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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
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DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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PAGE
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Schedules of Investments
VA Small Value Portfolio........................................................................................... 1-13
VA Large Value Portfolio........................................................................................... 14-15
VA International Value Portfolio................................................................................... 16-20
VA International Small Portfolio................................................................................... 21-29
Statements of Net Assets
VA Short-Term Fixed Portfolio...................................................................................... 30-31
VA Global Bond Portfolio........................................................................................... 32-33
Statements of Assets and Liabilities
VA Small Value Portfolio........................................................................................... 34
VA Large Value Portfolio........................................................................................... 34
VA International Value Portfolio................................................................................... 35
VA International Small Portfolio................................................................................... 35
Statements of Operations............................................................................................. 36-37
Statements of Changes in Net Assets.................................................................................. 38-40
Financial Highlights................................................................................................. 41-43
Notes to Financial Statements........................................................................................ 44-48
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This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
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COMMON STOCKS -- (98.6%)
*3-D Systems Corp..................................... 1,000 $ 11,781
*3Dfx Interactive, Inc................................ 2,130 15,775
*A.C. Moore Arts & Crafts, Inc........................ 1,000 5,766
*Aames Financial Corp................................. 560 455
AAR Corp.............................................. 3,000 41,625
ABC Bancorp........................................... 1,200 11,925
*ABC Rail Products Corp............................... 400 2,512
*Abraxas Petroleum Corp............................... 1,000 1,490
*Accel International Corp............................. 400 281
*Acceptance Insurance Companies, Inc.................. 1,500 7,687
Aceto Corp............................................ 660 7,054
*Acme Metals, Inc..................................... 1,000 165
*ACT Networks, Inc.................................... 1,000 11,656
*Action Performance Companies, Inc.................... 1,200 9,637
*Adac Laboratories.................................... 1,000 19,281
*ADE Corp............................................. 1,000 15,312
*Adept Technology, Inc................................ 500 10,469
*Advanced Magnetics, Inc.............................. 500 3,375
Advanced Marketing Services, Inc...................... 1,125 20,777
Advanta Corp. Class A................................. 1,000 16,844
Advanta Corp. Class B Non-Voting...................... 2,000 24,187
Advest Group, Inc..................................... 700 13,387
*Aehr Test Systems.................................... 1,000 5,937
*AEP Industries, Inc.................................. 1,100 18,184
*Aerovox, Inc......................................... 400 1,287
*Aetrium, Inc......................................... 1,200 6,487
*Aftermarket Technology Corp.......................... 2,000 11,812
Agco Corp............................................. 5,000 62,500
*Agribrands International, Inc........................ 400 16,575
*AHL Services, Inc.................................... 500 3,844
*AHT Corp............................................. 1,000 1,187
*Air Methods Corp..................................... 300 1,050
*Airgas, Inc.......................................... 10,500 56,437
*Airnet Systems, Inc.................................. 600 2,681
Alamo Group, Inc...................................... 1,200 14,325
*Alaska Air Group, Inc................................ 4,000 124,500
*Albany International Corp. Class A................... 400 5,725
*Aldila, Inc.......................................... 1,300 2,092
Alico, Inc............................................ 1,200 18,450
*All American Semiconductor, Inc...................... 260 2,697
*Allen Telecom, Inc................................... 2,800 44,800
Alliance Bancorp...................................... 1,359 23,995
*Allied Healthcare Products, Inc...................... 1,700 5,631
*Allied Holdings, Inc................................. 1,200 7,650
Allied Products Corp.................................. 2,000 2,625
*Allied Research Corp................................. 300 2,325
*Allin Communications Corp............................ 500 1,187
*Allou Health & Beauty Care, Inc. Class A............. 500 3,437
*Allstars Systems, Inc................................ 100 225
*Alltrista Corp....................................... 1,000 24,562
*Alpha Technologies Group, Inc........................ 500 4,359
*Alphanet Solutions, Inc.............................. 1,200 5,550
*Alternative Resources Corp........................... 2,000 2,812
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*Alterra Healthcare Corp.............................. 3,000 $ 5,812
Ambanc Holding Co., Inc............................... 1,000 14,469
*Ambassadors, Inc..................................... 1,100 14,953
*AMC Entertainment, Inc............................... 400 1,900
Amcast Industrial Corp................................ 700 6,037
*Amerco, Inc.......................................... 1,500 26,297
*America West Holdings Corp. Class B.................. 1,600 28,500
*American Coin Merchandising, Inc..................... 1,000 2,625
*American Freightways Corp............................ 2,900 43,228
*American Healthcorp, Inc............................. 300 1,200
*American Homepatient, Inc............................ 1,000 330
*American Homestar Corp............................... 1,400 1,378
*American Medical Security Group, Inc................. 1,800 11,812
*American Pacific Corp................................ 700 4,178
*American Physicians Services Group, Inc.............. 500 1,539
*American Retirement Corp............................. 1,500 8,250
*American Skiing Co................................... 1,400 2,450
*Amerihost Properties, Inc............................ 400 1,387
*Ameripath, Inc....................................... 1,700 14,583
*Ameristar Casinos, Inc............................... 1,700 6,747
Ameron, Inc........................................... 300 11,025
Amerus Life Holdings, Inc. Class A.................... 2,000 39,875
*Ames Department Stores, Inc.......................... 2,300 27,241
*AMF Bowling, Inc..................................... 7,500 7,031
Ampco-Pittsburgh Corp................................. 1,400 15,487
Amplicon, Inc......................................... 1,000 9,937
*Amrep Corp........................................... 600 3,900
*Amresco, Inc......................................... 5,600 3,237
*Amtran, Inc.......................................... 800 11,325
Amwest Insurance Group, Inc........................... 1,000 4,875
Analogic Corp......................................... 200 7,212
Andersons, Inc........................................ 1,000 8,812
Andover Bancorp, Inc.................................. 600 17,437
Angelica Corp......................................... 800 5,400
*Anicom, Inc.......................................... 2,700 13,373
Apogee Enterprises, Inc............................... 2,700 10,969
*Applica, Inc......................................... 2,000 29,500
*Applied Extrusion Technologies, Inc.................. 2,000 11,750
*Applied Graphics Technologies, Inc................... 2,000 6,937
Applied Industrial Technologies, Inc.................. 2,000 34,875
*Applied Magnetics Corp............................... 1,700 40
Applied Signal Technologies, Inc...................... 800 8,100
*Arch Capital Group, Ltd.............................. 1,500 22,641
Arch Chemicals, Inc................................... 3,500 60,375
Arch Coal, Inc........................................ 4,900 36,750
*Arch Communications Group, Inc....................... 1,100 5,534
Arctic Cat, Inc....................................... 1,800 19,406
Argonaut Group, Inc................................... 2,600 46,962
*Arkansas Best Corp................................... 2,700 29,869
Armstrong Holdings, Inc............................... 5,400 92,812
Arnold Industries, Inc................................ 2,000 22,937
*ARV Assisted Living, Inc............................. 1,600 1,550
Arvin Industries, Inc................................. 2,700 48,600
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*Asante Technologies, Inc............................. 400 $ 587
*Asche Transportation Services, Inc................... 500 906
*Ashworth, Inc........................................ 2,500 10,703
*Astea International, Inc............................. 1,200 2,644
*Atchison Casting Corp................................ 200 1,412
*Atlantic American Corp............................... 1,900 5,937
*Atlantic Gulf Communities Corp....................... 1,500 127
*Atlantis Plastics, Inc............................... 200 1,400
*Atrion Corp.......................................... 200 2,375
*Aurora Foods, Inc.................................... 2,300 8,194
*Autoimmune, Inc...................................... 1,100 1,427
Avado Brands, Inc..................................... 2,600 3,697
*Avalon Holding Corp. Class A......................... 262 1,032
*Avatar Holdings, Inc................................. 1,000 19,781
*Avatex Corporation Class A........................... 1,400 809
*Aviall, Inc.......................................... 2,800 15,050
*Aviation Sales Co.................................... 1,400 9,362
*Avid Technology, Inc................................. 2,000 20,125
*Avis Group Holdings, Inc............................. 3,900 75,075
*Avteam, Inc. Class A................................. 1,500 2,977
*Axsys Technologies, Inc.............................. 1,000 14,687
*Aztar Corp........................................... 6,600 84,150
Aztec Manufacturing Co................................ 500 8,000
Badger Meter, Inc..................................... 200 6,350
Bairnco Corp.......................................... 900 6,469
Baker (J.), Inc....................................... 2,200 14,025
*Baker (Michael) Corp................................. 700 4,550
Baldwin & Lyons, Inc. Class B......................... 600 10,875
*Baldwin Piano & Organ Co............................. 300 1,819
*Baldwin Technology, Inc. Class A..................... 1,400 2,975
*Bancinsurance Corp................................... 525 2,166
Bandag, Inc........................................... 800 19,850
Bandag, Inc. Class A.................................. 1,000 22,750
*Bank Plus Corp....................................... 2,100 5,841
*Bank United Financial Corp. Class A.................. 3,200 20,600
BankAtlantic Bancorp, Inc. Class A.................... 796 3,035
BankAtlantic Bancorp, Inc. Class B.................... 2,000 11,437
*Banknorth Group, Inc................................. 1,314 18,355
*Barringer Technologies, Inc.......................... 1,000 6,156
*Barry (R.G.) Corp.................................... 300 1,031
*Basin Exploration, Inc............................... 900 14,962
Bassett Furniture Industries, Inc..................... 2,200 26,881
Bay View Capital Corp................................. 2,900 29,362
*Bayou Steel Corp. Class A............................ 1,900 4,275
*Be Aerospace, Inc.................................... 2,500 17,266
*Beazer Homes USA, Inc................................ 1,700 31,237
*BEI Electronics, Inc................................. 1,600 2,125
*Bel Fuse, Inc. Class A............................... 200 3,637
Bel Fuse, Inc. Class B................................ 600 10,781
Bell Industries, Inc.................................. 1,860 4,882
*Bell Microproducts, Inc.............................. 1,500 19,406
*Benton Oil & Gas Co.................................. 2,100 5,775
Bergen Brunswig Corp. Class A......................... 6,800 35,275
Berkley (W.R.) Corp................................... 3,800 83,719
*Berlitz International, Inc........................... 900 10,012
*Bethlehem Steel Corp................................. 8,300 32,162
*Beverly Enterprises.................................. 12,700 38,100
*BFX Hospitality Group, Inc........................... 300 225
*BI, Inc.............................................. 1,000 5,312
*Big 4 Ranch, Inc..................................... 300 0
Bindley Western Industries, Inc....................... 2,400 45,750
*Bio Vascular, Inc.................................... 500 1,453
*Bionx Implants, Inc.................................. 1,300 2,844
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*Bio-Rad Laboratories, Inc. Class A................... 400 $ 9,275
*BioReliance Corp..................................... 500 2,516
Birmingham Steel Corp................................. 4,600 17,825
Blair Corp............................................ 1,500 28,875
Block Drug Co., Inc. Class A.......................... 1,718 47,567
*Bluegreen Corp....................................... 2,500 7,812
BMC Industries, Inc................................... 4,100 15,631
Bob Evans Farms, Inc.................................. 4,100 55,606
*Boca Research, Inc................................... 1,000 5,437
*Boca Resorts, Inc.................................... 3,300 28,462
*Bolt Technology Corp................................. 300 1,350
*Bombay Co., Inc...................................... 5,400 17,212
*Bon-Ton Stores, Inc.................................. 1,900 4,245
*Books-a-Million, Inc................................. 2,700 9,197
*Boron, Lepore and Associates, Inc.................... 1,100 8,422
*Boston Communications Group, Inc..................... 1,900 19,534
Bostonfed Bancorp, Inc................................ 1,000 13,125
Bowne & Co., Inc...................................... 3,600 36,225
*Boyd Gaming Corp..................................... 5,500 27,156
*Brass Eagle, Inc..................................... 500 2,437
*Bridgestreet Accomodations, Inc...................... 1,200 3,300
*BrightStar Information Technology Group, Inc......... 500 1,937
*Brookdale Living Communities......................... 1,000 13,625
Brookline Bancorp, Inc................................ 2,500 24,453
*Brookstone, Inc...................................... 1,500 21,281
*Brown & Sharpe Manufacturing Co. Class A............. 1,200 2,700
*Brown (Tom), Inc..................................... 3,600 78,525
Brown Shoe Company, Inc............................... 5,600 66,850
*Brunswick Technologies, Inc.......................... 300 2,634
Brush Wellman, Inc.................................... 1,900 33,131
BSB Bancorp, Inc...................................... 900 17,184
*BTG, Inc............................................. 300 2,437
*BTU International, Inc............................... 1,700 14,716
*Budget Group, Inc.................................... 4,100 15,631
*Buffets, Inc......................................... 4,000 46,375
*Builders Transport, Inc.............................. 400 22
*Building Materials Holding Corp...................... 1,500 13,922
Burlington Coat Factory Warehouse Corp................ 5,500 69,781
*Burlington Industries, Inc........................... 6,700 22,194
*Bush Boake Allen, Inc................................ 100 3,262
*Business Resource Group.............................. 500 3,109
*Butler International, Inc............................ 1,000 8,187
Butler Manufacturing Co............................... 1,000 22,312
*BWAY Corp............................................ 1,000 7,187
*C.P. Clare Corp...................................... 1,000 6,562
Cadmus Communications Corp............................ 1,300 11,294
Calgon Carbon Corp.................................... 4,800 31,500
*California Coastal Communities, Inc.................. 1,000 5,719
Cal-Maine Foods, Inc.................................. 800 2,675
*Cameron Ashley Building Products, Inc................ 1,200 21,675
*Cannondale Corp...................................... 1,000 7,187
*Canterbury Information Technology, Inc............... 1,000 2,656
*Capital Crossing Bank................................ 1,000 10,250
*Capital Pacific Holdings, Inc........................ 1,000 2,750
*Capital Senior Living Corp........................... 3,000 7,125
*Capital Trust, Inc................................... 200 775
Capitol Transamerica Corp............................. 700 7,875
*Carbide/Graphite Group, Inc.......................... 1,000 4,281
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*Caredata.com, Inc.................................... 1,000 $ 4,000
*Carematrix, Inc...................................... 1,500 1,102
*Caribiner International, Inc......................... 3,600 2,700
*Carmike Cinemas, Inc. Class A........................ 1,000 5,312
Carpenter Technology Corp............................. 3,800 78,612
*Carriage Services, Inc. Class A...................... 2,100 6,037
*Carrington Laboratories, Inc......................... 1,000 2,219
*Carson, Inc.......................................... 800 3,250
Carter-Wallace, Inc................................... 1,200 24,000
Cascade Corp.......................................... 1,000 11,250
*Casella Waste Systems, Inc. Class A.................. 700 9,100
Cash America International, Inc....................... 1,400 14,350
*Casino Data Systems.................................. 1,500 6,633
*Castle & Cooke, Inc.................................. 2,600 48,425
Castle (A.M.) & Co.................................... 1,000 12,437
*Castle Dental Centers, Inc........................... 700 1,706
Castle Energy Corp.................................... 1,000 6,047
*Catalina Lighting, Inc............................... 600 2,400
Cato Corp. Class A.................................... 2,000 24,812
Cavalier Homes, Inc................................... 3,000 4,500
*CB Richard Ellis Services, Inc....................... 2,000 20,125
CBRL Group, Inc....................................... 8,500 122,984
*Celadon Group, Inc................................... 1,000 13,531
*Celebrity, Inc....................................... 125 283
*Celeris Corporation.................................. 433 1,198
Cenit Bancorp, Inc.................................... 300 3,337
*Centigram Communications Corp........................ 700 13,147
*Central Garden & Pet Co.............................. 3,100 35,359
Century Aluminum Co................................... 2,200 22,481
*Century Business Services, Inc....................... 900 2,348
*Ceradyne, Inc........................................ 1,200 9,900
*Cerprobe Corp........................................ 1,000 12,375
*CFM Technologies, Inc................................ 700 5,469
*Champion Enterprises, Inc............................ 3,500 19,906
Champion Industries, Inc.............................. 1,000 2,844
*Champps Entertainment, Inc........................... 900 3,516
*Charming Shoppes, Inc................................ 12,300 72,647
*Chart House Enterprises, Inc......................... 1,700 9,031
*Chase Industries, Inc................................ 1,000 9,250
*Checkers Drive-In Restaurant, Inc.................... 215 460
*Checkpoint System, Inc............................... 4,000 31,750
Chemed Corp........................................... 1,000 30,312
*Chemfab Corp......................................... 1,000 10,000
*Cherry Corp.......................................... 1,000 20,125
Chesapeake Corp....................................... 2,000 65,375
*Chesapeake Energy Corp............................... 7,180 41,285
*Children's Comprehensive Services, Inc............... 1,500 3,375
Chiquita Brands International, Inc.................... 9,666 38,060
*Chromcraft Revington, Inc............................ 600 6,675
*Chronimed, Inc....................................... 1,000 6,562
*CHS Electronics, Inc................................. 6,600 82
CICOR International, Inc.............................. 800 8,450
*CIDCO, Inc........................................... 1,000 3,062
*Ciprico, Inc......................................... 1,000 10,812
*Circuit City Stores, Inc. (Carmax Group)............. 2,600 6,987
*Circuit Systems, Inc................................. 1,300 1,239
*Citadel Holding Corp. Class A........................ 240 750
*Citation Holding Corp. Class B....................... 60 187
*Citizens, Inc. Class A............................... 1,391 8,520
City Holding Co....................................... 1,500 14,906
*Civic Bancorp........................................ 463 6,496
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CKE Restaurants, Inc.................................. 7,600 $ 25,175
*Clean Harbors, Inc................................... 800 1,475
Cleveland Cliffs, Inc................................. 1,100 27,981
*Clintrials Research, Inc............................. 2,800 9,056
CNA Surety Corp....................................... 500 6,250
*CNS, Inc............................................. 2,300 9,200
Coachmen Industries, Inc.............................. 2,000 23,875
*Coast Dental Services, Inc........................... 1,000 2,047
*Coast Distribution System............................ 300 637
Coastal Bancorp, Inc.................................. 1,000 15,062
*Coastcast Corp....................................... 1,000 19,125
*Cobra Electronic Corp................................ 1,000 5,500
*Coeur d'Alene Mines Corp. ID......................... 4,400 10,725
*Cohesion Technologies, Inc........................... 1,100 11,619
*Coho Energy, Inc..................................... 42 168
*Coinmach Laundry Corp................................ 2,000 27,062
Cole National Corp. Class A........................... 1,000 6,312
*Columbia Banking System, Inc......................... 1,540 16,796
Columbus McKinnon Corp................................ 2,000 27,625
*Comdial Corp......................................... 600 5,484
*Comforce Corp........................................ 2,000 4,000
*Comfort Systems USA, Inc............................. 3,500 21,219
*Command Systems, Inc................................. 200 369
Commercial Metals Co.................................. 1,300 34,206
Commonwealth Bancorp, Inc............................. 1,500 17,344
Commonwealth Industries, Inc.......................... 2,100 12,928
Communications Systems, Inc........................... 1,000 13,687
Community Financial Group, Inc........................ 200 2,625
Community Savings Bankshares, Inc..................... 1,400 14,787
Community Trust Bancorp, Inc.......................... 1,100 15,916
*Complete Management, Inc............................. 700 5
*Compucom Systems, Inc................................ 4,500 10,828
*Computer Learning Centers, Inc....................... 1,400 1,356
*Comshare, Inc........................................ 1,000 3,812
*Comstock Resources, Inc.............................. 1,900 14,250
*Condor Technology Solutions, Inc..................... 1,500 633
*Cone Mills Corp. NC.................................. 3,900 22,425
*Congoleum Corp. Class A.............................. 1,000 3,125
*Consolidated Freightways Corp........................ 3,500 15,969
*Consolidated Graphics, Inc........................... 100 1,037
*Consumer Portfolio Services, Inc..................... 1,000 1,047
*ContiFinancial Corp.................................. 3,800 85
*Cooker Restaurant Corp............................... 500 1,187
*CoorsTek, Inc........................................ 700 22,575
*Coram Healthcare Corp................................ 4,200 1,113
*Cornell Corrections, Inc............................. 1,000 7,250
*Correctional Services Corp........................... 1,000 4,406
*Corrpro Companies, Inc............................... 375 1,406
Corus Bankshares, Inc................................. 1,000 24,812
*Cotelligent Group, Inc............................... 1,000 4,562
*Covenant Transport, Inc. Class A..................... 2,000 20,562
*Coventry Health Care, Inc............................ 6,300 74,616
CPAC, Inc............................................. 1,000 6,875
CPB, Inc.............................................. 1,400 32,900
*Craig (Jenny), Inc................................... 1,500 2,156
*Craig Corp........................................... 300 1,219
*Creative Computers, Inc.............................. 1,000 4,625
*Credit Acceptance Corp............................... 4,800 26,700
*Criticare Systems, Inc............................... 600 1,312
*Cross (A.T.) Co. Class A............................. 1,800 11,025
*Crossman Communities, Inc............................ 1,000 17,719
*Crown Central Petroleum Corp. Class A................ 400 3,625
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*Crown Central Petroleum Corp. Class B................ 300 $ 2,719
Crown Crafts, Inc..................................... 700 1,006
*Crown Vantage, Inc................................... 1,300 305
*Crown-Andersen, Inc.................................. 100 462
*CSP, Inc............................................. 266 1,654
*CSS Industries, Inc.................................. 1,000 20,000
*CTB International Corp............................... 1,700 11,077
Cubic Corp............................................ 750 15,000
Culp, Inc............................................. 1,000 6,312
*Curative Health Services, Inc........................ 1,200 6,469
*Cybex International, Inc............................. 1,400 3,762
*Cyrk, Inc............................................ 2,400 13,800
*Cytrx Corp........................................... 700 766
*D A Consulting Group, Inc............................ 200 441
*Dan River, Inc. (GA) Class A......................... 3,400 17,000
*Danielson Holding Corp............................... 1,600 7,600
*Data I/O Corp........................................ 1,500 5,625
*Data Systems & Software, Inc......................... 1,500 6,750
*Data Systems Network Corp............................ 30 37
*Datakey, Inc......................................... 100 425
*DataTRAK International, Inc.......................... 200 1,087
*Datron Systems, Inc.................................. 200 2,319
*Datum, Inc........................................... 300 4,669
*Dave and Busters, Inc................................ 1,400 9,625
*Davel Communications, Inc............................ 329 571
*Daw Technologies, Inc................................ 800 962
*Dawson Geophysical Co................................ 300 2,916
*Daxor Corp........................................... 400 4,900
*Dayton Superior Corp. Class A........................ 1,000 25,500
*Deckers Outdoor Corp................................. 1,000 3,375
*Del Global Technologies Corp......................... 500 4,187
*Delia's, Inc......................................... 1,700 4,250
*Delphi Financial Group, Inc. Class A................. 1,020 34,170
*Delta Financial Corp................................. 1,600 2,800
Delta Woodside Industries, Inc........................ 2,100 4,725
*Denali, Inc.......................................... 1,100 2,320
Designs, Inc.......................................... 1,300 1,991
*Detection Systems, Inc............................... 300 2,962
Detroit Diesel Corp................................... 2,800 44,100
*Devcon International Corp............................ 400 2,675
*Diagnostic Health Services, Inc...................... 400 20
*Diamond Home Services, Inc........................... 500 39
*Digi International, Inc.............................. 2,000 10,312
Dime Community Bancorp, Inc........................... 1,500 24,375
Dimon, Inc............................................ 6,800 15,300
*Discount Auto Parts, Inc............................. 2,500 25,000
*Dixie Group, Inc..................................... 1,000 3,562
*Dollar Thrifty Automotive Group, Inc................. 1,100 19,800
*Dominion Homes, Inc.................................. 800 5,125
Donegal Group, Inc.................................... 1,000 6,953
*Donna Karan International, Inc....................... 1,900 13,419
*Donnkenny, Inc....................................... 350 197
Downey Financial Corp................................. 2,153 64,052
*Dress Barn, Inc...................................... 1,900 40,434
*DRS Technologies, Inc................................ 1,000 11,375
*Drug Emporium, Inc................................... 2,100 2,395
*Drypers Corp......................................... 600 1,078
DT Industries, Inc.................................... 1,300 13,081
*Duckwall-Alco Stores, Inc............................ 1,000 8,625
*Ducommun, Inc........................................ 100 1,119
*Dura Automotive Systems, Inc......................... 1,714 20,407
*Dura Pharmaceuticals, Inc............................ 2,400 28,125
<CAPTION>
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*DVI, Inc............................................. 1,300 $ 18,687
*Dwyer Group, Inc..................................... 1,000 2,500
*Dyersburg Corp....................................... 1,100 224
*Dynamics Research Corp............................... 660 4,661
*E Com Ventures, Inc.................................. 1,000 3,031
*EA Engineering Science & Technology, Inc............. 500 383
Eagle Bancshares, Inc................................. 500 5,844
*Eagle Food Centers, Inc.............................. 1,000 1,031
*Eagle Point Software Corp............................ 300 1,387
Earthgrains Co........................................ 3,200 52,800
Eastern Co............................................ 300 3,862
*ECC International Corp............................... 800 2,400
Ecology & Environment, Inc. Class A................... 200 1,175
Edo Corp.............................................. 300 1,931
*EFTC Corp............................................ 1,300 2,742
*Einstein/Noah Bagel Corp............................. 1,600 119
*El Paso Electric Co.................................. 1,000 11,875
*Elcotel, Inc......................................... 1,700 3,161
*Elder-Beerman Stores Corp............................ 1,000 4,562
*Electro Rent Corp.................................... 1,300 14,137
*Elite Information Group, Inc......................... 1,000 6,375
EMC Insurance Group, Inc.............................. 1,200 9,675
*Emcor Group, Inc..................................... 1,000 22,187
*EMS Technologies, Inc................................ 600 9,694
*Encad, Inc........................................... 1,000 3,500
*Encompass Services Corp.............................. 3,500 20,562
*Encore Wire Corp..................................... 1,000 6,281
Enesco Group, Inc..................................... 2,000 8,000
Engineered Support Systems, Inc....................... 1,000 12,625
Engle Homes, Inc...................................... 2,000 19,187
Enhance Financial Services Group, Inc................. 1,900 26,125
Ennis Business Forms, Inc............................. 1,500 11,062
*Enserch Exploration Corp............................. 5,199 26,645
*Environmental Elements Corp.......................... 600 825
*Equity Oil Co........................................ 2,300 4,708
*Esco Electronics Corp................................ 1,900 33,487
*Esterline Technologies Corp.......................... 3,000 40,875
Ethyl Corp............................................ 8,700 22,294
*Evans & Sutherland Computer Corp..................... 700 5,534
*Exabyte Corp......................................... 1,800 7,594
Exide Corp............................................ 2,100 17,850
*Exponent, Inc........................................ 600 4,706
*Extended Stay America, Inc........................... 2,500 22,500
Ezcorp, Inc. Class A Non-Voting....................... 2,100 4,594
*E-Z-Em, Inc. Class A................................. 300 2,062
*E-Z-Em, Inc. Class B................................. 27 174
Fab Industries, Inc................................... 500 5,000
*Fairchild Corp. Class A.............................. 3,113 14,787
Falcon Products, Inc.................................. 1,000 9,875
*Family Golf Centers, Inc............................. 2,400 750
*Fansteel, Inc........................................ 700 2,800
*Farm Family Holdings, Inc............................ 1,000 27,000
Farrel Corp........................................... 700 1,137
FBL Financial Group, Inc. Class A..................... 2,500 36,562
*Featherlite Manufacturing, Inc....................... 1,000 3,469
FFY Financial Corp.................................... 1,000 11,062
*Fibermark, Inc....................................... 1,000 10,437
Fidelity National Corp................................ 500 3,109
*Finish Line, Inc. Class A............................ 2,500 17,344
*Finishmaster, Inc.................................... 500 2,719
Finova Group, Inc..................................... 3,600 42,975
</TABLE>
4
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<TABLE>
<CAPTION>
