,600 381,932
Deutsche Verkehrs-Bank AG............................. 5,343 454,593
*Dierig Holding AG.................................... 1,500 132,909
Doag-Holding AG....................................... 7,500 31,339
*Dortmunder Actien-Brauerei AG........................ 1,650 56,652
Duerr Beteiligungs AG................................. 31,750 704,909
Duerrkopp Adler AG.................................... 400 22,151
</TABLE>
268
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Dyckerhoff AG......................................... 9,750 $ 314,149
Dyckerhoff and Widmann AG............................. 49,190 344,225
Eichbaum-Brauereien AG, Mannheim...................... 672 64,618
Erlus Baustoffwerke AG................................ 297 68,780
*Erste Kulmbacher Actien Brauerei AG.................. 432 12,788
Escada AG............................................. 2,052 234,506
Forst Ebnath AG....................................... 460 7,225
Fraenkisches Ueberlandwerk AG, Nuernberg.............. 658 106,005
Fuchs Petrolub AG Oel & Chemie........................ 2,231 140,398
Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos)....... 55 3,223
Gerresheimer Glas AG.................................. 23,800 378,630
Gilde Brauerei AG..................................... 1,200 434,975
Gildemeister AG....................................... 14,000 86,129
Goldschmidt (T.H.) AG................................. 83,200 2,127,834
Hagen Batterie AG..................................... 870 84,971
Hamborner AG.......................................... 21,000 486,326
Hamburger Hochbahn AG Series A........................ 1,800 87,901
#Harpener AG.......................................... 7,100 1,408,333
Hasen-Braeu AG........................................ 100 43,296
Heilit & Woerner Bau AG............................... 1,701 90,774
*Heinrich Industrie & Handels AG, Essen............... 3,500 70,482
*Herlitz AG........................................... 3,462 49,848
Holsten-Brauerei AG................................... 30,770 540,634
Horten AG............................................. 33,800 484,967
Hucke AG.............................................. 8,300 33,429
ICN (Immobilien Consult Nuernberg AG)................. 707 832,887
IFA Hotel & Touristik AG.............................. 7,000 109,388
Iwka AG............................................... 62,240 1,193,838
Jacobsen (W.) AG, Kiel................................ 37 45,414
K & S Aktiengesellschaft AG........................... 129,500 1,701,614
KSB AG................................................ 2,387 254,765
KWS Kleinwanzlebener Saatzucht AG..................... 1,650 896,970
Kampa-Haus AG......................................... 12,375 152,638
*Kaufring AG.......................................... 2,203 25,953
Kempinski AG, Berlin.................................. 686 203,764
Keramag Keramische Werke AG........................... 13,000 693,745
Kiekert AG............................................ 12,950 332,499
*Kloeckner Humboldt-Deutz AG.......................... 16,750 83,821
*Kloeckner-Werke AG................................... 23,800 1,845,221
Km-Europa Metal AG.................................... 26,440 1,566,710
*Kolb und Schuele AG.................................. 10,000 33,227
Kolbenschmidt Pierburg AG, Duesseldorf................ 37,500 572,038
Kraftuebertragungswerke Rheinfelden AG................ 4,684 1,296,971
Kraftwerk Altwuerttemberg AG.......................... 125 78,034
Kromschroeder (G.) AG................................. 26,520 157,546
Kupferberg (Christian Adalbert) & Cie KG A.A.......... 151 85,142
Lehnkering AG......................................... 15,300 190,719
Leifheit AG........................................... 12,500 366,255
Leoni AG.............................................. 25,000 755,165
MG Vermoegensverwaltungs AG........................... 3,734 244,382
*MLF Holding fuer Umwelttechnologie AG................ 165 0
*MLF Holding fuer Umwelttechnologie AG................ 33 0
*Maihak (H.) AG....................................... 143 21,598
Main Kraftwerke AG.................................... 1,172 584,135
Mannheimer Aktiengesellschaft Holding AG.............. 27,580 1,307,964
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Markt und Kuehlhallen AG.............................. 14,000 $ 197,350
*Maternus-Kliniken AG, Bad Oyenhausen................. 2,400 21,265
*Mauser Waldeck AG.................................... 1,667 149,385
*Moenus Textilmaschinen AG............................ 5,250 13,321
*Moksel (A.) AG....................................... 15,800 66,817
Mueller-Weingarten AG................................. 11,580 139,917
*Neue Baumwoll-Spinnerei ud Weberei Hof AG............ 12,170 96,805
*Niedermayr Papierwarenfabrik AG...................... 60 11,418
Norddeutsche Steingutfabrik AG........................ 5,960 79,814
Nuernberger Hypothekenbank AG......................... 26,260 951,871
Otavi Minen AG........................................ 600 52,257
*Otto Reichelt AG..................................... 11,950 81,820
*Parkbrauerei AG...................................... 3,000 18,728
Patrizier-Braeu AG.................................... 75 19,785
*Pfaff (G.M.) AG...................................... 80,000 72,496
*Pfleiderer AG........................................ 8,300 102,793
Phoenix AG, Hamburg................................... 37,500 498,409
Plettac AG............................................ 5,554 148,195
Progress-Werk Oberkirch AG............................ 5,000 90,620
*Reichelbraeu AG, Kulmbach............................ 550 77,530
*Reichelt (F.) AG..................................... 1,290 66,243
Reiter Ingolstadt Spinnereimaschinen AG............... 1,200 94,861
*Renk AG.............................................. 19,400 236,357
Rheinboden Hypothekenbank AG.......................... 26,500 613,698
Rheinmetall Berlin AG................................. 45,000 675,118
Rhoen Klinikum AG..................................... 19,800 787,486
*Rothenberger AG...................................... 3,000 27,488
Salamander AG......................................... 51,720 676,991
Schmalbach-Lubeca AG.................................. 1,000 127,875
*Schneider Rundfunkwerke AG........................... 9,340 253,917
Schwaebische Zellstoff AG............................. 1,925 312,059
Scor Deutschland Rueckversicherungs AG................ 1,872 232,030
Sektkellerei Schloss Wachenheim AG.................... 15,120 172,033
Sinalco AG............................................ 110 68,116
Sinn AG............................................... 2,789 393,149
Sinner AG, Karlsruhe.................................. 4,160 50,264
Sloman Neptune AG..................................... 700 3,877
Stern-Brauerei Carl Funke AG.......................... 1,100 55,379
*Stoehr & Co. AG...................................... 16,000 82,162
Stollwerck AG......................................... 1,018 451,005
*Strabag AG........................................... 3,332 125,811
*Stumpf (Otto) AG..................................... 2,275 13,744
Stuttgarter Hofbraeu AG............................... 18,000 315,357
Sued-Chemie AG........................................ 29,146 1,203,216
Sueddeutsche Bodencreditbank AG....................... 36,010 1,323,417
*Terrex Handels AG.................................... 1,250 201,377
*Triton-Belco AG, Hamburg............................. 1,186 20,301
Tucher Braeu AG....................................... 750 48,331
VBH (Vereinigter Baubeschlag-Handel) AG............... 9,415 143,146
VGT AG................................................ 586 79,655
VK Muehlen AG......................................... 1,312 83,225
Varta AG.............................................. 55,000 567,633
Vereinigte Deutsche Nickel-Werke AG................... 13,800 250,111
Vossloh AG............................................ 15,900 258,553
Walter AG............................................. 13,500 237,877
*Wanderer-Werke AG.................................... 1,437 130,221
Weinig (Michael) AG................................... 23,400 412,320
Weru AG............................................... 150 39,269
Westag and Getalit AG, Rheda-Wiedenbrueck............. 7,000 111,362
</TABLE>
269
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Wickrather Bauelemente AG............................ 1,550 $ 14,436
Wuerttembergische Hypotheken Bank AG.................. 19,714 1,012,338
Wuerttembergische Lebensversicherung AG............... 4,430 142,736
Wuerttembergische Metallwarenfabrik AG................ 30,330 459,610
Wuerttembergische und Badische Versicherungs AG....... 2,240 245,842
Wuerzburger Hofbraeu AG............................... 133 65,619
*Zanders Feinpapiere AG............................... 4,450 291,242
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn
AG.................................................. 2,091 578,985
------------
TOTAL COMMON STOCKS
(Cost $47,513,312)................................... 48,975,378
------------
PREFERRED STOCKS -- (0.0%)
Westag & Getalit
(Cost $38,373)...................................... 2,600 36,127
------------
TOTAL -- GERMANY
(Cost $47,551,685)................................... 49,011,505
------------
SWITZERLAND -- (12.4%)
COMMON STOCKS -- (12.3%)
AFG Arbonia Foster Holding AG, Arbon.................. 522 255,606
*Accumulatoren-Fabrik Oerlikon, Zuerich............... 30 20,838
Afipa SA, Vevey....................................... 20 3,771
Afipa SA, Vevey Series A.............................. 80 17,600
Aletsch AG, Moerel.................................... 50 125,717
Ascom Holding AG, Bern................................ 907 1,929,872
*Attisholz Holding AG, Attisholz...................... 1,079 609,060
BHB Beteiligungs und Finanzgesellschaft............... 150 9,429
BKW FMB Energie AG, Bern.............................. 600 1,018,304
*BKW FMB Energie AG, Bern............................. 60 99,945
BVZ (Brig Visp Zermatt) Holding AG.................... 370 77,215
Bank Sarasin & Cie Series B, Basel.................... 274 487,416
Banque Cantonale de Geneve............................ 840 145,731
*Banque Cantonale du Jura............................. 450 43,844
Banque Privee Edmond de Rothschild SA, Geneve......... 120 528,010
Basellandschaftliche Kantonalbank..................... 500 181,032
Basler Kantonalbank................................... 1,000 182,289
Bobst SA, Prilly...................................... 100 116,288
Bobst SA, Prilly (Namen).............................. 90 52,330
Bon Appetit Holding AG................................ 275 227,138
Bossard Holding AG, Zug............................... 635 263,040
Bucher Holding AG, Niederweningen..................... 671 537,768
CKW (Centralschweizerische Kraftwerke), Luzern........ 670 626,672
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating)..................................... 1,500 123,517
Calida Holding AG..................................... 396 79,654
Canon (Schweiz) AG, Dietlikon......................... 3,706 202,087
*Carlo Gavazzi Holding AG, Baar Series B.............. 91 61,720
Cie Financiere Tradition.............................. 1,250 99,395
Coop Bank, Basel...................................... 941 643,548
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen).................................. 330 61,193
Daetwyler Holding AG, Atldorf......................... 348 500,930
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.......................................... 8,390 1,344,822
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Edipresse SA, Lausanne................................ 694 $ 324,996
Eichhof Holding AG.................................... 188 132,354
Energie Electrique du Simplon SA...................... 350 44,221
Escor AG, Duedingen................................... 496 11,068
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 1,602 573,984
Financiere Michelin, Granges-Paccot................... 637 259,864
Forbo Holding AG, Eglisau............................. 1,100 507,518
Fuchs Petrolub AG..................................... 2,001 116,975
Fuchs Petrolub AG Non-Voting Preferred................ 2,001 122,006
Galenica Holding AG, Bern Series B.................... 405 262,213
Generale d'Affichage, Geneve.......................... 290 145,831
Generali (Switzerland) Holdings, Adliswil............. 1,670 532,215
Golay-Buchel Holding SA, Lausanne..................... 40 35,703
Gornergrat Monte Rasa-Bahnen Zermatt.................. 70 58,961
Gurit-Heberlein AG.................................... 1,125 565,725
*HPI Holding SA, Yverdon-les-Bains.................... 200 91,145
Hero AG............................................... 3,040 341,094
Industrieholding Cham AG, Cham........................ 432 310,379
Jelmoli Holding AG, Zuerich........................... 1,521 1,697,032
Jelmoli Holding AG, Zuerich (Namen)................... 2,835 623,711
Kardex AG, Zuerich.................................... 693 196,024
Kardex AG, Zuerich (Participating).................... 610 161,426
*Keramik Holding AG Laufen, Laufen.................... 600 216,861
Kraftwerk Laufenburg, Laufenburg...................... 8,265 1,233,869
Kuehne & Nagel International AG, Schindellegi......... 162 116,087
Lem Holdings AG, Lyss................................. 270 42,429
Loeb Holding AG, Bern (Participating)................. 620 109,901
*Logitech International SA, Apples.................... 4,805 1,120,546
*Maag Holding AG, Zuerich............................. 820 177,826
Mikron Holding AG, Biel............................... 1,224 432,395
#Moevenpick-Holding, Zuerich.......................... 1,320 622,297
*Netstal-Maschinen AG, Nafaels........................ 2 1,999
*Nextrom Holding SA................................... 277 31,341
*Omnium Geneve SA, Geneve............................. 110 69
*Orell Fuessli Graphische Betriebe AG, Zuerich........ 240 565,725
Oz Holding, Zuerich................................... 440 381,676
*Parco Industriale e Immobiliare SA................... 600 1,320
Phoenix Mecano AG, Stein am Rhein..................... 2,749 1,192,302
Phonak Holding AG Series B............................ 230 394,687
Sarna Kunststoff Holding AG, Sarnen................... 176 191,391
Schweizerhall Holding AG, Basel....................... 140 137,283
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 132 239,626
Siegfried AG, Zofingen................................ 856 723,700
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 320 175,802
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich..... 10 2,357
Sika Finanz AG, Baar.................................. 800 257,468
Sika Finanz AG, Baar (Namen).......................... 750 37,008
Sopracenerina......................................... 2,409 186,254
*Suedelektra Holding AG, Zug.......................... 520 480,162
Swisslog Holding AG................................... 2,500 443,151
*Tege SA.............................................. 1,800 16,972
UMS Schweizerische Metallwerke Holding AG, Bern....... 2,560 202,353
Unigestion Holding, Geneve............................ 2,891 176,272
</TABLE>
270
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Vaudoise Assurances Holding, Lausanne................. 45 $ 93,373
Villars Holding SA, Fribourg.......................... 150 28,333
*Von Moos Holding AG, Luzern.......................... 7,000 59,401
Von Roll Holding AG, Gerlafingen...................... 32,024 457,952
WMH Walter Meier Holding AG, Staefa................... 50 42,901
Zehnder Holding AG.................................... 193 104,332
Zellweger Luwa AG, Uster.............................. 804 434,122
*Zschokke Holding SA, Geneve.......................... 230 72,142
*Zueblin Holding AG................................... 93 713
Zuercher Ziegeleien Holding, Zuerich.................. 1,415 1,449,795
Zuger Kantonalbank.................................... 500 660,012
*Zuger Kantonalbank Em 99............................. 45 60,108
------------
TOTAL COMMON STOCKS
(Cost $21,560,255)................................... 31,164,539
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs
(Cost $159,375)..................................... 152,944
------------
RIGHTS/WARRANTS -- (0.0%)
*Mikron Holdings AG Options 12/15/99
(Cost $967)......................................... 1,224 12,002
------------
TOTAL -- SWITZERLAND
(Cost $21,720,597)................................... 31,329,485
------------
ITALY -- (10.8%)
COMMON STOCKS -- (10.8%)
Acquedotto de Ferrari Galliera SpA.................... 40,000 284,748
Allianz Subalpina SpA................................. 55,125 502,317
*Ansaldo Trasporti SpA................................ 169,533 201,085
*Auschem SpA (In Liquidation)......................... 82,000 0
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 120,000 366,104
Bassetti SpA.......................................... 61,500 353,584
*Bastogi SpA.......................................... 1,183,000 119,115
*Binda SpA............................................ 1,299,375 24,335
Boero (Bartolomeo) SpA................................ 8,925 88,517
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma................................................ 8,600 93,953
*Brioschi Finanziaria SpA, Milano..................... 175,000 35,241
#Buzzi Unicem SpA..................................... 108,600 1,202,827
CALP (Cristalleria Artistica la Piana SpA)............ 48,000 151,275
CAMFIN (Cam Finanziaria).............................. 28,700 50,860
CEMENTIR (Cementarie del Tirreno SpA), Roma........... 480,219 585,067
CMI SpA............................................... 51,603 82,094
Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica...................................... 297,550 272,036
*Calcestruzzo ed il Cemento SpA....................... 464,040 424,717
Caltagirone SpA....................................... 343,085 433,537
Cartiere Burgo SpA.................................... 42,500 288,851
Cementeria di Augusta SpA............................. 105,000 206,160
#Cia Assicuratrice Unipol SpA......................... 199,333 752,647
Condotta Acque Potabili SpA, Torino................... 28,000 200,169
*Cucirini SpA......................................... 30,000 20,420
*Dalmine SpA.......................................... 1,976,700 411,995
#Danieli & C.Officine Meccaniche SpA.................. 66,500 374,965
*Dataconsyst C.G.S. SpA, Monza........................ 220 0
*Del Favero SpA....................................... 86,000 0
*FMC (Fabbrica Milanese Condutorri SpA)............... 25,000 0
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*#FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)........ 171,500 $ 402,347
*Fabbrica Italiana Magneti Marelli SpA................ 143,833 485,159
Falck (Acciaierie & Ferriere Lombarde)................ 160,800 1,126,876
Finarte Casa d'Aste SpA (Milano)...................... 56,266 204,519
*Finarte Partecipazioni Pro Arte SpA.................. 162,693 147,432
*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 Partecipazioni
SpA................................................. 310,000 0
Gabetti Holding SpA................................... 55,000 88,606
*Gerolimich SpA (In Liquidation)...................... 297,400 0
#Gewiss SpA........................................... 221,700 1,274,625
*Gottardo Ruffoni SpA................................. 279,832 0
*Grassetto SpA........................................ 279,125 0
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA)......... 34,500 203,562
Immobiliare Metanopoli SpA............................ 1,062,500 1,604,726
Impregilo SpA......................................... 532,000 337,468
Industria Macchine Automatique SpA.................... 23,000 176,004
Industrie Zignago S. Margherita SpA................... 52,000 439,285
Ipi SpA............................................... 70,700 242,036
Linificio and Canapificio Nazionale SpA............... 22,000 30,458
Maffei SpA............................................ 52,500 62,430
*Mandelli SpA......................................... 41,000 0
Manifattura Lane Gaetano Marzotto & Figli SpA......... 138,000 1,168,573
Marangoni SpA, Rovereto............................... 34,303 100,509
Merloni Elettrodomestici SpA.......................... 155,000 596,178
Milano Assicurazioni SpA.............................. 264,057 707,229
Monrif SpA............................................ 210,000 344,657
Montefibre SpA, Milano................................ 275,267 165,743
*Necchi SpA........................................... 164,250 44,488
*Perlier SpA.......................................... 100,700 26,007
Pininfarina SpA....................................... 62,570 1,612,824
Poligrafici Editoriale SpA............................ 226,000 622,367
*Premafin Finanziaria SpA............................. 716,000 371,280
*Premaimm SpA......................................... 179,000 61,640
*Ratti SpA............................................ 66,768 147,229
#Recordati Industria Chimica E Farmaceutica SpA....... 24,000 185,589
Reno de Medici SpA, Milano............................ 100,500 246,909
Riva Finanziaria SpA.................................. 47,600 162,955
*Rodriquez SpA........................................ 41,250 0
SAES Getters SpA...................................... 14,750 196,041
SISA (Societa Imballaggi Speciali Asti SpA)........... 65,000 44,504
SMI STA Metallurgica Italiana SpA..................... 565,280 332,966
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 85,000 60,338
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali) SpA....................................... 175,500 1,390,697
Saiag SpA (Industrie Articoli Gomma).................. 30,000 153,148
*Schiapparelli 1824 SpA, Milano....................... 15,000 2,326
Simint SpA............................................ 79,988 645,116
Snia BPD SpA.......................................... 65,600 66,514
Sogefi SpA............................................ 182,500 426,316
</TABLE>
271
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sondel Nordelettrica SpA.............................. 191,992 $ 558,678
Sorin Biomedica SpA................................... 275,610 788,123
Stefanel SpA.......................................... 180,800 304,015
Terme Demaniali di Acqui SpA.......................... 39,900 31,537
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste.................................. 113,898 0
*Unione Manifatture SpA (In Liquidation).............. 156,000 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation)........................................ 539,000 0
Vianini Industria SpA................................. 101,000 77,289
Vianini Lavori SpA.................................... 347,600 535,491
Vittoria Assicurazioni SpA............................ 51,500 210,530
Zucchi (Vincenzo) SpA................................. 89,000 546,639
------------
TOTAL -- ITALY
(Cost $28,052,125)................................... 27,286,597
------------
SPAIN -- (7.3%)
COMMON STOCKS -- (7.3%)
Ahorro Familiar SA.................................... 6,051 91,634
#Amper SA............................................. 56,800 476,975
*Asturiana del Zinc SA................................ 33,100 365,941
Azkoyen SA............................................ 52,500 473,640
*BAMI SA (Inmobiliara de Construcciones y Terrenos)... 28,360 89,664
Banco de Credito Balear SA............................ 35,424 559,987
Banco de Galicia SA................................... 75,500 1,071,882
Banco de Valencia SA.................................. 154,050 1,287,421
Banco de Vasconia SA.................................. 89,000 851,323
Banco Guipuzcoano SA.................................. 21,194 262,482
Banco Zaragozano SA................................... 112,794 1,027,816
Bodegas y Bebedas SA.................................. 39,504 358,382
CAF (Construcciones y Auxiliar de Ferrocarriles SA)... 7,500 167,571
*CAI (Corporacion Alimentaria Iberica SA)............. 11,200 0
CARTEMAR (Cartera de Valores del Mar SA).............. 4,016 19,005
*CINSA (Compania de Inversiones SA)................... 1,400 5,780
Campofrio Alimentacion S.A............................ 69,600 923,646
*El Aguila SA......................................... 39,200 357,993
Elecnor SA............................................ 6,100 236,467
Empresa Nacional de Celulosa SA....................... 8,200 155,222
Energia e Industrias Aragonesas SA.................... 12,340 60,137
*Ercros SA............................................ 48,518 29,311
*Erpo SA.............................................. 3,289 1,373
*Espanola del Zinc SA................................. 9,750 45,159
*Estacionamientos Urbanos SA.......................... 4,200 0
*#Europistas Concesionaria Espanola SA................ 119,698 680,951
*Europistas Concesionaria Espanola SA Em 99........... 55,242 302,030
*Filo SA.............................................. 78,833 102,395
*Grupo Picking Pack SA................................ 62,475 223,314
Hullas del Coto Cortes................................ 8,666 98,164
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas.......................................... 135,210 895,809
Inbesos SA............................................ 8,050 26,748
Indo Internacional SA................................. 33,600 170,849
Inmobiliaria del Sur SA............................... 1,380 73,296
*Inmobiliaria Urbis SA................................ 74,582 381,486
Inmobiliaria Zabalburu SA............................. 23,200 230,327
Koipe SA, San Sebastian............................... 16,800 395,489
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*LSB (La Seda de Barcelona SA) Series B............... 25,200 $ 103,778
Lingotes Especiales SA................................ 22,080 76,701
Marco Iberica Distribucion de Ediciones Midesa........ 5,600 111,362
*Max Center Leisa SA.................................. 3,000 4,992
Nicolas Correa SA..................................... 15,750 62,324
*Nueva Montana Quijano SA Series B.................... 80,500 48,633
Obrascon Huarte Lain SA............................... 53,992 340,861
Papelera de Navarra SA................................ 6,000 111,764
*Pascual Hermanos SA.................................. 7,610 3,678
Pescanova SA.......................................... 16,252 173,458
Portland Valderrivas SA............................... 18,225 448,303
Prim SA............................................... 3,100 28,716
Prosegur Cia de Seguridad SA.......................... 7,000 61,390
*Radiotronica SA...................................... 10,575 150,986
Reno de Medici SpA.................................... 147,140 346,679
*Sotogrande SA........................................ 62,786 214,310
Tableros de Fibras SA Series B........................ 8,560 103,427
Tavex Algodonera SA................................... 26,400 61,936
Transportes Ferroviarios Especiales Tranfesa.......... 21,000 266,634
Uniland Cementera SA.................................. 5,750 299,322
Unipapel SA........................................... 20,968 177,344
Uralita SA............................................ 101,725 696,494
Vidrala SA, Alava..................................... 47,040 370,860
Viscofan Industria Navarra de Envolturas Celulosicas
S.A................................................. 97,492 735,244
*Zeltia SA............................................ 58,624 1,011,145
------------
TOTAL -- SPAIN
(Cost $14,767,808)................................... 18,510,010
------------
NETHERLANDS -- (7.0%)
COMMON STOCKS -- (7.0%)
A.I.R. Holdings NV.................................... 1,119 33,463
ACF Holding NV (Certificate).......................... 12,757 186,250
Aalberts Industries NV................................ 24,593 403,627
Accell Group NV....................................... 4,662 41,543
Atag Group NV......................................... 4,630 51,281
Athlon Groep NV....................................... 34,250 698,339
Bam Groep NV.......................................... 5,573 268,785
Batenburg Beheer NV................................... 1,000 88,606
Beers NV.............................................. 16,625 594,252
#Begemann Groep NV.................................... 11,909 93,530
*Begemann Groep NV Series B........................... 13,451 27,087
Boskalis Westminster NV............................... 46,876 764,621
Creyf's SA............................................ 18,064 429,246
Creyf's SA Strip VVPR................................. 18,064 182
*Delft Instruments NV................................. 13,064 111,809
Econosto NV........................................... 16,811 146,417
Eriks Holdings NV..................................... 4,000 171,775
GTI Holding........................................... 18,535 365,788
Gamma Holding NV...................................... 14,879 595,514
Gemeenschappeljk Bezit Crown van Gelder NV............ 12,000 148,616
Geveke NV............................................. 8,536 335,197
Grolsche NV........................................... 32,100 654,502
Hoek's (W.A.) Machine & Zuurstoffafabriek NV.......... 14,850 586,877
*Hollandia Industriele Maatschappij NV................ 542 28,405
Hollandsche Beton Groep NV............................ 55,131 496,821
Internatio-Mueller NV................................. 27,400 474,526
Kas-Associatie NV..................................... 40,680 409,602
Kempen & Co. NV....................................... 21,232 823,062
Koninklijke Ahrend NV................................. 31,344 331,379
