<PAGE>
- --------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
---------
<S> <C>
Performance Charts................................................................................................... 1-2
Schedules of Investments
VA Small Value Portfolio........................................................................................... 3-16
VA Large Value Portfolio........................................................................................... 17-18
VA International Value Portfolio................................................................................... 19-23
VA International Small Portfolio................................................................................... 24-31
Statements of Net Assets
VA Short-Term Fixed Portfolio...................................................................................... 32-33
VA Global Bond Portfolio........................................................................................... 34-35
Statements of Assets and Liabilities
VA Small Value Portfolio........................................................................................... 36
VA Large Value Portfolio........................................................................................... 36
VA International Value Portfolio................................................................................... 37
VA International Small Portfolio................................................................................... 37
Statements of Operations............................................................................................. 38-39
Statements of Changes in Net Assets.................................................................................. 40-42
Financial Highlights................................................................................................. 43-45
Notes to Financial Statements........................................................................................ 46-50
Report of Independent Accountants.................................................................................... 51
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
VA SMALL VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
OCTOBER 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
VA SMALL RUSSELL 2000
VALUE PORTFOLIO VALUE INDEX
$10,000 $10,000
Oct-95 $9,490 $9,601
Nov-95 $9,696 $9,982
Dec-95 $9,853 $10,292
Jan-96 $9,773 $10,360
Feb-96 $9,994 $10,522
Mar-96 $10,335 $10,743
Apr-96 $10,826 $11,036
May-96 $11,306 $11,316
Jun-96 $11,046 $11,182
Jul-96 $10,355 $10,587
Aug-96 $10,766 $11,047
Sep-96 $11,096 $11,348
Oct-96 $11,196 $11,480
Nov-96 $11,777 $12,098
Dec-96 $12,026 $12,491
Jan-97 $12,289 $12,683
Feb-97 $12,310 $12,804
Mar-97 $11,985 $12,460
Apr-97 $11,965 $12,644
May-97 $13,152 $13,650
Jun-97 $13,953 $14,341
Jul-97 $14,775 $14,943
Aug-97 $15,261 $15,181
Sep-97 $16,498 $16,190
Oct-97 $15,870 $15,750
Nov-97 $15,667 $15,923
Dec-97 $15,688 $16,463
Jan-98 $15,568 $16,165
Feb-98 $16,749 $17,143
Mar-98 $17,372 $17,839
Apr-98 $17,767 $17,926
May-98 $17,045 $17,292
Jun-98 $16,674 $17,193
Jul-98 $15,415 $15,847
Aug-98 $12,646 $13,365
Sep-98 $13,051 $14,120
Oct-98 $13,576 $14,540
Nov-98 $14,341 $14,934
Dec-98 $14,650 $15,403
Jan-99 $14,818 $15,053
Feb-99 $13,593 $14,025
Mar-99 $13,280 $13,910
Apr-99 $14,686 $15,180
May-99 $15,384 $15,646
Jun-99 $16,286 $16,212
Jul-99 $16,141 $15,828
Aug-99 $15,708 $15,249
Sep-99 $15,323 $14,944
Oct-99 $14,651 $14,645
Nov-99 $15,360 $14,721
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR OCTOBER 1995
- ------------------------------------------
<S> <C> <C>
7.10 10.85
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING ON A MARKET CAP-WEIGHTED BASIS IN COMPANIES
THAT HAVE AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY $400 MILLION AND
BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF SMALL U.S.
COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA LARGE VALUE PORTFOLIO VS.
RUSSELL 1000 VALUE INDEX
FEBRUARY 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
VA LARGE RUSSELL 1000
VALUE PORTFOLIO VALUE INDEX
$10,000 $10,000
Feb-95 $10,313 $10,395
Mar-95 $10,667 $10,623
Apr-95 $10,990 $10,958
May-95 $11,243 $11,420
Jun-95 $11,314 $11,575
Jul-95 $11,870 $11,978
Aug-95 $11,799 $12,147
Sep-95 $12,022 $12,586
Oct-95 $11,607 $12,462
Nov-95 $12,175 $13,094
Dec-95 $12,266 $13,422
Jan-96 $12,568 $13,841
Feb-96 $12,687 $13,946
Mar-96 $13,154 $14,183
Apr-96 $13,349 $14,237
May-96 $13,586 $14,415
Jun-96 $13,191 $14,427
Jul-96 $12,626 $13,881
Aug-96 $13,092 $14,278
Sep-96 $13,322 $14,847
Oct-96 $13,746 $15,421
Nov-96 $14,662 $16,539
Dec-96 $14,531 $16,328
Jan-97 $15,030 $17,119
Feb-97 $15,359 $17,371
Mar-97 $14,659 $16,746
Apr-97 $15,113 $17,449
May-97 $16,272 $18,424
Jun-97 $16,715 $19,215
Jul-97 $18,405 $20,660
Aug-97 $18,085 $19,924
Sep-97 $19,025 $21,128
Oct-97 $18,154 $20,538
Nov-97 $18,430 $21,446
Dec-97 $18,776 $22,072
Jan-98 $18,874 $21,761
Feb-98 $20,436 $23,226
Mar-98 $21,550 $24,647
Apr-98 $21,673 $24,812
May-98 $21,500 $24,445
Jun-98 $21,433 $24,758
Jul-98 $20,666 $24,322
Aug-98 $17,208 $20,703
Sep-98 $18,038 $21,891
Oct-98 $19,493 $23,588
Nov-98 $20,538 $24,687
Dec-98 $20,793 $25,526
Jan-99 $21,034 $25,731
Feb-99 $20,485 $25,368
Mar-99 $21,114 $25,893
Apr-99 $23,375 $28,311
May-99 $23,415 $28,000
Jun-99 $23,869 $28,812
Jul-99 $22,946 $27,968
Aug-99 $22,237 $26,930
Sep-99 $21,031 $25,990
Oct-99 $21,807 $27,487
Nov-99 $21,406 $27,273
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR FEBRUARY 1995
- -------------------------------------------
<S> <C> <C>
4.23 17.05
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING ON A MARKET CAP-WEIGHTED BASIS IN COMPANIES
THAT HAVE AVERAGE WEIGHTED MARKET CAPS OF APPROXIMATELY $12 BILLION AND
BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF PUBLICLY TRADED COMPANIES.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF LARGE U.S.
COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
Past performance is not predictive of future performance.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
OCTOBER 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
VA INTERNATIONAL MSCI EAFE
VALUE PORTFOLIO INDEX (NET DIVIDENDS)
$10,000 $10,000
Oct-95 $9,800 $9,731
Nov-95 $10,030 $10,002
Dec-95 $10,555 $10,405
Jan-96 $10,615 $10,447
Feb-96 $10,625 $10,483
Mar-96 $10,825 $10,706
Apr-96 $11,247 $11,018
May-96 $11,187 $10,815
Jun-96 $11,197 $10,875
Jul-96 $10,857 $10,558
Aug-96 $10,916 $10,581
Sep-96 $11,096 $10,863
Oct-96 $10,927 $10,752
Nov-96 $11,427 $11,180
Dec-96 $11,306 $11,035
Jan-97 $10,859 $10,649
Feb-97 $10,981 $10,824
Mar-97 $11,041 $10,863
Apr-97 $10,940 $10,920
May-97 $11,782 $11,631
Jun-97 $12,350 $12,272
Jul-97 $12,492 $12,471
Aug-97 $11,680 $11,539
Sep-97 $12,178 $12,186
Oct-97 $11,508 $11,250
Nov-97 $11,031 $11,135
Dec-97 $11,054 $11,232
Jan-98 $11,670 $11,745
Feb-98 $12,423 $12,499
Mar-98 $12,935 $12,884
Apr-98 $12,966 $12,986
May-98 $13,007 $12,922
Jun-98 $12,871 $13,021
Jul-98 $12,850 $13,152
Aug-98 $11,124 $11,523
Sep-98 $10,528 $11,170
Oct-98 $11,647 $12,334
Nov-98 $12,181 $12,965
Dec-98 $12,349 $13,477
Jan-99 $12,237 $13,437
Feb-99 $11,945 $13,117
Mar-99 $12,719 $13,664
Apr-99 $13,527 $14,218
May-99 $12,876 $13,485
Jun-99 $13,550 $14,011
Jul-99 $14,200 $14,428
Aug-99 $14,290 $14,481
Sep-99 $14,435 $14,627
Oct-99 $14,301 $15,168
Nov-99 $14,278 $15,695
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR OCTOBER 1995
- ------------------------------------------
<S> <C> <C>
17.22 8.92
</TABLE>
- - THE PORTFOLIO INVESTS IN COMPANIES WITH MARKET CAPITALIZATION OF AT LEAST
$800 MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF LARGE PUBLICLY
TRADED NON-U.S. COMPANIES. COUNTRY WEIGHTINGS REFLECT THE MSCI EAFE INDEX
MARKET CAPITALIZATION WEIGHT, WITH JAPAN LIMITED TO 38%.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
VA INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
SALOMON EXTENDED MARKET INDEX
OCTOBER 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
VA INTERNATIONAL SALOMON SMITH BARNEY
SMALL COMPANY PORTFOLIO EXTENDED MARKET INDEX-EPAC
Sep-95 $9,930 $10,000
Oct-95 $9,573 $9,712
Nov-95 $9,642 $9,815
Dec-95 $10,040 $10,191
Jan-96 $10,358 $10,372
Feb-96 $10,487 $10,534
Mar-96 $10,765 $10,776
Apr-96 $11,520 $11,343
May-96 $11,351 $11,251
Jun-96 $11,152 $11,252
Jul-96 $10,567 $10,827
Aug-96 $10,567 $10,936
Sep-96 $10,567 $10,998
Oct-96 $10,388 $10,955
Nov-96 $10,408 $11,134
Dec-96 $10,066 $10,930
Jan-97 $9,882 $10,694
Feb-97 $9,995 $10,873
Mar-97 $9,770 $10,729
Apr-97 $9,494 $10,568
May-97 $10,128 $11,245
Jun-97 $10,302 $11,499
Jul-97 $9,872 $11,325
Aug-97 $9,402 $10,842
Sep-97 $9,228 $11,035
Oct-97 $8,809 $10,599
Nov-97 $8,165 $10,125
Dec-97 $7,728 $9,901
Jan-98 $8,220 $10,314
Feb-98 $9,079 $11,084
Mar-98 $9,194 $11,605
Apr-98 $9,058 $11,693
May-98 $9,027 $11,910
Jun-98 $8,733 $11,563
Jul-98 $8,545 $11,483
Aug-98 $7,550 $10,075
Sep-98 $7,277 $9,813
Oct-98 $7,780 $10,506
Nov-98 $8,147 $10,842
Dec-98 $8,127 $11,104
Jan-99 $8,036 $11,070
Feb-99 $7,933 $10,855
Mar-99 $8,298 $11,262
Apr-99 $9,086 $11,872
May-99 $9,028 $11,561
Jun-99 $9,554 $11,955
Jul-99 $9,759 $12,402
Aug-99 $9,851 $12,593
Sep-99 $9,782 $12,563
Oct-99 $9,611 $12,437
Nov-99 $9,485 $12,862
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR OCTOBER 1995
- ------------------------------------------
<S> <C> <C>
15.64 -1.26
</TABLE>
- - THE PORTFOLIO OBJECTIVE IS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION
BENEFITS BY INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET
CAP-WEIGHTED BASIS. THE PORTFOLIO PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES LISTED ON THE MAJOR EXCHANGES OF COUNTRIES OUTSIDE THE U.S.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Salomon Smith Barney Extended Market Index-EPAC is courtesy of Salomon Smith
Barney.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA SHORT-TERM FIXED PORTFOLIO VS.
THREE-MONTH U.S. TREASURY BILL INDEX
OCTOBER 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
VA SHORT-TERM THREE-MONTH
FIXED PORTFOLIO U.S. TREASURY BILL INDEX
Sep-95 $10,000 $10,000
Oct-95 $10,039 $10,047
Nov-95 $10,081 $10,092
Dec-95 $10,128 $10,148
Jan-96 $10,173 $10,194
Feb-96 $10,214 $10,235
Mar-96 $10,241 $10,273
Apr-96 $10,269 $10,317
May-96 $10,285 $10,363
Jun-96 $10,342 $10,405
Jul-96 $10,384 $10,452
Aug-96 $10,426 $10,499
Sep-96 $10,492 $10,548
Oct-96 $10,566 $10,594
Nov-96 $10,620 $10,639
Dec-96 $10,654 $10,686
Jan-97 $10,697 $10,735
Feb-97 $10,739 $10,777
Mar-97 $10,750 $10,822
Apr-97 $10,819 $10,874
May-97 $10,877 $10,930
Jun-97 $10,936 $10,970
Jul-97 $11,018 $11,020
Aug-97 $11,045 $11,067
Sep-97 $11,116 $11,118
Oct-97 $11,173 $11,166
Nov-97 $11,201 $11,209
Dec-97 $11,261 $11,257
Jan-98 $11,318 $11,310
Feb-98 $11,368 $11,351
Mar-98 $11,419 $11,404
Apr-98 $11,470 $11,456
May-98 $11,521 $11,504
Jun-98 $11,571 $11,552
Jul-98 $11,622 $11,603
Aug-98 $11,671 $11,656
Sep-98 $11,726 $11,716
Oct-98 $11,775 $11,761
Nov-98 $11,825 $11,800
Dec-98 $11,881 $11,847
Jan-99 $11,917 $11,890
Feb-99 $11,953 $11,925
Mar-99 $12,012 $11,973
Apr-99 $12,049 $12,017
May-99 $12,083 $12,063
Jun-99 $12,119 $12,114
Jul-99 $12,154 $12,164
Aug-99 $12,189 $12,212
Sep-99 $12,260 $12,267
Oct-99 $12,307 $12,315
Nov-99 $12,343 $12,364
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR OCTOBER 1995
- -------------------------------------------
<S> <C> <C>
4.39 5.18
</TABLE>
- - THE PORTFOLIO MAXIMIZES EXPECTED RETURNS BY USING A STRATEGY OF SHIFTING
MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE
STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL
STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED
RETURNS. ISSUES WHICH MEET MATURITY AND QUALITY LEVEL ARE FURTHER EVALUATED
FOR BUSINESS RISK. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE
DOCUMENTED.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Three-Month U.S. Treasury Bill Index courtesy of Merrill Lynch.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA GLOBAL BOND PORTFOLIO VS.
LEHMAN INTERMEDIATE GOVERNMENT/CORPORATE INDEX
FEBRUARY 1995-NOVEMBER 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
VA GLOBAL LEHMAN INTERMEDIATE
BOND PORTFOLIO GOVERNMENT/CORPORATE INDEX
$10,000 $10,000
Feb-95 $10,155 $10,207
Mar-95 $10,339 $10,265
Apr-95 $10,484 $10,392
May-95 $10,712 $10,706
Jun-95 $10,719 $10,778
Jul-95 $10,816 $10,779
Aug-95 $10,853 $10,877
Sep-95 $10,992 $10,956
Oct-95 $11,080 $11,077
Nov-95 $11,268 $11,222
Dec-95 $11,314 $11,340
Jan-96 $11,405 $11,438
Feb-96 $11,243 $11,304
Mar-96 $11,297 $11,246
Apr-96 $11,351 $11,207
May-96 $11,416 $11,198
Jun-96 $11,453 $11,317
Jul-96 $11,540 $11,350
Aug-96 $11,716 $11,360
Sep-96 $11,935 $11,517
Oct-96 $12,145 $11,721
Nov-96 $12,299 $11,876
Dec-96 $12,329 $11,800
Jan-97 $12,425 $11,846
Feb-97 $12,533 $11,869
Mar-97 $12,458 $11,787
Apr-97 $12,555 $11,926
May-97 $12,640 $12,025
Jun-97 $12,825 $12,134
Jul-97 $12,960 $12,380
Aug-97 $12,984 $12,319
Sep-97 $13,106 $12,461
Oct-97 $13,156 $12,600
Nov-97 $13,230 $12,628
Dec-97 $13,288 $12,729
Jan-98 $13,423 $12,895
Feb-98 $13,519 $12,885
Mar-98 $13,594 $12,926
Apr-98 $13,649 $12,991
May-98 $13,758 $13,086
Jun-98 $13,817 $13,169
Jul-98 $13,900 $13,215
Aug-98 $14,024 $13,423
Sep-98 $14,206 $13,760
Oct-98 $14,276 $13,746
Nov-98 $14,346 $13,745
Dec-98 $14,383 $13,800
Jan-99 $14,508 $13,876
Feb-99 $14,550 $13,672
Mar-99 $14,648 $13,774
Apr-99 $14,759 $13,817
May-99 $14,759 $13,711
Jun-99 $14,718 $13,720
Jul-99 $14,731 $13,708
Aug-99 $14,772 $13,719
Sep-99 $14,828 $13,846
Oct-99 $14,828 $13,882
Nov-99 $14,898 $13,899
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR FEBRUARY 1995
- -------------------------------------------
<S> <C> <C>
3.85 8.60
</TABLE>
- - THE PORTFOLIO INVESTS IN U.S. AND INTERNATIONAL GOVERNMENT BONDS, DEBT
GUARANTEED BY FOREIGN GOVERNMENTS, HIGH QUALITY CORPORATE DEBT, BANK
OBLIGATIONS, AND DEBT OF SUPRANATIONAL ISSUERS WITH MATURITIES OF 5 YEARS OR
LESS. ELIGIBLE COUNTRIES INCLUDE THE UNITED STATES, CANADA, UNITED KINGDOM,
GERMANY, JAPAN, FRANCE, AUSTRALIA, THE NETHERLANDS, SWEDEN AND DENMARK. THE
PORTFOLIO IS DIVERSIFIED ACROSS COUNTRIES. USING CURRENT PRICES, THE STRATEGY
CREATES A MATRIX OF EXPECTED HORIZON RETURNS FROM DIFFERENT BUY AND SELL
STRATEGIES AND IDENTIFIES THE MATURITY RANGE WITH THE HIGHEST EXPECTED
RETURNS. MATURITIES ARE SHIFTED ONLY IF SUFFICIENT PREMIUMS WARRANT IT.