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<S> <C> <C>
First Bell Bancorp, Inc............................... 500 $ 7,141
*First Cash, Inc...................................... 1,300 5,484
First Charter Corp.................................... 600 9,581
First Citizens Bancshares, Inc. NC.................... 1,200 72,375
First Defiance Financial Corp......................... 700 5,797
First Essex Bancorp................................... 500 8,234
First Federal Bancshares of Arkansas, Inc............. 200 3,025
First Indiana Corp.................................... 1,600 27,950
*First Investors Financial Services Group, Inc........ 500 2,359
First Keystone Financial, Inc......................... 100 1,012
First Niagara Financial Group, Inc.................... 2,800 25,637
First Northern Capital Corp........................... 800 10,675
*First Republic Bank.................................. 600 10,125
First Savings Bancorp, Inc. North Carolina............ 200 3,600
First Sentinel Bancorp, Inc........................... 2,400 18,712
*First Team Sports, Inc............................... 500 1,070
First Washington Bancorp, Inc......................... 1,430 20,690
Firstfed America Bancorp, Inc......................... 1,000 11,625
*FirstFed Financial Corp. DE.......................... 1,800 24,187
Firstspartan Financial Corp........................... 200 3,500
*Firstwave Technologies, Inc.......................... 300 1,064
*Fischer Imaging Corp................................. 1,000 2,687
Flag Financial Corp................................... 800 4,225
Flagstar Bancorp, Inc................................. 500 4,703
*Flander Corp......................................... 2,800 9,975
Fleetwood Enterprises, Inc............................ 3,400 48,450
Fleming Companies, Inc................................ 3,100 43,594
Flexsteel Industries, Inc............................. 600 7,744
*Flooring America, Inc................................ 1,900 5,225
*Florsheim Group, Inc................................. 1,400 3,456
Flushing Financial Corp............................... 600 8,662
*Foilmark, Inc........................................ 1,000 3,844
*Foodarama Supermarkets, Inc.......................... 100 2,700
*Foster (L.B.) Co. Class A............................ 1,800 6,019
Foster Wheeler Corp................................... 6,100 51,469
*FPIC Insurance Group, Inc............................ 700 9,034
*Franklin Covey Co.................................... 3,400 26,350
*Franklin Electronic Publishers, Inc.................. 500 3,250
Freds, Inc. Class A................................... 2,250 38,531
Fremont General Corp.................................. 10,200 44,625
*French Fragrances, Inc............................... 1,800 13,837
Frequency Electronics, Inc............................ 1,000 17,000
*Fresh Choice, Inc.................................... 500 1,805
*Fresh Foods, Inc..................................... 1,000 2,937
*Friede Goldman International......................... 627 5,290
*Friedman Billings Ramsey Group, Inc. Class A......... 1,000 6,375
Friedman Industries, Inc.............................. 636 2,068
Friedmans, Inc. Class A............................... 2,000 12,062
Frisch's Restaurants, Inc............................. 648 6,318
*Fritz Companies, Inc................................. 4,000 41,625
Frontier Insurance Group, Inc......................... 4,400 5,225
Frozen Food Express Industries, Inc................... 2,400 6,075
*FSI International, Inc............................... 2,400 34,575
*FTI Consulting, Inc.................................. 1,000 9,375
GA Financial, Inc..................................... 200 2,350
*Gadzooks, Inc........................................ 800 11,400
Gainsco, Inc.......................................... 3,100 16,275
*Galey & Lord, Inc.................................... 1,300 3,169
*GameTech International, Inc.......................... 600 3,825
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Garan, Inc............................................ 400 $ 8,200
*Garden Fresh Restaurant Corp......................... 700 7,612
*Gart Sports Co....................................... 123 700
*GC Companies, Inc.................................... 300 7,931
*Gehl Co.............................................. 500 8,953
Gencorp, Inc.......................................... 5,000 49,062
General Binding Corp.................................. 1,000 7,500
General Cable Corp.................................... 1,000 8,312
*General Chemical Group, Inc.......................... 2,500 2,422
*General Communications, Inc. Class A................. 5,000 24,062
*Genesis Health Ventures, Inc......................... 4,400 1,650
Genesis Worldwide, Inc................................ 300 300
*Geneva Steel Co. Class A............................. 800 300
*Genicom Corp......................................... 700 80
*Genlyte Group, Inc................................... 1,100 22,378
*Gensym Corp.......................................... 500 1,820
*Gentiva Health Services.............................. 1,925 16,784
*Gerber Childrenswear, Inc............................ 1,000 5,250
Gerber Scientific, Inc................................ 400 4,800
*Getty Petroleum Marketing, Inc....................... 900 3,262
*Giant Group, Ltd..................................... 400 256
*Giant Industries, Inc................................ 1,000 8,812
*Gibraltar Packaging Group, Inc....................... 900 816
Gibraltar Steel Corp.................................. 1,500 23,766
*G-III Apparel Group, Ltd............................. 600 2,775
*Gish Biomedical, Inc................................. 1,000 2,156
Glatfelter (P.H.) Co.................................. 4,700 55,519
*Global Sources, Ltd.................................. 147 4,056
*Global Vacation Group, Inc........................... 1,100 2,819
*Globe Business Resources, Inc........................ 1,000 12,781
*Good Guys, Inc....................................... 1,200 3,225
*Goodys Family Clothing............................... 3,000 16,406
Gorman-Rupp Co........................................ 1,000 17,437
*Gottschalks, Inc..................................... 1,400 7,087
*Government Technology Services, Inc.................. 1,600 4,850
*GP Strategies Corp................................... 500 1,906
*Gradco Systems, Inc.................................. 700 1,302
*Graham-Field Health Products, Inc.................... 2,730 519
*Grand Union Co....................................... 300 253
Granite State Bankshares, Inc......................... 300 4,950
*Graphic Packaging International Corp................. 2,800 9,625
Gray Communications Systems, Inc...................... 1,000 11,312
Greenbrier Companies, Inc............................. 1,300 9,912
*Griffon Corp......................................... 2,800 16,975
Guaranty Federal Bancshares, Inc...................... 100 997
*Guest Supply, Inc.................................... 500 8,781
Guilford Mills, Inc................................... 1,800 11,812
*Gulf Island Fabrication, Inc......................... 1,500 26,016
*Gulfmark Offshore, Inc............................... 1,000 21,562
*Gundle/SLT Environmental, Inc........................ 1,600 5,000
*Gymboree Corp........................................ 3,700 10,348
*GZA Geoenvironmental Technologies, Inc............... 300 1,837
Haggar Corp........................................... 600 6,956
*Hagler Bailly, Inc................................... 2,000 3,625
*Hampton Industries, Inc.............................. 484 907
Hancock Fabrics, Inc.................................. 2,100 9,844
Hancock Holding Co.................................... 1,000 31,750
*Hanger Orthopedic Group, Inc......................... 2,000 9,625
Harbor Florida Bancshares, Inc........................ 2,800 29,662
</TABLE>
5
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CONTINUED
<TABLE>
<CAPTION>
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*Harding Lawson Associates Group, Inc................. 400 $ 4,537
Hardinge Brothers, Inc................................ 1,000 9,656
Harleysville Group, Inc............................... 4,400 74,525
*Harnischfeger Industries, Inc........................ 3,700 1,628
*Harry's Farmers Market, Inc. Class A................. 500 562
*Hartmarx Corp........................................ 2,800 6,300
*Harvey Entertainment Co.............................. 400 1,225
*Hastings Entertainment, Inc.......................... 1,100 1,461
*Hathaway Corp........................................ 400 1,425
*Hauser, Inc.......................................... 275 378
Haven Bancorp, Inc.................................... 1,000 17,937
Haverty Furniture Co., Inc............................ 3,400 38,250
*Hawaiian Airlines, Inc............................... 3,200 8,000
*Hawk Corp............................................ 2,300 15,669
*Hawker Pacific Aerospace............................. 300 1,687
*Hawthorne Financial Corp............................. 700 5,687
HCC Insurance Holdings, Inc........................... 1,000 17,062
*Health Management Systems, Inc....................... 2,600 10,766
*Health Risk Management, Inc.......................... 800 4,650
*Healthcare Recoveries, Inc........................... 1,000 3,484
*Healthcare Services Group, Inc....................... 2,250 10,125
*Healthcor Holdings................................... 500 17
Healthplan Services Corp.............................. 1,600 3,900
Heico Corp............................................ 1,000 13,125
Heilig-Meyers Co...................................... 9,150 15,441
*Hello Direct, Inc.................................... 300 3,731
*Hexcel Corp.......................................... 4,500 34,875
HF Financial Corp..................................... 300 2,597
*High Plains Corp..................................... 1,600 3,600
*Highlands Insurance Group, Inc....................... 2,500 18,125
*Hirsch International Corp. Class A................... 1,000 1,406
*Hi-Tech Pharmacal, Inc............................... 200 778
HMN Financial, Inc.................................... 750 8,484
*HMT Technology Corp.................................. 6,900 11,859
*Hoenig Group, Inc.................................... 500 4,641
Holly Corp............................................ 500 5,000
*Hollywood Casino Corp. Class A....................... 800 4,050
*Hollywood Entertainment Corp......................... 2,600 17,916
*Hologic, Inc......................................... 2,000 11,500
Home Port Bancorp, Inc................................ 200 4,850
*Home Products International, Inc..................... 1,000 4,312
*Homebase, Inc........................................ 5,400 10,125
*Homestead Village, Inc............................... 5,800 23,562
Horizon Financial Corp................................ 1,230 11,493
*Horizon Health Corp.................................. 500 3,031
*Horizon Offshore, Inc................................ 1,600 18,050
*Hotelworks.com, Inc.................................. 1,000 375
*Hovnanian Enterprises, Inc. Class A.................. 1,300 7,150
*Hub Group, Inc. Class A.............................. 1,000 12,656
Hudson River Bancorp, Inc............................. 2,000 19,562
Huffy Corp............................................ 1,800 5,850
Hughes Supply, Inc.................................... 1,450 27,550
Hunt (J.B.) Transport Services, Inc................... 4,400 71,087
Hunt Corp............................................. 1,000 10,062
*Huntco, Inc. Class A................................. 300 919
*Hurco Companies, Inc................................. 1,000 4,375
*Hutchinson Technology, Inc........................... 2,600 30,631
*Hvide Marine, Inc. Class A........................... 500 0
Iberiabank Corp....................................... 1,100 16,431
*Ico, Inc............................................. 1,800 2,953
*IEC Electronics Corp................................. 1,300 2,478
*IFR Systems, Inc..................................... 1,000 5,719
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*IHOP Corp............................................ 1,600 $ 28,200
*IMC Mortgage Co...................................... 2,800 120
IMCO Recycling, Inc................................... 2,500 16,719
Immulogic Pharmaceutical Corp......................... 1,500 628
*Imperial Credit Industries, Inc...................... 5,000 17,500
Imperial Sugar Co..................................... 5,200 7,150
*Inacom Corp.......................................... 6,800 1,156
Independent Bank East................................. 420 5,486
*Industrial Distribution Group, Inc................... 500 1,187
*Industrial Holdings, Inc............................. 1,000 1,156
*Inference Corp. Class A.............................. 1,500 9,281
*Infonautics Corp. Class A............................ 500 2,047
*Information Management Associates, Inc............... 600 2,625
*Information Resources, Inc........................... 3,200 15,900
Ingles Market, Inc. Class A........................... 800 7,900
*Innotrac Corp........................................ 1,200 5,925
*Innovative Clinical Solutions, Ltd................... 1,600 280
Innovex, Inc.......................................... 2,000 17,187
*Input/Output, Inc.................................... 5,600 44,100
*Insignia Financial Group, Inc........................ 1,900 21,494
*Inso Corp............................................ 1,000 3,531
*Inspire Insurance Solutions, Inc..................... 2,100 7,284
Insteel Industries, Inc............................... 700 4,025
*Insurance Auto Auctions, Inc......................... 2,000 38,812
*Integra, Inc......................................... 1,200 750
*Integrated Electrical Services, Inc.................. 4,600 22,712
Intelligent Systems Corp.............................. 500 2,125
*Inter Parfums, Inc................................... 500 5,875
Interface, Inc. Class A............................... 5,200 22,750
*Intergraph Corp...................................... 5,300 29,647
*Interlinq Software Corp.............................. 1,000 2,812
*Intermagnetics General Corp.......................... 1,020 11,602
Intermet Corp......................................... 2,200 15,159
International Aluminum Corp........................... 500 7,281
International Multifoods Corp......................... 2,800 39,025
*International Remote Imaging Systems, Inc............ 100 144
International Shipholding Corp........................ 400 3,050
*International Speciality Products, Inc............... 9,300 50,569
*International Total Services, Inc.................... 400 400
Interpool, Inc........................................ 13,950 111,600
*Interstate National Dealers Services, Inc............ 1,000 5,437
*Intevac, Inc......................................... 1,000 3,125
*Invision Technologies, Inc........................... 1,100 4,434
*Ionics, Inc.......................................... 1,100 31,625
*IRI International Corp............................... 3,400 30,387
*Isco, Inc............................................ 200 897
*Isolyser Co., Inc.................................... 4,100 14,478
*IT Group, Inc ....................................... 3,400 19,762
*ITEQ, Inc............................................ 3,044 1,712
*ITLA Capital Corp.................................... 1,000 13,062
*Itron, Inc........................................... 2,000 9,312
*IVI Checkmate Corp................................... 1,400 4,112
*Iwerks Entertainment, Inc............................ 542 500
*J & J Snack Foods Corp............................... 1,800 26,831
*J. Alexander's Corp.................................. 300 1,163
*J. Jill Group, Inc................................... 1,000 6,156
*Jackpot Enterprises, Inc............................. 700 8,094
*Jaclyn, Inc.......................................... 200 400
*Jaco Electronics, Inc................................ 300 4,884
*Jacobson Stores, Inc................................. 500 2,813
</TABLE>
6
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Jan Bell Marketing, Inc.............................. 3,400 $ 7,438
*Jason, Inc........................................... 1,700 17,106
Jefferson Savings Bancorp, Inc........................ 1,000 10,906
*JLK Direct Distribution, Inc. Class A................ 1,000 6,938
*JLM Industries, Inc.................................. 1,000 3,781
*Johnson Outdoors, Inc................................ 1,500 13,266
*JPM Co............................................... 1,000 5,156
*JPS Industries, Inc.................................. 1,000 3,734
*Jps Packaging Company................................ 500 1,406
*Jumbosports, Inc..................................... 1,700 14
Justin Industries, Inc................................ 3,300 57,544
K Swiss, Inc. Class A................................. 600 7,894
*K2, Inc.............................................. 2,700 19,069
*Kaiser Aluminum Corp................................. 8,000 35,500
*Kaiser Group International, Inc...................... 1,800 253
*Kaiser Ventures, Inc................................. 1,600 20,700
Kaman Corp. Class A................................... 1,800 17,944
*Kasper A.S.L., Ltd................................... 1,000 2,578
Katy Industries, Inc.................................. 800 7,750
*KCS Energy, Inc...................................... 3,100 3,488
*Kellstrom Industries, Inc............................ 1,000 5,031
Kellwood Co........................................... 2,900 48,938
*Kendle International, Inc............................ 900 5,681
*Kevco, Inc........................................... 1,000 1,594
*Key Energy Group, Inc................................ 4,800 52,200
*Key Production Co., Inc.............................. 800 12,850
*Key Technology, Inc.................................. 500 4,328
*Key Tronic Corp...................................... 1,000 2,719
*Keystone Automotive Industries, Inc.................. 2,000 14,656
*Keystone Consolidated Industries, Inc................ 598 2,317
*kforce.com, Inc...................................... 1,500 19,266
Kimball International, Inc. Class B................... 200 3,231
*Kimmins Corp......................................... 300 94
*Kinark Corp.......................................... 100 131
*Kinnard Investment, Inc.............................. 300 2,381
*Kitty Hawk, Inc...................................... 2,000 935
Klamath First Bancorp, Inc............................ 1,300 14,544
*KLLM Transport Services, Inc......................... 500 3,984
Knape & Vogt Manufacturing Co......................... 550 8,336
*Komag, Inc........................................... 6,700 14,028
*Koss Corp............................................ 1,000 16,719
*Kushner-Locke Co..................................... 700 1,378
*KVH Industries, Inc.................................. 500 2,609
LabOne, Inc........................................... 450 2,320
*Laboratory Corp. of America Holdings, Inc............ 150 10,781
*Laclede Steel Co..................................... 200 81
*Ladish Co., Inc...................................... 1,500 13,078
*Lakes Gaming, Inc.................................... 1,825 14,999
*Lamson & Sessions Co................................. 1,500 12,000
*Lancer Corp.......................................... 1,300 4,713
*Landair Corp......................................... 300 1,228
Landamerica Financial Group, Inc...................... 800 14,750
Landrys Seafood Restaurants, Inc...................... 3,300 25,781
*Layne Christensen Co................................. 1,000 4,438
*Lazare Kaplan International, Inc..................... 1,000 8,750
*Leapnet, Inc......................................... 1,302 4,170
*Lechters, Inc........................................ 2,200 3,369
Lennox International, Inc............................. 1,005 11,809
Lesco, Inc............................................ 500 7,781
*Liberty Corp......................................... 700 24,588
Lifetime Hoan Corp.................................... 1,100 9,144
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Lillian Vernon Corp................................... 800 $ 7,800
Lindberg Corp......................................... 400 3,150
*LMI Aerospace, Inc................................... 300 853
LNR Property Corp..................................... 2,300 44,563
*Lodgian, Inc......................................... 1,200 2,700
*Loehmanns, Inc....................................... 200 15
*Loews Cineplex Entertainment Corp.................... 5,900 15,488
*Logic Devices, Inc................................... 100 234
Lone Star Steakhouse Saloon........................... 5,300 56,147
Longs Drug Stores Corp................................ 600 12,113
Longview Fibre Co..................................... 2,800 33,600
LTV Corp.............................................. 12,800 33,600
Luby's Cafeterias, Inc................................ 2,100 18,506
Lufkin Industries, Inc................................ 600 10,163
*Lumisy, Inc.......................................... 1,100 2,716
*Lunar Corp........................................... 500 5,531
*Lydall, Inc.......................................... 2,000 20,875
M.A. Hanna Co......................................... 5,100 59,606
*M.H. Meyerson & Co., Inc............................. 200 744
*Mac-Gray Corp........................................ 1,200 3,675
*Magellan Health Services, Inc........................ 3,700 7,863
*Magnetek, Inc........................................ 3,500 29,531
*Magnum Hunter Resources, Inc......................... 1,500 8,063
*Main Street & Main, Inc.............................. 1,000 3,313
Main Street Bancorp, Inc.............................. 1,000 8,422
*Manchester Equipment Co., Inc........................ 1,000 4,375
Marcus Corp........................................... 1,500 16,406
*Marine Transport Corp................................ 1,360 3,570
*Mariner Post-Acute Network, Inc...................... 2,400 240
*Marisa Christina, Inc................................ 600 1,013
Maritrans, Inc........................................ 1,000 5,938
*MarkWest Hydrocarbon, Inc............................ 300 2,513
*Marlton Technologies, Inc............................ 200 250
Marsh Supermarkets, Inc. Class A...................... 300 4,875
Marsh Supermarkets, Inc. Class B...................... 400 4,125
*Material Sciences Corp............................... 1,800 19,350
*Matlack Systems, Inc................................. 200 613
*Matrix Service Co.................................... 1,800 8,775
*Maxco, Inc........................................... 700 5,469
*Maxicare Health Plans, Inc........................... 1,500 2,438
*Maxwell Shoe Company, Inc............................ 1,400 10,631
*Maxwell Technologies, Inc............................ 1,000 14,063
*Maxxam, Inc.......................................... 1,000 25,500
*Mazel Stores, Inc.................................... 1,000 8,750
*MB Financial, Inc.................................... 300 3,328
McGrath Rent Corp..................................... 500 7,844
*McNaughton Apparel Group, Inc........................ 800 7,625
*McWhorter Technologies, Inc.......................... 1,100 21,519
MDC Holdings, Inc..................................... 2,400 46,350
Meadowbrook Insurance Group, Inc...................... 1,500 8,063
Medford Bancorp, Inc.................................. 600 8,963
*Medialink Worldwide, Inc............................. 500 3,594
*Medical Alliance, Inc................................ 400 1,550
*Medical Assurance, Inc............................... 725 8,247
*Medical Resources, Inc............................... 600 35
*Medicore, Inc........................................ 500 1,016
*Medstone International, Inc.......................... 300 1,603
*Mercury Air Group, Inc............................... 400 1,900
Meridian Insurance Group, Inc......................... 726 9,801
*Merisel, Inc......................................... 2,500 1,992
*MeriStar Hotels & Resorts, Inc....................... 1,900 5,463
*Merix Corp........................................... 500 13,766
*Metal Management, Inc................................ 4,300 5,845
</TABLE>
7
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Metals USA, Inc....................................... 3,100 $ 16,275
*Metatec Corp. Class A................................ 1,100 3,025
*Metromedia International Group, Inc.................. 6,600 28,463
MI Schottenstein Homes, Inc........................... 800 13,600
*Michael Anthony Jewelers, Inc........................ 500 1,250
Michael Foods, Inc.................................... 1,700 38,941
*Micro Linear Corp.................................... 1,000 5,281
*Microage, Inc........................................ 2,200 1,045
*Microcide Pharmaceuticals, Inc....................... 400 2,988
*Microtouch Systems, Inc.............................. 1,000 8,844
Mid America Banccorp.................................. 925 21,622
Midcoast Energy Resources, Inc........................ 1,000 16,000
*Middleby Corp........................................ 500 3,344
*Midway Airlines Corp................................. 500 2,969
*Midwest Grain Products, Inc.......................... 600 4,219
Mikasa, Inc........................................... 1,200 11,550
Milacron, Inc......................................... 1,500 23,719
*Miller Industries, Inc............................... 7,000 16,188
*Miltope Group, Inc................................... 500 1,008
*MIM Corp............................................. 900 1,659
Mine Safety Appliances Co............................. 1,500 34,875
Minntech Corp......................................... 1,000 7,375
*Minolta-QMS, Inc..................................... 264 875
Mississippi Chemical Corp............................. 3,900 22,669
*Mitcham Industries, Inc.............................. 1,000 5,891
*Mobile America Corp.................................. 100 263
*Modtech Holdings, Inc................................ 1,000 10,781
*Monarch Casino and Resort, Inc....................... 500 2,375
*Monarch Dental Corp.................................. 500 1,445
*Monro Muffler Brake, Inc............................. 630 5,257
*Moog, Inc. Class A................................... 500 10,688
*Moore Medical Corp................................... 100 875
*Morrison Knudsen Corp................................ 5,500 42,625
*Mother's Work, Inc................................... 200 2,113
*Motor Car Parts & Accessories, Inc................... 200 204
Movado Group, Inc..................................... 937 8,975
*Movie Gallery, Inc................................... 2,100 7,022
*MS Carriers, Inc..................................... 2,100 40,491
MTS Systems Corp...................................... 1,600 11,625
*Multiple Zones International, Inc.................... 500 2,102
*N & F Worldwide Corp................................. 1,500 7,688
*NABI, Inc............................................ 100 580
Nacco Industries, Inc. Class A........................ 800 30,200
*NAHC, Inc............................................ 5,600 756
*Napco Security Systems, Inc.......................... 500 1,906
Nash Finch Co......................................... 900 7,003
Nashua Corp........................................... 500 4,125
*Nastech Pharmaceutical Co., Inc...................... 1,000 3,922
*Nathans Famous, Inc.................................. 1,400 4,113
National City Bancorp................................. 798 11,571
*National Equipment Services, Inc..................... 2,500 14,219
*National Home Centers, Inc........................... 500 852
*National Home Health Care Corp....................... 206 850
National Presto Industries, Inc....................... 800 24,850
*National Processing, Inc............................. 600 7,013
*National Research Corp............................... 300 1,641
*National RV Holdings, Inc............................ 300 3,394
National Steel Corp. Class B.......................... 2,800 14,700
National Technical Systems, Inc....................... 1,100 3,438
*National Techteam, Inc............................... 1,200 4,013
*NationsRent, Inc..................................... 2,500 9,219
*Natrol, Inc.......................................... 500 2,102
*Natural Alternatives International, Inc.............. 200 316
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Natural Wonders, Inc................................. 700 $ 788
*Navigators Group, Inc................................ 1,100 9,694
NBT Bancorp........................................... 1,187 11,870
NCH Corp.............................................. 200 8,000
*NCI Building Systems, Inc............................ 1,900 32,419
*NCS Healthcare, Inc.................................. 1,600 1,450
Nelson (Thomas), Inc.................................. 1,300 9,181
*Network Computing Devices, Inc....................... 1,300 2,072
*Network Equipment Technologies, Inc.................. 3,200 34,200
*New Brunswick Scientific Co., Inc.................... 459 2,410
*New Century Financial Corp........................... 1,000 9,219
*New Day Runner, Inc.................................. 200 328
*New Horizons Worldwide, Inc.......................... 750 13,078
*Newmark Homes Corp................................... 1,000 5,938
Newmil Bancorp, Inc................................... 200 2,025
*Newpark Resources, Inc............................... 400 3,350
*Nexell Therapeutics, Inc............................. 38 131
*Nexthealth, Inc...................................... 700 1,969
*Niagara Corp......................................... 1,200 5,175
*NMT Medical, Inc..................................... 1,200 4,556
*Nobel Learning Communities, Inc...................... 200 1,444
*Noodle Kidoodle, Inc................................. 1,700 5,100
*Nord Resources Corp.................................. 1,900 304
*Norstan, Inc......................................... 1,600 7,900
*Nortek, Inc.......................................... 1,000 21,438
Northland Cranberries, Inc. Class A................... 3,000 11,906
Northwest Bancorp, Inc................................ 2,400 18,225
*Northwest Pipe Co.................................... 500 6,734
*Northwestern Steel & Wire Co......................... 3,900 1,280
*Novametrix Medical Systems, Inc...................... 1,000 6,266
*NS Group, Inc........................................ 2,200 40,288
*Nu Horizons Electronics Corp......................... 1,155 19,996
*Nuevo Energy Co...................................... 1,400 27,038
*Nutraceutical International Corp..................... 1,000 3,609
Nymagic, Inc.......................................... 1,000 14,063
*O.I. Corp............................................ 400 1,556
Oakwood Homes Corp.................................... 7,500 21,563
*Oceaneering International, Inc....................... 500 9,750
OceanFirst Financial Corp............................. 1,600 27,300
*O'Charleys, Inc...................................... 500 7,016
*Ocwen Financial Corp................................. 5,600 32,200
*Officemax, Inc....................................... 7,200 39,150
*Offshore Logistics, Inc.............................. 2,800 39,288
Ogden Corp............................................ 7,700 66,413
Oglebay Norton Co..................................... 400 8,350
Oil-Dri Corp. of America.............................. 100 969
*Old Dominion Freight Lines, Inc...................... 1,000 9,125
*Olympic Steel, Inc................................... 1,700 7,384
*Omega Protein Corp................................... 2,500 7,031
*Omega Worldwide, Inc................................. 1,100 4,538
*OMNI Energy Services Corp............................ 200 144
*Omtool, Ltd.......................................... 500 906
*One Price Clothing Stores, Inc....................... 1,900 4,513
*Ontrack Data International, Inc...................... 1,000 7,406
*Onyx Acceptance Corp................................. 700 2,888
*Opinion Research Corp................................ 200 1,250
*Opta Food Ingredients, Inc........................... 1,300 2,945
*Opti, Inc............................................ 1,200 4,800
*Orbital Sciences Corp................................ 300 3,675
Oregon Steel Mills, Inc............................... 3,900 8,531
*Oroamerica, Inc...................................... 700 5,097
*Orthologic Corp...................................... 2,000 9,250
</TABLE>
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<TABLE>
<CAPTION>
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*Oshman's Sporting Goods, Inc......................... 500 $ 1,563
*OSI Systems, Inc..................................... 1,100 6,566
*Osmonics, Inc........................................ 1,400 12,600
*Ostex International, Inc............................. 2,000 3,938
*Outlook Group Corp................................... 400 2,225
*Outsource International, Inc......................... 300 356
*Overland Data........................................ 1,000 8,156
Overseas Shipholding Group, Inc....................... 5,900 136,806
Owosso Corp........................................... 200 419
Oxford Industries, Inc................................ 700 10,806
*Pancho's Mexican Buffet, Inc......................... 133 478
*Panera Bread CO...................................... 600 5,100
*Par Technology Corp.................................. 1,000 3,813
*Paragon Trade Brands, Inc............................ 8 73
*Paragon Trade Brands, Inc............................ 500 0
Park Electrochemical Corp............................. 1,300 32,581
*Parker Drilling Co................................... 8,700 52,744
*Park-Ohio Holdings Corp.............................. 1,700 14,344
*Parlux Fragrances, Inc............................... 2,400 7,275
