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DFA Investment Dimensions Group Inc.
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. 5-10 Value Portfolio
Tax-Managed U.S. 6-10 Small Company Portfolio
Tax-Managed DFA International Value 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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DFA INVESTMENT DIMENSIONS GROUP INC.
Schedules of Investments
The Tax-Managed U.S. Marketwide Value Portfolio......... 1
The Tax-Managed U.S. 5-10 Value Portfolio............... 2-15
The Tax-Managed U.S. 6-10 Small Company Portfolio....... 16-41
The Tax-Managed DFA International Value Portfolio....... 42-48
Statements of Assets and Liabilities........................ 49
Statements of Operations.................................... 50
Statements of Changes in Net Assets......................... 51-52
Financial Highlights........................................ 53
Notes to Financial Statements............................... 54-57
THE DFA INVESTMENT TRUST COMPANY -- THE TAX-MANAGED U.S.
MARKETWIDE VALUE SERIES
Schedule of Investments..................................... 58-63
Statement of Assets and Liabilities......................... 64
Statement of Operations..................................... 65
Statements of Changes in Net Assets......................... 66
Financial Highlights........................................ 67
Notes to Financial Statements............................... 68-69
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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.
SCHEDULE OF INVESTMENTS
THE TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
MAY 31, 2000
(UNAUDITED)
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VALUE+
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Investment in The Tax-Managed U.S.
Marketwide Value Series
of The DFA Investment Trust Company $206,360,866
------------
Total Investments (100%) (Cost
$193,593,563)++................. $206,360,866
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++ The cost for federal income tax purposes is $194,047,972.
--------------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
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THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
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COMMON STOCKS -- (98.3%)
*3-D Systems Corp..................................... 10,600 $ 124,881
*3Dfx Interactive, Inc................................ 32,500 240,703
*A.C. Moore Arts & Crafts, Inc........................ 12,700 73,223
AAR Corp.............................................. 64,900 900,487
ABC Bancorp........................................... 6,360 63,202
*ABC Rail Products Corp............................... 9,400 59,044
Abington Bancorp, Inc................................. 7,000 65,187
*Abraxas Petroleum Corp............................... 6,500 9,685
*Accel International Corp............................. 6,800 4,781
*Acceptance Insurance Companies, Inc.................. 28,500 146,062
Aceto Corp............................................ 14,800 158,175
*Acme Electric Corp................................... 4,100 33,953
*Acorn Products, Inc.................................. 2,400 3,750
*ACT Networks, Inc.................................... 12,900 150,366
*Action Performance Companies, Inc.................... 27,700 222,466
*Acuson Corp.......................................... 7,300 89,425
*Adac Laboratories.................................... 25,000 482,031
Adams Resources & Energy, Inc......................... 2,200 36,437
*ADE Corp............................................. 12,200 186,812
*Adecco SA ADR........................................ 4,909 488,139
*Adept Technology, Inc................................ 11,200 234,500
*Advance Lighting Technologies, Inc................... 13,000 136,094
*Advanced Magnetics, Inc.............................. 4,100 27,675
*Advanced Neuromodulation Systems, Inc................ 6,700 82,075
*Advanced Radio Telecom Corp.......................... 10,000 103,750
Advanta Corp. Class A................................. 24,900 419,409
Advanta Corp. Class B Non-Voting...................... 35,700 431,747
Advest Group, Inc..................................... 20,800 397,800
*Aehr Test Systems.................................... 4,700 27,906
*AEP Industries, Inc.................................. 5,800 95,881
*Aerovox, Inc......................................... 9,000 28,969
*Aetrium, Inc......................................... 6,700 36,222
*Aftermarket Technology Corp.......................... 49,500 292,359
*AG Services America, Inc............................. 1,300 21,206
Agco Corp............................................. 143,300 1,791,250
*Agribiotech, Inc..................................... 39,200 1,274
*Agribrands International, Inc........................ 17,900 741,731
*AHT Corp............................................. 10,100 11,994
*Air Methods Corp..................................... 7,100 24,850
Airborne Freight Corp................................. 87,300 1,762,369
*Airgas, Inc.......................................... 106,400 571,900
*Airnet Systems, Inc.................................. 7,100 31,728
AK Steel Holding Corp................................. 41,295 400,045
Alamo Group, Inc...................................... 23,400 279,337
*Alaska Air Group, Inc................................ 43,400 1,350,825
*Albany International Corp. Class A................... 21,920 313,730
Albemarle Corp........................................ 16,800 369,600
*Aldila, Inc.......................................... 9,000 14,484
Alexander & Baldwin, Inc.............................. 80,300 1,856,937
Alfa Corp............................................. 3,800 64,719
Alico, Inc............................................ 9,000 138,375
*Align-Rite International, Inc........................ 4,600 94,875
Allen Organ Co. Class B............................... 400 25,725
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*Allen Telecom, Inc................................... 29,000 $ 464,000
Alliance Bancorp...................................... 12,600 222,469
*Alliance Pharmaceuticals Corp........................ 9,800 84,219
*Alliance Semiconductor Corp.......................... 40,500 1,002,375
*Allied Healthcare Products, Inc...................... 17,500 57,969
*Allied Holdings, Inc................................. 19,300 123,037
Allied Products Corp.................................. 9,200 12,075
*Allied Research Corp................................. 9,900 76,725
*Allin Communications Corp............................ 12,400 29,450
*Allou Health & Beauty Care, Inc. Class A............. 6,900 47,437
*Alltrista Corp....................................... 3,600 88,425
*Alphanet Solutions, Inc.............................. 8,800 40,700
*Alternative Resources Corp........................... 26,300 36,984
*Alterra Healthcare Corp.............................. 53,200 103,075
Ambanc Holding Co., Inc............................... 11,800 170,731
*Ambassadors, Inc..................................... 13,200 179,437
*AMC Entertainment, Inc............................... 28,800 136,800
Amcast Industrial Corp................................ 21,300 183,712
*Amdocs, Ltd.......................................... 6,616 409,778
*Amerco, Inc.......................................... 27,400 480,356
*America West Holdings Corp. Class B.................. 87,575 1,559,930
American Annuity Group, Inc........................... 1,000 17,062
American Biltrite, Inc................................ 900 11,869
*American Coin Merchandising, Inc..................... 9,200 24,150
*American Dental Technologies, Inc.................... 800 1,050
*American Freightways Corp............................ 77,200 1,150,762
*American Healthcorp, Inc............................. 10,900 43,600
*American Homepatient, Inc............................ 4,600 1,518
*American Homestar Corp............................... 34,600 34,059
*American Indemnity Financial Escrow.................. 1,500 1,500
*American Medical Security Group, Inc................. 24,700 162,094
*American Pacific Corp................................ 17,000 101,469
*American Physicians Services Group, Inc.............. 3,300 10,158
*American Retirement Corp............................. 38,300 210,650
*American Shared Hospital Services.................... 2,100 6,169
*American Skiing Co................................... 21,700 37,975
*American Software, Inc. Class A...................... 18,500 73,133
*American Technical Ceramics Corp..................... 6,400 219,200
*Amerihost Properties, Inc............................ 5,900 20,466
*Ameripath, Inc....................................... 30,700 263,348
*Ameristar Casinos, Inc............................... 12,100 48,022
Ameron, Inc........................................... 9,600 352,800
Amerus Life Holdings, Inc. Class A.................... 37,800 753,637
*Ames Department Stores, Inc.......................... 25,000 296,094
*AMF Bowling, Inc..................................... 25,800 24,187
Ampco-Pittsburgh Corp................................. 23,100 255,544
Amplicon, Inc......................................... 14,900 148,069
*Amrep Corp........................................... 6,400 41,600
*Amtran, Inc.......................................... 29,000 410,531
*Anadigics, Inc....................................... 450 15,623
Analogic Corp......................................... 1,400 50,487
Andersons, Inc........................................ 1,400 12,337
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Andover Bancorp, Inc.................................. 2,200 $ 63,937
*Angeion Corp......................................... 130 179
*Anicom, Inc.......................................... 60,700 300,655
*Ann Taylor Stores Corp............................... 40,300 1,047,800
Apogee Enterprises, Inc............................... 66,800 271,375
*Applica, Inc......................................... 35,700 526,575
*Applied Extrusion Technologies, Inc.................. 28,300 166,262
*Applied Films Corp................................... 3,000 69,000
*Applied Graphics Technologies, Inc................... 23,300 80,822
Applied Industrial Technologies, Inc.................. 30,100 524,869
*Applied Magnetics Corp............................... 5,000 119
*Applied Microsystems Corp............................ 6,400 35,600
Applied Signal Technologies, Inc...................... 7,500 75,937
*Aquila Biopharmaceuticals, Inc....................... 2,200 5,156
*Arch Capital Group, Ltd.............................. 22,600 341,119
Arch Chemicals, Inc................................... 53,900 929,775
Arch Coal, Inc........................................ 91,900 689,250
Arctic Cat, Inc....................................... 20,600 222,094
Argonaut Group, Inc................................... 36,900 666,506
*Ariel Corp........................................... 7,600 20,662
*Arkansas Best Corp................................... 23,500 259,969
Armstrong Holdings, Inc............................... 54,900 943,594
Arnold Industries, Inc................................ 59,300 680,097
*Arqule, Inc.......................................... 12,600 86,625
Arvin Industries, Inc................................. 35,700 642,600
ASB Financial Corp.................................... 2,500 21,953
*Ashworth, Inc........................................ 20,700 88,622
*Astea International, Inc............................. 24,500 53,977
Astro-Med, Inc........................................ 5,400 31,725
*Atchison Casting Corp................................ 7,000 49,437
*Atlanta Sosnoff Capital Corp......................... 3,800 36,575
*Atlantic American Corp............................... 29,400 91,875
*Atrion Corp.......................................... 5,000 59,375
*Audiovox Corp. Class A............................... 18,700 353,547
*Ault, Inc............................................ 4,700 27,466
*Aurora Foods, Inc.................................... 36,100 128,606
*Auspex Systems, Inc.................................. 23,400 111,881
Avado Brands, Inc..................................... 23,700 33,698
*Avatar Holdings, Inc................................. 19,300 381,778
*Aviation Sales Co.................................... 4,100 27,419
*Avid Technology, Inc................................. 59,100 594,694
*Avis Group Holdings, Inc............................. 74,900 1,441,825
*Avteam, Inc. Class A................................. 18,401 36,581
*Axsys Technologies, Inc.............................. 9,000 132,187
*Aztar Corp........................................... 71,600 912,900
Aztec Manufacturing Co................................ 3,200 51,200
*Badger Paper Mills, Inc.............................. 400 1,737
Bairnco Corp.......................................... 10,900 78,344
Baker (J.), Inc....................................... 33,800 215,475
*Baker (Michael) Corp................................. 9,100 59,150
Baldwin & Lyons, Inc. Class B......................... 14,300 259,187
*Baldwin Technology, Inc. Class A..................... 1,000 2,125
*Ballantyne Omaha, Inc................................ 17,500 42,656
*Bancinsurance Corp................................... 1,585 6,538
Bandag, Inc........................................... 12,750 316,359
Bandag, Inc. Class A.................................. 23,200 527,800
*Bank Plus Corp....................................... 30,500 84,828
*Bank United Financial Corp. Class A.................. 27,600 177,675
BankAtlantic Bancorp, Inc. Class A.................... 1,545 5,890
BankAtlantic Bancorp, Inc. Class B.................... 8,500 48,609
Banta Corp............................................ 18,400 340,400
*Barrett Business Services, Inc....................... 3,000 16,687
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*Barrett Resources Corp............................... 5,100 $ 201,769
*Barringer Technologies, Inc.......................... 13,800 84,956
*Barry (R.G.) Corp.................................... 10,700 36,781
*Basin Exploration, Inc............................... 10,700 177,887
Bassett Furniture Industries, Inc..................... 19,200 234,600
*Battle Mountain Gold Co.............................. 63,200 122,450
Bay View Capital Corp................................. 39,607 401,021
*Baycorp Holdings, Ltd................................ 3,200 26,000
*Bayou Steel Corp. Class A............................ 7,650 17,212
*Be Aerospace, Inc.................................... 19,700 136,053
*Beazer Homes USA, Inc................................ 21,300 391,387
*Bel Fuse, Inc. Class A............................... 3,500 63,656
*Belco Oil & Gas Corp................................. 20,200 157,812
*Bell Microproducts, Inc.............................. 14,000 181,125
*Benchmark Electronics, Inc........................... 18,900 642,600
*Benton Oil & Gas Co.................................. 24,300 66,825
Bergen Brunswig Corp. Class A......................... 182,497 946,703
Berkley (W.R.) Corp................................... 56,600 1,246,969
*Berlitz International, Inc........................... 21,500 239,187
*Bethlehem Steel Corp................................. 202,634 785,207
*Beverly Enterprises.................................. 217,700 653,100
BHA Group Holdings, Inc. Class A...................... 7,185 72,748
*BI, Inc.............................................. 18,700 99,344
Bindley Western Industries, Inc....................... 28,300 539,469
*Bio Vascular, Inc.................................... 10,300 29,934
*Bionx Implants, Inc.................................. 1,200 2,625
*Bio-Rad Laboratories, Inc. Class A................... 9,200 213,325
*BioReliance Corp..................................... 9,000 45,281
*Biosource International, Inc......................... 8,600 58,587
Birmingham Steel Corp................................. 44,700 173,212
Blair Corp............................................ 14,900 286,825
Block Drug Co., Inc. Class A.......................... 27,744 768,162
*Blonder Tongue Laboratories, Inc..................... 4,700 32,312
BMC Industries, Inc................................... 56,000 213,500
Bob Evans Farms, Inc.................................. 78,100 1,059,231
*Boca Research, Inc................................... 8,100 44,044
*Boca Resorts, Inc.................................... 58,000 500,250
*Bolt Technology Corp................................. 5,600 25,200
*Bombay Co., Inc...................................... 53,040 169,065
*Bon-Ton Stores, Inc.................................. 9,800 21,897
*Books-a-Million, Inc................................. 20,200 68,806
*Borders Group, Inc................................... 8,500 119,531
Borg Warner Automotive, Inc........................... 41,000 1,629,750
*Boron, Lepore and Associates, Inc.................... 29,600 226,625
*Boston Biomedical, Inc............................... 3,300 12,066
*Boston Communications Group, Inc..................... 13,500 138,797
Bostonfed Bancorp, Inc................................ 1,500 19,687
Bowl America, Inc. Class A............................ 3,200 24,800
Bowne & Co., Inc...................................... 86,800 873,425
*Boyd Gaming Corp..................................... 63,700 314,519
*Brass Eagle, Inc..................................... 8,000 39,000
*Bridgestreet Accomodations, Inc...................... 7,200 19,800
*Brightpoint, Inc..................................... 33,500 389,437
*BrightStar Information Technology Group, Inc......... 13,200 51,150
*Brookdale Living Communities......................... 10,200 138,975
Brookline Bancorp, Inc................................ 47,200 461,675
*Brooks Automation, Inc............................... 6,200 247,225
*Brown & Sharpe Manufacturing Co. Class A............. 24,900 56,025
*Brown (Tom), Inc..................................... 34,500 752,531
Brown Shoe Company, Inc............................... 23,100 275,756
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*Brunswick Technologies, Inc.......................... 5,700 $ 50,053
Brush Wellman, Inc.................................... 21,700 378,394
BSB Bancorp, Inc...................................... 4,500 85,922
*BTU International, Inc............................... 8,100 70,116
*Budget Group, Inc.................................... 77,000 293,562
*Buffets, Inc......................................... 58,500 678,234
*Building Materials Holding Corp...................... 30,500 283,078
Burlington Coat Factory Warehouse Corp................ 104,780 1,329,396
*Burlington Industries, Inc........................... 64,500 213,656
*Bush Boake Allen, Inc................................ 6,250 203,906
Bush Industries, Inc. Class A......................... 15,850 270,441
*Business Resource Group.............................. 4,100 25,497
*Butler International, Inc............................ 800 6,550
Butler Manufacturing Co............................... 12,800 285,600
*BWAY Corp............................................ 16,100 115,719
*C.P. Clare Corp...................................... 23,100 151,594
Cadmus Communications Corp............................ 18,900 164,194
Calgon Carbon Corp.................................... 93,400 612,937
*Caliber Learning Network, Inc........................ 30,300 82,378
*California Coastal Communities, Inc.................. 9,800 56,044
*California Micro Devices Corp........................ 6,600 93,431
*Callon Petroleum Co.................................. 5,100 77,775
Cal-Maine Foods, Inc.................................. 11,400 38,119
Camco Financial Corp.................................. 7,700 69,300
*Cameron Ashley Building Products, Inc................ 15,500 279,969
*Cannondale Corp...................................... 18,000 129,375
*Canterbury Information Technology, Inc............... 7,000 18,594
*Capital Corp. of the West............................ 4,200 41,212
*Capital Crossing Bank................................ 14,200 145,550
*Capital Pacific Holdings, Inc........................ 16,900 46,475
*Capital Senior Living Corp........................... 17,300 41,087
*Capital Trust, Inc................................... 11,300 43,787
Capitol Transamerica Corp............................. 14,650 164,812
Caraustar Industries, Inc............................. 8,300 137,209
*Carbide/Graphite Group, Inc.......................... 14,500 62,078
*Caredata.com, Inc.................................... 11,400 45,600
*Carematrix, Inc...................................... 24,400 17,919
*Caribiner International, Inc......................... 33,200 24,900
*Carmike Cinemas, Inc. Class A........................ 16,700 88,719
Carpenter Technology Corp............................. 52,800 1,092,300
*Carriage Services, Inc. Class A...................... 16,300 46,862
*Carrington Laboratories, Inc......................... 22,900 50,809
*Carson, Inc.......................................... 18,300 74,344
Carter-Wallace, Inc................................... 23,000 460,000
Cascade Corp.......................................... 8,800 99,000
*Casella Waste Systems, Inc. Class A.................. 20,700 269,100
Casey's General Stores, Inc........................... 1,700 20,081
Cash America International, Inc....................... 25,000 256,250
*Casino Data Systems.................................. 23,200 102,587
*Castle & Cooke, Inc.................................. 39,200 730,100
Castle (A.M.) & Co.................................... 3,200 39,800
*Castle Dental Centers, Inc........................... 4,600 11,212
Castle Energy Corp.................................... 17,000 102,797
*Catalina Lighting, Inc............................... 10,800 43,200
Cato Corp. Class A.................................... 26,700 331,247
Cavalier Homes, Inc................................... 1,000 1,500
*CB Richard Ellis Services, Inc....................... 30,000 301,875
CBRL Group, Inc....................................... 78,500 1,135,797
*Celadon Group, Inc................................... 11,800 159,669
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*Celeris Corporation.................................. 6,966 $ 19,265
*Celeritek, Inc....................................... 6,700 322,228
Cenit Bancorp, Inc.................................... 3,700 41,162
*Centigram Communications Corp........................ 8,600 161,519
Central Bancorp, Inc.................................. 3,500 56,984
*Central Garden & Pet Co.............................. 6,300 71,859
Century Aluminum Co................................... 25,100 256,491
*Century Business Services, Inc....................... 29,400 76,716
*Ceradyne, Inc........................................ 8,400 69,300
*Cerprobe Corp........................................ 9,300 115,087
*CFM Technologies, Inc................................ 8,400 65,625
*Champion Enterprises, Inc............................ 92,600 526,662
Champion Industries, Inc.............................. 8,900 25,309
*Champps Entertainment, Inc........................... 1,000 3,906
*Charming Shoppes, Inc................................ 145,700 860,541
*Chart House Enterprises, Inc......................... 13,900 73,844
*Chase Industries, Inc................................ 15,050 139,212
*Check Technology Corp................................ 5,900 30,053
*Checkers Drive-In Restaurant, Inc.................... 5,637 12,067
*Checkpoint System, Inc............................... 72,600 576,262
Chemed Corp........................................... 8,300 251,594
*Chemfab Corp......................................... 13,050 130,500
Chemfirst, Inc........................................ 15,700 327,737
*Cherry Corp.......................................... 10,000 201,250
Chesapeake Corp....................................... 26,500 866,219
Chesapeake Utilities Corp............................. 4,000 70,750
Chicago Rivet & Machine Co............................ 400 8,900
*Children's Comprehensive Services, Inc............... 17,200 38,700
*Childtime Learning Centers, Inc...................... 4,700 31,725
Chiquita Brands International, Inc.................... 65,800 259,087
*Chromcraft Revington, Inc............................ 2,100 23,362
*Chronimed, Inc....................................... 6,600 43,312
*Chyron Corp.......................................... 27,000 67,500
CICOR International, Inc.............................. 11,600 122,525
*CIDCO, Inc........................................... 34,700 106,269
*Ciprico, Inc......................................... 6,500 70,281
Circle International, Inc............................. 8,300 156,922
*Circuit City Stores, Inc. (Carmax Group)............. 28,600 76,862
*Citadel Holding Corp. Class A........................ 4,720 14,750
*Citation Holding Corp. Class B....................... 1,180 3,687
City Holding Co....................................... 40,600 403,462
CKE Restaurants, Inc.................................. 113,200 374,975
*Clean Harbors, Inc................................... 21,300 39,272
Cleveland Cliffs, Inc................................. 25,100 638,481
*Clintrials Research, Inc............................. 25,200 81,506
CNA Surety Corp....................................... 8,000 100,000
*CNS, Inc............................................. 29,600 118,400
Coachmen Industries, Inc.............................. 37,400 446,462
*Coast Dental Services, Inc........................... 8,700 17,808
Coastal Bancorp, Inc.................................. 15,050 226,691
*Coastcast Corp....................................... 8,100 154,912
*Cobra Electronic Corp................................ 7,500 41,250
*Coeur d'Alene Mines Corp. ID......................... 15,000 36,562
*Coherent, Inc........................................ 18,300 1,030,519
*Coinmach Laundry Corp................................ 16,200 219,206
Cole National Corp. Class A........................... 19,900 125,619
*Columbia Banking System, Inc......................... 9,240 100,774
Columbus McKinnon Corp................................ 23,500 324,594
*Comdial Corp......................................... 9,500 86,836
*Comforce Corp........................................ 19,000 38,000
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*Comfort Systems USA, Inc............................. 32,500 $ 197,031
*Command Systems, Inc................................. 3,800 7,006
Commerce Group, Inc................................... 38,600 1,047,025
Commercial Federal Corp............................... 82,900 1,321,219
Commercial Metals Co.................................. 34,200 899,887
Commonwealth Bancorp, Inc............................. 7,400 85,562
Commonwealth Industries, Inc.......................... 40,000 246,250
Communications Systems, Inc........................... 3,400 46,537
Community Financial Corp.............................. 3,000 33,562
Community Financial Group, Inc........................ 3,400 44,625
Community Savings Bankshares, Inc..................... 16,600 175,337
Community Trust Bancorp, Inc.......................... 5,170 74,803
*Compucom Systems, Inc................................ 63,900 153,759
Comsat Corp. Series 1................................. 38,900 953,050
*Comshare, Inc........................................ 10,500 40,031
*Comstock Resources, Inc.............................. 42,800 321,000
*Concentrex, Inc...................................... 5,200 23,562
*Concord Camera Corp.................................. 19,600 332,587
*Condor Technology Solutions, Inc..................... 14,400 6,075
*Cone Mills Corp. NC.................................. 36,900 212,175
*Congoleum Corp. Class A.............................. 2,800 8,750
*Consolidated Freightways Corp........................ 24,500 111,781
*Consolidated Graphics, Inc........................... 21,300 220,987
Cooper Tire & Rubber Co............................... 182,000 2,195,375
*CoorsTek, Inc........................................ 9,775 315,244
*Core Materials Corp.................................. 700 1,094
Corn Products International, Inc...................... 59,600 1,463,925
*Cornell Corrections, Inc............................. 23,000 166,750
Corning, Inc.......................................... 8,010 1,549,434
*Correctional Services Corp........................... 14,400 63,450
*Corrpro Companies, Inc............................... 11,000 41,250
Corus Bankshares, Inc................................. 20,000 496,250
*Cost-U-Less, Inc..................................... 2,500 4,141
*Cotelligent Group, Inc............................... 24,000 109,500
Courier Corp.......................................... 1,500 38,812
*Covenant Transport, Inc. Class A..................... 30,200 310,494
*Coventry Health Care, Inc............................ 80,700 955,791
Covest Bancshares, Inc................................ 3,500 36,422
CPAC, Inc............................................. 8,800 60,500
*Craig (Jenny), Inc................................... 49,800 71,587
*Craig Corp........................................... 900 3,656
*Credit Acceptance Corp............................... 13,900 77,319
*Cross (A.T.) Co. Class A............................. 21,600 132,300
Cross Timbers Oil Co.................................. 23,200 471,250
*Crossman Communities, Inc............................ 14,100 249,834
*Crown Central Petroleum Corp. Class A................ 6,600 59,812
*Crown Central Petroleum Corp. Class B................ 7,000 63,437
*Crown Vantage, Inc................................... 10,800 2,531
*CSP, Inc............................................. 6,061 37,692
*CSS Industries, Inc.................................. 16,000 320,000
*CTB International Corp............................... 17,600 114,675
Cubic Corp............................................ 15,800 316,000
Culp, Inc............................................. 10,800 68,175
*Curative Health Services, Inc........................ 10,500 56,602
*Cyberoptics Corp..................................... 5,000 186,406
*Cybex International, Inc............................. 7,300 19,619
*Cylink Corp.......................................... 16,100 222,381
*Cyrk, Inc............................................ 24,300 139,725
*D A Consulting Group, Inc............................ 8,300 18,286
Dain Rauscher Corp.................................... 9,300 554,512
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*Damark International, Inc. Class A................... 7,600 $ 143,212
*Dan River, Inc. (GA) Class A......................... 28,600 143,000
*Danielson Holding Corp............................... 3,000 14,250
*Darling International, Inc........................... 1,000 1,187
*Data I/O Corp........................................ 6,100 22,875
Data Research Association, Inc........................ 600 3,094
*Data Systems & Software, Inc......................... 10,200 45,900
*DataTRAK International, Inc.......................... 7,900 42,956
*Dataware Technologies, Inc........................... 2,800 7,437
*Datron Systems, Inc.................................. 3,800 44,056
*Datum, Inc........................................... 6,500 101,156
*Dave and Busters, Inc................................ 18,500 127,187
*Dawson Geophysical Co................................ 9,400 91,356
*Dayton Superior Corp. Class A........................ 5,600 142,800
*Deckers Outdoor Corp................................. 12,000 40,500
*Del Global Technologies Corp......................... 7,100 59,462
*Delia's, Inc......................................... 14,900 37,250
*Delphi Financial Group, Inc. Class A................. 16,398 549,333
*Delta Financial Corp................................. 1,900 3,325
Delta Natural Gas Co., Inc............................ 2,800 42,262
Deltic Timber Corp.................................... 1,300 27,787
Designs, Inc.......................................... 500 766
*Detection Systems, Inc............................... 8,000 79,000
Detroit Diesel Corp................................... 32,200 507,150
Dexter Corp........................................... 4,000 173,000
*Digi International, Inc.............................. 26,800 138,187
Dime Community Bancorp, Inc........................... 11,100 180,375
*Diodes, Inc.......................................... 4,600 125,350
*Discount Auto Parts, Inc............................. 2,500 25,000
*Dixie Group, Inc..................................... 12,719 45,311
*Dollar Thrifty Automotive Group, Inc................. 34,000 612,000
Donegal Group, Inc.................................... 6,000 41,719
*Donna Karan International, Inc....................... 21,900 154,669
Donnelly Corp. Class A................................ 5,600 80,850
Downey Financial Corp................................. 35,700 1,062,075
*Dress Barn, Inc...................................... 24,700 525,647
*DRS Technologies, Inc................................ 9,500 108,062
*Drug Emporium, Inc................................... 17,900 20,417
*Drypers Corp......................................... 13,000 23,359
DT Industries, Inc.................................... 10,800 108,675
*Duckwall-Alco Stores, Inc............................ 1,300 11,212
*Ducommun, Inc........................................ 10,300 115,231
*Dura Automotive Systems, Inc......................... 1,085 12,918
*Dura Pharmaceuticals, Inc............................ 43,000 503,906
*DVI, Inc............................................. 24,500 352,187
*Dwyer Group, Inc..................................... 7,600 19,000
*Dynamics Research Corp............................... 8,800 62,150
*E Com Ventures, Inc.................................. 5,200 15,762
Eagle Bancshares, Inc................................. 700 8,181
Earthgrains Co........................................ 42,700 704,550
*ECC International Corp............................... 10,800 32,400
Edelbrock Corp........................................ 4,200 48,037
Edo Corp.............................................. 5,600 36,050
*Educational Insights, Inc............................ 2,800 3,456
*EduTrek International, Inc........................... 4,700 6,316
*EFTC Corp............................................ 15,700 33,117
*Elantec Semiconductor, Inc........................... 3,000 114,469
*Elcom International, Inc............................. 3,900 20,353
*Elcotel, Inc......................................... 10,200 18,966
*Elder-Beerman Stores Corp............................ 21,200 96,725
*Electro Rent Corp.................................... 10,100 109,837
*Electroglas, Inc..................................... 12,200 321,775
</TABLE>
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<TABLE>
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*Elite Information Group, Inc......................... 11,000 $ 70,125
Ellett Brothers, Inc.................................. 4,500 18,562
EMC Insurance Group, Inc.............................. 1,000 8,062
*Emcor Group, Inc..................................... 8,400 186,375
Empire Federal Bancorp, Inc........................... 1,800 19,912
*EMS Technologies, Inc................................ 9,800 158,331
*Encad, Inc........................................... 16,800 58,800
*Encompass Services Corp.............................. 95,125 558,859
*Encore Wire Corp..................................... 15,000 94,219
*Endosonics Corp...................................... 11,800 50,334
Energen Corp.......................................... 24,300 537,637
Enesco Group, Inc..................................... 27,500 110,000
Engineered Support Systems, Inc....................... 6,500 82,062
Engle Homes, Inc...................................... 21,300 204,347
Enhance Financial Services Group, Inc................. 63,500 873,125
Ennis Business Forms, Inc............................. 500 3,687
*Enserch Exploration Corp............................. 82,900 424,862
*Equinox Systems, Inc................................. 6,000 34,875
*Equity Marketing, Inc................................ 4,400 44,550
*Esco Electronics Corp................................ 17,700 311,962
Eskimo Pie Corp....................................... 3,600 35,437
Espey Manufacturing & Electronics Corp................ 400 5,750
*Esterline Technologies Corp.......................... 26,200 356,975
Ethyl Corp............................................ 112,200 287,512
*Evans & Sutherland Computer Corp..................... 5,900 46,647
Everest Re Group, Ltd................................. 2,100 71,400
*Exabyte Corp......................................... 33,000 139,219
*Exar Corp............................................ 12,900 885,666
*Exponent, Inc........................................ 11,400 89,419
*Extended Stay America, Inc........................... 215,400 1,938,600
*Extended Systems, Inc................................ 5,000 161,250
Ezcorp, Inc. Class A Non-Voting....................... 9,000 19,687
*E-Z-Em, Inc. Class A................................. 3,700 25,437
*Fairchild Corp. Class A.............................. 11,400 54,150
Falcon Products, Inc.................................. 9,200 90,850
*Farm Family Holdings, Inc............................ 3,500 94,500
Farrel Corp........................................... 6,000 9,750
FBL Financial Group, Inc. Class A..................... 7,000 102,375
*Featherlite Manufacturing, Inc....................... 400 1,387
Federal-Mogul Corp.................................... 92,400 918,225
*FEI Co............................................... 30,500 551,859
FFLC Bancorp.......................................... 1,700 21,781
*Fibermark, Inc....................................... 12,700 132,556
Fidelity National Financial, Inc...................... 35,800 554,900
*Finish Line, Inc. Class A............................ 1,500 10,406
*Finishmaster, Inc.................................... 9,000 48,937
Finova Group, Inc..................................... 77,100 920,381
First American Financial Corp......................... 91,600 1,522,850
First Bell Bancorp, Inc............................... 6,400 91,400
First Charter Corp.................................... 31,700 506,209
First Citizens Bancshares, Inc. NC.................... 12,200 735,812
First Defiance Financial Corp......................... 6,100 50,516
First Essex Bancorp................................... 8,800 144,925
First Federal Bancshares of Arkansas, Inc............. 4,000 60,500
First Indiana Corp.................................... 700 12,228
*First Investors Financial Services Group, Inc........ 13,000 61,344
First Mariner Bank Corp............................... 1,300 8,369
First Midwest Financial, Inc.......................... 3,400 33,681
<CAPTION>
SHARES VALUE+
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First Niagara Financial Group, Inc.................... 37,300 $ 341,528
First Northern Capital Corp........................... 13,500 180,141
*First Republic Bank.................................. 13,800 232,875
First Savings Bancorp, Inc. North Carolina............ 5,400 97,200
First Sentinel Bancorp, Inc........................... 43,300 337,605
*First Team Sports, Inc............................... 8,100 17,339
First Washington Bancorp, Inc......................... 7,300 105,622
FirstBank NW Corp..................................... 1,000 10,125
Firstfed America Bancorp, Inc......................... 5,100 59,287
*FirstFed Financial Corp. DE.......................... 11,000 147,812
Firstspartan Financial Corp........................... 5,000 87,500
*Fischer Imaging Corp................................. 3,200 8,600
Flagstar Bancorp, Inc................................. 17,100 160,847
*Flander Corp......................................... 33,900 120,769
Fleetwood Enterprises, Inc............................ 45,700 651,225
Fleming Companies, Inc................................ 54,800 770,625
Flexsteel Industries, Inc............................. 7,100 91,634
*Florsheim Group, Inc................................. 300 741
Flushing Financial Corp............................... 18,200 262,762
FNB Financial Services Corp........................... 2,300 28,175
*Foilmark, Inc........................................ 7,100 27,291
*Forcenergy, Inc...................................... 19,700 15,464
*Forest Oil Corp...................................... 21,800 347,437
*Foster (L.B.) Co. Class A............................ 7,900 26,416
Foster Wheeler Corp................................... 34,900 294,469
*Foundation Health Systems, Inc....................... 50,000 600,000
*FPIC Insurance Group, Inc............................ 15,000 193,594
Frankfort First Bancorp, Inc.......................... 200 2,375
Franklin Bank National Associaton Southfield, MI...... 9,300 80,212
*Franklin Covey Co.................................... 28,400 220,100
*Franklin Electronic Publishers, Inc.................. 3,900 25,350
Freds, Inc. Class A................................... 12,800 219,200
Fremont General Corp.................................. 103,800 454,125
*French Fragrances, Inc............................... 18,300 140,681
Frequency Electronics, Inc............................ 9,200 156,400
*Fresh America Corp................................... 11,500 25,156
*Fresh Choice, Inc.................................... 4,000 14,437
*Fresh Foods, Inc..................................... 4,500 13,219
*Friede Goldman International......................... 13,469 113,645
*Friedman Billings Ramsey Group, Inc. Class A......... 15,900 101,362
Friedman Industries, Inc.............................. 6,840 22,232
Friedmans, Inc. Class A............................... 7,200 43,425
Frisch's Restaurants, Inc............................. 7,500 73,125
*Fritz Companies, Inc................................. 27,100 282,009
Frozen Food Express Industries, Inc................... 6,700 16,959
FSF Financial Corp.................................... 4,200 51,975
*FSI International, Inc............................... 21,800 314,056
*FTI Consulting, Inc.................................. 7,000 65,625
GA Financial, Inc..................................... 3,500 41,125
*Gadzooks, Inc........................................ 10,600 151,050
Gainsco, Inc.......................................... 27,300 143,325
*Galey & Lord, Inc.................................... 13,400 32,662
*GameTech International, Inc.......................... 6,600 42,075
Garan, Inc............................................ 1,000 20,500
*Garden Fresh Restaurant Corp......................... 13,200 143,550
*Gasonics International, Inc.......................... 1,400 38,150
*GC Companies, Inc.................................... 4,600 121,612
*Gehl Co.............................................. 10,100 180,853
Gencorp, Inc.......................................... 74,000 726,125
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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General Binding Corp.................................. 18,000 $ 135,000
General Cable Corp.................................... 33,700 280,131
*General Communications, Inc. Class A................. 60,000 288,750
*Genesee & Wyoming, Inc............................... 6,000 109,875
*Genicom Corp......................................... 8,800 1,012
*Genlyte Group, Inc................................... 28,700 583,866
*Genome Therapeutics Corp............................. 8,000 124,250
*Gensym Corp.......................................... 7,700 28,033
*Gentiva Health Services.............................. 17,300 150,834
*Gerber Childrenswear, Inc............................ 11,300 59,325
Gerber Scientific, Inc................................ 13,300 159,600
*Getty Petroleum Marketing, Inc....................... 9,200 33,350
*Giant Industries, Inc................................ 17,400 153,337
Gibraltar Steel Corp.................................. 19,500 308,953
*Giga-Tronics, Inc.................................... 2,800 21,175
*G-III Apparel Group, Ltd............................. 10,300 47,637
Glatfelter (P.H.) Co.................................. 63,100 745,369
*Glenayre Technologies, Inc........................... 69,900 574,491
*Global Sources, Ltd.................................. 541 14,928
*Global Vacation Group, Inc........................... 20,000 51,250
*Globe Business Resources, Inc........................ 4,600 58,794
Golden Enterprises, Inc............................... 300 937
*Golden State Vintners, Inc........................... 5,400 25,987
*Good Guys, Inc....................................... 17,100 45,956
*Goodys Family Clothing............................... 50,300 275,078
Gorman-Rupp Co........................................ 7,700 134,269
*Gottschalks, Inc..................................... 18,000 91,125
*Government Technology Services, Inc.................. 5,200 15,762
*GP Strategies Corp................................... 9,900 37,744
Granite Construction, Inc............................. 19,000 495,187
*Graphic Packaging International Corp................. 12,300 42,281
Great Atlantic & Pacific Tea Co., Inc................. 55,200 1,014,300
*Greenbriar Corp...................................... 2,200 3,300
Greenbrier Companies, Inc............................. 4,100 31,262
*Grey Wolf, Inc....................................... 16,500 82,500
*Griffin Land & Nurseries, Inc. Class A............... 1,900 25,650
*Griffon Corp......................................... 49,700 301,306
*Group 1 Automotive, Inc.............................. 12,800 147,200
*GT Interactive Software Corp......................... 47,100 98,616
Guaranty Federal Bancshares, Inc...................... 7,500 74,766
*Guest Supply, Inc.................................... 5,800 101,862
Guilford Mills, Inc................................... 9,300 61,031
*Gulf Island Fabrication, Inc......................... 9,800 169,969
*Gulfmark Offshore, Inc............................... 14,800 319,125
*Gundle/SLT Environmental, Inc........................ 5,400 16,875
*Gymboree Corp........................................ 33,200 92,856
*GZA Geoenvironmental Technologies, Inc............... 1,600 9,800
Haggar Corp........................................... 15,100 175,066
*Hagler Bailly, Inc................................... 24,100 43,681
*Halifax Corp......................................... 2,000 10,375
Hallmark Capital Corp................................. 2,900 24,650
*Ha-Lo Industries, Inc................................ 33,100 184,119
Hancock Fabrics, Inc.................................. 5,600 26,250
Hancock Holding Co.................................... 4,300 136,525
*Handleman Co......................................... 24,400 237,900
*Hanger Orthopedic Group, Inc......................... 10,800 51,975
Harbor Florida Bancshares, Inc........................ 21,500 227,766
*Harding Lawson Associates Group, Inc................. 6,800 77,137
<CAPTION>
SHARES VALUE+
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Hardinge Brothers, Inc................................ 5,500 $ 53,109
Harleysville Group, Inc............................... 8,900 150,744
Harman International Industries, Inc.................. 2,900 167,837
Harmon Industries, Inc................................ 3,600 48,150
Hartford Life, Inc. Class A........................... 36,700 1,841,881
*Hartmarx Corp........................................ 33,500 75,375
*Hastings Entertainment, Inc.......................... 18,300 24,305
*Hauser, Inc.......................................... 1,900 2,612
Haven Bancorp, Inc.................................... 11,100 199,106
*Hawaiian Airlines, Inc............................... 20,500 51,250
*Hawk Corp............................................ 15,000 102,187
*Hawker Pacific Aerospace............................. 6,000 33,750
*Hawthorne Financial Corp............................. 8,900 72,312
HCC Insurance Holdings, Inc........................... 27,700 472,631
*Headway Corporate Resources, Inc..................... 2,500 7,969
*Health Management Systems, Inc....................... 15,000 62,109
*Health Systems Design Corp........................... 5,000 28,125
*Healthcare Recoveries, Inc........................... 13,700 47,736
*Healthcare Services Group, Inc....................... 19,500 87,750
Healthplan Services Corp.............................. 15,500 37,781
*Hector Communications Corp........................... 4,300 54,825
Heico Corp............................................ 20,000 262,500
Heilig-Meyers Co...................................... 69,000 116,437
*Hello Direct, Inc.................................... 3,900 48,506
Helmerich & Payne, Inc................................ 3,900 145,275
*Herley Industries, Inc............................... 3,500 56,656
*Hexcel Corp.......................................... 23,300 180,575
*High Plains Corp..................................... 22,400 50,400
*Highlands Insurance Group, Inc....................... 7,400 53,650
*Hirsch International Corp. Class A................... 900 1,266
*Hi-Tech Pharmacal, Inc............................... 6,700 26,067
HMN Financial, Inc.................................... 6,000 67,875
*HMT Technology Corp.................................. 72,000 123,750
*Holiday RV Superstores, Inc.......................... 500 2,094
Holly Corp............................................ 11,000 110,000
*Hollywood Entertainment Corp......................... 26,100 179,845
*Hologic, Inc......................................... 25,900 148,925
*Home Products International, Inc..................... 10,300 44,419
*Homestead Village, Inc............................... 3,900 15,844
Horizon Financial Corp................................ 10,000 93,437
*Horizon Health Corp.................................. 8,800 53,350
*Horizon Offshore, Inc................................ 31,400 354,231
*Horizon Pharmacies, Inc.............................. 6,600 24,750
Horton (D.R.), Inc.................................... 131,100 1,712,494
*Hotelworks.com, Inc.................................. 27,900 10,462
*Houston Exploration Co............................... 24,500 612,500
*Hovnanian Enterprises, Inc. Class A.................. 6,200 34,100
*HPSC, Inc............................................ 3,600 33,975
*HS Resources, Inc.................................... 25,900 869,269
*Hub Group, Inc. Class A.............................. 6,300 79,734
Hudson River Bancorp, Inc............................. 31,600 309,087
Huffy Corp............................................ 7,600 24,700
Hughes Supply, Inc.................................... 1,300 24,700
*Humana, Inc.......................................... 167,500 942,187
Hunt (J.B.) Transport Services, Inc................... 24,400 394,212
Hunt Corp............................................. 15,100 151,944
*Huntco, Inc. Class A................................. 7,100 21,744
*Hurco Companies, Inc................................. 3,500 15,312
*Hutchinson Technology, Inc........................... 43,100 507,772
*Hypercom Corp........................................ 44,300 553,750
*Hyseq, Inc........................................... 12,100 280,191
Iberiabank Corp....................................... 5,300 79,169
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*ICT Group, Inc....................................... 10,400 $ 73,125
*IDT Corp............................................. 6,000 195,562
*IEC Electronics Corp................................. 2,400 4,575
*IFR Systems, Inc..................................... 11,000 62,906
*IHOP Corp............................................ 16,100 283,762
*II-VI, Inc........................................... 8,200 315,187
Ikon Office Solutions, Inc............................ 236,400 1,182,000
*Ikos Systems, Inc.................................... 3,600 30,656
*Il Fornaio (America) Corp............................ 6,200 53,475
*Imation Corp......................................... 41,300 1,169,306
IMCO Recycling, Inc................................... 5,100 34,106
*Imperial Credit Industries, Inc...................... 36,100 126,350
Imperial Sugar Co..................................... 5,900 8,112
*In Focus Systems, Inc................................ 15,400 429,756
*Inacom Corp.......................................... 75,640 12,859
Independence Community Bank Corp...................... 93,600 1,251,900
Independent Bank East................................. 10,344 135,118
*Industrial Distribution Group, Inc................... 1,000 2,375
*Industrial Holdings, Inc............................. 10,000 11,562
*Industri-Matematik International Corp................ 2,000 10,500
*Inference Corp. Class A.............................. 2,000 12,375
*Infinium Software, Inc............................... 3,300 10,622
*Information Management Associates, Inc............... 12,000 52,500
*Information Resources, Inc........................... 3,100 15,403
Ingles Market, Inc. Class A........................... 15,000 148,125
*Ingram Micro, Inc.................................... 145,800 2,460,375
*Innotrac Corp........................................ 19,600 96,775
*Innovative Clinical Solutions, Ltd................... 16,100 2,817
*Innoveda, Inc........................................ 33,000 147,469
Innovex, Inc.......................................... 12,800 110,000
*Inprise Corp......................................... 29,700 165,670
*Input/Output, Inc.................................... 40,400 318,150
*Insignia Financial Group, Inc........................ 34,400 389,150
*Inso Corp............................................ 26,700 94,284
*Inspire Insurance Solutions, Inc..................... 45,700 158,522
Insteel Industries, Inc............................... 7,400 42,550
*Insurance Auto Auctions, Inc......................... 21,500 417,234
*IntegraMed America, Inc.............................. 3,600 11,250
*Integrated Device Technology, Inc.................... 16,400 780,025
*Integrated Electrical Services, Inc.................. 16,500 81,469
*Integrated Measurement System, Inc................... 8,900 132,387
*Integrated Silicon Solution, Inc..................... 19,100 566,434
*Inter Parfums, Inc................................... 7,800 91,650
Interface, Inc. Class A............................... 1,000 4,375
*Intergraph Corp...................................... 58,200 325,556
*Interim Services, Inc................................ 58,300 1,173,287
*Interlinq Software Corp.............................. 5,300 14,906
*Intermagnetics General Corp.......................... 11,800 134,225
*International Aircraft Investors..................... 6,000 30,750
International Multifoods Corp......................... 25,000 348,437
*International Rectifier Corp......................... 38,000 1,567,500
*International Speciality Products, Inc............... 13,000 70,687
*International Total Services, Inc.................... 6,500 6,500
*Interphase Corp...................................... 1,400 19,775
Interpool, Inc........................................ 21,100 168,800
*Interstate National Dealers Services, Inc............ 4,600 25,012
*Intervoice, Inc...................................... 1,449 20,467
*Intevac, Inc......................................... 3,500 10,937
Investors Title Co.................................... 1,300 14,300
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Invision Technologies, Inc........................... 18,400 $ 74,175
*Invivo Corp.......................................... 2,000 20,125
*Ionics, Inc.......................................... 19,200 552,000
*IRI International Corp............................... 52,000 464,750
*Iridex Corp.......................................... 6,200 52,700
*Isle of Capri Casinos, Inc........................... 23,700 323,653
*Isolyser Co., Inc.................................... 8,300 29,309
*IT Group, Inc ....................................... 36,100 209,831
*ITLA Capital Corp.................................... 6,200 80,987
*Itron, Inc........................................... 20,700 96,384
*IVI Checkmate Corp................................... 43,700 128,369
*J & J Snack Foods Corp............................... 12,000 178,875
*J. Alexander's Corp.................................. 12,800 49,600
*J. Jill Group, Inc................................... 24,000 147,750
*Jackpot Enterprises, Inc............................. 8,800 101,750
Jacksonville Bancorp, Inc............................. 2,200 28,187
*Jaco Electronics, Inc................................ 8,700 141,647
*Jacobson Stores, Inc................................. 13,900 78,187
*Jan Bell Marketing, Inc.............................. 2,600 5,687
*Jason, Inc........................................... 16,400 165,025
*JDA Software Group, Inc.............................. 16,100 250,053
Jefferies Group, Inc.................................. 23,400 472,387
Jefferson Savings Bancorp, Inc........................ 23,900 260,659
*JLK Direct Distribution, Inc. Class A................ 5,000 34,687
*JLM Industries, Inc.................................. 9,700 36,678
*Johnson Outdoors, Inc................................ 16,600 146,806