COUNTRY WEIGHTING IS INCREASED OR REDUCED BASED ON EXPECTED RETURNS. THE
PORTFOLIO MAY BE CONCENTRATED IN THE U.S. IF INTERNATIONAL CURVES ARE
INVERTED.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1999 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
Lehman Intermediate Government/Corporate Index courtesy of Lehman Brothers, Inc.
- --------------------------------------------------------------------------------
2
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (97.6%)
*3-D Systems Corp..................................... 1,000 $ 7,734
*3Dfx Interactive, Inc................................ 2,130 18,904
*A.C. Moore Arts & Crafts, Inc........................ 1,000 4,937
AAR Corp.............................................. 3,000 49,500
ABC Bancorp........................................... 1,000 13,187
*ABC Rail Products Corp............................... 400 4,450
*ACT Manufacturing, Inc............................... 500 15,266
*ACT Networks, Inc.................................... 1,000 8,125
*ACX Technologies, Inc................................ 2,800 25,900
*ADE Corp............................................. 1,000 17,906
*AEP Industries, Inc.................................. 1,100 32,450
*AMF Bowling, Inc..................................... 4,800 15,300
*#ARV Assisted Living, Inc............................ 1,600 3,300
*Aames Financial Corp................................. 2,800 2,975
*Abraxas Petroleum Corp............................... 1,000 1,031
*Accel International Corp............................. 400 419
*Acceptance Insurance Companies, Inc.................. 1,300 8,287
Aceto Corp............................................ 660 7,466
*#Acme Metals, Inc.................................... 1,000 290
*Active Voice Corp.................................... 200 5,400
*Adac Laboratories.................................... 1,000 11,844
*Adept Technology, Inc................................ 500 3,203
*Advance Lighting Technologies, Inc................... 2,000 11,062
*Advanced Communications Group, Inc................... 500 3,969
*Advanced Magnetics, Inc.............................. 500 1,781
Advanced Marketing Services, Inc...................... 750 15,305
*Advanced Neuromodulation Systems, Inc................ 200 1,494
Advanta Corp. Class A................................. 1,000 17,437
Advanta Corp. Class B Non-Voting...................... 2,000 25,750
Advest Group, Inc..................................... 700 12,556
*Aehr Test Systems.................................... 1,000 4,969
*Aerovox, Inc......................................... 400 1,100
*Aftermarket Technology Corp.......................... 1,000 8,625
Agco Corp............................................. 5,000 63,437
*Agribiotech, Inc..................................... 4,600 14,806
*Agribrands International, Inc........................ 400 18,825
*Aht Corp............................................. 1,000 4,469
*Air Methods Corp..................................... 300 1,078
*Airgas, Inc.......................................... 5,500 53,625
*Airnet Systems, Inc.................................. 600 3,225
Alamo Group, Inc...................................... 1,200 12,000
*Aldila, Inc.......................................... 1,300 1,727
Alico, Inc............................................ 200 3,225
*All Amer Semiconductor Inc........................... 260 841
*Allen Telecom, Inc................................... 2,800 26,250
Alliance Bancorp...................................... 1,359 27,010
*Alliance Semiconductor Corp.......................... 3,500 50,531
*Allied Healthcare Products, Inc...................... 1,700 4,941
*Allied Holdings, Inc................................. 200 1,400
Allied Products Corp.................................. 1,000 3,625
*Allied Research Corp................................. 300 1,912
*Allin Communications Corp............................ 500 2,500
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Allou Health & Beauty Care, Inc. Class A............. 500 $ 3,656
*Allstars Systems, Inc................................ 100 142
*Alltrista Corp....................................... 1,000 21,500
*Alpha Technologies Group, Inc........................ 500 3,109
*Alphanet Solutions, Inc.............................. 200 937
*Alterra Healthcare Corp.............................. 3,000 22,687
*Ambassadors, Inc..................................... 1,100 13,441
Amcast Industrial Corp................................ 700 9,800
*Amerco, Inc.......................................... 500 13,094
*#American Banknote Corp.............................. 1,600 160
American Business Products, Inc....................... 2,600 27,787
*American Coin Merchandising, Inc..................... 1,000 2,594
*American Ecology Corp................................ 700 1,116
*American Freightways Corp............................ 2,900 50,116
*American Healthcorp, Inc............................. 300 1,481
*American Homepatient, Inc............................ 1,000 734
*American Homestar Corp............................... 1,400 5,753
*American Medical Security Group, Inc................. 1,800 10,575
*American Mobile Satellite Corp....................... 1,700 26,828
*American Pacific Corp................................ 700 5,141
*American Physicians Services Group, Inc.............. 500 2,422
*American Precision Industries, Inc................... 1,100 11,962
*American Software, Inc. Class A...................... 1,900 9,411
*Amerihost Properties, Inc............................ 400 1,344
*Ameripath, Inc....................................... 1,700 13,892
*Ameristar Casinos, Inc............................... 1,700 6,694
Ameron, Inc........................................... 300 12,956
Amerus Life Holdings, Inc. Class A.................... 2,000 47,125
Ampco-Pittsburgh Corp................................. 1,400 17,237
Amplicon, Inc......................................... 1,000 10,562
*Amrep Corp........................................... 600 2,850
*Amresco, Inc......................................... 5,600 11,287
*Amtran, Inc.......................................... 800 15,600
Amwest Insurance Group, Inc........................... 1,000 7,000
Analogic Corp......................................... 1,200 35,812
Andersons, Inc........................................ 1,000 8,719
Andover Bancorp, Inc. DE.............................. 600 18,019
Angelica Corp......................................... 800 8,000
*Anicom, Inc.......................................... 1,700 7,889
*Applied Extrusion Technologies, Inc.................. 2,000 12,812
*Applied Graphics Technologies, Inc................... 2,000 18,875
Applied Industrial Technologies, Inc.................. 2,000 34,250
*#Applied Magnetics Corp.............................. 1,700 956
*Applied Microsystems Corp............................ 200 1,687
Applied Signal Technologies, Inc...................... 800 10,900
*Arcadia Financial, Ltd............................... 3,900 17,550
*Arch Chemicals, Inc.................................. 3,500 54,687
Arch Coal, Inc........................................ 4,900 47,775
*Arch Communications Group, Inc....................... 1,100 6,995
Arctic Cat, Inc....................................... 1,800 18,337
Argonaut Group, Inc................................... 2,600 60,125
*#Ariel Corp.......................................... 1,000 12,406
*Arkansas Best Corp................................... 2,700 33,834
</TABLE>
3
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Arnold Industries, Inc................................ 2,000 $ 25,312
*Arqule, Inc.......................................... 500 3,062
*Asante Technologies, Inc............................. 400 337
*#Asche Transportation Services, Inc.................. 500 1,562
*Ashworth, Inc........................................ 1,500 6,914
*Astea International, Inc............................. 1,200 4,575
*Atchison Casting Corp................................ 200 2,000
*Atlantic American Corp............................... 1,900 5,403
*Atlantic Gulf Communities Corp....................... 1,500 142
*Atlantis Plastics, Inc............................... 200 2,950
*Atrion Corp.......................................... 200 2,362
*Audiovox Corp. Class A............................... 1,300 38,675
*Aurora Foods, Inc.................................... 1,000 9,000
*Auspex Systems, Inc.................................. 2,500 30,859
*Autoimmune, Inc...................................... 1,100 877
Avado Brands, Inc..................................... 2,600 12,594
*Avalon Holding Corp. Class A......................... 262 1,343
*Avatar Holdings, Inc................................. 1,000 16,812
*Avatex Corp.......................................... 1,400 1,159
*Aviall, Inc.......................................... 1,800 13,725
*Avid Technology, Inc................................. 2,000 22,312
*Avis Rent A Car, Inc................................. 2,900 55,462
*Avteam, Inc. Class A................................. 500 2,258
*Axsys Technologies, Inc.............................. 1,000 11,250
*Aztar Corp........................................... 3,400 36,337
Aztec Manufacturing Co................................ 500 4,750
*BEI Electronics, Inc................................. 1,600 1,950
BEI Technologies, Inc................................. 1,600 20,400
*BFX Hospitality Group, Inc........................... 300 216
*BI, Inc.............................................. 1,000 7,437
BMC Industries, Inc................................... 2,600 14,137
BSB Bancorp, Inc...................................... 900 18,731
*BTG, Inc............................................. 300 2,006
*BTU International, Inc............................... 1,700 9,244
*BWAY Corp............................................ 1,000 5,750
Badger Meter, Inc..................................... 200 6,125
Bairnco Corp.......................................... 900 6,581
Baker (J.), Inc....................................... 2,200 11,481
*Baker (Michael) Corp................................. 700 4,550
Baldwin & Lyons, Inc. Class B......................... 600 12,412