Koninklijke Frans Maas Groep NV....................... 11,663 290,060
</TABLE>
272
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Koninklijke Ten Cate NV............................... 9,707 $ 347,949
Koninklijke Ubbink NV................................. 1,500 56,637
Krasnapolsky Hotels & Restaurants NV.................. 3,278 204,636
MacIntosh NV.......................................... 15,053 378,917
NBM-Amstelland NV..................................... 58,192 673,817
Nagron Nationaal Grondbezit NV........................ 15,316 319,225
Nederlandsche Apparatenfabriek........................ 14,000 257,260
Nedlloyd Groep NV, Rotterdam.......................... 23,472 622,747
Norit NV.............................................. 24,731 184,270
Polynorm NV........................................... 3,545 209,882
Reesink NV............................................ 2,050 107,334
Roto Smeets de Boer NV................................ 1,000 27,287
Rubber Cultuur Maatschappij Amsterdam NV.............. 40,800 73,124
Samas-Groep NV, Zaandam............................... 23,033 288,736
Schuitema NV, Amersfoort.............................. 300 791,413
Schuttersveld NV...................................... 20,596 335,953
Smit International NV................................. 18,582 406,006
*Sphinx NV............................................ 18,968 238,733
*Textielgroep Twenthe NV.............................. 1,000 71,489
Twentsche Kabel Holding NV............................ 16,853 466,649
Unique International NV............................... 10,477 242,103
Van der Mollen Holding NV............................. 17,821 864,888
*Van Dorp Groep NV.................................... 3,327 37,854
*Van Heek-Tweka NV.................................... 3,880 14,845
Vredestein NV......................................... 15,514 167,924
Wegener Arcade NV .................................... 69,015 785,240
------------
TOTAL -- NETHERLANDS
(Cost $11,579,823)................................... 17,826,080
------------
SWEDEN -- (6.5%)
COMMON STOCKS -- (6.5%)
*Active I Malmoe AB Series A.......................... 4,160 69,488
*Active I Malmoe AB Series B.......................... 4,160 69,488
Allgon AB Series B.................................... 65,400 1,038,579
Alma Industri & Handel AB Series B.................... 5,200 92,059
*Althin Medical AB Series B........................... 4,800 32,184
Anders Dioes AB....................................... 28,800 162,954
Angpannefoereningen AB Series B....................... 10,800 125,138
*Argonaut AB Series A................................. 81,000 75,273
*Argonaut AB Series B................................. 49,800 46,279
Arkivator AB.......................................... 1,800 33,455
*Avesta Sheffield AB.................................. 47,400 229,722
B & N Bylock & Nordsjoefrakt AB Series B.............. 41,800 59,496
BT Industrie AB....................................... 8,400 158,098
Beijer AB Series B.................................... 11,700 132,125
Berg (C.F.) & Co. AB Series B......................... 6,200 16,045
Bergman & Beving AB Series B.......................... 8,000 91,283
*Biacore International AB............................. 2,900 22,515
*Biora AB............................................. 6,200 25,307
Bong Ljungdahl AB..................................... 6,000 69,168
Boras Waefveri AB Series B............................ 8,600 46,535
Capona AB............................................. 19,000 78,226
Carbo AB.............................................. 11,100 212,833
Castellum AB.......................................... 15,000 142,924
Catena AB Series A.................................... 66,700 533,535
Celsius Industrier AB Series B........................ 60,100 1,230,132
*Cloetta AB Series B.................................. 1,400 22,727
Concordia Maritime AB Series B........................ 37,300 39,489
Diligentia AB......................................... 18,800 142,641
Doro AB............................................... 2,900 27,120
Enea Data AB Class B.................................. 8,000 286,083
Entra Data AB Series A................................ 3,800 90,742
Esselte AB Series A................................... 40,100 273,590
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Esselte AB Series B................................... 34,500 $ 239,441
*Evidentia Fastigheter AB Series A.................... 16,120 142,218
*Evidentia Fastigheter AB Series B.................... 1,000 8,881
FFNS Gruppen AB Series B.............................. 23,450 248,264
Fagerhult AB.......................................... 2,900 27,291
*Fagerlid Industrier AB............................... 8,600 19,019
Fastighets AB Tornet.................................. 10,800 143,559
*Fastighits AB Celtica................................ 5,800 31,384
Finnveden AB.......................................... 18,100 225,690
*Firefly AB........................................... 8,400 4,446
*#Frontec AB Series B................................. 18,200 163,780
Garphyttan Industrier AB.............................. 39,000 422,066
Getinge Industrier AB Series B........................ 39,736 413,671
Geveko AB Series B.................................... 8,300 121,068
Gorthon Lines AB Series B............................. 41,800 109,650
Graenges AB........................................... 10,900 197,458
#Gunnebo AB........................................... 5,900 47,194
HL Display AB Series B................................ 2,000 33,172
Hemkopskedja AB Series B.............................. 6,300 50,394
Hexagon AB Series B................................... 3,572 51,683
Hoeganges AB Series B................................. 11,100 202,387
ICB Shipping AB Series B.............................. 61,500 463,002
*Industrifoervaltnings AB Skandigen................... 13,300 38,331
*Inform Highway AB.................................... 1,000 70,227
*Intelligent Micro Systems Data AB.................... 3,400 42,595
*#Intentia International AB Series B.................. 6,600 177,402
Iro AB................................................ 11,800 120,762
Jacobson and Widmark AB............................... 13,400 157,628
Karlshamns AB......................................... 6,300 47,059
*Kjessler & Mannerstrale AB........................... 8,500 47,994
*Kjessler & Mannerstrale AB New Shares................ 8,500 22,997
*Klippans Finpappersbruk AB........................... 5,800 17,739
*Lifco AB............................................. 7,947 28,980
Lindex AB............................................. 16,100 460,214
Ljungberg Gruppen AB Series B......................... 1,900 20,115
Mandator AB........................................... 11,400 105,269
Matteus AB............................................ 19,800 66,846
*Meda AB Series A..................................... 2,100 15,316
*Meto AG.............................................. 74,600 557,238
Modul 1 Data AB....................................... 5,300 41,771
Monark Stiga AB....................................... 21,700 115,889
Munksjo AB............................................ 13,000 100,929
NCC AB Series B....................................... 10,300 107,228
*NH Nordiska Holding AB............................... 17,000 27,997
Nibe Industrier AB Series B........................... 1,100 14,881
Nobelpharma AB........................................ 45,460 657,752
Nolato AB Series B.................................... 30,600 475,142
Norrporten Fastighets AB.............................. 2,000 25,879
OEM International AB Series B......................... 7,100 98,970
PEAB AB Series B...................................... 17,800 36,852
Pandox Hotelfastigheter AB............................ 4,500 34,937
Piren AB.............................................. 16,860 106,106
Platzer Bygg AB Series B.............................. 36,000 38,325
Rottneros Bruk AB..................................... 366,600 422,616
Sardus AB............................................. 3,000 19,762
*Scandiaconsult AB.................................... 14,300 173,261
*Scandic Hotels AB.................................... 15,300 134,983
Scribona AB Series A.................................. 40,100 120,285
Scribona AB Series B.................................. 31,700 99,936
Segerstroem & Svensson AB............................. 15,200 72,415
Semcon AB............................................. 5,200 42,818
Sifo Group AB......................................... 40,100 301,892
Sifo Group AB, New Shares............................. 31,700 247,976
Sigma AB Series B..................................... 7,600 84,931
</TABLE>
273
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Spendrups Bryggeri AB Series B........................ 19,900 $ 76,079
*Stena Line AB Series B............................... 128,000 120,456
Svedala Industri...................................... 60,000 1,005,759
Sweco AB Series B..................................... 23,450 121,373
TV 4 AB Series A...................................... 5,800 95,518
Ticket Travel Group AB................................ 3,000 20,645
*Tivox AB Series B.................................... 7,200 11,264
Wallenstam Byggnads AB Series B....................... 16,700 83,490
Westergyllen AB Series B.............................. 4,300 54,629
Wihlborg & Son AB Series B............................ 83,500 95,277
*Wilhborg & Son AB Series A........................... 4,160 6,851
*Wilhborg & Son AB Series B........................... 4,160 6,264
Zeteco AB Series B.................................... 10,400 192,071
------------
TOTAL COMMON STOCKS
(Cost $14,673,762)................................... 16,530,872
------------
RIGHTS/WARRANTS -- (0.0%)
*Wallenstam Byggnads AB Series B Redemption Rights
12/16/99............................................ 16,700 4,852
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $0)*.......................................... 215
------------
TOTAL -- SWEDEN
(Cost $14,673,980)................................... 16,535,939
------------
BELGIUM -- (3.8%)
COMMON STOCKS -- (3.8%)
*Abfin SA............................................. 2,560 0
Afrifina.............................................. 3,480 501,067
BMT NV................................................ 2,040 242,378
Banque Belgo-Zairoise Belgolaise SA................... 1,155 233,754
Banque Nationale de Belgique.......................... 710 1,108,079
Belge des Betons...................................... 425 171,171
Belgo Katanga NPV..................................... 408 330,702
Belgo Katanga NPV VVPR................................ 136 109,549
CFE (Compagnie Francois d'Entreprises)................ 2,080 367,973
CMB (Cie Martime Belge)............................... 500 24,039
Carrieres Unies Porphyre.............................. 20 19,131
*Chimique et Metallurgique Campine, Beerse............ 370 30,176
City Hotels SA........................................ 1,290 127,031
Cofinimmo SA.......................................... 4,763 491,570
*Cokeries & Houilleres d'Anderlues.................... 100 6,243
Commerciale de Brasserie SA COBRHA.................... 115 49,791
Creyf's SA............................................ 20,087 467,205
Creyf's SA Interim Strip VVPR......................... 8,087 81
Deceuninck Plastics Industries SA..................... 6,370 1,494,432
*Electrorail SA (Reunies d'Electricite & de
Transports)......................................... 11,416 4,368
Engrais Rosier SA..................................... 655 57,443
Floridienne NV........................................ 2,033 116,270
Ford Motor Co. SA Belgium............................. 1,110 125,176
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA)..................................... 5,875 1,466
Glaces de Charleroi................................... 70 204,751
Ibel (Nouvelle)....................................... 2,655 160,397
Immobel (Cie Immobiliere de Belgique SA).............. 10,600 603,025
*Intercomfina SA...................................... 11,000 111
Mecaniver SA, Bruxelles............................... 128 29,643
Metiers Automatiques Picanol.......................... 403 142,022
*PCB SA Bruxelles..................................... 6,504 26,850
*Papeteries de Catala SA.............................. 315 52,016
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Plantations Nord-Sumatra SA........................... 650 $ 68,786
*Recticel SA.......................................... 8,450 81,253
SABCA (Sa Belge de Constructions Aeronautiques)....... 4,280 129,284
*SCF SA............................................... 380 1,722
*SCF VVPR Shares...................................... 2,470 12,012
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 1,545 155,564
*Sait Radioholland.................................... 6,088 155,700
Sapec SA.............................................. 3,635 140,911
Sapec SA VVPR......................................... 75 375
Sidro................................................. 4,040 296,951
Spadel NPV............................................ 325 366,507
*Spector Photo Group SA............................... 3,688 139,253
Surongo SA............................................ 20 5,175
Telinfo SA............................................ 3,448 364,533
Telinfo SA VVPR....................................... 1,158 12
*Ter Beke NV.......................................... 2,212 124,725
UNIBRA................................................ 1,600 125,982
Uco Textiles NV....................................... 2,124 232,255
------------
TOTAL -- BELGIUM
(Cost $8,037,367).................................... 9,698,910
------------
NORWAY -- (3.3%)
COMMON STOCKS -- (3.2%)
*Agresso Group ASA.................................... 31,260 69,023
Aker Maritim ASA...................................... 34,030 234,281
Arendals Fosse Kompani ASA............................ 100 4,962
*Ark ASA.............................................. 300 2,791
*Ask Proxima.......................................... 28,920 200,895
Avantor Financial Corp................................ 13,270 83,951
*Avenir ASA........................................... 18,630 99,372
Awilco ASA Series A................................... 50,950 82,162
*Blom ASA............................................. 7,970 29,659
*Braathens S.A.F.E. ASA............................... 19,320 81,483
*C. Tybring-Gjedde ASA................................ 14,880 31,379
*Choice Hotel Scandinavia ASA......................... 27,740 65,380
*Den Norske Oljeselkapet.............................. 19,320 46,733
*Det. Sondenfjelds-Norske Dampskibsselskab ASA Series
A................................................... 33,930 199,080
Dyno Industrier ASA................................... 19,324 471,023
EDB Elektronisk Data Behandling ASA................... 48,570 412,706
Ekornes ASA........................................... 23,390 217,608
Elkem ASA............................................. 9,850 178,390
Elkjop ASA............................................ 7,150 139,691
Farstad Shipping ASA.................................. 27,190 75,888
Ganger Rolf ASA....................................... 5,490 119,177
*Gresvig ASA.......................................... 4,590 46,688
Hafslund ASA.......................................... 47,800 260,893
*Hitec ASA............................................ 22,570 68,873
Hydralift AS.......................................... 15,540 67,469
Kongsberg Gruppen ASA................................. 21,000 269,614
Kverneland ASA........................................ 6,800 122,309
Leif Hoegh & Co. ASA.................................. 21,000 218,817
*Mindex ASA........................................... 27,700 14,947
Moelven Industrier ASA................................ 55,578 53,430
*#NCL Holding ASA..................................... 166,840 469,795
Narvesen Asa.......................................... 7,000 199,714
*Navia ASA............................................ 12,400 40,608
*Nera ASA............................................. 67,260 210,252
*Nordic Vlsi.......................................... 800 3,523
Nordlandsbanken ASA................................... 3,830 105,946
*Ocean Rig ASA........................................ 217,980 29,744
Odfjell ASA Series A.................................. 10,410 121,384
Olav Thon Eiendomsselskap ASA......................... 8,320 192,996
</TABLE>
274
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Petrolia Drilling ASA................................ 26,706 $ 33,790
*Prosafe ASA.......................................... 18,030 178,924
*Provida ASA.......................................... 8,100 35,167
Rieber and Son ASA Series A........................... 23,584 155,051
Scana Industrier ASA.................................. 14,880 29,902
Schibsted ASA......................................... 28,800 439,420
Selmer ASA............................................ 15,570 142,923
*Sensonor ASA......................................... 16,830 22,965
Smedvig ASA........................................... 28,840 313,030
Spcs-Gruppen ASA...................................... 33,620 77,987
Steen and Stroem ASA.................................. 19,512 254,140
*Stento ASA........................................... 11,640 25,268
*Tandberg ASA......................................... 8,110 181,082
*Tandberg Data ASA.................................... 23,250 57,393
*Tandberg Tel......................................... 22,530 293,449
Ugland Nordic Shipping ASA............................ 6,550 48,750
Unitor ASA............................................ 11,720 79,233
Veidekke ASA.......................................... 6,830 105,481
*Visual Management Applications ASA................... 8,770 46,453
Wilhelmsen (Wilhelm), Ltd. ASA........................ 6,400 166,718
------------
TOTAL COMMON STOCKS
(Cost $7,908,324).................................... 8,029,762
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Norwegian Krone
(Cost $297,836)..................................... 295,229
------------
TOTAL -- NORWAY
(Cost $8,206,160).................................... 8,324,991
------------
DENMARK -- (2.4%)
COMMON STOCKS -- (2.3%)
Aalborg Portland Holding A.S. Series A................ 2,000 37,900
*Aalborg Portland Holding A.S. Series B............... 3,680 69,124
Aarhus Oliefabrik A.S. Aeries A....................... 1,600 37,900
Alm Brand A.S. Series B............................... 6,540 105,343
Amagerbanken A.S...................................... 580 24,730
Amtssparekassen Fyn A.S............................... 968 47,956
Bang & Olufsen Holding A.S. Series B.................. 4,877 160,414
*Brodrene Hartmann A.S. Series B...................... 605 12,284
Carli Gry International A.S........................... 3,510 52,262
*Christian Hansen Holding A.S. Series B............... 2,300 239,719
Coloplast A.S. Series B............................... 2,187 213,140
D'Hooge Schouw NV..................................... 1,490 31,664
*DFDS A.S., Copenhagen................................ 2,500 115,731
Dampskibsselsk et Torm A.S............................ 920 31,755
Danske Traelastko..................................... 1,756 143,801
*De Sammensluttede Vognmaend Series B................. 1,450 132,481
*Dfds New Shares...................................... 1,500 69,439
*East Asiatic Co., Ltd................................ 10,703 102,860
Edb Gruppen A.S....................................... 1,810 99,224
Ejendamsselskabet Norden A.S.......................... 3,217 120,401
Falck A.S............................................. 2,370 235,786
Fluegger A.S. Series B................................ 1,638 33,257
*Foras Holding A.S. Series A.......................... 520 3,621
Forsikringsselskabet Codan A.S........................ 1,600 129,943
Forstaedernes Bank.................................... 1,250 21,881
GN Great Nordic, Ltd.................................. 15,000 564,442
HLJ Industri A.S...................................... 160 23,282
Henriksen Og Henriksen Holding A.S. Series B.......... 310 22,449
Hojgaard Holdings A.S. Series B....................... 630 10,798
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Holm (Jacob) & Sonner Series B....................... 2,254 $ 35,391
Incentive A.S......................................... 2,705 79,087
Inwear Group A.S...................................... 5,120 71,382
Jamo A.S.............................................. 1,000 22,970
*Junckers (F.) Industrier A.S......................... 860 13,969
*Kjobenhavns Sommer Tivoli A.S........................ 110 23,823
#Korn-Og Foderstof Kompagnet A.S...................... 6,068 143,736
*Lauritzen (J.) Holding Series B...................... 963 96,459
Midtbank A.S.......................................... 500 15,431
Mols-Linien........................................... 840 10,347
Neg Micon A.S......................................... 5,674 104,451
*Neurosearch A.S...................................... 3,180 109,762
Nordiske Kabel og Traadfabrikker Holding A.S.......... 3,748 210,538
Nordvestbank.......................................... 250 22,605
Obel (C.W.) A.S. Series B............................. 930 117,700
Per Aarsleff A.S. Series B............................ 425 17,258
Radiometer A.S. Series B.............................. 4,033 180,146
Ringkjoebing Landbobank............................... 80 19,600
Rockwool, Ltd......................................... 2,900 84,788
Sanistal A.S. Series B................................ 936 29,773
#Sas Danmark A.S...................................... 23,500 241,749
Sophus Berendsen A.S.................................. 9,950 243,773
Spar Nord Holding..................................... 2,593 98,275
Sydbank A.S........................................... 1,742 71,681
TK Development........................................ 6,585 114,090
*Topdanmark A.S....................................... 19,740 435,530
Vest-Wood A.S......................................... 716 46,520
Vt Holdings Shares A.................................. 44 1,846
Vt Holdings Shares B.................................. 2,206 86,295
Wessel & Vett Magasin du Nord A.S. Series C........... 1,502 94,538
------------
TOTAL COMMON STOCKS
(Cost $5,864,684).................................... 5,737,100
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Danish Krone
(Cost $213,265)..................................... 212,733
------------
TOTAL -- DENMARK
(Cost $6,077,949).................................... 5,949,833
------------
FINLAND -- (1.9%)
COMMON STOCKS -- (1.9%)
Alandsbanken AB Series B.............................. 1,700 26,531
Amer Group P.L.C...................................... 17,020 331,605
Asko Oyj.............................................. 27,100 431,129
Finnair Oyj........................................... 59,310 259,775
Finnlines Oy.......................................... 13,980 365,983
Finvest Oyj........................................... 37,510 64,206
Fiskars Oy AB Series A................................ 8,550 94,698
*Hk Ruokatalo Oy Series A............................. 11,400 26,171
Kci Konecranes International P.L.C.................... 10,500 288,096
Kemira Oyj............................................ 21,000 122,216
Kone Corp............................................. 4,980 205,586
Kyro Oyj AB Series P.................................. 27,770 149,593
Laennen Tehtaat Oy.................................... 3,930 41,312
Lasslla and Tikanoja Oyj.............................. 11,070 255,249
Lemminkainen Oy....................................... 6,100 61,420
Martela Oy............................................ 530 16,010
*Metsaemarkka Oyj Series B............................ 700 4,511
Nokian Renkaat Oyj.................................... 7,300 249,542
Nordic Aluminium Oy................................... 1,900 17,620
Novo Group Oyj........................................ 4,580 123,589
Okobank Class A....................................... 13,240 133,312
*Olvi Oyj Series A.................................... 410 8,174
Partek Oyj............................................ 34,170 381,899
</TABLE>
275
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Pk Cables Oyj......................................... 3,160 $ 69,999
*Polar Real Estate Corp. Series K..................... 126,010 40,601
Ponsse Oyj, Vieremae.................................. 2,450 51,804
*Rakentajain Koneuvokrammo Oy......................... 1,900 20,661
Santasalo-Jot Oy...................................... 3,400 16,604
*Silja Oy AB Series A................................. 44,020 88,646
Suunto Oy............................................. 1,870 21,653
Talentum Oyj.......................................... 11,900 227,657
Tamro Oyj............................................. 84,220 248,464
*Vaisala Oy........................................... 50 3,625
*Viking Line AB....................................... 3,240 127,230
Yit-Yhtymae Oyj....................................... 20,540 204,746
------------
TOTAL -- FINLAND
(Cost $4,890,088).................................... 4,779,917
------------
AUSTRIA -- (1.3%)
COMMON STOCKS -- (1.3%)
Allgemeine Sparkasse Baugesellschaft.................. 670 57,342
Auricon Beteiligungs AG............................... 1,430 27,213
*Austria Mikro Systeme International AG............... 1,500 47,817
BBAG Oesterreichische Brau-Beteiligungs............... 5,180 221,666
BWT AG................................................ 990 133,075
Bank Fuer Kaernten und Steiermark AG.................. 500 45,813
Bau Holding AG........................................ 4,980 160,708
Bohler Uddeholm AG.................................... 6,600 276,451
Brau Union Goess-Reinighaus AG........................ 6,000 262,797
*Ca Immobilien Invest AG.............................. 670 10,322
*Die Erste Immobilien AG.............................. 910 141,151
Flughafen Wien AG..................................... 9,310 323,407
Graf van der Elst Vermoegensverwaltung AG............. 1,260 43,896
*Immofinanz Immobilien Anlagen AG..................... 34,801 161,888
Jenbacher AG.......................................... 1,000 52,308
Leipnik-Lundenburger Industrie AG..................... 300 15,315
Lenzing AG............................................ 2,200 115,188
*Manner (Josef) & Co. AG.............................. 870 28,470
Mayr Melnhof Karton AG................................ 7,200 300,133
Oberbank AG........................................... 3,110 216,068
Radex Heraklith Industrie Beteiligungs AG............. 8,350 222,463
Readymix Kies-Union AG................................ 500 42,793
*Rhi AG Em 99......................................... 3,576 92,932
Rosenbauer International AG........................... 850 26,531
Teerag-Asdag AG....................................... 100 3,323
Ubm Realitaetenentwicklung AG......................... 360 22,655
*Vogel and Noot Waermetechnik AG...................... 1,700 23,108
#Wolford AG........................................... 3,000 128,076
------------
TOTAL -- AUSTRIA
(Cost $3,533,249).................................... 3,202,909
------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
IRELAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Abbey P.L.C........................................... 19,319 $ 66,137
Adare Printing Group P.L.C............................ 6,916 47,353
Anglo Irish Bank Corp. P.L.C.......................... 138,087 323,959
*Arcon International Resources P.L.C.................. 143,750 33,290
Ardagh P.L.C.......................................... 13,676 19,967
Arnotts P.L.C......................................... 8,811 59,440
Barlo Group P.L.C..................................... 85,047 77,069
Clondalkin Group P.L.C................................ 21,100 189,083
*Dragon Oil P.L.C..................................... 104,167 30,416
*Dunloe Ewart P.L.C................................... 235,918 97,393
Glanbia P.L.C......................................... 146,256 184,079
Golden Vale P.L.C..................................... 47,353 47,679
Green Proper Co....................................... 55,567 321,711
Greencore Group P.L.C................................. 95,811 260,471
Heiton Holdings P.L.C................................. 23,610 70,129
IAWS Group P.L.C...................................... 34,340 162,510
IWP International P.L.C............................... 39,611 71,791
Irish Continental Group P.L.C......................... 13,121 130,793
Jurys Hotel Group P.L.C............................... 29,590 226,433
Kingspan Group P.L.C.................................. 83,838 202,597
Ryan Hotels P.L.C..................................... 22,791 18,358
*Tullow Oil P.L.C..................................... 118,344 135,841
United Drug P.L.C..................................... 13,566 90,835
Waterford Wedgwood P.L.C.............................. 220,752 211,159
------------
TOTAL -- IRELAND
(Cost $3,262,941).................................... 3,078,493
------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
*Euro Currency
(Cost $340,967)..................................... 484,985
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $4,419,469) to be
repurchased at $4,346,640
(Cost $4,346,000)................................... $ 4,346 4,346,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $219,827,121)++................................ $253,017,555
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $219,871,733.
</TABLE>
See accompanying Notes to Financial Statements.