*Jos. A. Bank Clothiers, Inc.......................... 16,400 74,312
*JPM Co............................................... 5,300 27,328
*JPS Industries, Inc.................................. 18,000 67,219
*Jps Packaging Company................................ 5,800 16,312
Justin Industries, Inc................................ 29,700 517,894
K Swiss, Inc. Class A................................. 19,100 251,284
*K2, Inc.............................................. 8,400 59,325
*Kaiser Aluminum Corp................................. 67,350 298,866
*Kaiser Ventures, Inc................................. 9,300 120,319
Kaman Corp. Class A................................... 55,500 553,266
*Kasper A.S.L., Ltd................................... 7,000 18,047
Katy Industries, Inc.................................. 13,300 128,844
*KCS Energy, Inc...................................... 26,100 29,362
*Kellstrom Industries, Inc............................ 13,500 67,922
Kellwood Co........................................... 35,400 597,375
*Kendle International, Inc............................ 500 3,156
Kennametal, Inc....................................... 50,900 1,342,487
*Kent Electronics Corp................................ 12,800 355,200
*Kentucky Electric Steel, Inc......................... 4,800 10,200
Kentucky First Bancorp, Inc........................... 400 4,075
Kewaunee Scientific Corp.............................. 5,000 58,281
*Key Energy Group, Inc................................ 73,800 802,575
*Key Production Co., Inc.............................. 12,500 200,781
*Key Technology, Inc.................................. 7,100 61,459
*Key Tronic Corp...................................... 7,400 20,119
*Keystone Automotive Industries, Inc.................. 13,700 100,395
*kforce.com, Inc...................................... 101,900 1,308,778
Kimball International, Inc. Class B................... 18,200 294,044
*Kinark Corp.......................................... 1,300 1,706
*Kinnard Investment, Inc.............................. 5,200 41,275
*Kitty Hawk, Inc...................................... 4,100 1,917
Klamath First Bancorp, Inc............................ 2,700 30,206
*KLLM Transport Services, Inc......................... 4,200 33,469
*Kulicke & Soffa Industries, Inc...................... 4,400 221,650
*KVH Industries, Inc.................................. 2,900 15,134
LabOne, Inc........................................... 9,000 46,406
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
LaCrosse Footwear, Inc................................ 6,100 $ 24,591
*Ladish Co., Inc...................................... 28,500 248,484
*Lakes Gaming, Inc.................................... 12,000 98,625
*Lam Research Corp.................................... 1,600 51,450
*Lamson & Sessions Co................................. 19,500 156,000
*Lancer Corp.......................................... 1,000 3,625
*Landair Corp......................................... 2,600 10,644
Landamerica Financial Group, Inc...................... 10,500 193,594
Landrys Seafood Restaurants, Inc...................... 41,500 324,219
*Larscom, Inc......................................... 6,300 31,500
*Layne Christensen Co................................. 13,100 58,131
*Lazare Kaplan International, Inc..................... 12,500 109,375
La-Z-Boy, Inc......................................... 12,744 204,700
*Leapnet, Inc......................................... 25,788 82,602
*Lechters, Inc........................................ 12,900 19,753
Lennar Corp........................................... 62,500 1,179,688
Lennox International, Inc............................. 17,420 204,685
Lesco, Inc............................................ 11,700 182,081
*Level 8 Systems, Inc................................. 567 11,110
*Liberty Corp......................................... 18,800 660,350
Liberty Financial Companies, Inc...................... 57,300 1,350,131
*Life Financial Corp.................................. 10,300 40,556
Lifetime Hoan Corp.................................... 12,500 103,906
Lillian Vernon Corp................................... 1,000 9,750
Lindberg Corp......................................... 1,800 14,175
*LMI Aerospace, Inc................................... 7,600 21,613
LNR Property Corp..................................... 33,900 656,813
*Loews Cineplex Entertainment Corp.................... 44,200 116,025
*Logic Devices, Inc................................... 6,100 14,297
Lone Star Steakhouse Saloon........................... 55,700 590,072
*Lone Star Technologies, Inc.......................... 19,100 1,012,300
Longs Drug Stores Corp................................ 39,600 799,425
Longview Fibre Co..................................... 64,300 771,600
*Louis Dreyfus Natural Gas Corp....................... 37,700 1,211,113
LTV Corp.............................................. 113,700 298,463
*LTX Corp............................................. 15,300 402,103
Luby's Cafeterias, Inc................................ 29,900 263,494
Lufkin Industries, Inc................................ 9,100 154,131
*Lumisy, Inc.......................................... 13,100 32,341
*Lunar Corp........................................... 6,600 73,013
*Lydall, Inc.......................................... 5,500 57,406
*Lynch Corp........................................... 400 12,350
M.A. Hanna Co......................................... 56,000 654,500
*M.H. Meyerson & Co., Inc............................. 4,000 14,875
*Mac-Gray Corp........................................ 10,300 31,544
*Mackie Designs, Inc.................................. 800 5,475
*Made2Manage Systems, Inc............................. 8,000 51,500
*Magnetek, Inc........................................ 27,500 232,031
*Magnum Hunter Resources, Inc......................... 20,100 108,038
*Mail-Well, Inc....................................... 65,600 615,000
*Main Street & Main, Inc.............................. 11,000 36,438
Main Street Bancorp, Inc.............................. 11,500 96,852
*Manchester Equipment Co., Inc........................ 12,200 53,375
*Manor Care, Inc...................................... 75,000 529,688
*Manugistic Group, Inc................................ 16,000 465,000
Marcus Corp........................................... 26,100 285,469
*Marine Drilling Companies, Inc....................... 22,500 646,875
*Marine Transport Corp................................ 11,000 28,875
Maritrans, Inc........................................ 17,900 106,281
Mark IV Industries, Inc............................... 39,900 847,875
*MarkWest Hydrocarbon, Inc............................ 20,300 170,013
Marsh Supermarkets, Inc. Class A...................... 3,100 50,375
<CAPTION>
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*Material Sciences Corp............................... 26,700 $ 287,025
*Matrix Pharmaceutical, Inc........................... 19,700 171,144
*Matrix Service Co.................................... 17,000 82,875
*Maverick Tube Corp................................... 13,900 488,672
*Max & Ermas Restaurants, Inc......................... 1,400 12,075
*Maxco, Inc........................................... 2,700 21,094
*Maxicare Health Plans, Inc........................... 8,400 13,650
*Maxwell Shoe Company, Inc............................ 16,600 126,056
*Maxwell Technologies, Inc............................ 9,300 130,781
*Maxxam, Inc.......................................... 900 22,950
*Maynard Oil Co....................................... 5,800 97,150
*Mazel Stores, Inc.................................... 18,000 157,500
*MB Financial, Inc.................................... 13,100 145,328
McGrath Rent Corp..................................... 5,000 78,438
*McNaughton Apparel Group, Inc........................ 8,200 78,156
*McWhorter Technologies, Inc.......................... 17,000 332,563
MDC Holdings, Inc..................................... 38,200 737,738
*Meadow Valley Corp................................... 3,400 12,963
Meadowbrook Insurance Group, Inc...................... 6,300 33,863
*Mechanical Dynamics, Inc............................. 1,900 11,281
Medford Bancorp, Inc.................................. 12,400 185,225
*Media 100, Inc....................................... 6,000 106,125
*Media Arts Group, Inc................................ 14,600 56,575
*Medialink Worldwide, Inc............................. 6,000 43,125
*Medical Action Industries, Inc....................... 1,200 4,763
*Medical Alliance, Inc................................ 15,000 58,125
*Medical Assurance, Inc............................... 12,680 144,235
*Medical Resources, Inc............................... 7,300 420
*Medstone International, Inc.......................... 6,400 34,200
*MEMC Electronic Materials, Inc....................... 38,000 581,875
*Meridian Medical Technology, Inc..................... 3,000 25,875
*Meridian Resource Corp............................... 9,900 52,594
*MeriStar Hotels & Resorts, Inc....................... 34,700 99,763
*Merit Medical Systems, Inc........................... 12,800 63,200
*Merix Corp........................................... 5,700 156,928
*Mesa Air Group, Inc.................................. 10,500 62,836
*Mesa Labs, Inc....................................... 1,000 4,453
*Metal Management, Inc................................ 36,100 49,073
Metals USA, Inc....................................... 24,800 130,200
*Metatec Corp. Class A................................ 7,900 21,725
*Metrocall, Inc....................................... 37,500 120,703
*Metromedia International Group, Inc.................. 113,500 489,469
*MFRI, Inc............................................ 4,900 19,294
MI Schottenstein Homes, Inc........................... 9,000 153,000
*Michael Anthony Jewelers, Inc........................ 9,600 24,000
Michael Foods, Inc.................................... 1,400 32,069
*Michaels Stores, Inc................................. 35,600 1,521,900
*Micro Linear Corp.................................... 13,600 71,825
*Microage, Inc........................................ 30,700 14,583
*Microcide Pharmaceuticals, Inc....................... 6,500 48,547
MicroFinancial, Inc................................... 3,000 28,500
*Microsemi Corp....................................... 10,400 225,225
*Microtest, Inc....................................... 7,900 58,756
*Microtouch Systems, Inc.............................. 7,300 64,559
Midcoast Energy Resources, Inc........................ 10,100 161,600
*Middleby Corp........................................ 12,500 83,594
Midland Co............................................ 3,700 93,425
*Midway Airlines Corp................................. 9,700 57,594
*Midwest Grain Products, Inc.......................... 2,900 20,391
Mikasa, Inc........................................... 12,900 124,163
*Mikohn Gaming Corp................................... 12,700 80,566
Milacron, Inc......................................... 28,300 447,494
</TABLE>
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<TABLE>
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Millennium Chemicals, Inc............................. 91,800 $ 1,767,150
*Miller Building Systems, Inc......................... 5,400 30,544
*Miller Industries, Inc............................... 28,500 65,906
*MIM Corp............................................. 16,200 29,869
Minntech Corp......................................... 9,100 67,113
*Minolta-QMS, Inc..................................... 3,761 12,458
*Mitcham Industries, Inc.............................. 19,700 116,045
*Mobile America Corp.................................. 2,300 6,038
*Modis Professional Services, Inc..................... 50,000 512,500
*Modtech Holdings, Inc................................ 16,300 175,734
*Monarch Dental Corp.................................. 9,600 27,750
*Monro Muffler Brake, Inc............................. 9,400 78,431
*Moog, Inc. Class A................................... 14,300 305,663
*Moore Medical Corp................................... 2,600 22,750
*Morrison Knudsen Corp................................ 22,300 172,825
*Motor Car Parts & Accessories, Inc................... 7,500 7,631
Movado Group, Inc..................................... 18,800 180,069
*Movie Gallery, Inc................................... 14,700 49,153
*MRV Communications, Inc.............................. 24,600 655,744
*MS Carriers, Inc..................................... 22,100 426,116
MTS Systems Corp...................................... 33,060 240,202
*NABI, Inc............................................ 41,800 242,309
Nacco Industries, Inc. Class A........................ 9,000 339,750
*NAHC, Inc............................................ 31,200 4,212
*Napco Security Systems, Inc.......................... 4,400 16,775
Nash Finch Co......................................... 12,800 99,600
Nashua Corp........................................... 5,500 45,375
*Nastech Pharmaceutical Co., Inc...................... 3,000 11,766
*Nathans Famous, Inc.................................. 16,800 49,350
*National Equipment Services, Inc..................... 57,200 325,325
*National Home Health Care Corp....................... 8,600 35,475
National Presto Industries, Inc....................... 17,600 546,700
*National Processing, Inc............................. 7,600 88,825
*National Record Mart, Inc............................ 4,400 7,081
*National RV Holdings, Inc............................ 15,600 176,475
National Steel Corp. Class B.......................... 48,400 254,100
National Technical Systems, Inc....................... 9,100 28,438
*National Techteam, Inc............................... 22,800 76,238
*National Western Life Insurance Co. Class A.......... 600 44,381
*NationsRent, Inc..................................... 7,600 28,025
*Natural Microsystems Corp............................ 9,100 586,097
*Natural Wonders, Inc................................. 900 1,013
*Navigators Group, Inc................................ 1,200 10,575
NCH Corp.............................................. 6,000 240,000
*NCI Building Systems, Inc............................ 27,200 464,100
*NCO Group, Inc....................................... 93 2,217
*NCS Healthcare, Inc.................................. 7,700 6,978
Nelson (Thomas), Inc.................................. 10,600 74,863
*Netmanage, Inc....................................... 50,600 138,359
*Network Computing Devices, Inc....................... 12,900 20,559
*Network Equipment Technologies, Inc.................. 39,300 420,019
*Neurocrine Biosciences, Inc.......................... 15,700 333,625
*New Brunswick Scientific Co., Inc.................... 6,566 34,472
*New Century Financial Corp........................... 16,000 147,500
*New Day Runner, Inc.................................. 100 164
*Newmark Homes Corp................................... 21,100 125,281
Newmil Bancorp, Inc................................... 4,000 40,500
*Newpark Resources, Inc............................... 34,200 286,425
*Nexthealth, Inc...................................... 1,000 2,813
*Niagara Corp......................................... 16,500 71,156
<CAPTION>
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*NMT Medical, Inc..................................... 11,200 $ 42,525
NN Ball & Roller, Inc................................. 2,300 20,377
*Nobel Learning Communities, Inc...................... 4,900 35,372
*Noodle Kidoodle, Inc................................. 18,300 54,900
*Norstan, Inc......................................... 14,200 70,113
*Nortek, Inc.......................................... 27,800 595,963
North Central Bancshares, Inc......................... 3,500 50,094
North Fork Bancorporation, Inc........................ 42,000 695,625
Northeast Bancorp..................................... 200 1,600
Northeast Pennsylvania Financial Corp................. 4,200 41,475
Northland Cranberries, Inc. Class A................... 20,000 79,375
Northrim Bank......................................... 8,300 70,809
Northwest Bancorp, Inc................................ 1,600 12,150
*Northwest Pipe Co.................................... 8,100 109,097
*Novametrix Medical Systems, Inc...................... 5,900 36,967
*NPC International, Inc............................... 38,900 361,041
*NPS Pharmaceuticals, Inc............................. 1,300 16,453
*NS Group, Inc........................................ 51,800 948,588
*Nu Horizons Electronics Corp......................... 9,345 161,785
*Nuevo Energy Co...................................... 28,700 554,269
*Numerex Corp. Class A................................ 11,700 107,859
*Nutraceutical International Corp..................... 27,400 98,897
Nymagic, Inc.......................................... 4,000 56,250
*Oak Technology, Inc.................................. 39,800 588,294
*Objective Systems Integrators, Inc................... 39,000 287,016
*Oceaneering International, Inc....................... 16,540 322,530
OceanFirst Financial Corp............................. 20,100 342,956
*O'Charleys, Inc...................................... 13,000 182,406
*ODS Networks, Inc.................................... 14,800 215,525
*Officemax, Inc....................................... 229,900 1,250,081
*Offshore Logistics, Inc.............................. 29,300 411,116
Ogden Corp............................................ 73,700 635,663
Oglebay Norton Co..................................... 8,000 167,000
Ohio Casualty Corp.................................... 86,700 1,037,691
*Old Dominion Freight Lines, Inc...................... 8,500 77,563
Olin Corp............................................. 22,000 343,750
*Olympic Steel, Inc................................... 6,800 29,538
*Omega Protein Corp................................... 7,000 19,688
*Omega Worldwide, Inc................................. 16,600 68,475
*OMNI Energy Services Corp............................ 2,500 1,797
Omnicare, Inc......................................... 152,800 2,521,200
*Omtool, Ltd.......................................... 9,600 17,400
*On Command Corp...................................... 3,100 50,763
*Ontrack Data International, Inc...................... 10,800 79,988
*Onyx Acceptance Corp................................. 5,700 23,513
*Opta Food Ingredients, Inc........................... 15,800 35,797
*Opti, Inc............................................ 22,600 90,400
*Option Care, Inc..................................... 4,100 26,778
*Orbital Sciences Corp................................ 18,300 224,175
Oregon Steel Mills, Inc............................... 45,500 99,531
*Orleans Homebuilders, Inc............................ 1,400 2,275
*Oroamerica, Inc...................................... 100 728
*Orthologic Corp...................................... 28,900 133,663
Oshkosh Truck Corp. Class B........................... 1,500 45,891
*Oshman's Sporting Goods, Inc......................... 5,300 16,563
*OSI Pharmaceutical, Inc.............................. 15,600 156,000
*OSI Systems, Inc..................................... 12,700 75,803
*Osmonics, Inc........................................ 20,100 180,900
*Outlook Group Corp................................... 4,800 26,700
*Overland Data........................................ 5,700 46,491
Overseas Shipholding Group, Inc....................... 60,700 1,407,481
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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Owosso Corp........................................... 6,600 $ 13,819
Oxford Industries, Inc................................ 8,500 131,219
*OYO Geospace Corp.................................... 500 8,000
*PAM Transportation Services, Inc..................... 5,200 44,200
*Pameco Corp.......................................... 3,200 8,400
Pamrapo Bancorp, Inc.................................. 3,900 77,269
*Panera Bread CO...................................... 13,800 117,300
*Par Technology Corp.................................. 7,400 28,213
Park Electrochemical Corp............................. 12,500 313,281
*Parker Drilling Co................................... 112,100 679,606
Parker-Hannifin Corp.................................. 1,604 66,867
*Park-Ohio Holdings Corp.............................. 8,800 74,250
Parkvale Financial Corp............................... 2,400 42,900
*Parlex Corp.......................................... 3,700 82,209
*Parlux Fragrances, Inc............................... 17,500 53,047
Patina Oil & Gas Corp................................. 17,100 296,044
Patrick Industries, Inc............................... 8,800 57,750
*Patterson Energy, Inc................................ 8,200 198,081
*Paul Harris Stores, Inc.............................. 14,200 38,163
Paula Financial, Inc.................................. 6,800 18,275
*Paul-Son Gaming Corp................................. 3,700 11,100
*Paxar Corp........................................... 34,800 350,175
*Paxson Communications Corp........................... 55,500 430,125
*PBOC Holdings, Inc................................... 30,900 281,963
*PC Service Source, Inc............................... 600 675
*PCD, Inc............................................. 6,200 27,125
*P-Com, Inc........................................... 21,800 160,094
*Pediatrix Medical Group, Inc......................... 18,800 133,950
Peerless Manufacturing Co............................. 1,200 17,175
*Peerless Systems Corp................................ 18,500 43,938
Penford Corp.......................................... 7,800 140,156
*Penn Treaty American Corp............................ 6,200 122,063
Penn Virginia Corp.................................... 11,000 245,438
Penn-America Group, Inc............................... 2,000 18,375
Pennfed Financial Services, Inc....................... 14,300 191,263
*Pentacon, Inc........................................ 40,100 73,934
Pep Boys - Manny, Moe & Jack.......................... 80,400 572,850
*Perceptron, Inc...................................... 12,800 50,800
*Perini Corp.......................................... 5,800 16,675
*Perrigo Co........................................... 34,400 209,625
*Perry Ellis International, Inc....................... 8,200 79,822
*Per-Se Technologies, Inc............................. 6,600 43,106
*Petco Animal Supplies, Inc........................... 29,000 550,094
*Petrocorp, Inc....................................... 5,800 40,963
*Petroglyph Energy, Inc............................... 2,600 5,281
*Petroleum Development Corp........................... 28,600 152,831
*PetSmart, Inc........................................ 33,500 99,977
PFF Bancorp, Inc...................................... 14,800 206,275
*Pharmchem Laboratories, Inc.......................... 1,000 2,719
*Phar-Mor, Inc........................................ 7,800 13,163
*Philadelphia Consolidated Holding Corp............... 11,800 199,494
*Phillips (R.H.), Inc................................. 8,600 23,919
Phillips-Van Heusen Corp.............................. 54,300 471,731
*Phoenix International, Ltd........................... 5,800 11,147
Phoenix Investment Partners, Ltd...................... 44,300 371,013
*Phoenix Technologies, Ltd............................ 4,800 86,250
*PhotoWorks, Inc...................................... 14,300 43,123
Piccadilly Cafeterias, Inc............................ 11,000 31,625
*Pico Holdings, Inc................................... 5,860 63,178
*Picturetel Corp...................................... 60,900 187,458
Pier 1 Imports, Inc. DE............................... 52,100 442,850
<CAPTION>
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*Piercing Pagoda, Inc................................. 3,600 $ 51,300
Pilgrim Pride Corp.................................... 19,400 155,200
Pillowtex Corp........................................ 20,500 97,375
*Pinnacle Entertainment, Inc.......................... 22,700 432,719
*Pioneer Natural Resources Co......................... 139,900 2,089,756
Pioneer Standard Electronics, Inc..................... 33,700 403,347
Pitt-Des Moines, Inc.................................. 11,700 272,025
Pittston Brink's Group................................ 23,852 362,252
*Planar Systems, Inc.................................. 13,800 133,256
*PLM International, Inc............................... 9,800 72,888
PMR Corp.............................................. 7,300 25,322
Pocahontas Bancorp, Inc............................... 9,500 56,406
*Policy Management Systems Corp....................... 33,400 340,263
*Polymedica Industries, Inc........................... 7,000 186,375
Polymer Group, Inc.................................... 36,100 263,981
*Pomeroy Computer Resource, Inc....................... 10,200 149,494
Pope & Talbot, Inc.................................... 16,100 298,856
*Powell Industries, Inc............................... 2,800 23,406
*PPT Vision, Inc...................................... 4,000 18,500
Precision Castparts Corp.............................. 37,400 1,823,250
*Premiumwear, Inc..................................... 800 10,525
Presidential Life Corp................................ 49,900 734,466
*Price Communications Corp............................ 44,591 1,017,232
*Pride International, Inc............................. 63,600 1,617,825
*Primark Corp......................................... 46,700 1,214,200
*Prime Hospitality Corp............................... 18,500 159,563
*Prime Medical Services, Inc.......................... 19,400 152,169
*Printronix, Inc...................................... 4,300 61,409
Professional Bancorp, Inc............................. 1,820 6,370
*Professionals Group, Inc............................. 7,500 124,453
*Programmers Paradise, Inc............................ 2,800 9,538
*ProMedCo Management Company.......................... 15,500 18,164
*Protocol Systems, Inc................................ 10,000 155,313
*Provant, Inc......................................... 30,500 115,328
*Provident Financial Holdings, Inc.................... 5,000 73,438
*PSS World Medical, Inc............................... 3,100 26,156
*PTEK Holdings, Inc................................... 68,800 236,500
Pulaski Financial Corp................................ 5,100 59,288
Pulte Corp............................................ 66,100 1,466,594
*Pure Resources, Inc.................................. 20,780 311,700
*Pure World, Inc...................................... 7,200 22,275
PXRE Group, Ltd....................................... 1,000 14,875
*Qad, Inc............................................. 4,600 17,538
*QEP Co., Inc......................................... 3,000 24,656
*Quaker Fabric Corp................................... 24,200 132,344
*Quality Dining, Inc.................................. 18,600 61,031
Quality Systems, Inc.................................. 5,800 41,869
Quanex Corp........................................... 23,600 345,150
*Quantum Corp-Hard Disk Drive Group................... 1,836 17,327
*Quest Diagnostics, Inc............................... 22,500 1,504,688
*Quipp, Inc........................................... 900 16,819
*Quorum Health Group, Inc............................. 115,000 1,112,266
*R & B, Inc........................................... 3,600 9,450
*Racing Champions Corp................................ 31,700 52,008
*Radiance Medical Systems, Inc........................ 11,100 103,889
*RailWorks Corp....................................... 17,100 159,244
*Rainforest Cafe, Inc................................. 4,000 11,875
Range Resources Corp.................................. 16,000 45,000
Raven Industries, Inc................................. 5,500 74,938
*Raytel Med Corp...................................... 11,900 29,750
*RCM Technologies, Inc................................ 16,700 134,122
</TABLE>
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<TABLE>
<CAPTION>
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*RDO Equipment Co. Class A............................ 7,300 $ 41,063
*Read-Rite Corp....................................... 10,500 20,672
*Recoton Corp......................................... 16,900 139,953
*Redhook Ale Brewery, Inc............................. 2,900 5,030
*Reebok International, Ltd............................ 2,800 38,850
*Reliability, Inc..................................... 11,100 45,094
Reliance Group Holdings, Inc.......................... 183,500 424,344
Reliance Steel and Aluminum Co........................ 12,600 263,813
*Remington Oil & Gas Corp............................. 4,500 29,391
*Renaissance Worldwide, Inc........................... 75,100 166,628
*Rent-Way, Inc........................................ 12,500 333,594
*Reptron Electronics, Inc............................. 13,000 132,438
*Republic Bankshares, Inc............................. 8,800 86,350
Republic Group, Inc................................... 9,400 86,950
*Research Partners International, Inc................. 5,400 8,269
*ResortQuest International, Inc....................... 9,700 46,075
Resource America, Inc................................. 38,600 266,581
Resource Bancshares Mortgage Group, Inc............... 27,000 129,938
*Respironics, Inc..................................... 10,600 170,263
*Rex Stores Corp...................................... 12,100 255,613
*RF Monolithics, Inc.................................. 3,800 34,556
Richardson Electronics, Ltd........................... 11,100 136,322
*Riddell Sports, Inc.................................. 9,100 28,438
Riggs National Corp................................... 47,500 691,719
*Right Management Consultants, Inc.................... 7,400 75,850
RLI Corp.............................................. 14,000 509,250
*RMH Teleservices, Inc................................ 3,400 21,250
*Roadhouse Grill, Inc................................. 6,000 33,750
Roadway Express, Inc.................................. 7,500 161,016
Roanoke Electric Steel Corp........................... 11,200 148,050
Robbins & Myers, Inc.................................. 5,300 114,613
*Robinson Nugent, Inc................................. 3,900 43,875
*Robotic Vision Systems, Inc.......................... 21,000 248,719
*Rochester Medical Corp............................... 4,600 40,250
*Rock of Ages Co...................................... 5,300 26,500
Rock-Tenn Co. Class A................................. 37,400 357,638
*Rocky Shoes & Boots, Inc............................. 3,000 15,469
*Rofin-Sinar Technologies, Inc........................ 10,700 130,072
*Rogue Wave Software, Inc............................. 10,300 44,097
Rollins Truck Leasing Corp............................ 87,800 828,613
Rouge Industries, Inc. Class A........................ 15,200 68,400
*Royal Appliance Manufacturing Co..................... 2,000 12,250
RPC, Inc.............................................. 20,700 219,938
*RTI International Metals, Inc........................ 11,000 143,000
*RTW, Inc............................................. 14,700 59,259
*Rush Enterprises, Inc................................ 5,000 34,688
Russ Berrie & Co., Inc................................ 10,100 191,269
Russell Corp.......................................... 37,700 838,825
*Ryans Family Steak Houses, Inc....................... 58,200 527,438
Ryerson Tull, Inc..................................... 42,400 418,700
Ryland Group, Inc..................................... 17,300 383,844
*S&K Famous Brands, Inc............................... 4,600 31,625
*S3, Inc.............................................. 24,492 391,107
*Safety 1st, Inc...................................... 5,700 78,553
*Safety Components International, Inc................. 4,500 203
*Safety-Kleen Corp.................................... 117,000 73,125
*San Filippo (John B.) & Son, Inc..................... 12,100 42,350
Sanderson Farms, Inc.................................. 4,000 26,875
*Saucony, Inc. Class A................................ 7,100 76,103
*Saucony, Inc. Class B................................ 4,500 45,000
*Savoir Technology Group, Inc......................... 6,600 52,388
<CAPTION>
SHARES VALUE+
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*Scan-Optics, Inc..................................... 12,700 $ 12,502
*Scheid Vineyards, Inc................................ 3,000 11,438
*Schein (Henry), Inc.................................. 54,300 958,734
*Schieb (Earl), Inc................................... 3,400 10,838
*Schlotzskys, Inc..................................... 11,700 70,566
Schnitzer Steel Industries, Inc. Class A.............. 12,400 184,838
*Schuff Steel Company................................. 7,000 22,750
Schulman (A.), Inc.................................... 41,400 492,919
SCPIE Holdings, Inc................................... 19,200 466,800
Seaboard Corp......................................... 3,300 607,200
*Seacor Smit, Inc..................................... 19,700 1,263,263
*SED International Holdings, Inc...................... 19,200 61,800
*SEEC, Inc............................................ 6,200 28,191
*Segue Software, Inc.................................. 8,000 68,500
*Seitel, Inc.......................................... 37,700 320,450
Selas Corp. of America................................ 6,300 34,650
Selective Insurance Group, Inc........................ 41,700 772,753
*Semitool, Inc........................................ 23,600 334,088
*SEMX Corp............................................ 5,800 45,856
*Sensormatic Electronics Corp......................... 155,800 2,444,113
*SeraCare, Inc........................................ 8,700 21,206
Service Corp. International........................... 136,000 425,000
*Shaw Group, Inc...................................... 12,700 554,038
*Sheldahl, Inc........................................ 17,000 79,953
*Shiloh Industries, Inc............................... 12,800 131,200
*Shoe Carnival, Inc................................... 18,000 131,063
*Shoe Pavilion, Inc................................... 4,600 7,188
*Shopko Stores, Inc................................... 41,600 764,400
*Sierra Health Services, Inc.......................... 26,500 110,969
Sifco Industries, Inc................................. 1,000 6,125
*Sight Resource Corp.................................. 1,000 891
*Signal Technology Corp............................... 6,700 99,244
*Silicon Storage Technology, Inc...................... 5,400 401,119
*Silicon Valley Group, Inc............................ 46,200 1,228,631
*Silverleaf Resorts, Inc.............................. 10,300 36,694
*Simione Central Holdings, Inc........................ 940 2,564
*Simon Transportation Services, Inc................... 7,400 42,319
Simpson Industries, Inc............................... 22,700 200,044
*Simula, Inc.......................................... 9,300 18,019
*Sinclair Broadcast Group, Inc. Class A............... 63,900 526,177
*Sitel Corp........................................... 48,100 279,581
*Sizzler International, Inc........................... 23,500 69,031
SJW Corp.............................................. 2,500 282,500
*Skyepharma P.L.C. ADR................................ 366 5,010
Skyline Corp.......................................... 6,100 125,813
SLI, Inc.............................................. 15,500 201,500
*Smart & Final Food, Inc.............................. 7,800 63,863
*SMC Corp............................................. 7,500 29,766
Smith (A.O.) Corp..................................... 8,400 176,400
*Smithway Motor Express Corp. Class A................. 600 1,538
*Softech, Inc......................................... 1,400 1,531
*Software Spectrum, Inc............................... 7,700 111,409
*Sola International, Inc.............................. 29,500 147,500
*Sonic Automotive, Inc................................ 37,000 360,750
*SOS Staffing Services, Inc........................... 18,200 55,169
*Sound Advice, Inc.................................... 900 8,916
South Financial Group, Inc............................ 34,900 438,431
South Jersey Industries, Inc.......................... 20,900 544,706
*Southern Energy Homes, Inc........................... 5,000 5,625
</TABLE>
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<TABLE>
<CAPTION>
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*Southwall Technologies, Inc.......................... 7,000 $ 58,406
Southwestern Energy Co................................ 28,400 262,700
Sovereign Bancorp, Inc................................ 5,840 40,059
*Spacehab, Inc........................................ 12,600 55,913
*Spacelabs Medical, Inc............................... 18,200 206,456
Spartan Motors, Inc................................... 21,000 93,188
*Sparton Corp......................................... 5,700 23,513
*Special Metals Corp.................................. 20,500 48,047
*Spectrian Corp....................................... 11,200 169,400
*Spectrum Control, Inc................................ 10,000 99,375
*SpeedFam-IPEC, Inc................................... 31,367 412,672
Spiegel, Inc. Class A Non-Voting...................... 20,500 156,633
*Splash Technology Holdings, Inc...................... 11,500 90,922
*Sport Supply Group, Inc.............................. 9,700 46,075
*Sport-Haley, Inc..................................... 6,000 25,781
*Sports Authority, Inc................................ 38,200 81,175
*Sports Club Co., Inc................................. 2,300 7,763
*Sportsman's Guide, Inc............................... 3,000 8,813
Springs Industries, Inc. Class A...................... 18,200 864,500
*SPS Technologies, Inc................................ 8,300 291,538
*SS&C Technologies, Inc............................... 21,000 96,141
St. Francis Capital Corp.............................. 4,800 66,150
St. Mary Land & Exploration Co........................ 7,400 266,631
*Staffmark, Inc....................................... 39,100 193,056
*Standard Management Corp............................. 10,300 35,084
*Standard Microsystems Corp........................... 19,600 255,413
Standard Pacific Corp. DE............................. 60,200 684,775
Standard Register Co.................................. 2,000 27,125
*Stanley Furniture, Inc............................... 3,000 67,781
*STAR Telecommunications, Inc......................... 38,600 80,819
*Starter Corp......................................... 15,000 83
State Auto Financial Corp............................. 56,700 634,331
State Financial Services Corp. Class A................ 11,600 117,813
Staten Island Bancorp, Inc............................ 51,900 879,056
Steel Technologies, Inc............................... 14,700 109,791
*Steinway Musical Instruments, Inc.................... 7,000 121,625
Stepan Co............................................. 10,600 231,875
Stephan Co............................................ 4,000 14,500
*Sterile Recoveries, Inc.............................. 8,100 54,169
Sterling Bancorp...................................... 2,800 44,450
*Sterling Financial Corp. WA.......................... 6,300 65,166
Stewart & Stevenson Services, Inc..................... 45,700 636,944
Stewart Enterprises, Inc.............................. 242,000 975,563
Stewart Information Services Corp..................... 3,100 39,138
Stifel Financial Corp................................. 7,510 71,345
*STM Wireless, Inc. Class A........................... 8,400 37,275
Stone & Webster, Inc.................................. 5,500 5,328
*Stoneridge, Inc...................................... 27,500 309,375
*Strategic Distribution, Inc.......................... 37,500 79,688
*Stratus Properties, Inc.............................. 18,800 86,950
Stride Rite Corp...................................... 67,911 445,666
*Strouds, Inc......................................... 5,000 10,391
*Suburban Lodges of America, Inc...................... 14,300 80,438
*Successories, Inc.................................... 4,300 8,197
*Summa Industries, Inc................................ 5,500 59,984
*Sun Healthcare Group, Inc............................ 10,000 650
*Sunbeam Corp......................................... 101,400 316,875
*Sunburst Hospitality Corp............................ 10,700 47,481
*Sunrise Assisted Living, Inc......................... 39,300 715,997
*Sunrise Medical, Inc................................. 20,200 89,638
*Sunrise Resources, Inc............................... 8,000 39,375
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Sunterra Corp........................................ 57,300 $ 19,697
*Superior National Insurance Group, Inc............... 29,200 2,628
Superior Surgical Manufacturing Co., Inc.............. 2,800 24,150
*Suprema Specialties, Inc............................. 4,000 35,500
*Surety Capital Corp.................................. 3,700 694
Susquehanna Bancshares, Inc........................... 4,600 62,819
*Swift Energy Corp.................................... 17,200 441,825
*Swiss Army Brands, Inc............................... 6,100 32,216
*Sybron Chemicals, Inc................................ 2,200 43,450
*Sylvan Learning Systems, Inc......................... 42,000 475,125
*Sylvan, Inc.......................................... 6,200 60,838
*Symmetricom, Inc..................................... 17,200 258,000
*Symons International Group, Inc...................... 7,400 5,203
*Symphonix Devices, Inc............................... 2,300 8,338
*Syms Corp............................................ 1,000 3,438
Synalloy Corp. DE..................................... 12,200 91,500
*Synaptic Pharmaceutical Corp......................... 10,600 50,350
*Synbiotics Corp...................................... 13,400 30,150
*Systemax, Inc........................................ 54,400 370,600
*T&W Financial Corp................................... 4,000 0
Tab Products Co....................................... 7,100 34,169
*Tandy Brand Accessories, Inc......................... 6,200 40,881
*Tandy Crafts, Inc.................................... 17,800 53,400
Tasty Baking Co....................................... 7,000 83,563
*TBA Entertainment Corp............................... 6,100 23,828
*TBC Corp............................................. 30,100 145,327
TCBY Enterprises, Inc................................. 28,600 143,000
*TCSI Corp............................................ 31,700 57,456
*TEAM America Corp.................................... 500 1,883
*Team, Inc............................................ 2,300 5,606
*Tech Data Corp....................................... 10,600 398,494
*Tech-Sym Corp........................................ 9,800 214,375
Tecumseh Products Co. Class A......................... 28,500 1,286,953
Tecumseh Products Co. Class B......................... 10,600 457,788
*Tegal Corp........................................... 18,700 80,352
Tektronix, Inc........................................ 4,700 251,450
*Telcom Semiconductor, Inc............................ 8,500 211,438
*Telescape International, Inc......................... 300 2,344
*Telxon Corp.......................................... 17,500 272,344
Tenneco Automotive, Inc............................... 45,900 335,644
*Terex Corp........................................... 13,400 213,563
Terra Industries, Inc................................. 19,600 41,650
*Tesoro Petroleum Corp................................ 46,300 474,575
*Tesseract Group, Inc................................. 10,400 3,250
*Tetra Technologies, Inc.............................. 18,200 235,463
Texas Industries, Inc................................. 26,700 765,956
TF Financial Corp..................................... 1,100 15,538
*TFC Enterprises, Inc................................. 15,800 33,081
*Thermedics, Inc...................................... 28,900 243,844
*Thermo Ecotek Corp................................... 1,000 7,813
*Thermo Terratech, Inc................................ 7,800 58,500
Thermoretec Corp...................................... 5,200 36,400
*Thermotrex Corp...................................... 15,700 156,019
Thomas Industries, Inc................................ 3,300 66,000
*Thorn Apple Valley, Inc.............................. 6,000 555
*Three Rivers Bancorp, Inc............................ 10,400 83,525
*Tier Technologies, Inc. Class B...................... 10,900 54,841
*TII Industries, Inc.................................. 10,800 21,431
Timberland Bancorp, Inc............................... 2,700 25,059
Timken Co............................................. 70,700 1,334,463
</TABLE>
13
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Titan International, Inc.............................. 20,900 $ 124,094
Titanium Metals Corp.................................. 26,400 115,500
*Todd Shipyards Corp.................................. 12,900 91,913
*Toll Brothers, Inc................................... 44,700 866,063
Toro Co............................................... 3,600 113,400
*Total Entertainment Restaurant Corp.................. 1,000 2,375
*Total Renal Care Holdings, Inc....................... 103,000 405,563
*Tower Air, Inc....................................... 9,700 1,407
*Tower Automotive, Inc................................ 62,100 861,638
*Tractor Supply Co.................................... 10,900 165,544
*Transact Technologies, Inc........................... 5,500 55,688
*Transcoastal Marine Services, Inc.................... 13,500 6,539
*Transfinancial Holdings, Inc......................... 4,700 8,225
*Transmation, Inc..................................... 7,000 16,953
*Transmedia Network, Inc.............................. 12,100 37,056
*Transportation Components, Inc....................... 32,800 63,550
Transpro, Inc......................................... 9,200 41,400
Transtechnology Corp.................................. 3,400 29,325
*TRC Companies, Inc................................... 7,600 79,800
*Trend-Lines, Inc. Class A............................ 1,850 2,341
Trenwick Group, Inc................................... 21,800 327,000
*Trex Medical Corp.................................... 15,500 29,063
*Triad Hospitals, Inc................................. 1,500 32,156
*Trico Marine Services, Inc........................... 54,400 528,700
*Trident Microsystems, Inc............................ 14,100 118,528
*Tridex Corp.......................................... 8,500 6,508
Trinity Industries, Inc............................... 68,000 1,500,250
*Triple S Plastics, Inc............................... 3,000 48,563
*Tripos, Inc.......................................... 2,500 40,000
*Triumph Group........................................ 11,300 316,400
*TRM Copy Centers Corp................................ 6,800 34,425
*Trump Hotels & Casino Resorts, Inc................... 34,500 94,875
Tucker Anthony Sutro Corp............................. 15,100 258,588
Tuscarora, Inc........................................ 1,300 16,494
Twin Disc, Inc........................................ 3,700 57,350
*Twinlab Corp......................................... 39,100 279,809
*Tyler Technologies, Inc.............................. 19,700 78,800
U.S. Bancorp, Inc..................................... 9,200 42,263
*U.S. Home & Garden, Inc.............................. 4,400 11,138
U.S. Industries, Inc.................................. 107,000 1,444,500
*U.S. Office Products, Co............................. 300 305
*U.S. Vision, Inc..................................... 1,900 3,266
*Ubics, Inc........................................... 5,500 13,922
*Ugly Duckling Corp................................... 27,100 195,628
*UICI................................................. 75,400 367,575
*Ultimate Electronics, Inc............................ 5,100 126,863
*Ultrak, Inc.......................................... 17,700 118,369
*Ultralife Batteries, Inc............................. 11,900 89,622
*Ultratech Stepper, Inc............................... 14,600 205,313
UMB Financial Corp.................................... 21,170 781,967
*Unicapital Corp...................................... 68,700 47,231
Unico American Corp................................... 3,200 19,650
*Unifab International, Inc............................ 12,600 92,138
*Unifi, Inc........................................... 90,200 1,150,050
*Union Acceptance Corp. Class A....................... 7,700 38,259
*Unit Corp............................................ 33,300 439,144
*United Auto Group, Inc............................... 29,200 260,975
United Community Financial Corp....................... 53,500 315,984
United Industrial Corp................................ 21,200 186,825
*United Natural Foods, Inc............................ 14,200 215,219
*United Rentals, Inc.................................. 92,700 1,506,375
*United Retail Group, Inc............................. 16,500 131,484
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*United Road Services, Inc............................ 600 $ 2,400
*United States Energy Corp............................ 6,970 20,039
United Wisconsin Services, Inc........................ 4,400 25,300
*Universal American Financial Corp.................... 9,200 34,500
Universal Forest Products, Inc........................ 32,000 421,000
*Universal Stainless & Alloy Products, Inc............ 10,800 74,250
*Uno Restaurant Corp.................................. 9,020 109,368
*Unova, Inc........................................... 17,400 240,338
*Urocor, Inc.......................................... 12,800 48,000
*Urologix, Inc........................................ 14,900 62,859
*URS Corp............................................. 22,300 292,688
*US Oncology, Inc..................................... 120,351 575,428
*US Xpress Enterprises, Inc. Class A.................. 15,600 109,688
*USA Floral Products, Inc............................. 13,500 11,180
*USA Truck, Inc....................................... 5,900 38,719
*Usec, Inc............................................ 35,500 164,188
*UTI Energy Corp...................................... 4,400 188,100
*Utilx Corp........................................... 7,900 29,625
*V.I. Technologies, Inc............................... 2,400 17,400
*Vail Resorts, Inc.................................... 36,300 580,800
Valero Energy Corp.................................... 40,000 1,170,000
*Value City Department Stores, Inc.................... 33,300 330,919
*Valuevision International, Inc. Class A.............. 15,900 460,603
*Vans, Inc............................................ 12,100 189,063
*Varco International, Inc............................. 40,700 885,225
*Vari L Co., Inc...................................... 6,500 62,867
*Varian Medical Systems, Inc.......................... 12,000 495,750
*Variflex, Inc........................................ 4,800 27,750
*Venator Group, Inc................................... 346,300 3,744,369
*Verilink Corp........................................ 13,800 95,738
*Veritas DGC, Inc..................................... 22,100 610,513
Vesta Insurance Group, Inc............................ 26,500 157,344
*Vestcom International, Inc........................... 9,800 38,588
*Veterinary Centers of America, Inc................... 36,400 494,813
*Viasoft, Inc......................................... 10,000 82,969
*Vicon Industries, Inc................................ 6,000 19,125
*Vicorp Restaurants, Inc.............................. 14,300 269,466
Vintage Petroleum, Inc................................ 55,800 1,325,250
Virginia Gas Co....................................... 7,600 20,188
*Vishay Intertechnology, Inc.......................... 49,625 3,510,969
*VisionAmerica, Inc................................... 10,500 6,891
*Volt Information Sciences, Inc....................... 26,000 750,750
*VTEL Corp............................................ 28,300 101,703
Vulcan International Corp............................. 400 13,225
*Vysis, Inc........................................... 2,000 15,688
Wabash National Corp.................................. 29,500 377,969
*Wackenhut Corp. Class A.............................. 5,800 77,213
*Wackenhut Corp. Class B Non-Voting................... 6,700 55,275
*Walker Interactive Systems, Inc...................... 17,400 55,191
Wallace Computer Services, Inc........................ 57,400 574,000
Walter Industries, Inc................................ 7,600 82,175
Warnaco Group, Inc.................................... 70,800 477,900
*Warrantech Corp...................................... 13,000 11,375
*Washington Homes, Inc................................ 12,700 68,263
Washington Savings Bank FSB........................... 1,600 5,100
*Waste Connections, Inc............................... 35,800 693,625
*Waterlink, Inc....................................... 3,500 9,625
Watsco, Inc. Class A.................................. 35,300 522,881
Watts Industries, Inc. Class A........................ 26,500 301,438
*Webb (Del) Corp...................................... 27,100 413,275
Weider Nutrition International, Inc................... 12,000 39,000
</TABLE>
14
<PAGE>
THE TAX-MANAGED U.S. 5-10 VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Weirton Steel Corp................................... 45,800 $ 208,963
Wellman, Inc.......................................... 54,000 1,063,125
Wells Fargo Company................................... 364 16,471
Werner Enterprises, Inc............................... 61,000 764,406
*West Marine, Inc..................................... 30,400 246,050
Westbank Corp......................................... 2,800 24,150
*Westcoast Hospitality Corp........................... 23,500 182,125
Westcorp, Inc......................................... 38,200 415,425
Westerfed Financial Corp.............................. 4,600 65,838
*Western Water Co..................................... 1,100 258
*Weston (Roy F.), Inc. Class A........................ 5,800 18,306
*Wet Seal, Inc. Class A............................... 14,100 162,150
*WFS Financial, Inc................................... 20,400 321,938
*Williams Clayton Energy, Inc......................... 8,300 215,281
*Willis Lease Finance Corp............................ 6,300 47,644
*Wilshire Oil Co. of Texas............................ 11,000 37,813
*Wisconsin Central Transportation Corp................ 67,600 883,025
*Wiser Oil Co......................................... 11,700 35,100
*WLR Foods, Inc....................................... 7,400 34,225
Wolohan Lumber Co..................................... 5,600 62,650
*Wolverine Tube, Inc.................................. 11,900 196,350
Wolverine World Wide, Inc............................. 6,500 73,125
Woodward Governor Co.................................. 16,800 410,025
*Workgroup Technology Corp............................ 4,300 2,956
World Fuel Services Corp.............................. 8,400 57,225
*Worldpages.com, Inc.................................. 20,500 143,500
*Worldtex, Inc........................................ 6,500 2,641
*WPI Group, Inc....................................... 2,200 3,128
*Xetel Corp........................................... 13,600 23,800
*Xtra Corp............................................ 19,600 883,225
Yardville National Bancorp............................ 8,600 90,569
*Yellow Corp.......................................... 45,200 741,563
York Financial Corp................................... 4,095 51,443
York Group, Inc....................................... 8,000 29,000
York International Corp............................... 57,000 1,489,125
*Zap.com Corp......................................... 380 1,188
*Zapata Corp.......................................... 10,300 38,625
*Zemex Corp........................................... 2,200 17,875
Zenith National Insurance Corp........................ 22,800 541,500
*Ziff-Davis, Inc...................................... 21,000 177,188
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Zoltek Companies, Inc................................ 17,000 $ 113,156
*Zygo Corp............................................ 4,100 134,531
*Zymetx, Inc.......................................... 4,400 9,213
------------
TOTAL COMMON STOCKS
(Cost $313,053,523).................................. 352,916,627
------------
RIGHTS/WARRANTS -- (0.0%)
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 52,100 2,371
*Skyepharma P.L.C. Contingent Payment Rights.......... 4,600 0
*Westcorp, Inc. Rights 06/15/00....................... 38,200 8,356
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 10,727
------------
</TABLE>
<TABLE>
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holdings 12% (Senior Preferred)
(Cost $0)........................................... 19,700 9,948
<CAPTION>
------ ------
<S> <C> <C>
------------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (1.7%)
<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
$6,043,651) to be repurchased at $5,953,984.