*Baldwin Piano & Organ Co............................. 300 2,550
*Baldwin Technology, Inc. Class A..................... 1,400 3,412
*Bancinsurance Corp................................... 525 2,970
Bandag, Inc........................................... 800 19,400
Bandag, Inc. Class A.................................. 1,000 20,875
*Bank Plus Corp....................................... 2,100 6,431
*Bank United Financial Corp. Class A.................. 2,200 19,216
#BankAtlantic Bancorp, Inc. Class A................... 796 3,632
BankAtlantic Bancorp, Inc. Class B.................... 1,000 5,594
BankNorth Group, Inc. DE.............................. 720 21,870
*Barringer Technologies, Inc.......................... 1,000 6,469
*Barry (R.G.) Corp.................................... 300 1,294
*Basin Exploration, Inc............................... 900 15,891
Bassett Furniture Industries, Inc..................... 2,200 34,925
*Battle Mountain Gold Co.............................. 100 250
Bay View Capital Corp................................. 1,900 31,825
*Baycorp Holdings, Ltd................................ 200 1,600
*Bayou Steel Corp. Class A............................ 900 2,812
*Beazer Homes USA, Inc................................ 700 13,256
*Bel Fuse, Inc. Class A............................... 200 9,850
Bel Fuse, Inc. Class B................................ 200 9,625
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Bell Industries, Inc.................................. 860 $ 4,246
*Bell Microproducts, Inc.............................. 1,500 11,062
*Ben & Jerry's Homemade, Inc. Class A................. 1,500 27,187
*Benton Oil & Gas Co.................................. 2,100 4,200
Berkley (W.R.) Corp................................... 3,800 81,462
*Berlitz International, Inc........................... 900 17,662
*Beverly Enterprises.................................. 12,700 50,800
*Big 4 Ranch, Inc..................................... 300 0
Bindley Western Industries, Inc....................... 2,400 31,800
*Bio Vascular, Inc.................................... 500 1,016
*Bionx Implants, Inc.................................. 1,300 3,453
*Bio-Rad Laboratories, Inc. Class A................... 400 9,875
*BioReliance Corp..................................... 500 3,625
*Biosource International, Inc......................... 1,000 3,375
Birmingham Steel Corp................................. 2,500 18,125
Blair Corp............................................ 500 7,250
Blimpie International................................. 1,000 2,000
Block Drug Co., Inc. Class A.......................... 318 9,301
*Bluegreen Corp....................................... 2,500 14,062
Bob Evans Farms, Inc.................................. 2,300 34,428
*Boca Research, Inc................................... 1,000 8,437
*Boca Resorts, Inc.................................... 3,300 28,875
*Boise Cascade Office Products Corp................... 3,400 39,100
*Bombay Co., Inc...................................... 3,000 15,000
*Bon-Ton Stores, Inc.................................. 900 4,430
*#Books-a-Million, Inc................................ 1,400 14,569
*Boron, Lepore and Associates, Inc.................... 1,100 8,078
*Boston Communications Group, Inc..................... 600 3,262
Bostonfed Bancorp, Inc................................ 1,000 16,375
Bowne & Co., Inc...................................... 3,600 42,525
*Boyd Gaming Corp..................................... 5,500 34,031
*Brass Eagle, Inc..................................... 500 3,797
*#Brazos Sportswear, Inc.............................. 50 0
*Bridgestreet Accomodations, Inc...................... 1,200 2,100
*BrightStar Information Technology Group, Inc......... 500 3,859
Brookline Bancorp, Inc................................ 2,100 21,066
*Brooks Automation, Inc............................... 1,000 27,375
*Brookstone, Inc...................................... 1,500 25,219
*Brothers Gourmet Coffees, Inc........................ 800 8
*Brown & Sharpe Manufacturing Co. Class A............. 1,200 2,850
*Brown (Tom), Inc..................................... 5,200 60,937
Brown Shoe Company, Inc............................... 5,600 88,200
*Brunswick Technologies, Inc.......................... 300 1,256
Brush Wellman, Inc.................................... 1,900 30,875
*Budget Group, Inc.................................... 2,900 22,656
*Buffets, Inc......................................... 4,000 42,625
*Builders Transport, Inc.............................. 400 6
*Building Materials Holding Corp...................... 1,500 14,906
*Bull Run Corp. GA.................................... 2,200 8,937
Burlington Coat Factory Warehouse Corp................ 500 6,406
*Burlington Industries, Inc........................... 6,700 24,706
*Bush Boake Allen, Inc................................ 1,100 27,637
*Business Resource Group.............................. 500 2,266
*Butler International, Inc............................ 1,000 7,625
Butler Manufacturing Co............................... 1,000 21,437
*C.P. Clare Corp...................................... 1,000 6,500
*CB Richard Ellis Services, Inc....................... 2,000 26,250
</TABLE>
4
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*CFM Technologies, Inc................................ 700 $ 7,766
*CHS Electronics, Inc................................. 6,600 4,537
*CICOR International, Inc............................. 800 8,700
CKE Restaurants, Inc.................................. 4,900 31,544
CNA Surety Corp....................................... 500 5,562
*CNS Income........................................... 2,300 11,392
CPAC, Inc............................................. 1,000 7,891
CPB, Inc.............................................. 1,400 36,181
*CSP, Inc............................................. 266 1,313
*CSS Industries, Inc.................................. 1,000 21,375
*CTB International Corp............................... 700 4,430
Cadmus Communications Corp............................ 300 2,391
*Caere Corp........................................... 1,500 10,641
Calgon Carbon Corp.................................... 4,800 29,400
*Caliber Learning Network, Inc........................ 400 837
*California Coastal Communities, Inc.................. 1,000 7,812
*California Micro Devices Corp........................ 1,000 8,187
*Callon Petroleum Co.................................. 500 5,937
Cal-Maine Foods, Inc.................................. 800 2,725
*Cameron Ashley Building Products, Inc................ 1,200 9,600
*Cannondale Corp...................................... 1,000 7,031
*Capital Pacific Holdings, Inc........................ 1,000 2,437
Capital Re Corp....................................... 2,600 35,750
*Capital Senior Living Corp........................... 2,000 10,000
*Capital Trust........................................ 200 950
Capitol Transamerica Corp............................. 700 8,137
*Carbide/Graphite Group, Inc.......................... 1,000 6,031
*Carematrix, Inc...................................... 1,500 3,070
*Caribiner International, Inc......................... 2,000 17,750
*Carmike Cinemas, Inc. Class A........................ 1,000 12,500
Carolina First Corp................................... 1,459 29,864
Carpenter Technology Corp............................. 3,800 99,750
*Carriage Services, Inc. Class A...................... 1,000 5,125
*Carrington Laboratories, Inc......................... 1,000 2,016
*Carson, Inc.......................................... 800 2,800
Carter-Wallace, Inc................................... 2,200 39,737
Cascade Corp.......................................... 1,000 9,500
Cash America International, Inc....................... 1,400 12,162
*Casino Data Systems.................................. 1,500 5,414
*Castle & Cooke, Inc.................................. 1,400 17,675
Castle (A.M.) & Co.................................... 1,000 11,750
*Catalina Lighting, Inc............................... 600 2,962
*Catherines Stores Corp............................... 1,500 30,797
Cato Corp. Class A.................................... 2,000 26,125
Cavalier Homes, Inc................................... 2,000 8,625
*Cavanaughs Hospitality Corp.......................... 1,000 7,500
*Celadon Group, Inc................................... 1,000 6,437
*Celebrity, Inc....................................... 125 391
*Celeris Corporation.................................. 433 460
*Celeritek, Inc....................................... 300 2,231
Cenit Bancorp, Inc.................................... 300 5,400
*Centigram Communications Corp........................ 700 9,625
*Central Garden & Pet Co.............................. 3,100 24,703
Centris Group, Inc.................................... 600 7,350
Century Aluminum Co................................... 2,200 21,587
*Ceradyne, Inc........................................ 1,200 6,056
*#Cerion Technologies, Inc............................ 700 70
*Cerprobe Corp........................................ 1,000 8,906
*Champion Enterprises, Inc............................ 3,500 29,969
*Champps Entertainment, Inc........................... 900 1,828
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Charming Shoppes, Inc................................ 12,300 $ 79,758
*Chart House Enterprises, Inc......................... 700 3,719
Charter One Financial, Inc............................ 2,976 64,635
*Chase Industries, Inc................................ 1,000 8,812
*Checkers Drive-In Restaurant, Inc.................... 215 329
*Checkpoint System, Inc............................... 4,000 31,750
Chemed Corp........................................... 1,000 26,000
*Cherry Corp.......................................... 1,000 11,437
Chesapeake Corp....................................... 1,000 31,937
*#Chesapeake Energy Corp.............................. 7,180 21,540
*Chic by His, Inc..................................... 1,000 750
*Children's Comprehensive Services, Inc............... 500 3,422
Chiquita Brands International, Inc.................... 9,666 42,289