Patina Oil & Gas Corp................................. 1,000 17,313
Patrick Industries, Inc............................... 1,000 6,563
*Paul Harris Stores, Inc.............................. 1,500 4,031
Paula Financial, Inc.................................. 300 806
*Paxar Corp........................................... 4,200 42,263
*Payless Cashways, Inc................................ 34 55
*PBOC Holdings, Inc................................... 1,800 16,425
*PC Service Source, Inc............................... 1,000 1,125
*PCD, Inc............................................. 500 2,188
*Pediatric Services of America, Inc................... 1,000 2,016
*Pediatrix Medical Group, Inc......................... 1,500 10,688
*Peerless Systems Corp................................ 700 1,663
Penford Corp.......................................... 400 7,188
*Penn Traffic Company................................. 2 11
*Penn Treaty American Corp............................ 600 11,813
Penn Virginia Corp.................................... 400 8,925
Penn-America Group, Inc............................... 500 4,594
Pennfed Financial Services, Inc....................... 1,000 13,375
*Pentacon, Inc........................................ 1,000 1,844
Pep Boys - Manny, Moe & Jack.......................... 6,600 47,025
*Perceptron, Inc...................................... 1,200 4,763
*Perini Corp.......................................... 400 1,150
*Perrigo Co........................................... 1,500 9,141
*Perry Ellis International, Inc....................... 1,000 9,734
*Personnel Group of America, Inc...................... 4,300 17,200
*Petco Animal Supplies, Inc........................... 1,500 28,453
*Petrocorp, Inc....................................... 1,700 12,006
*Petroleum Development Corp........................... 1,900 10,153
PFF Bancorp, Inc...................................... 1,300 18,119
*Pharmchem Laboratories, Inc.......................... 500 1,359
*Phar-Mor, Inc........................................ 2,100 3,544
*Philadelphia Consolidated Holding Corp............... 1,200 20,288
*Phillips (R.H.), Inc................................. 1,000 2,781
Phillips-Van Heusen Corp.............................. 4,100 35,619
*Phoenix International, Ltd........................... 300 577
Phoenix Investment Partners, Ltd...................... 2,800 23,450
*Phycor, Inc.......................................... 7,300 3,536
Piccadilly Cafeterias, Inc............................ 900 2,588
*Pico Holdings, Inc................................... 1,780 19,191
*Picturetel Corp...................................... 3,800 11,697
*Piercing Pagoda, Inc................................. 1,400 19,950
Pilgrim Pride Corp.................................... 1,600 12,800
Pillowtex Corp........................................ 1,100 5,225
<CAPTION>
SHARES VALUE+
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Pinnacle Bancshares, Inc.............................. 200 $ 1,825
*Pinnacle Entertainment, Inc.......................... 2,000 38,125
Pioneer Standard Electronics, Inc..................... 2,300 27,528
Pitt-Des Moines, Inc.................................. 1,000 23,250
Pittston Brink's Group................................ 1,551 23,556
*Planar Systems, Inc.................................. 1,800 17,381
*Play By Play Toys and Novelties, Inc................. 1,000 1,703
*PLM International, Inc............................... 1,000 7,438
*Pluma, Inc........................................... 200 3
PMR Corp.............................................. 1,100 3,816
Pocahontas Bancorp, Inc............................... 1,100 6,531
*Policy Management Systems Corp....................... 1,900 19,356
Polymer Group, Inc.................................... 2,400 17,550
*Pomeroy Computer Resource, Inc....................... 1,000 14,656
Pope & Talbot, Inc.................................... 1,100 20,419
*PPT Vision, Inc...................................... 300 1,388
Presidential Life Corp................................ 2,900 42,684
*Previo, Inc.......................................... 25 141
*Pricesmart, Inc...................................... 450 16,144
*Primark Corp......................................... 3,100 80,600
*Prime Hospitality Corp............................... 3,900 33,638
*Prime Medical Services, Inc.......................... 1,500 11,766
Primesource Corp...................................... 500 2,633
*Procyte Corp......................................... 1,100 1,255
Professional Bancorp, Inc............................. 200 700
*Professionals Group, Inc............................. 900 14,934
*Programmers Paradise, Inc............................ 400 1,363
*ProMedCo Management Company.......................... 3,400 3,984
*Protection One, Inc.................................. 12,300 23,063
*Protocol Systems, Inc................................ 1,400 21,744
*Provant, Inc......................................... 1,700 6,428
*PTEK Holdings, Inc................................... 5,600 19,250
Pulte Corp............................................ 2,200 48,813
*Pure Resources, Inc.................................. 1,462 21,930
*Pure World, Inc...................................... 520 1,609
PXRE Group, Ltd....................................... 1,511 22,476
Pyramid Breweries, Inc................................ 300 581
*Quad Systems Corp.................................... 1,200 1,856
Quaker Chemical Corp.................................. 500 8,281
*Quaker City Bancorp, Inc............................. 625 8,984
*Quaker Fabric Corp................................... 2,350 12,852
*Quality Dining, Inc.................................. 1,400 4,594
Quality Systems, Inc.................................. 1,000 7,219
Quanex Corp........................................... 1,600 23,400
*Quest Diagnostics, Inc............................... 1,700 113,688
*Quigley Corp......................................... 1,000 1,719
*Quintel Entertainment, Inc........................... 1,000 2,359
*Quorum Health Group, Inc............................. 11,000 106,391
*R & B, Inc........................................... 1,100 2,888
*Racing Champions Corp................................ 2,000 3,281
*Rag Shops, Inc....................................... 210 459
*Railamerica, Inc..................................... 1,466 7,742
*RailWorks Corp....................................... 1,000 9,313
*Rainforest Cafe, Inc................................. 3,800 11,281
*Ramsay Youth Services, Inc........................... 233 328
Range Resources Corp.................................. 4,000 11,250
*Rare Hospitality International, Inc.................. 800 22,100
Raven Industries, Inc................................. 1,000 13,625
*Raytel Med Corp...................................... 1,000 2,500
*RCM Technologies, Inc................................ 500 4,016
*RDO Equipment Co. Class A............................ 1,200 6,750
*Reading Entertainment, Inc........................... 400 2,075
*Recoton Corp......................................... 800 6,625
</TABLE>
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<TABLE>
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*Redhook Ale Brewery, Inc............................. 1,000 $ 1,734
Redwood Empire Bancorp................................ 200 3,813
*Reebok International, Ltd............................ 5,700 79,088
*Refac................................................ 300 956
*Reliability, Inc..................................... 500 2,031
Reliance Group Holdings, Inc.......................... 18,300 42,319
*Relm Wireless Corp................................... 400 988
*Remington Oil & Gas Corp............................. 2,700 17,634
*Renaissance Worldwide, Inc........................... 4,900 10,872
*Rentrak Corp......................................... 100 356
*Rent-Way, Inc........................................ 600 16,013
*Reptron Electronics, Inc............................. 1,000 10,188
*Republic Bankshares, Inc............................. 1,000 9,813
*Republic First Bancorp, Inc.......................... 300 1,322
Republic Group, Inc................................... 1,000 9,250
Republic Security Financial Corp...................... 500 2,055
*Research Partners International, Inc................. 300 459
*ResortQuest International, Inc....................... 2,800 13,300
Resource America, Inc................................. 3,500 24,172
Resource Bancshares Mortgage Group, Inc............... 3,030 14,582
*Response Oncology, Inc............................... 873 846
*RF Monolithics, Inc.................................. 1,000 9,094
Richardson Electronics, Ltd........................... 1,600 19,650
*Riddell Sports, Inc.................................. 1,700 5,313
Riggs National Corp................................... 4,200 61,163
*Right Management Consultants, Inc.................... 300 3,075
*Rightchoice Managed Care, Inc. Class A............... 300 4,200
Riverview Bancorp, Inc................................ 300 2,653
RLI Corp.............................................. 1,750 63,656
*RMH Teleservices, Inc................................ 200 1,250
*Roadhouse Grill, Inc................................. 1,000 5,625
Roanoke Electric Steel Corp........................... 1,800 23,794
Robbins & Myers, Inc.................................. 1,000 21,625
*Roberds, Inc......................................... 500 10
*Rochester Medical Corp............................... 200 1,750
*Rock of Ages Co...................................... 500 2,500
*Rockshox, Inc........................................ 1,500 1,195
Rock-Tenn Co. Class A................................. 2,400 22,950
*Rocky Shoes & Boots, Inc............................. 100 516
*Rofin-Sinar Technologies, Inc........................ 1,000 12,156
*Rogue Wave Software, Inc............................. 500 2,141
Rollins Truck Leasing Corp............................ 5,850 55,209
*Rottlund, Inc........................................ 500 1,156
Rouge Industries, Inc. Class A........................ 2,200 9,900
*Royal Appliance Manufacturing Co..................... 1,000 6,125
RPC, Inc.............................................. 2,400 25,500
*RTI International Metals, Inc........................ 1,500 19,500
*RTW, Inc............................................. 1,000 4,031
*Rural/Metro Corp..................................... 1,300 1,686
*Rush Enterprises, Inc................................ 500 3,469
Russ Berrie & Co., Inc................................ 1,500 28,406
*Ryans Family Steak Houses, Inc....................... 4,500 40,781
Ryerson Tull, Inc..................................... 2,529 24,974
Ryland Group, Inc..................................... 1,800 39,938
*S&K Famous Brands, Inc............................... 400 2,750
*Sames Corp........................................... 300 5,100
*San Filippo (John B.) & Son, Inc..................... 800 2,800
Sanderson Farms, Inc.................................. 1,300 8,734
*Sands Regent Casino Hotel............................ 400 644
*Saucony, Inc. Class B................................ 300 3,000
*Savoir Technology Group, Inc......................... 1,500 11,906
<CAPTION>
SHARES VALUE+
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*Scan-Optics, Inc..................................... 1,000 $ 984
*ScanSoft, Inc........................................ 336 814
*Schein (Henry), Inc.................................. 300 5,297
Schnitzer Steel Industries, Inc. Class A.............. 1,000 14,906
*Schuff Steel Company................................. 1,200 3,900
*Schuler Homes, Inc................................... 1,800 11,138
Schulman (A.), Inc.................................... 2,100 25,003
Schweitzer-Maudoit International, Inc................. 2,700 37,125
SCPIE Holdings, Inc................................... 1,100 26,744
Seaboard Corp......................................... 200 36,800
*Seacor Smit, Inc..................................... 1,000 64,125
*Secom General Corp................................... 80 643
*SED International Holdings, Inc...................... 1,000 3,219
*Seibels Bruce Group, Inc............................. 1,000 1,563
*Seitel, Inc.......................................... 3,000 25,500
Selas Corp. of America................................ 500 2,750
Selective Insurance Group, Inc........................ 3,100 57,447
*Semitool, Inc........................................ 600 8,494
*SEMX Corp............................................ 1,000 7,906
*Sensormatic Electronics Corp......................... 1,800 28,238
*Sequa Corp. Class A.................................. 200 9,538
*SeraCare, Inc........................................ 700 1,706
*Service Merchandise Co., Inc......................... 8,800 583
*Sheldahl, Inc........................................ 1,000 4,703
*Shells Seafood Restaurants, Inc...................... 300 638
*Shiloh Industries, Inc............................... 1,100 11,275
*Shoe Carnival, Inc................................... 1,800 13,106
*Sholodge, Inc........................................ 600 2,438
*Shoney's, Inc........................................ 2,258 1,411
*Shopko Stores, Inc................................... 2,100 38,588
*Sierra Health Services, Inc.......................... 3,600 15,075
Sifco Industries, Inc................................. 400 2,450
*Sight Resource Corp.................................. 1,700 1,514
*Signature Eyewear, Inc............................... 200 325
*Silverleaf Resorts, Inc.............................. 1,500 5,344
*Simione Central Holdings, Inc........................ 80 218
Simmons First National Corp. Class A.................. 200 3,819
*Simon Transportation Services, Inc................... 1,000 5,719
Simpson Industries, Inc............................... 1,900 16,744
*Simula, Inc.......................................... 500 969
*Sitel Corp........................................... 1,000 5,813
*Sizzler International, Inc........................... 2,400 7,050
Skyline Corp.......................................... 900 18,563
*Smart & Final Food, Inc.............................. 2,000 16,375
*SMC Corp............................................. 200 794
Smith (A.O.) Corp..................................... 2,200 46,200
Smith (A.O.) Corp. Convertible Class A................ 300 6,338
*Smithway Motor Express Corp. Class A................. 600 1,538
*Softech, Inc......................................... 300 328
*Software Spectrum, Inc............................... 1,000 14,469
*Sola International, Inc.............................. 3,200 16,000
*Sonic Automotive, Inc................................ 500 4,875
*SOS Staffing Services, Inc........................... 1,000 3,031
South Financial Group, Inc............................ 2,759 34,660
South Jersey Industries, Inc.......................... 1,000 26,063
*Southern Energy Homes, Inc........................... 1,200 1,350
*Southern Pacific Funding Corp........................ 1,200 30
*Southwall Technologies, Inc.......................... 500 4,172
Southwestern Energy Co................................ 3,700 34,225
*Spacehab, Inc........................................ 900 3,994
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*Spacelabs Medical, Inc............................... 1,000 $ 11,344
Spartan Motors, Inc................................... 1,000 4,438
*Sparton Corp......................................... 500 2,063
*Special Metals Corp.................................. 2,000 4,688
*Speizman Industries, Inc............................. 300 1,088
*Splash Technology Holdings, Inc...................... 1,300 10,278
*Sport Chalet, Inc.................................... 600 2,925
*Sport Supply Group, Inc.............................. 300 1,425
*Sports Authority, Inc................................ 2,800 5,950
*Sports Club Co., Inc................................. 1,900 6,413
*Sportsman's Guide, Inc............................... 1,000 2,938
Springs Industries, Inc. Class A...................... 1,000 47,500
St. Francis Capital Corp.............................. 1,000 13,781
St. Mary Land & Exploration Co........................ 100 3,603
*Staffmark, Inc....................................... 2,500 12,344
*Stage Stores, Inc.................................... 2,400 375
Standard Commercial Corp.............................. 1,956 6,113
*Standard Management Corp............................. 700 2,384
*Standard Microsystems Corp........................... 1,600 20,850
Standard Motor Products, Inc. Class A................. 1,100 10,656
Standard Pacific Corp. DE............................. 4,600 52,325
Standard Register Co.................................. 1,400 18,988
*Stanley Furniture, Inc............................... 400 9,038
*STAR Telecommunications, Inc......................... 1,400 2,931
*Starcraft Corp....................................... 200 1,538
Starrett (L.S.) Co. Class A........................... 200 4,063
*Starter Corp......................................... 2,300 13
State Auto Financial Corp............................. 7,200 80,550
State Financial Services Corp. Class A................ 500 5,078
Staten Island Bancorp, Inc............................ 4,200 71,138
Steel Technologies, Inc............................... 1,500 11,203
Stepan Co............................................. 500 10,938
Stephan Co............................................ 200 725
Sterling Bancorp...................................... 525 8,334
*Sterling Financial Corp. WA.......................... 1,600 16,550
Stewart & Stevenson Services, Inc..................... 4,200 58,538
Stewart Enterprises, Inc.............................. 20,000 80,625
Stewart Information Services Corp..................... 1,000 12,625
Stifel Financial Corp................................. 551 5,235
Stone & Webster, Inc.................................. 2,000 1,938
*Stoneridge, Inc...................................... 1,800 20,250
*Strategic Distribution, Inc.......................... 2,000 4,250
*Stratus Properties, Inc.............................. 1,300 6,013
*Strawbridge and Clothier Liquidating Trust........... 900 135
Stride Rite Corp...................................... 4,800 31,500
*Strouds, Inc......................................... 1,100 2,286
*Stuart Entertainment, Inc............................ 600 0
*Suburban Lodges of America, Inc...................... 2,200 12,375
*Successories, Inc.................................... 200 381
*Sun Healthcare Group, Inc............................ 4,800 312
*Sun Television and Appliances, Inc................... 2,400 19
*Sunbeam Corp......................................... 3,700 11,563
*Sunburst Hospitality Corp............................ 1,300 5,769
*Sunrise Assisted Living, Inc......................... 2,300 41,903
*Sunrise Medical, Inc................................. 2,000 8,875
*Sunrise Resources, Inc............................... 1,400 6,891
*Sunterra Corp........................................ 2,000 688
*Superior National Insurance Group, Inc............... 2,100 189
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Superior Surgical Manufacturing Co., Inc.............. 800 $ 6,900
*Suprema Specialties, Inc............................. 1,200 10,650
Susquehanna Bancshares, Inc........................... 100 1,366
*Swiss Army Brands, Inc............................... 1,700 8,978
*Sylvan Learning Systems, Inc......................... 3,100 35,069
*Sylvan, Inc.......................................... 400 3,925
*Symmetricom, Inc..................................... 1,100 16,500
*Symons International Group, Inc...................... 1,000 703
*Syms Corp............................................ 1,500 5,156
Synalloy Corp. DE..................................... 1,000 7,500
*Synaptic Pharmaceutical Corp......................... 1,000 4,750
*Synbiotics Corp...................................... 600 1,350
*Sync Research, Inc................................... 220 729
*Systemax, Inc........................................ 2,000 13,625
*T&W Financial Corp................................... 1,000 0
Tab Products Co....................................... 400 1,925
*Taco Cabana, Inc..................................... 2,500 16,016
*Tandy Brand Accessories, Inc......................... 500 3,297
*Tandy Crafts, Inc.................................... 1,000 3,000
Tasty Baking Co....................................... 100 1,194
*TBA Entertainment Corp............................... 500 1,953
*TBC Corp............................................. 2,600 12,553
TCBY Enterprises, Inc................................. 2,200 11,000
*TCSI Corp............................................ 3,800 6,888
*Team, Inc............................................ 1,100 2,681
Technology Research Corp.............................. 300 591
*Tech-Sym Corp........................................ 300 6,563
*Tegal Corp........................................... 1,200 5,156
Tenneco Automotive, Inc............................... 600 4,388
Terra Industries, Inc................................. 11,300 24,013
*Tesoro Petroleum Corp................................ 4,900 50,225
*Tesseract Group, Inc................................. 1,000 313
*Tetra Technologies, Inc.............................. 1,800 23,288
Texas Industries, Inc................................. 1,800 51,638
*TFC Enterprises, Inc................................. 1,200 2,513
*Thermedics, Inc...................................... 3,200 27,000
*Thermo Ecotek Corp................................... 500 3,906
*Thermo Terratech, Inc................................ 500 3,750
Thermoretec Corp...................................... 900 6,300
Thomas Industries, Inc................................ 450 9,000
*Thomaston Mills, Inc................................. 400 388
*Thorn Apple Valley, Inc.............................. 1,500 139
*Three Rivers Bancorp, Inc............................ 750 6,023
*Tier Technologies, Inc. Class B...................... 600 3,019
*TII Industries, Inc.................................. 1,200 2,381
Timberland Bancorp, Inc............................... 200 1,856
*Tipperary Corp....................................... 1,000 2,875
Titan International, Inc.............................. 1,200 7,125
Titanium Metals Corp.................................. 4,700 20,563
*Todd Shipyards Corp.................................. 800 5,700
*Toll Brothers, Inc................................... 200 3,875
Toro Co............................................... 1,000 31,500
*Total Renal Care Holdings, Inc....................... 10,600 41,738
*Tower Air, Inc....................................... 1,100 160
*Tower Automotive, Inc................................ 4,900 67,988
*Tractor Supply Co.................................... 500 7,594
*Trans World Airlines, Inc............................ 3,000 7,313
*Transcoastal Marine Services, Inc.................... 1,400 678
*Transfinancial Holdings, Inc......................... 300 525
*Transmedia Network, Inc.............................. 300 919
*Transportation Components, Inc....................... 3,000 5,813
Transpro, Inc......................................... 1,000 4,500
</TABLE>
11
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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Transtechnology Corp.................................. 500 $ 4,313
*Transworld Healthcare, Inc........................... 3,000 4,594
*TRC Companies, Inc................................... 300 3,150
Tremont Corp. DE...................................... 600 9,975
*Trend-Lines, Inc. Class A............................ 200 253
Trenwick Group, Inc................................... 1,325 19,875
*Trex Medical Corp.................................... 2,400 4,500
*Trico Marine Services, Inc........................... 3,500 34,016
*Trident Microsystems, Inc............................ 900 7,566
*Tridex Corp.......................................... 300 230
*Tripos, Inc.......................................... 100 1,600
*Trism, Inc........................................... 8 22
*Triumph Group........................................ 500 14,000
*TRM Copy Centers Corp................................ 1,000 5,063
*Trump Hotels & Casino Resorts, Inc................... 3,300 9,075
Tucker Anthony Sutro Corp............................. 2,700 46,238
*Tultex Corp.......................................... 2,500 31
Tuscarora, Inc........................................ 200 2,538
Twin Disc, Inc........................................ 200 3,100
*Twinlab Corp......................................... 3,300 23,616
U.S. Bancorp, Inc..................................... 1,500 6,891
*U.S. Diagnostic, Inc................................. 2,500 1,953
*U.S. Office Products, Co............................. 3,800 3,859
*U.S. Vision, Inc..................................... 100 172
*Ubics, Inc........................................... 200 506
*Ugly Duckling Corp................................... 2,000 14,438
*UICI................................................. 4,400 21,450
*Ultrafem, Inc........................................ 1,000 40
*Ultrak, Inc.......................................... 1,400 9,363
*Ultralife Batteries, Inc............................. 1,300 9,791
*Ultratech Stepper, Inc............................... 1,700 23,906
*Unapix Entertainment, Inc............................ 1,000 1,125
*Unicapital Corp...................................... 4,500 3,094
Unico American Corp................................... 500 3,070
*UniComp, Inc......................................... 1,000 2,688
*Unifab International, Inc............................ 1,000 7,313
*Unifi, Inc........................................... 3,900 49,725
Unifirst Corp......................................... 1,100 9,006
*Unimark Group, Inc................................... 1,000 750
*Uni-Marts, Inc....................................... 500 1,000
*Union Acceptance Corp. Class A....................... 500 2,484
*Unit Corp............................................ 2,600 34,288
*United American Healthcare Corp.,.................... 700 438
*United Auto Group, Inc............................... 5,000 44,688
United Community Financial Corp....................... 3,700 21,853
United Industrial Corp................................ 1,400 12,338
*United Natural Foods, Inc............................ 600 9,094
*United Retail Group, Inc............................. 1,100 8,766
United Wisconsin Services, Inc........................ 1,800 10,350
*Universal American Financial Corp.................... 700 2,625
Universal Corporation................................. 1,500 34,781
Universal Forest Products, Inc........................ 1,200 15,788
*Universal Stainless & Alloy Products, Inc............ 800 5,500
*Universal Standard Medical Labs, Inc................. 500 28
*Uno Restaurant Corp.................................. 660 8,003
*Unova, Inc........................................... 5,000 69,063
*Urocor, Inc.......................................... 1,100 4,125
*Urologix, Inc........................................ 1,000 4,219
*URS Corp............................................. 800 10,500
*US Liquids, Inc...................................... 1,500 7,313
*US Oncology, Inc..................................... 10,648 50,911
*US Xpress Enterprises, Inc. Class A.................. 1,000 7,031
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*USA Floral Products, Inc............................. 1,000 $ 828
*USA Truck, Inc....................................... 1,400 9,188
*Usec, Inc............................................ 2,300 10,638
*Utilx Corp........................................... 800 3,000
*Vail Resorts, Inc.................................... 400 6,400
*Value City Department Stores, Inc.................... 2,600 25,838
*Vans, Inc............................................ 1,500 23,438
*Variflex, Inc........................................ 1,200 6,938
*Vectra Technologies, Inc............................. 500 283
*Vencor, Inc.......................................... 5,500 509
*Venture Stores, Inc.................................. 1,500 38
Vesta Insurance Group, Inc............................ 2,000 11,875
*Vestcom International, Inc........................... 1,300 5,119
*Veterinary Centers of America, Inc................... 3,200 43,500
*Viasoft, Inc......................................... 1,500 12,445
*Vicon Industries, Inc................................ 200 638
*Vicorp Restaurants, Inc.............................. 800 15,075
*Video Display Corp................................... 300 2,128
*Video Services Corp.................................. 500 1,563
*Video Update, Inc.................................... 2,175 740
*Videonics, Inc....................................... 200 178
Virco Manufacturing Corp.............................. 1,089 11,435
*Vision Twenty-One, Inc............................... 1,000 484
*Vista Medical Technologies, Inc...................... 500 359
Vital Signs, Inc...................................... 700 14,569
*Volt Information Sciences, Inc....................... 2,000 57,750
*VTEL Corp............................................ 2,600 9,344
Wabash National Corp.................................. 3,400 43,563
*Wackenhut Corp. Class A.............................. 300 3,994
*Wackenhut Corp. Class B Non-Voting................... 1,000 8,250
Wallace Computer Services, Inc........................ 6,500 65,000
Warnaco Group, Inc.................................... 5,900 39,825
*Warrantech Corp...................................... 1,000 875
Warren Bancorp, Inc................................... 600 4,519
*Washington Homes, Inc................................ 700 3,763
Washington Savings Bank FSB........................... 400 1,275
*Waste Connections, Inc............................... 1,000 19,375
*Waterlink, Inc....................................... 1,500 4,125
Watsco, Inc. Class A.................................. 2,500 37,031
Watts Industries, Inc. Class A........................ 1,600 18,200
*Webb (Del) Corp...................................... 2,700 41,175
*Webco Industries, Inc................................ 1,000 3,938
Weider Nutrition International, Inc................... 1,000 3,250
*Weirton Steel Corp................................... 4,600 20,988
Wellman, Inc.......................................... 3,500 68,906
*Wells-Gardner Electronics Corp....................... 220 756
Werner Enterprises, Inc............................... 5,500 68,922
*West Coast Entertainment Corp........................ 200 21
*West Marine, Inc..................................... 2,100 16,997
Westbank Corp......................................... 1,000 8,625
*Westcoast Hospitality Corp........................... 1,000 7,750
Westcorp, Inc......................................... 2,800 30,450
Westerfed Financial Corp.............................. 500 7,156
*Western Water Co..................................... 500 117
*Weston (Roy F.), Inc. Class A........................ 600 1,894
*Wet Seal, Inc. Class A............................... 1,000 11,500
*WHX Corp............................................. 2,200 12,925
*Wickes Lumber Co..................................... 1,200 6,450
*Williams Clayton Energy, Inc......................... 700 18,156
*Willis Lease Finance Corp............................ 500 3,781
*Wilshire Financial Sevices Group, Inc................ 8 13
*Wilshire Oil Co. of Texas............................ 515 1,770
</TABLE>
12
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Wisconsin Central Transportation Corp................ 3,700 $ 48,331
*Wiser Oil Co......................................... 800 2,400
*WLR Foods, Inc....................................... 1,314 6,077
Wolohan Lumber Co..................................... 600 6,713
*Wolverine Tube, Inc.................................. 1,400 23,100
Woodhead Industries, Inc.............................. 500 8,078
Woodward Governor Co.................................. 1,000 24,406
*Workgroup Technology Corp............................ 900 619
World Fuel Services Corp.............................. 1,000 6,813
*Worldpages.com, Inc.................................. 500 3,500
*Worldtex, Inc........................................ 1,200 488
*WPI Group, Inc....................................... 1,000 1,422
*Xetel Corp........................................... 1,300 2,275
*Xtra Corp............................................ 1,800 81,113
Yardville National Bancorp............................ 1,000 10,531
*Yellow Corp.......................................... 3,400 55,781
York Financial Corp................................... 832 10,452
York Group, Inc....................................... 500 1,813
*Zap.com Corp......................................... 46 144
*Zapata Corp.......................................... 2,300 8,625
*Zaring National Corp................................. 100 334
Zenith National Insurance Corp........................ 1,500 35,625
*Zoltek Companies, Inc................................ 1,000 6,864
*Zymetx, Inc.......................................... 200 419
-----------
TOTAL COMMON STOCKS
(Cost $23,021,653)................................... 18,551,746
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
</TABLE>
<TABLE>
RIGHTS/WARRANTS -- (0.0%)
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 3,900 $ 177
<CAPTION>
------ ------
<S> <C> <C>
*Coho Energy, Inc. Rights 05/31/00.................... 575 0
*Golden Books Family Entertainment Warrants
01/01/02............................................ 6 6
*Paragon Trade Brands, Inc. Warrants 01/28/10......... 26 58
*Westcorp, Inc. Rights 06/15/00....................... 2,800 613
-----------
TOTAL RIGHTS/WARRANTS
(Cost $14,347)....................................... 854
-----------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (1.4%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $266,646) to be
repurchased at $262,043.