(Cost $5,953,000)................................ $ 5,953 5,953,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $319,006,523)++.... $358,890,302
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $319,625,124.
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (94.7%)
*@plan, Inc........................................... 1,000 $ 6,062
*1-800 CONTACTS, Inc.................................. 1,300 37,212
*21st Century Holding Co.............................. 700 3,631
*3-D Systems Corp..................................... 2,300 27,097
*3Dfx Interactive, Inc................................ 4,900 36,291
*3DO Co............................................... 7,200 40,275
*4Front Software International, Inc................... 2,900 40,509
*800-Jr Cigar, Inc.................................... 2,600 26,081
*8X8, Inc............................................. 4,700 35,984
*A Consulting Team, Inc............................... 1,100 7,219
*A.C. Moore Arts & Crafts, Inc........................ 1,900 10,955
*Aames Financial Corp................................. 240 195
*AAON, Inc............................................ 1,600 38,950
AAR Corp.............................................. 6,900 95,737
Aaron Rents, Inc. Class A............................. 700 10,412
*Aastrom Biosciences, Inc............................. 7,600 20,069
*Abaxis, Inc.......................................... 3,500 21,766
ABC Bancorp........................................... 840 8,347
*ABC Rail Products Corp............................... 2,700 16,959
*Abgenix, Inc......................................... 1,000 78,844
Abington Bancorp, Inc................................. 500 4,656
*Abiomed, Inc......................................... 2,000 76,375
*Able Telcom Holding Corp............................. 1,500 2,859
ABM Industries, Inc................................... 5,600 129,850
*Acacia Research Corp................................. 3,600 56,925
*Accel International Corp............................. 500 352
*Acceptance Insurance Companies, Inc.................. 3,600 18,450
*Access Worldwide Communications, Inc................. 1,900 2,553
*Acclaim Entertainment, Inc........................... 13,800 32,991
*Ace Cash Express, Inc................................ 2,500 36,094
*Ace Comm Corp........................................ 2,300 12,722
Aceto Corp............................................ 1,500 16,031
Ackerley Group, Inc................................... 4,700 56,987
*Acme Electric Corp................................... 500 4,141
*Acorn Products, Inc.................................. 200 312
*ACT Manufacturing, Inc............................... 4,050 127,702
*ACT Networks, Inc.................................... 2,600 30,306
*Actel Corp........................................... 5,500 159,672
*Action Performance Companies, Inc.................... 4,100 32,928
*Active Voice Corp.................................... 2,600 17,469
*Activision, Inc...................................... 6,300 39,080
*Actrade International, Ltd........................... 2,200 33,275
*Actuate Corp......................................... 4,200 97,519
*Acuson Corp.......................................... 6,900 84,525
*Adac Laboratories.................................... 5,200 100,262
*adam.com, Inc........................................ 1,000 3,625
Adams Resources & Energy, Inc......................... 800 13,250
*Adaptive Broadband Corp.............................. 1,000 26,469
*ADE Corp............................................. 3,300 50,531
*Adecco SA ADR........................................ 241 23,964
*Adept Technology, Inc................................ 2,400 50,250
*Administaff, Inc..................................... 3,400 176,587
*Advance Lighting Technologies, Inc................... 5,100 53,391
*Advance Paradigm, Inc................................ 4,200 65,887
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Advanced Aerodynamics & Structures, Inc.............. 700 $ 2,461
*Advanced Digital Information Corp.................... 2,000 25,312
*Advanced Magnetics, Inc.............................. 1,700 11,475
Advanced Marketing Services, Inc...................... 3,250 60,023
*Advanced Neuromodulation Systems, Inc................ 1,800 22,050
*Advanced Photonix, Inc. Class A...................... 2,700 5,062
*Advanced Polymer Systems, Inc........................ 5,000 17,187
*Advanced Radio Telecom Corp.......................... 7,200 74,700
*Advanced Technical Products, Inc..................... 100 419
*Advanced Tissue Sciences, Inc........................ 15,000 58,828
Advanta Corp. Class A................................. 2,600 43,794
Advanta Corp. Class B Non-Voting...................... 3,700 44,747
*Advantage Learning Systems, Inc...................... 8,100 105,300
*Advantica Restaurant Group, Inc...................... 1,100 808
Advest Group, Inc..................................... 2,300 43,987
*Advo, Inc............................................ 5,300 170,262
*Aehr Test Systems.................................... 1,700 10,094
*AEP Industries, Inc.................................. 700 11,572
*Aeroflex, Inc........................................ 4,600 165,600
*Aerosonic Corp....................................... 1,000 9,750
*Aerovox, Inc......................................... 1,500 4,828
*Aetrium, Inc......................................... 2,200 11,894
*Affiliated Managers Group, Inc....................... 3,500 117,250
*Affinity Technology Group, Inc....................... 2,900 2,130
*Aftermarket Technology Corp.......................... 5,000 29,531
*AG Services America, Inc............................. 1,300 21,206
*Ag-Chem Equipment Co., Inc........................... 900 5,737
Agco Corp............................................. 8,200 102,500
*Agribrands International, Inc........................ 2,500 103,594
*AHL Services, Inc.................................... 3,400 26,137
*AHT Corp............................................. 2,700 3,206
*Air Methods Corp..................................... 800 2,800
*Airgas, Inc.......................................... 8,200 44,075
*Airtran Holdings, Inc................................ 13,100 53,833
AK Steel Holding Corp................................. 1,024 9,920
*Akamai Technologies, Inc............................. 536 35,895
*Akorn, Inc........................................... 4,600 36,872
*Aksys, Ltd........................................... 3,700 29,022
Alabama National Bancorporation....................... 1,000 18,937
Alamo Group, Inc...................................... 1,500 17,906
*Alaris Medical, Inc.................................. 8,900 12,794
*Albany International Corp. Class A................... 6,268 89,711
*Alcatel SA........................................... 1,532 83,590
*Alcide Corp.......................................... 600 8,175
*Alexion Pharmaceuticals, Inc......................... 3,000 111,844
Alfa Corp............................................. 9,900 168,609
*Algos Pharmaceutical Corp............................ 1,900 23,928
Alico, Inc............................................ 700 10,762
*Align-Rite International, Inc........................ 700 14,437
*Alkermes, Inc........................................ 2,200 80,506
*All American Semiconductor, Inc...................... 800 8,300
Allegiant Bancorp, Inc................................ 1,600 14,550
*Allen Telecom, Inc................................... 7,000 112,000
Alliance Bancorp...................................... 2,600 45,906
*Alliance Gaming Corp................................. 600 919
</TABLE>
16
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Alliance Pharmaceuticals Corp........................ 11,700 $ 100,547
*Alliance Semiconductor Corp.......................... 6,200 153,450
*Allied Healthcare Products, Inc...................... 800 2,650
*Allied Holdings, Inc................................. 1,600 10,200
*Allied Research Corp................................. 1,100 8,525
*Allin Communications Corp............................ 1,500 3,562
*Allou Health & Beauty Care, Inc. Class A............. 1,300 8,937
*Alltrista Corp....................................... 1,400 34,387
*Alpha Microsystems, Inc.............................. 2,700 10,378
*Alpha Technologies Group, Inc........................ 1,400 12,206
*Alphanet Solutions, Inc.............................. 1,600 7,400
Alpharma, Inc. Class A................................ 4,000 198,000
*Alpine Group, Inc.................................... 1,380 9,142
*Alternative Resources Corp........................... 1,600 2,250
*Alterra Healthcare Corp.............................. 1,500 2,906
*Alyn Corp............................................ 700 459
*Alysis Technologies, Inc............................. 600 1,856
Ambanc Holding Co., Inc............................... 400 5,787
*Ambassadors, Inc..................................... 2,000 27,187
*AMBI, Inc............................................ 7,600 21,612
Amcast Industrial Corp................................ 800 6,900
Amcol International Corp.............................. 6,700 111,387
Amcore Financial, Inc................................. 7,100 138,228
*Amdocs, Ltd.......................................... 223 13,812
*Amerco, Inc.......................................... 2,200 38,569
*America Services Group, Inc.......................... 200 3,200
*America West Holdings Corp. Class B.................. 3,300 58,781
*American Aircarriers Support, Inc.................... 1,800 8,494
American Bank of Connecticut.......................... 500 9,812
*American Classic Voyages Co.......................... 5,200 98,962
*American Dental Partners, Inc........................ 1,500 11,156
*American Ecology Corp................................ 2,700 9,281
*American Freightways Corp............................ 5,300 79,003
*American Healthcorp, Inc............................. 2,000 8,000
*American Italian Pasta Co............................ 3,600 88,425
*American Medical Security Group, Inc................. 4,200 27,562
*American Pacific Corp................................ 1,600 9,550
*American Physicians Services Group, Inc.............. 200 616
*American Retirement Corp............................. 4,300 23,650
*American Science & Engineering, Inc.................. 1,200 6,000
*American Shared Hospital Services.................... 1,000 2,937
*American Skiing Co................................... 1,500 2,625
*American Software, Inc. Class A...................... 4,500 17,789
American States Water Company......................... 2,200 65,587
*American Superconductor Corp......................... 4,800 128,850
*American Technical Ceramics Corp..................... 1,500 51,375
*American Wagering, Inc............................... 1,600 5,350
American Woodmark Corp................................ 1,800 34,031
*American Xtal Technology, Inc........................ 4,700 163,912
*Amerihost Properties, Inc............................ 1,000 3,469
*Ameripath, Inc....................................... 5,400 46,322
*Amerisource Health Corp.............................. 2,500 60,937
*Ameristar Casinos, Inc............................... 3,000 11,906
Ameron, Inc........................................... 1,000 36,750
Amerus Life Holdings, Inc. Class A.................... 6,400 127,600
Ametek, Inc........................................... 8,000 166,500
*AMF Bowling, Inc..................................... 4,900 4,594
*AML Communications, Inc.............................. 1,600 4,950
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ampco-Pittsburgh Corp................................. 900 $ 9,956
*Ampex Corp. Class A.................................. 13,200 23,100
Amplicon, Inc......................................... 1,200 11,925
*Amrep Corp........................................... 1,400 9,100
*Amsurg Corp. Class B................................. 900 5,428
*Amtran, Inc.......................................... 1,200 16,987
Amwest Insurance Group, Inc........................... 200 975
*Anacomp, Inc......................................... 3,500 9,844
*Anadigics, Inc....................................... 1,800 62,494
Analogic Corp......................................... 3,200 115,400
Analysts International Corp........................... 5,600 45,325
*Anaren Microwave, Inc................................ 600 60,544
Anchor Bancorp Wisconsin, Inc......................... 5,100 78,891
Anchor Financial Corp................................. 1,600 43,600
*Anchor Gaming, Inc................................... 2,400 107,325
Andover Bancorp, Inc.................................. 1,600 46,500
*Andrea Electronics Corp.............................. 3,300 22,275
*Anesta Corp.......................................... 3,300 48,778
*Angeion Corp......................................... 600 825
*Anicom, Inc.......................................... 5,000 24,766
*Anika Therapeutics, Inc.............................. 2,400 5,925
*Ann Taylor Stores Corp............................... 7,200 187,200
*Ansoft Corp.......................................... 2,900 25,103
*AnswerThink Consulting Group, Inc.................... 5,200 92,300
*Ansys, Inc........................................... 4,100 44,972
*Anthony and Sylvan Pools Corp........................ 357 2,927
*APAC Teleservices, Inc............................... 9,800 86,669
*Apex, Inc............................................ 5,200 188,987
*Aphton Corp.......................................... 3,800 77,662
Apogee Enterprises, Inc............................... 6,600 26,812
Applebees International, Inc.......................... 1,200 38,587
*Applica, Inc......................................... 4,600 67,850
*Applied Analytical Industries, Inc................... 4,300 33,123
*Applied Digital Solutions, Inc....................... 12,500 40,430
*Applied Extrusion Technologies, Inc.................. 2,900 17,037
*Applied Films Corp................................... 1,500 34,500
*Applied Imaging Corp................................. 3,300 8,044
Applied Industrial Technologies, Inc.................. 5,200 90,675
*Applied Innovation, Inc.............................. 3,800 26,244
*Applied Microsystems Corp............................ 1,700 9,456
*Applied Science & Technology, Inc.................... 3,600 73,125
Applied Signal Technologies, Inc...................... 2,100 21,262
*Applix, Inc.......................................... 2,800 16,625
*Apria Healthcare Group, Inc.......................... 2,200 31,625
*Aquila Biopharmaceuticals, Inc....................... 2,000 4,687
*Aradigm Corp......................................... 4,300 60,066
*Arch Capital Group, Ltd.............................. 3,400 51,319
Arch Chemicals, Inc................................... 5,800 100,050
Arch Coal, Inc........................................ 5,700 42,750
*Arch Communications Group, Inc....................... 15,100 75,972
Arctic Cat, Inc....................................... 4,400 47,437
Area Bancshares Corp.................................. 3,200 63,700
Argonaut Group, Inc................................... 3,000 54,187
*Argosy Gaming Corp................................... 7,100 112,269
*Arguss Holdings, Inc................................. 3,300 55,069
*ARI Network Services, Inc............................ 1,200 3,712
*Ariad Pharmaceuticals, Inc........................... 6,100 50,039
*Ariel Corp........................................... 3,300 8,972
*ARIS Corp............................................ 3,200 11,500
*Arkansas Best Corp................................... 4,700 51,994
Arm Financial Group, Inc. Class A..................... 2,000 47
*Armor Holdings, Inc.................................. 5,900 64,531
</TABLE>
17
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Armstrong Holdings, Inc............................... 2,500 $ 42,969
Arnold Industries, Inc................................ 5,000 57,344
*Aronex Pharmaceuticals, Inc.......................... 5,700 14,428
*Arqule, Inc.......................................... 3,400 23,375
*Arrhythmia Research Technology, Inc.................. 700 1,225
Arrow Financial Corp.................................. 1,875 28,125
Arrow International, Inc.............................. 5,600 185,850
*Artesyn Technologies, Inc............................ 7,400 162,800
*Artisan Components, Inc.............................. 3,500 27,344
*Artisoft, Inc........................................ 3,800 39,662
Arvin Industries, Inc................................. 6,500 117,000
*Ascent Pediatrics, Inc............................... 500 742
*Asche Transportation Services, Inc................... 300 544
*Ashworth, Inc........................................ 3,400 14,556
*ASI Solutions, Inc................................... 600 3,825
*Aspen Technology, Inc................................ 5,200 107,087
*Aspeon, Inc.......................................... 2,200 12,272
Associated Materials, Inc............................. 1,400 21,700
*Astea International, Inc............................. 3,600 7,931
*Astec Industries, Inc................................ 4,800 124,050
Astro-Med, Inc........................................ 500 2,937
*Astronics Corp....................................... 700 6,125
*AstroPower, Inc...................................... 2,800 38,587
*ASV, Inc............................................. 2,400 29,625
*Asyst Technologies, Inc.............................. 1,400 56,306
*ATG, Inc............................................. 3,500 7,656
*Atlantic American Corp............................... 2,500 7,812
*Atlantic Coast Airlines, Inc......................... 4,700 142,909
*Atlantic Data Services, Inc.......................... 3,200 13,200
*Atlantic Premium Brands, Ltd......................... 600 1,650
*Atlantis Plastics, Inc............................... 400 2,800
*ATMI, Inc............................................ 800 30,675
Atmos Energy Corp..................................... 7,900 144,669
*Atrion Corp.......................................... 200 2,375
*Atrix Labs, Inc...................................... 2,900 21,206
*ATS Medical, Inc..................................... 4,500 44,859
*Atwood Oceanics, Inc................................. 2,100 114,844
*Audiovox Corp. Class A............................... 3,400 64,281
*Ault, Inc............................................ 1,100 6,428
*Aurora Biosciences Corp.............................. 4,900 232,291
*Auspex Systems, Inc.................................. 7,000 33,469
*Autoimmune, Inc...................................... 4,200 5,447
*Autote Corp. Class A................................. 7,300 22,356
Avado Brands, Inc..................................... 1,200 1,706
*Avant Corp........................................... 9,800 153,431
*Avant Immunotherapeutics, Inc........................ 12,500 60,937
*Avatar Holdings, Inc................................. 2,100 41,541
Avert, Inc............................................ 800 15,775
*Avi Biopharma, Inc................................... 4,100 40,231
*Aviall, Inc.......................................... 2,800 15,050
*Avid Technology, Inc................................. 6,100 61,381
*Avigen, Inc.......................................... 3,800 113,525
*Aviron............................................... 4,900 119,284
*Avis Group Holdings, Inc............................. 3,100 59,675
Avista Corp........................................... 7,600 170,050
Avnet, Inc............................................ 67 4,636
*AVT Corporation...................................... 7,900 71,470
*Avteam, Inc. Class A................................. 2,700 5,358
*Aware, Inc........................................... 2,200 97,831
*Axent Technologies, Inc.............................. 7,200 131,625
*Axsys Technologies, Inc.............................. 800 11,750
*Axys Pharmaceuticals, Inc............................ 8,700 33,712
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Aztar Corp........................................... 10,900 $ 138,975
Aztec Manufacturing Co................................ 1,200 19,200
*Bacou USA, Inc....................................... 3,500 69,125
Badger Meter, Inc..................................... 500 15,875
Bairnco Corp.......................................... 2,000 14,375
Baker (J.), Inc....................................... 3,500 22,312
*Baker (Michael) Corp................................. 1,700 11,050
*Balanced Care Corp................................... 3,300 5,569
Balchem Corp.......................................... 1,200 12,225
Baldor Electric Co.................................... 9,000 168,750
Baldwin & Lyons, Inc. Class B......................... 1,100 19,937
*Baldwin Technology, Inc. Class A..................... 1,500 3,187
*Ballantyne Omaha, Inc................................ 3,100 7,556
*Bally Total Fitness Holding Corp..................... 6,000 138,375
Bancfirst Ohio Corp................................... 700 10,872
*Bancinsurance Corp................................... 600 2,475
Bancorp Connecticut, Inc.............................. 500 7,344
Bandag, Inc........................................... 1,100 27,294
Bandag, Inc. Class A.................................. 1,200 27,300
Bangor Hydro-Electric Co.............................. 1,800 26,775
Bank of Granite Corp.................................. 2,200 42,900
Bank of The Ozarks.................................... 500 8,344
*Bank Plus Corp....................................... 2,900 8,066
*Bank United Financial Corp. Class A.................. 4,500 28,969
Bank West Financial Corp.............................. 600 3,862
BankAtlantic Bancorp, Inc. Class A.................... 150 572
BankAtlantic Bancorp, Inc. Class B.................... 1,300 7,434
*BankFirst Corp....................................... 2,300 18,112
*Banknorth Group, Inc................................. 2,737 38,232
Banta Corp............................................ 6,600 122,100
Barnes Group, Inc..................................... 4,700 78,431
*Barnett, Inc......................................... 4,100 38,822
*Barra, Inc........................................... 3,500 150,828
*Barrett Business Services, Inc....................... 700 3,894
*Barringer Technologies, Inc.......................... 1,700 10,466
*Basin Exploration, Inc............................... 3,700 61,512
Bassett Furniture Industries, Inc..................... 3,000 36,656
*Battle Mountain Gold Co.............................. 26,200 50,762
Bay State Bancorp, Inc................................ 500 9,187
*Baycorp Holdings, Ltd................................ 1,200 9,750
*Bayou Steel Corp. Class A............................ 2,700 6,075
*Be Aerospace, Inc.................................... 6,200 42,819
Beauticontrol Cosmetics, Inc.......................... 700 2,516
*Beazer Homes USA, Inc................................ 1,200 22,050
*bebe stores, inc..................................... 4,800 42,750
*BEI Electronics, Inc................................. 1,900 2,523
BEI Technologies, Inc................................. 1,900 33,725
*Bel Fuse, Inc. Class A............................... 700 12,731
*Belco Oil & Gas Corp................................. 7,900 61,719
Belden, Inc........................................... 6,100 166,987
*Bell and Howell Co................................... 2,900 62,169
Bell Industries, Inc.................................. 600 1,575
*Bell Microproducts, Inc.............................. 2,300 29,756
*Bellwether Exploration Co............................ 3,500 29,805
*Benchmark Electronics, Inc........................... 4,100 139,400
*Bentley Pharmaceuticals, Inc......................... 2,700 17,212
*Benton Oil & Gas Co.................................. 7,400 20,350
Bergen Brunswig Corp. Class A......................... 13,500 70,031
*Beringer Wine Estates Holdings, Inc.................. 2,200 83,669
Berry Petroleum Corp. Class A......................... 5,300 83,144
*Beverly Enterprises.................................. 12,300 36,900
BHA Group Holdings, Inc. Class A...................... 500 5,062
</TABLE>
18
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*BI, Inc.............................................. 1,200 $ 6,375
*Big City Radio, Inc.................................. 1,200 5,475
Big Dog Holdings, Inc................................. 1,200 5,400
*Billing Information Concepts Corp.................... 10,600 49,191
Bindley Western Industries, Inc....................... 8,466 161,383
*BindView Development Corp............................ 11,600 81,019
*Bio Technology General Corp.......................... 10,800 113,737
*Bio Vascular, Inc.................................... 1,800 5,231
*Bioanalytical Systems, Inc........................... 400 1,050
*Biocryst Pharmaceuticals, Inc........................ 4,200 98,700
*Bio-Logic Systems Corp............................... 800 4,650
*Biomatrix, Inc....................................... 5,800 107,662
*Bionova Holdings Corp................................ 4,100 8,200
*Bionx Implants, Inc.................................. 2,200 4,812
*Bio-Rad Laboratories, Inc. Class A................... 2,500 57,969
*BioReliance Corp..................................... 2,000 10,062
*Biosite Diagnostics, Inc............................. 3,300 74,559
*Biosource International, Inc......................... 2,000 13,625
*Biospecifics Technologies Corp....................... 1,100 2,991
*Biospherics, Inc..................................... 2,500 15,469
*BioTransplant, Inc................................... 2,900 17,400
Birmingham Steel Corp................................. 1,900 7,362
*Bitstream, Inc....................................... 1,800 9,281
*Black Hawk Gaming & Development, Inc................. 400 2,737
Black Hills Corp...................................... 5,400 129,262
Blair Corp............................................ 2,100 40,425
Blanch (E.W.) Holdings, Inc........................... 3,300 84,769
*BLC Financial Services, Inc.......................... 2,000 3,750
Block Drug Co., Inc. Class A.......................... 3,451 95,550
*Blonder Tongue Laboratories, Inc..................... 1,500 10,312
*Blount International, Inc............................ 7,700 105,394
*Blue Rhino Corp...................................... 1,700 14,609
*Blue Wave Systems, Inc............................... 3,900 43,022
*Bluegreen Corp....................................... 6,300 19,687
BMC Industries, Inc................................... 6,800 25,925
Bob Evans Farms, Inc.................................. 3,300 44,756
*Boca Research, Inc................................... 2,900 15,769
*Boca Resorts, Inc.................................... 10,100 87,112
*Bogen Communications International, Inc.............. 1,300 8,084
*BOK Financial Corp................................... 1,442 23,342
*Bolder Technologies Corp............................. 1,400 8,028
*Bolt Technology Corp................................. 1,300 5,850
*Bombay Co., Inc...................................... 4,400 14,025
*Bone Care International, Inc......................... 700 13,759
*Bon-Ton Stores, Inc.................................. 2,500 5,586
*Books-a-Million, Inc................................. 3,400 11,581
*Boron, Lepore and Associates, Inc.................... 3,100 23,734
Boston Acoustics, Inc................................. 1,000 10,625
*Boston Beer Company, Inc. Class A.................... 3,300 28,050
*Boston Biomedical, Inc............................... 1,000 3,656
*Boston Communications Group, Inc..................... 4,200 43,181
Boston Private Financial Holdings, Inc................ 1,700 16,681
Bostonfed Bancorp, Inc................................ 500 6,562
*Boundless Corp....................................... 1,100 7,837
Bowne & Co., Inc...................................... 9,000 90,562
*Boyd Gaming Corp..................................... 15,600 77,025
*Bradley Pharmaceuticals, Inc. Class A................ 2,000 2,219
Brady (W.H.) Co. Class A.............................. 5,200 156,650
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Brass Eagle, Inc..................................... 1,400 $ 6,825
*Brauns Fashions Corp................................. 1,350 30,037
*Bridgestreet Accomodations, Inc...................... 2,000 5,500
Bridgford Foods Corp.................................. 1,000 10,594
*Brigham Exploration Co............................... 1,400 3,675
*Brightpoint, Inc..................................... 12,100 140,662
*BrightStar Information Technology Group, Inc......... 2,200 8,525
*Brilliant Digital Entertainment, Inc................. 3,600 20,700
*Brio Technology, Inc................................. 1,400 19,950
*Britesmile, Inc...................................... 5,900 43,697
*Broadvision, Inc..................................... 2,079 74,519
*Brookdale Living Communities......................... 2,300 31,337
Brookline Bancorp, Inc................................ 6,900 67,491
*Brooks Automation, Inc............................... 1,300 51,837
*Brookstone, Inc...................................... 2,000 28,375
*Brooktrout Technology, Inc........................... 3,000 67,687
*Brown & Sharpe Manufacturing Co. Class A............. 1,200 2,700
*Brown (Tom), Inc..................................... 7,000 152,687
Brown and Brown, Inc.................................. 3,400 158,525
*Brunswick Technologies, Inc.......................... 1,000 8,781
Brush Wellman, Inc.................................... 4,100 71,494
BSB Bancorp, Inc...................................... 2,600 49,644
BT Financial Corp..................................... 3,300 57,131
*BTG, Inc............................................. 1,800 14,625
*BTU International, Inc............................... 1,400 12,119
*Buckeye Technology, Inc.............................. 8,800 167,750
*Buckle, Inc.......................................... 5,400 73,237
*Buffets, Inc......................................... 8,300 96,228
*Building Materials Holding Corp...................... 3,200 29,700
*Bull Run Corp. GA.................................... 3,400 9,722
Burlington Coat Factory Warehouse Corp................ 11,600 147,175
*Burlington Industries, Inc........................... 10,300 34,119
*Burns International Services Corp.................... 5,000 58,125
*Bush Boake Allen, Inc................................ 4,800 156,600
Bush Industries, Inc. Class A......................... 2,500 42,656
*Business Resource Group.............................. 1,300 8,084
*Butler International, Inc............................ 2,350 19,241
Butler Manufacturing Co............................... 1,700 37,931
*BYL Bancorp.......................................... 600 6,169
C & D Technologies, Inc............................... 1,900 137,750
*C.P. Clare Corp...................................... 2,400 15,750
*Cable Design Techologies Corp........................ 4,200 116,287
Cabot Oil & Gas Corp. Class A......................... 6,200 154,612
*Cache, Inc........................................... 1,800 6,750
*Caci International, Inc. Class A..................... 2,800 55,212
*Cadiz, Inc........................................... 7,000 47,250
Cadmus Communications Corp............................ 1,400 12,162
*Cal Dive International, Inc.......................... 3,100 142,697
Calgon Carbon Corp.................................... 9,700 63,656
*Caliber Learning Network, Inc........................ 2,400 6,525
*Calico Commerce, Inc................................. 121 1,486
*California Amplifier, Inc............................ 3,000 67,594
*California Coastal Communities, Inc.................. 2,500 14,297
*California Micro Devices Corp........................ 2,600 36,806
California Water Service Group........................ 3,200 74,600
*Callon Petroleum Co.................................. 2,400 36,600
Cal-Maine Foods, Inc.................................. 1,800 6,019
*Calton Inc........................................... 5,400 7,087
Cambrex Corp.......................................... 2,500 105,312
</TABLE>
19
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Cambridge Heart, Inc................................. 3,500 $ 8,641
*Cambridge Technology Partners, Inc................... 2,500 20,000
Camco Financial Corp.................................. 1,400 12,600
*Cameron Ashley Building Products, Inc................ 1,800 32,512
Cameron Financial Corp................................ 100 1,178
*Candela Laser Corp................................... 2,750 27,930
*Candies, Inc......................................... 1,700 2,311
*Cannondale Corp...................................... 1,900 13,656
*Cantel Industries, Inc. Class B...................... 400 2,625
*Canterbury Information Technology, Inc............... 2,400 6,375
*Capital Corp. of the West............................ 500 4,906
*Capital Crossing Bank................................ 500 5,125
*Capital Pacific Holdings, Inc........................ 2,800 7,700
*Capital Senior Living Corp........................... 800 1,900
Capitol Bancorp, Ltd.................................. 1,700 19,125
Capitol Transamerica Corp............................. 1,000 11,250
Caraustar Industries, Inc............................. 5,100 84,309
*Carbide/Graphite Group, Inc.......................... 2,100 8,991
Carbo Ceramics, Inc................................... 2,900 90,625
*Cardima, Inc......................................... 3,300 4,022
*Cardiotech International, Inc........................ 1,300 1,869
*Caredata.com, Inc.................................... 800 3,200
*Career Education Corp................................ 2,000 79,875
*CareerEngine Network, Inc............................ 500 906
*Carey International, Inc............................. 900 8,353
*Caribiner International, Inc......................... 2,300 1,725
*Carmike Cinemas, Inc. Class A........................ 900 4,781
Carpenter Technology Corp............................. 3,900 80,681
*Carreker-Antinori, Inc............................... 4,600 50,025
*Carriage Services, Inc. Class A...................... 900 2,587
*Carrington Laboratories, Inc......................... 1,900 4,216
*Carrizo Oil & Gas, Inc............................... 2,600 16,372
*Carson, Inc.......................................... 2,000 8,125
Carter-Wallace, Inc................................... 8,200 164,000
Cascade Corp.......................................... 2,900 32,625
Cascade Natural Gas Corp.............................. 2,800 49,700
Casey's General Stores, Inc........................... 10,500 124,031
Cash America International, Inc....................... 6,300 64,575
*Casino Data Systems.................................. 4,600 20,341
*Castle & Cooke, Inc.................................. 4,300 80,087
Castle (A.M.) & Co.................................... 3,500 43,531
*Castle Dental Centers, Inc........................... 600 1,462
Castle Energy Corp.................................... 1,400 8,466
*Catalina Lighting, Inc............................... 1,400 5,600
*Catalyst International, Inc.......................... 2,000 12,500
*Catalytica, Inc...................................... 6,500 61,547
Cathay Bancorp, Inc................................... 600 27,356
Cato Corp. Class A.................................... 5,600 69,475
Catskill Financial Corp............................... 900 14,850
Cavalier Homes, Inc................................... 3,600 5,400
CBRL Group, Inc....................................... 7,500 108,516
CCBT Financial Companies, Inc......................... 1,700 25,022
*CCC Information Services Group, Inc.................. 5,500 54,312
*C-COR Electronics, Inc............................... 1,200 26,437
*CDI Corp............................................. 4,800 103,500
*CDNOW/N2K, Inc....................................... 8,200 24,344
*Celadon Group, Inc................................... 1,600 21,650
*Celeris Corporation.................................. 300 830
*Celeritek, Inc....................................... 500 24,047
*Cell Genesys, Inc.................................... 2,900 51,928
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Cell Therapeutics, Inc............................... 5,300 $ 87,119
*Cellegy Pharmaceuticals, Inc......................... 3,000 14,531
*Cellstar Corp........................................ 15,000 41,484
*Cellular Technical Services.......................... 500 3,656
*Cel-Sci Corp......................................... 1,300 3,900
*Centennial Bancorp................................... 2,200 18,906
*Centennial Cellular Corp............................. 4,500 71,437
*CenterSpan Communication Corp........................ 1,100 15,572
Centex Construction Products, Inc..................... 3,800 114,000
*Centigram Communications Corp........................ 1,200 22,537
Central Bancorp, Inc.................................. 100 1,628
*Central Garden & Pet Co.............................. 1,600 18,250
Central Parking Corp.................................. 5,000 131,562
Central Vermont Public Service Corp................... 2,300 25,156
Centura Banks, Inc.................................... 2,250 97,312
Century Aluminum Co................................... 5,100 52,116
Century South Banks, Inc.............................. 2,700 53,325
*Cephalon, Inc........................................ 1,000 51,687
*Ceradyne, Inc........................................ 2,000 16,500
*Ceres Group, Inc..................................... 2,700 16,031
*Cerner Corp.......................................... 4,000 91,125
*Cerprobe Corp........................................ 2,400 29,700
*Cerus Corp........................................... 2,500 97,031
*CFM Technologies, Inc................................ 1,600 12,500
CFW Communications Co................................. 3,300 124,884
CH Energy Group, Inc.................................. 3,400 109,437
*Chad Therapeutics.................................... 1,000 875
*Champion Enterprises, Inc............................ 5,000 28,437
Champion Industries, Inc.............................. 1,900 5,403
*Championship Auto Racing Teams, Inc.................. 3,100 60,644
*Champps Entertainment, Inc........................... 2,900 11,328
*Charles and Colvard, Ltd............................. 1,800 11,137
*Charles River Associates, Inc........................ 2,200 39,394
*Charming Shoppes, Inc................................ 24,700 145,884
*Chart House Enterprises, Inc......................... 2,900 15,406
Chart Industries, Inc................................. 6,000 26,250
*Chase Industries, Inc................................ 1,800 16,650
*Chattem, Inc......................................... 2,400 28,650
*Chaus (Bernard), Inc................................. 2,400 1,950
*Check Technology Corp................................ 1,200 6,112
*Checkpoint System, Inc............................... 7,500 59,531
*Cheesecake Factory, Inc.............................. 5,000 198,906
Chemed Corp........................................... 2,600 78,812
*Chemfab Corp......................................... 150 1,500
Chemfirst, Inc........................................ 4,600 96,025
Chemical Financial Corp............................... 3,570 98,844
*Cherokee, Inc........................................ 2,100 15,028
*Cherry Corp.......................................... 2,500 50,312
*Chesapeake Biological Laboratories, Inc. Class A..... 600 1,556
Chesapeake Corp....................................... 3,500 114,406
*Chesapeake Energy Corp............................... 17,700 101,775
Chesapeake Utilities Corp............................. 1,300 22,994
*Chicos Fas, Inc...................................... 3,100 56,091
*Children's Comprehensive Services, Inc............... 1,400 3,150
*Children's Place Retail Stores, Inc.................. 6,400 122,400
Chiquita Brands International, Inc.................... 6,600 25,987
*Chirex, Inc.......................................... 3,700 64,287
Chittenden Corp....................................... 1,421 39,344
*Choicepoint, Inc..................................... 2,625 106,148
</TABLE>
20
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Cholestech Corp...................................... 3,000 $ 22,500
*ChromaVision Medical Systems, Inc.................... 3,900 41,925
*Chromcraft Revington, Inc............................ 1,900 21,137
*Chronimed, Inc....................................... 2,400 15,750
Church & Dwight Co., Inc.............................. 9,700 176,419
Churchill Downs, Inc.................................. 2,500 56,406
*Chyron Corp.......................................... 8,000 20,000
CICOR International, Inc.............................. 750 7,922
*CIDCO, Inc........................................... 3,400 10,412
*Cima Laboratories, Inc............................... 2,700 39,741
*Ciprico, Inc......................................... 1,200 12,975
Circle International, Inc............................. 4,400 83,187
*Circuit City Stores, Inc. (Carmax Group)............. 2,400 6,450
*Circuit Systems, Inc................................. 400 381
*Cirrus Logic, Inc.................................... 5,100 88,772
*Citadel Holding Corp. Class A........................ 560 1,750
*Citation Computer System, Inc........................ 1,000 3,609
*Citation Holding Corp. Class B....................... 140 437
*Citizens, Inc. Class A............................... 4,940 30,257
City Holding Co....................................... 4,200 41,737
City National Corp.................................... 153 5,967
*Civic Bancorp........................................ 900 12,628
CKE Restaurants, Inc.................................. 4,600 15,237
Clarcor, Inc.......................................... 6,100 107,894
*Clark/Bardes Holdings, Inc........................... 1,900 27,906
*Clean Harbors, Inc................................... 1,000 1,844
*click2learn.com, Inc................................. 4,200 50,137
*ClickAction, Inc..................................... 2,600 33,881
*Clintrials Research, Inc............................. 4,600 14,878
*Closure Medical Corp................................. 3,300 55,584
*CMG Information Services, Inc........................ 11 526
CMP Media Group, Inc.................................. 1,300 37,700
CNA Surety Corp....................................... 8,700 108,750
CNBT Bancshares, Inc.................................. 900 11,025
*CNS, Inc............................................. 2,900 11,600
Coachmen Industries, Inc.............................. 3,900 46,556
*Coast Dental Services, Inc........................... 1,300 2,661
*Coast Distribution System............................ 400 850
Coastal Bancorp, Inc.................................. 1,600 24,100
*Coastcast Corp....................................... 1,500 28,687
*Cobalt Group, Inc.................................... 4,200 27,300
*Cobra Electronic Corp................................ 1,600 8,800
Coca-Cola Bottling Co. Consolidated................... 1,200 58,462
*Coeur d'Alene Mines Corp. ID......................... 9,300 22,669
*Cognitronics Corp.................................... 500 5,125
*Coherent, Inc........................................ 3,600 202,725
*Cohesion Technologies, Inc........................... 800 8,450
Cohu, Inc............................................. 3,000 106,125
*Coinmach Laundry Corp................................ 2,500 33,828
*Coinstar, Inc........................................ 5,100 47,255
Cold Metal Products, Inc.............................. 600 2,250
*Coldwater Creek, Inc................................. 2,300 52,828
*Cole (Kenneth) Productions, Inc. Class A............. 750 25,078
Cole National Corp. Class A........................... 2,500 15,781
*Collagenex Pharmaceuticals, Inc...................... 2,200 22,069
*Collateral Therapeutics, Inc......................... 3,300 76,519
*Collins & Aikman Corp................................ 15,400 91,437
Collins Industries, Inc............................... 1,500 7,125
Colorado Business Bankshares, Inc..................... 700 9,122
*Colorado Medtech, Inc................................ 3,000 15,094
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Columbia Banking System, Inc......................... 2,300 $ 25,084
*Columbia Laboratories, Inc........................... 7,300 69,350
*Columbia Sportswear Co............................... 6,300 165,769
*Columbus Energy Corp................................. 300 2,100
Columbus McKinnon Corp................................ 3,700 51,106
*Com21, Inc........................................... 5,500 108,797
*Comarco, Inc......................................... 200 5,756
*Comdial Corp......................................... 2,300 21,023
*Comfort Systems USA, Inc............................. 3,700 22,431
*Command Systems, Inc................................. 1,500 2,766
Commercial Bank of New York........................... 1,300 15,437
Commercial Metals Co.................................. 1,400 36,837
Commonwealth Bancorp, Inc............................. 2,600 30,062
Commonwealth Industries, Inc.......................... 3,300 20,316
Communications Systems, Inc........................... 1,700 23,269
Community Bank System, Inc............................ 1,400 31,850
Community Financial Corp.............................. 400 4,475
Community Financial Group, Inc........................ 100 1,312
Community First Bankshares, Inc....................... 1,700 28,209
Community Savings Bankshares, Inc..................... 2,000 21,125
Community Trust Bancorp, Inc.......................... 2,475 35,810
Community West Bancshares............................. 500 3,062
*Compass Bancshares, Inc.............................. 697 14,158
*Competitive Technologies, Inc........................ 1,500 18,000
*Complete Business Solutions, Inc..................... 3,700 83,481
*Comptek Research, Inc................................ 1,200 20,475
*Compucom Systems, Inc................................ 12,100 29,116
*Computer Horizons Corp............................... 8,300 92,856
*Computer Learning Centers, Inc....................... 1,100 1,066
*Computer Motion, Inc................................. 1,700 13,016
*Computer Network Technology Corp..................... 6,000 74,812
*Computer Outsourcing Services, Inc................... 1,200 18,150
*Computer Sciences Corp............................... 127 12,184
Computer Task Group, Inc.............................. 500 3,594
*Computrac, Inc....................................... 1,300 1,219
*Computron Software, Inc.............................. 6,100 12,200
CompX International, Inc.............................. 1,200 22,650
*Comshare, Inc........................................ 2,200 8,387
*Comstock Resources, Inc.............................. 6,300 47,250
*Comtech Telecommunications Corp...................... 1,800 22,781
*Conceptus, Inc....................................... 1,900 9,322
*Concord Camera Corp.................................. 5,500 93,328
*Concord Communications, Inc.......................... 4,000 99,000
*Concurrent Computer Corp............................. 13,400 114,319
*Condor Technology Solutions, Inc..................... 1,200 506
*Cone Mills Corp. NC.................................. 4,300 24,725
*Congoleum Corp. Class A.............................. 1,100 3,437
*Conmed Corp.......................................... 3,800 91,556
Connecticut Water Services, Inc....................... 1,200 32,812
*Connitics Corp....................................... 5,700 50,231
*Conrad Industries, Inc............................... 1,000 5,719
*Consolidated Delivery and Logistics, Inc............. 1,500 2,625
*Consolidated Freightways Corp........................ 5,400 24,637
*Consolidated Graphics, Inc........................... 3,200 33,200
*Consolidated Products, Inc........................... 5,800 57,637
Consolidated Tokoma Land Co........................... 1,600 19,000
*Cooker Restaurant Corp............................... 500 1,187
Cooper Companies, Inc................................. 3,500 120,750
*CoorsTek, Inc........................................ 1,775 57,244
*Copart, Inc.......................................... 4,400 77,687
*Copytele, Inc........................................ 8,400 14,437
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Cordiant Communications Group P.L.C. ADR............. 519 $ 9,958
*Core Materials Corp.................................. 1,000 1,562
*Core, Inc............................................ 1,300 7,475
*Corixa Corp.......................................... 5,200 165,262
*Cornell Corrections, Inc............................. 900 6,525
Corning, Inc.......................................... 1,931 373,528
*Correctional Services Corp........................... 1,100 4,847
*Corrpro Companies, Inc............................... 1,900 7,125
*Corsair Communications, Inc.......................... 4,400 99,275
Corus Bankshares, Inc................................. 2,900 71,956
*Corvas International, Inc............................ 5,300 33,456
*Corvel Corp.......................................... 800 21,850
*Cost Plus, Inc....................................... 3,050 88,927
*CoStar Group, Inc.................................... 3,000 62,812
*Cotelligent Group, Inc............................... 3,700 16,881
Cotton States Life Insurance Co....................... 1,300 10,725
*Coulter Pharmaceutical, Inc.......................... 4,300 79,953
*Covance, Inc......................................... 14,300 101,887
*Covenant Transport, Inc. Class A..................... 1,400 14,394
*Coventry Health Care, Inc............................ 11,800 139,756
*Covol Technologies, Inc.............................. 1,700 2,603
*Coyote Network Systems, Inc.......................... 1,600 9,550
CPAC, Inc............................................. 1,500 10,312
CPB, Inc.............................................. 1,800 42,300
*C-Phone Corp......................................... 2,200 2,269
CPI Corp.............................................. 1,800 40,162
Craftmade International, Inc.......................... 1,300 6,378
*Craig Corp........................................... 300 1,219
Crawford & Co. Class A................................ 1,600 16,700
Crawford & Co. Class B................................ 2,600 30,550
*Cray, Inc............................................ 7,900 27,527
*Creative Biomolecules, Inc........................... 9,600 49,050
*Creative Computers, Inc.............................. 2,600 12,025
*Credence Systems Corp................................ 2,000 109,250
*Credit Acceptance Corp............................... 3,900 21,694
*Credit Management Solutions.......................... 1,500 6,141
*Creditrust Corp...................................... 2,600 1,341
*Crescent Operating, Inc.............................. 1,100 1,616
*Cross (A.T.) Co. Class A............................. 3,700 22,662
Cross Timbers Oil Co.................................. 5,600 113,750
*Crossman Communities, Inc............................ 2,300 40,753
*Crosswalk.com, Inc................................... 1,900 4,631
*Crown Central Petroleum Corp. Class A................ 1,200 10,875
*Crown Central Petroleum Corp. Class B................ 1,000 9,062
Crown Crafts, Inc..................................... 600 862
*Crown Vantage, Inc................................... 1,000 234
*Crown-Andersen, Inc.................................. 100 462
*Crusader Holding Corp................................ 1,000 8,062
*Cryolife, Inc........................................ 2,900 49,844
*CSK Auto Corp........................................ 5,500 82,500
*CT Communications, Inc............................... 900 28,687
*CTB International Corp............................... 2,400 15,637
*CTC Communications Group, Inc........................ 3,150 78,159
CTG Resources, Inc.................................... 2,200 86,625