*Chronimed, Inc....................................... 1,000 7,937
*Chyron Corp.......................................... 1,000 750
*Cidco, Inc........................................... 1,000 8,062
*Ciprico, Inc......................................... 1,000 12,781
*Circuit City Stores, Inc. - Carmax Group............. 1,600 3,800
*Circuit Systems, Inc................................. 1,300 1,787
*Cirrus Logic, Inc.................................... 4,400 61,050
*Citadel Holding Corp................................. 300 1,031
*Citation Corp........................................ 2,000 33,875
*Citizens, Inc. Class A............................... 1,391 9,041
*Civic Bancorp........................................ 441 7,070
*Clean Harbors, Inc................................... 800 1,137
Cleveland Cliffs, Inc................................. 1,100 32,175
*Clintrials Research, Inc............................. 2,800 10,937
Coachmen Industries, Inc.............................. 1,000 14,312
*Coast Dental Services, Inc........................... 1,000 3,187
*Coast Distribution System............................ 300 619
Coastal Bancorp, Inc.................................. 1,000 20,000
*Coastcast Corp....................................... 1,000 13,000
*Cobra Electronic Corp................................ 1,000 5,000
*#Coeur d'Alene Mines Corp. ID........................ 2,000 8,125
*Cohesion Technologies, Inc........................... 1,100 7,906
*Coho Energy, Inc..................................... 1,700 408
*Coinmach Laundry Corp................................ 1,000 10,750
*Cole National Corp. Class A.......................... 1,000 5,375
Columbus McKinnon Corp................................ 1,000 10,312
*Comdial Corp......................................... 600 4,978
*Comforce Corp........................................ 1,000 1,625
*Comfort Systems USA, Inc............................. 2,500 20,625
*Command Systems, Inc................................. 200 325
Commercial Intertech Corp............................. 800 10,050
Commercial Metals Co.................................. 1,300 41,600
Commonwealth Bancorp, Inc............................. 1,500 24,844
Commonwealth Industries, Inc.......................... 2,100 27,234
Communications Systems, Inc........................... 1,000 11,687
Community Trust Bancorp, Inc.......................... 1,000 21,375
*#Complete Management, Inc............................ 700 12
*Compucom Systems, Inc................................ 4,500 14,203
*CompUSA, Inc......................................... 5,300 31,137
*#Computer Learning Centers, Inc...................... 1,400 4,747
*Computer Motion, Inc................................. 200 2,262
*Computer Outsourcing Services, Inc................... 500 12,750
*Comshare, Inc........................................ 1,000 4,906
*Comstock Resources, Inc.............................. 1,900 6,650
*Concord Camera Corp.................................. 1,000 14,969
*Condor Technology Solutions, Inc..................... 1,500 3,539
</TABLE>
5
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Cone Mills Corp. NC.................................. 2,000 $ 9,875
*Congoleum Corp. Class A.............................. 1,000 3,375
*Conso Products Co.................................... 600 5,006
*Consolidated Freightways Corp........................ 2,500 22,734
*Consumer Portfolio Services, Inc..................... 1,000 1,000
*#ContiFinancial Corp................................. 3,800 1,187
Cooker Restaurant Corp................................ 500 1,562
*Copart, Inc.......................................... 1,800 46,575
*Coram Healthcare Corp................................ 4,200 2,887
*Cornell Corrections, Inc............................. 1,000 11,437
*Corrpro Companies, Inc............................... 375 2,719
*Cort Business Services Corp.......................... 1,000 19,500
Corus Bankshares, Inc................................. 1,000 28,500
*Covenant Transport, Inc. Class A..................... 1,000 14,531
*Coventry Health Care, Inc............................ 3,500 20,234
*Craig (Jenny), Inc................................... 1,500 3,375
*Craig Corp........................................... 300 1,800
*Creative Computers, Inc.............................. 1,000 9,594
*Credit Acceptance Corp............................... 3,500 14,109
*Criticare Systems, Inc............................... 600 1,425
*Cross (A.T.) Co. Class A............................. 1,800 9,450
*Crown Central Petroleum Corp. Class A................ 400 2,600
*Crown Central Petroleum Corp. Class B................ 300 1,800
Crown Crafts, Inc..................................... 700 1,837
*Crown Vantage, Inc................................... 1,300 3,128
*Crown-Andersen, Inc.................................. 100 769
Cubic Corp............................................ 750 14,766
Culp, Inc............................................. 1,000 6,250
*Curative Health Services, Inc........................ 200 1,587
*Cybex International, Inc............................. 400 1,125
*Cylink Corp.......................................... 2,000 23,187
*Cyrk, Inc............................................ 1,300 9,669
*Cytotherapeutics, Inc................................ 100 142
*Cytrx Corp........................................... 700 1,772
*DII Group, Inc....................................... 400 25,275
*DRS Technologies, Inc................................ 1,000 8,625
DT Industries, Inc.................................... 1,300 10,156
*DVI, Inc............................................. 1,300 18,200
*Damark International, Inc. Class A................... 800 7,850
*Dan River, Inc. (GA) Class A......................... 1,400 7,525
*Danielson Holding Corp............................... 500 2,500
*Data I/O Corp........................................ 1,500 3,234
*#Data Race, Inc...................................... 400 1,219
*Data Systems & Software, Inc......................... 1,500 4,781
*Data Systems Network Corp............................ 30 17
*Datakey, Inc......................................... 200 344
*DataTRAK International, Inc.......................... 200 709
*Dataware Technologies, Inc........................... 500 1,711
*Datron Systems, Inc.................................. 200 1,650
*Datum, Inc........................................... 300 2,691
Davel Communications, Inc............................. 329 1,162
*#Daw Technologies, Inc............................... 800 412
*Dawson Geophysical Co................................ 300 2,691
*Daxor Corp........................................... 400 6,050
*Dayton Superior Corp. Class A........................ 1,000 18,250
*Deckers Outdoor Corp................................. 1,000 2,984
*Del Global Technologies Corp......................... 500 4,211
*Delphi Financial Group, Inc. Class A................. 1,020 31,620
*#Delta Financial Corp................................ 1,000 4,625
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Delta Woodside Industries, Inc........................ 2,100 $ 4,069
*Denali, Inc.......................................... 100 369
Designs, Inc.......................................... 1,300 1,930
*Detection Systems, Inc............................... 300 2,775
Detroit Diesel Corp................................... 1,800 33,075
*Devcon International Corp............................ 400 1,975
*Diagnostic Health Services, Inc...................... 400 98
*Diamond Home Services, Inc........................... 500 328
*Dianon Systems, Inc.................................. 500 5,000
*Digi International, Inc.............................. 1,000 16,187
Dime Community Bancorp, Inc........................... 1,500 29,859
Dimon, Inc............................................ 5,800 19,575
*Discount Auto Parts, Inc............................. 1,500 20,719
*Dixie Group, Inc..................................... 1,000 6,906
*Dollar Thrifty Automotive Group, Inc................. 1,100 21,725
*Dominion Homes, Inc.................................. 800 5,050
Donegal Group, Inc.................................... 1,000 6,812
*Donna Karan International, Inc....................... 100 781
*Donnkenny, Inc....................................... 1,400 1,050
Downey Financial Corp................................. 3,653 73,517
*Dress Barn, Inc...................................... 1,900 32,537
*Drug Emporium, Inc................................... 2,100 8,498
*Drypers Corp......................................... 600 1,547
*Dura Automotive Systems, Inc......................... 714 14,793
*Dura Pharmaceuticals, Inc............................ 2,400 31,275
Dyersburg Corp........................................ 1,100 756
*Dynamics Research Corp............................... 660 3,486
*E-Z-Em, Inc. Class A................................. 300 1,725
*E-Z-Em, Inc. Class B................................. 27 148
*EA Engineering Science & Technology, Inc............. 500 477
*ECC International Corp............................... 800 2,600
*EFTC Corp............................................ 1,300 2,925
*EIS International, Inc............................... 1,500 6,516
EMC Insurance Group, Inc.............................. 1,200 12,187
*EMS Technologies, Inc................................ 600 6,487
*ESCO Electronics Corp. Trust Receipts................ 900 8,719
Eagle Bancshares, Inc................................. 500 8,016
*Eagle Food Centers, Inc.............................. 1,000 1,484
*Eagle Geophysical, Inc............................... 1,128 45
*Eagle Point Software Corp............................ 300 1,594
Eastern Co............................................ 300 4,725
Ecology & Environment, Inc. Class A................... 200 1,150
Edo Corp.............................................. 300 1,706
*#Einstein/Noah Bagel Corp............................ 1,600 675
*El Paso Electric Co.................................. 1,000 9,000
*Elcom International, Inc............................. 1,100 11,378
*Electro Rent Corp.................................... 1,300 15,397
*Elite Information Group, Inc......................... 1,000 7,125