276
<PAGE>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
SOUTH KOREA -- (14.3%)
COMMON STOCKS -- (14.3%)
Daewoo Securities Co., Ltd............................ 56,445 $ 925,128
*Fidelity Investments Life Insurance, Ltd............. 3,410 18,502
*Hyundai Engineering & Construction Co., Ltd.......... 119,254 648,092
*Hyundai Motor Co., Ltd............................... 95,919 1,944,444
*Hyundai Securities Co., Ltd.......................... 45,805 1,137,963
Kookmin Bank.......................................... 205,128 3,415,113
Korea Electric Power Corp............................. 118,650 4,708,130
LG Chemical, Ltd...................................... 68,329 2,039,408
LG Electronics, Inc................................... 75,132 3,363,684
LG Information & Communications, Ltd.................. 21,211 2,506,713
Pohang Iron & Steel Co., Ltd.......................... 2,580 342,739
S1 Corporation........................................ 1,944 388,213
SK Corp., Ltd......................................... 62,878 1,583,815
SK Telecom Co., Ltd................................... 668 385,933
Samsung Display Devices, Ltd.......................... 32,478 1,731,413
Samsung Electro-Mechanics Co., Ltd.................... 51,654 4,010,230
Samsung Electronics Co., Ltd.......................... 77,688 16,083,777
Samsung Fire and Marine Insurance, Ltd................ 25,650 1,139,508
Shinhan Bank Co., Ltd................................. 158,242 1,842,801
*Ssangyong Investment Securities Co., Ltd............. 52,660 359,773
Ssangyong Oil Refining Co., Ltd....................... 32,080 788,685
------------
TOTAL COMMON STOCKS
(Cost $16,880,335)................................... 49,364,064
------------
RIGHTS/WARRANTS -- (0.0%)
*SK Corp., Ltd. Rights 12/08/99
(Cost $0)........................................... 15,325 154,671
------------
TOTAL -- SOUTH KOREA
(Cost $16,880,335)................................... 49,518,735
------------
THAILAND -- (9.8%)
COMMON STOCKS -- (9.8%)
*Adkinson Securities Public Co., Ltd. (Foreign)....... 2,100 2,141
*Advance Agro Public Co., Ltd. (Foreign).............. 1,030,130 515,131
*Advanced Info Service Public Co., Ltd. (Foreign)..... 593,100 8,486,972
*Amarin Plaza Public Co., Ltd. (Foreign).............. 7,400 2,135
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 2,693
BEC World Public Co., Ltd. (Foreign).................. 132,700 809,913
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 2,333,000 1,061,949
*Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 1 0
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 2,284
*Bank of Asia Public Co., Ltd. (Foreign).............. 21,450 9,901
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Bank of Ayudhya Public Co., Ltd. (Foreign)........... 1,576,500 $ 515,460
*Berli Jucker Public Co., Ltd. (Foreign).............. 10,100 11,785
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 317,415 3,581,548
*Five Stars Property Public Co., Ltd. (Foreign)....... 3,800 507
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 11,270 8,020
*International Cosmetics Public Co., Ltd. (Foreign)... 3,500 5,834
*International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 551
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 14,443
*Krung Thai Bank Public Co., Ltd. (Foreign)........... 9,972,670 3,836,130
*Land and House Public Co., Ltd. (Foreign)............ 2,891 2,891
*MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 956
Mutual Fund Public Co., Ltd. (Foreign)................ 500 590
*National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 630,150 230,276
*Padaeng Industry Public Co., Ltd (Foreign)........... 7,800 1,900
*Regional Container Lines Public Co., Ltd.
(Foreign)........................................... 1,500 1,808
*Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 2,344
*Sammakorn Public Co., Ltd. (Foreign)................. 7,500 2,981
*Sanyo Universal Electric Public Co., Ltd.
(Foreign)........................................... 6,500 1,667
Serm Suk Public Co., Ltd. (Foreign)................... 1,000 3,359
*Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 581,000 3,695,034
*Siam Cement Public Co., Ltd. (Foreign)............... 27,000 783,792
*Siam City Cement Public Co., Ltd. (Foreign).......... 354,813 1,683,301
*Siam Commercial Bank Public Co., Ltd. (Foreign)...... 958,166 1,025,859
Siam Makro Public Co., Ltd. (Foreign)................. 727,100 1,230,633
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 855
*Srithai Superware Public Co., Ltd. (Foreign)......... 16,400 7,781
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 4,574,500 4,516,427
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 201,800 89,269
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 3,487
</TABLE>
277
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Thai Military Bank Public Co., Ltd. (Foreign)........ 1,935,500 $ 645,249
*Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 1,260,394
------------
TOTAL COMMON STOCKS
(Cost $33,109,731)................................... 34,058,250
------------
RIGHTS/WARRANTS -- (0.0%)
*Krisda Mahanakor Public Co., Ltd. Rights 12/24/99
(Cost $0)........................................... 31,222 793
------------
TOTAL -- THAILAND
(Cost $33,109,731)................................... 34,059,043
------------
GREECE -- (8.5%)
COMMON STOCKS -- (8.5%)
Alpha Credit Bank..................................... 13,972 1,121,423
Alpha Finance S.A..................................... 7,170 608,208
Altec Information & Communication Systems S.A......... 80,805 2,058,308
*Aspis Pronia General Insurance S.A................... 14,550 396,700
Athens Medical Center S.A............................. 29,334 1,642,696
Attica Enterprises S.A. Holdings...................... 111,701 2,118,163
Bank of Attica S.A.................................... 51,135 1,174,869
*Bank of Macedonia and Thrace S.A..................... 60,750 1,423,697
Bank of Piraeus S.A................................... 32,880 813,866
Delta Informatics S.A................................. 33,600 884,183
Ergo Bank S.A......................................... 3,830 361,259
Ethniki General Insurance Co.......................... 43,944 2,044,877
General Hellenic Bank................................. 11,790 1,354,064
Halkor S.A............................................ 56,800 1,277,186
Hellenic Bottling Co., S.A............................ 31,170 744,803
Heracles General Cement Co............................ 39,060 1,254,017
Intracom S.A.......................................... 48,096 2,126,844
Intrasoft S.A......................................... 25,590 1,951,998
Maillis (M.J.) S.A.................................... 36,940 1,329,672
Mytilineos Holdings S.A............................... 99,660 1,898,983
National Investment Bank for Industrial Development... 1,000 353,154
Silver & Baryte Ores Mining Co. S.A................... 15,260 635,775
Titan Cement Co....................................... 13,130 1,544,563
Xiosbank S.A.......................................... 7,560 180,645
------------
TOTAL -- GREECE
(Cost $17,361,104)................................... 29,299,953
------------
TURKEY -- (8.2%)
COMMON STOCKS -- (8.2%)
Akbank................................................ 194,495,001 3,078,343
Akcansa Cimento Sanayi ve Ticaret A.S................. 29,601,300 445,656
*Aksa................................................. 7,151,119 217,395
Aksigorta A.S......................................... 8,100,000 324,413
*Aktas Elektrik Ticaret A.S........................... 685,000 121,639
*Alarko Holding....................................... 9,653,051 316,744
Arcelik A.S........................................... 25,206,732 1,179,840
*Aygaz................................................ 3,888,960 427,861
*Bekoteknik Sanayi A.S................................ 8,829,536 141,453
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 17,250,000 69,920
Brisa Bridgestone Sanbanci Lastik San & Tic A.S....... 6,202,000 227,447
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 11,820,000 $ 205,331
*Cimentas A.S......................................... 2,074,064 60,049
Cukurova Elektrik A.S................................. 389,000 292,826
Dogan Sirketler Grubu Holdings A.S.................... 51,738,680 848,846
*Doktas............................................... 544,000 6,720
EGE Biracilik ve Malt Sanayi A.S...................... 9,187,224 412,289
*Eczacibasi Ilac...................................... 8,523,760 116,811
Enka Holding.......................................... 1,815,734 525,700
*Erciyas Biracilik.................................... 9,332,640 324,244
*Eregli Demir ve Celik Fabrikalari Turk A.S........... 34,503,000 965,650
*Good Year Lastikleri A.S............................. 3,726,875 52,513
Guney Biracilik....................................... 3,516,240 89,927
Hurriyet Gazette...................................... 25,601,550 326,141
*Ihlas Holding........................................ 2,022,085 103,428
*Izmir Demir Celik.................................... 10,231,500 34,066
Kartonsan............................................. 717,500 29,775
Kepez Elektrik Ticaret A.S............................ 63,000 44,992
Koc Holding A.S....................................... 24,933,996 3,176,366
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 8,855,000 183,735
Migros Turk A.S....................................... 2,202,675 903,450
Netas Northern Electric Telekomunikasyon A.S.......... 5,044,000 292,073
*Otosan Otomobil A.S.................................. 21,546,000 488,652
*Raks Elektroniks A.S................................. 4,536,000 6,479
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 2,800,704 50,274
T. Tuborg Bira ve Malt Sanayi A.S..................... 731,250 6,493
*Tat Konserve......................................... 5,041,538 58,386
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,400,000 156,730
*Tofas Turk Otomobil Fabrikasi A.S.................... 49,403,969 309,913
*Trakya Cam Sanayii A.S............................... 15,468,157 289,604
*Turk Demir Dokum..................................... 8,329,972 77,176
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 420,500 27,190
Turk Sise Cam......................................... 23,276,958 305,513
*Turkiye Garanti Bankasi A.S.......................... 187,202,870 2,023,463
Turkiye Is Bankasi A.S. Series C...................... 220,951,500 5,224,296
*USAS (Ucak Servisi A.S.)............................. 42,500 41,836
*Vestel Elektronik Sanayi Ticaret A.S................. 3,112,000 420,467
Yapi ve Kredi Bankasi A.S............................. 186,703,298 3,423,500
------------
TOTAL -- TURKEY
(Cost $12,198,070)................................... 28,455,615
------------
ISRAEL -- (8.0%)
COMMON STOCKS -- (8.0%)
Africa-Israel Investments, Ltd........................ 2,840 235,045
Africa-Israel Investments, Ltd........................ 155 128,282
Agis Industries (1983), Ltd........................... 21,736 149,053
*American Israeli Paper Mills, Ltd.................... 3,291 194,550
Bank Hapoalim B.M..................................... 1,196,240 3,156,799
Bank Leumi Le-Israel.................................. 1,373,369 2,529,817
*Bezek, Ltd........................................... 701,438 3,300,705
Blue Square Chain Stores Properties Investment........ 29,303 402,580
CLAL Electronics Industries, Ltd...................... 3,579 606,800
CLAL Industries, Ltd.................................. 135,350 982,564
CLAL Insurance, Ltd................................... 38,684 530,547
Clal Israel, Ltd...................................... 29,607 980,146
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Delek Israel.......................................... 4,584 $ 185,572
*Elbit Medical Imaging................................ 17,319 137,193
Elbit Systems, Ltd.................................... 17,319 248,176
Elbit, Ltd............................................ 17,320 236,723
Elite Industries, Ltd................................. 5,700 296,525
Elron Electronic Industries, Ltd...................... 19,701 500,339
First International Bank of Israel.................... 48,660 276,152
First International Bank of Israel, Ltd............... 347,200 389,976
IDB Bankholding Corp., Ltd............................ 36,578 1,122,700
IDB Development Corp., Ltd. Series A.................. 43,928 1,451,116
Industrial Building Corp., Ltd........................ 277,150 412,876
Israel Chemicals, Ltd................................. 1,165,326 1,184,896
Israel Corp. Series A................................. 5,500 667,182
Koor Industries, Ltd.................................. 16,466 1,631,423
Leumi Holdings Insurance.............................. 279,107 226,375
*M.A.Industries, Ltd.................................. 162,937 283,571
Matav Cable Israel.................................... 19,027 471,965
Osem Investment, Ltd.................................. 77,343 466,365
Property and Building Corp., Ltd...................... 3,973 382,364
Super-Sol, Ltd. Series B.............................. 210,226 631,327
*Tambour.............................................. 26,898 47,703
Teva Pharmaceutical Industries, Ltd................... 60,410 3,342,636
------------
TOTAL COMMON STOCKS
(Cost $19,342,313)................................... 27,790,043
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Israel Shekel
(Cost $2)........................................... 2
------------
TOTAL -- ISRAEL
(Cost $19,342,315)................................... 27,790,045
------------
MALAYSIA -- (8.0%)
COMMON STOCKS -- (8.0%)
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999... 2,000 358
Amsteel Corp. Berhad.................................. 264,000 48,632
*Aokam Perdana Berhad................................. 333 1,617
Ban Hin Lee Bank Berhad............................... 20,000 37,368
Bandar Raya Developments Berhad....................... 23,000 10,895
Batu Kawan Berhad..................................... 151,000 166,895
Berjaya Group Berhad.................................. 94,000 20,408
Berjaya Land Berhad................................... 91,000 38,076
Berjaya Sports Toto Berhad............................ 79,000 163,197
Carlsberg Brewery Malaysia Berhad..................... 79,000 226,605
Commerce Asset Holding Berhad......................... 230,000 502,368
Country Heights Holdings Berhad....................... 40,000 45,053
DCB Sakura Merchant New Shares........................ 4,100 2,643
Genting Berhad........................................ 259,000 899,684
Golden Hope Plantations Berhad........................ 521,000 444,221
Guiness Anchor Berhad................................. 105,000 107,763
Highlands and Lowlands Berhad......................... 314,000 184,268
Hong Leong Bank Berhad................................ 213,125 269,211
Hong Leong Credit Berhad.............................. 232,300 288,541
IOI Corp. Berhad...................................... 439,000 241,450
Jaya Tiasa Holdings Berhad............................ 96,000 168,000
Kuala Lumpur Kepong Berhad............................ 293,500 386,184
*Land - General Berhad................................ 35,000 15,013
*Leisure Management Berhad............................ 35,000 71,382
Lion Land Berhad...................................... 1,000 221
*MBF Holdings Berhad.................................. 141,000 7,607
Magnum Corp. Berhad................................... 779,500 570,266
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Malakoff Berhad....................................... 103,000 $ 243,947
Malayan Banking Berhad................................ 846,000 2,894,211
*Malayan United Industries Berhad..................... 70,000 16,947
Malaysian Airlines System............................. 298,000 255,653
Malaysian International Shipping Corp. (Foreign)...... 85,666 127,372
Malaysian Oxygen Berhad............................... 22,000 45,158
Malaysian Pacific Industries.......................... 28,000 148,105
*Multi-Purpose Holdings Berhad........................ 86,000 36,663
Nestle (Malaysia) Berhad.............................. 121,000 468,079
Oriental Holdings Berhad.............................. 167,880 357,849
Oyl Industries Berhad................................. 47,000 105,750
Perlis Plantations Berhad............................. 190,500 202,532
Perusahaan Otomobil Nasional Berhad................... 282,000 486,079
Petronas Dagangan Berhad.............................. 147,000 151,642
Petronas Gas Berhad................................... 943,000 1,910,816
*Phileo Land Berhad................................... 27,000 22,595
Public Bank Berhad (Foreign).......................... 1,107,799 1,107,799
*RHB Capital Berhad................................... 867,000 784,863
RJ Reynolds Berhad.................................... 135,000 143,526
Ramatex Berhad........................................ 222,000 185,779
*Rashid Hussain Berhad................................ 50,000 36,974
*Renong Berhad........................................ 460,000 253,000
Resorts World Berhad.................................. 567,000 1,521,947
Rothmans of Pall Mall Malaysia Berhad................. 148,000 1,051,579
Sarawak Enterprise Corp. Berhad....................... 412,000 248,284
Shell Refining Co. Federation of Malaysia Berhad...... 156,000 159,284
*Silverstone Berhad................................... 9,240 0
Sime Darby Berhad (Malaysia).......................... 1,208,800 1,425,112
Southern Bank Berhad (Foreign)........................ 114,750 100,859
Technology Resources (Industries) Berhad.............. 264,000 136,168
Telekom Malaysia Berhad............................... 1,305,000 4,121,053
Tenaga Nasional Berhad................................ 1,146,000 2,533,263
*Time Engineering Berhad.............................. 276,000 71,905
Tractors Malaysia Holdings Berhad..................... 22,000 12,737
*United Engineering (Malaysia) Berhad................. 165,198 254,318
YTL Corp. Berhad...................................... 749,100 1,222,216
------------
TOTAL COMMON STOCKS
(Cost $35,214,175)................................... 27,761,990
------------
RIGHTS/WARRANTS -- (0.0%)
*United Engineering (Malaysia) Berhad Warrants
10/28/02............................................ 33,039 0
*YTL Corp. Berhad Warrants 06/26/09................... 4,000 2,242
------------
TOTAL RIGHTS/WARRANTS
(Cost $395).......................................... 2,242
------------
TOTAL -- MALAYSIA
(Cost $35,214,570)................................... 27,764,232
------------
BRAZIL -- (7.8%)
PREFERRED STOCKS -- (5.8%)
Aracruz Celulose SA Series B.......................... 311,999 636,663
Banco Bradesco SA..................................... 185,571,118 1,038,459
Banco do Brasil SA.................................... 126,670,000 698,956
*Banco do Estado de Sao Paulo SA...................... 2,500,000 81,337
Banco Itau SA......................................... 35,500,000 2,235,879
*Brasiliero de Petroleo Ipiranga...................... 12,300,000 121,014
Brasmotor SA.......................................... 600,000 60,131
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COFAP (Cia Fabricadora de Pecas)...................... 5,100 $ 0
Centrais Electricas de Santa Catarin Celesc
Series B............................................ 180,000 74,024
Cervejaria Brahma..................................... 2,490,767 1,602,588
Cia Siderurgica Belgo-Mineira......................... 970,000 48,475
Cia Vale do Rio Doce Series A......................... 121,160 2,918,295
Cimento Portland Itau................................. 860,000 110,130
Companhia Brasileira de Distribuicao Pao de Acucar.... 8,330,000 222,017
*Companhia Siderurgica de Tubarao Sid Tubarao......... 15,120,000 214,796
Copene-Petroquimica do Nordeste SA Series A........... 624,000 150,396
Coteminas Cia Tecidos Norte de Minas.................. 910,000 71,056
Duratex SA............................................ 2,900,000 90,577
*Electropaulo Electrecidade Metropolitana............. 8,395,000 436,966
Embratel Participacoes SA............................. 38,582,922 743,134
Ericsson Telecomunicacoes SA.......................... 15,480,000 177,282
IKPC Industrias Klabin de Papel e Celulose SA......... 176,875 114,172
*Inepar Energia SA.................................... 9,561 2
*Inepar SA Industria e Construcoes.................... 19,760,001 45,465
*Inepar-Fem Equipamentos e Montagem SA................ 11,856 586
Investimentos Itau SA................................. 1,280,000 946,169
Investimentos Itau SA................................. 32,633 24,081
Lojas Americanas SA................................... 2,166,794 3,271
*Lojas Renner SA...................................... 800,000 7,496
Multibras Eletrodomesticos SA......................... 315,000 122,982
*Paranapanema SA...................................... 2,120,000 4,028
Sadia Oeste SA Inclusttia e Comercio Soes............. 100,000 74,440
*Sao Carlos Empreendimentos e Participacoes SA........ 2,166,794 3,948
*Seara Alimentos...................................... 23,220,228 9,549
*Serrana SA........................................... 2,450 1,059
*Suzano de Papel e Celulose........................... 54,000 129,307
*Tele Celular Sul Participacoes SA.................... 137,922 279
*Tele Centro Oeste Celular Participacoes SA........... 137,922 190
Tele Centro-Sul Participacoes......................... 45,137,922 627,369
Teleleste Celular Participacoes SA.................... 137,922 85
Telemig Celular Participacoes SA...................... 137,922 228
Telenordeste Celular Participacoes SA................. 137,922 192
Telenorte Celular Participacoes SA.................... 137,922 83
Telenorte Leste Participacoes SA...................... 80,567,922 1,467,914
Telesp Celular Participacoes.......................... 85,037,922 973,438
Telesp Celular Participacoes SA....................... 18,990,000 920,432
Telesp Participacoes SA............................... 61,927,922 1,112,182
Telesudeste Celular Participacoes SA.................. 82,837,922 349,289
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 52,039 220,508
Unibanco Unias de Bancos Brasileiros SA............... 1,500,000 28,852
Unibanco-Uniao de Bancos Brasileiros SA............... 12,963,000 607,321
Usinas Siderurgicas de Minas Gerais................... 325 4,399
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Vale do Rio Doce Series B............................ 81,160 $ 0
Votorantim Celulose e Papel SA........................ 9,467,325 317,334
------------
TOTAL PREFERRED STOCKS
(Cost $18,528,626)................................... 19,848,825
------------
COMMON STOCKS -- (2.0%)
*Acos Especiais Itabira-Acesita Aces.................. 25,963,524 8,109
*Ambev Cia de Bebidas das Americas.................... 252,000 104,945
*Ceval Alimentos SA................................... 11,610,114 21,153
*Cia de Inversiones Luz SA............................ 3,140,000 143,024
*Embraco SA........................................... 130,000 52,108
Embraer Empresa Brasileira de Aeronautica............. 157,000 494,453
Embratel Participacoes................................ 57,550,000 658,781
*Empresa Nasional de Comercio Redito e Participacoes
SAncorpar........................................... 480,000 450
*Gerdau SA............................................ 18,020,000 356,458
Lojas Americanas SA................................... 14,042,476 19,298
*Mannesmann SA........................................ 149,000 9,695
Petroquimica do Sul Copesul........................... 8,276,000 249,873
*Santista Alimentos SA................................ 43,777 10,255
*Sao Carlos Empreendimentos e Participacoes SA........ 14,042,476 23,904
*Serrana SA........................................... 2,054 887
Siderurgica Nacional Sid Nacional..................... 26,651,000 915,646
Souza Cruz Industria e Comercio....................... 101,000 722,927
Tele Celular Sul Participacoes........................ 57,550,000 90,773
Tele Centro Oeste Celular Participacoes............... 57,550,000 71,900
Tele Centro Sul Participacoes SA...................... 57,550,000 533,256
Tele Norte-Leste Participacoes........................ 57,550,000 839,429
Tele Sudeste Celular Participacoes.................... 57,550,000 150,989
Teleleste Celular Participacoes....................... 57,550,000 32,055
Telemig Celular Participacoes......................... 57,550,000 100,959
Telenordeste Celular Participacoes.................... 57,550,000 73,398
Telenorte Celular Participacoes....................... 57,550,000 50,330
Telesp Celular Participacoes SA....................... 57,550,000 397,845
Telesp Participacoes SA............................... 57,550,000 680,051
VSMA (Cia Vidraria Santa Marina)...................... 54,000 57,626
White Martins SA...................................... 334,398 158,407
------------
TOTAL COMMON STOCKS
(Cost $6,568,140).................................... 7,028,984
------------
RIGHTS/WARRANTS -- (0.0%)
*Acesita SA Rights Open Pay Date...................... 13,100,087 0
*Coteminsa Cia Tecidos Norte de Minas Rights
12/20/99............................................ 223,499 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- BRAZIL
(Cost $25,096,766)................................... 26,877,809
------------
MEXICO -- (7.4%)
COMMON STOCKS -- (7.4%)
*Altos Hornos de Mexico S.A........................... 97,000 28,318
Apasco S.A. de C.V.................................... 69,000 459,172
*Carso Global Telecom S.A. de C.V. Telecom
Series A1........................................... 192,000 1,505,565
Cementos de Mexico S.A. de C.V. Series A.............. 241,722 1,180,820
*Cifra S.A. de C.V. Series C.......................... 417,000 733,518
*Cifra S.A. de C.V. Series V.......................... 137,180 258,748
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Controladora Comercial Mexicana S.A. de C.V.
Series B............................................ 175,000 $ 185,070
*Desc S.A. de C.V. Series B........................... 295,000 262,584
Desc S.A. de C.V. Series C............................ 6,905 5,897
El Puerto de Liverpool S.A. Series C1................. 339,500 582,802
Empresas ICA Sociedad Controladora S.A. de C.V........ 198,000 124,629
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 640,882
Fomento Economico Mexicano B & D...................... 270,000 1,009,962
*Gruma S.A. de C.V. Series B.......................... 90,406 94,842
*Grupo Carso S.A. de C.V. Series A-1.................. 203,000 942,186
*Grupo Celanese S.A. Series B2........................ 140,000 0
Grupo Financiero Bacomer S.A. de C.V. Series O........ 1,246,380 462,259
*Grupo Financiero Banamex Accival S.A. de C.V.
Series L............................................ 13,187 40,663
*Grupo Financiero Banamex Accival S.A. de C.V.
Series O............................................ 377,000 1,268,386
Grupo Financiero Bancomer S.A. de C.V. Series L....... 7,792 2,642
*Grupo Financiero GBM Atlantico S.A. de C.V.