CTS Corp.............................................. 200 11,037
Cubic Corp............................................ 2,200 44,000
*Cubist Pharmaceuticals, Inc.......................... 4,100 117,619
*Cumulus Media, Inc. Class A.......................... 6,400 73,200
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Cunningham Graphics International, Inc............... 500 $ 10,953
*CUNO, Inc............................................ 3,300 91,781
*CuraGen Corp......................................... 2,200 66,275
*Curative Health Services, Inc........................ 2,400 12,937
Curtiss-Wright Corp................................... 2,000 69,625
*Cuseeme Networks, Inc................................ 2,100 18,900
*Cutter & Buck, Inc................................... 2,600 26,162
*CV Therapeutics, Inc................................. 3,600 149,062
CVB Financial Corp.................................... 4,900 75,337
*CVF Technologies Corp................................ 1,700 4,037
*Cyanotech Corp....................................... 2,800 3,719
*Cybercash, Inc....................................... 6,200 26,737
*Cyberian Outpost, Inc................................ 5,900 25,075
*Cyberonics, Inc...................................... 4,500 80,016
*Cyberoptics Corp..................................... 1,300 48,466
*Cybersource Corp..................................... 6,400 91,400
*Cybex Corp........................................... 1,950 65,691
*Cygnus, Inc.......................................... 6,400 51,600
*Cylink Corp.......................................... 7,400 102,212
*Cymer, Inc........................................... 900 28,434
*Cyrk, Inc............................................ 3,100 17,825
*Cytogen Corp......................................... 17,900 71,880
*Cytrx Corp........................................... 1,900 2,078
*Cytyc Corp........................................... 1,400 70,219
*D A Consulting Group, Inc............................ 1,300 2,864
Dain Rauscher Corp.................................... 400 23,850
*Daisytek International Corp.......................... 4,300 43,537
*Daktronics, Inc...................................... 1,800 16,341
*Dal-Tile International, Inc.......................... 10,900 98,781
*Damark International, Inc. Class A................... 1,600 30,150
*Dan River, Inc. (GA) Class A......................... 4,300 21,500
*Danielson Holding Corp............................... 3,500 16,625
*Daou Systems, Inc.................................... 3,500 4,922
*Darling International, Inc........................... 600 712
*Data Broadcasting Corp............................... 8,600 39,372
*Data Dimensions, Inc................................. 2,700 4,894
*Data I/O Corp........................................ 1,800 6,750
*Data Race, Inc....................................... 5,700 25,116
*Data Systems & Software, Inc......................... 1,500 6,750
*Dataram Corp......................................... 1,650 29,391
Datascope Corp........................................ 3,800 142,856
*Datastream Systems, Inc.............................. 4,900 49,612
*DataTRAK International, Inc.......................... 600 3,262
*Dataware Technologies, Inc........................... 2,000 5,312
*Datawatch Corp....................................... 2,300 4,636
*Datron Systems, Inc.................................. 300 3,478
*Datum, Inc........................................... 300 4,669
*Dave and Busters, Inc................................ 1,200 8,250
*Davel Communications, Inc............................ 1,600 2,775
*Davox Corp........................................... 2,900 60,447
*Daw Technologies, Inc................................ 2,500 3,008
*Dawson Geophysical Co................................ 1,100 10,691
*Daxor Corp........................................... 900 11,025
*Dayton Superior Corp. Class A........................ 1,200 30,600
Deb Shops, Inc........................................ 2,600 32,256
*Deckers Outdoor Corp................................. 1,800 6,075
Decorator Industries, Inc............................. 300 1,462
*Del Global Technologies Corp......................... 1,500 12,562
*Del Monte Foods Co................................... 7,000 59,500
*Delco Remy International, Inc........................ 3,300 24,956
*Delia's, Inc......................................... 3,000 7,500
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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*Delphi Financial Group, Inc. Class A................. 2,900 $ 97,150
Delta Woodside Industries, Inc........................ 2,300 5,175
*Deltek Systems, Inc.................................. 4,200 45,019
Deltic Timber Corp.................................... 3,100 66,262
*Denali, Inc.......................................... 1,100 2,320
*Dendrite International, Inc.......................... 250 6,273
*Dense-Pac Microsystems, Inc.......................... 4,800 27,300
*Department 56, Inc................................... 1,400 12,512
*DepoMed, Inc......................................... 1,800 6,750
*Detection Systems, Inc............................... 1,300 12,837
Detroit Diesel Corp................................... 2,300 36,225
Dexter Corp........................................... 1,500 64,875
*Diacrin, Inc......................................... 4,300 29,294
Diagnostic Products Corp.............................. 2,700 84,037
*Diametrics Medical, Inc.............................. 6,500 46,922
*Dianon Systems, Inc.................................. 1,400 29,312
*Diedrich Coffee, Inc................................. 2,500 6,172
*Digene Corp.......................................... 3,100 92,225
*Digi International, Inc.............................. 3,800 19,594
*Digital Biometrics, Inc.............................. 3,600 12,712
*Digital Courier Technologies, Inc.................... 1,000 4,406
*Digital Generation Systems, Inc...................... 7,000 31,937
*Digital Lightwave, Inc............................... 2,700 148,331
*Digital Power Corp................................... 200 575
*Digital River, Inc................................... 5,400 61,087
Dime Community Bancorp, Inc........................... 3,100 50,375
Dimon, Inc............................................ 3,700 8,325
*Diodes, Inc.......................................... 1,500 40,875
*Dionex Corp.......................................... 1,800 63,450
*Dispatch Management Services Corp.................... 1,200 1,500
*Display Technologies, Inc............................ 2,000 5,437
*Diversified Corporate Resources, Inc................. 200 550
*Dixie Group, Inc..................................... 700 2,494
*Dixon Ticonderoga Co................................. 300 1,106
*DocuCorp International, Inc.......................... 3,100 14,580
*Document Sciences Corp............................... 2,200 4,606
*Documentum, Inc...................................... 1,700 93,872
*Dollar Thrifty Automotive Group, Inc................. 4,800 86,400
Donegal Group, Inc.................................... 1,000 6,953
*Donna Karan International, Inc....................... 3,200 22,600
Donnelly Corp. Class A................................ 1,100 15,881
*Dot Hill Systems Corp................................ 6,040 52,850
Dover Downs Entertainment, Inc........................ 2,200 25,987
Downey Financial Corp................................. 5,600 166,600
*Dress Barn, Inc...................................... 3,900 82,997
*Drew Industries, Inc................................. 1,100 7,700
*Drexler Technology Corp.............................. 2,000 23,000
Dreyer's Grand Ice Cream, Inc......................... 5,500 116,703
*Dril-Quip, Inc....................................... 3,400 146,625
*DRS Technologies, Inc................................ 2,400 27,300
*Drug Emporium, Inc................................... 2,600 2,966
*Dryclean USA, Inc.................................... 1,400 2,275
*Drypers Corp......................................... 1,800 3,234
*DSET Corp............................................ 2,700 51,131
*DSP Group, Inc....................................... 1,000 44,594
DT Industries, Inc.................................... 1,500 15,094
*DualStar Technologies Corp........................... 2,700 11,053
*Duane Reade, Inc..................................... 4,400 131,725
*Duckwall-Alco Stores, Inc............................ 1,000 8,625
*Ducommun, Inc........................................ 1,900 21,256
*Dunn Computer Corp................................... 1,900 3,652
*DuPont Photomasks, Inc............................... 1,000 57,531
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Dura Automotive Systems, Inc......................... 1,300 $ 15,478
*Dura Pharmaceuticals, Inc............................ 11,100 130,078
*Duramed Pharmaceuticals, Inc......................... 5,900 30,422
*DVI, Inc............................................. 3,600 51,750
*Dwyer Group, Inc..................................... 1,800 4,500
*Dyersburg Corp....................................... 500 102
*Dynamic Healthcare Technologies, Inc................. 1,900 2,078
*Dynamics Research Corp............................... 1,500 10,594
*E Com Ventures, Inc.................................. 1,500 4,547
*e.spire Communications, Inc.......................... 13,000 49,359
Eagle Bancshares, Inc................................. 900 10,519
*Eagle Point Software Corp............................ 400 1,850
Earthgrains Co........................................ 10,600 174,900
*EarthShell Corp...................................... 25,000 100,781
East West Bancorp, Inc................................ 4,700 57,722
*Eateries, Inc........................................ 500 1,844
*ECC International Corp............................... 2,100 6,300
*Echelon Corp......................................... 5,000 268,750
*Eclipse Surgical Technologies, Inc................... 7,500 25,781
*Eclipsys Corp........................................ 2,000 13,937
*Eco Soil Systems, Inc................................ 3,600 5,512
*Ecogen, Inc.......................................... 2,100 3,314
Ecology & Environment, Inc. Class A................... 200 1,175
*Edge Petroleum Corp.................................. 1,400 4,331
Edo Corp.............................................. 1,700 10,944
*Education Management Corp............................ 7,200 120,150
Educational Development Corp.......................... 400 1,087
*eFax.com, Inc........................................ 2,600 2,762
EFC Bancorp, Inc...................................... 500 4,562
*Egghead.com, Inc..................................... 7,400 25,322
*eGlobe, Inc.......................................... 5,700 17,545
*El Paso Electric Co.................................. 13,700 162,687
*Elan Corp. P.L.C. ADR................................ 3,773 150,213
*Elantec Semiconductor, Inc........................... 2,800 106,837
*Elcom International, Inc............................. 7,700 40,184
Elcor Corp............................................ 4,900 93,406
*Elcotel, Inc......................................... 2,700 5,020
*Elder-Beerman Stores Corp............................ 3,500 15,969
*Electric Fuel Corp................................... 4,300 24,322
*Electro Rent Corp.................................... 5,900 64,162
*Electro Scientific Industries, Inc................... 2,600 122,606
*Electroglas, Inc..................................... 4,000 105,500
*Electronic Processing, Inc........................... 800 8,800
*Elite Information Group, Inc......................... 1,900 12,112
Ellett Brothers, Inc.................................. 400 1,650
*E-Loan, Inc.......................................... 5,000 23,984
*eLOT, Inc............................................ 16,000 43,250
*Eloyalty Corp........................................ 3,800 56,762
*Embrex, Inc.......................................... 1,700 29,856
EMC Insurance Group, Inc.............................. 1,100 8,869
*Emcee Broadcast Products, Inc........................ 1,000 3,156
*Emcor Group, Inc..................................... 2,000 44,375
*EMCORE Corp.......................................... 1,200 79,800
*Emergent Information Technologies, Inc............... 3,200 9,350
*Emerging Vision, Inc................................. 5,500 12,633
*Emeritus Corp........................................ 1,600 4,700
*Emisphere Technologies, Inc.......................... 4,300 169,984
Empire District Electric Co........................... 4,300 101,587
Empire Federal Bancorp, Inc........................... 100 1,106
*EMS Technologies, Inc................................ 1,700 27,466
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*En Pointe Technologies, Inc.......................... 1,600 $ 16,850
*Encad, Inc........................................... 2,400 8,400
*Encompass Services Corp.............................. 17,725 104,134
*Encore Med Corp...................................... 1,800 4,078
*Encore Wire Corp..................................... 1,500 9,422
*Endocardial Solutions, Inc........................... 2,500 20,781
*Endosonics Corp...................................... 3,500 14,930
Energen Corp.......................................... 7,500 165,937
*Energy Biosystems Corp............................... 1,300 11,334
*Energy Conversion Devices, Inc....................... 3,200 58,400
Energynorth, Inc...................................... 600 35,400
Energysouth, Inc...................................... 900 17,437
Engineered Support Systems, Inc....................... 1,300 16,412
*Engineering Animation, Inc........................... 3,000 28,734
Engle Homes, Inc...................................... 1,900 18,228
Enhance Financial Services Group, Inc................. 3,800 52,250
Ennis Business Forms, Inc............................. 3,200 23,600
*Enserch Exploration Corp............................. 2,500 12,812
*Entrade, Inc......................................... 4,100 26,394
*Entremed, Inc........................................ 3,000 65,531
*Environmental Elements Corp.......................... 600 825
*Environmental Tectonics Corp......................... 1,700 16,150
*Enzo Biochem, Inc.................................... 2,000 70,500
*Enzon, Inc........................................... 1,300 37,497
*EP Medsystems, Inc................................... 2,200 10,175
*Epicor Software Corp................................. 10,400 37,375
*Epimmune, Inc........................................ 1,800 10,012
*Epitope, Inc......................................... 2,900 30,178
*EPIX Medical, Inc.................................... 2,300 31,697
*ePlus, Inc........................................... 1,600 32,250
*ePresence, Inc....................................... 6,100 51,087
*Equinox Systems, Inc................................. 800 4,650
*Equity Marketing, Inc................................ 1,300 13,162
*Ergo Science Corp.................................... 2,100 2,592
*Escalon Medical Corp................................. 600 994
*Esco Electronics Corp................................ 2,900 51,112
*eShare Communications, Inc........................... 5,300 31,137
Eskimo Pie Corp....................................... 600 5,906
*ESS Technology, Inc.................................. 8,500 111,828
Ethan Allen Interiors, Inc............................ 5,000 116,250
E'town Corp........................................... 1,700 112,731
*Evans & Sutherland Computer Corp..................... 1,900 15,022
*Evans Systems, Inc................................... 800 362
*Evergreen Resources, Inc............................. 2,900 79,659
*Evolving Systems, Inc................................ 3,100 12,109
*Exabyte Corp......................................... 5,700 24,047
*Exactech, Inc........................................ 500 7,375
*Exar Corp............................................ 900 61,791
*Excalibur Technologies Corp.......................... 3,600 103,725
*Excel Legacy Corp.................................... 3,000 8,625
*Excel Technology, Inc................................ 2,400 75,750
*eXcelon Corp......................................... 7,300 47,906
*Excelsior-Henderson Motorcycle Manufacturing Co...... 1,100 132
Exide Corp............................................ 5,400 45,900
*Exponent, Inc........................................ 1,300 10,197
*Extended Systems, Inc................................ 1,900 61,275
Ezcorp, Inc. Class A Non-Voting....................... 2,700 5,906
*Ezenia! Inc.......................................... 3,400 15,300
F & M National Corp................................... 4,900 116,069
F.N.B. Corp........................................... 4,200 76,912
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Fab Industries, Inc................................... 500 $ 5,000
*Factory 2-U Stores, Inc.............................. 3,100 108,209
*Factual Data Corp.................................... 1,300 10,887
Fair, Isaac & Co., Inc................................ 2,800 117,950
*Fairchild Corp. Class A.............................. 2,200 10,450
*Fairfield Communities, Inc........................... 11,100 93,656
Falcon Products, Inc.................................. 1,700 16,787
*Fansteel, Inc........................................ 1,700 6,800
*Farm Family Holdings, Inc............................ 500 13,500
Farmer Brothers Co.................................... 100 16,750
*Faro Technologies, Inc............................... 2,300 6,253
*Faroudja, Inc........................................ 2,500 7,969
*Fatbrain.com, Inc.................................... 2,300 15,202
FBL Financial Group, Inc. Class A..................... 3,200 46,800
FCNB Corp............................................. 2,000 24,312
*Featherlite Manufacturing, Inc....................... 1,300 4,509
Fedders Corp.......................................... 3,800 23,037
*FEI Co............................................... 6,900 124,847
Ferro Corp............................................ 4,300 95,137
FFLC Bancorp.......................................... 199 2,550
FFY Financial Corp.................................... 600 6,637
*Fibermark, Inc....................................... 1,500 15,656
*Fiberstars, Inc...................................... 800 6,275
Fidelity Bancorp, Inc. Delaware....................... 200 3,512
Fidelity Bankshares, Inc.............................. 1,400 21,787
*Fidelity Federal Bancorp............................. 300 581
*Fidelity Holdings, Inc............................... 6,450 16,327
Fidelity National Corp................................ 1,800 11,194
Fidelity National Financial, Inc...................... 2,400 37,200
*Fieldworks, Inc...................................... 1,800 1,856
*Filenet Corp......................................... 3,200 67,300
*Financial Federal Corp............................... 3,000 53,250
*Finish Line, Inc. Class A............................ 4,700 32,606
*Finlay Enterprises, Inc.............................. 1,000 11,406
First Albany Companies, Inc........................... 1,470 27,379
*First American Health Concepts, Inc.................. 200 525
*First Aviation Services, Inc......................... 1,400 9,362
First Bell Bancorp, Inc............................... 1,100 15,709
*First Cash, Inc...................................... 2,200 9,281
First Commonwealth Financial Corp..................... 12,600 122,850
*First Consulting Group, Inc.......................... 5,900 45,909
First Defiance Financial Corp......................... 1,300 10,766
First Essex Bancorp................................... 1,500 24,703
First Federal Capital Corp............................ 1,100 11,722
First Federal of East Hartford........................ 300 8,662
First Financial Bankshares, Inc....................... 1,600 46,900
First Financial Holdings, Inc......................... 2,700 42,272
First Indiana Corp.................................... 3,200 55,900
First International Bancorp, Inc...................... 2,100 17,784
*First Investors Financial Services Group, Inc........ 400 1,887
First Merchants Corp.................................. 2,100 44,756
First Midwest Financial, Inc.......................... 600 5,944
First Mutual Bancshares, Inc.......................... 220 2,186
First Niagara Financial Group, Inc.................... 6,600 60,431
First Northern Capital Corp........................... 1,900 25,353
*First Republic Bank.................................. 900 15,187
First Savings Bancorp, Inc. North Carolina............ 300 5,400
First SecurityFed Financial, Inc...................... 500 5,687
First Sentinel Bancorp, Inc........................... 10,800 84,206
First Source Corp..................................... 1,114 20,017
</TABLE>
24
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*First Team Sports, Inc............................... 1,500 $ 3,211
First United Bancshares, Inc.......................... 2,600 43,956
First Washington Bancorp, Inc......................... 1,900 27,491
First Years, Inc...................................... 2,000 18,562
*FirstCity Financial Corp............................. 1,300 2,844
Firstfed America Bancorp, Inc......................... 900 10,462
*FirstFed Financial Corp. DE.......................... 1,800 24,187
*Firstwave Technologies, Inc.......................... 1,400 4,966
*Fischer Imaging Corp................................. 1,400 3,762
Flagstar Bancorp, Inc................................. 2,600 24,456
*Flander Corp......................................... 6,400 22,800
Fleetwood Enterprises, Inc............................ 3,500 49,875
Fleming Companies, Inc................................ 9,800 137,812
Flexsteel Industries, Inc............................. 800 10,325
*flightserv.com....................................... 5,300 6,625
*Flir Systems, Inc.................................... 2,200 15,262
*Flooring America, Inc................................ 1,900 5,225
*Florida Banks, Inc................................... 1,400 7,306
Florida Public Utilities Co........................... 200 2,925
Florida Rock Industries, Inc.......................... 4,600 181,987
*Florsheim Group, Inc................................. 1,700 4,197
*Flour City International, Inc........................ 1,100 3,162
*Flow International Corp.............................. 2,900 29,997
Flowserve Corp........................................ 7,500 120,000
Flushing Financial Corp............................... 2,400 34,650
FNB Financial Services Corp........................... 1,100 13,475
*Focal, Inc........................................... 3,400 12,856
*Foilmark, Inc........................................ 1,500 5,766
*Foodarama Supermarkets, Inc.......................... 100 2,700
Foothill Independent Bancorp.......................... 500 4,844
*Footstar, Inc........................................ 4,200 150,675
*Forest Oil Corp...................................... 13,500 215,156
*Forrester Resh, Inc.................................. 1,200 71,137
*Forward Air Corp., Inc............................... 4,750 152,000
*Fossil, Inc.......................................... 8,000 160,000
*Foster (L.B.) Co. Class A............................ 2,000 6,687
Foster Wheeler Corp................................... 8,100 68,344
*Fotoball USA, Inc.................................... 300 1,237
*Fountain Powerboat Industries, Inc................... 500 1,203
*Four Kids Entertainment, Inc......................... 3,000 55,312
*Fourth Shift Corp.................................... 2,100 9,023
*FPIC Insurance Group, Inc............................ 2,400 30,975
Franklin Bank National Associaton Southfield, MI...... 300 2,587
*Franklin Covey Co.................................... 3,300 25,575
Franklin Electric Co., Inc............................ 1,000 69,656
*Franklin Electronic Publishers, Inc.................. 2,000 13,000
Freds, Inc. Class A................................... 2,400 41,100
Fremont General Corp.................................. 3,800 16,625
*French Fragrances, Inc............................... 3,300 25,369
Frequency Electronics, Inc............................ 1,500 25,500
*Fresh America Corp................................... 1,000 2,187
*Fresh Choice, Inc.................................... 1,100 3,970
*Fresh Foods, Inc..................................... 1,100 3,231
*Friede Goldman International......................... 7,900 66,656
*Friedman Billings Ramsey Group, Inc. Class A......... 3,400 21,675
Friedman Industries, Inc.............................. 735 2,389
*Friendly Ice Cream Corp.............................. 700 3,347
Frisch's Restaurants, Inc............................. 1,100 10,725
*Fritz Companies, Inc................................. 9,200 95,737
Frontier Adjusters of America, Inc.................... 1,200 4,725
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Frontier Airlines, Inc............................... 4,400 $ 58,025
*Frontier Oil Corp.................................... 6,800 47,600
Frozen Food Express Industries, Inc................... 3,300 8,353
FSF Financial Corp.................................... 500 6,187
*FSI International, Inc............................... 6,200 89,319
*FTI Consulting, Inc.................................. 1,600 15,000
*FuelCell Energy, Inc................................. 1,900 82,412
Fuller (H.B.) Co...................................... 2,800 108,325
*Funco, Inc........................................... 1,200 29,512
*Furr's/Bishop's, Inc................................. 2,000 5,750
*Fusion Medical Technologies, Inc..................... 2,500 31,953
*FVC.COM, Inc......................................... 4,200 23,625
*FX Energy, Inc....................................... 1,400 10,587
*FYI, Inc............................................. 3,800 124,450
G & K Services, Inc. Class A.......................... 1,900 47,559
*Gadzooks, Inc........................................ 1,800 25,650
Gainsco, Inc.......................................... 5,200 27,300
*Galagen, Inc......................................... 2,100 4,069
*Galey & Lord, Inc.................................... 2,300 5,606
Gallagher (Arthur J.) & Co............................ 3,400 131,537
*GameTech International, Inc.......................... 2,300 14,662
Garan, Inc............................................ 500 10,250
*Garden Fresh Restaurant Corp......................... 500 5,437
*Gardenburger, Inc.................................... 1,200 6,525
*Gardner Denver Machinery, Inc........................ 3,000 52,500
*Gart Sports Co....................................... 700 3,981
*Gasonics International, Inc.......................... 3,700 100,825
*Gaylord Container Corp. Class A...................... 10,600 42,400
GBC Bancorp........................................... 2,300 66,053
*GC Companies, Inc.................................... 2,000 52,875
*Geerling & Wade, Inc................................. 700 2,494
*Gehl Co.............................................. 1,100 19,697
*Geltex Pharmaceuticals, Inc.......................... 3,900 75,928
*Gencor Industries, Inc............................... 500 3,156
Gencorp, Inc.......................................... 8,300 81,444
*Gene Logic, Inc...................................... 6,300 133,284
*Genelabs Technologies, Inc........................... 10,200 34,584
General Binding Corp.................................. 1,700 12,750
General Cable Corp.................................... 9,000 74,812
*General Chemical Group, Inc.......................... 1,700 1,647
*General Communications, Inc. Class A................. 11,300 54,381
*General Datacomm Industries, Inc..................... 5,000 19,687
General Employment Enterprises, Inc................... 1,000 3,500
*General Magic, Inc................................... 10,300 27,198
*General Semiconductor, Inc........................... 7,500 118,125
*Genesco, Inc......................................... 5,500 84,906
*Genesee & Wyoming, Inc............................... 900 16,481
Genesis Worldwide, Inc................................ 500 500
*Genlyte Group, Inc................................... 2,700 54,928
*Genome Therapeutics Corp............................. 5,200 80,762
*Genrad, Inc.......................................... 7,500 54,844
*Gensym Corp.......................................... 1,600 5,825
Gentek, Inc........................................... 4,400 59,400
*Gentiva Health Services.............................. 850 7,411
*Genus, Inc........................................... 4,700 25,850
*Genzyme Transgenics Corp............................. 7,100 131,572
Georgia Gulf Corp..................................... 6,200 155,000
*Geoworks............................................. 4,500 48,516
*Gerald Stevens, Inc.................................. 9,700 19,097
*Gerber Childrenswear, Inc............................ 1,600 8,400
Gerber Scientific, Inc................................ 5,600 67,200
</TABLE>
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*Geron Corp........................................... 5,400 $ 97,706
*Getty Petroleum Marketing, Inc....................... 1,400 5,075
Getty Realty Corp. (Holding Co.)...................... 2,700 30,206
*Giant Industries, Inc................................ 2,100 18,506
Gibraltar Steel Corp.................................. 1,200 19,012
*Giga Information Group, Inc.......................... 2,500 12,266
*Giga-Tronics, Inc.................................... 1,100 8,319
*G-III Apparel Group, Ltd............................. 1,300 6,012
*Gilead Sciences, Inc................................. 341 18,734
*Gilman & Ciocia, Inc................................. 1,900 10,153
*Gish Biomedical, Inc................................. 700 1,509
*GK Intelligent Systems, Inc.......................... 1,400 280
*Glacier Water Services, Inc.......................... 100 1,212
Glatfelter (P.H.) Co.................................. 6,300 74,419
*Glenayre Technologies, Inc........................... 12,400 101,912
*Gliatech, Inc........................................ 1,900 35,566
*Global Payment Technologies, Inc..................... 1,000 6,250
*Global Sources, Ltd.................................. 71 1,959
*Global Sports, Inc................................... 4,600 25,012
*Global Technologies, Ltd............................. 2,100 7,809
*Global Vacation Group, Inc........................... 700 1,794
*Globe Business Resources, Inc........................ 1,200 15,337
*Globecomm Systems, Inc............................... 2,900 31,628
Gold Banc Corp........................................ 7,600 42,987
Golden Enterprises, Inc............................... 2,400 7,500
*Golden State Vintners, Inc........................... 1,000 4,812
*Good Guys, Inc....................................... 4,100 11,019
*Goodrich Petroleum Corp.............................. 1,100 4,675
*Goodys Family Clothing............................... 6,600 36,094
Gorman-Rupp Co........................................ 2,100 36,619
*Gottschalks, Inc..................................... 3,100 15,694
*Government Technology Services, Inc.................. 2,300 6,972
*GP Strategies Corp................................... 2,700 10,294
Graco, Inc............................................ 5,100 163,519
*Gradco Systems, Inc.................................. 700 1,302
*Grand Union Co....................................... 400 337
Granite Construction, Inc............................. 6,800 177,225
Granite State Bankshares, Inc......................... 1,100 18,150
*Graphic Packaging International Corp................. 7,200 24,750
Gray Communications Systems, Inc...................... 700 7,919
*Great Plains Software................................ 1,400 58,362
Great Southern Bancorp, Inc........................... 1,000 16,812
Greater Bay Bancorp................................... 2,500 114,609
*Green Mountain Coffee, Inc........................... 500 9,000
Green Mountain Power Corp............................. 1,100 8,731
Greenbrier Companies, Inc............................. 3,100 23,637
*Grey Wolf, Inc....................................... 31,900 159,500
*Griffon Corp......................................... 7,100 43,044
*Group 1 Automotive, Inc.............................. 4,400 50,600
*Grow Biz International, Inc.......................... 300 1,462
*Grubb & Ellis Co..................................... 3,900 21,694
*GSV, Inc............................................. 1,900 950
*GT Interactive Software Corp......................... 20,600 43,131
*Gtech Holdings, Inc.................................. 5,100 112,519
*GTS Duratek, Inc..................................... 2,700 21,937
Guaranty Federal Bancshares, Inc...................... 800 7,975
*Guess, Inc........................................... 4,300 65,575
*Guest Supply, Inc.................................... 1,300 22,831
Guilford Mills, Inc................................... 3,800 24,937
*Guilford Pharmaceuticals, Inc........................ 5,900 82,231
*Guitar Center, Inc................................... 5,500 70,469
<CAPTION>
SHARES VALUE+
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*Gulf Island Fabrication, Inc......................... 2,900 $ 50,297
*Gulfmark Offshore, Inc............................... 2,000 43,125
*Gumtech International, Inc........................... 1,700 18,647
*Gundle/SLT Environmental, Inc........................ 1,200 3,750
*Gymboree Corp........................................ 6,100 17,061
*GZA Geoenvironmental Technologies, Inc............... 400 2,450
*Hadco Corp........................................... 1,400 123,550
*Haemonetics Corp..................................... 6,300 135,056
Haggar Corp........................................... 1,000 11,594
*Hagler Bailly, Inc................................... 2,700 4,894
*Hain Celestial Group, Inc............................ 6,256 184,371
*Hall Kinion Associates, Inc.......................... 3,200 81,800
Hallmark Capital Corp................................. 500 4,250
*Ha-Lo Industries, Inc................................ 22,400 124,600
*Hamilton Bancorp, Inc................................ 2,500 42,969
*Hammons (John Q.) Hotels, Inc. Class A............... 1,200 4,950
Hancock Fabrics, Inc.................................. 4,700 22,031
Hancock Holding Co.................................... 2,700 85,725
*Handleman Co......................................... 7,300 71,175
*Hanger Orthopedic Group, Inc......................... 4,100 19,731
*Hanover Direct, Inc.................................. 34,600 54,062
*Harbinger Corp....................................... 3,800 57,000
Harbor Florida Bancshares, Inc........................ 6,700 70,978
*Harding Lawson Associates Group, Inc................. 1,000 11,344
Hardinge Brothers, Inc................................ 1,400 13,519
*Harken Energy Corp................................... 1,000 750
Harland (John H.) Co.................................. 7,600 116,850
Harleysville Group, Inc............................... 2,800 47,425
Harleysville National Corp. PA........................ 1,500 44,484
Harman International Industries, Inc.................. 100 5,787
Harmon Industries, Inc................................ 2,200 29,425
*Harolds Stores, Inc.................................. 600 1,500
Harris Financial, Inc................................. 6,700 41,456
*Hartmarx Corp........................................ 5,800 13,050
*Harvard Industries, Inc.............................. 2,000 9,062
*Harvey Entertainment Co.............................. 800 2,450
*Hastings Entertainment, Inc.......................... 2,100 2,789
*Hauppauge Digital, Inc............................... 2,200 18,769
*Hauser, Inc.......................................... 500 687
Haven Bancorp, Inc.................................... 1,800 32,287
*Hawaiian Airlines, Inc............................... 4,100 10,250
*Hawk Corp............................................ 1,700 11,581
*Hawker Pacific Aerospace............................. 1,100 6,187
Hawkins Chemical, Inc................................. 2,200 17,325
*Hawthorne Financial Corp............................. 1,400 11,375
*Hayes Lemmerz International, Inc..................... 7,600 109,725
HCC Insurance Holdings, Inc........................... 12,300 209,869
*Headway Corporate Resources, Inc..................... 2,200 7,012
*Health Management Systems, Inc....................... 600 2,484
*Health Risk Management, Inc.......................... 1,200 6,975
*Health Systems Design Corp........................... 1,300 7,312
*HealthAxis, Inc...................................... 1,200 6,337
*Healthcare Recoveries, Inc........................... 2,200 7,666
*Healthcare Services Group, Inc....................... 600 2,700
*Healthcare.com Corp.................................. 5,400 13,837
*HealthGrades.com, Inc................................ 500 578
Healthplan Services Corp.............................. 3,400 8,287
*Heartland Express, Inc............................... 6,000 105,937
*Heartport, Inc....................................... 6,400 20,200
</TABLE>
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<TABLE>
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*Hearx, Ltd........................................... 2,200 $ 8,662
*Hecla Mining Co...................................... 4,200 4,462
*Hector Communications Corp........................... 500 6,375
*HEI, Inc............................................. 1,000 12,125
Heico Corp............................................ 1,600 21,000
Heilig-Meyers Co...................................... 7,500 12,656
Helix Technology Corp................................. 800 27,225
*Hello Direct, Inc.................................... 1,000 12,437
*Hemispherx Biopharma, Inc............................ 6,600 38,362
Henry Jack & Associates, Inc.......................... 4,000 173,875
Herbalife International, Inc. Class A................. 1,000 8,687
Heritage Financial Corp............................... 1,000 7,906
*Herley Industries, Inc............................... 900 14,569
*Heska Corp........................................... 6,500 13,203
*Hexcel Corp.......................................... 300 2,325
HF Financial Corp..................................... 400 3,462
*HI/FN, Inc........................................... 302 8,767
*Hibbett Sporting Goods, Inc.......................... 500 9,703
*Hickory Tech Corp.................................... 3,400 44,625
*High Plains Corp..................................... 3,200 7,200
*Highlands Insurance Group, Inc....................... 1,300 9,425
Hilb Rogal Hamilton Co................................ 3,200 100,200
*Hines Horticulture, Inc.............................. 4,300 28,622
*Hi-Shear Technology Corp............................. 1,700 3,400
*Hi-Tech Pharmacal, Inc............................... 900 3,502
HMN Financial, Inc.................................... 1,200 13,575
*HMT Technology Corp.................................. 6,900 11,859
*Hoenig Group, Inc.................................... 1,700 15,778
*Holiday RV Superstores, Inc.......................... 1,400 5,862
*Hollis-Eden Pharmaceuticals, Inc..................... 2,800 25,025
Holly Corp............................................ 1,700 17,000
*Hollywood Casino Corp. Class A....................... 5,200 26,325
*Hollywood Entertainment Corp......................... 11,500 79,242
*Hologic, Inc......................................... 3,800 21,850
*Holt's Cigar Holdings, Inc........................... 204 1,128
Home Federal Bancorp.................................. 900 14,794
*Home Products International, Inc..................... 1,800 7,762
*Homeland Holding Corp................................ 900 3,544
Hooper Holmes, Inc.................................... 11,600 118,900
Horace Mann Educators Corp............................ 5,200 88,400
Horizon Financial Corp................................ 500 4,672
*Horizon Medical Products, Inc........................ 1,600 3,400
*Horizon Offshore, Inc................................ 3,800 42,869
*Horizon Organic Holding Corp......................... 2,400 23,100
*Horizon Pharmacies, Inc.............................. 1,500 5,625
*Hot Topic, Inc....................................... 2,500 63,828
*Hotelworks.com, Inc.................................. 2,100 787
*HotJobs.com, Ltd..................................... 6,300 73,041
*Houston Exploration Co............................... 2,900 72,500
*Hovnanian Enterprises, Inc. Class A.................. 1,600 8,800
*HS Resources, Inc.................................... 4,700 157,744
HSB Group, Inc........................................ 2,900 84,281
*HTE, Inc............................................. 500 508
*Hub Group, Inc. Class A.............................. 700 8,859
Hudson River Bancorp, Inc............................. 3,300 32,278
*Hudson Technologies, Inc............................. 500 1,047
Hughes Supply, Inc.................................... 4,500 85,500
Hunt (J.B.) Transport Services, Inc................... 5,300 85,628
Hunt Corp............................................. 2,600 26,162
*Huntco, Inc. Class A................................. 1,100 3,369
*Hurco Companies, Inc................................. 1,200 5,250
Hussmann International, Inc........................... 10,300 297,412
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Hutchinson Technology, Inc........................... 6,200 $ 73,044
*Hycor Biomedical, Inc................................ 1,500 7,500
*Hypercom Corp........................................ 8,600 107,500
*HyperFeed Technologies, Inc.......................... 1,500 4,406
*Hyperion Solutions Corp.............................. 3,100 97,456
*Hyseq, Inc........................................... 3,100 71,784
Iberiabank Corp....................................... 1,300 19,419
*Ibis Technology Corp................................. 2,100 75,469
*ICT Group, Inc....................................... 1,200 8,437
*ICU Medical, Inc..................................... 1,600 30,050
*Identix, Inc......................................... 7,800 100,425
*IDEXX Laboratories, Inc.............................. 7,300 181,359
*IDG Books Worldwide, Inc............................. 2,900 26,009
*IDT Corp............................................. 4,800 156,450
*IDX Systems Corp..................................... 6,900 102,206
*IEC Electronics Corp................................. 1,500 2,859
*IFR Systems, Inc..................................... 1,200 6,862
*iGate Capital Corp................................... 2,500 38,984
*IGEN, Inc............................................ 3,900 51,797
*IGI, Inc............................................. 1,000 1,437
*Igo Corp............................................. 4,000 15,000
*IHOP Corp............................................ 4,000 70,500
*II-VI, Inc........................................... 1,300 49,969
*Ikos Systems, Inc.................................... 2,100 17,883
*Il Fornaio (America) Corp............................ 1,400 12,075
*ilife.com, Inc....................................... 1,300 2,641
*Image Entertainment, Inc............................. 3,300 13,097
*Imation Corp......................................... 1,000 28,312
*Imatron, Inc......................................... 20,100 41,770
*Imclone Systems, Inc................................. 900 63,787
IMCO Recycling, Inc................................... 3,000 20,062
*Immucor, Inc......................................... 2,000 16,062
*Immune Response Corp. DE............................. 6,500 43,773
*Immunogen, Inc....................................... 8,000 55,250
*Immunomedics, Inc.................................... 3,100 38,459
*Impath, Inc.......................................... 1,700 92,491
*Impco Technologies, Inc.............................. 1,300 37,294
*Imperial Credit Industries, Inc...................... 2,900 10,150
Imperial Sugar Co..................................... 3,200 4,400
*Impreso.com, Inc..................................... 500 2,047
*IMR Global Corp...................................... 9,600 158,700
*In Focus Systems, Inc................................ 5,800 161,856
*In Home Health, Inc.................................. 500 1,023
*Incyte Pharmaceuticals, Inc.......................... 1,100 58,059
Independence Community Bank Corp...................... 2,559 34,227
Independent Bank Corp. MA............................. 2,800 34,912
Independent Bank East................................. 2,200 28,737
*Indus International, Inc............................. 6,800 40,375
*Industrial Data Systems Corp......................... 800 900
*Industrial Distribution Group, Inc................... 400 950
*Industrial Holdings, Inc............................. 1,500 1,734
*Industri-Matematik International Corp................ 7,900 41,475
*Inference Corp. Class A.............................. 1,300 8,044
*Infinium Software, Inc............................... 3,100 9,978
*Infocure Corp........................................ 4,400 19,112
*Infonautics Corp. Class A............................ 600 2,456
*Information Architects Corp.......................... 7,100 49,478
*Information Management Associates, Inc............... 1,900 8,312
*Information Resource Engineering, Inc................ 1,100 15,744
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Information Resources, Inc........................... 1,700 $ 8,447
*Informix Corp........................................ 2,073 14,803
*infoUSA, Inc......................................... 12,500 62,891
*Ingenuus Corp........................................ 8,600 12,631
Ingles Market, Inc. Class A........................... 2,300 22,712
*Inhale Therapeutic Systems........................... 2,100 152,906
*Innerdyne, Inc....................................... 5,300 29,481
*Innotrac Corp........................................ 2,800 13,825
*Innovative Gaming Corp. of America................... 800 588
*Innoveda, Inc........................................ 3,200 14,300
Innovex, Inc.......................................... 3,700 31,797
*Inprise Corp......................................... 5,800 32,353
*Input/Output, Inc.................................... 3,100 24,413
*Insight Enterprises, Inc............................. 1,600 72,650
*Insignia Financial Group, Inc........................ 4,200 47,513
*Insite Vision, Inc................................... 5,100 20,081
*Insituform Technologies, Inc. Class A................ 2,400 83,025
*Inso Corp............................................ 2,000 7,063
*Inspire Insurance Solutions, Inc..................... 3,800 13,181
Insteel Industries, Inc............................... 1,600 9,200
*Insurance Auto Auctions, Inc......................... 2,300 44,634
*Integ, Inc........................................... 1,900 3,295
Integra Bank Corp..................................... 4,260 84,401
*Integra Lifesciences Corp............................ 4,100 28,956
*Integral Vision, Inc................................. 1,800 3,150
*IntegraMed America, Inc.............................. 1,000 3,125
*Integrated Measurement System, Inc................... 1,900 28,263
*Integrated Silicon Solution, Inc..................... 5,900 174,972
*INTELFILM Corp....................................... 1,200 3,150
*Intellidata Technologies Corp........................ 9,700 59,109
*Intelligroup, Inc.................................... 4,100 38,886
*Inter Parfums, Inc................................... 1,500 17,625
*InterCept Group, Inc................................. 2,600 44,281
Interchange Financial Services Corp................... 600 7,650
*InterDent, Inc....................................... 2,100 6,694
*Interdigital Communications Corp..................... 5,800 93,344
*Interface Systems, Inc............................... 1,200 8,438
Interface, Inc. Class A............................... 11,600 50,750
*Intergraph Corp...................................... 4,900 27,409
*Interlink Electronics................................ 3,250 70,484
*Interlinq Software Corp.............................. 400 1,125
*Interlogix, Inc...................................... 1,300 28,681
*Interlott Technologies, Inc.......................... 300 1,763
*Intermagnetics General Corp.......................... 3,300 37,538
Intermet Corp......................................... 6,300 43,411
*International Aircraft Investors..................... 1,000 5,125
*International FiberCom, Inc.......................... 7,600 109,013
*International Microcomputer Software, Inc............ 300 198
International Multifoods Corp......................... 4,700 65,506
*International Remote Imaging Systems, Inc............ 1,800 2,588
International Shipholding Corp........................ 600 4,575
*International Speciality Products, Inc............... 6,800 36,975
*International Speedway Corp. Class A................. 12 513
*International Total Services, Inc.................... 300 300
*Interneuron Pharmaceuticals, Inc..................... 6,100 9,436
*Interphase Corp...................................... 1,500 21,188
*Interplay Entertainment Corp......................... 5,300 9,441
Interpool, Inc........................................ 2,000 16,000
*Interpore International.............................. 3,400 25,978
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Interstate National Dealers Services, Inc............ 900 $ 4,894
*Intertan, Inc........................................ 6,000 63,375
Inter-Tel, Inc........................................ 6,600 93,019
*Intervoice, Inc...................................... 8,017 113,240
Interwest Bancorp..................................... 3,200 48,700
*Intest Corp.......................................... 2,100 30,581
*Intevac, Inc......................................... 2,300 7,188
*IntraNet Solutions, Inc.............................. 5,000 98,438
*Intuit, Inc.......................................... 869 31,474
Invacare Corp......................................... 5,700 141,075
*Inverness Medical Technology, Inc.................... 4,100 31,775
*Investment Technology Group, Inc..................... 1,600 54,000
Investors Financial Services Corp..................... 1,500 121,781
*Invision Technologies, Inc........................... 3,100 12,497
*Invivo Corp.......................................... 900 9,056
*Iomed, Inc........................................... 1,300 7,150
*Ion Networks, Inc.................................... 3,600 21,769
*Ionics, Inc.......................................... 3,200 92,000
*IRI International Corp............................... 8,200 73,288
*Iridex Corp.......................................... 1,000 8,500
*Iron Mountain, Inc................................... 1,870 68,255
Irwin Financial Corp.................................. 4,300 61,947
*Isco, Inc............................................ 500 2,242
*Isis Pharmaceuticals, Inc............................ 8,900 82,881
*Isle of Capri Casinos, Inc........................... 7,600 103,788
*Isolyser Co., Inc.................................... 10,300 36,372
*I-Stat Corp.......................................... 3,600 52,762
*ITC Learning Corp.................................... 800 1,975
*ITLA Capital Corp.................................... 700 9,144
*Itron, Inc........................................... 3,000 13,969
*ITT Educational Services, Inc........................ 6,100 101,413
*iTurf, Inc. Class A.................................. 100 347
*Ivex Packaging Corp.................................. 5,200 46,800
*IVI Checkmate Corp................................... 4,500 13,219
*J & J Snack Foods Corp............................... 1,800 26,831
*J. Alexander's Corp.................................. 1,700 6,588
*J. Jill Group, Inc................................... 2,000 12,313
*Jackpot Enterprises, Inc............................. 600 6,938