(Cost $262,000) $ 262 262,000
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $23,298,000)++..... $18,814,600
===========
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $23,298,000.
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
VA LARGE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (100.0%)
Advanta Corp. Class A................................. 166 $ 2,796
Advanta Corp. Class B Non-Voting...................... 272 3,289
Aetna, Inc............................................ 9,100 607,425
Airborne Freight Corp................................. 3,000 60,562
AK Steel Holding Corp................................. 11,700 113,344
*Alaska Air Group, Inc................................ 1,900 59,137
Albemarle Corp........................................ 1,000 22,000
Alcoa, Inc............................................ 1 58
Alexander & Baldwin, Inc.............................. 3,100 71,687
*Allegheny Corp....................................... 104 17,290
Alliant Energy Corp................................... 5,000 138,437
Allmerica Financial Corp.............................. 2,500 144,219
Allstate Corp......................................... 27,700 734,050
Ambac, Inc............................................ 2,200 110,825
*America West Holdings Corp. Class B.................. 2,000 35,625
American Annuity Group, Inc........................... 2,700 46,069
American Financial Group, Inc......................... 3,500 97,781
American Greetings Corp. Class A...................... 4,100 76,362
American National Insurance Co........................ 1,610 86,990
Amerus Life Holdings, Inc. Class A.................... 1,500 29,906
*AMR Corp............................................. 9,900 282,150
Arch Coal, Inc........................................ 1,082 8,115
Archer-Daniels Midland Co............................. 40,393 482,191
Argonaut Group, Inc................................... 300 5,419
Ashland, Inc.......................................... 4,400 153,725
*AutoNation, Inc...................................... 36,000 283,500
Bancwest Corp......................................... 4,400 82,225
Bear Stearns Companies, Inc........................... 7,910 311,456
Belo (A.H.) Corp. Class A............................. 6,500 104,406
*Bethlehem Steel Corp................................. 7,200 27,900
Block Drug Co., Inc. Class A.......................... 9 249
Boise Cascade Corp.................................... 3,800 110,675
*Borders Group, Inc................................... 400 5,625
Borg Warner Automotive, Inc........................... 1,400 55,650
Bowater, Inc.......................................... 2,700 139,556
Brunswick Corp........................................ 5,000 96,250
Burlington Northern Santa Fe Corp..................... 34,600 817,425
C.I.T. Group, Inc. Class A............................ 11,400 208,762
CBRL Group, Inc....................................... 4,700 68,003
Centex Corp........................................... 3,500 72,625
Champion International Corp........................... 6,200 452,600
Chesapeake Corp....................................... 700 22,881
*Chris-Craft Industries, Inc.......................... 1,638 99,713
Cincinnati Financial Corp............................. 10,690 429,938
*CNA Financial Corp................................... 12,000 428,250
Coca-Cola Enterprises, Inc............................ 18,100 309,962
Commerce Group, Inc................................... 1,400 37,975
Commercial Federal Corp............................... 1,600 25,500
Conseco, Inc.......................................... 21,100 131,875
Consolidated Papers, Inc.............................. 3,900 145,762
*Consolidated Stores Corp............................. 6,400 83,200
Cooper Tire & Rubber Co............................... 3,800 45,837
Corn Products International, Inc...................... 2,700 66,319
Countrywide Credit Industries, Inc.................... 7,300 224,475
Crompton Corp......................................... 3,400 41,225
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Crown Cork & Seal Co., Inc............................ 8,000 $ 137,000
CSX Corp.............................................. 14,100 306,675
Cummins Engine Co., Inc............................... 2,100 68,381
Dana Corp............................................. 8,700 224,569
Delphi Automotive Systems Corp........................ 96 1,734
Delta Air Lines, Inc.................................. 5,900 303,481
Dillards, Inc. Class A................................ 6,900 103,069
Dime Bancorp, Inc..................................... 900 16,425
Eastman Chemical Co................................... 3,000 136,687
Enhance Financial Services Group, Inc................. 1,000 13,750
*Extended Stay America, Inc........................... 5,800 52,200
Federal-Mogul Corp.................................... 6,100 60,619
*Federated Department Stores, Inc..................... 12,300 473,550
Finova Group, Inc..................................... 2,500 29,844
First American Financial Corp......................... 2,800 46,550
Florida East Coast Industries, Inc.................... 1,200 57,600
Fluor Corp............................................ 2,300 74,750
*FMC Corp............................................. 1,000 60,750
Ford Motor Co......................................... 32,900 1,597,706
Fortune Brands, Inc................................... 12,800 340,800
GATX Corp............................................. 2,200 74,112
General Motors Corp................................... 30,900 2,182,312
*General Motors Corp. Class H......................... 7,200 708,750
*Gentiva Health Services.............................. 750 6,539
Georgia-Pacific Corp.................................. 5,600 183,400
*Golden State Bancorp, Inc............................ 2,100 36,881
Golden West Financial Corp............................ 3,800 158,650
Goodyear Tire & Rubber Co............................. 6,900 171,637
Great Atlantic & Pacific Tea Co., Inc................. 2,200 40,425
Greenpoint Financial Corp............................. 4,800 100,200
*Harnischfeger Industries, Inc........................ 2,000 880
Harris Corp........................................... 3,200 97,800
Hartford Life, Inc. Class A........................... 1,000 50,187
*Healthsouth Corp..................................... 26,200 168,662
*Hearst-Argyle Television, Inc........................ 2,200 41,662
Heller Financial, Inc................................. 2,200 41,525
Helmerich & Payne, Inc................................ 2,800 104,300
Hibernia Corp......................................... 3,200 41,200
Hollinger International, Inc. Class A................. 5,400 65,812
Horton (D.R.), Inc.................................... 6,000 78,375
*Humana, Inc.......................................... 11,200 63,000
IBP, Inc.............................................. 5,200 85,800
Ikon Office Solutions, Inc............................ 9,600 48,000
*Imation Corp......................................... 100 2,831
IMC Global, Inc....................................... 7,800 119,925
*Ingram Micro, Inc.................................... 5,000 84,375
*Interim Services, Inc................................ 3,200 64,400
International Paper Co................................ 13,478 469,203
*K Mart Corp.......................................... 32,000 272,000
Kennametal, Inc....................................... 1,200 31,650
Keycorp............................................... 22,400 470,400
Lafarge Corp.......................................... 5,900 150,450
*Lanier Worldwide, Inc................................ 2,200 3,987
*Liberty Corp......................................... 1,000 35,125
Liberty Financial Companies, Inc...................... 2,700 63,619
Lincoln National Corp................................. 9,000 348,750
</TABLE>
14
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
LNR Property Corp..................................... 500 $ 9,688
Lockheed Martin Corp.................................. 8,000 196,000
Loews Corp............................................ 6,900 454,538
Louisiana-Pacific Corp................................ 6,900 77,625
Lubrizol Corp......................................... 1,000 23,125
Lyondell Chemical Co.................................. 5,700 95,119
*Mandalay Resort Group................................ 6,000 127,125
*Manor Care, Inc...................................... 1,000 7,063
MBIA, Inc............................................. 4,600 265,938
Mead Corp............................................. 6,200 191,038
Millennium Chemicals, Inc............................. 4,950 95,288
*Mirage Resorts, Inc.................................. 11,000 230,313
*Modis Professional Services, Inc..................... 5,900 60,475
*Mony Group, Inc...................................... 1,100 40,769
Nabisco Group Holdings Corp........................... 19,940 434,941
Norfolk Southern Corp................................. 24,300 432,844
Northrop Grumman Corp................................. 5,600 429,100
*Officemax, Inc....................................... 7,100 38,606
Ohio Casualty Corp.................................... 3,000 35,906
Old Republic International Corp....................... 7,850 137,866
Omnicare, Inc......................................... 6,100 100,650
*Owens-Illinois, Inc.................................. 8,300 93,375
Pacific Century Financial Corp........................ 5,200 117,000
*Pacificare Health Systems, Inc....................... 1,268 82,182
*Pactiv Corporation................................... 11,000 98,313
*Park Place Entertainment Corp........................ 6,600 83,325
Penney (J.C.) Co., Inc................................ 16,600 300,875
Penzoil Quaker State Co............................... 3,000 33,000
Phelps Dodge Corp..................................... 4,624 207,502
*Pioneer Natural Resources Co......................... 7,600 113,525
PMI Group, Inc........................................ 1,050 53,288
Potlatch Corp......................................... 1,500 56,813
*Premier Parks, Inc................................... 3,600 85,725
Pulte Corp............................................ 2,400 53,250
Questar Corp.......................................... 5,300 107,656
Radian Group, Inc..................................... 2,000 110,000
Rayonier, Inc......................................... 700 28,175
Raytheon Co. Class A.................................. 5,600 131,950
Raytheon Co. Class B.................................. 10,800 253,125
*Rite Aid Corp........................................ 7,500 52,031
RJ Reynolds Tobacco Holdings, Inc..................... 7,046 195,527
Russell Corp.......................................... 1,100 24,475
Ryder System, Inc..................................... 4,500 86,344
*Sabre Holdings Corp.................................. 7,154 205,678
Safeco Corp........................................... 11,800 289,469
*Safety-Kleen Corp.................................... 4,700 2,938
Saint Paul Companies, Inc............................. 14,712 551,700
*Saks, Inc............................................ 7,000 80,938
Sears, Roebuck & Co................................... 15,800 583,613
Service Corp. International........................... 17,500 54,688
*Silicon Graphics, Inc................................ 7,200 47,700
*Smurfit-Stone Container Corp......................... 8,063 114,646
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sovereign Bancorp, Inc................................ 7,200 $ 49,388
Springs Industries, Inc. Class A...................... 1,000 47,500
Starwood Hotels and Resorts Worldwide, Inc............ 11,500 339,969
*Steelcase, Inc. Class A.............................. 1,000 12,250
Sunoco, Inc........................................... 5,100 164,794
Supervalu, Inc........................................ 5,000 104,063
*Tech Data Corp....................................... 1,400 52,631
Tecumseh Products Co. Class A......................... 700 31,609
Tecumseh Products Co. Class B......................... 300 12,956
Temple-Inland, Inc.................................... 2,900 144,094
Tenet Healthcare Corp................................. 8,900 228,063
Tenneco Automotive, Inc............................... 2,200 16,088
Terra Industries, Inc................................. 3,000 6,375
*Thermo-Electron Corp................................. 13,700 254,306
Tidewater, Inc........................................ 3,200 124,400
Timken Co............................................. 5,100 96,263
*Toys R Us, Inc....................................... 16,100 253,575
Trinity Industries, Inc............................... 1,100 24,269
Tyson Foods, Inc. Class A............................. 3,800 37,525
U.S. Industries, Inc.................................. 3,900 52,650
*UAL Corp............................................. 3,600 185,400
Ultramar Diamond Shamrock Corp........................ 5,800 150,438
UMB Financial Corp.................................... 363 13,408
*Unifi, Inc........................................... 2,000 25,500
Union Pacific Corp.................................... 16,400 693,925
*United Rentals, Inc.................................. 700 11,375
Unitrin, Inc.......................................... 4,700 151,281
*Unova, Inc........................................... 5,000 69,063
UnumProvident Corp.................................... 10,782 244,617
USX-Marathon Group, Inc............................... 14,000 380,625
USX-US Steel Group.................................... 5,700 128,606
Valero Energy Corp.................................... 4,200 122,850
Valhi, Inc............................................ 6,500 69,469
*Venator Group, Inc................................... 9,300 100,556
*Vishay Intertechnology, Inc.......................... 30 2,123
Weis Markets, Inc..................................... 1,700 55,675
Wesco Financial Corp.................................. 400 97,200
Westvaco Corp......................................... 6,950 209,369
Worthington Industries, Inc........................... 2,700 32,738
*Ziff-Davis, Inc...................................... 6,300 53,156
-----------
TOTAL COMMON STOCKS
(Cost $33,351,279)................................... 31,725,220
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $33,351,279)++..... $31,725,220
===========
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $33,351,790.
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (25.7%)
COMMON STOCKS -- (25.7%)
Aichi Steel Works, Ltd................................ 4,000 $ 12,148
Aisin Seiki Co., Ltd.................................. 2,000 24,518
Amada Co., Ltd........................................ 3,000 25,911
*Aoki Corp............................................ 6,000 2,452
Aoyama Trading Co., Ltd............................... 1,100 13,127
*Ashikaga Bank, Ltd................................... 9,000 18,389
*Atsugi Nylon Industrial Co., Ltd..................... 5,000 4,829
Bank of Yokohama, Ltd................................. 15,000 64,082
Calpis Co., Ltd....................................... 2,000 9,696
Canon Sales Co., Inc.................................. 2,000 28,697
Casio Computer Co., Ltd............................... 3,000 28,697
Chiba Bank, Ltd....................................... 10,000 43,464
Chiyoda Fire and Marine Insurance Co., Ltd............ 5,000 16,020
Chudenko Corp......................................... 1,030 14,913
Chugoku Bank, Ltd..................................... 2,000 17,627
Chuo Mitsui Trust and Banking Co., Ltd................ 6,800 27,345
Citizen Watch Co., Ltd................................ 3,000 25,772
Cosmo Oil Co., Ltd.................................... 10,000 13,931
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 4,000 13,002
Daicel Chemical Industries, Ltd....................... 4,000 11,813
Daido Steel Co., Ltd.................................. 5,000 10,541
Dai-Ichi Kangyo Bank, Ltd............................. 12,000 90,272
*Daikyo, Inc.......................................... 3,000 6,408
Daishi Bank, Ltd...................................... 5,000 18,342
Daito Trust Construction Co., Ltd..................... 2,916 55,517
Daiwa Bank, Ltd....................................... 26,000 65,921
Daiwa House Industry Co., Ltd......................... 7,000 51,943
Dowa Fire & Marine Insurance Co., Ltd................. 5,000 12,259
Ezaki Glico Co., Ltd.................................. 2,200 10,196
*Fujita Corp.......................................... 9,000 3,928
Fukuoka City Bank, Ltd................................ 4,712 21,443
Fukuyama Transporting Co., Ltd........................ 4,000 24,221
Gunze, Ltd............................................ 4,000 11,962
*Hanwa Co., Ltd....................................... 2,000 1,839
*Haseko Corp.......................................... 8,000 3,046
Higo Bank, Ltd........................................ 3,000 11,089
*Hino Motors, Ltd..................................... 5,000 13,327
Hiroshima Bank, Ltd................................... 2,000 7,504
Hitachi Cable, Ltd.................................... 5,000 45,043
Hitachi Koki Co., Ltd................................. 2,000 6,873
Hitachi Maxell, Ltd................................... 1,000 24,425
Hitachi Metals, Ltd................................... 5,000 41,328
Hitachi Transport System, Ltd......................... 2,000 9,473
Hitachi, Ltd.......................................... 61,000 755,737
*Hokkaido Bank, Ltd................................... 7,000 9,427
Hokkoku Bank, Ltd..................................... 5,000 19,689
*Hokuriku Bank, Ltd................................... 7,000 16,188
House Foods Corp...................................... 2,000 29,700
Hyakugo Bank, Ltd. (105th Bank)....................... 4,000 17,534
Hyakujishi Bank, Ltd.................................. 3,000 18,110
Inax Corp............................................. 2,000 11,423
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Ishikawajima-Harima Heavy Industries Co., Ltd........ 18,000 $ 27,750
*Japan Energy Corp.................................... 15,000 13,931
Joyo Bank, Ltd........................................ 10,000 38,913
Juroku Bank, Ltd...................................... 5,000 22,243
Kajima Corp........................................... 13,000 32,357
*Kamagai Gumi Co., Ltd................................ 6,000 2,786
Kamigumi Co., Ltd..................................... 4,000 19,132
Kandenko Co., Ltd..................................... 3,000 11,145
*Kawasaki Heavy Industries, Ltd....................... 16,000 20,952
Kinden Corp........................................... 2,000 10,866
Kiyo Bank, Ltd........................................ 5,000 12,213
*Kobe Steel, Ltd...................................... 45,000 31,762
Komatsu, Ltd.......................................... 14,000 86,204
Komori Corp........................................... 1,000 15,760
Konica Corp........................................... 5,000 30,648
Kureha Chemical Industry Co., Ltd..................... 4,000 10,402
Kyudenko Corp......................................... 2,000 5,609
Kyushu Matsushita Electric Co., Ltd................... 2,000 22,661
Maeda Corp............................................ 2,000 4,848
Makita Corp........................................... 2,000 19,002
*Marubeni Corp........................................ 22,000 58,435
Maruetsu, Inc......................................... 3,000 9,194
Matsushita Electric Industrial Co., Ltd............... 38,000 898,165
Mitsubishi Gas Chemical Co., Inc...................... 5,000 12,956
Mitsubishi Heavy Industries, Ltd...................... 46,000 159,777
*Mitsubishi Materials Corp............................ 10,000 33,248
*Mitsubishi Motors Corp............................... 14,000 45,507
Mizuno Corp........................................... 2,000 6,037
Mycal Corp............................................ 3,000 9,083
*NKK Corp............................................. 64,000 41,012
NTN Corp.............................................. 4,000 13,076
Nagase & Co., Ltd..................................... 2,000 8,303
Nanto Bank, Ltd....................................... 3,000 15,630
Nichimen Corp......................................... 5,000 4,458
*Nippon Credit Bank, Ltd.............................. 20,000 0
Nippon Light Metal Co., Ltd........................... 8,000 5,572
Nippon Mitsubishi Oil Company......................... 19,100 78,227
Nippon Shinpan Co., Ltd............................... 6,000 12,315
Nishimatsu Construction Co., Ltd...................... 4,000 14,339
Nishi-Nippon Bank, Ltd................................ 6,000 23,627
Nisshin Steel Co., Ltd................................ 12,000 12,593
Nisshinbo Industries, Inc............................. 3,000 13,652
Nittetsu Mining Co., Ltd.............................. 2,000 4,179
Nitto Boseki Co., Ltd................................. 7,000 7,931
Noritz Corp........................................... 1,000 12,426
Obayashi Corp......................................... 9,000 34,270
Okumura Corp.......................................... 4,000 12,073
Pioneer Electronic Corp............................... 2,000 61,110
Sakura Bank, Ltd...................................... 43,000 318,282
San In Godo Bank, Ltd................................. 3,000 15,714
*Sankyo Aluminum Industry Co., Ltd.................... 3,000 2,508
Sanwa Shutter Corp.................................... 3,000 9,473
Sanyo Electric Co., Ltd............................... 35,000 258,741
Seino Transportation Co., Ltd......................... 2,000 9,139
Sekisui Chemical Co., Ltd............................. 8,000 27,490
Sekisui House, Ltd.................................... 10,000 97,330
</TABLE>
16
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Shiga Bank, Ltd....................................... 4,000 $ 18,017
Shimizu Corp.......................................... 12,000 28,419
*Shinmaywa Industries, Ltd............................ 2,000 3,046
Showa Shell Sekiyu KK................................. 3,000 12,315
Snow Brand Milk Products Co., Ltd..................... 4,000 20,060
*Sumitomo Metal Industries, Ltd. Osaka................ 50,000 34,363
*Sumitomo Metal Mining Co., Ltd....................... 10,000 42,257
Sumitomo Realty & Development Co., Ltd................ 7,000 26,004
Taiheiyo Cement Corp.................................. 11,600 17,345
Taisei Corp........................................... 14,000 19,243
Takashimaya Co., Ltd.................................. 3,000 27,026
Tanabe Seiyaku Co., Ltd............................... 4,000 27,007
Teijin, Ltd........................................... 15,000 62,549
*Toda Corp............................................ 4,000 15,603
Tokyo Steel Manufacturing Co., Ltd.................... 1,500 4,792
Tokyo Style Co., Ltd.................................. 1,000 9,009
Tokyo Tatemono Co., Ltd............................... 4,000 7,430
Tostem Corp........................................... 4,000 65,939
Toto, Ltd............................................. 3,000 20,172
*Toyo Engineering Corp................................ 3,000 2,758
Toyo Seikan Kaisha, Ltd............................... 3,100 54,788
Toyo Trust & Banking Co., Ltd......................... 11,000 37,186
Toyota Tsusho Corp.................................... 4,000 13,411