Series B............................................ 30,000 0
Grupo Financiero Inbursa Series O..................... 239,699 883,918
*Grupo Financiero Serfin S.A. de C.V. Series B........ 249,102 12,934
*Grupo Gigante S.A. Series B.......................... 341,400 168,584
Grupo Industrial Alfa S.A. Series A................... 150,290 651,358
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 392,000 821,635
*Grupo Industrial Maseca S.A. de C.V. Series B........ 229,000 108,227
Grupo Mexico S.A. de C.V. Series B.................... 172,000 710,820
Grupo Modelo S.A. de C.V. Series C.................... 312,000 897,617
*Grupo Televisa S.A. (Certificate Representing
Series A, Series D & Series L)...................... 70,000 1,695,668
*Hylsamex S.A. de C.V. Series B....................... 60,000 174,844
*Industrias Penoles S.A. de C.V....................... 103,000 317,612
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 842,827
Organizacion Soriana S.A. de C.V. Series B............ 150,000 691,428
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 228,982
Telefonos de Mexico S.A. Series A..................... 50,000 237,894
Telefonos de Mexico S.A. Series L..................... 1,521,000 7,035,257
Tubos de Acero de Mexico S.A.......................... 17,000 214,729
Vitro S.A............................................. 121,600 206,168
------------
TOTAL -- MEXICO
(Cost $16,635,653)................................... 25,689,447
------------
PHILIPPINES -- (6.6%)
COMMON STOCKS -- (6.6%)
Aboitiz Equity Ventures, Inc.......................... 7,014,400 362,695
Ayala Corp............................................ 4,968,000 1,187,472
Ayala Land, Inc....................................... 10,952,980 2,591,311
*Belle Corp........................................... 4,916,000 239,805
Far East Bank and Trust Co. (Foreign)................. 1,190,420 2,134,043
*Filinvest Land, Inc.................................. 9,822,000 850,440
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*International Container Terminal Services, Inc....... 1,525,837 $ 126,533
La Tondena Distillers, Inc............................ 693,200 566,394
*Metro Pacific Corp................................... 10,213,860 279,012
Metropolitan Bank & Trust Co.......................... 591,189 4,253,674
Petron Corp........................................... 19,893,000 1,528,362
Philippine Long Distance Telephone Co................. 141,940 2,908,035
*Philippine National Bank............................. 259,975 862,355
SM Prime Holdings, Inc................................ 22,614,000 3,585,141
*Security Bank Corp................................... 320,842 266,064
*Southeast Asia Cement Holdings, Inc.................. 30,190 324
Union Bank of the Philippines......................... 606,500 495,554
Universal Robina Corp................................. 2,871,000 462,160
------------
TOTAL COMMON STOCKS
(Cost $35,340,455)................................... 22,699,374
------------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $1,050)....................................... 5,903 756
------------
TOTAL -- PHILIPPINES
(Cost $35,341,505)................................... 22,700,130
------------
ARGENTINA -- (6.5%)
COMMON STOCKS -- (6.5%)
*Acindar Industria Argentina de Aceros SA Series B.... 449,000 736,456
*Alpargatas SA Industrial y Comercial................. 150,000 8,701
*Astra Cia Argentina de Petroleos SA.................. 609,690 1,317,102
Banco de Galicia y Buenos Aires SA Series A........... 476,044 2,437,663
*Banco del Sud Sociedad Anonima Series B.............. 29,000 73,669
Banco Frances del Rio de la Plata SA.................. 212,936 1,648,339
*Banco Frances E. Brasileiro SA New Shares............ 15,273 116,701
Banco Rio de la Plata SA.............................. 150,000 960,125
*Buenos Aires Embotelladora SA Series B............... 100 470
*CIADEA SA............................................ 76,559 91,883
*Capex SA Series A.................................... 37,102 192,955
*Celulosa Argentina SA Series B....................... 37,500 8,401
Central Costanera SA Series B......................... 50,000 113,515
Central Puerto SA Series B............................ 16,000 27,684
*Garovaglio y Zorraquin SA............................ 28,000 18,622
*Gas Natural SA, Buenos Aires......................... 25,000 46,256
*Indupa SA Industrial y Comercial..................... 270,366 236,331
Irsa Inversiones y Representaciones SA................ 198,574 635,519
*Juan Minetti SA...................................... 187,983 498,220
Ledesma SA............................................ 135,378 87,872
Metrogas SA Series B.................................. 403,115 362,851
*Molinos Rio de la Plata SA Series B.................. 275,287 674,541
Naviera Perez Companc SA Series B..................... 705,429 3,746,315
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 56,711
*Sevel Argentina SA Series C.......................... 35,022 21,857
Siderar SAIC Series A................................. 199,876 841,587
Siderca SA Series A................................... 714,907 1,422,850
*Sociedad Comercial del Plata......................... 187,740 59,146
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Telecom Argentina Stet-France SA Series B............. 407,000 $ 2,381,259
Telefonica de Argentina SA Series B................... 1,058,000 2,708,832
Transportadora de Gas del Sur SA Series B............. 636,000 1,062,258
------------
TOTAL -- ARGENTINA
(Cost $21,724,470)................................... 22,594,691
------------
CHILE -- (6.0%)
COMMON STOCKS -- (6.0%)
BBV Banco Bhif ADR.................................... 29,400 387,712
Banco de Santiago SA Santiago ADR..................... 84,800 1,780,800
Banco Edwards SA ADR.................................. 30,000 468,750
Banco Santander Chile Sponsored ADR................... 102,500 1,742,500
Chilgener SA ADR...................................... 62,400 961,350
Cia Telecom de Chile ADR.............................. 207,000 3,797,156
Compania Cervecerias Uni ADR.......................... 39,400 1,103,200
Cristalerias de Chile SA ADR.......................... 14,500 189,405
Distribucion y Servicio D&S SA ADR.................... 80,500 1,428,875
Embotelladora Andina SA Andina ADR.................... 48,800 846,375
Embotelladora Andina SA Andina Series B ADR........... 57,700 804,194
Empresa Nacional de Elec ADR.......................... 177,818 2,367,202
*Empresas Telex SA ADR................................ 39,400 38,169
Enersis SA ADR........................................ 82,103 1,898,632
Laboratorio Chile SA Labchile ADR..................... 14,000 241,500
Lan Chile SA ADR...................................... 86,400 626,400
Madeco SA ADR......................................... 24,500 238,875
Masisa SA ADR......................................... 16,500 195,938
*Santa Isabel SA ADR.................................. 15,500 156,938
Sociedad Quimica y Minera Chile ADR................... 29,502 837,119
Vina Concha y Toro SA Conchatoro ADR.................. 14,600 550,694
------------
TOTAL COMMON STOCKS.................................... 20,661,784
------------
RIGHTS/WARRANTS -- (0.0%)
*Banco Edwards SA ADR Rights 12/09/99
(Cost $0)........................................... 8,248 0
------------
TOTAL -- CHILE
(Cost $19,656,146)................................... 20,661,784
------------
PORTUGAL -- (4.1%)
COMMON STOCKS -- (4.1%)
Banco Comercial Portugues SA.......................... 596,735 3,436,832
Banco Espirito Santo e Comercial de Lisboa............ 48,400 1,208,587
Banco Pinto & Sotto Mayor SA.......................... 105,909 2,271,398
*Companhia de Seguros Mundial Confianca SA............ 31,120 1,637,219
Companhia de Seguros Tranquilidade SA................. 15,700 401,526
Corticeira Amorim Sociedad Gestora Participacoes
Sociais SA.......................................... 11,400 107,783
Investimentos Participacoes e Gestao SA Inapa......... 29,267 234,864
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 18,565 $ 420,589
Modelo Continente SGPS SA............................. 105,300 1,919,056
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 30,800 206,851
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA....................................... 8,164 138,922
*Sociedad Construcoes Soares da Costa SA.............. 17,514 52,022
Sociedade de Investimento e Gestao SGPS SA............ 18,900 329,032
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 24,483 175,273
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 40,759 1,520,932
Uniceruniao Cervejeira SA............................. 15,600 290,588
------------
TOTAL -- PORTUGAL
(Cost $6,530,620).................................... 14,351,474
------------
INDONESIA -- (3.3%)
COMMON STOCKS -- (3.3%)
*Bank Lippo Tbk....................................... 557,000 13,335
PT Asahimas Flat Glass Co., Ltd....................... 75,000 11,286
*PT Astra International Tbk........................... 1,003,000 459,651
*PT Bakrie & Brothers Tbk............................. 1,259,000 51,669
*PT Bank International Indonesia...................... 2,227,191 45,702
*PT Barito Pacific Timber............................. 910,000 77,804
*PT Bimantara Citra................................... 589,000 84,603
*PT Charoen Pokphand Tbk.............................. 95,000 26,967
*PT Ciputra Development Tbk........................... 262,000 19,713
*PT Citra Marga Nusaphala Persada..................... 960,000 82,079
*PT Dankos Laboratories............................... 105,000 12,209
*PT Duta Pertiwi...................................... 200,000 19,836
*PT Gajah Tunggal Tbk................................. 2,058,000 218,187
*PT Gt Kabel Indonesia Tbk............................ 212,000 8,700
*PT GT Petrochem Industries Tbk....................... 70,000 5,985
*PT Hanjaya Mandala Sampoerna Tbk..................... 496,500 1,134,275
*PT Hero Supermarket Tbk.............................. 78,000 20,807
*PT Indah Kiat Pulp & Paper Corp...................... 2,221,601 790,173
*PT Indocement Tunggal Prakarsa....................... 1,318,000 509,350
*PT Indofood Sukses Makmur............................ 930,280 1,021,272
*PT Indorama Synthetics Tbk........................... 365,580 70,015
PT Indosat Tbk........................................ 600,500 839,960
*PT Jakarta International Hotel and Development Tbk... 362,500 27,274
*PT Jaya Real Property................................ 305,000 39,638
*PT Kalbe Farma Tbk................................... 750,000 87,209
*PT Kawasan Industry Jababeka Tbk..................... 407,333 29,254
*PT Lippo Land Development Tbk........................ 174,000 13,092
*PT Matahari Putra Prima Tbk.......................... 314,000 35,438
*PT Mayorah Indah..................................... 288,720 29,622
*PT Modern Photo Tbk.................................. 154,000 47,401
*PT Mulia Industrindo................................. 850,680 61,095
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 765,821 227,861
</TABLE>
282
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*PT Pakuwon Jati Tbk.................................. 312,000 $ 16,006
*PT Panasia Indosyntec Tbk............................ 103,600 9,566
PT Perusahaan Rokok Tjap Gudang Garam................. 961,500 2,288,659
*PT Polysindo Eka Perkasa Tbk......................... 481,000 23,030
*PT Sari Husada Tbk................................... 13,440 5,883
*PT Semen Cibinong Tbk................................ 231,000 11,060
PT Semen Gresik....................................... 294,002 438,389
*PT Summarecon Agung.................................. 87,838 4,506
PT Tambang Timah (Persero) Tbk........................ 327,000 212,483
PT Telekomunikasi Indonesia (Persero) Tbk............. 4,661,820 1,992,912
PT Tempo Scan Pacific................................. 19,500 13,004
PT Tigaraksa Satria Tbk............................... 25,200 13,789
*PT Unggul Indah Corp. Tbk............................ 128,700 33,451
*PT United Tractors................................... 15,000 13,492
------------
TOTAL COMMON STOCKS
(Cost $27,687,119)................................... 11,197,692
------------
TOTAL -- INDONESIA
(Cost $27,687,119)................................... 11,197,692
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.5%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.35%,
12/01/99 (Collateralized by U.S. Treasury Notes
11.875%, 11/15/03, valued at $5,389,106) to be
repurchased at $5,281,785.
(Cost $5,281,000)................................... $ 5,281 $ 5,281,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $292,059,404)++.... $346,241,650
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $292,582,527.
</TABLE>
See accompanying Notes to Financial Statements.
283
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
TURKEY -- (11.7%)
COMMON STOCKS -- (11.7%)
Adana Cimento Sanayi Ticaret A.S...................... 21,560,580 $ 58,262
*Akal Tekstil A.S..................................... 926,625 12,341
*Aksa................................................. 3,545,000 107,768
Aksigorta A.S......................................... 6,135,000 245,713
Aksu Iplik Dokuma ve Boya Apre Fab A.S................ 2,132,236 10,906
*Aktas Elektrik Ticaret A.S........................... 370,000 65,703
*Alarko Holding....................................... 6,698,837 219,808
Alarko Sanayii ve Ticaret A.S......................... 841,499 73,903
Altinyildiz Mensucat ve Konfeksiyan Fabrikalari
A.S................................................. 1,464,000 24,302
*Anadolu Anonim Turk Sigorta Sirketi.................. 5,016,000 45,020
*Anadolu Gida Sanayi A.S.............................. 3,900,000 45,166
*Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. Series
C................................................... 1,600,000 56,361
*Aygaz................................................ 440,000 48,409
*Bagfas Bandirma Gubre Fabrik......................... 2,300,000 75,469
Bandirma Vitaminli Yem Sanayii Ticaret A.S............ 865,000 113,532
Bati Cimento A.S...................................... 1,497,998 33,251
*Bekoteknik Sanayi A.S................................ 5,135,109 82,266
Bolu Cimento Sanayi A.S............................... 4,696,122 32,178
Borusan............................................... 385,000 22,293
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 9,020,000 36,561
Bursa Cimento Fabrikasi A.S........................... 2,200,000 76,435
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 7,200,000 125,075
*Carsi Buyuk Magazacilik.............................. 589,000 40,927
*Cimentas A.S......................................... 2,290,000 66,301
*Deva Holding A.S..................................... 2,717,333 11,932
*Doktas............................................... 2,200,000 27,177
*Eczacibasi Ilac...................................... 6,188,000 84,801
*Eczacibasi Yapi Gere................................. 750,000 19,181
*Ege Seramik Co., Inc................................. 1,582,680 4,888
*Egeplast............................................. 386,000 5,886
*Erciyas Biracilik.................................... 2,000,000 69,486
*Es Kisehir Bankasi Esbank............................ 9,343,710 22,093
*Finansbank........................................... 33,039,486 138,703
Goltas Cimento........................................ 1,330,000 19,253
*Good Year Lastikleri A.S............................. 5,956,750 83,932
*Gubre Fabrikalari Ticaret A.S........................ 937,440 16,647
*Gunes Sigorta A.S.................................... 4,380,000 17,754
Guney Biracilik....................................... 2,220,400 56,786
*Hektas Ticaret A.S................................... 3,265,151 9,138
*Ihlas Holding........................................ 3,935,557 201,301
Isiklar Amba.......................................... 895,000 13,474
*Izmir Demir Celik.................................... 9,942,500 33,104
Karsu Tekstil......................................... 1,136,000 7,017
Kartonsan............................................. 1,698,750 70,496
Kav Orman Sanayii A.S................................. 3,003,000 22,316
Kent Gida Maddeleri Sanayii ve Ticaret A.S............ 4,352,000 55,441
Kepez Elektrik Ticaret A.S............................ 91,000 64,989
*Kerevitas Gida Sanayi ve Ticaret A.S................. 2,532,000 19,793
Konya Cimento......................................... 1,110,000 17,354
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 5,150,000 $ 106,859
*Mardin Cimento....................................... 2,300,000 33,739
Marshall Boya ve Vernik Sanayii A.S................... 951,000 38,547
*Medya Holdings A.S. Series C......................... 15,849,000 75,713
*Merko Gida Sanayi ve Ticaret A.S. Series A........... 1,058,000 16,745
*Milliyet Gazetecilik A.S............................. 13,721,400 94,020
*Milpa Ticari ve Sinai Urunler Pazarlama.............. 3,366,000 41,580
*Mudurnu Tavukculuk A.S............................... 870,000 18,892
Mutlu Aku............................................. 1,527,000 8,695
*Nergis Holding A.S................................... 892,000 6,370
*Nergis Holdings A.S. Issue 99........................ 892,000 0
*Net Holding A.S...................................... 6,147,540 15,722
*Net Turizm........................................... 3,366,000 18,516
Netas Northern Electric Telekomunikasyon A.S.......... 3,715,000 215,117
Otobus Karoseri Sanayi A.S............................ 780,000 35,756
Peg Profilo A.S....................................... 1,647,200 87,433
*Pinar Su Sanayi ve Ticaret A.S....................... 2,698,500 48,440
*Raks Elektroniks A.S................................. 2,730,000 3,899
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 2,627,865 47,172
T. Tuborg Bira ve Malt Sanayi A.S..................... 3,131,250 27,802
*Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret
A.S................................................. 1,068,000 142,238
*Tat Konserve......................................... 3,476,666 40,263
Tekstil Bankasi A.S................................... 10,588,206 43,940
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,354,000 151,580
*Tofas Turk Otomobil Fabrikasi A.S.................... 22,669,920 142,209
*Trakya Cam Sanayii A.S............................... 5,500,733 102,988
*Turk Demir Dokum..................................... 5,039,996 46,695
*Turk Dis Ticaret Bankasi A.S......................... 15,842,572 66,509
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 622,500 40,251
*USAS (Ucak Servisi A.S.)............................. 30,000 29,532
*Uzel Makina Sanayi A.S............................... 1,340,000 86,645
Vakif Finansal Kiralama A.S........................... 1,994,623 4,331
*Yasarbank A.S........................................ 6,205,102 12,336
Yunsa Yunlu Sanayi ve Ticaret A.S..................... 619,000 11,230
-----------
TOTAL -- TURKEY
(Cost $4,046,779).................................... 4,672,656
-----------
GREECE -- (11.5%)
COMMON STOCKS -- (11.2%)
Aegek................................................. 10,400 218,558
Alcatel Cables Hellas S.A............................. 1,850 91,528
Alfa-Beta Vassilopoulos S.A........................... 2,950 101,307
Alte Technological Company............................ 6,200 156,220
Aluminum of Attica S.A................................ 24,600 471,758
Atti-Kat S.A.......................................... 5,940 131,290
Delta Dairy S.A....................................... 8,150 380,248
*Etba Leasing S.A..................................... 8,910 320,720
Goody's S.A........................................... 4,480 135,870
Hellas Can Packaging Manufacturers S.A................ 3,340 177,012
Hellenic Cables S.A................................... 3,950 99,225
</TABLE>
284
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Klonatex S.A.......................................... 7,250 $ 300,501
Lavipharm S.A......................................... 7,800 103,823
Light Metals Industry................................. 6,700 184,315
*Petzetakis S.A....................................... 3,900 78,853
Selected Textile Industry Assoc. S.A.................. 21,870 322,593
Shelman............................................... 8,250 328,049
Silver & Baryte Ores Mining Co. S.A................... 5,208 216,980
*Spyroy Agricultural House S.A........................ 5,424 91,139
Strintzis Shipping Lines S.A.......................... 6,600 88,760
TEB S.A. (Volos Technical Co.)........................ 4,050 109,181
*Teletypos S.A. New Shares............................ 2,160 58,627
Themeliodomi.......................................... 5,400 79,653
Tiletipos S.A......................................... 8,640 235,567
-----------
TOTAL COMMON STOCKS
(Cost $1,352,940).................................... 4,481,777
-----------
RIGHTS/WARRANTS -- (0.3%)
*Lavipharm S.A. Rights 12/27/99....................... 7,800 32,258
*Petzetakis S.A. Rights 12/20/99...................... 3,000 36,026
*Spyrou Agricultural House S.A. Rights 12/30/99....... 4,520 10,482
*Themeliodomi S.A. Rights 12/20/99.................... 5,400 36,228
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 114,994
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Greek Drachmas
(Cost $3,538)....................................... 3,431
-----------
TOTAL -- GREECE
(Cost $1,356,478).................................... 4,600,202
-----------
ISRAEL -- (11.1%)
COMMON STOCKS -- (11.1%)
Agis Industries (1983), Ltd........................... 27,000 185,151
*American Israeli Paper Mills, Ltd.................... 800 47,293
*Azorim Investment Development & Construction Co.,
Ltd................................................. 15,422 167,385
Baran................................................. 9,500 186,901
*Beit Shemesh Motor................................... 3,351 11,379
*Dead Sea Periclase................................... 14,330 49,303
Delek Automotive Systems, Ltd......................... 2,588 6,885
Delta Galil Industries, Ltd........................... 3,000 51,856
*Discount Mortgage Bank, Ltd.......................... 1,320 103,628
*Elbit Medical Imaging................................ 4,500 35,647
Elbit, Ltd............................................ 4,500 61,504
Elco Industries (1975)................................ 6,000 59,163
Electra Consumer...................................... 20,300 219,850
Electra Israel, Ltd................................... 3,000 191,536
*Electric Wire & Cable Co. of Israel, Ltd............. 12,800 42,374
Feuchtwanger Industries............................... 224 25,160
*Formula Systems...................................... 6,570 227,287
*Israel General Bank, Ltd............................. 3,222 91,045
*Israel Land Development Co., Ltd..................... 26,000 222,560
Israel Petrochemical Enterprises, Ltd................. 32,500 190,590
*Israel Salt Industries............................... 38,139 234,481
*J.O.E.L. Jerusalem Oil Exploration, Ltd.............. 6,178 41,928
*Knafaim-Arkia Holdings, Ltd.......................... 1,200 19,125
Maman Cargo Terminals & Handling, Ltd................. 33,600 62,767
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Matav Cable Israel.................................... 14,000 $ 347,270
Mehadrin, Ltd......................................... 3,887 147,981
*Middle East Tube Co.................................. 19,000 17,387
Miloumor.............................................. 12,658 149,059
*Mishkan Hapoalim Mortgage Bank, Ltd. Series B........ 1,440 306,797
*Mul-t-lock, Ltd...................................... 20,500 48,475
*Naphta Israel Petroleum Corp......................... 105,630 16,011
*Nice Systems, Ltd.................................... 5,785 235,560
*Ormat Industries..................................... 54,000 114,538
Rapac Electronics, Ltd................................ 6,000 35,895
*Tambour.............................................. 64,000 113,502
Tefahot Israel Mortgage Bank, Ltd..................... 330 231,368
Ytong Industries, Ltd................................. 52,500 115,206
-----------
TOTAL COMMON STOCKS
(Cost $2,981,651).................................... 4,413,847
-----------
TOTAL -- ISRAEL
(Cost $2,981,651).................................... 4,413,847
-----------
BRAZIL -- (10.6%)
PREFERRED STOCKS -- (9.3%)
*Acesita SA........................................... 136,000,000 56,637
*Acos Villares SA..................................... 120,000 2,499
Alpargatas-Santista Textil SA......................... 300,000 23,378
Banco Mercantil do Brasil SA.......................... 130,000 17,324
Banco Noroeste SA..................................... 70,000 47,371
Banco Real SA......................................... 66,000 51,535
Bombril SA............................................ 5,900,000 26,168
*Brasiliero de Petroleo Ipiranga...................... 16,800,000 165,288
Brasmotor SA.......................................... 700,000 70,153
COFAP (Cia Fabricadora de Pecas)...................... 6,000 0
*Caemi Mineracao e Metalurgia SA...................... 500,000 28,371
*Cambuci SA........................................... 4,000 83
Cia Siderurgica Belgo-Mineira......................... 2,650,000 132,430
Cimento Portland Itau................................. 1,670,000 213,856
*Companhia Energetica do Ceara Coelce................. 22,000,000 56,116
*Companhia Siderurgica de Tubarao Sid Tubarao......... 17,400,000 247,186
Confab Industrial SA.................................. 27,000 17,007
Coteminas Cia Tecidos Norte de Minas.................. 733,426 57,269
*Distribuidora de Produtos Petreleo Ipirangi SA....... 3,900,000 51,770
Duratex SA............................................ 3,000,000 93,701
ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B............................................ 13,156,000 92,797
*Forca Luz Cataguazes Leopoldina Series A............. 23,400,000 14,617
Francisco Stedile SA.................................. 20,200,000 11,041
*Gerdau SA............................................ 15,623,172 309,046
Globex Utilidades SA.................................. 18,000 98,386
*Gradiente Eletronica SA.............................. 2,600 15,294
IKPC Industrias Klabin de Papel e Celulose SA......... 220,000 142,009
</TABLE>
285
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Industria de Bebidas Antarctica Polar SA............. 23,000 $ 34,721
Industrias Villares SA................................ 58,000 211
*Inepar Energia SA.................................... 1,016 0
*Inepar SA Industria e Construcoes.................... 9,900,001 22,779
*Inepar-Fem Equipamentos e Montagem SA................ 1,260 62
Lojas Americanas SA................................... 10,690,369 16,138
*Manah SA............................................. 900,000 12,415
*Marcopolo SA......................................... 20,000 21,343
*Marisol SA Industria do Vestuario.................... 36,000 22,301
*Metal Leve SA........................................ 2,500,000 44,117
Metalurgica Barbara................................... 25,300,000 27,657
*Metalurgica Gerdau SA................................ 2,862,847 109,238
*Mineracao da Trinidade Samitri....................... 6,058,800 151,390
Multibras Eletrodomesticos SA......................... 280,000 109,318
Oxiteno SA Industria e Comercio....................... 12,160 46,209
*Paranapanema SA...................................... 6,200,000 11,780
*Perdigao SA NPV...................................... 55,000,000 97,345
Pirelli Pneus SA...................................... 33,000 82,457
Plascar Participacoes Industricoes SA................. 171,000 22,254
Randon Participacoes SA............................... 51,000,000 10,088
Real Consorcio Part Pfd............................... 19,000 17,012
Refinaria de Petroleo Ipiranga SA..................... 3,600,000 42,165
Renner Herrmann SA.................................... 28,000 8,308
Sadia Oeste SA Inclusttia e Comercio Soes............. 155,000 115,382
*Sao Carlos Empreendimentos e Participacoes SA........ 10,690,369 19,477
*Serrana SA........................................... 55,000 23,764
*Sharp SA Equipamentos Eletronicos.................... 30,200,000 3,459
*Tam Transportes Aereos Regionais SA.................. 1,150,000 30,531
*Tele Celular Sul Participacoes SA.................... 35,100,000 71,077
Teleleste Celular Participacoes SA.................... 81,500,000 50,062
Telemig Celular Participacoes SA...................... 81,400,000 134,748
Telenordeste Celular Participacoes SA................. 112,800,000 157,367
Telenorte Celular Participacoes SA.................... 81,400,000 48,730
Usinas Siderurgicas de Minas Gerais................... 535 7,241
*Varig SA Viacao Aerea Riograndense................... 16,000 19,573
Weg SA................................................ 165,000 88,469
-----------
TOTAL PREFERRED STOCKS
(Cost $3,255,628).................................... 3,720,520
-----------
COMMON STOCKS -- (1.3%)
*Acos Especiais Itabira-Acesita Aces.................. 42,900,000 13,399
Avipal SA Avicultura e Agropecua...................... 15,900,000 19,037
Copene-Petroquimica do Nordeste SA Series A........... 620,000 149,432
*Embraco SA........................................... 230,000 92,191
*Eternit SA........................................... 120,000 23,674
*Mannesmann SA........................................ 215,000 13,990
*Metalurgica Gerdau................................... 161,519 4,666
*Rhodia Ster SA....................................... 496,000 18,074
Sao Paulo Alpargatas SA............................... 510,000 27,610
*Tele Centro Oeste Celular Participacoes SA........... 121,208,993 167,206
-----------
TOTAL COMMON STOCKS
(Cost $589,770)...................................... 529,279
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Acesita SA Rights Open Pay Date...................... 21,645,511 $ 0
*Acesita SA Rights Open Pay Date...................... 68,619,804 0
*Coteminsa Cia Tecidos Norte de Minas Rights
12/20/99............................................ 180,131 0
*Industrias Villares SA Rights 11/25/99............... 556,058 0
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
-----------
TOTAL -- BRAZIL
(Cost $3,845,398).................................... 4,249,799
-----------
MEXICO -- (10.6%)
COMMON STOCKS -- (10.6%)
*Abaco Grupo Financiero S.A. de C.V. Series B......... 108,000 0
*Altos Hornos de Mexico S.A........................... 33,000 9,634
*Biper S.A. de C.V. Series B.......................... 131,000 17,213
*Bufete Industrial S.A. (Certificates representing 3
shares Series L & 1 share Series B)................. 24,000 13,988
*Cintra S.A. de C.V................................... 137,000 74,038
*Consorcio Ara S.A.................................... 145,000 193,600
*Corporacion Geo S.A. de C.V. Series B................ 45,000 152,591
*Corporacion Interamericana de Entramiento S.A. de
C.V. Series B....................................... 84,000 278,606
Embotelladoras Argos S.A. de C.V...................... 98,000 88,270
*Embotelladores del Valle Anahuac S.A. de C.V.