*Jaco Electronics, Inc................................ 300 4,884
*Jacobson Stores, Inc................................. 1,200 6,750
*Jakks Pacific, Inc................................... 3,800 55,219
*Jan Bell Marketing, Inc.............................. 2,000 4,375
*Jason, Inc........................................... 4,100 41,256
*JDA Software Group, Inc.............................. 6,100 94,741
Jefferies Group, Inc.................................. 5,500 111,031
Jefferson Savings Bancorp, Inc........................ 1,500 16,359
*JFAX.com, Inc........................................ 3,000 4,594
JLG Industries, Inc................................... 8,800 85,800
*JLK Direct Distribution, Inc. Class A................ 1,000 6,938
*JMAR Industries, Inc................................. 5,100 21,038
*Johnson Outdoors, Inc................................ 600 5,306
*Jones Lang LaSalle, Inc.............................. 7,500 115,781
*Jos. A. Bank Clothiers, Inc.......................... 1,300 5,891
*Journal Register Co.................................. 7,400 96,200
*JPM Co............................................... 1,500 7,734
*JPS Industries, Inc.................................. 1,800 6,722
*Judge.com, Inc....................................... 2,800 3,150
*Juno Lighting, Inc................................... 70 525
Justin Industries, Inc................................ 5,100 88,931
*JWGenesis Financial Corp............................. 2,150 17,738
K Swiss, Inc. Class A................................. 1,900 24,997
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*K2, Inc.............................................. 2,500 $ 17,656
*Kaiser Aluminum Corp................................. 7,900 35,056
*Kaiser Ventures, Inc................................. 2,100 27,169
Kaman Corp. Class A................................... 1,200 11,963
*Kaneb Services, Inc.................................. 6,300 30,713
Katy Industries, Inc.................................. 2,100 20,344
Kaye Group, Inc....................................... 800 5,400
*KBK Capital Corp..................................... 500 2,094
*KCS Energy, Inc...................................... 1,900 2,138
Kellwood Co........................................... 2,400 40,500
*Kendle International, Inc............................ 2,900 18,306
*Kennedy-Wilson, Inc.................................. 900 4,641
*Kensey Nash Corp..................................... 1,500 14,438
*Kent Electronics Corp................................ 5,600 155,400
*Keravision, Inc...................................... 1,000 5,281
*Key Energy Group, Inc................................ 9,900 107,663
*Key Production Co., Inc.............................. 2,300 36,944
*Key Technology, Inc.................................. 500 4,328
*Key Tronic Corp...................................... 1,500 4,078
*Keystone Automotive Industries, Inc.................. 3,800 27,847
*Keystone Consolidated Industries, Inc................ 1,000 3,875
*kforce.com, Inc...................................... 11,600 148,988
*KFX, Inc............................................. 6,100 10,675
Kimball International, Inc. Class B................... 5,500 88,859
*King Pharmaceuticals, Inc............................ 945 50,558
*Kinnard Investment, Inc.............................. 1,200 9,525
*Kirby Corp........................................... 4,900 108,413
Klamath First Bancorp, Inc............................ 700 7,831
Knape & Vogt Manufacturing Co......................... 400 6,063
*Knight Transportation, Inc........................... 3,000 45,656
*Koala Corp........................................... 1,300 18,688
Kollmorgen Corp....................................... 2,100 48,038
*Komag, Inc........................................... 14,800 30,988
*Kos Pharmaceuticals, Inc............................. 4,600 72,019
*Koss Corp............................................ 500 8,359
*Krauses Furniture, Inc............................... 4,400 5,500
*Kroll-O'Gara Co...................................... 4,400 23,513
*Kronos, Inc.......................................... 2,750 79,664
*K-Tel International, Inc............................. 2,400 4,425
*K-Tron International, Inc............................ 200 3,156
*Kulicke & Soffa Industries, Inc...................... 800 40,300
*Kushner-Locke Co..................................... 2,800 5,513
*K-V Pharmaceutical Co. Class A....................... 2,400 46,050
*K-V Pharmaceutical Co. Class B....................... 1,300 25,919
*KVH Industries, Inc.................................. 1,500 7,828
*La Jolla Pharmceutical Co............................ 6,100 21,159
*LaBarge, Inc......................................... 3,700 6,475
LabOne, Inc........................................... 2,900 14,953
*Labor Ready, Inc..................................... 10,700 100,313
*Laboratory Corp. of America Holdings, Inc............ 3,080 221,375
Laclede Gas Co........................................ 4,000 78,750
LaCrosse Footwear, Inc................................ 1,300 5,241
*Ladish Co., Inc...................................... 2,700 23,541
*Lakeland Industries, Inc............................. 200 1,275
*Lakes Gaming, Inc.................................... 2,100 17,259
*Lamson & Sessions Co................................. 3,400 27,200
Lance, Inc............................................ 7,200 70,200
*Lancer Corp.......................................... 2,300 8,338
*Landair Corp......................................... 600 2,456
Landamerica Financial Group, Inc...................... 3,400 62,688
<CAPTION>
SHARES VALUE+
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Landauer, Inc......................................... 200 $ 3,700
*Landec Corp.......................................... 3,200 16,400
Landrys Seafood Restaurants, Inc...................... 6,200 48,438
*Landstar Systems, Inc................................ 1,200 63,600
*Larscom, Inc......................................... 2,000 10,000
*Laser Pacific Media Corp............................. 1,500 5,555
*Laser Power Corp..................................... 1,700 3,719
*Laser Technology, Inc................................ 1,000 1,500
*Laser Vision Centers, Inc............................ 6,300 29,728
*Laserscope........................................... 2,500 2,930
*LaserSight Corporation............................... 2,100 10,697
*Lason, Inc........................................... 4,800 12,450
*Launch Media, Inc.................................... 200 1,744
Lawrence Savings Bank MA.............................. 500 3,609
Lawson Products, Inc.................................. 2,000 47,938
*Lazare Kaplan International, Inc..................... 800 7,000
La-Z-Boy, Inc......................................... 1,416 22,745
*LCA-Vision, Inc...................................... 10,236 28,469
*LCC International, Inc. Class A...................... 2,500 36,953
*Leapnet, Inc......................................... 4,102 13,139
*Learn2.com, Inc...................................... 12,700 24,408
*Learning Tree International, Inc..................... 4,300 226,825
*Lecroy Corp.......................................... 1,900 20,069
*Lectec Corp.......................................... 800 2,150
Lennox International, Inc............................. 1,340 15,745
Lesco, Inc............................................ 1,700 26,456
*Level 8 Systems, Inc................................. 3,341 65,463
Libbey, Inc........................................... 3,200 96,800
Liberty Bancorp, Inc.................................. 300 2,072
*Liberty Corp......................................... 2,500 87,813
*Life Financial Corp.................................. 1,300 5,119
*Lifecell Corp........................................ 3,400 20,081
*Lifecore Biomedical, Inc............................. 2,500 18,203
Lifetime Hoan Corp.................................... 1,200 9,975
*Ligand Pharmaceuticals, Inc. Class B................. 7,200 76,725
*Lightbridge, Inc..................................... 4,200 91,219
Lillian Vernon Corp................................... 800 7,800
Lilly Industry, Inc. Class A.......................... 4,500 64,969
Lindberg Corp......................................... 900 7,088
Lindsay Manufacturer Co............................... 3,100 58,125
*Lithia Motors, Inc. Class A.......................... 1,600 19,400
*Littlefuse, Inc...................................... 3,900 156,244
*LJL Biosystems, Inc.................................. 2,500 22,734
*LLEX Oncology, Inc................................... 5,400 134,831
*LLX Resorts, Inc..................................... 400 813
LNR Property Corp..................................... 5,100 98,813
*Lodgenet Entertainment Corp.......................... 2,400 56,025
*Loews Cineplex Entertainment Corp.................... 9,900 25,988
*Logic Devices, Inc................................... 1,700 3,984
*Logility, Inc........................................ 3,300 13,303
*Lojack Corp.......................................... 1,600 11,050
Lone Star Steakhouse Saloon........................... 8,300 87,928
*Lone Star Technologies, Inc.......................... 4,500 238,500
Longs Drug Stores Corp................................ 1,900 38,356
Longview Fibre Co..................................... 12,900 154,800
*Loronix Information Systems, Inc..................... 1,300 43,388
*Louis Dreyfus Natural Gas Corp....................... 1,200 38,550
*Lowrance Electronics, Inc............................ 500 2,063
*LSB Industries, Inc.................................. 700 569
LSI Industries, Inc................................... 2,000 34,313
LTV Corp.............................................. 5,000 13,125
*LTX Corp............................................. 1,300 34,166
</TABLE>
29
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<TABLE>
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Luby's Cafeterias, Inc................................ 1,500 $ 13,219
Lufkin Industries, Inc................................ 1,300 22,019
*Lumisy, Inc.......................................... 1,800 4,444
*Lunar Corp........................................... 2,100 23,231
*Lydall, Inc.......................................... 3,900 40,706
*Lynch Corp........................................... 300 9,263
*Lynch Interactive Corp............................... 200 21,000
*Lynx Therapeutics, Inc............................... 2,800 44,888
M.A. Hanna Co......................................... 11,300 132,069
*M.H. Meyerson & Co., Inc............................. 1,600 5,950
*Mace Security International, Inc..................... 4,300 8,331
*Mac-Gray Corp........................................ 1,200 3,675
*Mackie Designs, Inc.................................. 2,400 16,425
*Madden (Steven), Ltd................................. 2,400 38,325
*Made2Manage Systems, Inc............................. 700 4,506
Madison Gas & Electric Co............................. 3,200 60,100
MAF Bancorp, Inc...................................... 4,400 86,900
*Magainin Pharmaceuticals, Inc........................ 6,700 23,031
*Magellan Health Services, Inc........................ 3,700 7,863
*Magnetek, Inc........................................ 5,800 48,938
*Magnum Hunter Resources, Inc......................... 5,000 26,875
*Mail.com, Inc........................................ 1,271 7,050
*Mail-Well, Inc....................................... 9,800 91,875
*Main Street & Main, Inc.............................. 2,000 6,625
*Mallon Resources Corp................................ 2,000 15,281
*Manchester Equipment Co., Inc........................ 1,600 7,000
*Manhattan Associates, Inc............................ 4,900 92,947
Manitowoc Co., Inc.................................... 600 19,613
*Manugistic Group, Inc................................ 4,100 119,156
*Mapics, Inc.......................................... 4,400 22,344
*Mapinfo Corp......................................... 1,750 51,461
Marcus Corp........................................... 1,700 18,594
*Marine Drilling Companies, Inc....................... 700 20,125
*Marine Transport Corp................................ 2,000 5,250
*MarineMax, Inc....................................... 3,800 34,913
Maritrans, Inc........................................ 2,400 14,250
*Marketing Services, Inc.............................. 7,500 38,672
*MarkWest Hydrocarbon, Inc............................ 800 6,700
Marsh Supermarkets, Inc. Class B...................... 400 4,125
*Martek Biosciences Corp.............................. 3,500 64,859
MascoTech, Inc........................................ 11,200 144,200
Massbank Corp. Reading, MA............................ 300 8,869
*Material Sciences Corp............................... 3,800 40,850
*Matria Healthcare, Inc............................... 9,200 31,338
*Matritech, Inc....................................... 5,600 24,850
*Matrix Pharmaceutical, Inc........................... 5,700 49,519
*Matrix Service Co.................................... 2,200 10,725
Matthews International Corp. Class A.................. 2,700 68,006
*Mattson Technology, Inc.............................. 3,300 100,031
*Maverick Tube Corp................................... 4,400 154,688
*Max & Ermas Restaurants, Inc......................... 200 1,725
*Maxco, Inc........................................... 300 2,344
*Maxicare Health Plans, Inc........................... 1,700 2,763
*Maxim Pharmaceuticals, Inc........................... 1,200 46,163
*Maximus, Inc......................................... 5,300 109,975
*Maxtor Corp.......................................... 15,500 162,266
*Maxwell Shoe Company, Inc............................ 1,800 13,669
*Maxwell Technologies, Inc............................ 1,900 26,719
*Maxxam, Inc.......................................... 1,400 35,700
*Maynard Oil Co....................................... 900 15,075
*Mazel Stores, Inc.................................... 900 7,875
*McClain Industries, Inc.............................. 400 1,938
<CAPTION>
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McGrath Rent Corp..................................... 2,500 $ 39,219
*McMoran Exploration Co............................... 4,000 62,250
*McNaughton Apparel Group, Inc........................ 1,500 14,297
*McWhorter Technologies, Inc.......................... 2,500 48,906
MDC Holdings, Inc..................................... 4,700 90,769
*Meade Instruments Corp............................... 2,000 99,063
*Meadow Valley Corp................................... 300 1,144
Meadowbrook Insurance Group, Inc...................... 1,700 9,138
*Measurement Specialties, Inc......................... 500 12,750
MECH Financial, Inc................................... 900 31,078
*Mechanical Dynamics, Inc............................. 1,600 9,500
Medford Bancorp, Inc.................................. 1,600 23,900
*Media 100, Inc....................................... 2,200 38,913
*Media Arts Group, Inc................................ 2,600 10,075
*MediaBay, Inc........................................ 3,400 11,156
*Medialink Worldwide, Inc............................. 1,100 7,906
*Medical Action Industries, Inc....................... 900 3,572
*Medical Alliance, Inc................................ 1,200 4,650
*Medical Assurance, Inc............................... 5,850 66,544
*Medicalcontrol, Inc.................................. 200 1,250
*Medicis Pharmaceutical Corp. Class A................. 2,500 116,875
*Medimmune, Inc....................................... 165 25,632
*Medplus, Inc......................................... 1,200 6,188
*Medstone International, Inc.......................... 700 3,741
*MEDTOX Scientific, Inc............................... 600 5,175
*Memberworks, Inc..................................... 3,700 119,441
*MEMC Electronic Materials, Inc....................... 1,200 18,375
*Mens Warehouse, Inc.................................. 301 6,001
Mentor Corp. MN....................................... 6,100 146,781
*Mentor Graphics Corp................................. 8,000 136,750
*Mercator Software, Inc............................... 1,100 32,622
Merchants Bancshares, Inc............................. 400 7,900
Merchants New York Bancorp, Inc....................... 4,700 80,047
*Mercury Air Group, Inc............................... 1,700 8,075
*Mercury Computer Systems, Inc........................ 2,000 62,813
Meridian Diagnostics, Inc............................. 2,900 19,575
*Meridian Medical Technology, Inc..................... 500 4,313
*Meridian Resource Corp............................... 9,200 48,875
*Merisel, Inc......................................... 8,000 6,375
*MeriStar Hotels & Resorts, Inc....................... 7,500 21,563
*Merit Medical Systems, Inc........................... 1,900 9,381
*Merix Corp........................................... 1,600 44,050
*Mesa Air Group, Inc.................................. 6,800 40,694
*Mesa Labs, Inc....................................... 300 1,336
*Mesaba Holdings, Inc................................. 3,400 39,206
*Messagemedia, Inc.................................... 13,800 40,969
*Meta Group, Inc...................................... 2,000 49,688
*Metacreations Corp................................... 6,200 44,369
*Metal Management, Inc................................ 2,600 3,534
Metals USA, Inc....................................... 3,800 19,950
*Metamor Worldwide, Inc............................... 8,700 198,741
*Metatec Corp. Class A................................ 1,500 4,125
Methode Electronics, Inc. Class A..................... 3,400 121,975
Met-Pro Corp.......................................... 1,600 13,600
*Metricom, Inc........................................ 900 19,913
*Metro Information Services, Inc...................... 3,000 29,906
*Metro One Telecommunications, Inc.................... 2,300 22,928
*Metrocall, Inc....................................... 4,200 13,519
MetroCorp. Bancshares, Inc............................ 1,400 10,281
*Metrologic Instruments, Inc.......................... 500 7,813
*Metromedia International Group, Inc.................. 21,800 94,013
</TABLE>
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<TABLE>
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*Metropolitan Financial Corp.......................... 1,500 $ 6,188
Metrowest Bank MA..................................... 3,600 21,150
MFB Corp.............................................. 100 1,656
*MFRI, Inc............................................ 400 1,575
*MGI Pharma, Inc...................................... 3,800 83,125
MI Schottenstein Homes, Inc........................... 1,600 27,200
*Miami Computer Supply Corp........................... 3,000 60,750
Michael Foods, Inc.................................... 5,000 114,531
*Michaels Stores, Inc................................. 900 38,475
*Micro Component Technology, Inc...................... 1,900 10,747
*Micro Linear Corp.................................... 2,200 11,619
*Microage, Inc........................................ 4,200 1,995
*Microcide Pharmaceuticals, Inc....................... 2,200 16,431
MicroFinancial, Inc................................... 500 4,750
*Micrografx, Inc...................................... 2,800 9,188
*Micros Systems, Inc.................................. 3,100 97,941
*Micros to Mainframes, Inc............................ 1,200 7,125
*Microsemi Corp....................................... 3,400 73,631
*Microtest, Inc....................................... 2,100 15,619
*Micro-Therapeutics, Inc.............................. 2,500 13,828
*Microtouch Systems, Inc.............................. 800 7,075
*Microvision, Inc..................................... 2,100 56,306
*Microware Systems Corp............................... 3,800 11,163
*Microwave Power Dynamics, Inc........................ 2,700 13,289
Mid America Banccorp.................................. 2,336 54,604
*Mid Atlantic Medical Services, Inc................... 12,200 150,975
Midas, Inc............................................ 4,100 106,344
Midcoast Energy Resources, Inc........................ 3,100 49,600
*Middleby Corp........................................ 2,500 16,719
Middlesex Water Co.................................... 1,000 29,313
*Midway Airlines Corp................................. 900 5,344
*Midway Games, Inc.................................... 9,500 62,344
Midwest Banc Holdings, Inc............................ 1,100 15,091
*Midwest Express Holdings, Inc........................ 3,500 72,844
Mikasa, Inc........................................... 1,800 17,325
*Mikohn Gaming Corp................................... 700 4,441
Milacron, Inc......................................... 7,200 113,850
*Milestone Scientific, Inc............................ 1,800 2,700
*Millennium Pharmaceuticals, Inc...................... 1,288 107,669
*Miller Building Systems, Inc......................... 500 2,828
*Miller Industries, Inc............................... 11,700 27,056
*MIM Corp............................................. 4,700 8,666
*Mining Services International Corp................... 700 1,444
Minntech Corp......................................... 500 3,688
*Minolta-QMS, Inc..................................... 3,305 10,948
*MIPS Technologies, Inc............................... 3,300 83,119
*Miravant Medical Technologies........................ 4,500 55,547
Mississippi Chemical Corp............................. 1,300 7,556
Mississippi Valley Bancshares, Inc.................... 1,800 40,725
*Mitcham Industries, Inc.............................. 1,900 11,192
*Mity-Lite, Inc....................................... 1,000 13,688
*Mobile America Corp.................................. 700 1,838
*Mobile Mini, Inc..................................... 2,900 60,356
*Mobius Management Systems, Inc....................... 4,500 18,422
MOCON, Inc............................................ 1,600 9,075
*Modine Manufacturing Co.............................. 4,500 90,422
*Modtech Holdings, Inc................................ 2,600 28,031
*Molecular Biosystems, Inc............................ 1,200 825
*Molecular Devices Corp............................... 1,900 101,294
*Monaco Coach Corp.................................... 2,362 33,954
*Monarch Casino and Resort, Inc....................... 900 4,275
*Mondavi (Robert) Corp. Class A....................... 2,000 63,063
<CAPTION>
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*Monro Muffler Brake, Inc............................. 2,000 $ 16,688
Monterey Bay Bancorp, Inc............................. 300 2,672
*Monterey Pasta Co.................................... 2,600 10,238
*Moog, Inc. Class A................................... 700 14,963
*Moore Medical Corp................................... 300 2,625
Morgan Keegan, Inc.................................... 5,900 95,138
*Morgan's Foods, Inc.................................. 200 500
*Morrison Knudsen Corp................................ 5,200 40,300
Morrison Management Specialists, Inc.................. 2,640 71,775
*Morton's Restaurant Group, Inc....................... 1,100 20,213
*Mossimo, Inc......................................... 2,300 1,150
*Mother's Work, Inc................................... 200 2,113
*Motient Corp......................................... 6,700 60,509
*Motor Car Parts & Accessories, Inc................... 200 204
*Motor Cargo Industries, Inc.......................... 600 3,000
Movado Group, Inc..................................... 900 8,620
*Movie Gallery, Inc................................... 1,100 3,678
*MRV Communications, Inc.............................. 1,400 37,319
*MS Carriers, Inc..................................... 2,500 48,203
*MSC Industrial Direct Co., Inc. Class A.............. 3,400 78,413
*MSC Software Corp.................................... 3,500 30,188
*MTI Technology Corp.................................. 8,000 56,250
MTS Systems Corp...................................... 1,000 7,266
*Multiple Zones International, Inc.................... 2,700 11,348
*Musicland Stores Corp................................ 6,600 48,675
Myers Industries, Inc................................. 3,900 53,138
*Myriad Genetics, Inc................................. 1,100 86,247
*N & F Worldwide Corp................................. 1,000 5,125
*NABI, Inc............................................ 7,100 41,158
*Nanogen, Inc......................................... 4,800 119,100
*Nanometrics, Inc..................................... 1,800 44,213
*Nanophase Technologies Corp.......................... 3,400 25,606
*Napro Biotherapeutics, Inc........................... 5,700 32,419
Nash Finch Co......................................... 2,200 17,119
Nashua Corp........................................... 1,500 12,375
*Nastech Pharmaceutical Co., Inc...................... 1,300 5,098
*Nathans Famous, Inc.................................. 1,200 3,525
*National Beverage Corp............................... 1,500 12,750
National City Bancorp................................. 800 11,600
National Commerce Bancorp............................. 302 5,729
*National Dentex Corp................................. 700 11,047
*National Discount Brokers Group, Inc................. 4,200 105,000
*National Home Health Care Corp....................... 500 2,063
National Penn Bancshares, Inc......................... 3,500 76,781
*National Processing, Inc............................. 10,200 119,213
*National Record Mart, Inc............................ 800 1,288
*National Research Corp............................... 700 3,828
*National RV Holdings, Inc............................ 450 5,091
National Steel Corp. Class B.......................... 3,500 18,375
National Technical Systems, Inc....................... 1,700 5,313
*National Techteam, Inc............................... 2,600 8,694
*NationsRent, Inc..................................... 8,500 31,344
*Natrol, Inc.......................................... 500 2,102
*Natural Microsystems Corp............................ 1,300 83,728
*Natural Wonders, Inc................................. 400 450
Natures Sunshine Products, Inc........................ 4,300 32,788
*Nautica Enterprises, Inc............................. 6,900 85,172
*Navarre Corp......................................... 2,300 4,133
*Navigant Consulting, Inc............................. 10,400 48,100
*Navigant International, Inc.......................... 3,300 29,906
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Navigators Group, Inc................................ 500 $ 4,406
NBT Bancorp........................................... 3,700 37,000
*NBTY, Inc............................................ 8,100 129,347
NCH Corp.............................................. 500 20,000
*NCI Building Systems, Inc............................ 3,600 61,425
*NCO Group, Inc....................................... 5,032 119,982
*NCS Healthcare, Inc.................................. 1,600 1,450
*Neff Corp. Class A................................... 4,000 15,250
Nelson (Thomas), Inc.................................. 3,100 21,894
*Neogen Corp.......................................... 1,500 9,094
*Neopharm, Inc........................................ 1,900 26,956
*Neorx Corp........................................... 5,500 79,578
*Neose Technologies, Inc.............................. 3,400 94,988
*Neotherapeutics, Inc................................. 2,200 24,338
*Netguru, Inc......................................... 3,300 55,894
*Netmanage, Inc....................................... 16,000 43,750
*Netopia, Inc......................................... 4,100 136,453
*NetRadio Corp........................................ 1,000 2,656
*Netrix Corp.......................................... 7,900 86,653
*Netscout System, Inc................................. 3,500 41,672
*Netspeak Corp........................................ 2,300 22,784
*Network Computing Devices, Inc....................... 3,200 5,100
*Network Equipment Technologies, Inc.................. 5,400 57,713
*Network Peripherals, Inc............................. 4,000 71,125
*Neurocrine Biosciences, Inc.......................... 4,800 102,000
*Neurogen Corp........................................ 3,900 91,894
*New Brunswick Scientific Co., Inc.................... 1,210 6,353
New England Business Services, Inc.................... 2,700 39,825
*New Era of Networks, Inc............................. 3,100 66,166
*New Horizons Worldwide, Inc.......................... 1,475 25,720
New Jersey Resources Corp............................. 3,600 139,500
*New World Coffee - Manhattan Bagel................... 2,200 4,469
*Newcor, Inc.......................................... 400 850
Newmil Bancorp, Inc................................... 700 7,088
*Newpark Resources, Inc............................... 3,500 29,313
Newport Corp.......................................... 600 102,319
*Newsedge Corp........................................ 3,600 7,144
*Nexell Therapeutics, Inc............................. 16,800 58,013
*Nexthealth, Inc...................................... 1,400 3,938
*Niagara Corp......................................... 900 3,881
NL Industries, Inc.................................... 5,200 90,350
*NMT Medical, Inc..................................... 2,200 8,353
NN Ball & Roller, Inc................................. 3,000 26,578
*Nobel Learning Communities, Inc...................... 1,200 8,663
*Nobility Homes....................................... 900 4,556
*Noble International, Ltd............................. 1,400 12,600
*Noodle Kidoodle, Inc................................. 1,500 4,500
Nordson Corp.......................................... 1,600 77,850
*Norstan, Inc......................................... 1,000 4,938
*North American Scientific, Inc....................... 1,700 28,581
North Central Bancshares, Inc......................... 200 2,863
North Fork Bancorporation, Inc........................ 1,800 29,813
North Pittsburgh Systems, Inc......................... 2,700 33,834
Northeast Pennsylvania Financial Corp................. 1,400 13,825
Northern Technologies International................... 300 1,988
*Northfield Laboratories, Inc......................... 2,800 30,975
Northland Cranberries, Inc. Class A................... 4,600 18,256
Northrim Bank......................................... 700 5,972
Northwest Bancorp, Inc................................ 9,400 71,381
Northwest Natural Gas Co.............................. 5,000 109,375
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Northwest Pipe Co.................................... 1,300 $ 17,509
Northwestern Corp..................................... 5,800 134,850
*Novadigm, Inc........................................ 4,100 53,941
*Novamed Eyecare, Inc................................. 500 3,313
*Novametrix Medical Systems, Inc...................... 2,000 12,531
*Novavax, Inc......................................... 4,800 28,500
*Noven Pharmaceuticals, Inc........................... 4,300 80,356
*Novoste Corp......................................... 2,800 105,700
*NPC International, Inc............................... 4,500 41,766
*NPS Pharmaceuticals, Inc............................. 5,000 63,281
*NS Group, Inc........................................ 5,400 98,888
*Nstor Technology..................................... 5,700 16,388
*NTN Communications, Inc.............................. 6,700 15,913
*Nu Horizons Electronics Corp......................... 2,330 40,338
*Nucentrix Broadband Networks, Inc.................... 2,100 44,363
*NuCo2, Inc........................................... 1,100 6,325
*Nuevo Energy Co...................................... 4,400 84,975
NUI Corp.............................................. 3,200 89,600
*Number Nine Visual Technology Corp................... 700 53
*Numerex Corp. Class A................................ 2,700 24,891
*NuSkin Enterprises, Inc.............................. 200 1,325
*Nutraceutical International Corp..................... 1,400 5,053
*NYFIX, Inc........................................... 4,275 114,223
Nymagic, Inc.......................................... 1,600 22,500
*O.I. Corp............................................ 300 1,167
*Oak Technology, Inc.................................. 9,003 133,076
*Oakley, Inc.......................................... 8,100 78,469
Oakwood Homes Corp.................................... 9,400 27,025
*OAO Technology Solutions, Inc........................ 4,500 13,711
*Objective Systems Integrators, Inc................... 9,000 66,234
*Oceaneering International, Inc....................... 5,800 113,100
OceanFirst Financial Corp............................. 3,300 56,306
*O'Charleys, Inc...................................... 3,900 54,722
*Ocular Sciences, Inc................................. 5,700 78,197
*Ocwen Financial Corp................................. 17,900 102,925
*ODS Networks, Inc.................................... 4,700 68,444
*Odwalla, Inc......................................... 1,000 6,094
*Officemax, Inc....................................... 2,500 13,594
*Offshore Logistics, Inc.............................. 5,300 74,366
Ogden Corp............................................ 12,400 106,950
Oglebay Norton Co..................................... 1,000 20,875
Ohio Casualty Corp.................................... 2,500 29,922
Oil-Dri Corp. of America.............................. 400 3,875
*Old Dominion Freight Lines, Inc...................... 800 7,300
Olin Corp............................................. 4,400 68,750
*Olympic Steel, Inc................................... 1,000 4,344
Omega Financial Corp.................................. 1,700 39,259
*Omega Protein Corp................................... 2,400 6,750
*Omega Research, Inc.................................. 2,400 7,688
*Omega Worldwide, Inc................................. 2,500 10,313
*OMNI Energy Services Corp............................ 100 72
*Omni Nutraceuticals, Inc............................. 5,400 17,719
*Omtool, Ltd.......................................... 2,500 4,531
*On Assignment, Inc................................... 5,400 139,725
*On Command Corp...................................... 5,500 90,063
*On Technology Corp................................... 3,600 10,350
*One Price Clothing Stores, Inc....................... 900 2,138
Oneida, Ltd........................................... 3,300 62,906
Oneok, Inc............................................ 200 5,825
*Ontrack Data International, Inc...................... 1,000 7,406
*Onyx Acceptance Corp................................. 1,200 4,950
</TABLE>
32
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Onyx Pharmacueticals, Inc............................ 3,500 $ 24,281
*Open Market, Inc..................................... 8,800 93,225
*Opta Food Ingredients, Inc........................... 600 1,359
*Opti, Inc............................................ 2,200 8,800
*Optical Cable Corp................................... 3,800 90,606
*Optical Sensors, Inc................................. 1,800 1,125
*Optika Imaging Systems, Inc.......................... 1,900 12,053
*Option Care, Inc..................................... 2,300 15,022
*ORBIT/FR, Inc........................................ 1,500 4,219
*Orbital Sciences Corp................................ 9,400 115,150
Oregon Trail Financial Corp........................... 300 2,897
*O'Reilly Automotive, Inc............................. 6,800 92,013
*Organogenesis, Inc................................... 8,500 75,438
*Oriole Homes Corp. Class A Convertible............... 100 188
*Oriole Homes Corp. Class B........................... 200 325
*Oroamerica, Inc...................................... 600 4,369
*Orphan Medical, Inc.................................. 1,300 9,141
*OrthAlliance, Inc.................................... 3,300 19,491
*Orthodontic Centers of America, Inc.................. 9,600 220,200
*Orthologic Corp...................................... 6,800 31,450
Oshkosh B'Gosh, Inc. Class A.......................... 2,800 47,338
Oshkosh Truck Corp. Class B........................... 3,200 97,900
*Oshman's Sporting Goods, Inc......................... 600 1,875
*OSI Pharmaceutical, Inc.............................. 5,400 54,000
*OSI Systems, Inc..................................... 2,400 14,325
*Osicom Technologies, Inc............................. 2,200 93,088
*Osmonics, Inc........................................ 2,800 25,200
*Osteotech, Inc....................................... 2,800 25,069
*Ostex International, Inc............................. 2,500 4,922
Ottawa Financial Corp................................. 1,520 28,833
Otter Tail Power Co................................... 4,800 101,100
*Outlook Group Corp................................... 400 2,225
*Overland Data........................................ 2,500 20,391
Overseas Shipholding Group, Inc....................... 4,500 104,344
Owens & Minor, Inc.................................... 6,500 70,281
Oxford Industries, Inc................................ 1,500 23,156
*Oxigene, Inc......................................... 2,600 29,088
*Oxis International, Inc.............................. 2,000 3,250
*OYO Geospace Corp.................................... 1,100 17,600
*P.F. Chang's China Bistro, Inc....................... 2,000 64,313
*Pacific Aerospace and Electronics, Inc............... 4,300 5,442
Pacific Capital Bancorp............................... 3,000 80,625
*Pacific Gateway Exchange, Inc........................ 4,900 15,695
*Pacific Sunwear of California, Inc................... 1,000 16,063
*Packaged Ice, Inc.................................... 4,800 16,800
*Pagasus Systems, Inc................................. 2,000 27,938
*Paging Network, Inc.................................. 6,500 4,367
*Pairgain Technologies, Inc........................... 7,100 203,681
*Palm Harbor Homes, Inc............................... 2,600 40,300
*PAM Transportation Services, Inc..................... 900 7,650
Pamrapo Bancorp, Inc.................................. 200 3,963
*Panavision, Inc...................................... 500 3,625
*Panera Bread CO...................................... 2,100 17,850
*Panja, Inc........................................... 1,900 19,297
*Papa John's International, Inc....................... 1,500 37,500
*Par Technology Corp.................................. 1,600 6,100
Paragon Technologies, Inc............................. 400 2,600
*Parallel Petroleum Corp.............................. 1,800 4,894
*Paravant, Inc........................................ 3,500 9,789
Park Electrochemical Corp............................. 2,100 52,631
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Parker Drilling Co................................... 17,400 $ 105,488
Parker-Hannifin Corp.................................. 79 3,293
*Parkervision, Inc.................................... 2,400 72,450
*Park-Ohio Holdings Corp.............................. 2,200 18,563
Parkvale Financial Corp............................... 1,200 21,450
*Parlex Corp.......................................... 1,000 22,219
*Parlux Fragrances, Inc............................... 1,600 4,850
*Pathogenesis Corp.................................... 3,300 49,809
*Patient Infosy....................................... 1,600 1,250
Patina Oil & Gas Corp................................. 3,300 57,131
Patrick Industries, Inc............................... 1,100 7,219
Patriot Bank Corp..................................... 1,200 9,525
*Patterson Energy, Inc................................ 6,500 157,016
*Paul Harris Stores, Inc.............................. 2,200 5,913
*Paul-Son Gaming Corp................................. 300 900
*Paxar Corp........................................... 10,200 102,638
*Paxson Communications Corp........................... 13,400 103,850
*PBOC Holdings, Inc................................... 4,100 37,413
*PC Connection, Inc................................... 2,850 115,603
*PC Service Source, Inc............................... 500 563
*P-Com, Inc........................................... 12,900 94,734
*Peapod, Inc.......................................... 3,600 7,538
*Pediatrix Medical Group, Inc......................... 3,900 27,788
*Peerless Systems Corp................................ 1,400 3,325
*Pegasystems, Inc..................................... 7,200 43,425
Penford Corp.......................................... 1,500 26,953
*Penn National Gaming, Inc............................ 1,400 19,513
Penn Virginia Corp.................................... 1,800 40,163
*Pennaco Energy, Inc.................................. 3,800 57,950
Penn-America Group, Inc............................... 700 6,431
Pennfed Financial Services, Inc....................... 800 10,700
*Pentacon, Inc........................................ 1,300 2,397
Penton Media, Inc..................................... 3,800 106,400
*Penwest Pharmaceuticals Company...................... 2,800 32,375
Peoples Bancshares, Inc. Massachusetts................ 600 10,463
Pep Boys - Manny, Moe & Jack.......................... 1,600 11,400
*Perceptron, Inc...................................... 1,600 6,350
*Performance Food Group Co............................ 2,800 88,463
*Performance Technologies, Inc........................ 2,650 26,914
*Pericom Semiconductor Corp........................... 1,900 77,900
*Perini Corp.......................................... 1,400 4,025
Permanent Bancorp, Inc................................ 1,000 19,125
*Perrigo Co........................................... 16,300 99,328
*Perry Ellis International, Inc....................... 1,700 16,548
*Per-Se Technologies, Inc............................. 2,833 18,503
*Personnel Group of America, Inc...................... 3,200 12,800
*Pervasive Software, Inc.............................. 3,100 15,597
*Petco Animal Supplies, Inc........................... 4,200 79,669
*Petrocorp, Inc....................................... 800 5,650
*Petroglyph Energy, Inc............................... 600 1,219
*Petroleum Development Corp........................... 4,000 21,375
*PetSmart, Inc........................................ 22,300 66,552
PFF Bancorp, Inc...................................... 1,400 19,513
*Pharmaceutical Products Development Service Co....... 6,200 102,494
*Pharmaceutical Resources, Inc........................ 6,100 36,600
*Pharmacopeia, Inc.................................... 5,200 113,588
*Pharmacyclics........................................ 3,800 160,669
*Pharmanetics, Inc.................................... 1,500 23,438
*Pharmchem Laboratories, Inc.......................... 1,400 3,806
*Phar-Mor, Inc........................................ 2,400 4,050
</TABLE>
33
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Philadelphia Consolidated Holding Corp............... 2,500 $ 42,266
*Phillips (R.H.), Inc................................. 1,300 3,616
Phillips-Van Heusen Corp.............................. 4,400 38,225
*Phoenix International, Ltd........................... 1,700 3,267
Phoenix Investment Partners, Ltd...................... 4,400 36,850
*Phoenix Technologies, Ltd............................ 6,200 111,406
*Photoelectron Corp................................... 1,600 6,800
*Photon Dynamics, Inc................................. 500 30,141
*PhotoWorks, Inc...................................... 3,300 9,952
*Photronics, Inc...................................... 2,900 69,872
Piccadilly Cafeterias, Inc............................ 2,100 6,038
*Picturetel Corp...................................... 10,200 31,397
Pier 1 Imports, Inc. DE............................... 12,500 106,250
*Piercing Pagoda, Inc................................. 1,800 25,650
Pilgrim Pride Corp.................................... 4,900 39,200
Pilgrim's Pride Corp.................................. 900 5,344
Pillowtex Corp........................................ 2,900 13,775
*Pilot Network Services, Inc.......................... 3,700 36,884
*Pinnacle Entertainment, Inc.......................... 6,600 125,813
*Pinnacle Global Group, Inc........................... 700 2,581
*Pinnacle Systems, Inc................................ 1,300 31,078
*Pioneer Group, Inc................................... 5,300 221,109
*Pioneer Natural Resources Co......................... 700 10,456
Pioneer Standard Electronics, Inc..................... 5,400 64,631
Pitt-Des Moines, Inc.................................. 1,200 27,900
Pittston Brink's Group................................ 1,018 15,461
Pizza Inn, Inc........................................ 2,300 8,194
*PJ America, Inc...................................... 1,100 11,928
*Plains Resources, Inc................................ 3,500 53,375
*Planar Systems, Inc.................................. 2,100 20,278
*Platinum Entertainment, Inc.......................... 1,500 820
*Plato Learning, Inc.................................. 1,400 17,588
*Playboy Enterprises, Inc. Class A.................... 900 10,744
*Playboy Enterprises, Inc. Class B.................... 3,600 47,250
*Playtex Products, Inc................................ 100 1,163
*Plexus Corp.......................................... 1,600 133,650
*Pliant Systems, Inc.................................. 900 4,584
*PLM International, Inc............................... 700 5,206
PMR Corp.............................................. 800 2,775
*Point West Capital Corp.............................. 500 1,859
*Polymedica Industries, Inc........................... 2,600 69,225
Polymer Group, Inc.................................... 8,000 58,500
*Polyvision Corp...................................... 2,600 6,500
*Pomeroy Computer Resource, Inc....................... 2,400 35,175
Pope & Talbot, Inc.................................... 3,000 55,688
*Porta Systems Corp................................... 1,900 3,325
*Possis Medical, Inc.................................. 3,800 28,975
*Power Intergrations, Inc............................. 4,300 100,781
*Powercerv Corp....................................... 2,600 3,534
*Power-One, Inc....................................... 2,100 185,194
*Powerwave Technologies, Inc.......................... 4,900 265,366
*PPT Vision, Inc...................................... 1,100 5,088
Precision Castparts Corp.............................. 1,700 82,875
Premier Financial Bancorp............................. 1,300 9,709
*Premiumwear, Inc..................................... 200 2,631
*Pre-Paid Legal Services, Inc......................... 4,700 141,881
Presidential Life Corp................................ 3,000 44,156
*Presstek, Inc........................................ 5,500 104,844
*PRI Automation, Inc.................................. 1,200 61,688
*Price Communications Corp............................ 2,543 58,012
*Pricesmart, Inc...................................... 400 14,350
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Pride International, Inc............................. 2,500 $ 63,594
*Prima Energy Corp.................................... 2,150 89,763
*Primark Corp......................................... 5,000 130,000
*Prime Hospitality Corp............................... 4,700 40,538
*Prime Medical Services, Inc.......................... 4,100 32,159
Primex Technologies, Inc.............................. 2,100 40,622
*Primix Solutions, Inc................................ 2,900 14,953
*Primus Telecommunications Group, Inc................. 1,000 26,094
*Princeton Video Image, Inc........................... 2,000 12,594
*Printrak International, Inc.......................... 2,900 20,934
*Printronix, Inc...................................... 1,200 17,138
*Printware, Inc....................................... 300 844
*Priority Healthcare Corp............................. 1,900 97,375
*ProBusiness Services, Inc............................ 5,900 157,456
*Procom Technology, Inc............................... 2,300 57,572
Professional Bancorp, Inc............................. 200 700
*Professional Detailing, Inc.......................... 3,400 90,419
*Professionals Group, Inc............................. 1,800 29,869
*Progenics Pharmaceuticals, Inc....................... 2,400 24,975
*Programmers Paradise, Inc............................ 1,000 3,406
Progress Financial Corp............................... 1,415 16,803
*Progress Software Corp............................... 7,100 109,828
*Project Software & Development, Inc.................. 4,400 96,663
*Prophet 21, Inc...................................... 100 1,338
*Protein Design Labs, Inc............................. 700 74,659
*Protocol Systems, Inc................................ 2,000 31,063
*Provant, Inc......................................... 4,700 17,772
Provident Bancorp, Inc................................ 1,000 15,438
Provident Bankshares Corp............................. 5,300 77,347
*Provident Financial Holdings, Inc.................... 800 11,750
*Province Healthcare Co............................... 3,100 86,800
*Proxymed, Inc........................................ 3,600 4,838
*PRWW, Ltd............................................ 1,400 11,113
*PSC, Inc............................................. 1,200 5,438
*PSS World Medical, Inc............................... 6,500 54,844
*PSW Technologies, Inc................................ 1,900 18,406
Psychemedics Corp..................................... 4,300 20,425
*PTEK Holdings, Inc................................... 11,700 40,219
Public Service Co. of New Mexico...................... 10,000 166,875
Pulaski Financial Corp................................ 700 8,138
*Puma Technology, Inc................................. 2,200 48,469
*Pure Resources, Inc.................................. 3,441 51,615
*Pure World, Inc...................................... 1,700 5,259
PXRE Group, Ltd....................................... 2,200 32,725
*Qad, Inc............................................. 7,600 28,975
*QC Optics, Inc....................................... 600 788
*QRS Corp............................................. 2,900 79,659
*Quad Systems Corp.................................... 400 619
*QuadraMed Corp....................................... 5,000 11,328
Quaker Chemical Corp.................................. 2,200 36,438
*Quaker Fabric Corp................................... 3,100 16,953
*Quality Dining, Inc.................................. 3,100 10,172
Quality Systems, Inc.................................. 1,200 8,663
Quanex Corp........................................... 1,400 20,475
*Quantum Corp-Hard Disk Drive Group................... 177 1,670
Queens County Bancorp................................. 4,200 82,819
*Quest Educational Corporation........................ 2,700 25,523
*Questcor Pharmaceuticals, Inc........................ 4,900 6,431
*Quidel Corp.......................................... 4,900 30,778
*Quigley Corp......................................... 1,000 1,719
</TABLE>
34
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Quiksilver, Inc...................................... 4,400 $ 59,950
*Quintel Entertainment, Inc........................... 3,100 7,314
*Quipp, Inc........................................... 100 1,869
Quixote Corp.......................................... 1,600 22,800
*Quokka Sports, Inc................................... 8,900 39,772
*Quorum Health Group, Inc............................. 9,000 87,047
*R H Donnelley Corp................................... 7,400 136,900
*Racing Champions Corp................................ 3,100 5,086
*Radiance Medical Systems, Inc........................ 2,400 22,463
*Radiant Systems, Inc................................. 5,300 82,978
*Radiologix, Inc...................................... 3,900 15,844
*RadiSys Corp......................................... 211 8,288
*Railamerica, Inc..................................... 2,467 13,029
*RailWorks Corp....................................... 3,600 33,525