UNY Co., Ltd.......................................... 2,000 24,667
*Victor Co. of Japan, Ltd............................. 2,000 11,758
Wacoal Corp........................................... 2,000 16,773
Yamaguchi Bank........................................ 2,000 13,206
Yamaha Corp........................................... 2,000 18,203
Yamato Kogyo Co., Ltd................................. 2,000 8,916
Yamazaki Baking Co., Ltd.............................. 2,000 18,482
*Yasuda Trust & Banking Co., Ltd...................... 40,000 49,408
Yodogawa Steel Works, Ltd............................. 4,000 10,030
Yokogawa Electric Corp................................ 3,000 25,075
-----------
TOTAL COMMON STOCKS
(Cost $6,294,490).................................... 5,391,454
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $721)......................................... 716
-----------
TOTAL -- JAPAN
(Cost $6,295,211).................................... 5,392,170
-----------
UNITED KINGDOM -- (17.9%)
COMMON STOCKS -- (17.9%)
Aggregate Industries P.L.C............................ 16,202 16,649
*Allied Domecq P.L.C.................................. 8,399 41,805
Allied Zurich P.L.C................................... 5,000 56,051
Anglian Water P.L.C................................... 2,025 16,829
Arcadia Group P.L.C................................... 2,337 1,781
Arjo Wiggins Appleton P.L.C........................... 10,500 39,589
Associated British Foods P.L.C........................ 8,800 58,072
Associated British Ports Holdings P.L.C............... 4,600 19,974
BAA P.L.C............................................. 13,920 101,534
*BG Group P.L.C....................................... 30,588 183,337
BOC Group P.L.C....................................... 6,696 94,080
BPB P.L.C............................................. 6,900 38,160
Barclays P.L.C........................................ 63 1,637
*Bass P.L.C........................................... 10,027 109,558
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Berkeley Group P.L.C.................................. 1,590 $ 13,285
*Blue Circle Industries P.L.C......................... 10,390 66,080
Britannic P.L.C....................................... 2,600 35,539
British Airways P.L.C................................. 14,189 76,774
British Land Co. P.L.C................................ 5,766 34,474
*British-Borneo Petroleum Syndicate P.L.C............. 5,480 5,693
CGU P.L.C............................................. 32,371 491,591
Capital Shopping Centres P.L.C........................ 4,000 21,374
Chelsfield P.L.C...................................... 3,027 14,523
Cookson Group P.L.C................................... 9,152 28,214
*Corus Group P.L.C.................................... 49,343 72,278
DeVere Group P.L.C.................................... 1,125 5,280
*Debenhams P.L.C...................................... 4,675 15,792
Fairview Holdings P.L.C............................... 2,450 5,639
Great Universal Stores P.L.C.......................... 10,100 62,726
Halifax P.L.C......................................... 7,000 68,794
Hammerson P.L.C....................................... 3,800 23,401
Hanson P.L.C.......................................... 8,200 58,157
Hilton Group P.L.C.................................... 22,165 81,831
Hyder P.L.C........................................... 1,875 8,520
Inchcape P.L.C........................................ 833 3,331
Invensys P.L.C........................................ 6,370 21,899
Johnson Matthey P.L.C................................. 3,000 34,303
Kelda Group P.L.C..................................... 3,261 15,841
*LaPorte P.L.C........................................ 2,000 15,993
*Laporte P.L.C. Series B.............................. 32,000 478
Lasmo P.L.C........................................... 8,700 15,475
Lonmin P.L.C.......................................... 1,675 15,522
*Lonrho Africa P.L.C.................................. 1,587 362
Marks & Spencer P.L.C................................. 42,367 157,682
Millennium and Copthorne Hotels P.L.C................. 3,529 20,809
*National Power P.L.C................................. 6,226 34,200
Peninsular & Oriental Steam Navigation Co............. 8,107 84,944
Pilkington P.L.C...................................... 8,561 10,557
Powergen P.L.C........................................ 6,228 40,960
RMC Group P.L.C....................................... 2,000 25,141
*Railtrack Group P.L.C................................ 7,079 88,880
Rank Group P.L.C...................................... 9,535 20,095
Rolls-Royce P.L.C..................................... 19,605 72,087
Royal & Sun Alliance Insurance Group P.L.C............ 20,794 123,702
*Royal Bank of Scotland Group P.L.C................... 14,625 240,460
Safeway P.L.C......................................... 15,651 57,256
Sainsbury (J.) P.L.C.................................. 26,593 121,233
Scottish & Newcastle P.L.C............................ 8,300 71,707
Selfridges P.L.C...................................... 1,210 5,390
Severn Trent P.L.C.................................... 2,995 27,173
Signet Group P.L.C.................................... 24,000 17,936
Slough Estates P.L.C.................................. 4,000 21,464
Somerfield P.L.C...................................... 6,000 4,529
Standard Chartered P.L.C.............................. 6,220 81,070
Storehouse P.L.C...................................... 5,502 3,577
Tate & Lyle P.L.C..................................... 4,000 14,977
Tesco P.L.C........................................... 45,268 136,677
Thames Water P.L.C.................................... 2,724 32,654
Thistle Hotels P.L.C.................................. 5,457 10,440
Trinity P.L.C......................................... 1,950 15,564
Unigate P.L.C......................................... 2,600 11,892
</TABLE>
17
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
United Utilities P.L.C................................ 4,670 $ 44,045
Whitbread P.L.C....................................... 6,417 53,784
*Wolseley P.L.C....................................... 4,143 21,024
-----------
TOTAL COMMON STOCKS
(Cost $4,230,599).................................... 3,764,134
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $1,297)....................................... 1,310
-----------
TOTAL -- UNITED KINGDOM
(Cost $4,231,896).................................... 3,765,444
-----------
GERMANY -- (10.7%)
COMMON STOCKS -- (10.7%)
BASF AG............................................... 10,650 433,593
BHW Holding AG, Berlin................................ 3,000 52,027
*Bankgesellschaft Berlin AG........................... 2,700 41,942
Bayer AG.............................................. 3,500 135,030
Bayerische Vereinsbank AG............................. 1,900 120,878
Berliner Kraft & Licht Bewag AG....................... 2,000 22,258
Bilfinger & Berger Bau AG, Mannheim................... 600 8,931
Commerzbank AG........................................ 7,850 287,928
DaimlerChrysler AG, Stuttgart......................... 900 49,579
*Deutsche Bank AG..................................... 7,222 545,193
Deutsche Lufthansa AG................................. 4,100 98,101
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 500 51,981
Dresdner Bank AG...................................... 2,500 100,855
*FPB Holding AG....................................... 200 30,048
Hochtief AG........................................... 1,200 38,005
Linde AG.............................................. 1,333 54,270
MAN AG................................................ 1,000 34,128
Merck KGAA............................................ 700 22,332
Thyssen Krupp AG...................................... 5,500 96,914
Vereins & Westbank AG................................. 1,206 30,422
-----------
TOTAL -- GERMANY
(Cost $2,050,181).................................... 2,254,415
-----------
FRANCE -- (8.5%)
COMMON STOCKS -- (8.5%)
AGF (Assurances Generales de France SA)............... 2,435 123,073
*AGF (Assurances Generales de France SA) Em 00........ 137 1
Banque Nationale de Paris............................. 5,875 527,142
Christian Dior SA..................................... 300 68,164
Eridania Beghin-Say SA................................ 300 27,363
*Euro Disney SCA...................................... 15,675 11,339
Generale des Establissements Michelin SA Series B..... 1,500 49,384
Groupe Danone......................................... 500 116,435
Hachette Filipacchi Medias............................ 500 34,337
Imerys................................................ 200 24,669
LaFarge SA............................................ 1,291 99,374
Pechiney SA Series A.................................. 600 24,539
Pernod-Ricard SA...................................... 400 20,959
Peugeot SA............................................ 600 122,417
Saint-Gobain.......................................... 1,013 140,449
*Societe des Ciments de Francais...................... 500 25,272
Societe Generale, Paris............................... 5,312 304,696
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Thomson-CSF........................................... 900 $ 34,722
Usinor................................................ 2,700 32,302
-----------
TOTAL COMMON STOCKS
(Cost $1,334,234).................................... 1,786,637
-----------
RIGHTS/WARRANTS -- (0.0%)
*Banque Nationale de Paris CVG Rights 07/15/02
(Cost $4,836)....................................... 1,196 5,546
-----------
TOTAL -- FRANCE
(Cost $1,339,070).................................... 1,792,183
-----------
SWITZERLAND -- (8.4%)
COMMON STOCKS -- (8.4%)
Ascom Holding AG, Bern................................ 20 60,177
Baloise-Holding, Basel................................ 360 336,002
Banque Cantonale Vaudois.............................. 110 34,201
Bobst SA, Prilly...................................... 20 28,437
Ciba Spezialitaetenchemie Holding AG.................. 700 43,053
Financiere Richemont AG............................... 160 396,462
Forbo Holding AG, Eglisau............................. 40 15,528
Helvetia Patria Holding, St. Gallen................... 70 54,514
Interallianz Bank AG, Zuerich......................... 160 43,611
Intershop Holding AG, Zuerich......................... 40 22,301
Pargesa Holding SA, Geneve............................ 50 103,835
Roche Holding AG, Basel............................... 12 139,470
Sairgroup, Zuerich.................................... 540 99,240
Schindler Holding AG, Hergiswil Partizipsch........... 25 38,496
Schweizerische Lebensversicherungs und
Rentenanstalt....................................... 120 68,673
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 80 44,838
*Sulzer AG, Winterthur................................ 170 114,036
*Unaxis Holding AG.................................... 500 116,520
-----------
TOTAL COMMON STOCKS
(Cost $1,327,861).................................... 1,759,394
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $5,878)....................................... 6,019
-----------
RIGHTS/WARRANTS -- (0.0%)
*Baloise-Holding, Basel Warrants 06/16/00
(Cost $0)........................................... 360 1,187
-----------
TOTAL -- SWITZERLAND
(Cost $1,333,739).................................... 1,766,600
-----------
NETHERLANDS -- (7.6%)
COMMON STOCKS -- (7.6%)
ABN-AMRO Holding NV................................... 8,839 200,834
Asr Verzekeringsgroep NV.............................. 837 43,081
Buhrmann NV........................................... 2,112 63,951
DSM NV................................................ 1,739 56,446
Fortis (NL)........................................... 6,762 176,845
Heineken Holding NV Series A.......................... 3,125 102,014
Ing Groep NV.......................................... 5,539 329,326
KLM (Koninklijke Luchtvaart Mij) NV................... 1,475 32,762
</TABLE>
18
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Koninklijke KPN NV.................................... 1,523 $ 136,724
Royal Philips Electronics NV, Eindhoven............... 10,304 457,348
-----------
TOTAL COMMON STOCKS
(Cost $853,789)...................................... 1,599,331
-----------
RIGHTS/WARRANTS -- (0.0%)
*Fortis (NL) Rights 06/19/00
(Cost $0)........................................... 6,762 0
-----------
TOTAL -- NETHERLANDS
(Cost $853,789)...................................... 1,599,331
-----------
ITALY -- (3.5%)
COMMON STOCKS -- (3.5%)
Banca Commerciale Italiana SpA........................ 5,411 25,693
Banca di Roma......................................... 80,000 85,989
Banca Intesa SpA, Milano.............................. 1,213 4,759
Banca Toscana......................................... 7,500 24,483
CIR SpA (Cie Industriale Riunite), Torino............. 15,000 47,854
Cartiere Burgo SpA.................................... 3,000 28,323
*Compagnia di Partecipazioni Assicurative Industriali
SpA................................................. 20,000 25,411
Fiat SpA.............................................. 7,260 183,338
IFIL Finanziaria Partecipazioni SpA................... 4,500 34,013
*Immsi SpA............................................ 3,500 4,901
Italcementi Fabriche Riunite Cemento SpA, Bergamo..... 5,200 46,875
Parmalat Finanziaria SpA.............................. 20,000 24,743
RAS SpA (Riunione Adriatica di Sicurta)............... 13,800 129,005
*SNIA SpA............................................. 15,000 14,259
Sirti SpA............................................. 3,500 6,394
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 2,800 41,132
-----------
TOTAL -- ITALY
(Cost $674,146)...................................... 727,172
-----------
SPAIN -- (3.0%)
COMMON STOCKS -- (3.0%)
Aceralia Corporacion Siderurgica SA................... 1,600 16,738
Acerinox SA........................................... 2,500 84,394
Aguas de Barcelona SA................................. 1,700 22,939
Aumar (Autopistas del Mare Nostrum SA)................ 4,200 63,334
Autopistas Concesionaria Espanola SA.................. 7,607 71,958
Banco Pastor SA, La Coruna............................ 400 16,204
Cia Espanola de Petroleous SA......................... 17,100 152,242
Cristaleria Espanola SA, Madrid....................... 350 10,923
Grupo Dragados SA, Madrid............................. 7,500 55,088
Hidroelectrica del Cantabrico SA...................... 7,200 146,500
-----------
TOTAL -- SPAIN
(Cost $692,118)...................................... 640,320
-----------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
Assidomaen AB......................................... 4,810 82,986
*Avesta Sheffield AB.................................. 2,000 7,300
*Diligentia AB........................................ 560 5,592
Gambro AB Series A.................................... 2,500 18,584
Holmen AB Series B.................................... 2,300 58,693
SSAB Swedish Steel Series A........................... 1,200 12,715
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Skandinaviska Enskilda Banken Series A................ 4,700 $ 51,104
Svenska Cellulosa AB Series B......................... 2,900 58,077
Svenska Kullagerfabriken AB Series B.................. 1,900 34,677
Trelleborg AB Series B................................ 1,400 9,320
Volvo AB Series A..................................... 2,400 55,386
Volvo AB Series B..................................... 5,100 120,817
-----------
TOTAL COMMON STOCKS
(Cost $605,392)...................................... 515,251
-----------
RIGHTS/WARRANTS -- (0.0%)
*Volvo AB Series A Redemption Rights 06/30/00......... 2,400 1,491
*Volvo AB Series B Redemption Rights 06/30/00......... 5,100 3,254
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 4,745
-----------
TOTAL -- SWEDEN
(Cost $605,392)...................................... 519,996
-----------
AUSTRALIA -- (2.3%)
COMMON STOCKS -- (2.2%)
Amcor, Ltd............................................ 4,441 12,769
Boral, Ltd............................................ 4,645 5,008
CSR, Ltd.............................................. 16,261 37,478
Colonial, Ltd......................................... 10,557 56,668
Goodman Fielder, Ltd.................................. 19,455 13,763
*Hanson P.L.C......................................... 804 5,422
MIM Holdings.......................................... 12,476 5,836
Mayne Nickless, Ltd................................... 5,774 9,948
Normandy Mining, Ltd.................................. 27,638 13,087
Orica, Ltd............................................ 3,119 12,634
*Origin Energy, Ltd................................... 4,645 3,657
Pacific Dunlop, Ltd................................... 15,286 14,563
*Paperlinx, Ltd....................................... 1,480 2,567
*Pasminco, Ltd........................................ 16,755 8,698
Rio Tinto, Ltd........................................ 9,167 130,921
Santos, Ltd........................................... 8,775 22,527
St. George Bank, Ltd.................................. 6,881 45,851
WMC, Ltd.............................................. 16,569 67,936
-----------
TOTAL COMMON STOCKS
(Cost $547,171)...................................... 469,333
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $16,591)...................................... 16,410
-----------
TOTAL -- AUSTRALIA
(Cost $563,762)...................................... 485,743
-----------
BELGIUM -- (2.1%)
COMMON STOCKS -- (2.1%)
Bekaert SA............................................ 1,000 51,471
CMB (Cie Martime Belge)............................... 300 16,262
Cofinimmo SA.......................................... 220 19,179
Electrafina SA........................................ 200 26,728
Glaverbel SA.......................................... 200 14,440
Groupe Bruxelles Lambert SA, Bruxelles................ 200 47,854
Solvay SA............................................. 2,300 153,578
Suez Lyonnaise des Eaux SA............................ 500 82,863
*Suez Lyonnaise des Eaux SA CVG....................... 500 2,838
</TABLE>
19
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Suez Lyonnaise des Eaux SA VVPR...................... 500 $ 4
Union Miniere SA...................................... 600 21,211
-----------
TOTAL -- BELGIUM
(Cost $437,936)...................................... 436,428
-----------
HONG KONG -- (2.0%)
COMMON STOCKS -- (2.0%)
Amoy Properties, Ltd.................................. 68,000 40,362
*Chinese Estates Holdings, Ltd........................ 27,834 2,536
*Evergo China Holdings, Ltd........................... 5,757 70
Great Eagle Holdings, Ltd............................. 7,482 9,842
Hang Lung Development Co., Ltd........................ 25,000 15,721
Hong Kong and Shanghai Hotels, Ltd.................... 18,416 8,509
Hopewell Holdings, Ltd................................ 14,000 5,660
Hysan Development Co., Ltd............................ 17,390 18,859
Kerry Properties, Ltd................................. 14,000 13,655
New World Development Co., Ltd........................ 9,000 9,009
*Paliburg Holdings, Ltd............................... 45,000 1,531
Shangri-La Asia, Ltd.................................. 30,000 30,608
Sino Land Co., Ltd.................................... 46,570 15,689
Swire Pacific, Ltd. Series A.......................... 22,000 127,053
Tan Chong International Limited....................... 30,000 3,696
Tsim Sha Tsui Properties, Ltd......................... 12,000 7,546
Wharf Holdings, Ltd................................... 52,457 94,250
Wheelock and Co., Ltd................................. 34,000 21,163
-----------
TOTAL COMMON STOCKS
(Cost $828,021)...................................... 425,759
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $3,172)....................................... 3,169
-----------
RIGHTS/WARRANTS -- (0.0%)
*Chinese Estates Holdings, Ltd. Warrants 11/24/00
(Cost $0)........................................... 2,530 34
-----------
TOTAL -- HONG KONG
(Cost $831,193)...................................... 428,962
-----------
FINLAND -- (1.6%)
COMMON STOCKS -- (1.6%)
Fortum Oyj............................................ 23,229 86,171
Huhtamaki Van Leer Oyj................................ 1,300 40,750
Kemira Oyj............................................ 3,800 20,087
Kesko Oyj............................................. 4,800 47,676
Metra Oyj Series B.................................... 1,400 25,318
Metsa-Serla Oyj Series B.............................. 6,800 52,658
Outokumpu Oyj Series A................................ 5,000 53,326
Sanitec Oyj........................................... 413 4,022
Stockmann Oy AB....................................... 1,000 16,693
-----------
TOTAL -- FINLAND
(Cost $416,683)...................................... 346,701
-----------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Jyske Bank A.S........................................ 1,500 27,948
*Nordic Baltic Holding AB............................. 14,330 91,677
Realdanmark A.S....................................... 2,003 65,187
-----------
TOTAL -- DENMARK
(Cost $188,530)...................................... 184,812
-----------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
Fraser & Neave, Ltd................................... 10,000 29,715
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Keppel Corp., Ltd..................................... 24,000 $ 45,698
Keppel Land, Ltd...................................... 29,000 26,773
*Neptune Orient Lines, Ltd............................ 23,000 17,385
Singapore Land, Ltd................................... 9,000 14,384
United Industrial Corp., Ltd.......................... 43,000 17,616
United Overseas Land, Ltd............................. 12,000 7,963
-----------
TOTAL COMMON STOCKS
(Cost $330,769)...................................... 159,534
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $928)......................................... 919
-----------
TOTAL -- SINGAPORE
(Cost $331,697)...................................... 160,453
-----------
IRELAND -- (0.5%)
COMMON STOCKS -- (0.5%)
Independent News & Media P.L.C........................ 5,095 39,691
Jefferson Smurfit Group P.L.C......................... 33,549 65,338
-----------
TOTAL -- IRELAND
(Cost $124,710)...................................... 105,029
-----------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Carter Holt Harvey, Ltd............................... 24,100 19,371
Lion Nathan, Ltd...................................... 7,600 15,133
-----------
TOTAL COMMON STOCKS
(Cost $48,110)....................................... 34,504
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $607)......................................... 553
-----------
TOTAL -- NEW ZEALAND
(Cost $48,717)....................................... 35,057
-----------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
*Euro Currency
(Cost $32,923)...................................... 33,302
-----------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (1.6%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $350,804) to be
repurchased at $344,057............................. $ 344 344,000
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $21,395,193)++..... $21,018,118
===========
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $21,396,148
</TABLE>
See accompanying Notes to Financial Statements.