*#Eltrax System, Inc.................................. 990 6,961
*Encad, Inc........................................... 1,000 5,437
Engineered Support Systems, Inc....................... 1,000 11,594
Engle Homes, Inc...................................... 1,000 10,656
*Enserch Exploration Corp............................. 5,199 13,647
*Environmental Elements Corp.......................... 600 1,312
*Equity Oil Co........................................ 2,300 2,659
*Esterline Technologies Corp.......................... 3,000 37,687
Ethyl Corp............................................ 7,200 30,150
*Evans & Sutherland Computer Corp..................... 700 9,034
*Exabyte Corp......................................... 1,800 12,572
</TABLE>
6
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Exar Corp............................................ 1,000 $ 48,781
Exide Corp............................................ 2,100 21,656
*Exponent, Inc........................................ 600 4,069
*Extended Systems, Inc................................ 300 4,472
Ezcorp, Inc. Class A Non-Voting....................... 1,100 4,228
FBL Financial Group, Inc. Class A..................... 2,500 43,437
*FEI Co............................................... 1,000 8,250
FFY Financial Corp.................................... 1,000 15,437
*FSI International, Inc............................... 2,400 22,575
*FTI Consulting, Inc.................................. 1,000 5,625
Fab Industries, Inc................................... 500 5,875
*Fairchild Corp. Class A.............................. 3,113 22,569
Falcon Products, Inc.................................. 1,000 9,375
*#Family Golf Centers, Inc............................ 2,400 3,937
*Fansteel, Inc........................................ 700 3,150
*Farm Family Holdings, Inc............................ 1,000 40,750
Farrel Corp........................................... 700 1,422
*Featherlite Manufacturing, Inc....................... 1,000 6,594
*Fibermark, Inc....................................... 1,000 12,500
*Fidelity National Corp............................... 500 3,703
Fidelity National Financial, Inc...................... 2,000 30,125
*Filenes Basement Corp................................ 2,900 609
*Finish Line, Inc. Class A............................ 2,500 16,484
*Finishmaster, Inc.................................... 500 3,375
*First Alliance Corp.................................. 500 1,297
First Bell Bancorp, Inc............................... 500 8,016
*First Cash, Inc...................................... 300 2,231
First Defiance Financial Corp......................... 700 8,247
First Essex Bancorp................................... 500 8,203
First Federal Bancshares of Arkansas, Inc............. 200 3,362
*First Investors Financial Services Group, Inc........ 500 2,719
First Keystone Financial, Inc......................... 100 1,075
First Northern Capital Corp........................... 800 8,600
*First Republic Bank.................................. 600 14,137
First Savings Bancorp, Inc. North Carolina............ 200 3,862
First SecurityFed Financial, Inc...................... 1,000 11,375
First Sentinel Bancorp, Inc........................... 2,400 19,987
*#First Team Sports, Inc.............................. 500 1,187
First Washington Bancorp, Inc......................... 1,430 23,684
*FirstFed Financial Corp. DE.......................... 1,800 27,787
Firstspartan Financial Corp........................... 200 3,712
*Firstwave Technologies, Inc.......................... 300 1,087
*Fischer Imaging Corp................................. 1,000 1,719
Flag Financial Corp................................... 100 706
Flagstar Bancorp, Inc................................. 500 7,984
*Flander Corp......................................... 2,800 9,012
Fleetwood Enterprises, Inc............................ 1,500 31,500
Fleming Companies, Inc................................ 3,100 37,394
Flexsteel Industries, Inc............................. 600 8,325
*Florsheim Group, Inc................................. 400 1,187
Flushing Financial Corp............................... 600 9,562
*Foodarama Supermarkets, Inc.......................... 100 2,675
*#Forcenergy, Inc..................................... 2,000 1,250
*Forward Air Corp., Inc............................... 600 18,787
*Foster (L.B.) Co. Class A............................ 800 3,925
Foster Wheeler Corp................................... 3,700 37,694
*Four Media Co........................................ 2,000 25,062
*Franklin Covey Co.................................... 2,400 17,550
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Franklin Electronic Publishers, Inc.................. 500 $ 2,500
Freds, Inc. Class A................................... 2,250 29,391
Fremont General Corp.................................. 10,200 51,637
Frequency Electronics, Inc............................ 1,000 8,375
*Fresh Choice, Inc.................................... 500 875
*Fresh Foods, Inc..................................... 1,000 7,469
*Friede Goldman International......................... 627 5,290
*Friedman Billings Ramsey Group, Inc. Class A......... 1,000 5,937
Friedman Industries, Inc.............................. 606 2,197
Friedmans, Inc. Class A............................... 1,000 7,531
Frisch's Restaurants, Inc............................. 648 6,237
*Fritz Companies, Inc................................. 4,000 39,375
Frontier Insurance Group, Inc......................... 4,400 13,200
Frozen Food Express Industries, Inc................... 1,200 5,212
*G-III Apparel Group, Ltd............................. 600 1,687
GA Financial, Inc..................................... 200 2,700
*GC Companies, Inc.................................... 300 8,456
*GP Strategies Corp................................... 500 3,937
*GT Interactive Software Corp......................... 2,900 5,936
*GZA Geoenvironmental Technologies, Inc............... 300 1,144
*Gadzooks, Inc........................................ 800 6,825
Gainsco, Inc.......................................... 1,500 8,906
*Galey & Lord, Inc.................................... 1,300 3,250
*GameTech International, Inc.......................... 600 2,775
*#Gantos, Inc......................................... 166 174
Garan, Inc............................................ 400 12,350
*Garden Fresh Restaurant Corp......................... 700 11,681
*Garden Ridge Corp.................................... 1,000 11,312
*Gart Sports Co....................................... 123 723
*Gehl Co.............................................. 500 9,250
General Chemical Group, Inc........................... 2,500 7,031
*General Cigar Holdings, Inc. Class A................. 1,200 9,075
*General Communications, Inc. Class A................. 5,000 20,469
*#General Datacomm Industries, Inc.................... 700 4,287
*Genesis Health Ventures, Inc......................... 3,100 8,719
Genesis Worldwide, Inc................................ 300 1,256
*#Geneva Steel Co. Class A............................ 800 220
*Genicom Corp......................................... 700 503
*Genlyte Group, Inc................................... 1,100 26,469
*Gensym Corp.......................................... 500 2,445
*Geoscience Corp...................................... 200 1,312
*Getty Petroleum Marketing, Inc....................... 900 2,700
*Giant Group, Ltd..................................... 400 1,450
*Giant Industries, Inc................................ 1,000 8,687
*Gibraltar Packaging Group, Inc....................... 900 562
Gibraltar Steel Corp.................................. 500 11,844
*Gibson Greetings, Inc................................ 1,400 13,300
*Gish Biomedical, Inc................................. 1,000 3,406
Glatfelter (P.H.) Co.................................. 4,700 60,512
Gleason Corp.......................................... 200 3,550
*Glenayre Technologies, Inc........................... 6,800 31,769
*Global Industrial Technologies, Inc.................. 1,900 23,987
*#Golden Books Family Entertainment, Inc.............. 1,000 185
*Good Guys, Inc....................................... 1,200 9,825
Gorman-Rupp Co........................................ 1,000 17,875
*Gottschalks, Inc..................................... 1,400 12,600
</TABLE>
7
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*Government Technology Services, Inc.................. 1,600 $ 5,050
*Gradco Systems, Inc.................................. 700 733
*Graham-Field Health Products, Inc.................... 2,730 915
Grand Premier Financial, Inc.......................... 1,135 19,082
*Grand Union Co....................................... 300 3,169
Granite State Bankshares, Inc......................... 300 6,619
Greenbrier Companies, Inc............................. 1,300 13,000
*Griffon Corp......................................... 2,800 21,525
Guarantee Life Companies, Inc......................... 1,100 34,616
Guaranty Federal Bancshares, Inc...................... 100 1,112
*Guest Supply, Inc.................................... 500 7,125
Guilford Mills, Inc................................... 1,800 13,050
*Gundle/SLT Environmental, Inc........................ 1,600 6,600
*Gymboree Corp........................................ 2,000 12,125
HF Financial Corp..................................... 300 3,806
HMN Financial, Inc.................................... 750 9,539
*HMT Technology Corp.................................. 5,000 18,047
*HS Resources, Inc.................................... 2,000 25,875
*Ha-Lo Industries, Inc................................ 4,000 25,000
Haggar Corp........................................... 600 7,462
*Hampton Industries, Inc.............................. 484 1,180
Hancock Fabrics, Inc.................................. 1,100 4,400
Hancock Holding Co.................................... 1,000 40,406
*Hanger Orthopedic Group, Inc......................... 1,000 10,250
Harbor Florida Bancshares, Inc........................ 1,800 22,781
*Harding Lawson Associates Group, Inc................. 400 2,987
Hardinge Brothers, Inc................................ 1,000 13,656