*Rainbow Rentals, Inc................................. 1,100 11,413
*Rainbow Technologies, Inc............................ 2,400 75,825
*Rainforest Cafe, Inc................................. 4,800 14,250
*Ralcorp Holdings, Inc................................ 7,600 96,900
Range Resources Corp.................................. 3,900 10,969
*Rare Hospitality International, Inc.................. 2,400 66,300
*Rare Medium Corp..................................... 1,800 24,581
Raven Industries, Inc................................. 500 6,813
*Rawlings Sporting Goods, Inc......................... 1,600 9,350
*Rayovac Corp......................................... 6,900 122,475
*Raytech Corp. DE..................................... 300 919
*Raytel Med Corp...................................... 1,700 4,250
*RCM Technologies, Inc................................ 700 5,622
*RDO Equipment Co. Class A............................ 1,100 6,188
*Read-Rite Corp....................................... 12,500 24,609
*Recoton Corp......................................... 2,300 19,047
*Redhook Ale Brewery, Inc............................. 700 1,214
Redwood Empire Bancorp................................ 700 13,344
*Reebok International, Ltd............................ 18,900 262,238
*Refac................................................ 300 956
Regal Beloit Corp..................................... 4,200 70,350
*Regeneron Pharmaceuticals, Inc....................... 5,400 109,688
*Regent Communications, Inc........................... 2,000 11,125
Regis Corp............................................ 10,200 122,400
*Rehabcare Group, Inc................................. 1,400 60,200
*Rehabilicare, Inc.................................... 2,100 5,447
*Reliability, Inc..................................... 1,300 5,281
Reliance Group Holdings, Inc.......................... 8,800 20,350
Reliance Steel and Aluminum Co........................ 5,500 115,156
Reliastar Financial Corp.............................. 250 12,875
*Relm Wireless Corp................................... 1,000 2,469
*Remec, Inc........................................... 5,100 173,081
*Remedy Corp.......................................... 700 29,159
*RemedyTemp, Inc...................................... 1,400 26,031
*Remington Oil & Gas Corp............................. 4,300 28,084
*Renaissance Worldwide, Inc........................... 11,400 25,294
*Rent-A-Center, Inc................................... 5,100 103,275
*Rentrak Corp......................................... 2,100 7,481
*Rent-Way, Inc........................................ 4,400 117,425
*Repligen Corp........................................ 5,600 25,375
*Reptron Electronics, Inc............................. 1,200 12,225
Republic Bancorp, Inc................................. 9,004 88,352
Republic Bancorp, Inc. Class A........................ 2,900 18,714
*Republic Bankshares, Inc............................. 2,100 20,606
*Republic First Bancorp, Inc.......................... 800 3,525
Republic Group, Inc................................... 1,100 10,175
Republic Security Financial Corp...................... 12,200 50,134
*Res-Care, Inc........................................ 4,900 37,669
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Research Partners International, Inc................. 1,700 $ 2,603
*ResMed, Inc.......................................... 2,600 62,400
*ResortQuest International, Inc....................... 3,800 18,050
Resource Bancshares Mortgage Group, Inc............... 206 991
*Respironics, Inc..................................... 6,600 106,013
*Response Oncology, Inc............................... 1,100 1,066
*Restoration Hardware, Inc............................ 1,700 10,758
*Revlon, Inc.......................................... 5,000 35,000
*Rex Stores Corp...................................... 600 12,675
*Rexx Environmental Corp.............................. 500 2,438
*RF Monolithics, Inc.................................. 1,200 10,913
*Ribozyme Pharmaceuticals............................. 3,000 37,219
Richardson Electronics, Ltd........................... 2,300 28,247
Richmond County Financial Corp........................ 5,800 108,569
Riggs National Corp................................... 2,100 30,581
*Right Management Consultants, Inc.................... 1,200 12,300
*Right Start, Inc..................................... 1,100 4,194
*Rimage Corp.......................................... 1,600 24,550
Riverview Bancorp, Inc................................ 400 3,538
Rivianna Foods, Inc................................... 2,800 46,638
*Riviera Holdings Corporation......................... 1,100 8,113
RLI Corp.............................................. 1,700 61,838
*RMH Teleservices, Inc................................ 1,700 10,625
*RMI.Net, Inc......................................... 3,600 10,631
*Roadhouse Grill, Inc................................. 1,900 10,688
Roadway Express, Inc.................................. 3,900 83,728
Roanoke Electric Steel Corp........................... 2,200 29,081
Robbins & Myers, Inc.................................. 2,100 45,413
*Robertson-Ceco Corp.................................. 1,600 18,300
*Robinson Nugent, Inc................................. 1,000 11,250
*Robotic Vision Systems, Inc.......................... 6,900 81,722
*Rochester Medical Corp............................... 1,100 9,625
*Rock of Ages Co...................................... 700 3,500
Rock-Tenn Co. Class A................................. 2,300 21,994
*Rofin-Sinar Technologies, Inc........................ 2,300 27,959
*Rogers Corp.......................................... 1,600 49,500
*Rogue Wave Software, Inc............................. 2,100 8,991
*Rohn Industries, Inc................................. 13,200 41,869
Rollins Truck Leasing Corp............................ 5,600 52,850
Rollins, Inc.......................................... 7,500 89,063
*Ross Systems, Inc.................................... 4,700 6,536
*Rottlund, Inc........................................ 500 1,156
Rouge Industries, Inc. Class A........................ 500 2,250
Rowe Furniture Corp................................... 2,600 11,375
*Royal Appliance Manufacturing Co..................... 3,500 21,438
Royal Bancshares of Pennsylvania Class A.............. 100 1,525
*Royal Energy, Inc.................................... 300 919
*Royal Gold, Inc...................................... 3,500 9,133
RPC, Inc.............................................. 6,500 69,063
*RSA Security, Inc.................................... 1,500 86,250
*RTI International Metals, Inc........................ 2,000 26,000
*RTW, Inc............................................. 2,500 10,078
*Rubio's Restaurants, Inc............................. 500 3,906
Ruby Tuesday, Inc..................................... 15,600 154,050
Ruddick Corp.......................................... 11,600 160,950
*Rural Cellular Corp. Class A......................... 300 20,306
*Rush Enterprises, Inc................................ 900 6,244
Russ Berrie & Co., Inc................................ 4,100 77,644
Russell Corp.......................................... 3,100 68,975
*RWD Technologies, Inc................................ 3,000 12,656
</TABLE>
35
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Ryans Family Steak Houses, Inc....................... 7,100 $ 64,344
Ryerson Tull, Inc..................................... 2,400 23,700
Ryland Group, Inc..................................... 1,300 28,844
*S&K Famous Brands, Inc............................... 900 6,188
S&T Bancorp, Inc...................................... 5,400 97,031
*S3, Inc.............................................. 4,924 78,664
*Sabratek Corp........................................ 600 32
*Safeguard Health Enterprises, Inc.................... 500 488
*Safety 1st, Inc...................................... 1,700 23,428
*Safety Components International, Inc................. 500 23
*Saga Communications, Inc. Class A.................... 2,900 59,813
*SAGA Systems, Inc.................................... 7,200 105,750
*Salton/Maxim Housewares, Inc......................... 2,200 69,713
*Sames Corp........................................... 200 3,400
*Samsonite Corp....................................... 3,200 15,300
*San Filippo (John B.) & Son, Inc..................... 1,100 3,850
*Sanchez Computer Associates, Inc..................... 5,000 84,375
Sanderson Farms, Inc.................................. 1,300 8,734
*Sandy Spring Bancorp, Inc............................ 1,900 41,503
*Sangstat Medical Corp................................ 3,500 93,625
*Santa Cruz Operation, Inc............................ 8,800 36,575
*Satcon Technology Corp............................... 2,500 40,156
*Saucony, Inc. Class A................................ 500 5,359
*Saucony, Inc. Class B................................ 700 7,000
Sauer, Inc............................................ 5,500 47,438
*Savoir Technology Group, Inc......................... 2,600 20,638
*SBE, Inc............................................. 600 11,231
*SBS Technologies, Inc................................ 1,300 42,250
*Scan-Optics, Inc..................................... 700 689
*ScanSoft, Inc........................................ 9,190 22,257
*ScanSource, Inc...................................... 1,100 30,456
*SCB Computer Technology, Inc......................... 2,900 6,163
*SCC Communications Corp.............................. 2,200 12,169
Schawk, Inc. Class A.................................. 4,500 35,719
*Scheid Vineyards, Inc................................ 200 763
*Schein (Henry), Inc.................................. 8,400 148,313
*Schein Pharmaceutical, Inc........................... 6,600 134,888
*Scherer Healthcare, Inc.............................. 400 1,488
*Schick Technologies, Inc............................. 500 938
*Schieb (Earl), Inc................................... 400 1,275
*Schmitt Industries, Inc.............................. 1,000 2,688
Schnitzer Steel Industries, Inc. Class A.............. 1,100 16,397
*Schuff Steel Company................................. 1,800 5,850
*Schuler Homes, Inc................................... 2,000 12,375
Schulman (A.), Inc.................................... 3,000 35,719
Schultz Sav-O Stores, Inc............................. 1,200 13,650
Schweitzer-Maudoit International, Inc................. 3,100 42,625
*Sciclone Pharmaceuticals, Inc........................ 6,200 52,216
*Scientific Games Holdings Corp....................... 2,400 57,900
*Scios-Nova, Inc...................................... 9,600 41,400
*SCM Microsystems, Inc................................ 1,300 89,944
*Scott Technologies, Inc.............................. 3,600 65,363
*SCP Pool Corp........................................ 2,300 77,769
SCPIE Holdings, Inc................................... 2,400 58,350
Seaboard Corp......................................... 250 46,000
*Seachange International, Inc......................... 1,950 50,334
*Seacor Smit, Inc..................................... 500 32,063
Seaway Food Town, Inc................................. 1,300 19,866
Second Bancorp, Inc................................... 1,900 29,331
*Secure Computing Corp................................ 6,000 69,188
*SED International Holdings, Inc...................... 1,400 4,506
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*SEEC, Inc............................................ 1,200 $ 5,456
*Segue Software, Inc.................................. 1,900 16,269
*Select Comfort Corp.................................. 2,000 7,594
Selective Insurance Group, Inc........................ 3,300 61,153
SEMCO Energy, Inc..................................... 3,500 46,813
*Semitool, Inc........................................ 5,600 79,275
*SEMX Corp............................................ 1,200 9,488
*Sensory Science Corp................................. 2,800 7,350
*Sequa Corp. Class A.................................. 1,400 66,763
*SeraCare, Inc........................................ 1,700 4,144
*Servotronics, Inc.................................... 200 750
*Shared Technologies Cellular, Inc.................... 1,800 2,813
*Sharper Image Corp................................... 2,400 26,925
*Shaw Group, Inc...................................... 3,100 135,238
*Sheffield Medical Technologies, Inc.................. 7,000 28,875
*Sheldahl, Inc........................................ 2,400 11,288
*Shiloh Industries, Inc............................... 1,300 13,325
*Shoe Carnival, Inc................................... 2,700 19,659
*Shoe Pavilion, Inc................................... 600 938
*Sholodge, Inc........................................ 500 2,031
*Shop At Home, Inc.................................... 7,100 29,953
*Shopko Stores, Inc................................... 7,600 139,650
Shoreline Financial Corp.............................. 500 6,750
*Shuffle Master, Inc.................................. 1,400 20,606
*SICOR, Inc........................................... 8,000 68,250
*Siebert Financial Corp............................... 5,700 42,394
*Sierra Health Services, Inc.......................... 6,800 28,475
*SierraCities.com, Inc................................ 3,800 15,259
*Sight Resource Corp.................................. 900 802
*Sigma Designs, Inc................................... 3,100 10,947
*Signal Technology Corp............................... 1,600 23,700
*Silgan Holdings, Inc................................. 700 6,606
*Silicon Storage Technology, Inc...................... 1,200 89,138
*Silicon Valley Bancshares............................ 3,400 111,669
*Silicon Valley Group, Inc............................ 4,000 106,375
*Simon Transportation Services, Inc................... 600 3,431
Simpson Industries, Inc............................... 3,600 31,725
*Simpson Manufacturing Co., Inc....................... 100 4,763
*Simula, Inc.......................................... 1,400 2,713
*Sipex Corp........................................... 5,500 120,484
*Sirius Satellite Radio, Inc.......................... 2,300 86,969
*Sitel Corp........................................... 15,200 88,350
*Sizzler International, Inc........................... 5,800 17,038
*Skyepharma P.L.C. ADR................................ 87 1,198
Skyline Corp.......................................... 500 10,313
*SkyMall, Inc......................................... 2,100 5,119
Skywest, Inc.......................................... 2,500 95,391
SL Industries, Inc.................................... 1,100 9,419
SLI, Inc.............................................. 8,600 111,800
*SMC Corp............................................. 500 1,984
Smith (A.O.) Corp..................................... 700 14,700
*Smith Micro Software, Inc............................ 3,200 21,600
Smucker (J.M.) Co. Class A............................ 2,800 49,525
Smucker (J.M.) Co. Class B............................ 2,900 48,756
*Socrates Technolgies Corp............................ 3,300 3,713
*Softech, Inc......................................... 1,600 1,750
*Softnet Systems, Inc................................. 6,700 71,397
*Software Spectrum, Inc............................... 500 7,234
*Sola International, Inc.............................. 6,200 31,000
*Somnus Medical Technologies, Inc..................... 2,900 8,519
*Sonic Automotive, Inc................................ 6,000 58,500
*Sonic Corp........................................... 3,700 102,328
</TABLE>
36
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Sonic Foundry, Inc................................... 1,700 $ 24,066
*Sonic Solutions...................................... 2,300 9,523
*Sonus Pharmaceuticals, Inc........................... 1,800 5,231
*SOS Staffing Services, Inc........................... 2,500 7,578
*Sound Advice, Inc.................................... 800 7,925
*Source Media, Inc.................................... 3,200 17,550
South Financial Group, Inc............................ 1,600 20,100
South Jersey Industries, Inc.......................... 2,300 59,944
*Southern Union Co.................................... 3,573 61,634
*Southwall Technologies, Inc.......................... 1,500 12,516
Southwest Bancorp, Inc................................ 1,000 16,563
*Southwest Bancorporation of Texas, Inc............... 7,000 138,906
Southwest Securities Group, Inc....................... 3,000 87,000
Southwest Water Co.................................... 1,100 14,506
Southwestern Energy Co................................ 6,200 57,350
*Spacelabs Medical, Inc............................... 1,900 21,553
Span-American Medical System, Inc..................... 200 728
*SPAR Group, Inc...................................... 1,000 2,563
Spartan Motors, Inc................................... 1,200 5,325
*Sparton Corp......................................... 700 2,888
*Spatial Technology, Inc.............................. 2,300 8,050
*Special Metals Corp.................................. 2,400 5,625
*Specialty Equipment Co., Inc......................... 3,800 80,275
*SpectraLink Corp..................................... 4,700 70,647
*Spectranetics Corp................................... 5,800 27,006
*Spectra-Physics Laser, Inc........................... 1,400 55,125
*Spectrian Corp....................................... 2,300 34,788
*Spectrum Control, Inc................................ 2,200 21,863
*SpectRx, Inc......................................... 1,600 17,300
*SpeedFam-IPEC, Inc................................... 7,352 96,725
*Speizman Industries, Inc............................. 300 1,088
*Spire Corp........................................... 300 1,406
*Splash Technology Holdings, Inc...................... 2,800 22,138
*Sport Chalet, Inc.................................... 600 2,925
*Sport Supply Group, Inc.............................. 1,800 8,550
*Sport-Haley, Inc..................................... 300 1,289
*Sports Club Co., Inc................................. 3,500 11,813
*SportsLine USA, Inc.................................. 5,900 67,850
*Sportsman's Guide, Inc............................... 900 2,644
Springs Industries, Inc. Class A...................... 2,100 99,750
*SPS Technologies, Inc................................ 2,500 87,813
*SPSS, Inc............................................ 1,900 47,500
*Spyglass, Inc........................................ 2,000 62,063
*SRS Labs, Inc........................................ 2,300 21,419
*SS&C Technologies, Inc............................... 3,100 14,192
*SSE Telecom, Inc..................................... 1,200 3,300
St. Francis Capital Corp.............................. 1,000 13,781
St. Joseph Light & Power Co........................... 1,700 35,806
St. Mary Land & Exploration Co........................ 3,400 122,506
*Staar Surgical Co.................................... 2,900 39,603
*Staff Leasing, Inc................................... 4,300 15,386
*Staffmark, Inc....................................... 7,300 36,044
Standard Commercial Corp.............................. 3,200 10,000
*Standard Management Corp............................. 1,600 5,450
*Standard Microsystems Corp........................... 3,100 40,397
Standard Motor Products, Inc. Class A................. 2,600 25,188
Standard Pacific Corp. DE............................. 5,700 64,838
Standard Register Co.................................. 2,300 31,194
Standex International Corp............................ 2,500 42,031
*Stanley Furniture, Inc............................... 1,400 31,631
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Star Buffet, Inc..................................... 200 $ 531
*STAR Telecommunications, Inc......................... 5,800 12,144
*Starmet Corp......................................... 1,000 2,844
Starrett (L.S.) Co. Class A........................... 500 10,156
*Startec Global Communications Corp................... 2,000 23,063
*StarTek, Inc......................................... 1,700 107,738
*Starter Corp......................................... 800 4
State Financial Services Corp. Class A................ 1,800 18,281
Staten Island Bancorp, Inc............................ 1,800 30,488
*Station Casinos, Inc................................. 2,800 75,950
*Steel Dynamics, Inc.................................. 9,000 84,094
Steel Technologies, Inc............................... 1,000 7,469
*Stein Mart, Inc...................................... 6,600 51,356
*Steinway Musical Instruments, Inc.................... 2,100 36,488
*Stemcells, Inc....................................... 4,900 12,480
Stepan Co............................................. 600 13,125
*Stericycle, Inc...................................... 3,000 61,031
*Sterile Recoveries, Inc.............................. 1,100 7,356
Sterling Bancorp...................................... 1,600 25,400
Sterling Bancshares................................... 5,200 58,013
*Sterling Financial Corp. WA.......................... 1,600 16,550
Stewart & Stevenson Services, Inc..................... 2,700 37,631
Stewart Enterprises, Inc.............................. 6,700 27,009
Stifel Financial Corp................................. 1,500 14,250
*STM Wireless, Inc. Class A........................... 1,400 6,213
Stone & Webster, Inc.................................. 2,800 2,713
*Stone Energy Corp.................................... 500 30,781
*Stoneridge, Inc...................................... 4,400 49,500
*Storage Computer Corp................................ 2,400 16,800
*Strategic Diagnostics, Inc........................... 3,300 19,697
*Strategic Distribution, Inc.......................... 3,000 6,375
*Stratesec, Inc....................................... 1,700 4,250
*Strattec Security Corp............................... 900 31,219
*Stratus Properties, Inc.............................. 2,700 12,488
Strayer Ed, Inc....................................... 3,100 77,016
Stride Rite Corp...................................... 700 4,594
*Strouds, Inc......................................... 700 1,455
*Structural Dynamics Research Corp.................... 7,100 80,541
Sturm Ruger & Co., Inc................................ 5,500 55,000
*Styleclick.com, Inc.................................. 1,500 15,609
*Suburban Lodges of America, Inc...................... 1,100 6,188
*Success Bancshares, Inc.............................. 100 1,025
*Successories, Inc.................................... 600 1,144
*Summa Industries, Inc................................ 500 5,453
*Summit Technology, Inc............................... 9,300 172,370
*Sunair Electronics, Inc.............................. 400 1,050
*Sunbeam Corp......................................... 26,500 82,813
*Sunburst Hospitality Corp............................ 3,800 16,863
*Sunglass Hut International, Inc...................... 11,300 67,977
*Sunquest Information Systems, Inc.................... 3,100 23,250
*Sunrise Assisted Living, Inc......................... 5,400 98,381
*Sunrise Resources, Inc............................... 700 3,445
*Sunrise Technologies International, Inc.............. 9,200 80,213
*SunSource, Inc....................................... 1,300 5,850
*Superconductor Technologies, Inc..................... 2,800 39,375
*Supergen, Inc........................................ 2,300 54,122
*Superior Consultant Holdings Corp.................... 2,100 16,439
*Superior Energy Services, Inc........................ 12,000 121,500
*Superior National Insurance Group, Inc............... 1,000 90
</TABLE>
37
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Superior Surgical Manufacturing Co., Inc.............. 700 $ 6,038
Superior Telecom, Inc................................. 5,000 54,375
*Supertex, Inc........................................ 2,400 68,175
*Suprema Specialties, Inc............................. 1,100 9,763
*Supreme Industries, Inc.............................. 1,816 9,194
*SurModics, Inc....................................... 1,600 37,900
Susquehanna Bancshares, Inc........................... 7,800 106,519
*SVI Holdings, Inc.................................... 8,100 62,269
*Swift Energy Corp.................................... 4,400 113,025
*Swiss Army Brands, Inc............................... 700 3,697
*Sybron Chemicals, Inc................................ 1,600 31,600
*Sylvan, Inc.......................................... 1,100 10,794
*Symix Systems, Inc................................... 1,500 15,047
*Symmetricom, Inc..................................... 3,000 45,000
*Symphonix Devices, Inc............................... 2,400 8,700
Synalloy Corp. DE..................................... 1,300 9,750
*Synaptic Pharmaceutical Corp......................... 2,200 10,450
*Synbiotics Corp...................................... 1,800 4,050
*Sync Research, Inc................................... 700 2,319
*Syncor International Corp. DE........................ 2,300 113,706
*Syntel, Inc.......................................... 7,700 93,603
*Syntellect, Inc...................................... 2,400 11,700
*Synthetech, Inc...................................... 2,900 9,425
*Syntroleum Corp...................................... 5,400 96,694
*System Software Associates, Inc...................... 350 17
*Systemax, Inc........................................ 4,800 32,700
*Systems & Computer Technology Corp................... 6,400 118,200
Tab Products Co....................................... 1,000 4,813
*Taco Cabana, Inc..................................... 2,300 14,734
*Tag-It Pacific, Inc.................................. 1,400 6,738
*Taitron Components, Inc.............................. 1,100 3,300
*Take Two Interactive Software........................ 4,700 42,447
*TALK.com, Inc........................................ 10,600 73,538
*TALX Corp............................................ 1,100 16,534
*Tandy Brand Accessories, Inc......................... 500 3,297
*Tandy Crafts, Inc.................................... 2,400 7,200
*Targeted Genetics Corp............................... 7,300 51,556
*Tarrant Apparel Group................................ 3,200 26,000
Tasty Baking Co....................................... 1,600 19,100
*TBA Entertainment Corp............................... 1,600 6,250
TCBY Enterprises, Inc................................. 1,700 8,500
*TCI International, Inc............................... 700 4,638
*TCSI Corp............................................ 4,500 8,156
*Team, Inc............................................ 1,600 3,900
*Techdyne, Inc........................................ 600 1,500
*Techne Corp.......................................... 1,400 111,956
*Technical Chemicals & Products, Inc.................. 1,200 956
*Technisource, Inc.................................... 2,100 8,597
Technitrol, Inc....................................... 1,700 117,300
Technology Research Corp.............................. 600 1,181
*Technology Solutions Corp............................ 8,800 42,213
*Tech-Sym Corp........................................ 500 10,938
*Tegal Corp........................................... 2,200 9,453
Tejon Ranch Co........................................ 2,500 56,875
*Tekelec.............................................. 4,400 144,925
*Telcom Semiconductor, Inc............................ 3,500 87,063
*Telescan, Inc........................................ 3,300 23,616
*Telescape International, Inc......................... 1,600 12,500
*TeleSpectrum Worldwide, Inc.......................... 7,800 34,125
*Teletouch Communications, Inc........................ 800 1,700
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Telular Corp......................................... 2,400 $ 20,475
*Telxon Corp.......................................... 3,300 51,356
Tennant Co............................................ 1,800 64,350
Tenneco Automotive, Inc............................... 6,800 49,725
*Terex Corp........................................... 5,500 87,656
Terra Industries, Inc................................. 7,500 15,938
*Terremark Worldwide, Inc............................. 9,200 18,400
*Tesoro Petroleum Corp................................ 6,500 66,625
*TESSCO Technologies, Inc............................. 900 15,244
*Tesseract Group, Inc................................. 400 125
*Tetra Tech, Inc...................................... 5,750 127,039
*Tetra Technologies, Inc.............................. 2,700 34,931
*Texas Biotechnology Corp............................. 7,900 76,531
Texas Industries, Inc................................. 4,200 120,488
Texas Regional Banchshares, Inc. Class A.............. 2,900 78,300
*TFC Enterprises, Inc................................. 1,100 2,303
*Thackeray Corp....................................... 500 1,531
*Theglobe.com, Inc.................................... 6,100 9,436
*Theragenics Corp..................................... 5,900 52,731
*Thermedics, Inc...................................... 8,300 70,031
*Thermo Cardiosystems, Inc............................ 8,100 79,481
*Thermo Ecotek Corp................................... 1,000 7,813
*Thermo Fibertek, Inc................................. 12,200 74,725
*Thermo Terratech, Inc................................ 1,900 14,250
Thermoretec Corp...................................... 800 5,600
*Thermotrex Corp...................................... 700 6,956
Thistle Group Holdings Co............................. 1,600 10,750
*Thomas Group, Inc.................................... 1,000 9,750
Thomas Industries, Inc................................ 3,200 64,000
Thor Industries, Inc.................................. 2,400 56,100
*Thoratec Laboratories Corp........................... 4,300 52,675
*T-HQ, Inc............................................ 3,650 35,245
*Three-Five Systems, Inc.............................. 2,199 137,987
*Tier Technologies, Inc. Class B...................... 2,000 10,063
*TII Industries, Inc.................................. 1,800 3,572
Timberland Bancorp, Inc............................... 500 4,641
Timberline Software Corp.............................. 2,600 20,069
*Tipperary Corp....................................... 3,600 10,350
*Titan Corp........................................... 1,783 63,965
Titan International, Inc.............................. 600 3,563
*Titan Pharmaceuticals, Inc........................... 3,100 78,663
Titanium Metals Corp.................................. 1,300 5,688
*TMBR/Sharp Drilling, Inc............................. 400 4,700
*T-Netix, Inc......................................... 2,500 12,344
*Todd Shipyards Corp.................................. 1,900 13,538
*Todd-AO Corp. Class A................................ 1,600 32,300
*Tofutti Brands, Inc.................................. 1,300 3,006
*Tokheim Corp......................................... 2,500 3,438
*Toll Brothers, Inc................................... 5,600 108,500
*Tollgrade Communications, Inc........................ 600 39,713
*Topps, Inc........................................... 9,200 96,888
*Toreador Royalty Corp................................ 500 2,719
Toro Co............................................... 2,600 81,900
*Total Entertainment Restaurant Corp.................. 500 1,188
*Total Renal Care Holdings, Inc....................... 5,900 23,231
*Tower Automotive, Inc................................ 4,700 65,213
*Towne Services, Inc.................................. 3,000 2,297
*Track Data Corp...................................... 12,500 14,648
*Tractor Supply Co.................................... 1,800 27,338
*Trammell Crow Co..................................... 7,400 92,963
*Trans World Airlines, Inc............................ 3,400 8,288
</TABLE>
38
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Trans World Entertainment Corp....................... 10,600 $ 105,834
*Transact Technologies, Inc........................... 1,100 11,138
*Transaction Systems Architects, Inc.................. 1,500 18,234
*Transcoastal Marine Services, Inc.................... 1,100 533
*Transkaryotic Therapies, Inc......................... 4,500 112,641
*Transmation, Inc..................................... 300 727
*Transmedia Network, Inc.............................. 2,700 8,269
*Transport Corp. of America........................... 1,700 10,306
*Transport Industries, Inc............................ 300 1,575
*Transportation Components, Inc....................... 1,700 3,294
Transtechnology Corp.................................. 1,200 10,350
*TransTexas Gas Corp.................................. 300 0
*Transworld Healthcare, Inc........................... 400 618
*Travelocity.com, Inc................................. 2,800 49,700
*Travis Boats & Motors, Inc........................... 900 4,669
*TRC Companies, Inc................................... 1,300 13,650
*TREEV, Inc........................................... 1,300 8,511
*Trega Biosciences, Inc............................... 3,900 10,603
*Trendwest Resorts, Inc............................... 3,400 78,306
Trenwick Group, Inc................................... 1,601 24,015
*Trex Medical Corp.................................... 6,400 12,000
*Triad Guaranty, Inc.................................. 2,700 50,034
*Triangle Pharmaceuticals, Inc........................ 7,500 47,813
*Triarc Companies, Inc. Class A....................... 3,900 80,925
Trico Bancshares...................................... 300 4,763
*Trico Marine Services, Inc........................... 5,700 55,397
*Trident Microsystems, Inc............................ 2,600 21,856
*Tridex Corp.......................................... 600 459
*Trimble Navigation, Ltd.............................. 4,600 203,838
*Trimeris, Inc........................................ 3,100 136,303
*TriPath Imaging, Inc................................. 5,602 27,572
*Triple S Plastics, Inc............................... 800 12,950
*Tripos, Inc.......................................... 700 11,200
*Triumph Group........................................ 1,700 47,600
*TRM Copy Centers Corp................................ 1,400 7,088
*Tropical Sportswear International Corp............... 300 6,881
*Troy Group, Inc...................................... 100 931
*Trump Hotels & Casino Resorts, Inc................... 5,500 15,125
Trust Co. of New Jersey............................... 3,900 71,297
Trustco Bank Corp. NY................................. 10,600 129,519
*TSR, Inc............................................. 1,000 5,672
Tucker Anthony Sutro Corp............................. 5,600 95,900
*Tuesday Morning Corp................................. 7,800 81,413
*Tufco Technologies, Inc.............................. 400 4,025
*TurboChef Technologies, Inc.......................... 3,100 12,981
Tuscarora, Inc........................................ 1,900 24,106
Twin Disc, Inc........................................ 100 1,550
*Twinlab Corp......................................... 2,800 20,038
*Tyler Technologies, Inc.............................. 8,700 34,800
U.S. Bancorp, Inc..................................... 1,300 5,972
*U.S. Franchise Systems, Inc.......................... 3,400 18,381
*U.S. Plastic Lumber Corp............................. 6,300 28,547
*U.S. Vision, Inc..................................... 700 1,203
*Ubics, Inc........................................... 1,300 3,291
*Ucar International, Inc.............................. 5,900 72,275
UCBH Holdings, Inc.................................... 1,900 47,738
*UFP Technologies, Inc................................ 1,000 2,625
UGI Corp.............................................. 5,500 121,688
*Ugly Duckling Corp................................... 3,000 21,656
*UICI................................................. 1,500 7,313
*Ultimate Electronics, Inc............................ 2,000 49,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Ultimate Software Group, Inc......................... 3,200 $ 25,500
*Ultrak, Inc.......................................... 2,300 15,381
*Ultralife Batteries, Inc............................. 2,200 16,569
*Ultratech Stepper, Inc............................... 4,300 60,469
Umpqua Holdings Corp.................................. 800 6,625
Unico American Corp................................... 600 3,684
*UniComp, Inc......................................... 1,500 4,031
*Unidigital, Inc...................................... 1,200 2,700
*Unifab International, Inc............................ 1,400 10,238
*Unifi, Inc........................................... 9,700 123,675
Unifirst Corp......................................... 500 4,094
*Unify Corp........................................... 3,600 48,038
*Unique Mobility, Inc................................. 3,300 23,100
*Uniroyal Technology Corp............................. 4,900 78,094
Unisource Energy Corp................................. 6,500 99,938
*Unit Corp............................................ 6,800 89,675
United Community Financial Corp....................... 4,200 24,806
United Guardian, Inc.................................. 400 1,750
United Illuminating Co................................ 2,900 137,388
United Industrial Corp................................ 2,500 22,031
United National Bancorp............................... 3,200 58,800
*United Natural Foods, Inc............................ 3,700 56,078
*United Retail Group, Inc............................. 1,600 12,750
*United Security Bancorporation....................... 1,500 14,109
*United States Energy Corp............................ 1,800 5,175
United Wisconsin Services, Inc........................ 3,400 19,550
Unitil Corp........................................... 900 23,400
Unity Bancorp, Inc.................................... 700 2,953
*Universal American Financial Corp.................... 9,300 34,875
Universal Corporation................................. 2,400 55,650
*Universal Electronics, Inc........................... 2,700 59,316
Universal Forest Products, Inc........................ 4,000 52,625
*Universal Stainless & Alloy Products, Inc............ 300 2,063
*Uno Restaurant Corp.................................. 2,300 27,888
*Unova, Inc........................................... 5,500 75,969
*Urocor, Inc.......................................... 1,900 7,125
*Urologix, Inc........................................ 2,300 9,703
*URS Corp............................................. 100 1,313
*Ursus Telecom Corp................................... 1,400 12,031
*US Can Corp.......................................... 500 8,250
*US LEC Corp.......................................... 2,000 38,250
*US Oncology, Inc..................................... 12,300 58,809
*US Xpress Enterprises, Inc. Class A.................. 3,400 23,906
*USA Detergents, Inc.................................. 2,700 6,919
*USA Networks, Inc.................................... 4,644 87,801
*USA Truck, Inc....................................... 1,900 12,469
*USABancShares.com, Inc............................... 1,100 3,592
*USANA, Inc........................................... 2,000 8,938
USB Holding Co., Inc.................................. 3,360 42,000
*USData Corp.......................................... 2,500 12,109
*Usec, Inc............................................ 500 2,313
*Utah Medical, Inc.................................... 500 3,500
*UTI Energy Corp...................................... 3,600 153,900
*Utilx Corp........................................... 1,500 5,625
*V.I. Technologies, Inc............................... 3,900 28,275
*Vail Resorts, Inc.................................... 6,800 108,800
*Valence Technology, Inc.............................. 7,400 107,994
*Valentis, Inc........................................ 5,300 40,081
Valley National Bancorp............................... 8 229
*Valley National Gases, Inc........................... 899 4,496
Valmont Industries, Inc............................... 4,700 92,531
</TABLE>
39
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THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Value City Department Stores, Inc.................... 6,600 $ 65,588
*Valuevision International, Inc. Class A.............. 2,100 60,834
*Vans, Inc............................................ 2,700 42,188
*Varco International, Inc............................. 11,231 244,280
*Vari L Co., Inc...................................... 1,200 11,606
*Varian Medical Systems, Inc.......................... 2,100 86,756
*Variflex, Inc........................................ 500 2,891
*Vari-Lite International, Inc......................... 1,600 1,750
*VDI Media............................................ 1,800 12,094
Vector Group, Ltd..................................... 5,505 61,931
*Veeco Instruments, Inc............................... 1,300 58,541
*Ventana Medical Systems, Inc......................... 2,800 105,263
*Venture Catalyst, Inc................................ 1,000 3,844
*Veramark Technologies, Inc........................... 1,600 5,950
*Verdant Brands, Inc.................................. 500 695
*Verilink Corp........................................ 2,800 19,425
*Veritas DGC, Inc..................................... 5,200 143,650
*Verity, Inc.......................................... 200 6,769
*Vermont Pure Holdings, Ltd........................... 2,100 7,219
*Versar, Inc.......................................... 600 1,275
*Vertel Corp.......................................... 5,500 64,281
*Vertex Pharmaceuticals, Inc.......................... 800 59,075
Vesta Insurance Group, Inc............................ 3,800 22,563
*Vestcom International, Inc........................... 1,800 7,088
*Veterinary Centers of America, Inc................... 4,300 58,453
*Viasat, Inc.......................................... 2,100 81,244
*Viasoft, Inc......................................... 10,300 85,458
*Vical, Inc........................................... 3,900 73,247
*Vicorp Restaurants, Inc.............................. 800 15,075
*Vidamed, Inc......................................... 1,800 3,206
*Video Display Corp................................... 300 2,128
*Video Services Corp.................................. 1,300 4,063
Vintage Petroleum, Inc................................ 6,200 147,250
*Vion Pharmaceuticals, Inc............................ 4,100 28,188
*Virbac Corp.......................................... 2,200 5,638
Virginia Gas Co....................................... 1,100 2,922
*ViroPharma, Inc...................................... 3,000 33,656
*Virtualfund.Com, Inc................................. 3,200 6,350
*VisionAmerica, Inc................................... 1,100 722
*Vista Eyecare, Inc................................... 1,500 469
*VISTA Information Solutions, Inc..................... 5,000 10,938
*Visual Data Corp..................................... 1,700 5,977
Vital Signs, Inc...................................... 2,400 49,950
*Vitech America, Inc.................................. 1,550 9,252
*Vivus, Inc........................................... 6,400 37,000
*Vodavi Technology, Inc............................... 500 1,203
*Volt Information Sciences, Inc....................... 3,000 86,625
*V-ONE Corp........................................... 600 2,006
*Voxware, Inc......................................... 2,700 12,488
*VTEL Corp............................................ 4,900 17,609
*Vysis, Inc........................................... 2,000 15,688
Wabash National Corp.................................. 4,600 58,938
Wabtec Corp........................................... 594 6,683
*Wackenhut Corp. Class A.............................. 800 10,650
*Wackenhut Corrections Corp........................... 2,500 16,250
*Walker Interactive Systems, Inc...................... 2,900 9,198
*Wall Street Deli, Inc................................ 100 109
Wallace Computer Services, Inc........................ 8,100 81,000
Walter Industries, Inc................................ 10,000 108,125
Warnaco Group, Inc.................................... 9,900 66,825
*Warrantech Corp...................................... 800 700
Warren Bancorp, Inc................................... 1,400 10,544
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Warwick Community Bancorp, Inc........................ 600 $ 6,600
Washington Banking Co................................. 800 6,600
*Washington Homes, Inc................................ 1,600 8,600
Washington Savings Bank FSB........................... 400 1,275
Washington Trust Bancorp, Inc......................... 2,200 32,863
*Waste Connections, Inc............................... 4,300 83,313
Watsco, Inc. Class A.................................. 4,900 72,581
Watts Industries, Inc. Class A........................ 3,400 38,675
Wausau-Mosinee Paper Corp............................. 10,600 98,050
*Wavo Corp............................................ 5,700 6,502
WD-40 Co.............................................. 600 11,681
*Webb (Del) Corp...................................... 1,800 27,450
*Webco Industries, Inc................................ 700 2,756
*Webhire, Inc......................................... 2,900 7,794
*WebLink Wireless, Inc................................ 7,400 46,944
Weider Nutrition International, Inc................... 1,800 5,850
*Weirton Steel Corp................................... 8,300 37,869
Wellman, Inc.......................................... 6,200 122,063
Wells Fargo Company................................... 365 16,516
*Wells-Gardner Electronics Corp....................... 925 3,180
Werner Enterprises, Inc............................... 4,700 58,897
Wesbanco, Inc......................................... 4,000 93,750
*Wesley Jessen Vision Care, Inc....................... 3,700 136,669
West Coast Bancorp.................................... 1,200 13,050
*West Marine, Inc..................................... 3,400 27,519
West Pharmaceutical Services, Inc..................... 2,900 68,150
*West Teleservices Corp............................... 1,900 50,172
*Westaff, Inc......................................... 3,200 13,800
*Westcoast Hospitality Corp........................... 2,500 19,375
Westcorp, Inc......................................... 5,300 57,638
*Westell Technologies, Inc............................ 2,590 42,816
Westerfed Financial Corp.............................. 400 5,725
*Western Digital Corp................................. 4,100 19,219
Western Gas Resources, Inc............................ 6,400 145,200
*Weston (Roy F.), Inc. Class A........................ 700 2,209
*WFS Financial, Inc................................... 1,500 23,672
*White Electronics Designs Corp....................... 3,500 34,781
*Whitehall Jewellers, Inc............................. 4,150 53,950
*Whitman Education Group, Inc......................... 900 1,238
*WHX Corp............................................. 2,800 16,450
*Wickes Lumber Co..................................... 1,600 8,600
*Wild Oats Markets, Inc............................... 5,750 53,008
*William Lyon Homes................................... 5,200 33,150
*Williams Clayton Energy, Inc......................... 1,800 46,688
*Williams Controls, Inc............................... 1,900 3,147
*Williams Industries, Inc............................. 300 844
*Wilshire Oil Co. of Texas............................ 800 2,750
*Wilsons The Leather Experts, Inc..................... 3,300 51,563
*Wind River Systems, Inc.............................. 4,316 156,050
Winnebago Industries, Inc............................. 4,400 61,600
*Wire One Technologies, Inc........................... 800 4,875
*Wireless Telecom Group, Inc.......................... 3,400 8,075
*Wireless Xcessories Group............................ 1,000 1,297
*Wisconsin Central Transportation Corp................ 6,400 83,600
*Wiser Oil Co......................................... 1,800 5,400
*WLR Foods, Inc....................................... 500 2,313
*WMF Group, Ltd....................................... 2,100 18,342
*WMS Industries, Inc.................................. 6,100 75,488
Wolohan Lumber Co..................................... 500 5,594
Wolverine World Wide, Inc............................. 8,300 93,375
Woodhead Industries, Inc.............................. 2,300 37,159
</TABLE>
40
<PAGE>
THE TAX-MANAGED U.S. 6-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Woodward Governor Co.................................. 2,300 $ 56,134
*Workflow Management, Inc............................. 2,600 31,606
*Workgroup Technology Corp............................ 1,600 1,100
*World Acceptance Corp................................ 3,800 19,594
*World Access, Inc.................................... 4,500 47,109
World Fuel Services Corp.............................. 3,000 20,438
*Worldpages.com, Inc.................................. 8,800 61,600
*Worldtex, Inc........................................ 1,400 569
*WSI Industries, Inc.................................. 200 800
Wynns International, Inc.............................. 3,700 49,950
*Xceed, Inc........................................... 4,300 53,884
*Xetel Corp........................................... 1,900 3,325
*Xicor, Inc........................................... 4,200 28,481
*Xoma, Ltd............................................ 3,100 10,027
X-Rite, Inc........................................... 4,200 44,494
*Xtra Corp............................................ 2,400 108,150
Yardville National Bancorp............................ 1,300 13,691
*Yellow Corp.......................................... 5,000 82,031
York Financial Corp................................... 735 9,233
York Group, Inc....................................... 1,800 6,525
*Young Broadcasting, Inc. Class A..................... 2,400 55,425
*Youthstream Media Networks, Inc...................... 2,000 11,063
*Zamba Corporation.................................... 6,200 30,031
*Zap.com Corp......................................... 34 106
*Zapata Corp.......................................... 4,000 15,000
*Zaring National Corp................................. 400 1,338
*Zemex Corp........................................... 800 6,500
Zenith National Insurance Corp........................ 3,400 80,750
*Zevex International, Inc............................. 700 3,391
*ZixIt Corp........................................... 3,100 80,988
*Zoll Medical Corp.................................... 300 14,981
*Zoltek Companies, Inc................................ 3,700 24,628
*Zomax, Inc........................................... 2,000 35,563
*Zoran Corp........................................... 1,000 39,625
*Zygo Corp............................................ 2,300 75,469
*Zymetx, Inc.......................................... 1,400 2,931
------------
TOTAL COMMON STOCKS
(Cost $111,975,567).................................. 117,085,454
------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 3,900 $ 178
*Elan Corp. P.L.C. Contingent Payment Rights.......... 9,800 5,206
*Skyepharma P.L.C. Contingent Payment Rights.......... 1,100 0
*TransTexas Gas Corp. Warrants 06/30/02............... 3 0
*Westcorp, Inc. Rights 06/15/00....................... 5,300 1,159
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 6,543
------------
</TABLE>
<TABLE>
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holdings 12% (Senior Preferred)
(Cost $0)........................................... 1,600 808
<CAPTION>
------ ------
<S> <C> <C>
------------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (5.3%)
<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 $6,629,480) to be
repurchased at $6,532,079.
(Cost $6,531,000)................................... $ 6,531 6,531,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $118,506,567)++................................ $123,623,805
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $118,584,542.