20
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (23.8%)
COMMON STOCKS -- (23.8%)
Achilles Corp......................................... 6,000 $ 9,083
Aica Kogyo Co., Ltd................................... 3,000 21,286
Aichi Tokei Denki Co., Ltd............................ 3,000 8,442
Aida Engineering, Ltd................................. 3,000 11,340
Air Water, Inc........................................ 4,000 13,931
*Akai Electric Co., Ltd............................... 9,000 2,257
Amada Co., Ltd........................................ 2,619 22,621
Amada Sonoike Co., Ltd................................ 7,000 14,497
Arai-Gumi, Ltd........................................ 1,200 1,594
Asahi Denka Kogyo KK.................................. 3,000 20,868
Asahi Diamond Industrial Co., Ltd..................... 5,000 27,304
Asahi Kogyosha Co., Ltd............................... 3,000 6,269
Asahi Optical Co., Ltd................................ 5,000 11,841
Asahi Organic Chemicals Industry Co., Ltd............. 3,000 8,024
Ashimori Industry Co., Ltd............................ 3,000 5,823
*Asics Corp........................................... 7,000 7,411
*Atsugi Nylon Industrial Co., Ltd..................... 19,000 18,352
Azel Corp., Tokyo..................................... 2,000 5,665
Bando Chemical Industries, Ltd........................ 5,000 9,798
*Bank of Osaka, Ltd................................... 9,000 18,222
CKD Corp.............................................. 2,000 13,206
Central Finance Co., Ltd.............................. 4,000 11,776
Central Glass Co., Ltd................................ 7,000 18,463
*Chiba Kogyo Bank, Ltd................................ 800 8,381
*Chiyoda Corp......................................... 12,000 12,148
*Chori Co., Ltd....................................... 5,000 5,015
Chukyo Coca-Cola Bottling Co., Ltd.................... 3,000 30,954
Chukyo Sogo Bank, Ltd................................. 5,000 19,921
Dai-Dan Co., Ltd...................................... 3,000 11,590
Daihen Corp........................................... 11,000 20,023
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 4,000 13,559
Daisan Bank, Ltd...................................... 4,000 17,088
*Daiwa Danchi Co., Ltd................................ 5,000 10,402
Daiwabo Co., Ltd...................................... 8,000 7,430
Denki Kogyo Co., Ltd.................................. 3,000 26,719
France Bed Co., Ltd................................... 4,000 16,197
*Fuji Kosan Co., Ltd.................................. 6,000 3,845
Fuji Kyuko Co., Ltd................................... 5,000 15,788
*Fuji Spinning Co., Ltd., Tokyo....................... 4,000 2,340
*Fujiko Co., Ltd...................................... 4,000 2,786
*Fujiya Co., Ltd...................................... 10,000 24,054
*Furukawa Battery Co., Ltd............................ 3,000 7,746
*Furukawa Co., Ltd.................................... 18,000 32,431
Fuso Pharmaceutical Industries, Ltd................... 5,000 26,051
*Gakken Co., Ltd...................................... 3,000 5,238
*Godo Steel, Ltd...................................... 6,000 5,015
*Hazama Corp.......................................... 17,000 7,263
Hitachi Electronics, Ltd.............................. 3,000 15,157
Hitachi Medical Corp.................................. 2,000 22,011
Hitachi Plant Engineering & Construction Co., Ltd..... 6,000 13,429
*Hitachi Seiki Co., Ltd............................... 4,000 6,650
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Hokkaido Gas Co., Ltd................................. 4,000 $ 7,244
*Hokuriku Electric Industry Co., Ltd.................. 4,000 8,359
Horiba, Ltd........................................... 2,000 21,323
*Howa Machinery, Ltd.................................. 5,000 6,315
Ichikoh Industries, Ltd............................... 4,000 7,727
Iino Kaiun Kaisha, Ltd................................ 9,000 12,705
Inageya Co., Ltd...................................... 2,000 13,931
*Iseki & Co., Ltd..................................... 14,000 11,442
Itochu Fuel Corp...................................... 4,000 12,593
*Iwasaki Electric Co., Ltd............................ 4,000 8,173
*Iwatsu Electric Co., Ltd............................. 3,000 7,216
*JGC Corp............................................. 10,000 28,790
*Japan Aviation Electronics Industry, Ltd............. 3,000 16,717
*Japan Coated Paper Manufacturing Co., Ltd............ 3,000 2,006
*Japan Paperboard Industries Co., Ltd., Tokyo......... 3,000 7,467
Japan Pulp and Paper Co., Ltd......................... 5,000 15,742
*Japan Steel Works, Ltd............................... 21,000 19,893
Japan Transcity Corp.................................. 3,000 5,349
Japan Vilene Co., Ltd................................. 3,000 6,074
Japan Wool Textile Co., Ltd........................... 6,000 20,283
Jeol, Ltd............................................. 5,000 22,754
Joshin Denki Co., Ltd................................. 2,000 4,997
Kagawa Bank, Ltd...................................... 3,000 15,296
Kaken Pharmaceutical Co., Ltd......................... 7,000 42,582
*Kanematsu Corp....................................... 10,500 7,801
Kanematsu-NNK Corp.................................... 3,000 4,792
*Kansai Kisen Kaisha.................................. 9,000 4,681
Kanto Auto Works, Ltd., Yokosuka...................... 3,000 19,587
Kanto Denka Kogyo Co., Ltd............................ 4,000 19,317
Kawada Industries, Inc................................ 2,000 3,696
Kawai Musical Instruments Manufacturing Co., Ltd...... 5,000 6,873
Keiyo Co., Ltd........................................ 2,000 7,913
Kita-Nippon Bank, Ltd................................. 400 20,246
Kokusai Kogyo Co., Ltd................................ 2,000 10,792
*Komatsu Forklift Co., Ltd............................ 3,000 4,764
*Kosei Securities Co., Ltd............................ 4,000 11,628
Kurabo Industries, Ltd................................ 13,000 17,265
*Kuraya Sanseido Shares............................... 8,500 65,521
Kyodo Shiryo Co., Ltd................................. 5,000 5,665
Kyushu Bank, Ltd...................................... 4,000 12,073
Life Corp............................................. 2,000 11,516
*Marudai Food Co., Ltd................................ 5,000 8,266
Maruha Corp........................................... 18,000 24,574
Maruyama Manufacturing Co., Inc....................... 3,000 4,291
Maruzen Co., Ltd...................................... 4,000 5,572
Matsuo Bridge Co., Ltd................................ 3,000 5,405
Misawa Homes Co., Ltd................................. 9,000 28,502
Mitsubishi Cable Industries, Ltd...................... 14,000 28,995
*Mitsubishi Plastics, Inc............................. 16,000 24,072
*Mitsubishi Shindoh Co., Ltd.......................... 3,000 8,191
*Mitsubishi Steel Manufacturing Co., Ltd.............. 5,000 3,111
</TABLE>
21
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Mitsuboshi Belting, Ltd............................... 8,000 $ 20,283
*Mitsui Construction Co., Ltd......................... 6,000 4,179
Mitsui Home Co., Ltd.................................. 4,000 14,079
*Mitsui Mining Co., Ltd............................... 5,000 3,994
Mitsuuroko Co., Ltd................................... 3,000 15,324
Miura Co., Ltd........................................ 2,000 23,961
*Morinaga & Co., Ltd.................................. 16,000 33,731
Nachi-Fujikoshi Corp.................................. 13,000 22,336
Nakamuraya Co., Ltd................................... 3,000 7,216
Nakayama Steel Works, Ltd............................. 5,000 6,687
Nichias Corp.......................................... 4,000 8,396
Nichiha Corp.......................................... 4,000 28,605
Nichimo Co., Ltd...................................... 5,000 6,130
Nichireki Co., Ltd.................................... 2,000 8,098
Nichiro Corp.......................................... 5,000 7,755
Nifco, Inc............................................ 2,000 22,252
*Niigata Engineering Co., Ltd......................... 14,000 10,142
Nikkiso Co., Ltd...................................... 4,000 21,249
Nippon Beet Sugar Manufacturing Co., Ltd.............. 5,000 6,315
*Nippon Carbon Co., Ltd............................... 5,000 4,736
Nippon Chemical Industrial Co., Ltd................... 2,000 6,148
Nippon Chemi-Con Corp................................. 5,000 22,614
*Nippon Columbia Co., Ltd............................. 3,000 5,099
*Nippon Concrete Industries Co., Ltd.................. 3,000 2,870
Nippon Densetsu Kogyo Co., Ltd........................ 2,000 5,684
*Nippon Kasei Chemical Co., Ltd....................... 5,000 7,105
Nippon Shinyaku Co., Ltd.............................. 3,000 23,097
Nippon Signal Co., Ltd................................ 3,000 12,872
*Nippon Steel Chemical Co., Ltd....................... 6,000 10,420
Nippon Suisan Kaisha, Ltd............................. 18,000 29,088
Nippon Synthetic Chemical Industry Co., Ltd........... 3,000 3,929
Nissan Shatai Co., Ltd................................ 11,000 17,367
Nissha Printing Co., Ltd.............................. 3,000 17,692
Nisshin Oil Mills, Ltd................................ 10,000 32,134
Nitsuko Corp.......................................... 3,000 14,070
Nittetsu Mining Co., Ltd.............................. 3,000 6,269
*Odakyu Real Estate Co., Ltd.......................... 4,000 7,430
Okamoto Industries, Inc............................... 9,000 19,392
*Okura and Co., Ltd................................... 6,000 0
*Pacific Metals Co., Ltd.............................. 7,000 17,878
Parco Co., Ltd........................................ 2,000 5,888
*Pasco Corp........................................... 1,000 5,712
*Prima Meat Packers, Ltd.............................. 5,000 6,594
Raito Kogyo Co., Ltd.................................. 2,400 9,540
Rasa Industries, Ltd.................................. 3,000 7,829
Rheon Automatic Machinery Co., Ltd.................... 2,000 7,300
Rohto Pharmaceutical Co., Ltd......................... 2,000 17,367
*Ryobi, Ltd........................................... 5,000 5,479
Ryoyo Electro Corp.................................... 2,000 34,456
SXL Corp.............................................. 3,000 7,160
Sagami Co., Ltd....................................... 3,000 7,272
Sakata Inx Corp....................................... 3,000 8,442
*Sankyo Aluminum Industry Co., Ltd.................... 16,000 13,374
Sankyu, Inc., Tokyo................................... 20,000 16,903
Sanyo Shokai, Ltd..................................... 5,000 14,720
Sanyo Special Steel Co., Ltd.......................... 7,000 8,971
*Sasebo Heavy Industries Co., Ltd., Tokyo............. 7,000 4,876
Seiko Corp............................................ 3,150 14,423
Seiyo Food Systems, Inc............................... 3,000 10,169
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Shikoku Chemicals Corp................................ 3,000 $ 8,971
Shimizu Bank, Ltd..................................... 400 15,788
Shinagawa Fuel Co., Ltd............................... 3,000 10,309
Shindengen Electric Manufacturing Co., Ltd............ 3,000 15,407
Shin-Etsu Polymer Co., Ltd............................ 5,000 32,737
*Shinko Electric Co., Ltd............................. 6,000 9,083
*Shinmaywa Industries, Ltd............................ 5,000 7,616
*Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 12,000 16,048
Showa Sangyo Co., Ltd................................. 10,000 15,788
*Sumitomo Construction Co., Ltd....................... 6,000 4,792
*Sumitomo Light Metal Industries, Ltd................. 11,000 7,968
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 2,000 6,724
Sun Wave Corp......................................... 2,000 3,529
Taisei Rotec Corp..................................... 3,000 4,291
Takaoka Electric Manufacturing Co., Ltd., Tokyo....... 4,000 6,501
Takasago International Corp........................... 3,000 11,590
*Takashima & Co., Ltd................................. 4,000 4,384
Takiron Co., Ltd...................................... 3,000 11,395
Tamura Corp........................................... 4,000 17,460
Tasaki Shinju Co., Ltd................................ 2,000 8,117
*Teac Corp............................................ 5,000 17,599
Teisan KK............................................. 5,000 21,500
Tenma Corp............................................ 2,000 21,268
Toa Corp.............................................. 12,000 13,485
Toa Doro Kogyo Co., Ltd............................... 3,000 6,408
*Toa Wool Spinning & Weaving Co., Ltd................. 6,000 5,238
Tochigi Bank, Ltd..................................... 3,000 16,438
Toenec Corp........................................... 3,000 10,281
Toho Zinc Co., Ltd.................................... 4,000 6,761
Tokai Carbon Co., Ltd................................. 12,000 25,633
Tokico, Ltd........................................... 4,000 7,616
Tokin Corp............................................ 2,000 17,088
Tokushu Paper Manufacturing Co., Ltd.................. 3,000 11,395
Tokyo Rope Manufacturing Co., Ltd..................... 4,000 4,569
Tokyo Securities Co., Ltd............................. 4,000 14,265
*Tokyo Tekko Co., Ltd................................. 3,000 2,006
Tokyo Theatres Co., Inc., Tokyo....................... 6,000 9,417
*Tokyu Hotel Chain Co., Ltd........................... 12,000 19,503
Tokyu Store Chain Corp................................ 4,000 11,070
Tonami Transportation Co., Ltd........................ 3,000 5,433
Topy Industries, Ltd.................................. 16,000 24,072
*Toshiba Machine Co., Ltd............................. 6,000 12,928
*Totoku Electric Co., Ltd., Tokyo..................... 3,000 8,581
Toyo Chemical Co., Ltd................................ 3,000 12,008
*Toyo Electric Co., Ltd............................... 5,000 7,198
*Toyo Engineering Corp................................ 11,000 10,114
Toyo Exterior Co., Ltd................................ 3,000 22,902
Toyo Kohan Co., Ltd................................... 3,000 10,281
*Toyo Tire & Rubber Co., Ltd.......................... 8,000 10,922
Toyo Umpanki Co., Ltd................................. 5,000 10,912
*Tsumura & Co., Inc................................... 3,000 11,089
*Unisia Jecs Corp..................................... 3,000 3,511
Wakachiku Construction Co., Ltd....................... 4,000 4,904
Yokohama Reito Co., Ltd............................... 3,000 18,249
Yomiuri Land Co., Ltd................................. 3,000 9,919
Yondenko Corp......................................... 2,100 6,241
</TABLE>
22
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Yonekyu Corp.......................................... 2,000 $ 23,032
Yoshimoto Kogyo Co., Ltd.............................. 2,000 24,555
*Yuasa Corp........................................... 7,000 15,407
Yurtec Corp........................................... 4,000 10,959
Zenchiku Co., Ltd..................................... 4,000 7,653
-----------
TOTAL COMMON STOCKS
(Cost $4,535,998).................................... 2,851,400
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $2,553)........................... 2,569
-----------
TOTAL -- JAPAN
(Cost $4,538,551).................................... 2,853,969
-----------
UNITED KINGDOM -- (20.0%)
COMMON STOCKS -- (18.9%)
Abbot Group P.L.C..................................... 7,000 9,940
*Alldays P.L.C........................................ 2,300 1,410
Amec P.L.C............................................ 9,315 31,118
*Anite Group P.L.C.................................... 7,470 18,088
*Arena Leisure P.L.C.................................. 8,000 20,806
Ash & Lacy P.L.C...................................... 7,000 14,596
BICC P.L.C............................................ 22,911 30,478
BPP Holdings P.L.C.................................... 1,400 14,596
Bellway P.L.C......................................... 4,000 15,156
Benchmark Group P.L.C................................. 5,000 16,815
Berisford P.L.C....................................... 7,000 34,318
Bespak P.L.C.......................................... 1,360 9,422
*Biocompatibles International P.L.C................... 4,000 17,129
Black (Peter) Holdings P.L.C.......................... 3,000 11,883
Body Shop International P.L.C......................... 8,000 15,007
*Booker P.L.C......................................... 11,000 21,703
Bradford Property Trust P.L.C......................... 6,000 20,178
Bradstock Group P.L.C................................. 21,000 5,964
Brake Brothers P.L.C.................................. 2,430 20,340
Brammer (H.) P.L.C.................................... 1,933 11,557
Britax International P.L.C............................ 13,300 23,259
*British Biotech P.L.C................................ 30,000 10,089
British Polythene Industries P.L.C.................... 2,000 5,052
Bryant Group P.L.C.................................... 11,210 19,604
Bulmer (H.P.) Holdings P.L.C.......................... 2,002 13,466
Cannons Group P.L.C................................... 11,000 19,977
Carpetright P.L.C..................................... 4,000 27,502
Charter P.L.C......................................... 4,767 28,501
*Chrysalis Group P.L.C................................ 5,000 17,376
City Centre Restaurants P.L.C......................... 9,500 7,242
Cordiant Communications Group P.L.C................... 12,000 46,635
Countrywide Assured Group P.L.C....................... 14,000 30,970
Courts P.L.C.......................................... 2,320 9,710
Cox Insurance Holdings P.L.C.......................... 7,000 20,246
Croda International P.L.C............................. 4,000 15,664
*Danka Business Systems P.L.C......................... 7,000 8,213
Davis Service Group P.L.C............................. 4,000 20,089
Dawson Group P.L.C.................................... 4,000 5,829
Dawson International P.L.C............................ 5,138 4,973
*Delta P.L.C.......................................... 6,000 10,941
Derwent Valley Holdings P.L.C......................... 2,000 17,981
Devro P.L.C........................................... 8,000 6,218
Dewhirst Group P.L.C.................................. 6,000 5,560
*Dialog Corp. P.L.C................................... 8,000 8,908
Diploma P.L.C......................................... 1,500 3,980
*Elementis P.L.C...................................... 13,000 15,739
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ellis & Everard P.L.C................................. 4,514 $ 11,234
Esporta P.L.C......................................... 5,100 7,547
Euromoney Publications P.L.C.......................... 990 29,965
Fairey Group P.L.C.................................... 4,610 29,182
*Fairey Group P.L.C. Issue 2000....................... 768 4,861
First Choice Holidays................................. 14,437 30,642
Forth Ports P.L.C..................................... 2,000 16,292
GWR Group P.L.C....................................... 5,000 50,371
Geest P.L.C........................................... 3,038 22,818
Go-Ahead Group P.L.C.................................. 2,000 13,153
Grantchester Holdings P.L.C........................... 10,000 24,139
Greene King P.L.C..................................... 2,000 13,796
Greggs P.L.C.......................................... 640 21,882
Hazlewood Foods P.L.C................................. 11,000 13,647
Henlys Group P.L.C.................................... 2,800 16,322
Heywood Williams Group P.L.C.......................... 5,000 16,330
Hiscox P.L.C.......................................... 6,000 10,134
Hogg Robinson P.L.C................................... 4,770 19,999
House of Fraser P.L.C................................. 8,000 5,799
Hunting P.L.C......................................... 5,163 10,765
Iceland Group P.L.C................................... 8,000 28,878
*Incepta Group P.L.C.................................. 11,000 17,428
JJB Sports P.L.C...................................... 6,000 46,859
Jardine Lloyd Thompson Group P.L.C.................... 8,790 36,262
*John Mansfield Group P.L.C........................... 113,828 10,208
Johnston Press P.L.C.................................. 7,010 27,295
Laird Group P.L.C..................................... 6,800 22,208
Lasmo P.L.C........................................... 15,000 26,680
London Clubs International P.L.C...................... 7,000 10,097
*London Forfeiting Co................................. 5,000 1,271
London Merchant Securities P.L.C...................... 10,000 25,784
Low & Bonar P.L.C..................................... 5,000 10,089
Lynx Holdings P.L.C................................... 5,000 14,237
MacFarlane Group Clansman P.L.C....................... 6,000 5,740
Manchester United P.L.C............................... 12,093 58,745
McBride P.L.C......................................... 6,500 7,821
Meggitt P.L.C......................................... 12,785 32,582
*Menzies (John) P.L.C................................. 3,000 15,537
*Merant P.L.C......................................... 3,575 7,481
Mersey Docks & Harbour Co. P.L.C...................... 3,580 25,738
Molins P.L.C.......................................... 1,360 2,846
Mowlem (John) & Co. P.L.C............................. 8,148 13,458
*NXT P.L.C............................................ 2,800 35,574
Nestor Healthcare Group P.L.C......................... 3,700 24,389
*Oxford Molecular Group P.L.C......................... 6,530 2,489
Parity Group P.L.C.................................... 6,000 26,905
Perkins Foods P.L.C................................... 6,688 10,796
Persimmon P.L.C....................................... 8,775 25,052
*Premier Consolidated Oilfields P.L.C................. 40,000 7,025
Quick Group P.L.C..................................... 13,192 9,070
Redrow Group P.L.C.................................... 11,000 29,595
Regent Inns P.L.C..................................... 4,042 7,401
Renishaw P.L.C........................................ 2,904 21,052
Rotork P.L.C.......................................... 4,104 13,894
SIG P.L.C............................................. 4,300 14,622
Salvesen (Christian) P.L.C............................ 12,000 21,793
Scapa Group P.L.C..................................... 6,600 13,416
*Senior Engineering Group P.L.C....................... 12,000 12,914
Shanks & McEwan Group P.L.C........................... 8,000 21,643
*Smith (David S.) Holdings P.L.C...................... 9,000 19,439
*St. Ives P.L.C....................................... 3,000 19,461
</TABLE>
23
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
St. Modwen Properties P.L.C........................... 23,000 $ 36,527
Stanley Leisure Organisation P.L.C.................... 4,000 11,689
*Staveley Industries P.L.C............................ 6,000 4,260
Swan Hill Group P.L.C................................. 13,000 16,322
T & S Stores P.L.C.................................... 7,690 42,759
Tibbett & Britten Group P.L.C......................... 2,300 22,947
Tilbury Douglas P.L.C................................. 9,249 47,487
Transport Development Group P.L.C..................... 4,126 11,132
Versailles Group P.L.C................................ 13,000 48,578
Vitec Group P.L.C..................................... 2,000 14,573
Vosper Thornycroft Holdings P.L.C..................... 1,460 26,133
Wates City of London Properties P.L.C................. 12,000 14,708
Westbury P.L.C........................................ 5,170 18,353
Wilson (Connolly) Holdings P.L.C...................... 8,000 15,485
*Wimpey (George) P.L.C................................ 11,000 18,333
Wolverhampton & Dudley Breweries P.L.C................ 2,400 12,466
Yates Brothers Wine Lodges P.L.C...................... 3,045 10,263
-----------
TOTAL COMMON STOCKS
(Cost $2,633,853).................................... 2,268,895
-----------
INVESTMENT IN CURRENCY -- (1.1%)
*British Pound Sterling (Cost $126,271)............... 126,546
-----------
TOTAL -- UNITED KINGDOM
(Cost $2,760,124).................................... 2,395,441
-----------
GERMANY -- (8.1%)
COMMON STOCKS -- (8.1%)
AGIV AG fuer Industrie & Verkehrswesen................ 1,700 30,270
Andreae-Noris Zahn AG, Anzag.......................... 580 10,059
*Baader Wertpapier Handelsbank AG..................... 1,100 34,277
*Barmag AG............................................ 700 9,575
Bayerische Handelsbank AG............................. 860 21,933
Bilfinger & Berger Bau AG, Mannheim................... 2,000 29,770
Binding-Brauerei AG................................... 70 12,341
*Brau und Brunnen AG.................................. 300 12,311
*Concordia Bau and Boden AG Issue 99.................. 266 1,603
*Concordia Bau und Boden AG........................... 667 4,021
*Deutsche Babcock AG, Oberhausen...................... 380 14,625
Duerr Beteiligungs AG................................. 500 10,758
Dyckerhoff and Widmann AG............................. 1,000 5,379
Fag Kugelfischer Georg Schaeffer AG................... 3,250 24,112
Gerresheimer Glas AG.................................. 1,000 14,143
Gildemeister AG....................................... 2,400 19,587
Goldschmidt (T.H.) AG................................. 1,300 32,431
Harpener AG........................................... 125 21,562
Holsten-Brauerei AG................................... 1,000 16,183
*Holzmann (Philipp) AG................................ 200 3,524
Horten AG............................................. 2,000 22,462
Iwka AG............................................... 1,000 15,478
K & S Aktiengesellschaft AG........................... 2,000 29,529
KWS Kleinwanzlebener Saatzucht AG..................... 15 7,025
*Kabel New Media AG................................... 900 25,040
Kiekert AG............................................ 500 13,355
*Kloeckner Humboldt-Deutz AG.......................... 3,300 15,057
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kloeckner-Werke AG.................................... 2,000 $ 37,653
Kolbenschmidt Pierburg AG, Duesseldorf................ 1,300 17,240
Kraftuebertragungswerke Rheinfelden AG................ 80 21,367
Mannheimer Aktiengesellschaft Holding AG.............. 480 28,267
Nuernberger Hypothekenbank AG......................... 750 20,519
Pfleiderer AG......................................... 2,100 15,970
Phoenix AG, Hamburg................................... 1,000 10,758
Plettac AG............................................ 70 954
Rheinmetall Berlin AG................................. 990 14,415
Rhoen Klinikum AG..................................... 600 24,261
Salamander AG......................................... 1,000 12,891
Salzgitter AG......................................... 3,100 23,000
Schmalbach-Lubeca AG.................................. 3,640 19,276
*Schneider Rundfunkwerke AG........................... 710 38,717
*Schwarz Pharma AG.................................... 1,200 26,709
*Ser Systeme.......................................... 900 30,048
*Sixt AG.............................................. 900 21,034
*Strabag AG........................................... 166 5,865
Stuttgarter Hofbraeu AG............................... 1,000 18,548
Sued-Chemie AG........................................ 200 11,778
Sueddeutsche Bodencreditbank AG....................... 160 4,897
Tarkett AG............................................ 1,200 7,178
*Teldafax AG.......................................... 1,800 16,526
Varta AG.............................................. 1,300 11,574
Vereinigte Deutsche Nickel-Werke AG................... 2,190 43,646
Vossloh AG............................................ 800 15,766
Walter AG............................................. 1,000 19,939
-----------
TOTAL -- GERMANY
(Cost $1,254,869).................................... 975,206
-----------
FRANCE -- (7.3%)
COMMON STOCKS -- (7.3%)
Boiron SA............................................. 300 16,248
Bollore Technologies SA............................... 200 31,810
Brioche Pasquier SA................................... 200 16,786
Carbone Lorraine...................................... 400 18,808
*Comptoir des Entrepreneurs SA........................ 690 24,445
Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA........................................... 100 39,229
*DMC (Dollfus Mieg et Cie)............................ 300 1,224
Damart SA............................................. 300 19,016
De Dietrich & Co...................................... 450 26,521
De la Rue Imperiale de Lyon........................... 20 38,153
Fimalac SA............................................ 330 47,743
GFI Industries SA..................................... 500 9,970
Gaumont............................................... 408 27,622
*Generale de Geophysique SA........................... 435 26,827
*Grandvision SA....................................... 600 15,692
Groupe Andre SA....................................... 304 42,290
Groupe du Louvre SA................................... 700 41,548
*Groupe Norbert Dentressangle SA...................... 600 10,227
Guyenne et Gascogne SA................................ 60 23,259
*Infogrames Entertainment SA.......................... 2,750 79,826
Legris Industries SA.................................. 400 16,359
*Metaleurop SA........................................ 1,500 10,155
*Moulinex SA.......................................... 2,880 17,094
</TABLE>
24
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Nord-Est SA........................................... 752 $ 18,809
*Remy Cointreau SA.................................... 900 19,448
Rochefortaise Communication SA........................ 207 66,326
SILIC (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 160 22,866
Signaux et d'Equipements Electroniques SA............. 321 17,415
Skis Rossignol SA..................................... 648 8,942
*Societe des Immeubles de France...................... 1,620 27,329
Sommer-Allibert SA.................................... 900 27,544
*Sopra SA............................................. 500 36,864
Sylea SA.............................................. 200 9,775
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 400 14,468
-----------
TOTAL COMMON STOCKS
(Cost $756,701)...................................... 870,638
-----------
RIGHTS/WARRANTS -- (0.0%)
*Continental d'Enterprises SA Warrants 10/31/01
(Cost $1,020)....................................... 752 1,046
-----------
TOTAL -- FRANCE
(Cost $757,721)...................................... 871,684
-----------
HONG KONG -- (5.4%)
COMMON STOCKS -- (5.3%)
*Allied Group, Ltd.................................... 276,000 20,898
*Allied Properties (Hong Kong), Ltd................... 142,000 8,201
Asia Financial Holdings, Ltd.......................... 49,830 8,633
Asia Standard International Group, Ltd................ 70,000 5,839
Cafe de Coral Holdings, Ltd........................... 78,000 28,529
*Century City International Holdings, Ltd............. 394,000 14,158
Champion Technology Holdings, Ltd..................... 255,247 11,465
Chen Hsong Holdings, Ltd.............................. 72,000 10,811
*China Aerospace International Holdings, Ltd.......... 46,800 7,388
*China Everbright Technology, Ltd..................... 206,000 15,862
China Foods Holdings, Ltd............................. 30,000 5,005
China Hong-Kong Photo Products Holdings, Ltd.......... 90,000 9,471
China Motor Bus Co., Ltd.............................. 1,600 9,076
China Online (Bermuda), Ltd........................... 740,000 20,418
Continental Mariner Investment Co., Ltd............... 60,000 12,782
Cross Harbour Tunnel Co., Ltd......................... 29,000 13,771
*DigitalHongKong.com.................................. 329 51
*Dong-Jun Holdings, Ltd............................... 92,000 295
Dynamic Holdings, Ltd................................. 92,000 10,862
Elec & Eltek International Holdings, Ltd.............. 110,000 13,270
FPB Bank Holding Co., Ltd............................. 50,000 6,866
*Founder Holdings, Ltd................................ 122,000 53,234
Four Seas Frozen Food Holdings, Ltd................... 22,620 1,452
Four Seas Mercantile Holdings, Ltd.................... 60,000 15,400
Gold Peak Industries (Holdings), Ltd.................. 81,250 17,727
Goldlion Holdings, Ltd................................ 37,000 2,469
Grande Holdings, Ltd.................................. 28,000 18,686
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Great Wall Electronic International, Ltd.............. 142,640 $ 5,492
Harbour Centre Development, Ltd....................... 9,000 5,833
International Bank of Asia, Ltd....................... 138,285 24,313
JCG Holdings, Ltd..................................... 28,000 13,835
Kumagai Gumi Hong Kong, Ltd........................... 27,000 3,916
*Lai Sun Development Co., Ltd......................... 86,000 2,759
*Lai Sun Hotels International, Ltd.................... 150,000 6,641
Liu Chong Hing Investment, Ltd........................ 18,000 9,009
Moulin International Holdings, Ltd.................... 101,085 7,914
Ngai Lik Industrial Holdings, Ltd..................... 94,000 34,381
*Oriental Press Group, Ltd............................ 85,000 12,763