Harleysville Group, Inc............................... 3,400 51,106
#Harnischfeger Industries, Inc........................ 3,700 3,931
*Harry's Farmers Market, Inc. Class A................. 500 453
*Hartmarx Corp........................................ 2,800 10,675
*Harvey Entertainment Co.............................. 400 1,950
*Hastings Entertainment, Inc.......................... 600 2,944
*Hathaway Corp........................................ 400 475
*Hauser, Inc.......................................... 275 662
Haven Bancorp, Inc.................................... 1,000 16,187
Haverty Furniture Co., Inc............................ 3,400 46,750
*Hawaiian Airlines, Inc............................... 3,200 7,000
*Hawk Corp............................................ 2,300 12,362
*Hawker Pacific Aerospace............................. 300 1,378
*Hawthorne Financial Corp............................. 700 9,712
*Health Management Systems, Inc....................... 1,200 5,512
*Health Risk Management, Inc.......................... 800 5,450
*Healthcare Recoveries, Inc........................... 1,000 3,266
*Healthcare Services Group, Inc....................... 2,250 18,281
*Healthcor Holdings................................... 500 30
Healthplan Services Corp.............................. 1,600 10,500
Heico Corp............................................ 1,000 17,125
Heilig-Meyers Co...................................... 7,450 27,006
*Hello Direct, Inc.................................... 300 3,609
Heritage Financial Corp............................... 1,100 9,316
*Hexcel Corp.......................................... 4,500 26,719
*Hi-Tech Pharmacal, Inc............................... 200 984
*High Plains Corp..................................... 1,600 2,250
*Highlands Insurance Group, Inc....................... 1,500 10,875
*Hirsch International Corp. Class A................... 1,000 1,422
*Hoenig Group, Inc.................................... 500 4,953
Holly Corp............................................ 500 7,187
*Hollywood Casino Corp. Class A....................... 800 2,700
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Hollywood Park, Inc.................................. 2,000 $ 40,375
*Hologic, Inc......................................... 2,000 10,750
Home Port Bancorp, Inc................................ 200 5,325
*Home Products International, Inc..................... 1,000 8,969
*Homebase, Inc........................................ 5,400 18,562
*Homestead Village, Inc............................... 5,800 13,775
Horizon Financial Corp................................ 1,230 12,377
*Horizon Health Corp.................................. 500 3,719
*Horizon Offshore, Inc................................ 1,100 6,909
*Hospitality Worldwide Services, Inc.................. 1,000 2,750
*Hovnanian Enterprises, Inc. Class A.................. 1,300 8,287
*Hub Group, Inc. Class A.............................. 1,000 17,312
Huffy Corp............................................ 800 5,250
Hughes Supply, Inc.................................... 1,450 34,347
Hunt (J.B.) Transport Services, Inc................... 4,400 58,162
Hunt Corp............................................. 1,000 8,250
Huntco, Inc. Class A.................................. 300 656
*Hurco Companies, Inc................................. 1,000 3,875
*Hutchinson Technology, Inc........................... 1,600 29,500
*#Hvide Marine, Inc. Class A.......................... 500 67
*Hycor Biomedical, Inc................................ 600 1,369
*Hypercom Corp........................................ 4,000 37,750
*Hyseq, Inc........................................... 1,400 9,450
*ICF Kaiser International, Inc........................ 1,800 1,012
*ICT Group, Inc....................................... 300 3,675
*ICU Medical, Inc..................................... 1,500 23,016
*IEC Electronics Corp................................. 1,300 3,006
*IFR Systems, Inc..................................... 1,000 3,875
*IHOP Corp............................................ 1,600 24,800
*II-VI, Inc........................................... 1,000 17,375
*#IMC Mortgage Co..................................... 2,800 60
IMCO Recycling, Inc................................... 1,200 15,450
*IRI International Corp............................... 3,400 14,450
ISB Financial Corp. LA................................ 1,100 17,600
*ITEQ, Inc............................................ 3,044 2,616
*ITLA Capital Corp.................................... 1,000 14,656
*IVI Checkmate Corp................................... 1,400 4,856
Ico, Inc.............................................. 1,800 2,784
Immulogic Pharmaceutical Corp......................... 1,500 398
*Imperial Credit Industries, Inc...................... 3,300 19,387
Imperial Sugar Co..................................... 4,200 16,800
*Inacom Corp.......................................... 3,800 22,562
Independent Bank East................................. 420 6,943
*Industrial Distribution Group, Inc................... 500 1,906
*Inference Corp. Class A.............................. 1,500 7,078
*#Infonautics Corp. Class A........................... 500 3,883
*Information Management Associates, Inc............... 600 2,409
*Information Resources, Inc........................... 3,200 31,950
Ingles Market, Inc. Class A........................... 400 4,687
*Innodata Corp........................................ 198 1,590
*Innovative Clinical Solutions, Ltd................... 1,600 800
*Inprise Corp......................................... 4,700 42,006
*Input Software, Inc.................................. 1,000 4,562
*Input/Output, Inc.................................... 5,600 30,100
*Inso Corp............................................ 1,000 22,719
*Inspire Insurance Solutions, Inc..................... 1,600 10,075
Insteel Industries, Inc............................... 700 5,906
*Insurance Auto Auctions, Inc......................... 1,000 14,281
*Integra, Inc......................................... 1,200 1,950
*Integrated Electrical Services, Inc.................. 4,600 48,875
</TABLE>
8
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*Integrated Health Services, Inc...................... 5,900 $ 2,212
*Integrated Silicon Solution, Inc..................... 2,100 19,130
*Intelligent Systems Corp............................. 500 1,328
*Inter Parfums, Inc................................... 500 4,594
*Interface Systems, Inc............................... 400 5,587
Interface, Inc. Class A............................... 4,200 19,031
*Intergraph Corp...................................... 5,300 23,767
*Interlinq Software Corp.............................. 1,000 4,344
*Intermagnetics General Corp.......................... 1,020 6,821
Intermet Corp......................................... 2,200 22,137
International Aluminum Corp........................... 500 12,344
International Multifoods Corp......................... 1,500 20,906
*International Remote Imaging Systems, Inc............ 100 69
International Shipholding Corp........................ 400 5,400
*International Speciality Products, Inc............... 9,300 77,887
*International Telecommunication Data Systems, Inc.... 1,000 13,062
*International Thoroughbred Breeders, Inc............. 800 352
*International Total Services, Inc.................... 400 536
Interpool, Inc........................................ 13,950 123,806
*Intertan, Inc........................................ 900 21,544
*Ionics, Inc.......................................... 1,100 29,356
Isco, Inc............................................. 200 1,003
*Isle of Capri Casinos, Inc........................... 3,700 47,753
*Isolyser Co., Inc.................................... 4,100 11,659
*#Itron, Inc.......................................... 1,000 6,344
*Iwerks Entertainment, Inc............................ 1,900 1,395
*J & J Snack Foods Corp............................... 1,800 33,919
*J. Alexander's Corp.................................. 300 919
*J. Jill Group, Inc................................... 1,000 5,453
*JDA Software Group, Inc.............................. 1,400 19,644
*JLM Industries, Inc.................................. 1,000 3,656
JSB Financial, Inc.................................... 900 53,212
*Jackpot Enterprises, Inc............................. 700 5,731
*Jaclyn, Inc.......................................... 200 562
*Jaco Electronics, Inc................................ 300 1,116
*Jacobson Stores, Inc................................. 500 3,453
*Jan Bell Marketing, Inc.............................. 2,200 6,187
*Jason, Inc........................................... 1,700 12,750
Jefferson Savings Bancorp, Inc........................ 1,000 12,000
*Johnson Worldwide Associates, Inc. Class A........... 1,500 11,789
*Johnston Industries, Inc............................. 600 937
*Jos. A. Bank Clothiers, Inc.......................... 1,000 2,750
*Jps Packaging Company................................ 500 1,469
*#Jumbosports, Inc.................................... 1,700 21
*#Just for Feet, Inc.................................. 2,200 2,750
Justin Industries, Inc................................ 3,300 51,253
K Swiss, Inc. Class A................................. 600 8,569
K2, Inc............................................... 1,400 10,325
KCS Energy, Inc....................................... 3,100 2,325
*KLLM Transport Services, Inc......................... 500 3,164
*KVH Industries, Inc.................................. 500 1,539
*Kaiser Aluminum Corp................................. 8,000 53,000
*Kaiser Ventures, Inc................................. 1,600 22,100
Kaman Corp. Class A................................... 1,800 21,431
*Kasper A.S.L., Ltd................................... 1,000 2,937
Katy Industries, Inc.................................. 800 8,400
Kellwood Co........................................... 1,800 37,350
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Kendle International, Inc............................ 900 $ 7,312
*Kent Electronics Corp................................ 2,600 59,637
*Kevco, Inc........................................... 1,000 2,906