Series B............................................ 39,000 15,704
*Empaques Ponderosa S.A. de C.V. Series B............. 206,000 120,059
Empresas ICA Sociedad Controladora S.A. de C.V........ 269,000 169,319
Farmacias Benavides S.A. de C.V. Series B............. 54,000 66,377
*Gruma S.A. de C.V. Series B.......................... 138,000 144,771
*Grupo Casa Autrey S.A. de C.V........................ 104,000 88,164
Grupo Cementos de Chihuahua S.A. de C.V. Series B..... 152,000 112,104
Grupo Continental S.A................................. 130,000 192,583
Grupo Corvi S.A. de C.V. Series L..................... 100,000 19,922
*Grupo Elecktra S.A. de C.V........................... 451,000 301,081
*Grupo Fernandez Editores S.A. de C.V. Series B....... 103,000 6,985
*Grupo Financiero BBV Probursa S.A. de C.V. Series
B................................................... 1,318,644 170,472
*Grupo Financiero del Norte S.A. Series C............. 207,000 293,928
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 124,000 0
*Grupo Financiero Serfin S.A. de C.V. Series B........ 723,000 37,541
*Grupo Herdez S.A. de C.V. Series B................... 107,000 39,344
*Grupo Industrial Maseca S.A. de C.V. Series B........ 386,000 182,427
*Grupo Posadas S.A. de C.V. Series L.................. 199,000 108,388
*Grupo Tribasa S.A. de C.V............................ 64,000 17,497
*Hylsamex S.A. de C.V. Series B....................... 42,000 122,391
*Industrias S.A. de C.V. Series B..................... 33,000 86,373
Jugos del Valle S.A. de C.V. Series B................. 20,000 11,656
Nacional de Drogas S.A. de C.V. Series L.............. 210,000 233,655
</TABLE>
286
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Pepsi-Gemex SA de CV Pepsigx......................... 115,000 $ 125,273
*Sanluis Corporacion S.A. de C.V.(Certificates
representing 1 share Series B, 1 share Series C & 1
share Series D)..................................... 67,000 139,865
Sigma Alimentos S.A. de C.V........................... 61,000 145,438
*Sistema Argos S.A. de C.V. Series B.................. 50,000 14,305
*Transportacion Maritima Mexicana S.A. de C.V. Series
L................................................... 24,000 83,925
Tubos de Acero de Mexico S.A.......................... 10,000 126,311
Vitro S.A............................................. 129,000 218,724
-----------
TOTAL -- MEXICO
(Cost $5,101,520).................................... 4,222,522
-----------
THAILAND -- (10.1%)
COMMON STOCKS -- (10.0%)
*Adkinson Securities Public Co., Ltd. (Foreign)....... 90,000 91,742
*Aromatics (Thailand) Public Co., Ltd. (Foreign)...... 284,000 68,460
*Bangkok Land Public Co., Ltd. (Foreign).............. 65,200 9,698
Banpu Public Co., Ltd. (Foreign)...................... 66,800 54,817
*Berli Jucker Public Co., Ltd. (Foreign).............. 69,000 80,510
*Big C Supercenter Public Co., Ltd. (Foreign)......... 87,000 49,641
*Capetronic International (Thailand) Public Co.,
Ltd................................................. 110,933 11,379
Capital Nomura Securities Public Co., Ltd.
(Foreign)........................................... 46,000 82,575
*Central Paper Industry Public Co., Ltd. (Foreign).... 19,800 17,327
*Central Plaza Hotel Public Co., Ltd. (Foreign)....... 39,500 16,207
*Ch Karnchang Public Co., Ltd. (Foreign).............. 62,800 46,301
*Charoen Pokphand Feedmill Public Co., Ltd.
(Foreign)........................................... 59,350 161,332
Compass East Industry (Thailand) Public Co., Ltd.
(Foreign)........................................... 12,200 33,789
*Eastern Water Resources Development & Management
Public Co., Ltd. (Foreign).......................... 31,100 25,521
*GSS Array Technology Public Co., Ltd. (Foreign)...... 3,200 2,934
*Golden Land Property Development Public Co., Ltd.
(Foreign)........................................... 68,800 31,758
Grammy Entertainment Public Co., Ltd. (Foreign)....... 30,000 69,240
*Hana Microelectronics Co., Ltd. (Foreign)............ 54,000 222,951
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 46,500 13,415
*International Cosmetics Public Co., Ltd. (Foreign)... 12,000 20,003
<CAPTION>
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<S> <C> <C>
*Jalaprathan Cement Public Co., Ltd. (Foreign)........ 85,200 $ 64,454
*Jasmine International Public Co., Ltd. (Foreign)..... 200,000 112,835
*K.R. Precision Public Co., Ltd....................... 21,866 9,533
*KCE Electronics Public Co., Ltd. (Foreign)........... 17,000 33,568
Kang Yong Electric Public Co., Ltd. (Foreign)......... 7,200 8,309
*LPN Development Public Co., Ltd. (Foreign)........... 15,100 2,633
*Laguna Resorts & Hotels Public, Ltd. Foreign......... 32,200 13,625
*Land and House Public Co., Ltd. (Foreign)............ 210,140 210,167
*Lanna Lignite Public Co., Ltd. (Foreign)............. 11,500 10,101
*Loxley Public Co., Ltd. (Foreign).................... 12,500 16,188
*Media of Medias Public Co., Ltd. (Foreign)........... 9,100 1,167
*Muramoto Electronic (Thailand) Public Co., Ltd....... 9,900 15,613
*Nakornthon Bank Public Co., Ltd. (Foreign)........... 53,850 4,557
*Nation Multimedia Group Public Co., Ltd. (Foreign)... 36,259 12,320
*National Petrochemical Public Co., Ltd. (Foreign).... 447,300 453,092
*New Imperial Hotel Public Co., Ltd. (Foreign)........ 30,000 14,425
*Pacific Assets Public Co., Ltd. (Foreign)............ 141,000 24,949
*Padaeng Industry Public Co., Ltd (Foreign)........... 66,000 16,079
Patum Rice Mill & Granary Public Co., Ltd............. 5,500 3,173
Pizza Public Co., Ltd. (Foreign)...................... 21,000 39,313
*Prasit Development Public Co., Ltd. (Foreign)........ 29,700 4,189
*Quality Houses Public Co., Ltd. (Foreign)............ 195,000 33,004
*Regional Container Lines Public Co., Ltd.
(Foreign)........................................... 9,000 10,848
Saha Pathana Inter-Holding Public Co., Ltd.
(Foreign)........................................... 35,000 40,838
*Saha-Union Public Co. Ltd. (Foreign)................. 159,500 52,151
*Sahaviriya Steel Industries Public Co., Ltd.
(Foreign)........................................... 362,100 69,643
*Samart Corp. Public Co., Ltd. (Foreign).............. 32,600 21,527
*Securities One Public Co., Ltd. (Foreign)............ 383,146 54,040
*Shinawatra Satellite Public Co., Ltd. (Foreign)...... 415,625 295,771
*Siam Food Products Public Co., Ltd. (Foreign)........ 9,000 15,002
*Siam Pulp & Paper Co., Ltd. (Foreign)................ 75,900 165,444
*Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign)........................................... 121,051 46,564
*Sri Trang Agro Industry Public Co., Ltd.............. 20,331 11,601
</TABLE>
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*Srithai Superware Public Co., Ltd. (Foreign)......... 6,000 $ 2,846
*Sun Tech Group Public Co., Ltd. (Foreign)............ 27,200 1,953
*Supalai Public Co., Ltd. (Foreign)................... 17,300 4,259
*TCJ Motor Public Co., Ltd. (Foreign)................. 7,300 693
*TPI Polene Public Co., Ltd. (Foreign)................ 258,476 101,084
*Tanayong Public Co., Ltd. (Foreign).................. 261,000 66,932
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 82,400 36,451
*Thai Pineapple Public Co., Ltd. (Foreign)............ 12,200 3,832
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 40,500 101,782
Thai Reinsurance Public Co., Ltd. (Foreign)........... 28,950 31,181
*Thai Rung Union Carbide Public Co., Ltd. (Foreign)... 13,200 16,587
*Thai Stanley Electric (Thailand) Public Co., Ltd..... 16,000 16,617
*Thai Telephone & Telecommunication Public Co., Ltd.
(Foreign)........................................... 450,000 118,284
Thai Union Frozen Products Co., Ltd................... 36,852 128,526
*Thai Vegetable Oil Public Co., Ltd. (Foreign)........ 8,800 16,700
*Tipco Asphalt Public Co., Ltd. (Foreign)............. 95,200 90,329
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 126,728 38,186
*United Communication Industry Public Co., Ltd.
(Foreign)........................................... 135,100 102,204
*Vanachai Group Public Co., Ltd. (Foreign)............ 22,100 4,025
*Vinythai Public Co., Ltd. (Foreign).................. 355,700 93,497
-----------
TOTAL COMMON STOCKS
(Cost $4,092,570).................................... 3,972,291
-----------
RIGHTS/WARRANTS -- (0.1%)
*Banpu Public Co., Ltd. Rights 01/14/00............... 66,800 37,687
*Krisda Mahanakor Public Co., Ltd. Rights 12/24/99.... 31,892 810
*Quality Houses Public Co., Ltd. (Foreign) Warrants
1999-2002........................................... 27,000 0
*Siam Industrial Credit Public Co., Ltd. Warrants
11/23/03............................................ 5,325 1,400
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 39,897
-----------
TOTAL -- THAILAND
(Cost $4,092,570).................................... 4,012,188
-----------
SOUTH KOREA -- (9.7%)
COMMON STOCKS -- (9.7%)
*A-Nam Industrial Co., Ltd............................ 3,783 51,887
*Aluminium of Korea................................... 5,950 16,193
*Bank of Pusan........................................ 8,550 21,610
*Bing Grae Co., Ltd................................... 1,210 10,855
Bu Kwang Pharmaceutical Co., Ltd...................... 5,940 28,080
*Cheil Industrial, Inc................................ 1,740 11,272
Choong Wae Pharmaceutical............................. 1,637 16,945
*Chosun Brewery Co., Ltd.............................. 1,580 44,977
Daeduck Electronics Co., Ltd.......................... 20,534 294,039
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Daeduck Industries Co., Ltd........................... 6,895 $ 85,648
*Daegu Bank Co., Ltd.................................. 9,030 31,002
Daehan City Gas Co., Ltd.............................. 2,000 65,905
Daehan Flour Mills Co., Ltd........................... 360 16,459
Daesung Industrial Co., Ltd........................... 1,690 44,829
*Daewoo Electronics Co., Ltd.......................... 13,010 12,682
*Daewoo Telecom Co., Ltd.............................. 12,526 11,778
Daishin Securities Co., Ltd........................... 10,593 190,066
Dong Ah Tire Industrial Co., Ltd...................... 730 23,300
Dong Bu Insurance Co., Ltd............................ 19,230 74,150
*Dong-Ah Construction Industrial Co., Ltd............. 4,790 18,594
*Dong-Ah Securities Co., Ltd.......................... 4,840 35,071
*Dongkuk Steel Mill Co., Ltd.......................... 6,579 23,609
*Fidelity Investments Life Insurance, Ltd............. 5,400 29,300
Hae In Co., Ltd....................................... 5,964 14,817
*Han Il Cement Manufacturing Co., Ltd................. 1,010 19,777
Han Kuk Carbon Co., Ltd............................... 7,489 40,769
*Han Wha Energy Co., Ltd.............................. 5,600 23,598
*Hanjin Investment & Securities Co., Ltd.............. 2,940 19,683
*Hanjin Shipping Co., Ltd............................. 4,964 33,486
*Hanjin Transportation Co., Ltd....................... 830 29,463
Hankook Tire Manufacturing Co., Ltd................... 15,000 53,828
Hankuk Glass Industries, Inc.......................... 5,120 95,400
Hanmi Pharmaceutical Industrial Co, Ltd............... 2,068 30,148
Hansol Paper Co., Ltd................................. 2,890 42,381
*Hanwha Securities Co., Ltd........................... 2,260 23,979
*Hotel Shilla, Ltd.................................... 11,548 80,191
*Hung Chang Co., Ltd.................................. 5,540 37,276
Hyundai Corp.......................................... 6,595 30,152
*Hyundai Fire & Marine Insurance Co., Ltd............. 1,430 31,456
Hyundai Mipo Dockyard Co., Ltd........................ 3,572 35,743
*Hyundai Pipe Co., Ltd................................ 7,650 8,678
*ISU Chemical Co., Ltd................................ 1,530 19,797
*Il Shin Spinning..................................... 380 17,013
Keum Kang Development Industry Co., Ltd............... 3,065 34,371
*Keumkang Co., Ltd.................................... 960 45,547
*Kohap Co., Ltd....................................... 6,320 26,169
*Kolon Industries, Inc................................ 2,260 22,225
*Kolon International Corp............................. 4,590 33,259
*Korea Chemical Co., Ltd.............................. 640 40,302
Korea Circuit Co...................................... 7,800 92,180
Korea Electronics Co., Ltd............................ 1,310 30,511
Korea Fine Chemical Co., Ltd.......................... 1,000 36,317
Korea Green Cross Co., Ltd............................ 1,755 59,366
Korea Iron & Steel Works Co., Ltd..................... 362 43,249
Korea Merchant Banking Co............................. 3,010 13,735
Korea Zinc Co., Ltd................................... 2,580 55,639
Korean Reinsurance Co., Ltd........................... 3,100 49,472
*Kumho Tire Co., Ltd.................................. 4,530 19,030
*Kwangju Bank......................................... 7,740 16,892
*Kyong Nam Bank....................................... 7,900 19,081
*LG Construction, Ltd................................. 3,689 27,685
LG International Corp................................. 13,952 83,044
Lotte Confectionary Co., Ltd.......................... 680 72,150
Namhae Chemical Corporation........................... 3,120 105,772
</TABLE>
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Namyang Dairy Products Co., Ltd....................... 340 $ 59,245
Nong Shim Co., Ltd.................................... 2,640 106,579
*Oriental Chemical Industries Co., Ltd................ 1,790 24,551
Orion Electric Co., Ltd............................... 12,155 47,184
*Pacific Chemical Co., Ltd............................ 1,360 30,913
*Poong San Corp....................................... 3,070 21,716
Saehan Industries, Inc................................ 4,600 37,697
Sam Yang Corp......................................... 1,780 18,886
*Samsung Fine Chemicals............................... 4,960 67,388
Samyang Genex Co., Ltd................................ 220 6,604
Seondo Electric Co., Ltd.............................. 4,400 17,042
Seoul City Gas Co., Ltd............................... 2,750 69,506
*Seoul Securities Co., Ltd............................ 3,280 32,397
*Shin Han Securities Co., Ltd......................... 3,460 27,459
Shin Young Securities Co., Ltd........................ 2,620 51,078
*Shinmoorim Paper Manufacturing Co., Ltd.............. 2,070 12,428
*Ssangyong Cement Industry Co., Ltd................... 13,530 45,051
Suheung Capsule Co., Ltd.............................. 1,900 22,126
*Sungmi Telecom Electronics Co........................ 3,570 55,432
*Sunkyong Industries, Ltd............................. 1,490 16,838
*Sunkyong, Ltd........................................ 5,240 81,137
*Tae Kwang Industrial Co., Ltd........................ 130 44,969
*Tae Young Corp....................................... 804 30,239
*Tai Han Electric Wire Co............................. 2,553 31,272
*The Oriental Fire & Marine Insurance Co., Ltd........ 1,370 14,832
*Tong Yang Merchant Bank.............................. 4,650 15,223
*Tong Yang Securities Co., Ltd........................ 4,060 30,470
*Young Poong Mining & Construction Corp............... 1,374 15,053
Youngone Corporation.................................. 11,400 22,913
Yuhan Corp............................................ 1,024 32,418
-----------
TOTAL COMMON STOCKS
(Cost $3,236,965).................................... 3,860,528
-----------
RIGHTS/WARRANTS -- (0.0%)
*Kumho Industrial Co., Ltd. Rights 12/06/99........... 1,146 0
*LG International Corp. Rights 12/08/99............... 4,406 4,561
*Shinmoorim Paper Manufacturing Co., Ltd. Rights
12/14/99............................................ 708 892
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 5,453
-----------
TOTAL -- SOUTH KOREA
(Cost $3,236,965).................................... 3,865,981
-----------
MALAYSIA -- (8.9%)
COMMON STOCKS -- (8.9%)
AMMB Holdings Berhad.................................. 86,000 184,447
Affin Holdings Berhad................................. 113,000 88,913
Amalgamated Industrial Steel Berhad................... 10,000 4,211
*Anson Perdana Berhad................................. 10,000 3,553
Antah Holding Berhad.................................. 23,000 6,416
*Aokam Perdana Berhad................................. 733 3,559
Arab Malaysian Development Berhad..................... 58,000 10,226
*Asas Dunia Berhad.................................... 16,000 8,168
*Asia Pacific Land Berhad............................. 70,000 13,539
Asiatic Development Berhad............................ 118,000 38,505
Austral Enterprises Berhad............................ 31,000 31,490
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Ayer Hitam Planting Syndicate Berhad.................. 2,000 $ 9,000
*Bimb Holdings Berhad................................. 134,600 74,384
Bolton Properties Berhad.............................. 18,000 12,411
CCM Bioscience........................................ 833 864
Cahya Mata Sarawak Berhad............................. 66,000 57,316
Cement Industries of Malaysia Berhad.................. 13,000 8,929
Chemical Co. of Malaysia Berhad....................... 51,000 73,816
Chin Teck Plantations Berhad.......................... 10,000 16,118
Cycle & Carriage Bintang Berhad....................... 15,000 30,000
DMIB Berhad........................................... 30,000 8,368
DNP Holdings Berhad................................... 34,000 9,574
*Damansara Realty Berhad.............................. 65,000 6,414
Datuk Keramik Holdings Berhad......................... 24,000 13,263
Diperdana Corp. Berhad................................ 3,000 2,763
Edaran Otomobil Nasional Berhad....................... 18,000 62,053
Esso Malaysia Berhad.................................. 43,000 32,816
FCW Holdings Berhad................................... 16,000 5,768
*Faber Group Berhad................................... 32,000 4,421
Federal Flour Mills Berhad............................ 20,000 20,105
*Fraser & Neave Holdings Berhad....................... 27,000 25,437
Gadek (Malaysia) Berhad............................... 11,000 8,453
Gamuda Berhad......................................... 60,000 120,790
*Golden Plus Holdings Berhad.......................... 16,000 4,547
*Gopeng Berhad........................................ 17,000 6,621
Guthrie Ropel Berhad.................................. 11,000 9,089
*HLG Capital Berhad................................... 12,000 6,316
Hap Seng Consolidated Berhad.......................... 67,000 38,084
Hock Hua Bank Berhad (Foreign)........................ 21,000 40,618
Hong Leong Industries Berhad.......................... 47,000 73,592
Hong Leong Properties Berhad.......................... 112,000 33,600
Hume Industries (Malaysia) Berhad..................... 52,000 41,600
IGB Corp. Berhad...................................... 90,000 27,474
IJM Corp. Berhad...................................... 56,000 41,558
*Idris Hydraulic (Malaysia) Berhad.................... 89,000 15,575
*Insas Berhad......................................... 56,000 13,189
Island & Peninsular Berhad............................ 57,000 45,000
*Johan Holdings Berhad................................ 30,000 6,592
KFC Holdings (Malaysia) Berhad........................ 29,000 35,868
*Kamunting Corp. Berhad............................... 40,000 11,579
Keck Seng (Malaysia) Berhad........................... 23,000 10,653
Kelang Container Terminal Berhad...................... 12,000 11,242
Kian Joo Can Factory Berhad........................... 29,000 44,645
*Kretam Holdings Berhad............................... 30,000 12,474
Kuala Sidim Berhad.................................... 31,000 39,158
Kulim Malaysia Berhad................................. 53,000 34,171
Ladang Perbadanan-Fima Berhad......................... 11,000 8,626
Landmarks Berhad...................................... 78,000 23,811
*Larut Consolidated Berhad............................ 18,000 5,211
*Leader Universal Holdings Berhad..................... 69,000 21,063
Lingkaran Trans Kota Holdings Berhad.................. 87,000 100,737
Lion Corp. Berhad..................................... 15,600 10,468
*MBF Holdings Berhad.................................. 106,000 5,718
*MBF Land Berhad...................................... 65,000 11,033
MUI Properties Berhad................................. 75,200 13,853
Maa Holdings Berhad................................... 20,800 36,126
Malayan Cement Berhad................................. 65,750 17,649
Malayawata Steel Berhad............................... 21,000 7,129
Malaysia Building Society Berhad...................... 35,000 14,276
</TABLE>
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*Malaysia Industrial Development Finance Berhad....... 133,000 $ 46,550
Malaysia Mining Corp. Berhad.......................... 181,000 82,403
Malaysian Airlines System............................. 167,000 143,268
*Malaysian Helicopter Services Berhad................. 110,000 35,605
Malaysian Mosaics Berhad.............................. 27,000 11,013
Malaysian Pacific Industries.......................... 45,000 238,026
*Malaysian Plantations Berhad......................... 28,000 17,095
Malaysian Tobacco Co. Berhad.......................... 20,000 20,000
Malex Industries Berhad............................... 58,000 37,700
*Mancon Berhad........................................ 12,000 2,747
Maruichi Malaysia Steel Tube Berhad................... 8,000 8,884
Matsushita Electric Co. (Malaysia) Berhad............. 3,520 12,227
*Mulpha International Berhad.......................... 133,750 28,510
Nam Fatt Berhad....................................... 9,000 4,074
Negara Properties (Malaysia) Berhad................... 5,000 5,197
Nylex (Malaysia) Berhad............................... 12,000 6,347
OSK Holdings.......................................... 28,000 28,590
*Olympia Industries Berhad............................ 104,000 18,337
Pan Pacific Asia Berhad............................... 12,000 5,621
*Panglobal Berhad..................................... 14,000 3,500
*Parit Perak Holdings Berhad.......................... 13,000 2,686
Peladang Kimia Berhad................................. 14,000 7,737
Pelangi Berhad........................................ 106,000 33,474
Pernas International Holdings Berhad.................. 71,000 23,729
Petaling Garden Berhad................................ 47,000 20,779
*Phileo Allied Berhad................................. 54,000 35,526
*Phileo Land Berhad................................... 12,000 10,042
Pilecon Engineering Berhad............................ 21,000 6,908
Prime Utilities Berhad................................ 3,000 3,553
*Promet Berhad........................................ 52,000 3,968
*Rashid Hussain Berhad................................ 47,000 34,755
*Rekapacific Berhad................................... 55,000 6,658
SP Settia Berhad...................................... 7,000 11,882
Samanda Holdings Berhad............................... 23,000 65,368
Selangor Properties Berhad............................ 89,000 44,032
Sime UEP Properties Berhad............................ 84,000 108,316
Southern Bank Berhad (Foreign)........................ 151,000 132,721
*Southern Steel Berhad................................ 45,000 17,526
*Sriwani Holdings Berhad.............................. 12,000 3,442
*Sungei Way Holdings Berhad........................... 63,000 38,132
Ta Enterprise Berhad.................................. 107,000 43,363
Talam Corp. Berhad.................................... 14,000 4,421
Tan & Tan Developments Berhad......................... 77,000 28,368
Tasek Cement Berhad................................... 37,000 22,395
*Tongkah Holdings Berhad.............................. 14,000 6,263
Tradewinds (Malaysia) Berhad.......................... 49,000 29,787
UMW Holdings Berhad................................... 54,800 95,900
United Malacca Rubber Estates Berhad.................. 9,000 11,747
United Malayan Land Berhad............................ 13,000 13,547
United Plantations Berhad............................. 33,000 34,216
*Westmont Industries Berhad........................... 23,000 5,387
*Westmont Land (Asia) Berhad.......................... 20,000 3,895
*Wing Tiek Holdings Berhad............................ 8,000 1,874
*Worldwide Holdings Berhad............................ 16,000 6,737
-----------
TOTAL COMMON STOCKS
(Cost $4,182,495).................................... 3,549,863
-----------
<CAPTION>
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<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*IGB Corp. Berhad Rights 11/19/99
(Cost $0)........................................... 22,500 $ 1,066
-----------
TOTAL -- MALAYSIA
(Cost $4,182,495).................................... 3,550,929
-----------
PHILIPPINES -- (7.9%)
COMMON STOCKS -- (7.9%)
*Alaska Milk Corp..................................... 1,404,000 85,610
*Alsons Cement Corp................................... 281,000 19,876
Alsons Consolidated Resources, Inc.................... 2,058,000 26,352
*Anglo Philippine Holdings Corp....................... 546,000 14,116
*Bacnotan Cement Corp................................. 214,700 27,230
Bacnotan Consolidated Industries, Inc................. 122,234 46,583
*Bankard, Inc......................................... 412,000 24,117
*Belle Corp........................................... 5,167,000 252,048
*C & P Homes, Inc..................................... 4,177,000 49,920
*Cebu Holdings, Inc................................... 1,925,000 39,908
*Cosmos Bottling Corp................................. 2,126,000 100,596
*DMCI Holdings, Inc................................... 4,372,000 132,226
*Davao Union Cement Corp.............................. 1,064,000 18,685
*Digital Telecommunications (Philippines), Inc........ 5,473,000 173,534
*EEI Corporation...................................... 1,108,000 18,917
*East Asia Power Resources Corp....................... 1,185,250 31,221
*Fil-Estate Land, Inc................................. 2,630,000 62,222
*Global Equities, Inc................................. 886,462 8,865
*Guoco Holdings (Philippines), Inc.................... 2,870,000 56,700
*House of Investments, Inc............................ 732,000 19,639
*Ionics Circuits, Inc................................. 523,825 178,867
*Kuok Philippine Properties, Inc...................... 2,830,500 24,163
Lepanto Consolidated Mining Co. Series B.............. 1,540,000 13,334
MUI Resources (Philippines), Inc...................... 1,121,000 54,683
*Mabuhay Holdings Corp................................ 516,000 11,075
Macroasia Corp........................................ 1,220,000 184,488
*Manila Jockey Club, Inc.............................. 18,800 5,044
*Megaworld Properties & Holdings, Inc................. 4,440,000 151,610
*Mondragon International Philippines, Inc............. 626,880 18,348
*Music Corporation.................................... 395,000 59,732
*Negros Navigation Co., Inc........................... 311,000 2,351
*PDCP Development Bank................................ 77,000 10,329
*Philippine Bank of Communications.................... 14,726 57,467
*Philippine National Construction Corp................ 173,000 56,963
*Philippine Realty & Holdings Corp.................... 4,499,000 30,725
*Philippine Savings Bank.............................. 317,212 232,106
*Picop Resources, Inc................................. 1,125,000 11,799
*Pilipino Telephone Corp.............................. 1,692,000 49,522
*Pryce Properties Corp................................ 1,352,900 46,196