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (26.7%)
COMMON STOCKS -- (26.7%)
Aichi Bank, Ltd....................................... 300 $ 20,618
Aisin Seiki Co., Ltd.................................. 4,000 49,036
Akita Bank, Ltd....................................... 8,000 27,119
Amada Co., Ltd........................................ 17,000 146,831
Amano Corp............................................ 6,000 50,429
*Aomori Bank, Ltd..................................... 11,000 50,977
*Ashikaga Bank, Ltd................................... 11,000 22,475
Autobacs Seven Co., Ltd............................... 2,300 67,072
Awa Bank, Ltd......................................... 15,000 71,465
*Bandai Co., Ltd...................................... 2,000 69,840
Bank of Iwate, Ltd.................................... 200 7,225
Bank of Kyoto, Ltd.................................... 20,000 103,831
Bank of Nagoya, Ltd................................... 12,000 70,100
Bank of Yokohama, Ltd................................. 26,000 111,075
Best Denki Co., Ltd................................... 4,000 24,778
Brother Industries, Ltd............................... 6,000 14,265
Canon Sales Co., Inc.................................. 9,000 129,139
Casio Computer Co., Ltd............................... 7,000 66,961
Chiba Bank, Ltd....................................... 52,000 226,013
Chiyoda Fire and Marine Insurance Co., Ltd............ 23,000 73,694
Chudenko Corp......................................... 4,000 57,915
Chugoku Bank, Ltd..................................... 12,000 105,763
Chuo Mitsui Trust and Banking Co., Ltd................ 20,100 80,829
Citizen Watch Co., Ltd................................ 19,000 163,223
Cosmo Oil Co., Ltd.................................... 37,000 51,544
Dai Nippon Pharmaceutical Co., Ltd.................... 8,000 85,071
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 24,000 78,012
Daicel Chemical Industries, Ltd....................... 25,000 73,833
Daido Steel Co., Ltd.................................. 25,000 52,705
Dai-Ichi Pharmaceutical Co., Ltd...................... 2,000 37,056
Daimaru, Inc.......................................... 18,000 51,321
Daio Paper Corp....................................... 6,000 46,362
Daishi Bank, Ltd...................................... 23,000 84,374
Daito Trust Construction Co., Ltd..................... 8,100 154,214
Daiwa Bank, Ltd....................................... 40,000 101,416
Daiwa House Industry Co., Ltd......................... 35,000 259,717
Daiwa Securities Co., Ltd............................. 17,000 206,826
Denki Kagaku Kogyo KK................................. 4,000 13,225
Dowa Fire & Marine Insurance Co., Ltd................. 19,000 46,585
Eighteenth Bank, Ltd.................................. 2,000 6,668
Ezaki Glico Co., Ltd.................................. 2,000 9,269
Fujikura, Ltd......................................... 22,000 104,611
Fukuoka City Bank, Ltd................................ 8,000 36,406
Fukuyama Transporting Co., Ltd........................ 17,000 102,939
Futaba Corp........................................... 3,000 111,725
Futaba Industrial Co., Ltd............................ 3,000 38,588
General Sekiyu KK..................................... 19,000 38,820
Gunma Bank, Ltd....................................... 31,000 168,999
*Hachijuni Bank, Ltd.................................. 35,000 224,286
Hankyu Department Stores, Inc......................... 11,000 54,247
Higo Bank, Ltd........................................ 12,000 44,356
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Hino Motors, Ltd..................................... 22,000 $ 58,639
Hiroshima Bank, Ltd................................... 37,000 138,825
Hitachi Cable, Ltd.................................... 22,000 198,189
Hitachi Construction Machinery Co., Ltd............... 3,000 12,928
Hitachi Maxell, Ltd................................... 1,000 24,425
Hitachi Metals, Ltd................................... 18,000 148,781
Hitachi, Ltd.......................................... 77,000 953,963
Hokkoku Bank, Ltd..................................... 21,000 82,693
Hokuetsu Paper Mills, Ltd............................. 3,000 23,376
*Hokuriku Bank, Ltd................................... 40,000 92,501
House Foods Corp...................................... 6,000 89,101
Hyakugo Bank, Ltd. (105th Bank)....................... 16,000 70,137
Hyakujishi Bank, Ltd.................................. 20,000 120,734
Inax Corp............................................. 16,000 91,386
*Ishikawajima-Harima Heavy Industries Co., Ltd........ 80,000 123,334
*Itochu Corp.......................................... 31,000 125,238
Itoham Foods, Inc..................................... 11,000 45,154
*Iyo Bank, Ltd........................................ 19,000 115,932
Izumiya Co., Ltd...................................... 5,000 32,737
Japan Airport Terminal Co., Ltd....................... 6,000 49,036
*Japan Energy Corp.................................... 67,000 62,224
Joyo Bank, Ltd........................................ 60,000 233,480
Juroku Bank, Ltd...................................... 21,000 93,420
Kagoshima Bank, Ltd................................... 12,000 41,681
Kajima Corp........................................... 21,000 52,268
Kamigumi Co., Ltd..................................... 18,000 86,092
Kandenko Co., Ltd..................................... 10,000 37,149
Kansai Paint Co., Ltd., Osaka......................... 3,000 7,439
Katokichi Co., Ltd.................................... 1,000 25,075
*Kawasaki Heavy Industries, Ltd....................... 85,000 111,307
Kinden Corp........................................... 15,000 81,495
Kissei Pharmaceutical Co., Ltd........................ 3,000 48,618
Kiyo Bank, Ltd........................................ 16,000 39,081
Koa Fire & Marine Insurance Co., Ltd.................. 17,000 46,102
*Kobe Steel, Ltd...................................... 169,000 119,285
Koito Manufacturing Co., Ltd.......................... 6,000 29,310
Kokuyo Co., Ltd....................................... 7,000 104,667
Komatsu, Ltd.......................................... 59,000 363,287
Komori Corp........................................... 5,000 78,802
Konica Corp........................................... 18,000 110,332
Kubota Corp........................................... 88,000 310,564
Kyushu Matsushita Electric Co., Ltd................... 3,000 33,991
*Lintec Corp.......................................... 2,000 19,745
Lion Corp............................................. 8,000 34,103
Makita Corp........................................... 8,000 76,006
*Marubeni Corp........................................ 43,000 114,214
Maruichi Steel Tube, Ltd.............................. 5,000 56,513
Matsushita Electric Industrial Co., Ltd............... 60,000 1,418,156
Michinoku Bank, Ltd................................... 9,000 54,330
Mitsubishi Gas Chemical Co., Inc...................... 30,000 77,734
Mitsubishi Heavy Industries, Ltd...................... 229,000 795,412
*Mitsubishi Materials Corp............................ 66,000 219,438
*Mitsubishi Motors Corp............................... 8,000 26,004
Mitsubishi Rayon Co. Ltd.............................. 20,000 52,751
</TABLE>
42
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Mori Seiki Co., Ltd................................... 6,000 $ 89,157
Musashino Bank, Ltd................................... 1,700 65,995
Mycal Corp............................................ 18,000 54,497
NHK Spring Co., Ltd................................... 16,000 58,249
*NKK Corp............................................. 231,000 148,029
NOK Corp.............................................. 2,000 10,439
NTN Corp.............................................. 27,000 88,266
Nanto Bank, Ltd....................................... 16,000 83,362
National House Industrial Co., Ltd.................... 11,000 63,032
Nichido Fire and Marine Insurance Co., Ltd............ 28,000 143,023
Nichirei Corp......................................... 19,000 55,760
Nippon Kayaku Co., Ltd................................ 11,000 52,510
Nippon Meat Packers, Inc., Osaka...................... 6,000 81,356
Nippon Mitsubishi Oil Company......................... 99,000 405,470
Nippon Sanso Corp..................................... 18,000 54,832
Nippon Sheet Glass Co., Ltd........................... 7,000 63,385
Nippon Shinpan Co., Ltd............................... 15,000 30,787
Nippon Shokubai Co., Ltd.............................. 11,000 50,569
Nishimatsu Construction Co., Ltd...................... 14,000 50,188
Nishi-Nippon Bank, Ltd................................ 27,000 106,320
*Nissan Motor Co., Ltd................................ 25,000 131,182
Nissei Sangyo Co., Ltd................................ 5,000 64,082
Nisshin Steel Co., Ltd................................ 57,000 59,819
Nisshinbo Industries, Inc............................. 16,000 72,812
*Nissho Iwai Corp..................................... 50,000 46,900
Noritz Corp........................................... 1,000 12,426
North Pacific Bank, Ltd............................... 18,000 91,943
Obayashi Corp......................................... 45,000 171,349
Okumura Corp.......................................... 14,000 42,257
Omron Corp............................................ 2,000 50,987
Onward Kashiyama Co., Ltd............................. 3,000 40,121
Pioneer Electronic Corp............................... 5,000 152,774
Q.P. Corp............................................. 9,000 69,626
*Rinnai Corp.......................................... 1,400 30,295
Ryosan Co., Ltd....................................... 2,000 41,514
Sakura Bank, Ltd...................................... 73,000 540,339
San In Godo Bank, Ltd................................. 11,000 57,618
Sanwa Shutter Corp.................................... 11,000 34,734
Sanyo Electric Co., Ltd............................... 112,000 827,973
*Sanyo Shinpan Finance Co., Ltd....................... 2,000 72,440
Sapporo Breweries, Ltd................................ 8,000 30,834
Seino Transportation Co., Ltd......................... 8,000 36,554
Sekisui Chemical Co., Ltd............................. 32,000 109,960
Sekisui House, Ltd.................................... 48,000 467,183
Shiga Bank, Ltd....................................... 14,000 63,060
*Shikoku Bank, Ltd.................................... 13,000 77,873
*Shima Seiki Manufacturing Co., Ltd................... 2,000 49,779
Shimachu Co., Ltd..................................... 3,000 50,095
Shimadzu Corp......................................... 11,000 56,801
Shimizu Corp.......................................... 18,000 42,628
*Shinko Securities Co., Ltd., Tokyo................... 21,000 86,399
Showa Shell Sekiyu KK................................. 23,000 94,414
Snow Brand Milk Products Co., Ltd..................... 20,000 100,302
Stanley Electric Co., Ltd............................. 7,000 59,810
Sumitomo Forestry Co., Ltd............................ 10,000 62,224
*Sumitomo Metal Industries, Ltd. Osaka................ 246,000 169,064
*Sumitomo Metal Mining Co., Ltd....................... 34,000 143,673
*Sumitomo Osaka Cement Co., Ltd....................... 4,000 15,603
Sumitomo Realty & Development Co., Ltd................ 27,000 100,302
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sumitomo Trust & Banking Co., Ltd..................... 18,000 $ 130,225
Suruga Bank, Ltd...................................... 4,000 68,874
*Suzuken Co., Ltd..................................... 800 28,679
Taiheiyo Cement Corp.................................. 55,000 82,238
Taisei Corp........................................... 57,000 78,347
*Takara Standard Co., Ltd............................. 1,000 4,133
Takashimaya Co., Ltd.................................. 10,000 90,086
Tanabe Seiyaku Co., Ltd............................... 13,000 87,773
Teikoku Oil Co., Ltd.................................. 20,000 59,438
Thermal Engineering Co., Ltd.......................... 1,000 5,554
*Toda Corp............................................ 19,000 74,112
Toho Bank, Ltd........................................ 11,000 41,885
Tokuyama Corp......................................... 10,000 56,559
Tokyo Style Co., Ltd.................................. 6,000 54,052
Toppan Printing Co., Ltd.............................. 47,000 498,481
Toray Industries, Inc................................. 36,000 137,079
Toshiba TEC Corp...................................... 17,000 64,732
Tostem Corp........................................... 5,000 82,424
Toto, Ltd............................................. 25,000 168,098
Toyo Seikan Kaisha, Ltd............................... 15,000 265,103
Toyo Suisan Kaisha, Ltd............................... 6,000 53,494
Toyo Trust & Banking Co., Ltd......................... 26,000 87,894
Toyobo Co., Ltd....................................... 46,000 74,762
Toyoda Machine Works, Ltd............................. 8,000 75,041
Toyota Tsusho Corp.................................... 17,000 56,996
UNY Co., Ltd.......................................... 11,000 135,667
*Victor Co. of Japan, Ltd............................. 15,000 88,182
Wacoal Corp........................................... 9,000 75,477
Yamagata Bank, Ltd.................................... 12,000 61,630
Yamaguchi Bank........................................ 11,000 72,635
Yamaha Corp........................................... 13,000 118,319
Yamatake-Honeywell Co., Ltd........................... 5,000 49,687
Yamazaki Baking Co., Ltd.............................. 13,000 120,130
*Yasuda Trust & Banking Co., Ltd...................... 85,000 104,992
Yodogawa Steel Works, Ltd............................. 5,000 12,538
Yokogawa Electric Corp................................ 14,000 117,019
Yokohama Rubber Co., Ltd.............................. 21,000 49,343
*Zexel Corp........................................... 19,000 25,057
-----------
TOTAL COMMON STOCKS
(Cost $19,822,053)................................... 21,390,742
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $5,014)....................................... 5,005
-----------
TOTAL -- JAPAN
(Cost $19,827,067)................................... 21,395,747
-----------
UNITED KINGDOM -- (18.7%)
COMMON STOCKS -- (18.7%)
*3I Group P.L.C....................................... 12,000 227,075
Abbey National P.L.C.................................. 66,200 880,153
Aggregate Industries P.L.C............................ 49,303 50,664
Alliance & Leicester P.L.C............................ 25,000 223,458
*Allied Domecq P.L.C.................................. 49,200 244,886
Allied Zurich P.L.C................................... 77,000 863,189
Antofagasta Holdings P.L.C............................ 8,200 40,876
Arjo Wiggins Appleton P.L.C........................... 38,700 145,914
Arriva P.L.C.......................................... 6,570 23,028
Associated British Foods P.L.C........................ 37,920 250,238
Associated British Ports Holdings P.L.C............... 13,900 60,355
BAA P.L.C............................................. 49,654 362,183
</TABLE>
43
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*BG Group P.L.C....................................... 171,000 $ 1,024,931
BPB P.L.C............................................. 21,700 120,009
Barratt Developments P.L.C............................ 9,000 31,075
*Bass P.L.C........................................... 17,600 192,302
Beazer Group P.L.C.................................... 3,000 5,672
Berkeley Group P.L.C.................................. 4,760 39,772
*Blue Circle Industries P.L.C......................... 25,000 158,999
*Bodycote International P.L.C......................... 4,120 12,686
Britannic P.L.C....................................... 8,900 121,654
British Airways P.L.C................................. 49,000 265,130
British Land Co. P.L.C................................ 25,300 151,264
British Vita P.L.C.................................... 10,300 39,720
*British-Borneo Petroleum Syndicate P.L.C............. 9,800 10,180
Brixton Estate P.L.C.................................. 9,700 31,172
Burford Holdings P.L.C................................ 4,000 5,949
CGU P.L.C............................................. 107,349 1,630,218
*Canary Wharf Group P.L.C............................. 33,000 176,337
Capital Shopping Centres P.L.C........................ 15,000 80,153
Caradon P.L.C......................................... 13,000 30,798
Carillion P.L.C....................................... 2,968 4,725
Chelsfield P.L.C...................................... 11,099 53,253
*Chorion P.L.C........................................ 1,168 755
Cookson Group P.L.C................................... 9,152 28,214
*Corus Group P.L.C.................................... 177,900 260,589
*Debenhams P.L.C...................................... 18,000 60,804
*Elementis P.L.C...................................... 10,194 12,342
Enterprise Oil P.L.C.................................. 3,000 21,389
Glynwed International P.L.C........................... 11,000 38,474
Great Universal Stores P.L.C.......................... 49,200 305,556
Halifax P.L.C......................................... 86,000 845,178
Hammerson P.L.C....................................... 14,100 86,830
Hanson P.L.C.......................................... 30,300 214,898
Hilton Group P.L.C.................................... 55,200 203,793
IMI P.L.C............................................. 10,000 40,805
Johnson Matthey P.L.C................................. 5,000 57,172
*LaPorte P.L.C........................................ 6,000 47,980
*Laporte P.L.C. Series B.............................. 48,000 717
Lasmo P.L.C........................................... 62,600 111,346
Lex Service P.L.C..................................... 5,600 34,737
Lonmin P.L.C.......................................... 4,392 40,701
Marks & Spencer P.L.C................................. 140,820 524,104
Millennium and Copthorne Hotels P.L.C................. 12,647 74,574
*Morgan Crucible Company P.L.C........................ 8,072 25,880
Morrison (Wm.) Supermarkets P.L.C..................... 10,019 21,939
*National Power P.L.C................................. 55,800 306,511
*Northern Foods P.L.C................................. 27,000 46,612
Northern Rock P.L.C................................... 20,000 97,156
Peninsular & Oriental Steam Navigation Co............. 30,214 316,578
Pilkington P.L.C...................................... 51,254 63,203
Pillar Property P.L.C................................. 1,700 7,928
Powergen P.L.C........................................ 31,000 203,877
RMC Group P.L.C....................................... 12,000 150,845
*Railtrack Group P.L.C................................ 23,356 293,246
Rank Group P.L.C...................................... 35,000 73,763
Rexam P.L.C........................................... 13,122 46,092
Rio Tinto P.L.C....................................... 16,511 243,582
Rolls-Royce P.L.C..................................... 77,662 285,560
Royal & Sun Alliance Insurance Group P.L.C............ 67,042 398,827
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Safeway P.L.C......................................... 48,849 $ 178,703
Sainsbury (J.) P.L.C.................................. 94,137 429,155
Scottish & Newcastle P.L.C............................ 30,500 263,501
Signet Group P.L.C.................................... 45,000 33,631
Slough Estates P.L.C.................................. 19,000 101,953
*Smith (David S.) Holdings P.L.C...................... 14,000 30,238
*Smith (W.H.) P.L.C................................... 12,000 69,055
*Stagecoach Holdings P.L.C............................ 77,000 69,055
Tate & Lyle P.L.C..................................... 18,400 68,894
Taylor Woodrow P.L.C.................................. 14,463 32,859
Thistle Hotels P.L.C.................................. 17,000 32,525
Trinity P.L.C......................................... 4,130 32,964
Unigate P.L.C......................................... 10,700 48,939
Weir Group P.L.C...................................... 3,000 9,282
Whitbread P.L.C....................................... 22,198 186,053
Wilson Bowden P.L.C................................... 4,000 35,664
*Wimpey (George) P.L.C................................ 7,900 13,166
*Wolseley P.L.C....................................... 28,000 142,086
-----------
TOTAL COMMON STOCKS
(Cost $16,152,063)................................... 14,928,298
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $28,580)...................................... 28,281
-----------
TOTAL -- UNITED KINGDOM
(Cost $16,180,643)................................... 14,956,579
-----------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
AGF (Assurances Generales de France SA)............... 12,600 636,848
*Air Liquide.......................................... 950 132,595
Banque Nationale de Paris............................. 3,900 349,932
*Bull SA.............................................. 10,200 87,027
Christian Dior SA..................................... 1,200 272,656
Colas SA.............................................. 400 73,747
*Credit Lyonnais SA................................... 1,200 51,237
De la Rue Imperiale de Lyon........................... 29 55,322
Eiffage SA............................................ 800 43,662
Eridania Beghin-Say SA................................ 1,600 145,936
Esso SA............................................... 500 29,190
*Euro Disney SCA...................................... 65,450 47,345
*Faurecia SA.......................................... 800 33,535
Fimalac SA............................................ 300 43,402
Fonciere Lyonnaise SA................................. 500 51,193
Fromageries Bel la Vache qui Rit...................... 100 63,713
GTM Entrepose......................................... 900 75,120
Generale des Establissements Michelin SA Series B..... 9,200 302,890
Groupe Danone......................................... 2,650 617,108
Imerys................................................ 1,100 135,679
LaFarge SA............................................ 5,850 450,300
*LaFarge SA Prime Fidelite 2002....................... 1,550 119,310
Labinal SA............................................ 400 49,041
Lapeyre SA............................................ 1,500 71,225
Pechiney SA Series A.................................. 1,700 69,527
Pernod-Ricard SA...................................... 3,300 172,914
Peugeot SA............................................ 3,200 652,892
Rallye SA............................................. 1,600 85,618
*Remy Cointreau SA.................................... 1,500 32,413
SEB SA................................................ 400 24,706
*SEB SA Prime Fidelite 2002........................... 300 18,530
</TABLE>
44
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Saint-Gobain.......................................... 6,100 $ 845,745
*Societe des Ciments de Francais...................... 2,300 116,250
Societe Generale, Paris............................... 29,200 1,674,908
Thomson-CSF........................................... 1,800 69,444
Usinor................................................ 16,600 198,594
Valeo SA.............................................. 5,600 282,005
-----------
TOTAL -- FRANCE
(Cost $8,396,291).................................... 8,181,559
-----------
GERMANY -- (8.3%)
COMMON STOCKS -- (8.3%)
AGIV AG fuer Industrie & Verkehrswesen................ 400 7,122
BASF AG............................................... 12,400 504,841
BHW Holding AG, Berlin................................ 7,300 126,600
*Bankgesellschaft Berlin AG........................... 7,350 114,175
Bayer AG.............................................. 14,200 547,835
Bayerische Motorenwerke AG............................ 2,600 76,195
Bayerische Vereinsbank AG............................. 6,000 381,719
Bilfinger & Berger Bau AG, Mannheim................... 300 4,465
Commerzbank AG........................................ 19,950 731,742
Continental AG........................................ 5,100 92,940
DBV Holding AG........................................ 400 13,911
DaimlerChrysler AG, Stuttgart......................... 16,200 892,421
Degussa-Huels AG...................................... 2,000 61,209
*Deutsche Bank AG..................................... 11,900 898,338
Deutsche Lufthansa AG................................. 5,300 126,813
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 1,400 145,547
Dresdner Bank AG...................................... 9,400 379,215
Fresenius Medical Care AG............................. 600 49,245
*Gehe AG.............................................. 900 29,797
*Heidelberger Druckmaschinen AG....................... 1,100 71,614
Heidelberger Zement AG, Heidelberg.................... 820 48,062
Hochtief AG........................................... 1,050 33,254
*Hoechst AG........................................... 9,600 287,569
Linde AG.............................................. 2,133 86,841
MAN AG................................................ 4,450 151,872
Merck KGAA............................................ 1,200 38,283
*Stinnes AG........................................... 1,200 23,037
Thyssen Krupp AG...................................... 7,900 139,203
Veba AG............................................... 7,700 385,757
Vereins & Westbank AG................................. 600 15,135
Volkswagen AG......................................... 5,350 215,334
-----------
TOTAL -- GERMANY
(Cost $6,828,497).................................... 6,680,091
-----------
SWITZERLAND -- (5.7%)
COMMON STOCKS -- (5.7%)
Ascom Holding AG, Bern................................ 40 120,355
Baloise-Holding, Basel................................ 710 662,670
Ciba Spezialitaetenchemie Holding AG.................. 8,100 498,189
Credit Suisse Holding, Zuerich (Namen)................ 1,120 208,143
Financiere Richemont AG............................... 95 235,400
Fischer (Georg) AG, Schaffhausen (Namen).............. 350 110,473
Helvetia Patria Holding, St. Gallen................... 180 140,178
Interallianz Bank AG, Zuerich......................... 450 122,656
Jelmoli Holding AG, Zuerich........................... 40 51,682
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Rieter Holding AG, Winterthur........................ 220 $ 144,072
Roche Holding AG, Basel............................... 35 406,787
Sairgroup, Zuerich.................................... 1,350 248,099
Saurer AG, Arbon...................................... 150 84,956
Schindler Holding AG, Hergiswil Partizipsch........... 75 115,487
Schweizerische Lebensversicherungs und
Rentenanstalt....................................... 300 171,682
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 120 67,257
Sika Finanz AG, Baar.................................. 240 81,133
*Sulzer AG, Winterthur................................ 440 295,152
Sulzer Medic AG....................................... 390 86,744
Swatch Group AG....................................... 90 109,647
*UBS AG............................................... 3,860 518,655
*Unaxis Holding AG.................................... 200 46,608
-----------
TOTAL COMMON STOCKS
(Cost $4,564,149).................................... 4,526,025
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $14,069)...................................... 14,365
-----------
RIGHTS/WARRANTS -- (0.0%)
*Baloise-Holding, Basel Put Options 06/16/00
(Cost $0)........................................... 710 2,341
-----------
TOTAL -- SWITZERLAND
(Cost $4,578,218).................................... 4,542,731
-----------
NETHERLANDS -- (4.7%)
COMMON STOCKS -- (4.7%)
ABN-AMRO Holding NV................................... 28,381 644,855
Asr Verzekeringsgroep NV.............................. 603 31,037
Buhrmann NV........................................... 5,734 173,624
DSM NV................................................ 6,048 196,313
Fortis (NL)........................................... 1,800 47,075
Hagemeyer NV.......................................... 1,636 38,689
Ing Groep NV.......................................... 18,900 1,123,715
*Ispat International NV............................... 1,400 12,724
KLM (Koninklijke Luchtvaart Mij) NV................... 230 5,109
Koninklijke KPN NV.................................... 4,790 430,011
Koninklijke Vopak NV.................................. 3,100 70,436
*NV Holdingsmij de Telegraaf.......................... 800 19,253
Oce NV................................................ 5,030 70,905
Royal Philips Electronics NV, Eindhoven............... 20,688 918,247
Vedior NV, Amsterdam.................................. 1,633 18,779
Vendex KBB NV......................................... 303 5,367
-----------
TOTAL COMMON STOCKS
(Cost $3,157,355).................................... 3,806,139
-----------
RIGHTS/WARRANTS -- (0.0%)
*Asr Verzekeringsgroep NV Rights 05/26/00............. 603 0
*Fortis (NL) Rights 06/19/00.......................... 1,800 0
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
-----------
TOTAL -- NETHERLANDS
(Cost $3,157,355).................................... 3,806,139
-----------
</TABLE>
45
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
ITALY -- (4.3%)
COMMON STOCKS -- (4.2%)
Assicurazioni Generali SpA, Trieste................... 3,640 $ 109,037
Banca di Roma......................................... 485,000 521,307
Banca Popolare di Milano.............................. 24,000 155,359
Banca Popolare di Verona-Banco San Geminiano e San
Prospero Scarl...................................... 18,000 174,778
Banca Toscana......................................... 25,000 81,611
CIR SpA (Cie Industriale Riunite), Torino............. 17,500 55,830
Cartiere Burgo SpA.................................... 4,000 37,764
*Compagnia di Partecipazioni Assicurative Industriali
SpA................................................. 138,400 175,843
Fabbrica Italiana Magneti Marelli SpA................. 22,500 114,349
Fiat SpA.............................................. 33,000 833,355
IFIL Finanziaria Partecipazioni SpA................... 23,000 173,842
*Immsi SpA............................................ 6,500 9,102
Italcementi Fabriche Riunite Cemento SpA, Bergamo..... 14,040 126,562
Milano Assicurazioni SpA.............................. 27,000 83,383
Montedison SpA........................................ 20,000 33,757
Parmalat Finanziaria SpA.............................. 140,000 173,202
RAS SpA (Riunione Adriatica di Sicurta)............... 35,700 333,732
SAI SpA (Sta Assicuratrice Industriale), Torino....... 3,500 53,168
*SNIA SpA............................................. 45,000 42,776
Sirti SpA............................................. 6,500 11,875
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 5,000 73,450
-----------
TOTAL COMMON STOCKS
(Cost $3,537,843).................................... 3,325,811
-----------
PREFERRED STOCKS -- (0.1%)
Fiat SpA
(Cost $47,699)...................................... 3,000 48,271
-----------
TOTAL -- ITALY
(Cost $3,585,542).................................... 3,374,082
-----------
SWEDEN -- (3.3%)
COMMON STOCKS -- (3.2%)
Assidomaen AB......................................... 9,850 169,940
*Avesta Sheffield AB.................................. 7,400 27,012
Gambro AB Series A.................................... 21,000 156,107
Gambro AB Series B.................................... 7,900 58,288
Holmen AB Series B.................................... 7,500 191,389
*Kinnevik Industrifoervaltnings AB Series B........... 1,100 33,807
NCC AB Series B....................................... 7,100 55,142
Perstorp AB Series B.................................. 4,900 59,802
SSAB Swedish Steel Series A........................... 6,800 72,051
SSAB Swedish Steel Series B........................... 1,100 11,350
Skandinaviska Enskilda Banken Series A................ 23,000 250,082
Svedala Industri...................................... 2,400 30,622
Svenska Cellulosa AB Series B......................... 19,400 388,515
Svenska Kullagerfabriken AB Series A.................. 3,200 55,741
Svenska Kullagerfabriken AB Series B.................. 5,400 98,557
Trelleborg AB Series B................................ 5,300 35,282
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Volvo AB Series A..................................... 11,600 $ 267,701
Volvo AB Series B..................................... 25,400 601,672
-----------
TOTAL COMMON STOCKS
(Cost $2,789,977).................................... 2,563,060
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Swedish Krona
(Cost $82,138)...................................... 83,113
-----------
RIGHTS/WARRANTS -- (0.0%)
*Kinnevik Industrifoervaltnings AB Series B Rights
06/21/00............................................ 1,100 610
*Volvo AB Series A Redemption Rights 06/30/00......... 9,100 5,654
*Volvo AB Series B Redemption Rights 06/30/00......... 21,000 13,397
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 19,661
-----------
TOTAL -- SWEDEN
(Cost $2,872,115).................................... 2,665,834
-----------
FINLAND -- (3.0%)
COMMON STOCKS -- (3.0%)
Fortum Oyj............................................ 66,706 247,453
Huhtamaki Van Leer Oyj................................ 5,900 184,943
Kemira Oyj............................................ 12,700 67,135
Kesko Oyj............................................. 22,100 219,508
Metra Oyj Series B.................................... 3,700 66,912
Metsa-Serla Oyj Series B.............................. 30,800 238,510
Metso Oyj............................................. 24,868 322,877
Outokumpu Oyj Series A................................ 27,900 297,557
Rautaruukki Oy Series K............................... 2,100 10,614
Sanitec Oyj........................................... 1,094 10,653
Stora Enso Oyj Series A............................... 18,800 179,582
Stora Enso Oyj Series R............................... 24,300 227,613
Upm-Kymmene Oyj....................................... 11,800 297,659
-----------
TOTAL -- FINLAND
(Cost $2,658,818).................................... 2,371,016
-----------
SPAIN -- (2.7%)
COMMON STOCKS -- (2.7%)
Aceralia Corporacion Siderurgica SA................... 13,400 140,179
Acerinox SA........................................... 2,300 77,642
Aguas de Barcelona SA................................. 9,200 124,142
Aumar (Autopistas del Mare Nostrum SA)................ 7,100 107,065
Autopistas Concesionaria Espanola SA.................. 30,740 290,785
Azucarera Ebro Agricolas SA........................... 7,600 92,262
Banco Pastor SA, La Coruna............................ 500 20,254
Cementos Portland SA.................................. 1,100 22,963
Cia Espanola de Petroleous SA......................... 31,000 275,995
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 6,400 89,268
Endesa SA, Madrid..................................... 19,000 391,531
Fomento de Construcciones y Contratas SA.............. 3,200 71,225
Grupo Dragados SA, Madrid............................. 16,100 118,255
Hidroelectrica del Cantabrico SA...................... 9,000 183,125
</TABLE>
46
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Metrovacesa SA........................................ 4,800 $ 83,244
Vallehermoso SA....................................... 14,900 95,623
-----------
TOTAL -- SPAIN
(Cost $2,338,586).................................... 2,183,558
-----------
AUSTRALIA -- (2.3%)
COMMON STOCKS -- (2.2%)
AMP, Ltd.............................................. 10,800 93,782
Amcor, Ltd............................................ 26,507 76,216
Boral, Ltd............................................ 20,438 22,037
CSR, Ltd.............................................. 41,610 95,903
Colonial, Ltd......................................... 27,269 146,374
Goodman Fielder, Ltd.................................. 39,765 28,130
*Hanson P.L.C......................................... 1,879 12,671
MIM Holdings.......................................... 59,199 27,694
Mayne Nickless, Ltd................................... 12,095 20,838
National Australia Bank, Ltd.......................... 22,689 337,825
Normandy Mining, Ltd.................................. 56,396 26,704
North, Ltd............................................ 31,998 50,383
Orica, Ltd............................................ 6,863 27,799
*Origin Energy, Ltd................................... 20,438 16,091
Pacific Dunlop, Ltd................................... 35,261 33,594
*Paperlinx, Ltd....................................... 5,241 9,090
*Pasminco, Ltd........................................ 56,902 29,541
Quantas Airways, Ltd.................................. 50,864 94,017
Rio Tinto, Ltd........................................ 18,843 269,112
Santos, Ltd........................................... 18,673 47,938
Seven Network, Ltd.................................... 6,410 24,135
St. George Bank, Ltd.................................. 18,335 122,173
Suncorp-Metway Limited................................ 4,757 22,408
WMC, Ltd.............................................. 36,229 148,545
-----------
TOTAL COMMON STOCKS
(Cost $1,959,416).................................... 1,783,000
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $40,532)...................................... 40,503
-----------
RIGHTS/WARRANTS -- (0.0%)
*AMP, Ltd. Contingent Payment Rights
(Cost $0)........................................... 10,499 0
-----------
TOTAL -- AUSTRALIA
(Cost $1,999,948).................................... 1,823,503
-----------
HONG KONG -- (2.0%)
COMMON STOCKS -- (2.0%)
Amoy Properties, Ltd.................................. 205,000 121,679
CDL Hotels International, Ltd......................... 46,000 11,807
*China Overseas Land & Investment, Ltd................ 238,000 19,243
Great Eagle Holdings, Ltd............................. 32,000 42,094
Hang Lung Development Co., Ltd........................ 94,000 59,112
Hong Kong and Shanghai Hotels, Ltd.................... 31,500 14,553
Hysan Development Co., Ltd............................ 78,000 84,587
Kerry Properties, Ltd................................. 63,000 61,448
New World Development Co., Ltd........................ 161,000 161,165
*New World Infrastructure, Ltd........................ 38,400 31,047
Shangri-La Asia, Ltd.................................. 66,000 67,338
Sino Land Co., Ltd.................................... 197,115 66,405
Swire Pacific, Ltd. Series A.......................... 68,500 395,598
Tsim Sha Tsui Properties, Ltd......................... 74,000 46,535
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wharf Holdings, Ltd................................... 177,600 $ 319,097
Wheelock and Co., Ltd................................. 154,000 95,855
-----------
TOTAL COMMON STOCKS
(Cost $2,082,609).................................... 1,597,563
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $10,916)...................................... 10,917
-----------
TOTAL -- HONG KONG
(Cost $2,093,525).................................... 1,608,480
-----------
EMU -- (1.7%)
INVESTMENT IN CURRENCY -- (1.7%)
*Euro Currency
(Cost $1,304,769)................................... 1,331,470
-----------
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
Carlsberg A.S. Series B............................... 2,960 95,596
Danisco A.S........................................... 2,970 106,618
Den Danske Bank A.S................................... 2,700 311,906
FLS Industries........................................ 1,440 22,001
Jyske Bank A.S........................................ 2,640 49,190
*Nordic Baltic Holding AB............................. 21,596 138,152
Realdanmark A.S....................................... 2,784 90,604
-----------
TOTAL COMMON STOCKS
(Cost $793,628)...................................... 814,067
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $1,037)....................................... 1,073
-----------
TOTAL -- DENMARK
(Cost $794,665)...................................... 815,140
-----------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
Centrepoint Properties, Ltd........................... 119,050 109,906
Fraser & Neave, Ltd................................... 31,000 92,117
Keppel Corp., Ltd..................................... 88,000 167,559
Keppel Land, Ltd...................................... 73,000 67,393
Keppel Tatlee Bank, Ltd............................... 52,000 91,211
*Neptune Orient Lines, Ltd............................ 51,000 38,549
Singapore Land, Ltd................................... 35,000 55,939
United Industrial Corp., Ltd.......................... 45,000 18,435
-----------
TOTAL COMMON STOCKS
(Cost $877,310)...................................... 641,109
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $3,286)....................................... 3,295
-----------
TOTAL -- SINGAPORE
(Cost $880,596)...................................... 644,404
-----------
BELGIUM -- (0.8%)
COMMON STOCKS -- (0.8%)
*AGFA-Gevaert NV, Mortsel............................. 2,800 56,037
Bekaert SA............................................ 1,000 51,471
*Heidelberger Zement AG............................... 466 26,578
*Heidelberger Zement AG VVPR.......................... 466 4
Solvay SA............................................. 5,100 340,542
</TABLE>
47
<PAGE>
THE TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Tessenderlo Chemie.................................... 1,700 $ 67,636
Union Miniere SA...................................... 2,100 74,241
-----------
TOTAL -- BELGIUM
(Cost $650,044)...................................... 616,509
-----------
PORTUGAL -- (0.5%)
COMMON STOCKS -- (0.5%)
Banco Comercial Portugues SA.......................... 10,000 48,874
Banco Espirito Santo e Comercial de Lisboa............ 3,200 74,637
Cimpor Cimentos de Portugal SA........................ 6,360 96,909
Portugal Telecom SA................................... 13,000 141,058
-----------
TOTAL -- PORTUGAL
(Cost $340,093)...................................... 361,478
-----------
IRELAND -- (0.4%)
COMMON STOCKS -- (0.4%)
*Allied Irish Banks P.L.C............................. 3,465 31,813
*Bank of Ireland...................................... 3,968 23,405
Independent News & Media P.L.C........................ 12,214 95,149
Jefferson Smurfit Group P.L.C......................... 85,525 166,564
-----------
TOTAL -- IRELAND
(Cost $343,367)...................................... 316,931
-----------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A.............................. 4,600 94,959
Christiania Bank Og Kreditkasse....................... 3,700 18,992
Den Norske Bank ASA Series A.......................... 11,900 42,226
*Kvaerner ASA......................................... 3,100 35,629
Norske Skogindustrier ASA Series A.................... 1,200 36,823
*Petroleum Geo Services ASA........................... 4,400 78,310
-----------
TOTAL COMMON STOCKS
(Cost $309,512)...................................... 306,939
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $5,758)....................................... 5,823
-----------
TOTAL -- NORWAY
(Cost $315,270)...................................... 312,762
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
*Bank Austria AG...................................... 1,478 $ 69,768
Voest-Alpine Stahl AG................................. 3,003 82,993
-----------
TOTAL -- AUSTRIA
(Cost $173,426)...................................... 152,761
-----------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd............................... 75,400 60,605
Lion Nathan, Ltd...................................... 23,800 47,450
-----------
TOTAL -- NEW ZEALAND
(Cost $132,894)...................................... 108,055
-----------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (2.2%)
<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 $1,763,278) to be
repurchased at $1,736,287.
(Cost $1,736,000)................................... $ 1,736 1,736,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $81,187,729)++................................. $80,033,100
===========
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $81,187,729.
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. 5-10 U.S. 6-10 SMALL DFA INTERNATIONAL
VALUE PORTFOLIO VALUE PORTFOLIO COMPANY PORTFOLIO VALUE PORTFOLIO
--------------- --------------- ----------------- -----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value...................... $ 206,361 $ 358,890 $ 123,624 $ 80,033
Collateral for Securities Loaned.......... -- 5,850 7,517 5,735
Cash...................................... -- -- -- 19
Receivables:
Dividends, Interest and Tax Reclaims.... -- 418 90 356
Investment Securities Sold.............. -- 6,266 909 --
Fund Shares Sold........................ 649 3,098 976 1,018
Prepaid Expenses and Other Assets......... 30 31 17 17
------------ ----------- ----------- -----------
Total Assets.......................... 207,040 374,553 133,133 87,178
------------ ----------- ----------- -----------
LIABILITIES:
Payable for Collateral on Securities
Loaned.................................. -- 5,850 7,517 5,735
Payable for Investment Securities
Purchased............................... 649 2,304 128 1,278
Payable for Fund Shares Redeemed.......... -- 299 189 8
Accrued Expenses and Other Liabilities.... 44 184 66 51
------------ ----------- ----------- -----------
Total Liabilities..................... 693 8,637 7,900 7,072
------------ ----------- ----------- -----------
NET ASSETS................................ $ 206,347 $ 365,916 $ 125,233 $ 80,106
============ =========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000 )............... 19,352,630 30,518,674 9,581,695 7,914,316
============ =========== =========== ===========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE......................... $ 10.66 $ 11.99 $ 13.07 $ 10.12
============ =========== =========== ===========
Investments at Cost....................... $ 193,594 $ 319,007 $ 118,506 $ 81,187
============ =========== =========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<CAPTION>
THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. 5-10 U.S. 6-10 SMALL DFA INTERNATIONAL
VALUE PORTFOLIO VALUE PORTFOLIO COMPANY PORTFOLIO VALUE PORTFOLIO
--------------- --------------- ----------------- -----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Net Investment Income Received from The
DFA Investment Trust Company.......... $ 1,569 -- -- --
Dividends (Net of Foreign Taxes Withheld
of $0, $0, $0 and $102,
respectively)......................... -- $ 1,741 $ 333 $ 913
Interest................................ -- 242 107 108
Income from Securities Lending.......... -- 91 92 26
-------- ------------- ------------ -----------
Total Investment Income............. 1,569 2,074 532 1,047
-------- ------------- ------------ -----------
EXPENSES
Investment Advisory Services............ -- 833 270 153
Administrative Fees..................... 117 -- -- --
Accounting & Transfer Agent Fees........ 35 66 24 41
Custodian's Fees........................ -- 18 6 54
Legal Fees.............................. 4 2 1 1
Audit Fees.............................. -- 11 2 1
Filing Fees............................. 14 29 10 9
Shareholders' Reports................... 4 4 1 1
Other................................... 2 3 1 2
-------- ------------- ------------ -----------
Total Expenses...................... 176 966 315 262
-------- ------------- ------------ -----------
NET INVESTMENT INCOME................... 1,393 1,108 217 785
-------- ------------- ------------ -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold....................... (11,010) (5,153) 3,869 90
Net Realized Loss on Foreign Currency
Transactions.......................... -- -- -- (33)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 14,414 25,897 (2,644) (1,279)
Translation of Foreign Currency
Denominated Amounts................. -- -- -- (34)
-------- ------------- ------------ -----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY.................... 3,404 20,744 1,225 (1,256)
-------- ------------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............... $ 4,797 $ 21,852 $ 1,442 $ (471)
======== ============= ============ ===========
</TABLE>
See accompanying Notes to Financial Statements.
50
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. 5-10
VALUE PORTFOLIO VALUE PORTFOLIO
--------------------------- ----------------------------
SIX MONTHS DEC. 14,1998 SIX MONTHS DEC. 11, 1998
ENDED TO ENDED TO
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.................................... $ 1,393 $ 672 $ 1,108 $ 1,186
Net Realized Loss on Investment Securities Sold.......... (11,010) (784) (5,153) (1,321)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities.................................. 14,414 (1,647) 25,897 13,987
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 4,797 (1,759) 21,852 13,852
-------- -------- -------- --------
Distributions From:
Net Investment Income.................................... (917) (371) (1,376) --
Net Realized Gains....................................... -- -- -- --
-------- -------- -------- --------
Total Distributions.................................... (917) (371) (1,376) --
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................................ 123,800 111,478 110,816 270,629
Shares Issued in Lieu of Cash Distributions.............. 867 350 1,310 --
Shares Redeemed.......................................... (21,779) (10,119) (33,421) (17,746)
-------- -------- -------- --------
Net Increase From Capital Shares
Transactions........................................... 102,888 101,709 78,705 252,883
-------- -------- -------- --------
Total Increase........................................... 106,768 99,579 99,181 266,735
NET ASSETS
Beginning of Period...................................... 99,579 -- 266,735 --
-------- -------- -------- --------
End of Period............................................ $206,347 $ 99,579 $365,916 $266,735
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED
Shares Issued............................................ 12,103 10,292 9,387 25,504
Shares Issued in Lieu of Cash Distributions.............. 88 31 118 --
Shares Redeemed.......................................... (2,194) (967) (2,823) (1,667)
-------- -------- -------- --------
9,997 9,356 6,682 23,837
======== ======== ======== ========
</TABLE>
See accompanying Notes to Financial Statements.
51
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE TAX-MANAGED THE TAX-MANAGED
U.S. 6-10 SMALL DFA INTERNATIONAL
COMPANY PORTFOLIO VALUE PORTFOLIO
---------------------------- -----------------------
SIX MONTHS DEC. 15, 1998 SIX MONTHS APR. 16,
ENDED TO ENDED TO
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..................................... $ 217 $ 125 $ 785 $ 120
Net Realized Gain (Loss) on Investment Securities Sold.... 3,869 (521) 90 (1)
Net Realized Loss on Foreign Currency Transactions........ -- -- (33) (27)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (2,644) 7,761 (1,279) 124
Translation of Foreign Currency Denominated Amounts..... -- -- (34) 17
-------- ------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations............................. 1,442 7,365 (471) 233
-------- ------- ------- -------
Distributions From:
Net Investment Income..................................... (187) -- (179) --
Net Realized Gains........................................ -- -- -- --
-------- ------- ------- -------
Total Distributions..................................... (187) -- (179) --
-------- ------- ------- -------
Capital Share Transactions (1):
Shares Issued............................................. 64,757 62,862 47,682 40,399
Shares Issued in Lieu of Cash Distributions............... 181 -- 179 --
Shares Redeemed........................................... (8,234) (2,953) (6,347) (1,390)
-------- ------- ------- -------
Net Increase From Capital Shares Transactions........... 56,704 59,909 41,514 39,009
-------- ------- ------- -------
Total Increase.......................................... 57,959 67,274 40,864 39,242
NET ASSETS
Beginning of Period....................................... 67,274 -- 39,242 --
-------- ------- ------- -------
End of Period............................................. $125,233 $67,274 $80,106 $39,242
======== ======= ======= =======
(1) SHARES ISSUED AND REDEEMED
Shares Issued............................................. 4,636 5,782 4,697 3,967
Shares Issued in Lieu of Cash Distributions............... 14 -- 17 --
Shares Redeemed........................................... (585) (265) (633) (134)
-------- ------- ------- -------
4,065 5,517 4,081 3,833
======== ======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP, INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
THE TAX-MANAGED U.S. THE TAX-MANAGED U.S.
MARKETWIDE VALUE PORTFOLIO 5-10 VALUE PORTFOLIO
----------------------------- -----------------------------
SIX MONTHS DEC. 14, 1998 SIX MONTHS DEC. 11, 1998
ENDED TO ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999
<S> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period.......................... $ 10.64 $ 10.00 $ 11.19 $ 10.00
-------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........... 0.08 0.10 0.04 0.05
Net Gains (Losses) on
Securities....................
(Realized and Unrealized)....... 0.01 0.61 0.82 1.14
-------- -------- -------- --------
Total From Investment
Operations.................. 0.09 0.71 0.86 1.19
-------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income........... (0.07) (0.07) (0.06) --
Net Realized Gains.............. -- -- -- --
-------- -------- -------- --------
Total Distributions........... (0.07) (0.07) (0.06) --
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 10.66 $ 10.64 $ 11.99 $ 11.19
=======================================================================================================
Total Return...................... 0.92%# 7.02%# 7.69%# 11.90%#
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $206,347 $ 99,579 $365,916 $266,735
Ratio of Expenses to Average Net
Assets.......................... 0.47%*(b) 0.69%*(a)(b) 0.58%* 0.64%*(a)
Ratio of Net Investment Income to
Average Net Assets.............. 1.78%* 1.27%*(a) 0.67%* 0.66%*(a)
Portfolio Turnover Rate........... N/A N/A 30%* 15%*
Portfolio Turnover Rate of Master
Fund Series..................... 41%* 10%* N/A+ N/A+
-------------------------------------------------------------------------------------------------------
<CAPTION>
THE TAX-MANAGED DFA
THE TAX-MANAGED U.S. 6-10 INTERNATIONAL VALUE
SMALL COMPANY PORTFOLIO PORTFOLIO
----------------------------- ------------------------
SIX MONTHS DEC. 15, 1998 SIX MONTHS APR. 16,
ENDED TO ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999
<S> <C> <C> <C> <C>
----------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period.......................... $ 12.19 $ 10.00 $ 10.24 $ 10.00
-------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........... 0.02 0.02 0.11 0.03
Net Gains (Losses) on
Securities....................
(Realized and Unrealized)....... 0.89 2.17 (0.18) 0.21
-------- ------- ------- -------
Total From Investment
Operations.................. 0.91 2.19 (0.07) 0.24
----------------------------------
LESS DISTRIBUTIONS
Net Investment Income........... (0.03) -- (0.05) --
Net Realized Gains.............. -- -- -- --
-------- ------- ------- -------
Total Distributions........... (0.03) -- (0.05) --
----------------------------------
Net Asset Value, End of Period.... $ 13.07 $ 12.19 $ 10.12 $ 10.24
==================================
Total Return...................... 7.48%# 21.90%# (0.75%)# 2.40%#
----------------------------------
Net Assets, End of Period
(thousands)..................... $125,233 $67,274 $80,106 $39,242
Ratio of Expenses to Average Net
Assets.......................... 0.58%* 0.78%*(a) 0.86%* 1.56%*(a)
Ratio of Net Investment Income to
Average Net Assets.............. 0.40%* 0.37%*(a) 2.56%* 0.83%*(a)
Portfolio Turnover Rate........... 56%* 9%* 5%* 0%*
Portfolio Turnover Rate of Master
Fund Series..................... N/A+ N/A+ N/A+ N/A+
----------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
(b) Represents the combined ratios for the portfolio and its
pro-rata share of the Master Fund Series.
N/A Refer to the Master Fund Series
N/A+ Not applicable, as these Portfolios are stand-alone
registered investment companies.
</TABLE>
See accompanying Notes to Financial Statements.
53
<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, four of which (the
"Portfolios") are included in this report. Of the remaining portfolios, thirty
are presented in separate reports and four have not commenced operations.
The Tax-Managed U.S. Marketwide Value Portfolio (the "Portfolio" or "Feeder
Fund") invests all of its assets in The Tax-Managed U.S. Marketwide Value Series
(the "Series"), a corresponding Series of The DFA Investment Trust Company. At
May 31, 2000, the Portfolio owned 83% of the outstanding shares of the Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the Feeder
Fund.
The Tax-Managed U.S. 5-10 Value Portfolio, the Tax-Managed U.S. 6-10 Small
Company Portfolio and the Tax-Managed DFA International Value Portfolio are
organized as stand-alone registered investment companies.
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: For the Tax-Managed U.S. Marketwide Value
Portfolio, the investment reflects its proportionate interest in the net assets
of The Tax-Managed U.S. Marketwide Value Series. Securities held by The
Tax-Managed 5-10 Value Portfolio and The Tax-Managed 6-10 Small Company
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day, or if there is no such reported sale, at the mean between the most recent
bid and asked prices. Securities held by The Tax-Managed DFA International Value
Portfolio 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.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of The
Tax-Managed DFA International Value Portfolio whose values are initially
expressed in foreign currencies are translated to U.S. dollars at the mean price
of such currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement.
The Tax-Managed DFA International Value Portfolio does not isolate the
effect of fluctuations in foreign exchange rates from the effect of fluctuations
in the market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of The Tax-Managed
DFA International Value Portfolio and the U.S. dollar equivalent amounts
actually received or paid.