*QPL International Holdings, Ltd...................... 23,000 32,469
Sea Holdings, Ltd..................................... 38,000 12,436
*Semi-Tech (Global) Co., Ltd.......................... 68,346 544
Shaw Brothers Hong Kong, Ltd.......................... 20,000 18,609
Shell Electric Manufacturing (Holdings) Co., Ltd...... 45,600 7,081
*Shougang Concord International Enterprises Co.,
Ltd................................................. 90,000 2,426
Shun Tak Holdings, Ltd................................ 224,000 21,561
*Silver Grant International Industries, Ltd........... 40,000 2,926
Sime Darby Hong Kong, Ltd............................. 20,000 5,262
Sun Hung Kai & Co., Ltd............................... 59,000 10,071
Tai Cheung Holdings, Ltd.............................. 25,000 3,497
*Tem Fat Hing Fung (Holdings), Ltd.................... 348,000 11,612
*Triplenic Holdings, Ltd.............................. 168,000 2,717
*Union Bank of Hong Kong, Ltd......................... 36,000 33,727
-----------
TOTAL COMMON STOCKS
(Cost $1,063,588).................................... 634,413
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars (Cost $6,612)...................... 6,611
-----------
RIGHTS/WARRANTS -- (0.0%)
*Grande Holdings, Ltd. Warrants 10/15/00 (Cost $0).... 5,600 395
-----------
TOTAL -- HONG KONG
(Cost $1,070,200).................................... 641,419
-----------
SINGAPORE -- (4.0%)
COMMON STOCKS -- (3.9%)
Amtek Engineering, Ltd................................ 18,750 5,626
Avimo Group, Ltd...................................... 11,000 20,310
Bukit Sembawang Estates, Ltd.......................... 1,000 7,501
Comfort Group, Ltd.................................... 37,000 14,197
First Capital Corp., Ltd.............................. 33,000 25,705
GK Goh Holdings, Ltd.................................. 17,000 9,515
Haw Par Brothers International, Ltd................... 24,000 27,696
Hitachi Zosen (Singapore), Ltd........................ 22,000 7,489
Hotel Plaza, Ltd...................................... 25,000 6,203
Hotel Properties, Ltd................................. 32,000 29,357
Inchcape Motors, Ltd.................................. 18,000 12,255
Kay Hian Holdings, Ltd. (Foreign)..................... 13,000 6,376
*Keppel Fels Energy and Infrastructure, Ltd........... 27,000 16,202
Keppel Marine Industries, Ltd......................... 24,000 18,833
Keppel Telecommunications and Transportation, Ltd..... 27,000 31,158
Kim Eng Holdings, Ltd................................. 65,000 25,128
*Labroy Marine, Ltd................................... 100,000 19,906
Orchard Parade Holdings, Ltd.......................... 11,239 3,859
</TABLE>
25
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Osprey Maritime, Ltd................................. 69,000 $ 16,124
Overseas Union Enterprise, Ltd........................ 6,000 13,986
Robinson & Co., Ltd................................... 8,000 17,264
*Scotts Holdings, Ltd................................. 25,000 5,626
Sime Singapore, Ltd................................... 49,000 14,136
Straits Trading Co., Ltd.............................. 51,000 45,023
Times Publishing, Ltd................................. 11,000 27,673
*Tuan Sing Holdings, Ltd.............................. 44,000 5,458
*Van der Horst, Ltd................................... 4,000 1,027
Vickers Ballas Holdings, Ltd.......................... 29,000 15,896
Wing Tai Holdings, Ltd................................ 25,000 16,300
-----------
TOTAL COMMON STOCKS
(Cost $602,310)...................................... 465,829
-----------
PREFERRED STOCKS -- (0.1%)
First Capital Corp., Ltd. 7% (Non-Redeemable
Convertible) (Cost $5,894).......................... 9,900 8,454
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $1,179)...................... 1,179
-----------
TOTAL -- SINGAPORE
(Cost $609,383)...................................... 475,462
-----------
AUSTRALIA -- (3.9%)
COMMON STOCKS -- (3.8%)
Adelaide Bank, Ltd.................................... 5,903 15,356
*Anaconda Nickel NL................................... 17,171 23,021
Ashton Mining, Ltd.................................... 22,406 10,482
*Aurora Gold, Ltd..................................... 15,600 1,468
Bank of Queensland, Ltd............................... 6,596 19,191
Capral Aluminium, Ltd................................. 9,174 11,671
*Centaur Mining & Exploration, Ltd.................... 16,005 1,324
*Climax Mining, Ltd................................... 1,273 54
Crane (G.E) Holdings, Ltd............................. 3,816 16,763
Evans Deakin Industries, Ltd.......................... 7,149 6,648
Foodland Associates, Ltd.............................. 4,429 19,329
GWA International, Ltd................................ 11,676 14,122
Goldfields, Ltd....................................... 22,716 13,867
Hills Industries, Ltd................................. 16,192 21,246
Iama, Ltd............................................. 14,718 9,656
Jupiters, Ltd......................................... 11,343 18,119
National Foods, Ltd................................... 13,030 21,334
*North Flinders Mines, Ltd............................ 6,728 13,626
OPSM Protector, Ltd................................... 2,313 3,365
*Origin Energy, Ltd................................... 26,697 21,018
Pacific BBA, Ltd...................................... 5,890 14,113
*Petsec Energy, Ltd................................... 4,391 228
*Queensland Metals Corp., Ltd......................... 42,779 8,542
*Resolute, Ltd........................................ 10,133 775
Ridley Corp., Ltd..................................... 35,556 11,359
Siddons Ramset, Ltd................................... 4,702 15,692
Simsmetal, Ltd........................................ 3,569 10,181
Sonic Healthcare, Ltd................................. 15,918 54,033
Sons of Gwalia, Ltd................................... 4,707 13,024
Spotless Services, Ltd................................ 32,573 23,972
*Thakral Holdings Group............................... 2,561 818
Thakral Holdings Group................................ 68,466 25,389
Tourism Assets Holdings, Ltd.......................... 35,578 11,569
-----------
TOTAL COMMON STOCKS
(Cost $660,111)...................................... 451,355
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar (Cost $13,056)..................... $ 13,047
-----------
RIGHTS/WARRANTS -- (0.0%)
*Ridley Corp., Ltd. Options 04/30/02 (Cost $0)........ 3,486 239
-----------
TOTAL -- AUSTRALIA
(Cost $673,167)...................................... 464,641
-----------
ITALY -- (3.4%)
COMMON STOCKS -- (3.4%)
*Ansaldo Trasporti SpA................................ 7,000 6,758
Banco di Desio e della Brianza SpA.................... 5,000 19,475
Buzzi Unicem SpA...................................... 3,000 26,348
Cartiere Burgo SpA.................................... 4,000 37,764
Cia Assicuratrice Unipol SpA.......................... 6,000 22,146
*Dalmine SpA.......................................... 82,000 20,381
Fabbrica Italiana Magneti Marelli SpA................. 7,500 38,116
Falck (Acciaierie & Ferriere Lombarde)................ 5,000 34,592
Gewiss SpA............................................ 6,000 40,453
Impregilo SpA......................................... 19,000 10,766
Italmobiliare SpA, Milano............................. 750 16,311
*Premafin Finanziaria SpA............................. 29,600 14,686
*Premaimm SpA......................................... 7,400 1,935
SAFILO SpA (Sta Azionaria Fabbrica Italiana
Lavorazione Occhiali)............................... 5,000 47,761
SMI STA Metallurgica Italiana SpA..................... 31,000 19,090
*SNIA SpA Em 00....................................... 22,500 20,074
Vianini Lavori SpA.................................... 11,000 27,340
-----------
TOTAL -- ITALY
(Cost $312,462)...................................... 403,996
-----------
SWITZERLAND -- (3.3%)
COMMON STOCKS -- (3.3%)
Agie Charmilles Holding AG............................ 200 18,053
Attisholz Holding AG, Attisholz....................... 24 13,168
Bank Sarasin & Cie Series B, Basel.................... 10 23,658
Bobst SA, Prilly...................................... 20 28,437
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.......................................... 100 11,387
*ESEC Holding SA, Cham................................ 15 29,646
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 60 23,363
Financiere Michelin, Granges-Paccot................... 50 17,758
Forbo Holding AG, Eglisau............................. 51 19,798
Generali (Switzerland) Holdings, Adliswil............. 80 23,410
Kraftwerk Laufenburg, Laufenburg...................... 100 14,808
Moevenpick-Holding, Zuerich........................... 40 18,171
Oz Holding, Zuerich................................... 20 22,301
Phoenix Mecano AG, Stein am Rhein..................... 50 25,811
Sarna Kunststoff Holding AG, Sarnen................... 15 15,443
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 10 16,685
Sika Finanz AG, Baar.................................. 90 30,425
*Von Roll Holding AG, Gerlafingen..................... 1,359 17,038
Zuercher Ziegeleien Holding, Zuerich.................. 27 23,416
-----------
TOTAL COMMON STOCKS
(Cost $437,697)...................................... 392,776
-----------
</TABLE>
26
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (cost $4,467)........................... $ 4,508
-----------
TOTAL -- SWITZERLAND
(Cost $442,164)...................................... 397,284
-----------
SWEDEN -- (3.3%)
COMMON STOCKS -- (3.3%)
Allgon AB Series B.................................... 1,400 29,124
*Avesta Sheffield AB.................................. 14,800 54,024
Bergman & Beving AB Series B.......................... 2,500 29,402
Carbo AB.............................................. 2,400 41,806
Catena AB Series A.................................... 1,700 13,203
*Diligentia AB........................................ 3,100 30,955
Esselte AB Series A................................... 1,400 8,543
Esselte AB Series B................................... 1,100 6,652
Garphyttan Industrier AB.............................. 1,680 17,521
Lindex AB............................................. 700 16,931
Mandator AB........................................... 3,000 30,456
Nobelpharma AB........................................ 1,400 29,823
Rottneros Bruk AB..................................... 11,700 11,943
Scribona AB Series A.................................. 1,500 3,828
Sifo Group AB......................................... 2,400 29,291
Tietoenator Corp...................................... 1,015 39,415
-----------
TOTAL COMMON STOCKS
(Cost $401,888)...................................... 392,917
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (cost $488)............................ 492
-----------
TOTAL -- SWEDEN
(Cost $402,376)...................................... 393,409
-----------
SPAIN -- (2.9%)
COMMON STOCKS -- (2.9%)
*Abengoa SA........................................... 600 17,083
Amper SA.............................................. 1,600 12,019
*Asturiana del Zinc SA................................ 2,100 21,715
Banco de Valencia SA.................................. 3,000 24,511
*Banco de Valencia SA Issue 2000...................... 300 2,430
Banco Zaragozano SA................................... 3,600 49,379
Campofrio Alimentacion SA............................. 1,100 11,170
Cementos Portland SA.................................. 1,000 20,876
Cristaleria Espanola SA, Madrid....................... 400 12,483
Empresa Nacional de Celulosa SA....................... 1,000 18,362
*Europistas Concesionaria Espanola SA................. 2,300 12,905
*Europistas Concesionaria Espanola SA Em 99........... 1,056 5,896
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas.......................................... 3,300 19,495
*Inmobiliaria Urbis SA................................ 4,600 20,178
Portland Valderrivas SA............................... 900 18,196
Prosegur Cia de Seguridad SA.......................... 2,200 27,850
*Puleva SA............................................ 13,900 22,817
Uralita SA............................................ 1,900 13,127
Viscofan Industria Navarra de Envolturas Celulosicas
S.A................................................. 2,730 17,697
-----------
TOTAL -- SPAIN
(Cost $351,743)...................................... 348,189
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
NETHERLANDS -- (2.8%)
COMMON STOCKS -- (2.8%)
ACF Holding NV........................................ 800 $ 11,092
*Computer Services Solutions Holding NV............... 700 18,080
Grolsche NV........................................... 800 14,430
Hoek's (W.A.) Machine & Zuurstoffafabriek NV.......... 317 24,136
Hollandsche Beton Groep NV............................ 1,597 20,809
Internatio-Mueller NV................................. 1,285 23,536
Kempen & Co. NV....................................... 336 14,272
Koninklijke Ahrend NV................................. 1,316 16,110
Koninklijke Frans Maas Groep NV....................... 765 15,963
Koninklijke Volker Wessels Stevin NV.................. 988 15,119
NBM-Amstelland NV..................................... 1,130 15,038
Nedlloyd Groep NV, Rotterdam.......................... 922 20,949
Schuttersveld NV...................................... 1,284 18,695
*Semiconductor Industries NV.......................... 1,100 17,445
Stork NV.............................................. 900 11,852
Twentsche Kabel Holding NV............................ 627 24,713
Unique International NV............................... 729 18,491
Van der Mollen Holding NV............................. 319 15,369
Wegener Arcade NV .................................... 1,631 23,445
-----------
TOTAL -- NETHERLANDS
(Cost $430,092)...................................... 339,544
-----------
DENMARK -- (2.0%)
COMMON STOCKS -- (1.9%)
Alm Brand A.S. Series B............................... 623 8,590
Bang & Olufsen Holding A.S. Series B.................. 450 16,210
Coloplast A.S. Series B............................... 808 36,031
DFDS A.S., Copenhagen................................. 384 11,448
Danske Traelastko..................................... 200 18,384
FLS Industries........................................ 1,240 18,945
Jyske Bank A.S........................................ 1,110 20,682
Korn-Og Foderstof Kompagnet A.S....................... 700 14,347
Nordiske Kabel og Traadfabrikker Holding A.S.......... 192 30,289
Radiometer A.S. Series B.............................. 432 13,844
Sas Danmark A.S....................................... 1,739 15,553
*Topdanmark A.S....................................... 1,450 25,216
-----------
TOTAL COMMON STOCKS
(Cost $270,184)...................................... 229,539
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Danish Krone (Cost $13,432).......................... 13,763
-----------
TOTAL -- DENMARK
(Cost $283,616)...................................... 243,302
-----------
NORWAY -- (1.7%)
COMMON STOCKS -- (1.7%)
*Aker Maritim ASA..................................... 2,500 16,877
*Dyno Industrier ASA.................................. 1,400 29,525
</TABLE>
27
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Hafslund ASA.......................................... 4,500 $ 20,588
*Leif Hoegh & Co. ASA................................. 1,812 16,984
*Nera ASA............................................. 4,600 18,222
Rieber and Son ASA Series A........................... 3,600 18,880
Smedvig ASA Series A.................................. 1,300 22,049
*Tandberg ASA Series A................................ 1,300 23,427
*Tandberg Television ASA.............................. 2,600 17,698
Wilhelmsen (Wilhelm), Ltd. ASA........................ 700 13,669
-----------
TOTAL COMMON STOCKS
(Cost $229,709)...................................... 197,919
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone (Cost $999).......................... 1,016
-----------
TOTAL -- NORWAY
(Cost $230,708)...................................... 198,935
-----------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Amer-Yhtymae Oyj Series A............................. 1,100 29,482
Finnair Oyj........................................... 3,800 14,097
Finnlines Oy.......................................... 900 16,693
Instrumentarium Oy.................................... 800 18,325
KCI Konecranes International Oyj...................... 600 17,695
Kemira Oyj............................................ 4,600 24,317
Partek Oyj............................................ 1,900 22,396
Tamro Oyj............................................. 4,800 12,286
Uponor Oyj Series A................................... 1,500 27,544
Viking Line AB........................................ 400 9,682
-----------
TOTAL -- FINLAND
(Cost $211,015)...................................... 192,517
-----------
NEW ZEALAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Fernz Corp., Ltd...................................... 6,407 11,002
Independent Newspapers, Ltd. (Auckland)............... 15,600 28,141
Natural Gas Corp. Holdings, Ltd....................... 42,480 25,608
New Zealand Refining Co., Ltd......................... 1,008 4,696
Ports of Auckland..................................... 5,962 10,891
Trustpower, Ltd....................................... 18,000 24,661
United Networks, Ltd.................................. 6,200 17,074
Warehouse Group, Ltd.................................. 14,308 28,098
-----------
TOTAL COMMON STOCKS
(Cost $184,195)...................................... 150,171
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $387)....................... 364
-----------
TOTAL -- NEW ZEALAND
(Cost $184,582)...................................... 150,535
-----------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Ackermans & Van Haaren SA............................. 1,200 34,366
Afrifina.............................................. 140 13,633
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
CMB (Cie Martime Belge)............................... 300 $ 16,262
Cofinimmo SA.......................................... 220 19,178
*Creyf's SA........................................... 700 16,879
Deceuninck Plastics Industries SA..................... 130 25,137
Immobel (Cie Immobiliere de Belgique SA).............. 200 8,180
*Monceau-Zolder SA.................................... 17 2,333
*Spector Photo Group SA............................... 188 5,947
-----------
TOTAL -- BELGIUM
(Cost $163,410)...................................... 141,915
-----------
AUSTRIA -- (1.0%)
COMMON STOCKS -- (1.0%)
BBAG Oesterreichische Brau-Beteiligungs............... 362 14,100
Bohler Uddeholm AG.................................... 385 14,960
Brau Union Goess-Reinighaus AG........................ 420 17,197
Flughafen Wien AG..................................... 543 18,104
Mayr-Melnhof Karton AG................................ 420 19,865
Oberbank AG........................................... 305 19,262
Rhi AG, Wien.......................................... 584 13,367
Rhi AG, Wien Em 99.................................... 249 5,688
-----------
TOTAL COMMON STOCKS
(Cost $142,307)...................................... 122,543
-----------
RIGHTS/WARRANTS -- (0.0%)
*Oberbank AG Rights 05/29/00 (Cost $0)................ 19 13
-----------
TOTAL -- AUSTRIA
(Cost $142,307)...................................... 122,556
-----------
IRELAND -- (1.0%)
COMMON STOCKS -- (1.0%)
Anglo Irish Bank Corp. P.L.C.......................... 7,285 16,215
DCC P.L.C............................................. 2,250 22,223
Green Property Co..................................... 3,447 17,662
Greencore Group P.L.C................................. 6,088 16,374
IAWS Group P.L.C...................................... 4,260 24,692
Waterford Wedgwood P.L.C.............................. 19,145 18,820
-----------
TOTAL -- IRELAND
(Cost $117,352)...................................... 115,986
-----------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
*Euro Currency (Cost $26,953)......................... 27,728
-----------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Kuala Lumpur Industries Holdings Berhad.............. 12,000 1,563
*Promet Berhad........................................ 23,000 1,755
-----------
TOTAL -- MALAYSIA
(Cost $36,685)....................................... 3,318
-----------
</TABLE>
28
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
------ -------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $234,555) to be
repurchased at $230,038.
(Cost $230,000)..................................... $ 230 $ 230,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $15,229,480)++................................. $ 11,987,036
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $15,229,480.
</TABLE>
See accompanying Notes to Financial Statements.
29
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
BONDS -- (48.1%)
American International Group, Inc. Medium Term Notes
5.375%, 03/26/01................................... $500 $ 491,875
Asian Development Bank Corporate Bonds
8.500%, 05/02/01................................... 500 505,000
Associates Corp. of North America Corporate Bonds
5.600%, 01/15/01................................... 500 494,375
Bank of America Medium Term Notes
6.050%, 07/19/01................................... 500 491,875
Elf Aquitane Corporate Bonds
8.000%, 10/15/01................................... 500 503,750
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 500 491,250
Ford Motor Credit Co. Corporate Bonds
7.000%, 09/25/01................................... 600 595,500
General Electric Capital Corp. Medium Term Notes
5.945%, 07/23/01................................... 500 492,500
IBM Corp. Corporate Bonds
5.950%, 06/04/01................................... 500 492,500
Interamerican Development Bank Corporate Bonds
8.500%, 05/01/01................................... 500 506,250
National Rural Utilities Cooperative Finance Corp.
Medium Term Notes
5.280%, 02/04/02................................... 600 580,500
Norwest Financial, Inc. Corporate Bonds
5.500%, 03/19/01................................... 500 492,500
Paccar Financial Corp. Medium Term Notes
6.050%, 05/15/01................................... 500 493,125
Shell Canada, Ltd. Medium Term Notes
8.875%, 01/14/01................................... 600 606,000
Southwestern Bell Telephone Co. Corporate Bonds
6.375%, 04/01/01................................... 600 594,750
Toyota Motor Credit Corp. Corporate Bonds
5.500%, 09/17/01................................... 600 586,500
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 500 492,500
Wal-Mart Stores, Inc. Corporate Bonds
6.150%, 08/10/01................................... 500 495,000
-----------
TOTAL BONDS
(Cost $9,505,039).................................... 9,405,750
-----------
</TABLE>
<TABLE>
AGENCY OBLIGATIONS -- (27.2%)
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
Federal Farm Credit Bank
5.125%, 04/02/01................................... $500 $ 492,313
5.875%, 07/02/01................................... 500 493,125
Federal Home Loan Bank
5.625%, 03/19/01................................... 600 593,985
5.125%, 04/17/01................................... 500 491,815
6.000%, 11/15/01................................... 600 590,017
6.750%, 02/01/02................................... 600 595,500
Federal Home Loan Mortgage Corporation
5.750%, 06/15/01................................... 600 591,715
Federal National Mortgage Association
5.310%, 05/18/01................................... 500 491,629
5.440%, 05/21/01................................... 500 492,138
5.820%, 07/19/01................................... 500 492,772
-----------
TOTAL AGENCY OBLIGATIONS
(Cost $5,383,737).................................... 5,325,009
-----------
COMMERCIAL PAPER -- (9.2%)
Sheffield Receivables Corp. C.P.
6.090%, 06/13/00................................... 600 598,702
Sigma Finance Corp. C.P.
6.580%, 07/03/00................................... 600 596,523
Windmill Funding Corp. C.P.
6.380%, 07/07/00................................... 600 596,046
-----------
TOTAL COMMERCIAL PAPER
(Cost $1,791,445).................................... 1,791,271
-----------
CERTIFICATES OF DEPOSIT -- (8.1%)
Bayerische Landesbank
6.060%, 06/18/01................................... 500 493,125
Canadian Imperial Bank Corp.
7.090%, 05/04/01................................... 600 598,200
Commerzbank AG
7.360%, 05/25/01................................... 500 499,850
-----------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $1,600,000).................................... 1,591,175
-----------
VARIABLE RATE OBLIGATIONS -- (3.1%)
Chase Manhattan Corp.
***6.430%, 06/12/00
(Cost $602,049).................................. 600 602,040
-----------
TEMPORARY CASH INVESTMENTS -- (3.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $622,505) to be
repurchased at $612,101.
(Cost $612,000) 612 612,000
-----------
TOTAL INVESTMENTS -- (98.8%) (Cost $19,494,270)++...... 19,327,245
-----------
</TABLE>
30
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- (1.2%)
Interest Receivable................................... $ 247,384
Other Liabilities in Excess of Other Assets........... (9,134)
-----------
238,250
-----------
NET ASSETS -- (100.0%)
Applicable to 1,917,552 Outstanding $.01 Par Value
Shares (50,000,000 Shares Authorized)................ $19,565,495
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.20
===========
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $19,494,270.
*** Rates shown are the rates as of May 31, 2000, and maturities shown are the
next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
31
<PAGE>
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED STATES -- (31.0%)
BONDS -- (15.8%)
Amoco Canada Eurobond
7.250%, 09/17/02................................... 200 $ 198,200
Associates Corp. of North America Corporate Bonds
6.625%, 05/15/01................................... 300 297,375
Credit Locale de France Holding SA Eurobond
7.125%, 02/18/02................................... 100 99,020
France Telecom SA Eurobond
6.875%, 10/01/01................................... 300 297,090
General Electric Capital Corp. Medium Term Notes
5.510%, 03/01/02................................... 300 291,090
Glaxo K.K. Eurobond
7.000%, 05/02/02................................... 300 296,700
KFW International Finance, Inc. Medium Term Notes
6.250%, 10/15/03................................... 200 189,673
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 300 295,500
Wal-Mart Stores, Inc. Corporate Bonds
6.150%, 08/10/01................................... 300 297,000
-----------
TOTAL BONDS
(Cost $2,344,196).................................... 2,261,648
-----------
COMMERCIAL PAPER -- (12.4%)
BASF Corp. C.P.
6.550%, 08/02/00................................... 300 296,569
Barton Capital Corp. C.P.
6.080%, 06/02/00................................... 300 299,946
Ciesco L.P. C.P.
6.530%, 07/06/00................................... 300 298,098
Sheffield Receivables Corp. C.P.
6.090%, 06/13/00................................... 300 299,351
Toronto Dominion Holdings, Inc. C.P.
6.600%, 01/29/01................................... 300 286,206
Windmill Funding Corp. C.P.
6.580%, 07/06/00................................... 300 298,078
-----------
TOTAL COMMERCIAL PAPER
(Cost $1,778,823).................................... 1,778,248
-----------
AGENCY OBLIGATIONS -- (2.8%)
Federal National Mortgage Association
6.625%, 04/15/02
(Cost $399,604).................................... 400 396,000
-----------
TOTAL -- UNITED STATES
(Cost $4,522,623).................................... 4,435,896
-----------
</TABLE>
<TABLE>
JAPAN -- (12.9%)
BONDS -- (12.9%)
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Asian Development Bank
5.000%, 02/05/03................................... 45,000 466,947
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 32,000 310,802
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
European Investment Bank
4.625%, 02/26/03................................... 10,000 $ 103,227
Export-Import Bank of Japan
4.625%, 07/23/03................................... 150 135,521
Kansai International Airport
1.300%, 07/29/04................................... 37,000 348,248
Toyota Motor Credit Corp. Medium Term Notes
1.000%, 12/20/04................................... 17,000 157,551
World Bank (International Bank for Reconstruction and
Development)
4.750%, 12/20/04................................... 30,000 327,068
-----------
TOTAL -- JAPAN
(Cost $1,746,556).................................... 1,849,364
-----------
</TABLE>
<TABLE>
GERMANY -- (10.5%)
BONDS -- (10.5%)
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Deutsche Bahn Finance BV
6.875%, 07/19/02................................... 400 194,684
German Gov't. Treuhandanstalt
6.625%, 07/09/03................................... 300 289,823
Japan Finance Corp. for Small Business
4.500%, 08/07/02................................... 600 279,127
Landesbank Rheinland-Pfalz Girozentrale, Mainz
5.750%, 10/16/03................................... 400 372,890
Westfalische Hypotheken Bank
4.750%, 01/17/03................................... 400 365,211
-----------
TOTAL -- GERMANY
(Cost $1,620,430).................................... 1,501,735
-----------
</TABLE>
<TABLE>
FRANCE -- (8.6%)
BONDS -- (8.6%)
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Credit Local de France SA Euro
6.000%, 07/01/02................................... 1,000 142,781
Departemente des Hautes de Seine
7.000%, 07/21/03................................... 1,500 221,298
Electricite de France
3.750%, 10/28/03................................... 350 308,751
European Investment Bank
8.500%, 02/20/02................................... 1,500 222,994
French Government Note
4.500%, 07/12/03................................... 360 328,457
-----------
TOTAL -- FRANCE
(Cost $1,407,670).................................... 1,224,281
-----------
</TABLE>
<TABLE>
AUSTRALIA -- (7.9%)
BONDS -- (7.9%)
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Airservices Australia
7.375%, 11/15/01................................... 250 143,975
Alberta (Province of)
7.000%, 03/20/02................................... 500 286,423
Federal National Mortgage Association
6.500%, 07/10/02................................... 300 170,415
New South Wales Treasury Corp.
8.000%, 12/01/01................................... 500 291,780
</TABLE>
32
<PAGE>
VA GLOBAL BOND PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
State Bank of New South Wales
11.750%, 08/16/01.................................. 200 $ 120,500
9.250%, 02/18/03................................... 200 120,547
-----------
TOTAL -- AUSTRALIA
(Cost $1,318,540).................................... 1,133,640
-----------
</TABLE>
<TABLE>
NETHERLANDS -- (7.0%)
BONDS -- (7.0%)
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Bank Nederlandse Gemeenten BNG, Den Haag
7.625%, 12/16/02................................... 250 110,625
7.000%, 03/10/03................................... 500 218,717
Nederlandse Waterschapsbank NV NWB
5.450%, 12/30/02................................... 700 292,751
Netherlands (Government of)
6.500%, 04/15/03................................... 400 383,648
-----------
TOTAL -- NETHERLANDS
(Cost $1,101,147).................................... 1,005,741
-----------
</TABLE>
<TABLE>
CANADA -- (5.2%)
BONDS -- (5.2%)
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Canada (Government of)
9.750%, 06/01/01................................... 400 275,986
Canada Mortgage and Housing
6.250%, 01/02/02................................... 400 266,330
Toyota Credit Canada, Inc.
8.000%, 12/29/00................................... 200 134,566
7.375%, 12/31/01................................... 100 67,464
-----------
TOTAL BONDS
(Cost $785,257)...................................... 744,346
-----------
TOTAL -- CANADA
(Cost $785,257)...................................... 744,346
-----------
UNITED KINGDOM -- (4.3%)
BONDS -- (4.2%)
Federal National Mortgage Association
6.875%, 06/07/02................................... 200 299,762
United Kingdom Treasury
7.000%, 11/06/01................................... 200 301,899
-----------
TOTAL BONDS
(Cost $646,654)...................................... 601,661
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $10,736)...................................... 10,488
-----------
TOTAL -- UNITED KINGDOM
(Cost $657,390)...................................... 612,149
-----------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
AUSTRIA -- (3.8%)
BONDS -- (3.8%)
Bank Austria AG
4.750%, 03/17/03................................... 300 $ 273,185
Republic of Austria
4.300%, 07/15/03................................... 300 270,662
-----------
TOTAL -- AUSTRIA
(Cost $636,278)...................................... 543,847
-----------
DENMARK -- (2.5%)
BONDS -- (2.5%)
Denmark (Kingdom of)
8.000%, 05/15/03
(Cost $424,578).................................... 2,700 355,237
-----------
SWEDEN -- (2.3%)
BONDS -- (2.3%)
Sweden (Kingdom of)
5.500%, 04/12/02
(Cost $341,677).................................... 3,000 335,796
-----------
TOTAL -- SWEDEN
(Cost $341,677)...................................... 335,796
-----------
TEMPORARY CASH
INVESTMENTS -- (2.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $368,293) to be
repurchased at $362,060.