RFM Corp.............................................. 842,000 82,146
*Republic Glass Holding Corp.......................... 507,500 8,231
*Robinson's Land Corp. Series B....................... 3,402,000 228,183
SM Development Corp................................... 3,525,000 79,957
*Solid Group, Inc..................................... 1,846,000 54,029
Solidbank Corp........................................ 3,040 25,210
*Soriano (A.) Corp.................................... 3,430,211 57,728
*Southeast Asia Cement Holdings, Inc.................. 10,095,440 108,341
*Steniel Manufacturing Corp........................... 250,000 3,719
*United Paragon Mining Corp........................... 645,000 3,618
</TABLE>
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<TABLE>
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*Universal Rightfield Property Holdings, Inc.......... 1,062,000 $ 7,253
*Uniwide Holdings, Inc................................ 3,110,000 24,273
*Urban Bank, Inc...................................... 5,658 19,320
*Vantage Equities Inc................................. 516,000 13,089
*Victorias Milling Co., Inc........................... 139,680 1,019
*Vitarich Corp........................................ 176,000 3,219
*William, Gothong & Aboitiz, Inc...................... 1,390,000 38,988
-----------
TOTAL COMMON STOCKS
(Cost $5,084,853).................................... 3,165,490
-----------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $10,834)...................................... 60,909 7,799
-----------
TOTAL -- PHILIPPINES
(Cost $5,095,687).................................... 3,173,289
-----------
ARGENTINA -- (4.8%)
COMMON STOCKS -- (4.8%)
*Acindar Industria Argentina de Aceros SA Series B.... 50,000 82,011
*Alpargatas SA Industrial y Comercial................. 140,000 8,121
*Atanor Cia Nacional para la Industria Quimica SA
Series D............................................ 37,747 25,483
*Banco del Sud Sociedad Anonima Series B.............. 29,000 73,670
Bco del Suqu.......................................... 63,000 146,179
*CIADEA SA............................................ 68,000 81,611
*Capex SA Series A.................................... 22,486 116,942
*Celulosa Argentina SA Series B....................... 12,750 2,856
Central Puerto SA Series B............................ 43,000 74,400
Cinba SA Cia de Bebidao y Alimentos SA................ 15,000 9,901
Cresud SA Comercial Industrial Financiera y
Agropecuaria........................................ 84,401 80,191
Dycasa Dragados y Construcciones Argentina SA Series
B................................................... 23,052 36,888
*Ferrum SA de Ceramica y Metalurgica Series B......... 21,000 21,003
*Fiplasto SA Comercial y Industrial Series B.......... 6,000 2,160
*Garovaglio y Zorraquin SA............................ 14,160 9,418
Importadora y Exportadora de la Patagonia Series B.... 11,500 106,964
*Indupa SA Industrial y Comercial..................... 196,000 171,326
Introductora de Buenos Aires SA Series A.............. 18,104 17,183
*Juan Minetti SA...................................... 34,135 90,469
Ledesma SA............................................ 75,000 48,681
Massalin Particulares SA Series B..................... 41,000 328,043
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 22,000 48,846
*Polledo SA Industrial y Constructora y Financiera.... 88,891 84,457
*Quimica Estrella SA Series B......................... 27,200 21,219
*Sociedad Comercial del Plata......................... 650,000 204,777
*Sol Petroleo SA...................................... 50,662 30,401
-----------
TOTAL COMMON STOCKS
(Cost $2,225,007).................................... 1,923,200
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
PREFERRED STOCKS -- (0.0%)
Quimica Estrella SA 10% Cumulative Convertible Series
B
(Cost $3,163)....................................... 3,260 $ 3,032
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Argentine Peso
(Cost $1,395)....................................... 1,395
-----------
TOTAL -- ARGENTINA
(Cost $2,229,565).................................... 1,927,627
-----------
INDONESIA -- (1.5%)
COMMON STOCKS -- (1.5%)
*Medco Energi Corporation Tbk......................... 48,000 22,654
*PT Apac Centretex Corporation Tbk.................... 122,000 9,596
*PT Argha Karya Prima Industry Tbk.................... 90,666 11,163
PT Asahimas Flat Glass Co., Ltd....................... 65,000 9,781
*PT Asuransi Lippo Life Insurance Tbk................. 448,500 15,339
*PT Asuransi Lippo Life Tbk Issue 99.................. 672,750 23,008
*PT Bakrie Sumatra Plantations Tbk.................... 58,800 7,239
*PT Bank International Indonesia...................... 93,994 1,929
*PT Batu Buana........................................ 77,715 5,847
*PT Bdni Capital Corp. Tbk............................ 364,000 13,694
*PT Berlian Laju Tanker Tbk........................... 36,400 4,979
*PT Branta Mulia Tbk.................................. 66,000 13,092
*PT Ciputra Development Tbk........................... 75,000 5,643
*PT Citra Marga Nusaphala Persada..................... 150,000 12,825
*PT Davomas Adabi..................................... 40,000 3,283
*PT Dharmal Sakti Sejahtera Tbk....................... 258,666 5,308
*PT Dharmala Intiland................................. 277,400 8,538
*PT Duta Anggada Realty Tbk........................... 132,000 5,417
*PT Duta Pertiwi...................................... 132,000 13,092
*PT Ever Shine Textile................................ 75,000 8,721
*PT Gajah Tunggal Tbk................................. 236,000 25,020
*PT Great River International......................... 93,000 9,224
*PT GT Petrochem Industries Tbk....................... 246,000 21,033
*PT Hero Supermarket Tbk.............................. 33,000 8,803
PT Indal Aluminium Industry........................... 47,000 3,375
*PT Jakarta International Hotel and Development Tbk... 57,000 4,289
*PT Kalbe Farma Tbk................................... 320,000 37,209
*PT Karwell Indonesia................................. 138,000 14,631
*PT Kawasan Industry Jababeka Tbk..................... 47,000 3,375
*PT Keramika Indonesia Assosiasi Tbk.................. 100,000 5,814
*PT Lippo Securities Tbk.............................. 659,600 18,046
*PT Matahari Putra Prima Tbk.......................... 66,000 7,449
*PT Mayorah Indah..................................... 114,000 11,696
*PT Modern Photo Tbk.................................. 40,000 12,312
*PT Mutlipolar Corporation Tbk........................ 455,000 18,673
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 90,000 26,778
*PT Pakuwon Jati Tbk.................................. 63,000 3,232
*PT Panasia Indosyntec Tbk............................ 79,000 7,295
PT Plaza Indonesia Realty Tbk......................... 20,000 4,514
*PT Prasidha Aneka Niaga Tbk.......................... 84,000 4,596
*PT Pudjiadi Prestige, Ltd. Tbk....................... 45,500 2,490
*PT Putra Sejahtera Pioneerindo....................... 29,000 992
*PT Sinar Mas Agro Resources and Technology
Corporation Tbk..................................... 74,400 37,658
*PT Surabaya Agung Industri Pulp & Paper.............. 64,500 4,853
</TABLE>
291
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*PT Suryamas Dutamakmur............................... 125,000 $ 5,130
PT Tempo Scan Pacific................................. 22,000 14,672
*PT Texmaco Jaya Tbk.................................. 93,000 40,075
*PT Ultrajaya Milk Industry & Trading Co.............. 52,000 5,869
*PT Unggul Indah Corp. Tbk............................ 44,460 11,556
*PT United Tractors................................... 20,000 17,989
*PT Wicaksana Overseas International.................. 28,560 8,791
-----------
TOTAL COMMON STOCKS
(Cost $2,609,607).................................... 598,587
-----------
TOTAL -- INDONESIA
(Cost $2,609,607).................................... 598,587
-----------
HONG KONG -- (0.1%)
COMMON STOCKS -- (0.1%)
*Shangri-La Asia, Ltd.
(Cost $60,460)...................................... 38,022 44,551
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.5%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.35%,
12/01/99 (Collateralized by U.S. Treasury Notes
11.875%, 11/15/03, valued at $589,125) to be
repurchased at $586,087.
(Cost $586,000)..................................... $ 586 $ 586,000
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $39,425,175)++..... $39,918,178
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $39,673,366.
</TABLE>
See accompanying Notes to Financial Statements.
292
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
BONDS -- (38.1%)
American International Group, Inc. Medium Term Notes
5.375%, 03/26/01................................... $ 6,464 $ 6,375,120
6.340%, 08/16/01................................... 18,750 18,656,250
Associates Corp. of North America Corporate Bonds
5.600%, 01/15/01................................... 10,000 9,900,000
5.850%, 01/15/01................................... 10,000 9,925,000
6.625%, 05/15/01................................... 6,000 6,000,000
Bank of America Medium Term Notes
6.050%, 07/19/01................................... 27,000 26,763,750
Citicorp Corporate Bonds
5.625%, 02/15/01................................... 7,600 7,524,000
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 15,000 14,775,000
First USA Bank Medium Term Notes
6.125%, 06/25/01................................... 13,000 12,902,500
Ford Motor Credit Corp. Medium Term Notes
5.750%, 01/25/01................................... 2,950 2,920,500
6.600%, 03/15/01................................... 20,000 19,975,000
General Electric Capital Corp. Medium Term Notes
5.945%, 07/23/01................................... 24,000 23,760,000
IBM Corp. Medium Term Notes
5.950%, 06/04/01................................... 27,000 26,763,750
Interamerican Development Bank Corporate Bonds
5.125%, 02/22/01................................... 14,468 14,232,895
Norwest Financial, Inc. Corporate Bonds
5.500%, 03/19/01................................... 26,000 25,610,000
Paccar Financial Corp. Medium Term Notes
5.870%, 12/15/00................................... 7,000 6,991,250
6.070%, 06/15/01................................... 2,000 1,977,500
5.970%, 07/12/01................................... 17,000 16,787,500
Shell Canada, Ltd. Medium Term Notes
8.875%, 01/14/01................................... 5,400 5,521,500
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 28,000 27,580,000
Wal-Mart Stores, Inc. Medium Term Notes
6.150%, 08/10/01................................... 26,000 25,902,500
------------
TOTAL BONDS
(Cost $313,734,821).................................. 310,844,015
------------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (36.0%)
BellSouth Capital Funding Corp. C.P.
5.860%, 01/26/00................................... 2,000 1,981,769
British Telecommunications, Inc. C.P.
5.930%, 01/20/00................................... 8,700 8,629,192
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
5.940%, 01/24/00................................... $ 7,000 $ 6,938,470
5.940%, 01/25/00................................... 10,000 9,910,472
Ciesco L.P. C.P.
5.970%, 01/26/00................................... 6,700 6,638,925
5.900%, 01/27/00................................... 11,000 10,897,938
Coca-Cola Co. C.P.
5.780%, 01/24/00................................... 8,500 8,425,285
5.870%, 01/27/00................................... 2,600 2,575,876
Corporate Asset Funding Corp. C.P.
6.020%, 01/18/00................................... 1,750 1,736,327
Delaware Funding Corp. C.P.
5.900%, 01/18/00................................... 9,000 8,929,560
6.000%, 01/31/00................................... 8,000 7,920,960
DuPont (E.I.) de Nemours & Co., Inc. C.P.
5.740%, 01/18/00................................... 3,000 2,976,560
Electricite de France C.P.
5.700%, 01/18/00................................... 6,000 5,952,560
5.950%, 01/24/00................................... 8,000 7,928,840
Enterprise Funding Corp. C.P.
5.400%, 12/01/99................................... 9,495 9,495,000
5.400%, 12/10/99................................... 2,489 2,485,547
5.920%, 01/26/00................................... 5,000 4,954,188
Gannett Co. C.P.
5.950%, 01/14/00................................... 10,750 10,673,005
5.850%, 01/25/00................................... 15,000 14,865,708
Govco, Inc. C.P.
5.920%, 01/19/00................................... 10,100 10,018,479
KFW International Finance, Inc. C.P.
5.320%, 12/09/99................................... 22,000 21,972,669
Kittyhawk Funding Corp. C.P.
5.900%, 01/28/00................................... 8,000 7,924,470
Metlife Funding Corp. C.P.
5.830%, 01/31/00................................... 12,000 11,881,456
Oesterreich Kontrollbank C.P.
5.880%, 01/18/00................................... 7,400 7,342,181
5.900%, 01/18/00................................... 5,000 4,960,933
Procter and Gamble Co. C.P.
5.750%, 01/19/00................................... 8,000 7,936,190
Sheffield Receivables Corp. C.P.
5.950%, 01/21/00................................... 9,500 9,421,134
5.950%, 01/27/00................................... 6,800 6,736,907
5.850%, 02/02/00................................... 8,000 7,918,380
Shell Financial U.K. C.P.
5.320%, 12/13/99................................... 5,754 5,743,413
5.930%, 01/13/00................................... 4,000 3,972,002
Sigma Finance Corp. C.P.
6.040%, 01/13/00................................... 25,000 24,825,012
St. Michael Finance, Ltd. C.P.
5.950%, 01/18/00................................... 17,000 16,866,946
Windmill Funding Corp. C.P.
6.010%, 01/20/00................................... 12,000 11,902,333
------------
TOTAL COMMERCIAL PAPER
(Cost $293,322,462).................................. 293,338,687
------------
</TABLE>
293
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (17.1%)
Federal Farm Credit Bank
5.125%, 04/02/01................................... $28,000 $ 27,617,254
Federal Home Loan Bank
5.375%, 03/02/01................................... 1,500 1,485,679
5.625%, 03/19/01................................... 11,100 11,023,026
5.125%, 04/17/01................................... 23,000 22,676,583
Federal National Mortgage Association
5.310%, 05/18/01................................... 27,000 26,646,899
5.440%, 05/21/01................................... 28,000 27,682,234
5.820%, 07/19/01................................... 22,000 21,847,151
------------
TOTAL AGENCY OBLIGATIONS
(Cost $140,323,900).................................. 138,978,826
------------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
VARIABLE RATE
OBLIGATIONS -- (5.0%)
Chase Manhattan Corp.
***6.352%, 02/24/00................................ 26,000 26,000,000
Key Bank N.A.
***6.435%, 02/02/00................................ 15,000 15,013,500
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $41,000,000)................................... 41,013,500
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
CERTIFICATES OF
DEPOSIT -- (3.6%)
Bayerische Landesbank
6.060%, 06/18/01...................................... $29,000 $ 29,000,000
------------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc.
5.30%, 12/01/99 (Collateralized by U.S. Treasury
Notes 6.125%, 07/31/00, valued at $1,768,925) to
be repurchased at $1,734,255.
(Cost $1,734,000)................................ 1,734 1,734,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $819,115,183)++................................ $814,909,028
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
*** Rates shown are the rates as of November 30, 1999, and maturities shown
are the next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
294
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED STATES -- (53.0%)
BONDS -- (33.4%)
Abbey National Treasury Services P.L.C.
5.750%, 03/06/01................................... 9,000 $ 8,889,300
African Development Bank
8.625%, 05/01/01................................... 800 821,000
American International Group
6.375%, 10/12/01................................... 15,000 14,950,500
Bank Nederlandse Gemeenten NV
6.125%, 03/27/01................................... 7,000 6,950,300
Bank of America
6.050%, 07/19/01................................... 12,000 11,895,000
Belgium (Kingdom of)
5.375%, 02/28/01................................... 5,000 4,941,350
Export-Import Bank of Japan
8.375%, 02/26/01................................... 10,000 10,205,000
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 10,000 9,850,000
General Electric Capital Corp.
3.000%, 02/08/01................................... 11,400 11,338,475
Japanese Development Bank Eurobond
8.375%, 02/15/01................................... 4,000 4,076,800
Landesbank Baden-Wuerttemberg
6.250%, 02/07/01................................... 4,500 4,485,240
Landesbank Rheinland-Pfalz Girozentrale Mainz
5.500%, 02/28/01................................... 5,000 4,923,000
Natexis Banque Eurobond
6.000%, 11/06/00................................... 9,000 8,959,500
Nederlandse Waterschapsbank NV Eurobond
5.500%, 02/20/01................................... 12,700 12,558,649
Oesterreichische Kontrollbank AG
8.500%, 03/06/01................................... 8,000 8,182,400
Rabobank Nederland
6.000%, 03/12/01................................... 4,500 4,472,055
Statoil Den Norske Stats Oljeselskap AS
6.250%, 10/10/00................................... 12,000 11,994,000
Toyota Motor Credit Corp.
6.125%, 10/11/00................................... 5,679 5,661,395
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 13,000 12,805,000
Wal-Mart Stores, Inc. Eurobond
6.125%, 11/21/00................................... 5,000 4,991,000
6.150%, 08/10/01 Medium Term Notes................. 9,000 8,966,250
------------
TOTAL BONDS
(Cost $174,311,276).................................. 171,916,214
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (9.2%)
Ciesco L.P. C.P.
5.930%, 01/20/00................................... 12,000 $ 11,902,333
Corporate Asset Funding Co. C.P.
5.920%, 01/28/00................................... 12,000 11,886,120
DuPont (E.I.) de Nemours & Co., Inc. C.P.
5.740%, 01/18/00................................... 9,000 8,929,679
France Telecom C.P.
5.850%, 01/14/00................................... 5,000 4,964,189
Windmill Funding Corp. C.P.
6.040%, 01/06/00................................... 10,000 9,941,400
------------
TOTAL COMMERCIAL PAPER
(Cost $47,621,683)................................... 47,623,721
------------
AGENCY OBLIGATIONS -- (8.1%)
Federal Home Loan Bank
5.125%, 04/17/01................................... 12,000 11,831,261
Federal Home Loan Mortgage Corporation
5.750%, 06/15/01................................... 12,000 11,912,869
Federal National Mortgage Association
5.000%, 02/16/01................................... 10,000 5,198,584
5.440%, 05/21/01................................... 13,000 12,852,466
------------
TOTAL AGENCY OBLIGATIONS
(Cost $42,277,583)................................... 41,795,180
------------
CERTIFICATES OF DEPOSIT -- (2.3%)
Bayerische Landesbank
6.060%, 06/18/01
(Cost $12,000,000)............................... 12,000 12,000,000
------------
TOTAL -- UNITED STATES
(Cost $276,210,542).................................. 273,335,115
------------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
GERMANY -- (16.7%)
BONDS -- (16.7%)
Allgemeine Hypotheken Bank AG
4.250%, 06/25/01................................... 8,000 8,072,013
Bayerische Hypotheken Vereinsbank AG
5.250%, 05/17/01................................... 10,000 10,227,959
DSL Finance NV
5.375%, 04/20/01................................... 12,000 6,268,571
Deutsche Genossen Hypobank International SA
4.000%, 04/17/01................................... 7,000 7,044,686
3.500%, 10/26/01................................... 11,700 11,625,075
Federal National Mortgage Association
6.000%, 08/23/00................................... 18,680 9,753,268
Government of Germany
8.375%, 05/21/01................................... 10,000 10,690,120
International Finance Corp.
5.750%, 07/11/00................................... 21,000 10,924,594
Westfalische Hypotheken Bank
3.250%, 08/15/01................................... 11,750 11,654,643
------------
TOTAL -- GERMANY
(Cost $92,341,881)................................... 86,260,929
------------
</TABLE>
295
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
FRANCE -- (10.0%)
BONDS -- (10.0%)
Charbonnages de France
10.000%, 05/09/00.................................. 47,095 $ 7,416,988
9.200%, 05/06/01................................... 5,300 5,715,393
Credit Locale de France SA Eurobond
6.000%, 09/24/01................................... 7,700 7,963,913
France (Government of) BTAN
5.500%, 10/12/01................................... 7,000 7,231,463
France Telecom SA
8.600%, 02/17/00................................... 49,335 7,651,629
French Government Note
3.000%, 07/12/01................................... 7,000 6,945,306
Societe Nationale de Chemins Fer Francais
9.375%, 03/12/01................................... 8,000 8,574,651
------------
TOTAL -- FRANCE
(Cost $54,905,084)................................... 51,499,343
------------
AUSTRALIA -- (5.1%)
BONDS -- (3.2%)
ABN-AMRO Australia, Ltd.
7.500%, 03/08/00................................... 5,000 3,192,402
Queensland Treasury Corp.
8.000%, 08/14/01................................... 20,500 13,435,488
------------
TOTAL BONDS
(Cost $17,358,624)................................... 16,627,890
------------
AGENCY OBLIGATIONS -- (1.9%)
Federal National Mortgage Association
5.750%, 09/05/00
(Cost $9,423,800)................................ 15,000 9,544,787
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $1,596)....................................... 1,590
------------
TOTAL -- AUSTRALIA
(Cost $26,784,020)................................... 26,174,267
------------
CANADA -- (5.0%)
BONDS -- (5.0%)
Canada (Government of)
9.750%, 06/01/01................................... 2,650 1,898,049
7.000%, 09/01/01................................... 17,000 11,741,090
Canada Mortgage and Housing Corp.
7.250%, 09/01/01................................... 17,650 12,164,134
------------
TOTAL BONDS
(Cost $25,794,959)................................... 25,803,273
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $2,274)....................................... 2,266
------------
TOTAL -- CANADA
(Cost $25,797,233)................................... 25,805,539
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
SWEDEN -- (3.9%)
BONDS -- (3.9%)
Nordic Investment Bank, Helsinki
7.500%, 02/28/01................................... 39,000 $ 4,728,974
Swedish Government Bond
13.000%, 06/15/01.................................. 115,000 15,184,907
------------
TOTAL -- SWEDEN
(Cost $19,934,302)................................... 19,913,881
------------
DENMARK -- (3.0%)
BONDS -- (3.0%)
Denmark Kingdom
8.000%, 11/15/01
(Cost $16,001,751)............................... 107,000 15,418,898
------------
EMU -- (1.1%)
BONDS -- (1.1%)
European Community
7.250%, 08/17/01
(Cost $5,853,525)................................ 5,210 5,496,636
------------
TOTAL -- EMU
(Cost $5,853,525).................................... 5,496,636
------------
NETHERLANDS -- (1.0%)
BONDS -- (1.0%)
ABN-AMRO Bank NV
6.625%, 04/05/00................................... 8,000 3,689,968
6.375%, 04/21/00................................... 3,000 1,384,424
------------
TOTAL -- NETHERLANDS
(Cost $5,375,869).................................... 5,074,392
------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $6,277,144) to be
repurchased at $6,180,910.
(Cost $6,180,000)................................... 6,180 6,180,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $529,384,207)++................................ $515,159,000
============
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ 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.
296
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
<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.............................. $2,778,377 $ 101,503 $ 1,779,420 $ 130,819
Collateral for Securities Loaned.................. 41,857 -- 4,183 622
Receivables
Dividends and Interest........................ 3,602 -- 4,718 258
Investment Securities Sold.................... -- 1,565 21,678 82
Fund Shares Sold.............................. 370 29 -- 311
Unrealized Gain on Forward Currency Contracts..... -- 763 -- --
Prepaid Expenses and Other Assets................. -- 6 155 28
---------- ---------- ----------- ----------
Total Assets.............................. 2,824,206 103,866 1,810,154 132,120
---------- ---------- ----------- ----------
LIABILITIES:
Payable for Collateral on Securities Loaned....... 41,857 -- 4,183 622
Payable for Investment Securities Purchased....... 7,089 -- 17,528 5,461
Payable for Fund Shares Redeemed.................. -- -- 19 --
Unrealized Loss on Swap Contract.................. -- 499 -- --
Payable for Futures Margin Variation.............. -- 1,167 -- --
Accrued Expenses and Other Liabilities............ 198 29 342 33
---------- ---------- ----------- ----------
Total Liabilities......................... 49,144 1,695 22,072 6,116
---------- ---------- ----------- ----------
NET ASSETS........................................ $2,775,062 $ 102,171 $ 1,788,082 $ 126,004
========== ========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE................. N/A 7,843,258 100,488,493 N/A
========== ========== =========== ==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................... N/A $ 13.03 $ 17.79 N/A
========== ========== =========== ==========
Investments at Cost............................... $1,866,864 $ 103,183 $ 1,710,259 $ 132,298
========== ========== =========== ==========
</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............................... $ 359,862 $ 2,707,516 $ 589,671 $ 1,330,076
Collateral for Securities Loaned................... 4,973 49,018 31,946 60,975
Receivables
Dividends and Interest......................... 626 2,120 376 798
Investment Securities Sold..................... 371 9,810 4,345 8,572
Prepaid Expenses and Other Assets.................. 1 -- 1 20
----------- ------------ ----------- ------------
Total Assets............................... 365,833 2,768,464 626,339 1,400,441
----------- ------------ ----------- ------------
LIABILITIES:
Payable for Collateral on Securities Loaned........ 4,973 49,018 31,946 60,975
Payable for Investment Securities Purchased........ 474 25,531 8,097 320
Payable for Fund Shares Redeemed................... -- 740 126 15,871
Accrued Expenses and Other Liabilities............. 50 702 84 252
----------- ------------ ----------- ------------
Total Liabilities.......................... 5,497 75,991 40,253 77,418
----------- ------------ ----------- ------------
NET ASSETS......................................... $ 360,336 $ 2,692,473 $ 586,086 $ 1,323,023
=========== ============ =========== ============
SHARES OUTSTANDING $.01 PAR VALUE.................. 39,899,175 156,919,671 47,866,044 138,571,641
=========== ============ =========== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE............................................ $ 9.03 $ 17.16 $ 12.24 $ 9.55
=========== ============ =========== ============
Investments at Cost................................ $ 389,472 $ 2,684,109 $ 575,635 $ 1,269,872
=========== ============ =========== ============
</TABLE>
See accompanying Notes to Financial Statements.