54
<PAGE>
3. FEDERAL INCOME TAXES: It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions of The DFA
Investment Trust Company and/or foreign currency and foreign taxes on capital
gains, as applicable. Interest income is recorded on the accrual basis. Expenses
directly attributable to a Portfolio are directly charged. Common expenses are
allocated using methods determined by the Board of Directors.
The Tax-Managed U.S. Marketwide Value Portfolio accrues, on a daily basis,
its respective share of income, net of expenses on its investment in The
Tax-Managed U.S. Marketwide Value Series, which is treated as a partnership for
federal income tax purposes. All of the net investment income and realized and
unrealized gains and losses from the security transactions of the Master Fund
are allocated pro-rata among its investors at the time of such determination.
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 abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or "the Advisor") provides investment
advisory services to all Portfolios except the Feeder Fund. The Advisor provides
administrative services to the Feeder Fund, including supervision of services
provided by others, providing information to shareholders and the Board of
Directors, and other administrative services. For the six months ended May 31,
2000, the Portfolios' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates:
<TABLE>
<S> <C>
The Tax-Managed U.S. 5-10 Value Portfolio................... 0.50 of 1%
The Tax Managed U.S. 6-10 Small Company Portfolio........... 0.50 of 1%
The Tax Managed DFA International Value Portfolio........... 0.50 of 1%
</TABLE>
For the six months ended May 31, 2000, the Feeder Fund accrued daily and
paid monthly to the Advisor an administrative fee at an effective annual rate of
0.15 of 1% of average daily net assets.
Certain officers of the 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 Portfolios made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<CAPTION>
OTHER INVESTMENT
SECURITIES
---------------------
PURCHASES SALES
--------- ---------
<S> <C> <C>
The Tax-Managed U.S. 5-10 Value Portfolio................... $160,914 $ 90,779
The Tax-Managed U.S. 6-10 Small Company Portfolio........... 78,075 28,706
The Tax-Managed DFA International Value Portfolio........... 39,786 640
</TABLE>
55
<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>
The Tax-Managed U.S. Marketwide Value Portfolio............ $ 20,937 $ (8,624) $ 12,313
The Tax-Managed U.S. 5-10 Value Portfolio.................. 70,873 (31,608) 39,265
The Tax-Managed U.S. 6-10 Small Company Portfolio.......... 19,654 (14,615) 5,039
The Tax-Managed DFA International Value Portfolio.......... 6,039 (7,194) (1,155)
</TABLE>
At May 31, 2000, the Portfolios had capital loss carryforwards for federal
income tax purposes (amounts in thousands):
<TABLE>
<S> <C>
The Tax-Managed U.S. Marketwide Value Portfolio............. $ 703
The Tax-Managed U.S. 5-10 Value Portfolio................... 1,153
The Tax-Managed U.S. 6-10 Small Company Portfolio........... 500
The Tax-Managed DFA International Value Portfolio........... 1
</TABLE>
All capital loss carryforwards expire on November 30, 2007.
F. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
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 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. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
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 of credit were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ----------------
<S> <C> <C> <C> <C> <C>
The Tax-Managed U.S. 5-10 Value
Portfolio................................. 6.97 % $ 689,500 2 $ 267 $ 745,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
2000.
56
<PAGE>
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 2000 NET ASSETS CONSIST OF:
----------------------------------------
(AMOUNTS IN THOUSANDS)
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. 5-10
VALUE PORTFOLIO VALUE PORTFOLIO
----------------- -----------------
<S> <C> <C>
Paid-In Capital............................................. $ 204,571 $ 331,570
Undistributed Net Investment Income......................... 803 936
Accumulated Net Realized Loss............................... (11,794) (6,474)
Unrealized Appreciation of Investment Securities............ 12,767 39,884
--------- ---------
Total Net Assets............................................ $ 206,347 $ 365,916
========= =========
</TABLE>
<TABLE>
<CAPTION>
THE TAX-MANAGED THE TAX-MANAGED
U.S. 6-10 SMALL DFA INTERNATIONAL
COMPANY PORTFOLIO VALUE PORTFOLIO
----------------- -----------------
<S> <C> <C>
Paid-In Capital............................................. $ 116,595 $ 80,515
Undistributed Net Investment Income......................... 173 707
Undistributed Net Realized Gain............................. 3,348 89
Accumulated Net Realized Foreign Exchange Loss.............. -- (33)
Unrealized Appreciation (Depreciation) of Investment
Securities And Foreign Currency........................... 5,117 (1,155)
Accumulated Net Foreign Exchange Loss....................... -- (17)
--------- ---------
Total Net Assets............................................ $ 125,233 $ 80,106
========= =========
</TABLE>
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 of the
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 VALUE OF COLLATERAL ON
OF SECURITIES COLLATERAL AND REPURCHASE
ON LOAN INDEMNIFICATION AGREEMENTS
-------------- --------------- -------------
<S> <C> <C> <C>
The Tax-Managed U.S. 5-10 Value Portfolio............. $ 4,219,032 $ 5,849,693 $ 6,000,732
The Tax-Managed U.S. 6-10 Small Company Portfolio..... 6,585,401 7,516,500 7,710,575
The Tax-Managed DFA International Value Portfolio..... 5,345,295 5,735,179 6,588,397
</TABLE>
57
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.5%)
*3Dfx Interactive, Inc................................ 10,000 $ 74,062
AAR Corp.............................................. 10,000 138,750
*Adecco SA ADR........................................ 794 78,953
*Advanced Micro Devices, Inc.......................... 8,500 692,219
Advanta Corp. Class A................................. 4,700 79,166
Advanta Corp. Class B Non-Voting...................... 6,900 83,447
Aetna, Inc............................................ 39,800 2,656,650
*Aftermarket Technology Corp.......................... 3,000 17,719
Agco Corp............................................. 25,100 313,750
*Agribrands International, Inc........................ 2,900 120,169
Airborne Freight Corp................................. 26,400 532,950
*Airgas, Inc.......................................... 27,800 149,425
AK Steel Holding Corp................................. 42,360 410,362
*Alaska Air Group, Inc................................ 7,300 227,212
*Albany International Corp. Class A................... 11,700 167,456
Albemarle Corp........................................ 3,900 85,800
Alcoa, Inc............................................ 10,176 594,660
Alexander & Baldwin, Inc.............................. 19,000 439,375
Alfa Corp............................................. 1,800 30,656
*Allegheny Corp....................................... 624 103,740
*Allen Telecom, Inc................................... 2,400 38,400
*Alliance Semiconductor Corp.......................... 3,900 96,525
Alliant Energy Corp................................... 12,700 351,631
Allmerica Financial Corp.............................. 18,900 1,090,294
Allstate Corp......................................... 213,700 5,663,050
Amerada Hess Corp..................................... 25,900 1,719,112
*Amerco, Inc.......................................... 9,800 171,806
*America West Holdings Corp. Class B.................. 19,200 342,000
American Financial Group, Inc......................... 23,600 659,325
*American Freightways Corp............................ 14,200 211,669
American Greetings Corp. Class A...................... 24,400 454,450
American National Insurance Co........................ 4,100 221,528
*Ameripath, Inc....................................... 9,700 83,208
Amerus Life Holdings, Inc. Class A.................... 7,400 147,537
*Ames Department Stores, Inc.......................... 19,100 226,216
*AMF Bowling, Inc..................................... 35,400 33,187
*AMR Corp............................................. 62,200 1,772,700
*Amtran, Inc.......................................... 4,400 62,287
*Ann Taylor Stores Corp............................... 12,000 312,000
Apache Corp........................................... 15,300 931,387
*Applica, Inc......................................... 10,200 150,450
Applied Industrial Technologies, Inc.................. 4,900 85,444
*Arch Capital Group, Ltd.............................. 9,000 135,844
Arch Chemicals, Inc................................... 10,300 177,675
Arch Coal, Inc........................................ 18,995 142,462
Archer-Daniels Midland Co............................. 36,000 429,750
Argonaut Group, Inc................................... 6,400 115,600
Armstrong Holdings, Inc............................... 10,700 183,906
Arnold Industries, Inc................................ 8,900 102,072
*Arrow Electronics, Inc............................... 24,800 869,550
Arvin Industries, Inc................................. 7,300 131,400
Ashland, Inc.......................................... 33,300 1,163,419
*Audiovox Corp. Class A............................... 1,900 35,922
*Aurora Foods, Inc.................................... 21,900 78,019
*AutoNation, Inc...................................... 167,700 1,320,637
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Aviation Sales Co.................................... 2,100 $ 14,044
*Avid Technology, Inc................................. 7,700 77,481
*Avis Group Holdings, Inc............................. 12,200 234,850
Avnet, Inc............................................ 2,338 161,760
AVX Corp.............................................. 2,500 143,281
*Aztar Corp........................................... 17,700 225,675
Baldwin & Lyons, Inc. Class B......................... 3,200 58,000
Bancwest Corp......................................... 36,000 672,750
Bandag, Inc........................................... 4,500 111,656
Bandag, Inc. Class A.................................. 3,800 86,450
BankAtlantic Bancorp, Inc. Class B.................... 5,700 32,597
Banta Corp............................................ 13,000 240,500
*Barrett Resources Corp............................... 500 19,781
*Battle Mountain Gold Co.............................. 900 1,744
Bay View Capital Corp................................. 12,100 122,512
Bear Stearns Companies, Inc........................... 49,622 1,953,866
*Belco Oil & Gas Corp................................. 2,500 19,531
Belo (A.H.) Corp. Class A............................. 47,500 762,969
*Benchmark Electronics, Inc........................... 8,400 285,600
Bergen Brunswig Corp. Class A......................... 55,600 288,425
Berkley (W.R.) Corp................................... 10,500 231,328
*Bethlehem Steel Corp................................. 34,466 133,556
*Beverly Enterprises.................................. 29,200 87,600
Bindley Western Industries, Inc....................... 4,600 87,687
*Bio-Rad Laboratories, Inc. Class A................... 2,000 46,375
Birmingham Steel Corp................................. 400 1,550
Block Drug Co., Inc. Class A.......................... 6,469 179,110
Bob Evans Farms, Inc.................................. 19,600 265,825
*Boca Resorts, Inc.................................... 15,500 133,687
Boise Cascade Corp.................................... 23,800 693,175
*Borders Group, Inc................................... 1,000 14,062
Borg Warner Automotive, Inc........................... 23,100 918,225
Bowater, Inc.......................................... 22,900 1,183,644
Bowne & Co., Inc...................................... 14,300 143,894
*Boyd Gaming Corp..................................... 14,900 73,569
Brookline Bancorp, Inc................................ 11,500 112,484
*Brown (Tom), Inc..................................... 6,900 150,506
Brown Shoe Company, Inc............................... 8,900 106,244
Brunswick Corp........................................ 32,700 629,475
Brush Wellman, Inc.................................... 3,500 61,031
*Budget Group, Inc.................................... 9,600 36,600
*Buffets, Inc......................................... 14,100 163,472
Burlington Coat Factory Warehouse Corp................ 21,100 267,706
Burlington Northern Santa Fe Corp..................... 100,600 2,376,675
*Bush Boake Allen, Inc................................ 8,000 261,000
C.I.T. Group, Inc. Class A............................ 92,600 1,695,737
*Cabletron Systems, Inc............................... 12,800 293,600
Calgon Carbon Corp.................................... 14,700 96,469
Caraustar Industries, Inc............................. 1,800 29,756
Carpenter Technology Corp............................. 6,200 128,262
Carter-Wallace, Inc................................... 8,500 170,000
Casey's General Stores, Inc........................... 23,600 278,775
Cash America International, Inc....................... 7,300 74,825
*Castle & Cooke, Inc.................................. 7,000 130,375
Cato Corp. Class A.................................... 400 4,962
*CB Richard Ellis Services, Inc....................... 8,500 85,531
</TABLE>
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CBRL Group, Inc....................................... 21,100 $ 305,291
Centex Corp........................................... 15,000 311,250
*Central Garden & Pet Co.............................. 6,300 71,859
*Century Business Services, Inc....................... 33,400 87,153
*Champion Enterprises, Inc............................ 29,600 168,350
Champion International Corp........................... 41,300 3,014,900
*Charming Shoppes, Inc................................ 16,600 98,044
*Checkpoint System, Inc............................... 8,500 67,469
Chemed Corp........................................... 1,200 36,375
Chemfirst, Inc........................................ 6,300 131,512
Chesapeake Corp....................................... 9,200 300,725
Chiquita Brands International, Inc.................... 18,700 73,631
*Chris-Craft Industries, Inc.......................... 4,075 248,066
CICOR International, Inc.............................. 1,150 12,147
Cincinnati Financial Corp............................. 34,700 1,395,591
Circle International, Inc............................. 1,200 22,687
City Holding Co....................................... 5,800 57,637
CKE Restaurants, Inc.................................. 21,700 71,881
Cleveland Cliffs, Inc................................. 3,100 78,856
*CNA Financial Corp................................... 44,900 1,602,369
CNA Surety Corp....................................... 1,000 12,500
Coachmen Industries, Inc.............................. 8,200 97,887
Coca-Cola Enterprises, Inc............................ 163,800 2,805,075
*Coherent, Inc........................................ 1,000 56,312
Columbus McKinnon Corp................................ 12,200 168,512
*Comfort Systems USA, Inc............................. 16,800 101,850
Commerce Group, Inc................................... 8,000 217,000
Commercial Federal Corp............................... 18,700 298,031
Commercial Metals Co.................................. 5,700 149,981
Commonwealth Bancorp, Inc............................. 2,000 23,125
Community Trust Bancorp, Inc.......................... 2,310 33,423
*Compucom Systems, Inc................................ 13,700 32,966
Comsat Corp. Series 1................................. 11,900 291,550
Conseco, Inc.......................................... 149,300 933,125
*Consolidated Graphics, Inc........................... 8,700 90,262
Consolidated Papers, Inc.............................. 25,800 964,275
*Consolidated Stores Corp............................. 11,300 146,900
Cooper Tire & Rubber Co............................... 36,500 440,281
*CoorsTek, Inc........................................ 1,450 46,762
Corn Products International, Inc...................... 17,100 420,019
Corus Bankshares, Inc................................. 6,700 166,244
Countrywide Credit Industries, Inc.................... 58,100 1,786,575
*Covenant Transport, Inc. Class A..................... 2,800 28,787
*Coventry Health Care, Inc............................ 22,200 262,931
*Credit Acceptance Corp............................... 17,200 95,675
Crompton Corp......................................... 11,000 133,375
Cross Timbers Oil Co.................................. 2,700 54,844
Crown Cork & Seal Co., Inc............................ 51,600 883,650
*CSS Industries, Inc.................................. 1,000 20,000
CSX Corp.............................................. 83,100 1,807,425
Cummins Engine Co., Inc............................... 15,900 517,744
Dain Rauscher Corp.................................... 1,000 59,625
Dana Corp............................................. 74,200 1,915,287
*Delphi Financial Group, Inc. Class A................. 4,200 140,700
Delta Air Lines, Inc.................................. 35,900 1,846,606
Detroit Diesel Corp................................... 11,700 184,275
Devon Energy Corp..................................... 20,300 1,214,194
Dillards, Inc. Class A................................ 32,800 489,950
Dime Bancorp, Inc..................................... 2,400 43,800
Dime Community Bancorp, Inc........................... 5,900 95,875
*Discount Auto Parts, Inc............................. 4,400 44,000
*Dollar Thrifty Automotive Group, Inc................. 11,100 199,800
<CAPTION>
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Downey Financial Corp................................. 11,700 $ 348,075
*Dress Barn, Inc...................................... 5,300 112,791
*Dura Automotive Systems, Inc......................... 6,900 82,153
*Dura Pharmaceuticals, Inc............................ 8,900 104,297
*DVI, Inc............................................. 5,800 83,375
Earthgrains Co........................................ 23,000 379,500
Eastman Chemical Co................................... 24,500 1,116,281
*Electro Rent Corp.................................... 2,400 26,100
*Electroglas, Inc..................................... 600 15,825
*Encompass Services Corp.............................. 25,700 150,987
Energen Corp.......................................... 11,300 250,012
Enhance Financial Services Group, Inc................. 17,200 236,500
ENSCO International, Inc.............................. 2,800 97,825
EOG Resources, Inc.................................... 16,800 546,000
*Esco Electronics Corp................................ 5,700 100,462
*Esterline Technologies Corp.......................... 6,500 88,562
Ethyl Corp............................................ 33,900 86,869
Everest Re Group, Ltd................................. 13,400 455,600
*Extended Stay America, Inc........................... 33,900 305,100
*Fairchild Corp. Class A.............................. 1,900 9,025
*Farm Family Holdings, Inc............................ 1,700 45,900
Farmer Brothers Co.................................... 500 83,750
FBL Financial Group, Inc. Class A..................... 11,700 171,112
Federal-Mogul Corp.................................... 27,000 268,312
*Federated Department Stores, Inc..................... 80,400 3,095,400
Fidelity National Financial, Inc...................... 18,300 283,650
Financial Security Assurance Holdings, Ltd............ 4,600 345,575
*Finish Line, Inc. Class A............................ 1,100 7,631
Finova Group, Inc..................................... 1,800 21,487
First American Financial Corp......................... 28,900 480,462
First Charter Corp.................................... 7,900 126,153
First Citizens Bancshares, Inc. NC.................... 3,900 235,219
First Indiana Corp.................................... 3,500 61,141
First Niagara Financial Group, Inc.................... 9,600 87,900
First Sentinel Bancorp, Inc........................... 9,600 74,850
*FirstFed Financial Corp. DE.......................... 6,400 86,000
Flagstar Bancorp, Inc................................. 3,000 28,219
Fleetwood Enterprises, Inc............................ 15,400 219,450
Fleming Companies, Inc................................ 14,800 208,125
Florida East Coast Industries, Inc.................... 4,000 192,000
Fluor Corp............................................ 3,400 110,500
*FMC Corp............................................. 1,000 60,750
Ford Motor Co......................................... 292,300 14,194,819
*Forest Oil Corp...................................... 2,100 33,469
Foster Wheeler Corp................................... 18,500 156,094
*Foundation Health Systems, Inc....................... 36,800 441,600
*Franklin Covey Co.................................... 1,600 12,400
Fremont General Corp.................................. 19,900 87,062
*Fritz Companies, Inc................................. 13,000 135,281
*FSI International, Inc............................... 1,200 17,287
GATX Corp............................................. 11,700 394,144
Gencorp, Inc.......................................... 10,100 99,106
General Binding Corp.................................. 2,600 19,500
General Cable Corp.................................... 7,000 58,187
*General Communications, Inc. Class A................. 16,200 77,962
General Motors Corp................................... 169,200 11,949,750
*General Motors Corp. Class H......................... 40,400 3,976,875
*Genlyte Group, Inc................................... 4,500 91,547
*Gentiva Health Services.............................. 2,800 24,412
</TABLE>
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Geon Co............................................... 6,700 $ 144,050
Georgia-Pacific Corp.................................. 37,700 1,234,675
Gerber Scientific, Inc................................ 13,300 159,600
Gibraltar Steel Corp.................................. 5,000 79,219
Glatfelter (P.H.) Co.................................. 18,600 219,712
*Glenayre Technologies, Inc........................... 7,200 59,175
*Global Sources, Ltd.................................. 90 2,483
*Golden State Bancorp, Inc............................ 54,100 950,131
Goodrich (B.F.) Co.................................... 21,000 745,500
Goodyear Tire & Rubber Co............................. 17,600 437,800
*Goodys Family Clothing............................... 13,500 73,828
Granite Construction, Inc............................. 2,000 52,125
*Graphic Packaging International Corp................. 200 687
Great Atlantic & Pacific Tea Co., Inc................. 14,600 268,275
Greenpoint Financial Corp............................. 39,300 820,387
*Grey Wolf, Inc....................................... 18,200 91,000
*Griffon Corp......................................... 12,400 75,175
*Group 1 Automotive, Inc.............................. 6,000 69,000
*Ha-Lo Industries, Inc................................ 9,600 53,400
Hancock Holding Co.................................... 1,500 47,625
*Handleman Co......................................... 5,100 49,725
Harbor Florida Bancshares, Inc........................ 5,200 55,087
Harleysville Group, Inc............................... 11,800 199,862
Harris Corp........................................... 17,800 544,012
Hartford Life, Inc. Class A........................... 15,300 767,869
HCC Insurance Holdings, Inc........................... 11,800 201,337
*Healthsouth Corp..................................... 112,200 722,287
*Hearst-Argyle Television, Inc........................ 19,500 369,281
Heilig-Meyers Co...................................... 12,200 20,587
Heller Financial, Inc................................. 19,700 371,837
Helmerich & Payne, Inc................................ 2,500 93,125
*Hexcel Corp.......................................... 7,200 55,800
Hollinger International, Inc. Class A................. 19,900 242,531
*Hollywood Entertainment Corp......................... 19,500 134,367
*Homestead Village, Inc............................... 15,100 61,344
Horton (D.R.), Inc.................................... 30,400 397,100
*Houston Exploration Co............................... 4,000 100,000
*HS Resources, Inc.................................... 3,100 104,044
Hughes Supply, Inc.................................... 11,100 210,900
*Humana, Inc.......................................... 88,500 497,812
Hunt (J.B.) Transport Services, Inc................... 13,400 216,494
*Hutchinson Technology, Inc........................... 10,000 117,812
*Hypercom Corp........................................ 6,600 82,500
IBP, Inc.............................................. 28,100 463,650
*IHOP Corp............................................ 5,600 98,700
Ikon Office Solutions, Inc............................ 13,200 66,000
*Imation Corp......................................... 3,000 84,937
IMC Global, Inc....................................... 46,200 710,325
IMCO Recycling, Inc................................... 1,000 6,687
*Inacom Corp.......................................... 7,600 1,292
Independence Community Bank Corp...................... 30,300 405,262
*Information Resources, Inc........................... 13,500 67,078
Ingles Market, Inc. Class A........................... 4,300 42,462
*Ingram Micro, Inc.................................... 17,900 302,062
*Inprise Corp......................................... 9,700 54,108
*Input/Output, Inc.................................... 25,100 197,662
*Insignia Financial Group, Inc........................ 9,500 107,469
*Integrated Electrical Services, Inc.................. 13,500 66,656
Interface, Inc. Class A............................... 18,800 82,250
*Intergraph Corp...................................... 3,600 20,137
*Interim Services, Inc................................ 26,600 535,325
<CAPTION>
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Intermet Corp......................................... 10,900 $ 75,108
International Multifoods Corp......................... 8,000 111,500
International Paper Co................................ 81,800 2,847,662
*International Speciality Products, Inc............... 25,000 135,937
Interpool, Inc........................................ 100 800
*Ionics, Inc.......................................... 8,700 250,125
*JDA Software Group, Inc.............................. 2,100 32,616
Jefferies Group, Inc.................................. 11,400 230,137
*JLK Direct Distribution, Inc. Class A................ 2,000 13,875
Justin Industries, Inc................................ 1,000 17,437
*K Mart Corp.......................................... 200,100 1,700,850
*Kaiser Aluminum Corp................................. 36,000 159,750
Kaman Corp. Class A................................... 6,500 64,797
Kellwood Co........................................... 7,900 133,312
Kennametal, Inc....................................... 14,000 369,250
*Kent Electronics Corp................................ 1,700 47,175
*Key Energy Group, Inc................................ 17,000 184,875
Keycorp............................................... 100,000 2,100,000
*kforce.com, Inc...................................... 12,000 154,125
Kimball International, Inc. Class B................... 4,900 79,166
Lafarge Corp.......................................... 24,900 634,950
Landamerica Financial Group, Inc...................... 9,800 180,687
Landrys Seafood Restaurants, Inc...................... 11,400 89,062
*Lanier Worldwide, Inc................................ 6,800 12,325
Lehman Brothers Holdings, Inc......................... 19,400 1,497,437
Lennar Corp........................................... 17,200 324,650
*Liberty Corp......................................... 5,400 189,675
Liberty Financial Companies, Inc...................... 17,600 414,700
Lincoln National Corp................................. 72,300 2,801,625
LNR Property Corp..................................... 11,800 228,625
Lockheed Martin Corp.................................. 121,600 2,979,200
*Loews Cineplex Entertainment Corp.................... 19,100 50,137
Loews Corp............................................ 36,600 2,411,025
Lone Star Steakhouse Saloon........................... 13,300 140,897
*Lone Star Technologies, Inc.......................... 3,000 159,000
Longs Drug Stores Corp................................ 18,400 371,450
Longview Fibre Co..................................... 12,600 151,200
*Louis Dreyfus Natural Gas Corp....................... 8,100 260,212
Louisiana-Pacific Corp................................ 21,100 237,375
LTV Corp.............................................. 49,200 129,150
Luby's Cafeterias, Inc................................ 11,400 100,462
Lyondell Chemical Co.................................. 37,000 617,437
M.A. Hanna Co......................................... 20,500 239,594
*Magellan Health Services, Inc........................ 7,100 15,087
*Magnetek, Inc........................................ 6,500 54,844
*Mail-Well, Inc....................................... 23,400 219,375
Mallinckrodt, Inc..................................... 16,200 468,788
*Mandalay Resort Group................................ 37,200 788,175
*Manor Care, Inc...................................... 29,800 210,463
Marcus Corp........................................... 5,000 54,688
*Marine Drilling Companies, Inc....................... 2,200 63,250
Mark IV Industries, Inc............................... 7,800 165,750
*Maxxam, Inc.......................................... 2,400 61,200
MBIA, Inc............................................. 43,300 2,503,281
McGrath Rent Corp..................................... 500 7,844
MDC Holdings, Inc..................................... 10,700 206,644
Mead Corp............................................. 12,600 388,238
*Medical Assurance, Inc............................... 7,200 81,900
*MEMC Electronic Materials, Inc....................... 3,200 49,000
Metals USA, Inc....................................... 15,500 81,375
*Metromedia International Group, Inc.................. 12,600 54,338
*Michaels Stores, Inc................................. 4,200 179,550
</TABLE>
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Midland Co............................................ 1,000 $ 25,250
Mikasa, Inc........................................... 1,000 9,625
Milacron, Inc......................................... 14,500 229,281
Millennium Chemicals, Inc............................. 25,800 496,650
Mine Safety Appliances Co............................. 2,000 46,500
*Mirage Resorts, Inc.................................. 44,900 940,094
*Modis Professional Services, Inc..................... 44,300 454,075
*Mony Group, Inc...................................... 22,400 830,200
*Moog, Inc. Class A................................... 2,300 49,163
*Morrison Knudsen Corp................................ 22,700 175,925
*MS Carriers, Inc..................................... 6,000 115,688
Nabisco Group Holdings Corp........................... 32,400 706,725
Nacco Industries, Inc. Class A........................ 5,300 200,075
National Presto Industries, Inc....................... 3,400 105,613
*National Semiconductor Corp.......................... 11,000 591,250
National Steel Corp. Class B.......................... 5,700 29,925
*National Western Life Insurance Co. Class A.......... 900 66,572
*NationsRent, Inc..................................... 20,700 76,331
NCH Corp.............................................. 1,500 60,000
*NCI Building Systems, Inc............................ 8,200 139,913
*Network Equipment Technologies, Inc.................. 8,200 87,638
*Newpark Resources, Inc............................... 4,000 33,500
*Noble Drilling Corp.................................. 1,200 52,050
Norfolk Southern Corp................................. 99,700 1,775,906
*Nortek, Inc.......................................... 5,100 109,331
Northrop Grumman Corp................................. 30,000 2,298,750
Northwest Bancorp, Inc................................ 2,300 17,466
*NS Group, Inc........................................ 6,100 111,706
*Nuevo Energy Co...................................... 1,000 19,313
OceanFirst Financial Corp............................. 1,600 27,300
*Ocwen Financial Corp................................. 31,000 178,250
*Officemax, Inc....................................... 40,800 221,850
*Offshore Logistics, Inc.............................. 8,500 119,266
Ogden Corp............................................ 23,100 199,238
Ohio Casualty Corp.................................... 14,700 175,941
Old Republic International Corp....................... 45,100 792,069
Omnicare, Inc......................................... 42,800 706,200
*On Command Corp...................................... 1,600 26,200
*Orbital Sciences Corp................................ 5,871 71,920
Overseas Shipholding Group, Inc....................... 15,300 354,769
*Owens-Illinois, Inc.................................. 122,200 1,374,750
Pacific Century Financial Corp........................ 34,600 778,500
*Pacificare Health Systems, Inc....................... 13,900 900,894
*Pactiv Corporation................................... 31,900 285,106
Park Electrochemical Corp............................. 2,000 50,125
*Park Place Entertainment Corp........................ 23,000 290,375
*Parker Drilling Co................................... 34,100 206,731
*Paxar Corp........................................... 11,000 110,688
*Paxson Communications Corp........................... 6,600 51,150
Penney (J.C.) Co., Inc................................ 99,000 1,794,375
Pep Boys - Manny, Moe & Jack.......................... 22,100 157,463
*Perrigo Co........................................... 2,700 16,453
*Per-Se Technologies, Inc............................. 2,000 13,063
*Personnel Group of America, Inc...................... 7,000 28,000
*Petco Animal Supplies, Inc........................... 8,500 161,234
*PetSmart, Inc........................................ 3,100 9,252
PFF Bancorp, Inc...................................... 500 6,969
Phelps Dodge Corp..................................... 21,273 954,626
Phillips-Van Heusen Corp.............................. 9,900 86,006
Phoenix Investment Partners, Ltd...................... 17,700 148,238
<CAPTION>
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Pier 1 Imports, Inc. DE............................... 18,600 $ 158,100
Pilgrim Pride Corp.................................... 13,700 109,600
*Pinnacle Entertainment, Inc.......................... 2,800 53,375
*Pioneer Natural Resources Co......................... 28,000 418,250
Pioneer Standard Electronics, Inc..................... 12,600 150,806
PMI Group, Inc........................................ 3,550 180,163
*Policy Management Systems Corp....................... 17,000 173,188
Polymer Group, Inc.................................... 16,100 117,731
Potlatch Corp......................................... 13,800 522,675
Precision Castparts Corp.............................. 11,300 550,875
*Premier Parks, Inc................................... 37,900 902,494
Presidential Life Corp................................ 13,800 203,119
*Price Communications Corp............................ 4,265 97,295
*Pride International, Inc............................. 7,100 180,606
*Primark Corp......................................... 8,300 215,800
*Prime Hospitality Corp............................... 21,500 185,438
*Professionals Group, Inc............................. 3,800 63,056
*PSS World Medical, Inc............................... 22,100 186,469
*PTEK Holdings, Inc................................... 17,500 60,156
Pulte Corp............................................ 18,400 408,250
Quanex Corp........................................... 7,400 108,225
*Quest Diagnostics, Inc............................... 2,800 187,250
Questar Corp.......................................... 37,800 767,813
*Quorum Health Group, Inc............................. 30,100 291,123
Radian Group, Inc..................................... 18,000 990,000
Rayonier, Inc......................................... 3,400 136,850
Raytheon Co. Class A.................................. 48,500 1,142,781
Raytheon Co. Class B.................................. 108,700 2,547,656
*RDO Equipment Co. Class A............................ 1,100 6,188
*Reebok International, Ltd............................ 27,200 377,400
Reliance Group Holdings, Inc.......................... 32,700 75,619
Reliance Steel and Aluminum Co........................ 4,000 83,750
*Renaissance Worldwide, Inc........................... 15,600 34,613
*Rent-Way, Inc........................................ 1,000 26,688
Republic Security Financial Corp...................... 15,200 62,463
*Respironics, Inc..................................... 6,200 99,588
Riggs National Corp................................... 8,100 117,956
*Rite Aid Corp........................................ 65,800 456,488
RJ Reynolds Tobacco Holdings, Inc..................... 13,900 385,725
RLI Corp.............................................. 4,300 156,413
Roadway Express, Inc.................................. 2,000 42,938
Rock-Tenn Co. Class A................................. 6,600 63,113
Rollins Truck Leasing Corp............................ 27,900 263,306
*RTI International Metals, Inc........................ 12,000 156,000
Russ Berrie & Co., Inc................................ 10,100 191,269
*Ryans Family Steak Houses, Inc....................... 11,100 100,594
Ryder System, Inc..................................... 24,200 464,338
Ryerson Tull, Inc..................................... 12,200 120,475
Ryland Group, Inc..................................... 5,500 122,031
*Sabre Holdings Corp.................................. 33,675 968,156
Safeco Corp........................................... 23,200 569,125
Saint Paul Companies, Inc............................. 99,900 3,746,250
*Saks, Inc............................................ 51,550 596,047
*Schein (Henry), Inc.................................. 16,900 298,391
Schulman (A.), Inc.................................... 13,200 157,163
Schweitzer-Maudoit International, Inc................. 4,600 63,250
SCPIE Holdings, Inc................................... 4,700 114,269
Seaboard Corp......................................... 1,100 202,400
Seacoast Financial Services Corp...................... 7,600 66,738
*Seacor Smit, Inc..................................... 5,300 339,863
*Seagate Technology, Inc.............................. 2,700 156,600
Sears, Roebuck & Co................................... 106,900 3,948,619
</TABLE>
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*Seitel, Inc.......................................... 10,100 $ 85,850
Selective Insurance Group, Inc........................ 12,200 226,081
*Sensormatic Electronics Corp......................... 18,900 296,494
*Sequa Corp. Class A.................................. 3,300 157,369
*Sequa Corp. Class B.................................. 900 51,750
Service Corp. International........................... 148,900 465,313
*Shaw Group, Inc...................................... 1,300 56,713
*Shopko Stores, Inc................................... 10,300 189,263
*Sierra Health Services, Inc.......................... 1,100 4,606
*Silicon Graphics, Inc................................ 46,800 310,050
*Silicon Valley Group, Inc............................ 5,800 154,244
*Sinclair Broadcast Group, Inc. Class A............... 25,800 212,447
Skyline Corp.......................................... 1,000 20,625
SLI, Inc.............................................. 10,200 132,600
*Smart & Final Food, Inc.............................. 7,800 63,863
Smith (A.O.) Corp..................................... 6,900 144,900
Smith (A.O.) Corp. Convertible Class A................ 2,200 46,475
*Sonic Automotive, Inc................................ 10,500 102,375
South Financial Group, Inc............................ 9,100 114,319
South Jersey Industries, Inc.......................... 3,300 86,006
Sovereign Bancorp, Inc................................ 53,120 364,370
*SpeedFam-IPEC, Inc................................... 1,000 13,156
Spiegel, Inc. Class A Non-Voting...................... 3,000 22,922
Springs Industries, Inc. Class A...................... 4,800 228,000
*SPS Technologies, Inc................................ 5,000 175,625
*Staffmark, Inc....................................... 12,200 60,238
Standard Motor Products, Inc. Class A................. 5,000 48,438
Standard Pacific Corp. DE............................. 14,500 164,938
Standard Register Co.................................. 11,600 157,325
*STAR Telecommunications, Inc......................... 20,500 42,922
Starwood Hotels and Resorts Worldwide, Inc............ 49,600 1,466,300
State Auto Financial Corp............................. 15,100 168,931
Staten Island Bancorp, Inc............................ 16,000 271,000
*Steelcase, Inc. Class A.............................. 10,700 131,075
Stepan Co............................................. 2,200 48,125
Stewart & Stevenson Services, Inc..................... 9,700 135,194
Stewart Enterprises, Inc.............................. 45,800 184,631
Stewart Information Services Corp..................... 3,300 41,663
Stone & Webster, Inc.................................. 1,000 969
*Stoneridge, Inc...................................... 7,300 82,125
Stride Rite Corp...................................... 22,589 148,240
Sunoco, Inc........................................... 29,300 946,756
*Sunrise Assisted Living, Inc......................... 8,800 160,325
Supervalu, Inc........................................ 48,300 1,005,244
Susquehanna Bancshares, Inc........................... 10,400 142,025
*Swift Energy Corp.................................... 15,500 398,156
*Sylvan Learning Systems, Inc......................... 6,900 78,056
*Systemax, Inc........................................ 18,100 123,306
*Tech Data Corp....................................... 14,400 541,350
Tecumseh Products Co. Class A......................... 5,800 261,906
Tecumseh Products Co. Class B......................... 2,000 86,375
Tektronix, Inc........................................ 900 48,150
*Telxon Corp.......................................... 1,100 17,119
Temple-Inland, Inc.................................... 20,500 1,018,594
Tenet Healthcare Corp................................. 50,500 1,294,063
Tenneco Automotive, Inc............................... 1,880 13,748
*Terex Corp........................................... 7,800 124,313
Terra Industries, Inc................................. 15,000 31,875
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Tesoro Petroleum Corp................................ 13,900 $ 142,475
Texas Industries, Inc................................. 8,500 243,844
*Thermedics, Inc...................................... 6,300 53,156
*Thermo Ecotek Corp................................... 1,000 7,813
*Thermo Instrument Systems, Inc....................... 13,900 227,613
*Thermo-Electron Corp................................. 44,700 829,744
Thomas Industries, Inc................................ 900 18,000
Tidewater, Inc........................................ 9,800 380,975
Timken Co............................................. 23,300 439,788
*Toll Brothers, Inc................................... 16,600 321,625
*Tower Automotive, Inc................................ 21,000 291,375
*Toys R Us, Inc....................................... 100,500 1,582,875
*Transmontaigne Oil Co................................ 200 1,350
Trenwick Group, Inc................................... 7,625 114,375
*Triad Hospitals, Inc................................. 1,200 25,725
*Trico Marine Services, Inc........................... 10,500 102,047
*Trigon Healthcare, Inc............................... 8,700 435,000
Trinity Industries, Inc............................... 14,900 328,731
*Triumph Group........................................ 4,100 114,800
Tucker Anthony Sutro Corp............................. 10,100 172,963
*Twinlab Corp......................................... 9,500 67,984
Tyson Foods, Inc. Class A............................. 53,200 525,350
U.S. Industries, Inc.................................. 39,300 530,550
*UAL Corp............................................. 26,300 1,354,450
*UICI................................................. 13,800 67,275
Ultramar Diamond Shamrock Corp........................ 21,800 565,438
*Ultratech Stepper, Inc............................... 3,000 42,188
UMB Financial Corp.................................... 9,400 347,213
*Unifi, Inc........................................... 27,500 350,625
Union Pacific Corp.................................... 51,900 2,196,019
Union Pacific Resources Group, Inc.................... 65,900 1,561,006
*Unit Corp............................................ 3,000 39,563
*United Auto Group, Inc............................... 5,800 51,838
United Community Financial Corp....................... 15,000 88,594
*United Rentals, Inc.................................. 35,400 575,250
Unitrin, Inc.......................................... 21,700 698,469
Universal Corporation................................. 8,000 185,500
Universal Forest Products, Inc........................ 10,600 139,456
*Universal Stainless & Alloy Products, Inc............ 300 2,063
*Unova, Inc........................................... 21,600 298,350
UnumProvident Corp.................................... 87,100 1,976,081
*URS Corp............................................. 5,600 73,500
*US Oncology, Inc..................................... 39,000 186,469
*Usec, Inc............................................ 28,300 130,888
USX-Marathon Group, Inc............................... 83,400 2,267,438
USX-US Steel Group.................................... 42,900 967,931
*Vail Resorts, Inc.................................... 11,600 185,600
Valero Energy Corp.................................... 15,200 444,600
Valhi, Inc............................................ 19,800 211,613
*Value City Department Stores, Inc.................... 10,700 106,331
*Varco International, Inc............................. 4,500 97,875
*Varian Medical Systems, Inc.......................... 4,900 202,431
*Venator Group, Inc................................... 32,000 346,000
*Veritas DGC, Inc..................................... 2,900 80,113
*Veterinary Centers of America, Inc................... 8,500 115,547
Vintage Petroleum, Inc................................ 6,100 144,875
*Vishay Intertechnology, Inc.......................... 11,000 778,250
*Volt Information Sciences, Inc....................... 3,000 86,625
Wabash National Corp.................................. 10,000 128,125
Wallace Computer Services, Inc........................ 12,000 120,000
Walter Industries, Inc................................ 5,600 60,550
</TABLE>
62
<PAGE>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Warnaco Group, Inc.................................... 25,900 $ 174,825
*Waste Connections, Inc............................... 9,700 187,938
Watsco, Inc. Class A.................................. 10,300 152,569
Watts Industries, Inc. Class A........................ 8,800 100,100
*Webb (Del) Corp...................................... 8,100 123,525
*Weirton Steel Corp................................... 25,500 116,344
Wellman, Inc.......................................... 12,600 248,063
Werner Enterprises, Inc............................... 15,000 187,969
Westcorp, Inc......................................... 11,100 120,713
Westvaco Corp......................................... 45,500 1,370,688
*WFS Financial, Inc................................... 2,000 31,563
Whitney Holdings Corp................................. 3,900 151,978
*Wisconsin Central Transportation Corp................ 19,000 248,188
*Wolverine Tube, Inc.................................. 3,300 54,450
Woodward Governor Co.................................. 4,800 117,150
Worthington Industries, Inc........................... 10,300 124,888
*Xtra Corp............................................ 4,800 216,300
*Yellow Corp.......................................... 15,400 252,656
York International Corp............................... 10,650 278,231
Zenith National Insurance Corp........................ 8,000 190,000
*Ziff-Davis, Inc...................................... 42,500 358,594
--------------
TOTAL COMMON STOCKS
(Cost $228,765,694).................................. 244,899,828
--------------
RIGHTS/WARRANTS -- (0.0%)
*Westcorp, Inc. Rights 06/15/00
(Cost $0)........................................... 11,100 2,428
--------------
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holdings (Senior Preferred 12%)
(Cost $0)........................................... 1,500 757
--------------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (1.5%)
<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 $3,783,601) to be
repurchased at $3,727,616.
(Cost $3,727,000) $ 3,727 3,727,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $232,492,694)++................................ $ 248,630,013
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $232,977,140.
</TABLE>
See accompanying Notes to Financial Statements.
63
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investment at Value......................................... $248,630
Collateral for Securities Loaned............................ 1,496
Receivables:
Dividends and Interest.................................... 711
Investment Securities Sold................................ 2,270
Fund Shares Sold.......................................... 620
Prepaid Expenses and Other Assets........................... 1
--------
Total Assets............................................ 253,728
--------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 1,496
Payable for Investment Securities Purchased................. 2,749
Accrued Expenses and Other Liabilities...................... 61
--------
Total Liabilities....................................... 4,306
--------
NET ASSETS.................................................. $249,422
========
Investments at Cost......................................... $232,493
========
</TABLE>
See accompanying Notes to Financial Statements.
64
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends................................................. $ 2,043
Interest.................................................. 171
Income From Securities Lending............................ 25
---------
Total Investment Income............................... 2,239
---------
EXPENSES
Investment Advisory Services.............................. 199
Accounting & Transfer Agent Fees.......................... 38
Custodian's Fees.......................................... 10
Legal Fees................................................ 1
Audit Fees................................................ 1
Shareholders' Reports..................................... 1
Other..................................................... 1
---------
Total Expenses........................................ 251
---------
NET INVESTMENT INCOME..................................... 1,988
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss on Investment Securities Sold........... (13,914)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... 17,615
---------
NET GAIN ON INVESTMENT SECURITIES......................... 3,701
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 5,689
=========
</TABLE>
See accompanying Notes to Financial Statements.
65
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS DEC. 14, 1998
ENDED TO
MAY 31, NOV. 30,
2000 1999
----------- -------------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 1,988 $ 1,148
Net Realized Loss on Investment Securities Sold........... (13,914) (463)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................... 17,615 (1,479)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 5,689 (794)
-------- --------
Transactions in Interest:
Contributions............................................. 129,640 132,586
Withdrawals............................................... (11,911) (5,788)
-------- --------
Net Increase from Transactions in Interest................ 117,729 126,798
-------- --------
Total Increase.......................................... 123,418 126,004
-------- --------
NET ASSETS
Beginning of Period....................................... 126,004 --
-------- --------
End of Period............................................. $249,422 $126,004
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
66
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS DEC. 14, 1998
ENDED TO
MAY 31, NOV. 30,
2000 1999
----------- --------------
(UNAUDITED)
<S> <C> <C>
Net Asset Value, Beginning of Period........................ N/A N/A
-------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... -- --
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. -- --
-------- --------
Total from Investment Operations.......................... -- --
-------- --------
LESS DISTRIBUTIONS
Net Investment Income..................................... -- --
Net Realized Gains........................................ -- --
-------- --------
Total Distributions....................................... N/A N/A
-------- --------
Net Asset Value, End of Period.............................. N/A N/A
======== ========
Total Return................................................ N/A N/A
Net Assets, End of Period (thousands)....................... $249,422 $126,004
Ratio of Expenses to Average Net Assets..................... 0.25%* 0.29%*(a)
Ratio of Net Investment Income to Average Net Assets........ 2.00%* 1.66%*(a)
Portfolio Turnover Rate..................................... 42%* 10%*
</TABLE>
--------------
* Annualized
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series is organized
as a partnership.
See accompanying Notes to Financial Statements.
67
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently consists of twenty-one series, of which The Tax-Managed U.S.
Marketwide Value Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series 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. 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 Trustees.
2. FEDERAL INCOME TAXES: The Series is treated as a partnership for
federal income tax purposes. Any interest, dividends and gains or losses will be
deemed to have been "passed through" to its Feeder Fund.
3. REPURCHASE AGREEMENTS: The Series 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
or with the Trust'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.
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 securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of Trustees.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Series. For the six months ended May 31, 2000, the
Series' advisory fees were accrued daily and paid monthly to the Advisor based
on an effective annual rate of 0.20 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
68
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2000, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases................................................... $163,790
Sales....................................................... 48,092
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................... $ 30,637
Gross Unrealized Depreciation............................... (14,984)
--------
Net......................................................... $ 15,653
========
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
series 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 series 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. Borrowings under the line of credit by the
Series for the six months ended May 31, 2000 were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE OF DAYS EXPENSE BORROWED
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED DURING THE PERIOD
------------- ------------ ----------- -------- -----------------
<S> <C> <C> <C> <C>
6.82 % $486,000 1 $92 $486,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
2000.
G. 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.
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 Series 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 JP Morgan which
was in turn collateralized by U.S. Government Treasury Securities. At May 31,
2000, the market value of securities on loan to brokers was $1,174,227, the
related collateral cash received was $1,496,300 and the value of collateral on
overnight repurchase agreements was $1,534,934.
69