(Cost $362,000)..................................... 362 362,000
-----------
TOTAL INVESTMENTS -- (98.5%)
(Cost $14,924,146)++................................. 14,104,032
-----------
OTHER ASSETS AND LIABILITIES -- (1.5%)
Interest Receivable................................... 294,509
Other Liabilities in Excess of Other Assets........... (80,506)
-----------
214,003
-----------
NET ASSETS -- (100.0%) Applicable to 1,387,974
Outstanding $.01 Par Value Shares (50,000,000 Shares
Authorized).......................................... $14,318,035
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.32
===========
</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 $14,924,146.
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE VALUE
PORTFOLIO PORTFOLIO
------------ ------------
<S> <C> <C>
ASSETS:
Investment at Value......................................... $ 18,815 $ 31,725
Collateral for Securities Loaned............................ 830 47
Receivables:
Dividends and Interest.................................... 26 105
Investment Securities Sold................................ 259 --
Fund Shares Sold.......................................... 3 --
Prepaid Expenses and Other Assets........................... 1 --
---------- ----------
Total Assets............................................ 19,934 31,877
---------- ----------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 830 47
Payable for Investment Securities Purchased................. 34 3
Payable for Fund Shares Redeemed............................ -- 82
Loan Payable................................................ -- 15
Accrued Expenses and Other Liabilities...................... 16 14
---------- ----------
Total Liabilities....................................... 880 161
---------- ----------
NET ASSETS.................................................. $ 19,054 $ 31,716
========== ==========
SHARES OUTSTANDING, $.01 PAR VALUE (50,000,000 Shares
Authorized)............................................... 1,751,708 2,464,346
========== ==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 10.88 $ 12.87
========== ==========
Investments at Cost......................................... $ 23,298 $ 33,351
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE SMALL
PORTFOLIO PORTFOLIO
---------------- ----------------
<S> <C> <C>
ASSETS:
Investment at Value......................................... $ 21,018 $ 11,987
Collateral for Securities Loaned............................ 1,332 308
Cash........................................................ 16 15
Receivables:
Dividends, Interest and Tax Reclaims...................... 112 64
Fund Shares Sold.......................................... 5 --
Investment Securities Sold................................ 433 2
Prepaid Expenses and Other Assets........................... 1 --
---------- ----------
Total Assets............................................ 22,917 12,376
---------- ----------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 1,332 308
Payable for Investment Securities Purchased................. 3 140
Payable for Fund Shares Redeemed............................ -- 15
Accrued Expenses and Other Liabilities...................... 9 12
---------- ----------
Total Liabilities....................................... 1,344 475
---------- ----------
NET ASSETS.................................................. $ 21,573 $ 11,901
========== ==========
SHARES OUTSTANDING, $.01 PAR VALUE (50,000,000 Shares
Authorized)............................................... 1,868,950 1,521,239
========== ==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 11.54 $ 7.82
========== ==========
Investments at Cost......................................... $ 21,395 $ 15,229
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<CAPTION>
VA
VA VA INTERNATIONAL
SMALL VALUE LARGE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $0, $0 and $30,
respectively)....................... $ 119 $ 355 $ 291
Interest.............................. 8 9 14
Income from Securities Lending........ 15 2 4
------- ------- -------
Total Investment Income........... 142 366 309
------- ------- -------
EXPENSES
Investment Advisory Services.......... 50 39 45
Accounting & Transfer Agent Fees...... 10 16 14
Custodian's Fees...................... 1 2 4
Audit Fees............................ 1 2 1
Shareholders' Reports................. 4 6 4
Other................................. 2 3 4
------- ------- -------
Total Expenses.................... 68 68 72
------- ------- -------
NET INVESTMENT INCOME................. 74 298 237
------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment
Securities Sold..................... 3,450 1,434 1,400
Net Realized Loss on Foreign Currency
Transactions........................ -- -- (3)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.......................... (2,475) (1,594) (1,855)
Translation of Foreign Currency
Denominated Amounts............... -- -- 8
------- ------- -------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY..... 975 (160) (450)
------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $ 1,049 $ 138 $ (213)
======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<CAPTION>
VA VA
INTERNATIONAL SHORT-TERM VA
SMALL FIXED GLOBAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ---------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $19, $0 and $0
respectively)....................... $ 178 -- --
Interest.............................. 6 $621 $ 311
Income from Securities Lending........ 6 -- --
------- ---- -----
Total Investment Income........... 190 621 311
------- ---- -----
EXPENSES
Investment Advisory Services.......... 33 26 17
Accounting & Transfer Agent Fees...... 8 5 8
Custodian's Fees...................... 6 1 1
Audit Fees............................ 1 1 1
Shareholders' Reports................. 3 4 2
Other................................. 2 4 2
------- ---- -----
Total Expenses.................... 53 41 31
------- ---- -----
NET INVESTMENT INCOME................. 137 580 280
------- ---- -----
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold..................... 856 (5) (4)
Net Realized Gain (Loss) on Foreign
Currency Transactions............... (4) -- 948
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.......................... (1,271) (68) (695)
Translation of Foreign Currency
Denominated Amounts............... (2) -- (219)
------- ---- -----
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY..... (421) (73) 30
------- ---- -----
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $ (284) $507 $ 310
======= ==== =====
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
VA SMALL VALUE VA LARGE VALUE
PORTFOLIO PORTFOLIO
-------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999
---------- ------- ---------- -------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment
Income............... $ 74 $ 96 $ 298 $ 491
Net Realized Gain on
Investment Securities
Sold................. 3,450 3,570 1,434 5,804
Change in Unrealized
Appreciation
(Depreciation) of
Investment
Securities......... (2,475) (2,374) (1,594) (5,110)
---------- ------- ---------- -------
Net Increase in Net
Assets Resulting
from Operations.... 1,049 1,292 138 1,185
---------- ------- ---------- -------
Distributions From:
Net Investment
Income............... (102) (54) (501) (122)
Net Realized Gains..... (3,571) (1,518) (5,804) (1,935)
---------- ------- ---------- -------
Total
Distributions...... (3,673) (1,572) (6,305) (2,057)
---------- ------- ---------- -------
Capital Share
Transactions (1):
Shares Issued.......... 2,055 5,687 4,123 9,070
Shares Issued in Lieu
of Cash
Distributions........ 3,673 1,572 6,305 2,057
Shares Redeemed........ (3,138) (5,723) (4,827) (8,160)
---------- ------- ---------- -------
Net Increase from
Capital Share
Transactions......... 2,590 1,536 5,601 2,967
---------- ------- ---------- -------
Total Increase
(Decrease)......... (34) 1,256 (566) 2,095
NET ASSETS
Beginning of Period.... 19,088 17,832 32,282 30,187
---------- ------- ---------- -------
End of Period.......... $ 19,054 $19,088 $ 31,716 $32,282
========== ======= ========== =======
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued......... 185 459 331 545
Shares Issued in Lieu
of Cash
Distributions....... 357 134 502 136
Shares Redeemed....... (283) (460) (387) (491)
---------- ------- ---------- -------
259 133 446 190
========== ======= ========== =======
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
-------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999
---------- ------- ---------- -------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment
Income............... $ 237 $ 372 $ 137 $ 201
Net Realized Gain on
Investment Securities
Sold................. 1,400 1,649 856 377
Net Realized Gain
(Loss) on Foreign
Currency
Transactions......... (3) 10 (4) (116)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign
Currency........... (1,855) 1,383 (1,271) 1,494
Translation of
Foreign Currency
Denominated
Amounts............ 8 (4) (2) (2)
---------- ------- ---------- -------
Net Increase
(Decrease) in Net
Assets Resulting
from Operations.... (213) 3,410 (284) 1,954
---------- ------- ---------- -------
Distributions From:
Net Investment
Income............... (396) (386) (299) (216)
Net Realized Gains..... (1,643) (1,043) (157) (823)
---------- ------- ---------- -------
Total
Distributions...... (2,039) (1,429) (456) (1,039)
---------- ------- ---------- -------
Capital Share
Transactions (1):
Shares Issued.......... 1,515 5,740 1,229 3,013
Shares Issued in Lieu
of Cash
Distributions........ 2,039 1,429 456 1,039
Shares Redeemed........ (3,346) (6,624) (2,352) (4,407)
---------- ------- ---------- -------
Net Increase (Decrease)
from Capital Share
Transactions......... 208 545 (667) (355)
---------- ------- ---------- -------
Total Increase
(Decrease)......... (2,044) 2,526 (1,407) 560
NET ASSETS
Beginning of Period.... 23,617 21,091 13,308 12,748
---------- ------- ---------- -------
End of Period.......... $ 21,573 $23,617 $ 11,901 $13,308
========== ======= ========== =======
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued......... 130 474 151 385
Shares Issued in Lieu
of Cash
Distributions....... 171 132 57 149
Shares Redeemed....... (287) (560) (289) (570)
---------- ------- ---------- -------
14 46 (81) (36)
========== ======= ========== =======
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
VA SHORT-TERM FIXED VA GLOBAL BOND
PORTFOLIO PORTFOLIO
----------------------- -------------------
SIX
SIX MONTHS MONTHS YEAR
ENDED YEAR ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999
---------- --------- -------- -------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment
Income............... $ 580 $ 969 $ 280 $ 438
Net Realized Gain
(Loss) on Investment
Securities Sold...... (5) (7) (4) 19
Net Realized Gain on
Foreign Currency
Transactions......... -- -- 948 174
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign
Currency........... (68) (102) (695) (336)
Translation of
Foreign Currency
Denominated
Amounts............ -- -- (219) 136
---------- --------- -------- -------
Net Increase in Net
Assets Resulting
from Operations.... 507 860 310 431
---------- --------- -------- -------
Distributions From:
Net Investment
Income............... (997) (183) (743) (5)
Net Realized Gains..... -- (18) (19) (2)
---------- --------- -------- -------
Total
Distributions...... (997) (201) (762) (7)
---------- --------- -------- -------
Capital Share
Transactions (1):
Shares Issued.......... 3,692 8,986 2,458 5,435
Shares Issued in Lieu
of Cash
Distributions........ 997 201 762 7
Shares Redeemed........ (6,769) (6,178) (1,603) (3,196)
---------- --------- -------- -------
Net Increase (Decrease)
from Capital Share
Transactions......... (2,080) 3,009 1,617 2,246
---------- --------- -------- -------
Total Increase
(Decrease)......... (2,570) 3,668 1,165 2,670
NET ASSETS
Beginning of Period.... 22,135 18,467 13,153 10,483
---------- --------- -------- -------
End of Period.......... $ 19,565 $ 22,135 $ 14,318 $13,153
========== ========= ======== =======
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued......... 364 879 239 516
Shares Issued in Lieu
of Cash
Distributions....... 100 20 75 1
Shares Redeemed....... (670) (606) (157) (303)
---------- --------- -------- -------
(206) 293 157 214
========== ========= ======== =======
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SMALL VALUE PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR OCT. 3
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 12.78 $ 13.11 $ 15.45 $ 11.75 $ 9.69 $10.00
------- ------- ------- ------- ------ ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.04 0.07 0.04 0.06 0.03 0.01
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.51 0.76 (1.27) 3.78 2.05 (0.31)
------- ------- ------- ------- ------ ------
Total from Investment
Operations.............. 0.55 0.83 (1.23) 3.84 2.08 (0.30)
-------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.07) (0.04) (0.06) (0.03) (0.02) (0.01)
Net Realized Gains.......... (2.38) (1.12) (1.05) (0.11) -- --
------- ------- ------- ------- ------ ------
Total Distributions....... (2.45) (1.16) (1.11) (0.14) (0.02) (0.01)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.88 $ 12.78 $ 13.11 $ 15.45 $11.75 $ 9.69
=================================================================================================
Total Return.................. 5.36%# 7.10% (8.45)% 33.02% 21.47% (3.04)%#
-------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $19,054 $19,088 $17,832 $17,428 $8,058 $4,848
Ratio of Expenses to Average
Net Assets.................. 0.68%* 0.67% 0.70% 0.71% 1.05% 0.99%*
Ratio of Net Investment Income
to Average Net Assets....... 0.73%* 0.51% 0.32% 0.45% 0.34% 0.91%*
Portfolio Turnover Rate....... 56%* 28% 23% 21% 5% 0%*
-------------------------------------------------------------------------------------------------
<CAPTION>
VA LARGE VALUE PORTFOLIO
------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR JAN. 13
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 16.00 $ 16.51 $ 16.08 $ 13.46 $ 11.29 $ 10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.12 0.25 0.24 0.24 0.17 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.14) 0.38 1.47 3.07 2.12 1.85
------- ------- ------- ------- ------- -------
Total from Investment
Operations.............. (0.02) 0.63 1.71 3.31 2.29 2.04
------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.25) (0.07) (0.24) (0.23) (0.12) (0.16)
Net Realized Gains.......... (2.86) (1.07) (1.04) (0.46) -- (0.59)
------- ------- ------- ------- ------- -------
Total Distributions....... (3.11) (1.14) (1.28) (0.69) (0.12) (0.75)
------------------------------
Net Asset Value, End of
Period...................... $ 12.87 $ 16.00 $ 16.51 $ 16.08 $ 13.46 $ 11.29
==============================
Total Return.................. 0.35%# 4.24% 11.46% 25.72% 20.45% 20.41%#
------------------------------
Net Assets, End of Period
(thousands)................. $31,716 $32,282 $30,187 $24,545 $13,570 $ 6,562
Ratio of Expenses to Average
Net Assets.................. 0.44%* 0.43% 0.46% 0.48% 1.03% 1.20%*
Ratio of Net Investment Income
to Average Net Assets....... 1.91%* 1.54% 1.49% 1.71% 1.59% 2.03%*
Portfolio Turnover Rate....... 30%* 52% 23% 20% 19% 65%*
------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA INTERNATIONAL VALUE PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR OCT. 3
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 12.73 $ 11.65 $ 10.87 $ 11.41 $ 10.03 $10.00
------- ------- ------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.13 0.20 0.19 0.17 0.11 --
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.22) 1.66 0.91 (0.56) 1.29 0.03
------- ------- ------- ------- ------- ------
Total from Investment
Operations.............. (0.09) 1.86 1.10 (0.39) 1.40 0.03
-------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.21) (0.21) (0.18) (0.10) -- --
Net Realized Gains.......... (0.89) (0.57) (0.14) (0.05) (0.02) --
------- ------- ------- ------- ------- ------
Total Distributions....... (1.10) (0.78) (0.32) (0.15) (0.02) 0.00
-------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 11.54 $ 12.73 $ 11.65 $ 10.87 $ 11.41 $10.03
=================================================================================================
Total Return.................. (0.99%)# 17.21% 10.43% (3.45)% 13.92% 0.30%#
-------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $21,573 $23,617 $21,091 $17,610 $10,517 $5,014
Ratio of Expenses to Average
Net Assets.................. 0.64%* 0.65% 0.68% 0.76% 1.17% 1.32%*
Ratio of Net Investment Income
to Average Net Assets....... 2.08%* 1.70% 1.63% 1.83% 1.29% (0.20)%*
Portfolio Turnover Rate....... 7%* 20% 27% 8% 4% 0%*
-------------------------------------------------------------------------------------------------
<CAPTION>
VA INTERNATIONAL SMALL PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR JAN. 13
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 8.31 $ 7.78 $ 7.99 $ 10.48 $ 9.71 $ 10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.12 0.12 0.11 0.09 0.06 (0.01)
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.32) 1.04 (0.14) (2.30) 0.71 (0.28)
------- ------- ------- ------- ------- -------
Total from Investment
Operations.............. (0.20) 1.16 (0.03) (2.21) 0.77 (0.29)
------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.19) (0.13) (0.09) (0.06) -- --
Net Realized Gains.......... (0.10) (0.50) (0.09) (0.22) -- --
------- ------- ------- ------- ------- -------
Total Distributions....... (0.29) (0.63) (0.18) (0.28) -- --
------------------------------
Net Asset Value, End of
Period...................... $ 7.82 $ 8.31 $ 7.78 $ 7.99 $ 10.48 $ 9.71
==============================
Total Return.................. (2.56%)# 16.44% (0.23)% (21.54)% 7.93% (2.90)%#
------------------------------
Net Assets, End of Period
(thousands)................. $11,901 $13,308 $12,748 $ 9,884 $ 6,007 $ 4,856
Ratio of Expenses to Average
Net Assets.................. 0.80%* 0.79% 0.90% 0.99% 1.27% 2.52%*
Ratio of Net Investment Income
to Average Net Assets....... 2.10%* 1.53% 1.56% 1.32% 0.63% (0.39)%*
Portfolio Turnover Rate....... 12%* 14% 21% 9% 6% 0%*
------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
42
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SHORT-TERM FIXED PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR OCT. 3
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 10.42 $ 10.09 $ 10.08 $ 10.08 $ 10.04 $10.00
------- ------- ------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.29 0.46 0.53 0.53 0.48 0.08
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.04) (0.02) 0.02 -- 0.04 --
------- ------- ------- ------- ------- ------
Total from Investment
Operations.............. 0.25 0.44 0.55 0.53 0.52 0.08
-------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.47) (0.10) (0.53) (0.53) (0.48) (0.04)
Net Realized Gains.......... -- (0.01) (0.01) -- -- --
Tax Return of Capital....... -- -- -- -- -- --
------- ------- ------- ------- ------- ------
Total Distributions....... (0.47) (0.11) (0.54) (0.53) (0.48) (0.04)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.20 $ 10.42 $ 10.09 $ 10.08 $ 10.08 $10.04
=================================================================================================
Total Return.................. 2.48%# 4.39% 5.54% 5.46% 5.34% 0.81%#
-------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $19,565 $22,135 $18,467 $15,136 $ 7,789 $5,041
Ratio of Expenses to Average
Net Assets.................. 0.39%* 0.40% 0.41% 0.43% 0.70% 0.63%*
Ratio of Net Investment Income
to Average Net Assets....... 5.60%* 4.91% 5.24% 5.44% 4.93% 5.11%*
Portfolio Turnover Rate....... 28%* 30% 50% 73% 29% 0%*
-------------------------------------------------------------------------------------------------
<CAPTION>
VA GLOBAL BOND PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR JAN. 13
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 10.69 $ 10.30 $ 10.69 $11.14 $10.61 $10.00
------- ------- ------- ------ ------ ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.34 0.36 0.52 0.42 0.37 0.48
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.10) 0.04 0.30 0.34 0.57 0.81
------- ------- ------- ------ ------ ------
Total from Investment
Operations.............. 0.24 0.40 0.82 0.76 0.94 1.29
------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.59) (0.01) (1.14) (0.94) (0.41) (0.57)
Net Realized Gains.......... (0.02) -- (0.04) (0.27) -- (0.11)
Tax Return of Capital....... -- -- (0.03) -- -- --
------- ------- ------- ------ ------ ------
Total Distributions....... (0.61) (0.01) (1.21) (1.21) (0.41) (0.68)
------------------------------
Net Asset Value, End of
Period...................... $ 10.32 $ 10.69 $ 10.30 $10.69 $11.14 $10.61
==============================
Total Return.................. 2.32%# 3.85% 8.44% 7.58% 9.16% 13.09%#
------------------------------
Net Assets, End of Period
(thousands)................. $14,318 $13,153 $10,483 $7,073 $3,703 $3,393
Ratio of Expenses to Average
Net Assets.................. 0.45%* 0.49% 0.57% 0.65% 1.73% 1.31%*
Ratio of Net Investment Income
to Average Net Assets....... 4.12%* 3.74% 3.65% 4.09% 3.43% 5.08%*
Portfolio Turnover Rate....... 49%* 44% 37% 58% 89% 60%*
------------------------------
</TABLE>
<TABLE>
<C> <S>
Restated to reflect a 900% stock dividend as of January 2, 1996
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
43
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company. The Fund offers thirty-eight portfolios, six of which (the
"VA Portfolios") are included in this report. Twenty-eight portfolios are
presented in separate reports, and four have not commenced operations. The VA
Portfolios are only available through a select group of insurance products.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Securities held
by VA International Value Portfolio and VA International Small Portfolio (the
"International Equity Portfolios") which are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at the
mean price of such currency against U.S. dollars last quoted by a major bank.
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement. VA Global Bond Portfolio also enters into forward
foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are also marked to
market daily based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon the sale or maturity of foreign currency
denominated debt obligations pursuant to U.S. Federal income tax regulations;
such amounts are categorized as foreign exchange gain or loss for both financial
reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
44
<PAGE>
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is the VA Portfolios' intention to continue to
qualify as a regulated investment company and distribute all of their taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a VA Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or "the Advisor") provides investment
advisory services to the VA Portfolios. For the six months ended May 31, 2000,
the VA Portfolios' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates:
<TABLE>
<S> <C>
VA Small Value Portfolio.................................... 0.50 of 1%
VA Large Value Portfolio.................................... 0.25 of 1%
VA International Value Portfolio............................ 0.40 of 1%
VA International Small Portfolio............................ 0.50 of 1%
VA Short-Term Fixed Portfolio............................... 0.25 of 1%
VA Global Bond Portfolio.................................... 0.25 of 1%
</TABLE>
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2000, the VA Portfolios made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
OTHER
U.S. GOVERNMENT INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- --------
<S> <C> <C> <C> <C>
VA Small Value Portfolio.................................... -- -- $ 5,467 $6,907
VA Large Value Portfolio.................................... -- -- 4,621 4,669
VA International Value Portfolio............................ -- -- 733 2,714
VA International Small Portfolio............................ -- -- 776 2,110
VA Short-Term Fixed Portfolio............................... -- -- 4,667 2,098
VA Global Bond Portfolio.................................... -- -- 15,888 2,828
</TABLE>
45
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- --------
<S> <C> <C> <C>
VA Small Value Portfolio................................. $2,221 $(6,704) $(4,483)
VA Large Value Portfolio................................. 4,096 (5,723) (1,627)
VA International Value Portfolio......................... 3,858 (4,236) (378)
VA International Small Portfolio......................... 1,337 (4,579) (3,242)
VA Short-Term Fixed Portfolio............................ -- (167) (167)
VA Global Bond Portfolio................................. -- (820) (820)
</TABLE>
At May 31, 2000, the VA Short-Term Fixed Portfolio had a capital loss
carryforward for federal income tax purposes of approximately $7,000, which
expires on November 30, 2007.
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The VA Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price.The counterparty 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. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2000.
2. FORWARD CURRENCY CONTRACTS: VA Global Bond Portfolio may enter into
forward foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At May 31, 2000, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange state is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
UNREALIZED FOREIGN
EXPIRATION CONTRACT VALUE AT EXCHANGE GAIN
DATE CURRENCY SOLD AMOUNT MAY 31, 2000 (LOSS)
--------------------- ------------------------------------- ----------- ------------- ------------------
<S> <C> <C> <C> <C> <C>
06/05/00 1,137,741 Canadian Dollars $ 760,744 $ 759,740 $ 1,004
06/05/00 3,048,472 Swedish Krona 343,718 338,375 5,343
06/05/00 411,096 British Pounds 640,518 614,506 26,012
06/05/00 5,123,430 European Currency Unit 4,644,335 4,752,912 (108,577)
06/08/00 186,776,553 Japanese Yen 1,735,321 1,737,172 (1,851)
06/22/00 517,074 Australian Dollars 1,163,038 1,163,033 5
06/22/00 2,880,690 Danish Krone 345,180 358,310 (13,130)
---------- ---------- ---------
$9,632,854 $9,724,048 $ (91,194)
========== ========== =========
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
46
<PAGE>
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
G. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the six months ended May 31, 2000 borrowings
under the line by the VA Portfolios 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>
VA Small Value Portfolio............... 6.30 % $ 46,083 12 $ 97 $ 72,000
VA Large Value Portfolio............... 6.37 % 97,962 26 474 263,000
VA International Value Portfolio....... 6.24 % 81,067 15 211 149,000
VA International Small Portfolio....... 6.69 % 143,727 11 294 225,000
</TABLE>
The VA Large Value Portfolio had an outstanding borrowing of $15,000 plus
accrued interest under the line of credit at May 31, 2000. The remaining VA
portfolios had no outstanding borrowings under the line of credit at May 31,
2000.
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 2000 NET ASSETS CONSIST OF:
(AMOUNTS IN THOUSANDS)
--------------------------------------------------------
VA LARGE
VA SMALL VALUE VALUE VA INTERNATIONAL
PORTFOLIO PORTFOLIO VALUE PORTFOLIO
--------------- ------------ -----------------
<S> <C> <C> <C>
Paid-In Capital........................................ $20,029 31,631 20,328
Undistributed Net Investment Income.................... 59 279 127
Undistributed Net Realized Gain........................ 3,449 1,432 1,492
Accumulated Net Realized Foreign Exchange Loss......... -- -- (3)
Unrealized Depreciation of Investment Securities and
Foreign Currency...................................... (4,483) (1,626) (377)
Unrealized Net Foreign Exchange Gain................... -- -- 6
------- ------- -------
$19,054 $31,716 $21,573
======= ======= =======
</TABLE>
<TABLE>
<CAPTION>
VA SHORT-TERM
VA INTERNATIONAL FIXED VA GLOBAL
SMALL PORTFOLIO PORTFOLIO BOND PORTFOLIO
----------------- -------------- --------------
<S> <C> <C> <C>
Paid-In Capital........................................ 14,206 19,301 14,136
Undistributed Net Investment Income (Loss)............. (130) 443 158
Undistributed Net Realized Gain (Loss)................. 1,074 (11) (6)
Undistributed Net Realized Foreign Exchange Gain
(Loss)................................................ (4) -- 948
Unrealized Depreciation of Investment Securities and
Foreign Currency...................................... (3,242) (168) (819)
Unrealized Net Foreign Exchange Loss................... (3) -- (99)
------- ------- -------
$11,901 $19,565 $14,318
======= ======= =======
</TABLE>
47
<PAGE>
I. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
May 31, 2000 was reinvested into overnight repurchase agreements with Salomon
Brothers and Fuji Securities, which was in turn collateralized by U.S.
Government Treasury Securities. The market value of securities on loan to
brokers, the related collateral cash received by each Portfolio and the value of
collateral on overnight repurchase agreements at May 31, 2000 was as follows:
<TABLE>
<CAPTION>
MARKET VALUE OF VALUE OF COLLATERAL COLLATERAL ON
SECURITIES ON LOAN AND IDEMNIFICATION REPURCHASE AGREEMENTS
------------------ ------------------- ---------------------
<S> <C> <C> <C>
VA Small Value Portfolio................... $ 415,525 $ 829,795 $ 851,220
VA Large Value Portfolio................... 33,544 47,388 48,529
VA International Value Portfolio........... 1,258,407 1,332,287 1,996,846
VA International Small Portfolio........... 226,820 308,020 317,278
</TABLE>
48