297
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
<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..................................... $ 1,652,874 $ 202,012 $ 182,848 $130,952
Collateral for Securities Loaned......................... 126,556 27,709 13,491 --
Receivables
Dividends, Interest and Tax Reclaims................. 5,660 710 793 436
Investment Securities Sold........................... 4,068 -- 1,579 832
Fund Shares Sold..................................... 1,477 -- 9 --
Prepaid Expenses and Other Assets........................ 91 16 11 15
------------ ----------- ----------- --------
Total Assets..................................... 1,790,726 230,447 198,731 132,235
------------ ----------- ----------- --------
LIABILITIES:
Payable for Collateral on Securities Loaned.............. 126,556 27,709 13,491 --
Payable for Investment Securities Purchased.............. 1,592 -- 1,379 71
Payable for Fund Shares Redeemed......................... 1,731 3 102 3
Accrued Expenses and Other Liabilities................... 470 59 -- 34
------------ ----------- ----------- --------
Total Liabilities................................ 130,349 27,771 14,972 108
------------ ----------- ----------- --------
NET ASSETS............................................... $ 1,660,377 $ 202,676 $ 183,759 $132,127
============ =========== =========== ========
SHARES OUTSTANDING $.01 PAR VALUE........................ 125,974,987 N/A N/A N/A
============ =========== =========== ========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.................................................. $ 13.18 N/A N/A N/A
============ =========== =========== ========
Investments at Cost...................................... $ 1,425,960 $ 371,343 $ 214,792 $106,486
============ =========== =========== ========
</TABLE>
<TABLE>
<CAPTION>
THE THE DFA
CONTINENTAL THE THE EMERGING THE DFA TWO-YEAR
SMALL EMERGING MARKETS ONE-YEAR GLOBAL FIXED
COMPANY MARKETS SMALL CAP FIXED INCOME INCOME
SERIES SERIES SERIES SERIES SERIES
----------- -------- ------------ ------------ ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments at Value......................... $ 253,018 $ 346,242 $ 39,918 $ 814,909 $ 515,159
Collateral for Securities Loaned............. 9,331 -- -- -- --
Receivables
Dividends, Interest and Tax Reclaims..... 1,233 103 24 7,376 12,030
Investment Securities Sold............... 211 145 29 -- --
Fund Shares Sold......................... 1 -- -- -- --
Unrealized Gain on Forward Currency
Contracts.................................. -- -- -- -- 4,539
Prepaid Expenses and Other Assets............ 16 16 18 -- 18
----------- ----------- ---------- ----------- -----------
Total Assets......................... 263,810 346,506 39,989 822,285 531,746
----------- ----------- ---------- ----------- -----------
LIABILITIES:
Payable for Collateral on Securities
Loaned..................................... 9,331 -- -- -- --
Payable for Investment Securities
Purchased.................................. 2043 379 85 -- --
Payable for Fund Shares Redeemed............. -- 1,822 7 609 148
Accrued Expenses and Other Liabilities....... 68 130 49 128 84
----------- ----------- ---------- ----------- -----------
Total Liabilities.................... 11,442 2,331 141 737 232
----------- ----------- ---------- ----------- -----------
NET ASSETS................................... $ 252,368 $ 344,175 $ 39,848 $ 821,548 $ 531,514
=========== =========== ========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE............ N/A N/A N/A 82,427,637 52,572,808
=========== =========== ========== =========== ===========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE............................ N/A N/A N/A $ 9.97 $ 10.11
=========== =========== ========== =========== ===========
Investments at Cost.......................... $ 219,827 $ 292,059 $ 39,425 $ 819,115 $ 529,384
=========== =========== ========== =========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
298
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP THE TAX-MANAGED 4-10 THE U.S.
COMPANY COMPANY VALUE U.S. MARKETWIDE VALUE 6-10 VALUE
SERIES SERIES SERIES VALUE SERIES (1) SERIES SERIES
-------- ------------ --------- ----------------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends........................ $ 29,073 -- $ 34,606 $ 1,172 $ 3,821 $ 24,838
Interest......................... 443 $ 3,748 1,309 171 366 2,207
Income from Securities Lending... 115 -- 57 6 88 1,486
-------- ------- --------- ------- ------- --------
Total Investment Income.... 29,631 3,748 35,972 1,349 4,275 28,531
-------- ------- --------- ------- ------- --------
EXPENSES
Investment Advisory Services..... 558 40 1,831 143 291 5,217
Accounting & Transfer Agent
Fees........................... 335 81 722 28 47 1,027
Custodian's Fees................. 206 14 254 10 40 361
Legal Fees....................... 35 1 31 13 4 43
Audit Fees....................... 30 1 27 1 4 38
Shareholders' Reports............ 41 2 39 1 7 56
Trustees' Fees and Expenses...... 7 -- 7 1 3 9
Other............................ 89 9 39 4 4 70
-------- ------- --------- ------- ------- --------
Total Expenses............. 1,301 148 2,950 201 400 6,821
-------- ------- --------- ------- ------- --------
NET INVESTMENT INCOME............ 28,330 3,600 33,022 1,148 3,875 21,710
-------- ------- --------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on
Investment Securities.......... 8,219 94 310,039 (463) 9,608 258,801
Net Realized Gain on Foreign
Currency Transactions.......... -- 3,424 -- -- -- --
Net Realized Gain on Futures..... -- 12,772 -- -- -- --
Net Realized Gain on Swap
Contracts...................... -- 1,448 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency............. 351,120 (3,919) (262,465) (1,479) (12,179) (43,040)
Translation of Foreign Currency
Denominated Amounts.......... -- 840 -- -- -- --
Futures........................ -- (3,672) -- -- -- --
Swap Contracts................. -- (343) -- -- -- --
-------- ------- --------- ------- ------- --------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN
CURRENCY..................... 359,339 10,644 47,574 (1,942) (2,571) 215,761
-------- ------- --------- ------- ------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS........................ $387,669 $14,244 $ 80,596 $ (794) $ 1,304 $237,471
======== ======= ========= ======= ======= ========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
(1) For the period December 14, 1998 (commencement of operations) to November
30, 1999
</TABLE>
See accompanying Notes to Financial Statements.
299
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE JAPANESE THE PACIFIC
6-10 SMALL 9-10 SMALL THE DFA SMALL RIM SMALL
COMPANY COMPANY INTERNATIONAL 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, $3,879, $370 and $110, respectively)...... $ 4,212 $ 9,565 $ 40,657 $ 2,095 $ 5,241
Interest........................................ 534 1,148 781 124 208
Income from Securities Lending.................. 688 1,774 1,324 547 97
------- -------- -------- ------- -------
Total Investment Income................... 5,434 12,487 42,762 2,766 5,546
------- -------- -------- ------- -------
EXPENSES
Investment Advisory Services.................... 167 1,361 3,481 201 162
Accounting & Transfer Agent Fees................ 219 542 839 247 199
Custodian's Fees................................ 77 188 465 82 273
Legal Fees...................................... 3 23 34 3 123
Audit Fees...................................... 5 20 29 3 2
Shareholders' Reports........................... 3 30 42 4 2
Trustees' Fees and Expenses..................... 2 5 7 1 1
Other........................................... 13 27 114 13 10
------- -------- -------- ------- -------
Total Expenses............................ 489 2,196 5,011 554 772
------- -------- -------- ------- -------
NET INVESTMENT INCOME........................... 4,945 10,291 37,751 2,212 4,774
------- -------- -------- ------- -------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities.................................... 56,608 250,160 100,874 (3,116) (11,610)
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. -- -- (341) 143 2,522
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 31,371 (14,253) 81,414 42,419 75,981
Translation of Foreign Currency
Denominated Amounts......................... -- -- (368) (39) 4
------- -------- -------- ------- -------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY.................................... 87,979 235,907 181,579 39,407 66,897
------- -------- -------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS....................................... $92,924 $246,198 $219,330 $41,619 $71,671
======= ======== ======== ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
300
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(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 $568, $616, $607,
$83, $0 and $0,
respectively).................. $ 5,028 $ 5,548 $ 4,620 $ 660 -- --
Interest......................... 129 233 488 121 $46,975 $ 21,873
Income from Securities Lending... -- 130 -- -- -- --
------- -------- -------- ------- ------- --------
Total Investment Income.... 5,157 5,911 5,108 781 46,975 21,873
------- -------- -------- ------- ------- --------
EXPENSES
Investment Advisory Services..... 135 270 284 62 444 238
Accounting & Transfer Agent
Fees........................... 167 331 344 38 223 416
Custodian's Fees................. 32 108 625 98 77 50
Legal Fees....................... 1 3 3 1 16 4
Audit Fees....................... 1 2 4 -- 13 5
Shareholders' Reports............ 1 5 6 1 19 9
Trustees' Fees and Expenses...... 1 1 2 -- 3 2
Other............................ 11 18 24 13 18 7
------- -------- -------- ------- ------- --------
Total Expenses............. 349 738 1,292 213 813 731
------- -------- -------- ------- ------- --------
NET INVESTMENT INCOME............ 4,809 5,173 3,816 568 46,162 21,142
------- -------- -------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on
Investment Securities.......... 10,395 26,397 (3,653) 4,798 (409) (183)
Net Realized Gain (Loss) on
Foreign Currency
Transactions................... (47) (286) (223) (91) -- 14,811
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency............. 27,562 (49,186) 121,183 11,687 (4,327) (17,007)
Translation of Foreign Currency
Denominated Amounts.......... (8) (77) 2 -- -- 3,650
------- -------- -------- ------- ------- --------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN
CURRENCY..................... 37,902 (23,152) 117,309 16,394 (4,736) 1,271
------- -------- -------- ------- ------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... $42,711 $(17,979) $121,125 $16,962 $41,426 $ 22,413
======= ======== ======== ======= ======= ========
</TABLE>
See accompanying Notes to Financial Statements.
301
<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 U.S. LARGE THE U.S. LARGE CAP VALUE
COMPANY SERIES COMPANY SERIES VALUE SERIES SERIES
---------------------- --------------------- ---------------------- ----------
YEAR YEAR YEAR YEAR YEAR YEAR DEC. 14,
ENDED ENDED ENDED ENDED ENDED ENDED 1998 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998 1999
---------- ---------- ---------- --------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 28,330 $ 17,285 $ 3,600 $ 2,325 $ 33,022 $ 27,904 $ 1,148
Net Realized Gain (Loss) on
Investment Securities..... 8,219 1,283 94 (42) 310,039 136,077 (463)
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- -- 3,424 (1,368) -- -- --
Net Realized Gain on
Futures................... -- -- 12,772 1,793 -- -- --
Net Realized Gain on Swap
Contracts................. -- -- 1,448 1,096 -- -- --
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION)
OF:
Investment Securities and
Foreign Currency........ 351,120 265,133 (3,919) 2,561 (262,465) 12,481 (1,479)
Translation of Foreign
Currency................
Denominated Amounts..... -- -- 840 (306) -- --
Futures................... -- -- (3,672) 5,481 -- -- --
Swap Contracts............ -- -- (343) (214) -- -- --
---------- ---------- -------- -------- ---------- ---------- ---------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 387,669 283,701 14,244 11,326 80,596 176,462 (794)
---------- ---------- -------- -------- ---------- ---------- ---------
Distributions From:
Net Investment Income....... -- -- (6,484) (2,417) (32,738) (28,682) --
Net Realized Gains.......... -- -- (6,206) (6,017) (135,996) (82,634) --
---------- ---------- -------- -------- ---------- ---------- ---------
Total Distributions....... -- -- (12,690) (8,434) (168,734) (111,316) --
---------- ---------- -------- -------- ---------- ---------- ---------
Capital Share Transactions
(1):
Shares Issued............... -- -- 33,330 17,062 240,602 281,067 --
Shares Issued in Lieu of
Cash Distributions........ -- -- 12,690 6,608 166,280 91,193 --
Shares Redeemed............. -- -- (6,925) (12,656) (286,569) (171,495) --
---------- ---------- -------- -------- ---------- ---------- ---------
Net Increase from
Capital Share
Transactions.......... -- -- 39,095 11,014 120,313 200,765 --
---------- ---------- -------- -------- ---------- ---------- ---------
Transactions in Interest
Contributions............... 1,037,766 604,903 -- -- -- -- 132,586
Withdrawals................. (207,547) (153,923) -- -- -- -- (5788)
---------- ---------- -------- -------- ---------- ---------- ---------
Net Increase from
Transactions in
Interest.............. 830,219 450,980 -- -- -- -- 126,798
---------- ---------- -------- -------- ---------- ---------- ---------
Total Increase............ 1,217,888 734,681 40,649 13,906 32,175 265,911 126,004
NET ASSETS
Beginning of Period......... 1,557,174 822,493 61,522 47,616 1,755,907 1,489,996 --
---------- ---------- -------- -------- ---------- ---------- ---------
End of Period............... $2,775,062 $1,557,174 $102,171 $ 61,522 $1,788,082 $1,755,907 $ 126,004
========== ========== ======== ======== ========== ========== =========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. N/A N/A 2,607 1,427 12,917 15,137 N/A
Shares Issued in Lieu of
Cash Distributions....... 1,028 602 9,595 5,270
Shares Redeemed............ (543) (1,070) (15,459) (9,356)
-------- -------- ---------- ----------
3,092 959 7,053 11,051
======== ======== ========== ==========
<CAPTION>
THE U.S. 4-10
VALUE SERIES
---------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1999 1998
---------- ---------
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 3,875 $ 1,359
Net Realized Gain (Loss) on
Investment Securities..... 9,608 971
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........ (12,179) (17,431)
Translation of Foreign
Currency................
Denominated Amounts.....
Futures...................
Swap Contracts............ -- --
-------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 1,304 (15,101)
-------- --------
Distributions From:
Net Investment Income....... (3,680) (1,136)
Net Realized Gains.......... (979) --
-------- --------
Total Distributions....... (4,659) (1,136)
-------- --------
Capital Share Transactions
(1):
Shares Issued............... 179,790 194,343
Shares Issued in Lieu of
Cash Distributions........ 4,659 1,136
Shares Redeemed............. -- --
-------- --------
Net Increase from
Capital Share
Transactions.......... 184,449 195,479
-------- --------
Transactions in Interest
Contributions............... -- --
Withdrawals................. -- --
-------- --------
Net Increase from
Transactions in
Interest.............. -- --
-------- --------
Total Increase............ 181,094 179,242
NET ASSETS
Beginning of Period......... 179,242 --
-------- --------
End of Period............... $360,336 $179,242
======== ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 18,595 20,653
Shares Issued in Lieu of
Cash Distributions....... 521 130
Shares Redeemed............ -- --
-------- --------
19,116 20,783
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
302
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. 6-10 THE U.S. 6-10 SMALL THE U.S. 9-10 SMALL THE DFA INTERNATIONAL
VALUE SERIES COMPANY SERIES COMPANY SERIES VALUE SERIES
---------------------- --------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998 1999 1998
---------- ---------- ---------- --------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 21,710 $ 18,469 $ 4,945 $ 4,396 $ 10,291 $ 9,211 $ 37,751 $ 32,873
Net Realized Gain on
Investment Securities..... 258,801 204,982 56,608 49,168 250,160 124,420 100,874 11,162
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- -- -- -- -- -- (341) 895
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ (43,040) (454,998) 31,371 (109,532) (14,253) (302,212) 81,414 151,571
Translation of Foreign
Currency Denominated
Amounts................. -- -- -- -- -- -- (368) 158
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 237,471 (231,547) 92,924 (55,968) 246,198 (168,581) 219,330 196,659
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income....... (20,939) (20,925) (4,995) (4,534) (10,142) (8,876) (42,454) (39,352)
Net Realized Gains.......... (205,075) (201,111) (49,223) (33,011) (124,444) -- (3,807) (4,181)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Total Distributions....... (226,014) (222,036) (54,218) (37,545) (134,586) (8,876) (46,261) (43,533)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Capital Share Transactions
(1):
Shares Issued............... 340,725 554,989 98,295 264,712 73,568 1,711,220 145,300 161,527
Shares Issued in Lieu of
Cash Distributions........ 220,532 215,595 53,051 35,644 133,746 8,876 46,261 43,533
Shares Redeemed............. (315,975) (105,535) (150,769) (92,873) (335,527) (203,015) (424,502) (220,023)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions............ 245,282 665,049 577 207,483 (128,213) 1,517,081 (232,941) (14,963)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease)... 256,739 211,466 39,283 113,970 (16,601) 1,339,624 (59,872) 138,163
NET ASSETS
Beginning of Period......... 2,435,734 2,224,268 546,803 432,833 1,339,624 -- 1,720,249 1,582,086
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
End of Period............... $2,692,473 $2,435,734 $586,086 $546,803 $1,323,023 $1,339,624 $1,660,377 $1,720,249
========== ========== ======== ======== ========== ========== ========== ==========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 20,729 29,754 8,767 20,734 8,549 171,341 11,508 13,637
Shares Issued in Lieu of
Cash Distributions....... 14,152 11,637 5,082 2,923 16,823 1,001 3,655 3,743
Shares Redeemed............. (19,083) (5,674) (13,717) (7,232) (37,978) (21,164) (33,103) (18,668)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
15,798 35,717 132 16,425 (12,606) 151,178 (17,940) (1,288)
========== ========== ======== ======== ========== ========== ========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
303
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED
THE JAPANESE THE PACIFIC RIM KINGDOM THE CONTINENTAL
SMALL SMALL COMPANY SMALL COMPANY SMALL
COMPANY SERIES SERIES SERIES COMPANY SERIES
--------------------- --------------------- --------------------- ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998 1999 1998
---------- --------- ---------- --------- ---------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 2,212 $ 2,336 $ 4,774 $ 5,316 $ 4,809 $ 5,274 $ 5,173 $ 5,872
Net Realized Gain (Loss) on
Investment Securities..... (3,116) (10,275) (11,610) (1,183) 10,395 10,257 26,397 23,994
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. 143 (236) 2,522 (172) (47) (136) (286) (112)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 42,419 5,881 75,981 (37,439) 27,562 (33,198) (49,186) 32,006
Translation of Foreign
Currency
Denominated Amounts..... (39) 107 4 (2) (8) (8) (77) 243
--------- -------- -------- -------- --------- -------- --------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 41,619 (2,187) 71,671 (33,480) 42,711 (17,811) (17,979) 62,003
--------- -------- -------- -------- --------- -------- --------- --------
Transactions in Interest
Contributions............... 25,283 41,191 13,505 45,429 20,680 23,056 53,967 17,001
Withdrawals................. (54,230) (24,342) (41,298) (19,863) (58,750) (49,610) (88,022) (98,212)
--------- -------- -------- -------- --------- -------- --------- --------
Net Increase (Decrease)
from Transactions in
Interest................ (28,947) 16,849 (27,793) 25,566 (38,070) (26,554) (34,055) (81,211)
--------- -------- -------- -------- --------- -------- --------- --------
Total Increase
(Decrease).............. 12,672 14,662 43,878 (7,914) 4,641 (44,365) (52,034) (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............... $ 202,676 $190,004 $183,759 $139,881 $ 132,127 $127,486 $ 252,368 $304,402
========= ======== ======== ======== ========= ======== ========= ========
</TABLE>
See accompanying Notes to Financial Statements.
304
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE EMERGING THE DFA ONE-YEAR THE DFA TWO-YEAR
THE EMERGING MARKETS FIXED INCOME GLOBAL FIXED
MARKETS SERIES SMALL CAP SERIES SERIES INCOME SERIES
--------------------- --------------------- --------------------- ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1999 1998 1999 1998
---------- --------- ---------- --------- ---------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 3,816 $ 3,655 $ 568 $ 432 $ 46,162 $ 47,135 $ 21,142 $ 18,277
Net Realized Gain (Loss) on
Investment Securities..... (3,653) (23,765) 4,798 1,465 (409) 1,543 (183) 619
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. (223) (370) (91) (76) -- -- 14,811 122
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 121,183 (9,240) 11,687 (5,203) (4,327) (855) (17,007) 10,856
Translation of Foreign
Currency
Denominated Amounts..... 2 9 -- 1 -- -- 3,650 (3,047)
--------- -------- ------- ------- --------- -------- --------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 121,125 (29,711) 16,962 (3,381) 41,426 47,823 22,413 26,827
--------- -------- ------- ------- --------- -------- --------- --------
Distributions From:
Net Investment Income....... -- -- -- -- (46,108) (47,176) (27,143) (25,765)
Net Realized Gains.......... -- -- -- -- -- -- (603) (898)
--------- -------- ------- ------- --------- -------- --------- --------
Total Distributions....... -- -- -- -- (46,108) (47,176) (27,746) (26,663)
--------- -------- ------- ------- --------- -------- --------- --------
Capital Share Transactions
(1):
Shares Issued............... -- -- -- -- 255,707 296,278 122,290 84,005
Shares Issued in Lieu of
Cash Distributions........ -- -- -- -- 42,116 36,947 27,714 26,663
Shares Redeemed............. -- -- -- -- (341,586) (246,115) (53,999) (88,897)
--------- -------- ------- ------- --------- -------- --------- --------
Net Increase (Decrease)
from Capital Share
Transactions............ -- -- -- -- (43,763) 87,110 96,005 21,771
--------- -------- ------- ------- --------- -------- --------- --------
Transactions in Interest
Contributions............... 33,845 79,412 4,993 5,772 -- -- -- --
Withdrawals................. (42,427) (39,010) (3,506) (441) -- -- -- --
--------- -------- ------- ------- --------- -------- --------- --------
Net Increase (Decrease)
from Transactions in
Interest................ (8,582) 40,402 1,487 5,331 -- -- -- --
--------- -------- ------- ------- --------- -------- --------- --------
Total Increase
(Decrease).............. 112,543 10,691 18,449 1,950 (48,445) 87,757 90,672 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............... $ 344,175 $231,632 $39,848 $21,399 $ 821,548 $869,993 $ 531,514 $440,842
========= ======== ======= ======= ========= ======== ========= ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. N/A N/A N/A N/A 25,564 29,600 11,937 8,348
Shares Issued in Lieu of
Cash Distributions....... 4,261 3,702 2,728 2,679
Shares Redeemed............ (34,214) (24,593) (5,275) (8,840)
--------- -------- --------- --------
(4,389) 8,709 9,390 2,187
========= ======== ========= ========
</TABLE>
See accompanying Notes to Financial Statements.
305
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY SERIES
--------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period (1)...................... N/A+ N/A+ N/A+ $ 13.48 $ 10.11
---------- ---------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
(1)
Net Investment Income........... -- -- -- 0.15 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized)..... -- -- -- 1.41 3.36
---------- ---------- -------- -------- --------
Total From Investment
Operations.................. -- -- -- 1.56 3.66
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income........... -- -- -- (0.16) (0.29)
Net Realized Gains.............. -- -- -- (0.08) --
---------- ---------- -------- -------- --------
Total Distributions........... -- -- -- (0.24) (0.29)
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period
(1)............................. N/A+ N/A+ N/A+ $ 14.80 $ 13.48
====================================================================================================================
Total Return (1).................. N/A+ N/A+ N/A+ 11.60%# 36.77%
- --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $2,775,062 $1,557,174 $822,493 $466,441 $ 97,118
Ratio of Expenses to Average Net
Assets.......................... 0.06% 0.06% 0.07% 0.12% 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%
Ratio of Net Investment Income to
Average Net Assets.............. 1.27% 1.47% 1.75% 2.12% 2.61%
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers and Assumption of
Expenses)....................... 1.27% 1.47% 1.75% 2.12% 2.45%
Portfolio Turnover Rate........... 4.27% 9.31% 4.28% 14.09% 2.38%
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY SERIES
------------------------------------------------------------
YEAR YEAR YEAR JULY 3
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
<S> <C> <C> <C> <C>
- ---------------------------------- ------------------------------------------------------------
Net Asset Value, Beginning of
Period (1)...................... $ 12.95 $ 12.56 $ 11.76 $ 10.00
-------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
(1)
Net Investment Income........... 1.06 0.29 0.51 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized)..... 1.34 2.13 2.25 1.74
-------- ------- ------- -------
Total From Investment
Operations.................. 2.40 2.42 2.76 1.90
- ---------------------------------- ------------------------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income........... (1.02) (0.45) (0.54) (0.14)
Net Realized Gains.............. (1.30) (1.58) (1.42) --
-------- ------- ------- -------
Total Distributions........... (2.32) (2.03) (1.96) (0.14)
- ---------------------------------- ------------------------------------------------------------
Net Asset Value, End of Period
(1)............................. $ 13.03 $ 12.95 $ 12.56 $ 11.76
================================== ============================================================
Total Return (1).................. 20.55% 24.00% 27.63% 18.95%#
- ---------------------------------- ------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $102,171 $61,522 $47,616 $29,213
Ratio of Expenses to Average Net
Assets.......................... 0.19% 0.21% 0.25% 0.29%*
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses)......... 0.19% 0.21% 0.25% 0.29%*
Ratio of Net Investment Income to
Average Net Assets.............. 4.55% 4.42% 4.59% 4.60%*
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers and Assumption of
Expenses)....................... 4.55% 4.42% 4.59% 4.60%*
Portfolio Turnover Rate........... 82.40% 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.
+ Not applicable as The U.S. Large Company Series is organized
as a partnership.
</TABLE>
See accompanying Notes to Financial Statements.
306
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE SERIES
-------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......... $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92
---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.34 0.31 0.32 0.31 0.32
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... 0.46 1.71 3.38 2.57 3.53
---------- ---------- ---------- -------- --------
Total From Investment Operations......... 0.80 2.02 3.70 2.88 3.85
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income...................... (0.34) (0.32) (0.31) (0.31) (0.31)
Net Realized Gains......................... (1.46) (1.00) (0.82) (0.34) (0.17)
---------- ---------- ---------- -------- --------
Total Distributions................ (1.80) (1.32) (1.13) (0.65) (0.48)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............... $ 17.79 $ 18.79 $ 18.09 $ 15.52 $ 13.29
==============================================================================================================================
Total Return................................. 4.64% 11.93% 25.31% 22.48% 39.26%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $1,788,082 $1,755,907 $1,489,996 $987,942 $423,027
Ratio of Expenses to Average Net Assets...... 0.16% 0.16% 0.18% 0.19% 0.21%
Ratio of Net Investment Income to Average Net
Assets..................................... 1.80% 1.67% 1.96% 2.37% 2.84%
Portfolio Turnover Rate...................... 42.96% 24.70% 17.71% 20.12% 29.41%
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE TAX-MANAGED
U.S. MARKETWIDE THE U.S. 4-10
VALUE SERIES VALUE SERIES
--------------- ------------------------
DEC. 14, 1998 YEAR FEB. 6
TO ENDED TO
NOV. 30, NOV. 30, NOV. 30,
1999 1999 1998
<S> <C> <C> <C>
- --------------------------------------------- --------------------------------------------
Net Asset Value, Beginning of Period......... N/A+ $ 8.62 $ 10.00
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... -- 0.10 0.07
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... -- 0.45 (1.39)
-------- -------- --------
Total From Investment Operations......... -- 0.55 (1.32)
- --------------------------------------------- --------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income...................... -- (0.10) (0.06)
Net Realized Gains......................... -- (0.04) --
-------- -------- --------
Total Distributions................ N/A+ (0.14) (0.06)
- --------------------------------------------- --------------------------------------------
Net Asset Value, End of Period............... N/A+ $ 9.03 $ 8.62
============================================= ============================================
Total Return................................. N/A+ 6.39% (13.26)%#
- --------------------------------------------- --------------------------------------------
Net Assets, End of Period (thousands)........ $126,004 $360,336 $179,242
Ratio of Expenses to Average Net Assets...... 0.29%*(a) 0.14% 0.17%*
Ratio of Net Investment Income to Average Net
Assets..................................... 1.66%*(a) 1.33% 1.95%*
Portfolio Turnover Rate...................... 9.72%* 34.69% 10.46%*
- --------------------------------------------- --------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
+ Not applicable as the Tax-Managed U.S. Marketwide Value
Series is organized as a partnership.
</TABLE>
See accompanying Notes to Financial Statements.
307
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE SERIES
-------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......... $ 17.26 $ 21.10 $ 16.58 $ 14.02 $ 11.15
---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.14 0.14 0.15 0.15 0.14
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... 1.38 (1.92) 5.23 2.88 3.06
---------- ---------- ---------- ---------- --------
Total From Investment Operations......... 1.52 (1.78) 5.38 3.03 3.20
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income...................... (0.14) (0.16) (0.12) (0.15) (0.14)
Net Realized Gains......................... (1.48) (1.90) (0.74) (0.32) (0.19)
---------- ---------- ---------- ---------- --------
Total Distributions................ (1.62) (2.06) (0.86) (0.47) (0.33)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............... $ 17.16 $ 17.26 $ 21.10 $ 16.58 $ 14.02
==============================================================================================================================
Total Return................................. 9.78% (9.05)% 33.93% 22.14% 28.81%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $2,692,473 $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..................................... 0.83% 0.78% 0.86% 1.11% 1.22%
Portfolio Turnover Rate...................... 29.41% 22.51% 25.47% 14.91% 20.62%
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL
COMPANY SERIES
------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
- --------------------------------------------- ------------------------------------------------------------------------
Net Asset Value, Beginning of Period......... $ 11.46 $ 13.82 $ 12.56 $ 11.26 $ 9.54
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.10 0.10 0.11 0.13 0.12
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... 1.83 (1.28) 2.81 1.92 2.50
-------- -------- -------- -------- --------
Total From Investment Operations......... 1.93 (1.18) 2.92 2.05 2.62
- --------------------------------------------- ------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income...................... (0.11) (0.10) (0.10) (0.13) (0.12)
Net Realized Gains......................... (1.04) (1.08) (1.56) (0.62) (0.78)
-------- -------- -------- -------- --------
Total Distributions................ (1.15) (1.18) (1.66) (0.75) (0.90)
- --------------------------------------------- ------------------------------------------------------------------------
Net Asset Value, End of Period............... $ 12.24 $ 11.46 $ 13.82 $ 12.56 $ 11.26
============================================= ========================================================================
Total Return................................. 18.62% (8.98)% 26.47% 19.17% 29.19%
- --------------------------------------------- ------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $586,086 $546,803 $432,833 $268,401 $221,984
Ratio of Expenses to Average Net Assets...... 0.09% 0.09% 0.11% 0.13% 0.15%
Ratio of Net Investment Income to Average Net
Assets..................................... 0.89% 0.88% 0.96% 1.05% 1.18%
Portfolio Turnover Rate...................... 28.51% 29.15% 30.04% 32.38% 21.16%
- --------------------------------------------- ------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
308
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL
COMPANY SERIES THE DFA INTERNATIONAL VALUE SERIES
----------------------------- -----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998 1997
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................... $ 8.86 $ 10.00 $ 11.95 $ 10.90 $ 11.79
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.07 0.06 0.28 0.22 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 1.52 (1.14) 1.29 1.13 (0.67)
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................... 1.59 (1.08) 1.57 1.35 (0.43)
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.07) (0.06) (0.31) (0.27) (0.22)
Net Realized Gains............... (0.83) -- (0.03) (0.03) (0.24)
---------- ---------- ---------- ---------- ----------
Total Distributions...... (0.90) (0.06) (0.34) (0.30) (0.46)
- -------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 9.55 $ 8.86 $ 13.18 $ 11.95 $ 10.90
===================================================================================================================
Total Return....................... 20.06% (10.81)% 13.27% 12.50% (3.84)%
- -------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $1,323,023 $1,339,624 $1,660,377 $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 Net Investment Income to
Average Net Assets............... 0.76% 0.63% 2.17% 1.90% 2.09%
Portfolio Turnover Rate............ 22.51% 26.44% 5.80% 15.41% 22.55%
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERNATIONAL VALUE SERIES THE JAPANESE SMALL COMPANY SERIES
--------------------------- --------------------------------------------------
YEAR YEAR YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1996 1995 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------- ----------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................... $ 10.55 $ 10.06 N/A+ N/A+ N/A+ N/A+
---------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.23 0.20 -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 1.32 0.52 -- -- -- --
---------- -------- -------- -------- -------- --------
Total From Investment
Operations................... 1.55 0.72 -- -- -- --
- ----------------------------------- ----------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.23) (0.21) -- -- -- --
Net Realized Gains............... (0.08) (0.02) -- -- -- --
---------- -------- -------- -------- -------- --------
Total Distributions...... (0.31) (0.23) -- -- -- --
- ----------------------------------- ----------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 11.79 $ 10.55 N/A+ N/A+ N/A+ N/A+
=================================== ==================================================================================
Total Return....................... 14.85% 7.20% N/A+ N/A+ N/A+ N/A+
- ----------------------------------- ----------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $1,356,852 $609,386 $202,676 $190,004 $175,342 $329,682
Ratio of Expenses to Average Net
Assets........................... 0.36% 0.42% 0.28% 0.28% 0.29% 0.29%*
Ratio of Net Investment Income to
Average Net Assets............... 2.23% 2.14% 1.10% 1.29% 0.93% 0.76%*
Portfolio Turnover Rate............ 12.23% 9.75% 6.21% 8.14% 13.17% 1.67%*
- ----------------------------------- ----------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Japanese Small Company Series is
organized as a partnership.
</TABLE>
See accompanying Notes to Financial Statements.
309
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM SMALL COMPANY SERIES
---------------------------------------------------
YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
<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).................. $183,759 $139,881 $147,795 $231,481
Ratio of Expenses to Average Net Assets................ 0.48% 0.38% 0.40% 0.45%*
Ratio of Net Investment Income to Average Net Assets... 2.95% 4.01% 2.45% 2.50%*
Portfolio Turnover Rate................................ 33.65% 25.84% 24.00% 8.04%*
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------------------
YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
<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).................. $132,127 $127,485 $171,851 $182,625
Ratio of Expenses to Average Net Assets................ 0.26% 0.26% 0.25% 0.29%*
Ratio of Net Investment Income to Average Net Assets... 3.55% 3.66% 2.86% 2.94%*
Portfolio Turnover Rate................................ 4.95% 11.26% 4.26% 4.55%*
- ------------------------------------------------------- ---------------------------------------------------
<CAPTION>
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------------------
YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
<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).................. $252,368 $304,402 $323,610 $335,882
Ratio of Expenses to Average Net Assets................ 0.27% 0.27% 0.29% 0.31%*
Ratio of Net Investment Income to Average Net Assets... 1.92% 1.76% 1.84% 0.27%*
Portfolio Turnover Rate................................ 10.74% 0.74% 3.46% 6.69%*
- ------------------------------------------------------- ------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Pacific Rim Small Company Series, The
United Kingdom Small Company Series and The Continental
Small Company Series are organized as partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
310
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING MARKETS SERIES
------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<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)........ $344,175 $231,632 $220,941 $162,075 $49,351
Ratio of Expenses to Average Net Assets...... 0.46% 0.53% 0.54% 0.66% 0.87%
Ratio of Net Investment Income to Average Net
Assets..................................... 1.34% 1.66% 1.63% 1.63% 1.70%
Portfolio Turnover Rate...................... 15.59% 9.76% 0.54% 0.37% 8.17%
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING MARKETS SMALL
CAP SERIES
-------------------------------------------
YEAR YEAR DEC. 2,
ENDED ENDED 1996
NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997
<S> <C> <C> <C>
- --------------------------------------------- -------------------------------------------
Net Asset Value, Beginning of Period......... N/A+ N/A+ N/A+
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... -- -- --
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... -- -- --
------- ------- -------
Total From Investment Operations......... -- -- --
- --------------------------------------------- -------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income...................... -- -- --
Net Realized Gains......................... -- -- --
------- ------- -------
Total Distributions................ -- -- --
- --------------------------------------------- -------------------------------------------
Net Asset Value, End of Period............... N/A+ N/A+ N/A+
============================================= ===========================================
Total Return................................. N/A+ N/A+ N/A+
- --------------------------------------------- -------------------------------------------
Net Assets, End of Period (thousands)........ $39,848 $21,399 $19,449
Ratio of Expenses to Average Net Assets...... 0.68% 0.88% 0.90%*
Ratio of Net Investment Income to Average Net
Assets..................................... 1.82% 2.32% 1.90%*
Portfolio Turnover Rate...................... 23.98% 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
partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
311
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME SERIES (1)
------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
<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........... 0.52 0.56 0.59 0.56 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized)..... (0.05) 0.02 (0.02) 0.03 0.16
-------- -------- -------- -------- --------
Total From Investment
Operations.................. 0.47 0.58 0.57 0.59 0.76
- ------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income........... (0.52) (0.57) (0.59) (0.56) (0.60)
Net Realized Gains.............. -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions..... (0.52) (0.57) (0.59) (0.56) (0.60)
- ------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 9.97 $ 10.02 $ 10.01 $ 10.03 $ 10.00
==================================================================================================================
Total Return...................... 4.83% 5.92% 5.83% 6.10% 7.91%
- ------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $821,548 $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.............. 5.19% 5.61% 5.85% 5.62% 6.04%
Portfolio Turnover Rate........... 57.58% 23.62% 82.84% 95.84% 81.31%
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR GLOBAL FIXED INCOME
SERIES
-----------------------------------------------------------
YEAR YEAR YEAR FEB 9
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996
<S> <C> <C> <C> <C>
- ---------------------------------- -----------------------------------------------------------
Net Asset Value, Beginning of
Period.......................... $ 10.21 $ 10.22 $ 10.34 $ 10.00
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........... 0.45 0.44 0.48 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)..... 0.03 0.19 0.12 0.25
-------- -------- -------- --------
Total From Investment
Operations.................. 0.48 0.63 0.60 0.59
- ---------------------------------- -----------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income........... (0.57) (0.62) (0.71) (0.25)
Net Realized Gains.............. (0.01) (0.02) (0.01) --
-------- -------- -------- --------
Total Distributions..... (0.58) (0.64) (0.72) (0.25)
- ---------------------------------- -----------------------------------------------------------
Net Asset Value, End of Period.... $ 10.11 $ 10.21 $ 10.22 $ 10.34
================================== ===========================================================
Total Return...................... 4.84% 6.48% 5.96% 6.01%#
- ---------------------------------- -----------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $531,514 $440,842 $418,907 $319,272
Ratio of Expenses to Average Net
Assets.......................... 0.15% 0.16% 0.18% 0.20%*
Ratio of Net Investment Income to
Average Net Assets.............. 4.45% 4.28% 4.64% 4.51%*
Portfolio Turnover Rate........... 78.15% 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.
312
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1999, the Trust consisted of twenty-one investment portfolios,
(collectively, the "Series"), of which seventeen are included in this report,
one is presented in a separate report and three have not yet commenced
operations.
<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>
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Trustees.
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 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.
313
<PAGE>
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. The component of net assets may be adjusted for current period
permanent book/tax differences which arose principally from differing book/tax
treatments of foreign currency and foreign taxes on capital gains. 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.
The Funds may be subject to taxes imposed by countries in which they invest,
with respect to their investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Funds accrue such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales of foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
314
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor")provides investment
advisory services to the Trust. For the year ended November 30,1999, 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. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 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
--------- -------- --------- ---------
<S> <C> <C> <C> <C>
(000) (000) (000) (000)
The U.S. Large Company Series............................. -- -- $948,623 $ 94,589
The Enhanced U.S. Large Company Series.................... -- -- 74,460 43,091
The U.S. Large Cap Value Series........................... -- -- 770,263 798,873
The Tax-Managed U.S. Marketwide Value Series.............. -- -- 133,251 6,614
The U.S. 4-10 Value Series................................ -- -- 271,911 97,527
The U.S. 6-10 Value Series................................ -- -- 784,162 757,966
The U.S. 6-10 Small Company Series........................ -- -- 155,748 215,360
The U.S. 9-10 Small Company Series........................ -- -- 300,470 563,915
The DFA International Value Series........................ -- -- 98,879 349,360
The Japanese Small Company Series......................... -- -- 12,214 42,044
The Pacific Rim Small Company Series...................... -- -- 52,523 74,968
The United Kingdom Small Company Series................... -- -- 6,493 37,339
The Continental Small Company Series...................... -- -- 28,290 44,337
The Emerging Markets Series............................... -- -- 43,232 48,473
The Emerging Markets Small Cap Series..................... -- -- 13,046 7,305
The DFA One-Year Fixed Income Series...................... $222,271 $90,745 203,630 112,885
The DFA Two-Year Global Fixed Income Series............... -- -- 621,020 355,094
</TABLE>
315
<PAGE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1999, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies for
each Series were as follows:
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ----------
<S> <C> <C> <C>
(000) (000) (000)
The U.S. Large Company Series.............................. $967,285 $ (69,097) $ 898,188
The Enhanced U.S. Large Company Series..................... -- (1,716) (1,716)
The U.S. Large Cap Value Series............................ 310,811 (241,820) 68,991
The Tax-Managed U.S. Marketwide Value Series............... 11,689 (13,267) (1,578)
The U.S. 4-10 Value Series................................. 33,277 (63,088) (29,811)
The U.S. 6-10 Value Series................................. 597,377 (574,102) 23,275
The U.S. 6-10 Small Company Series......................... 138,320 (127,726) 10,594
The U.S. 9-10 Small Company Series......................... 380,633 (320,437) 60,196
The DFA International Value Series......................... 413,380 (186,816) 226,564
The Japanese Small Company Series.......................... 14,181 (183,512) (169,331)
The Pacific Rim Small Company Series....................... 28,755 (61,236) (32,481)
The United Kingdom Small Company Series.................... 52,267 (28,500) 23,767
The Continental Small Company Series....................... 72,995 (39,849) 33,146
The Emerging Markets Series................................ 110,720 (57,061) 53,659
The Emerging Markets Small Cap Series...................... 12,081 (11,836) 245
The DFA One-Year Fixed Income Series....................... 37 (4,243) (4,206)
The DFA Two-Year Global Fixed Income Series................ -- (14,225) (14,225)
</TABLE>
At November 30, 1999, The DFA One-Year Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $733,000 of
which $23,000, $301,000 and $409,000 expire on November 30, 2002, 2004, and
2007, respectively. Also, the Two-Year Global Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $183,000 which
expires on November 30, 2007.
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1999 NET ASSETS CONSIST OF:
-------------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
ACCUMULATED FUTURES, SWAP
NET REALIZED CONTRACTS, UNREALIZED
UNDISTRIBUTED ACCUMULATED FOREIGN INVESTMENT NET FOREIGN
PAID-IN NET INVESTMENT NET REALIZED EXCHANGE SECURITIES AND EXCHANGE
CAPITAL INCOME (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS)
------------- -------------- -------------- -------------- ------------------- -------------
<S> <C> <C> <C> <C> <C> <C>
The Enhanced U.S. Large
Company Series........... $ 91,391 $ (3,828) $ 10,083 $ 3,424 $ 371 $ 730
The U.S. Large Cap Value
Series................... 1,407,634 1,255 310,032 -- 69,161 --
The U.S. 4-10 Value
Series................... 379,928 418 9,600 -- (29,610) --
The U.S. 6-10 Value
Series................... 2,408,698 1,816 258,553 -- 23,406 --
The U.S. 6-10 Small
Company Series........... 516,502 221 55,327 -- 14,036 --
The U.S. 9-10 Small
Company Series........... 1,012,199 484 250,136 -- 60,204 --
The DFA International
Value Series............. 1,333,432 2,072 98,528 (341) 226,914 (228)
The DFA One-Year Fixed
Income Series............ 822,674 3,821 (741) (4,206) --
The DFA Two-Year Global
Fixed Income Series 531,556 (4,716) (214) 14,811 (14,225) 4,302
<CAPTION>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
------------- -------------
<S> <C> <C>
The Enhanced U.S. Large
Company Series........... $ 102,171 Unlimited
The U.S. Large Cap Value
Series................... 1,788,082 Unlimited
The U.S. 4-10 Value
Series................... 360,336 Unlimited
The U.S. 6-10 Value
Series................... 2,692,473 Unlimited
The U.S. 6-10 Small
Company Series........... 586,086 Unlimited
The U.S. 9-10 Small
Company Series........... 1,323,023 Unlimited
The DFA International
Value Series............. 1,660,377 Unlimited
The DFA One-Year Fixed
Income Series............ 821,548 Unlimited
The DFA Two-Year Global
Fixed Income Series 531,514 Unlimited
</TABLE>
316
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk and concentrations of credit risk. These instruments and their significant
corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 30, 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 November 30, 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 is
reflected in the accompanying financial statements:
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
UNREALIZED
VALUE AT FOREIGN
EXPIRATION CONTRACT NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD AMOUNT 1999 GAIN
- --------------------- ------------------------------- ------------ ------------- ----------
<C> <C> <S> <C> <C> <C>
12/15/99 7,276,374 Canadian Dollar $ 4,977,226 $ 4,939,498 $ 37,728
12/15/99 24,781,733 Denmark Krone 3,469,478 3,354,399 115,079
12/22/99 1,063,787 Austrian Dollar 678,798 676,232 2,566
12/27/99 32,210,340 Swedish Krona 3,850,465 3,788,988 61,477
12/29/99 26,232,013 European Currency 26,959,282 26,412,676 546,606
----------- ----------- --------
$39,935,249 $39,171,793 $763,456
=========== =========== ========
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<TABLE>
<CAPTION>
UNREALIZED
VALUE AT FOREIGN
EXPIRATION CONTRACT NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD AMOUNT 1999 GAIN
- --------------------- ------------------------------------- ------------- ------------- -----------
<C> <C> <S> <C> <C> <C>
12/13/99 38,773,069 Canadian Dollar $ 26,353,292 $ 26,320,731 $ 32,561
12/15/99 115,288,933 Danish Krone 16,140,615 15,605,250 535,365
12/22/99 42,287,833 Australian Dollar 26,983,680 26,881,675 102,005
12/27/99 179,866,314 Swedish Krona 21,501,446 21,158,154 343,292
12/29/99 169,205,655 European Currency Unit 173,896,795 170,370,993 3,525,802
------------ ------------ ----------
$264,875,828 $260,336,803 $4,539,025
============ ============ ==========
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter- parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed
Income Series will enter into forward contracts only for hedging purposes.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
317
<PAGE>
4. FUTURES CONTRACTS. During the year ended November 30, 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 minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Enhanced as unrealized gains or losses until the contracts are
closed. When the contracts are closed, Enhanced records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
At November 30, 1999, Enhanced had outstanding 247 long futures contracts on
the S & P 500 Index, all of which expire on December 17, 1999. The value of such
contracts on November 30, 1999 was $85,925,125, which resulted in an unrealized
gain of $2,549,078.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
5. EQUITY INDEX SWAPS - Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the contract is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the counter
party, the accumulated net unrealized gain or loss, which will then be recorded
as realized.
At November 30, 1999, Enhanced had an outstanding equity index swap with
Morgan Stanley dated July 15, 1999 (which represents approximately 16% of the
net assets of Enhanced), terminating on February 18, 2000. The notional value of
the swap was $16,388,242, and Enhanced had recorded net unrealized depreciation
of $498,851, all of which Enhanced owed to Morgan. Payments made by Enhanced are
based on the London Interbank Offered Rate (LIBOR) plus 0.15% per annum
calculated on the original notional amount plus accumulated interest added on
the monthly LIBOR reset date. Payments received by Enhanced are based on the
daily value of the S & P 500 Index plus accumulated dividends as expressed in
Index points calculated on the original notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the year ended November 30, 1999 borrowings
under the line were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------- ------------- --------- ---------------
<S> <C> <C> <C> <C> <C>
The U.S. Large Company Series........... 5.44% $ 3,228,313 12 $ 7,810 $12,530,000
The U.S Large Cap Value Series.......... 5.55% 2,275,238 13 7,365 7,639,000
The Tax-Managed U.S. Marketwide Value
Series................................. 5.75% 188,000 1 30 188,000
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
The U.S. 9-10 Small Company Series...... 5.75% 4,155,000 2 1,327 4,155,000
The Emerging Markets Small Cap Series... 5.75% 750,000 1 120 750,000
</TABLE>
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<PAGE>
There were no outstanding borrowings under the line of credit at
November 30, 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 bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
November 30, 1999 was reinvested into overnight repurchase agreements with JP
Morgan 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 November 30, 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................. $ 40,344,278 $ 41,857,494 $ 42,740,894
The U.S. Large Cap Value Series............... 3,451,603 4,182,800 4,271,078
The Tax-Managed U.S. Marketwide Value Series.. 594,479 621,700 634,821
The U.S. 4-10 Value Series.................... 4,079,015 4,972,679 5,077,627
The U.S. 6-10 Value Series.................... 25,634,905 49,018,098 50,052,623
The U.S. 6-10 Small Company Series............ 26,345,262 31,946,139 32,620,362
The U.S. 9-10 Small Company Series............ 44,912,910 60,974,742 62,261,611
INTERNATIONAL EQUITY PORTFOLIOS
- ----------------------------------------------
The DFA International Value Series............ 119,398,258 126,555,611 154,412,408
The Japanese Small Company Series............. 25,792,750 27,708,820 28,928,764
The Pacific Rim Small Company Series.......... 9,373,457 13,491,298 13,966,671
The Continental Small Company Series.......... 8,851,265 9,331,234 9,594,880
</TABLE>
K. MALAYSIA:
During the year ended November 30, 1999, the Pacific Rim Small Company
Series, International Small Cap Value Portfolio, and the DFA International Value
Series Funds repatriated funds from Malaysia. In accordance with the Malaysian
government's repatriation tax regime, the Funds paid repatriation taxes based on
the market value at August 31, 1998 of securities sold as follows: a 30% tax on
repatriations between September 1, 1998 and April 1, 1999, a 20% tax on
repatriations between April 1, 1999 and June 1, 1999 and a 10% tax on
repatriations between June 1, 1999 and September 1, 1999. Realized gains and
losses on the sale of Malaysian securities have been recorded net of applicable
repatriation taxes for financial statement purposes.
319
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The U.S. Large Company Series, The
Enhanced U.S. Large Company Series, The U.S. Large Cap Value Series, The
Tax-Managed U.S. Marketwide Value Series, The U.S. 4-10 Value Series, The U.S.
6-10 Value Series, The U.S. 6-10 Small Company Series, The U.S. 9-10 Small
Company Series, The DFA International Value Series, The Japanese Small Company
Series, The Pacific Rim Small Company Series, The United Kingdom Small Company
Series, The Continental Small Company Series, The Emerging Markets Series, The
Emerging Markets Small Cap Series, The DFA One-Year Fixed Income Series and The
DFA Two-Year Global Fixed Income Series at November 30, 1999 (constituting the
DFA Investment Trust Company, hereafter referred to as the "Fund"), the results
of each of their operations, the changes in each of their net assets and the
financial highlights for each of the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 1999 by
correspondence with the custodians and brokers, provide a reasonable basis for
the opinion expressed above.
PRICEWATERHOUSECOOPERS LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
320