*Key Energy Group, Inc................................ 4,000 20,000
*Key Production Co., Inc.............................. 800 6,500
*Key Tronic Corp...................................... 1,000 4,187
*Keystone Automotive Industries, Inc.................. 1,000 5,750
*Keystone Consolidated Industries, Inc................ 598 2,355
*Kimmins Corp......................................... 300 117
*Kinark Corp.......................................... 100 125
*Kinnard Investment, Inc.............................. 300 1,716
*Kitty Hawk, Inc...................................... 1,000 7,812
Klamath First Bancorp, Inc............................ 1,300 14,787
Knape & Vogt Manufacturing Co......................... 500 7,547
*Komag, Inc........................................... 6,700 15,703
*Koss Corp............................................ 1,000 14,937
LNR Property Corp..................................... 2,300 40,538
LTV Corp.............................................. 12,800 44,800
*La Jolla Pharmceutical Co............................ 500 953
LabOne, Inc........................................... 450 3,459
*Laboratory Corp. of America Holdings, Inc............ 1,500 5,625
*Laclede Steel Co..................................... 200 87
*Ladd Furniture, Inc.................................. 1,200 25,388
*Ladish Co., Inc...................................... 1,500 10,289
*Lakes Gaming, Inc.................................... 825 7,090
*Lam Research Corp.................................... 500 38,719
*Lamson & Sessions Co................................. 1,500 7,875
*Lancer Corp.......................................... 1,300 6,988
*Landair Corp......................................... 300 1,519
Landamerica Financial Group, Inc...................... 800 15,550
*Landrys Seafood Restaurants, Inc..................... 3,300 29,133
*Larscom, Inc......................................... 500 2,234
*Layne Christensen Co................................. 1,000 6,750
*Lazare Kaplan International, Inc..................... 1,000 7,750
*Leapnet, Inc......................................... 1,000 5,453
*Learn2.com, Inc...................................... 184 555
*#Leasing Solutions, Inc.............................. 1,200 263
*Lechters, Inc........................................ 2,200 3,438
Lesco, Inc............................................ 500 7,516
Lifetime Hoan Corp.................................... 1,100 5,603
Lillian Vernon Corp................................... 800 9,600
Lindberg Corp......................................... 400 3,500
*#Lodgian, Inc........................................ 1,200 6,900
*Loehmanns, Inc....................................... 200 18
*Loews Cineplex Entertainment Corp.................... 5,900 38,350
*Logic Devices, Inc................................... 700 1,553
*Lone Star Steakhouse Saloon.......................... 4,300 32,452
Longview Fibre Co..................................... 2,800 35,700
*Louis Dreyfus Natural Gas Corp....................... 3,350 60,300
Luby's Cafeterias, Inc................................ 1,100 12,788
Lufkin Industries, Inc................................ 600 8,363
*Lumisy, Inc.......................................... 1,100 3,506
*Lunar Corp........................................... 500 3,484
*Lydall, Inc. DE...................................... 1,000 8,938
M.A. Hanna Co......................................... 3,900 40,706
*M.H. Meyerson & Co., Inc............................. 200 856
MDC Holdings, Inc..................................... 1,400 20,913
MI Schottenstein Homes, Inc........................... 800 12,600
*MIM Corp............................................. 1,200 2,625
</TABLE>
9
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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MMI Companies, Inc.................................... 2,000 $ 8,125
*MRV Communications, Inc.............................. 2,900 92,709
*MS Carriers, Inc..................................... 2,100 54,994
MTS Systems Corp...................................... 1,600 16,025
*Mac-Gray Corp........................................ 200 788
*Magellan Health Services, Inc........................ 3,700 23,125
*Magnetek, Inc........................................ 2,100 14,044
*Magnum Hunter Resources, Inc......................... 1,500 4,781
*Main Street & Main, Inc.............................. 1,000 3,406
*Manchester Equipment Co., Inc........................ 1,000 3,156
*Manugistic Group, Inc................................ 1,500 25,219
*Mapinfo Corp......................................... 100 2,394
Marcus Corp........................................... 1,500 19,125
*Marine Transport Corp................................ 360 956
*Mariner Post-Acute Network, Inc...................... 2,400 282
*Marisa Christina, Inc................................ 600 1,106
Maritrans, Inc........................................ 1,000 5,563
*MarkWest Hydrocarbon, Inc............................ 300 1,650
*Marlton Technologies, Inc............................ 200 375
Marsh Supermarkets, Inc. Class A...................... 300 4,125
Marsh Supermarkets, Inc. Class B...................... 400 4,175
*Material Sciences Corp............................... 800 8,750
*Matlack Systems, Inc................................. 200 788
*Matrix Pharmaceutical, Inc........................... 1,700 8,819
*Matrix Service Co.................................... 1,800 8,213
*Maxco, Inc........................................... 700 5,786
*Maxicare Health Plans, Inc........................... 500 1,609
*Maxim Group, Inc..................................... 1,900 10,688
*Maxxam, Inc.......................................... 1,000 45,438
*Mazel Stores, Inc.................................... 1,000 9,500
*McNaughton Apparel Group, Inc........................ 800 5,650
*McWhorter Technologies, Inc.......................... 500 6,875
Meadowbrook Insurance Group, Inc...................... 500 2,969
Medford Bancorp, Inc.................................. 600 10,050
*Media 100, Inc....................................... 700 9,778
*Medical Alliance, Inc................................ 400 744
*Medical Graphics Corp................................ 300 544
*#Medical Resources, Inc.............................. 600 347
*Medicore, Inc........................................ 500 719
*Medstone International, Inc.......................... 300 1,786
Merchants Bancorp, Inc................................ 400 12,975
*Mercury Air Group, Inc............................... 400 3,200
Meridian Insurance Group, Inc......................... 660 10,189
*Meridian Resource Corp............................... 1,000 3,688
*Merisel, Inc......................................... 2,500 4,141
*Merix Corp........................................... 500 6,047
*Mesa Air Group, Inc.................................. 3,800 19,238
*Metacreations Corp................................... 1,900 13,359
*Metal Management, Inc................................ 4,300 9,877
*Metals USA, Inc...................................... 3,100 25,963
*Metatec Corp. Class A................................ 1,100 2,853
*Metrika System Corp.................................. 200 1,238
*Metrocall, Inc....................................... 5,080 10,478
*Metromedia International Group, Inc.................. 7,600 34,200
*Michael Anthony Jewelers, Inc........................ 500 1,563
Michael Foods, Inc.................................... 1,700 42,766
*Micro Linear Corp.................................... 1,000 7,125
*Micro Warehouse, Inc................................. 3,600 42,413
*Microage, Inc........................................ 2,200 6,531
*Microcide Pharmaceuticals, Inc....................... 400 2,906
*Microsemi Corp....................................... 1,000 7,719
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Microtest, Inc....................................... 1,700 $ 11,794
*Microtouch Systems, Inc.............................. 1,000 14,906
Mid America Banccorp.................................. 899 25,790
*Middleby Corp........................................ 500 2,641
*Midway Airlines Corp................................. 500 3,734
*Midwest Grain Products, Inc.......................... 600 5,119
Mikasa, Inc........................................... 1,200 13,050
Milacron, Inc......................................... 1,400 20,388
*Miller Industries, Inc............................... 4,400 10,725
*Miltope Group, Inc................................... 500 367
Mine Safety Appliances Co............................. 500 31,500
Mississippi Chemical Corp............................. 2,800 14,875
*Mitcham Industries, Inc.............................. 1,000 3,906
*Monarch Casino and Resort, Inc....................... 500 2,891
*Monarch Dental Corp.................................. 500 1,000
*Monro Muffler Brake, Inc............................. 630 4,449
*Moog, Inc. Class A................................... 500 13,125
*Moore Medical Corp................................... 100 794
Moore Products Co..................................... 100 3,366
*Morrison Knudsen Corp................................ 3,900 33,881
*Morrow Snowboards, Inc............................... 100 30
*Mother's Work, Inc................................... 200 2,163
*Motor Car Parts & Accessories, Inc................... 200 289
Movado Group, Inc..................................... 937 22,312
*Movie Gallery, Inc................................... 2,100 8,663
*Multiple Zones International, Inc.................... 500 5,164
*N & F Worldwide Corp................................. 1,500 8,250
*NABI, Inc............................................ 3,900 17,916
NBT Bancorp........................................... 1,187 20,263
NCH Corp.............................................. 200 9,325
*NCI Building Systems, Inc............................ 500 8,313
*#NCS Healthcare, Inc................................. 1,600 4,275
*NMT Medical, Inc..................................... 1,200 2,513
*NPS Pharmaceuticals, Inc............................. 1,000 5,969
*NS Group, Inc........................................ 2,200 22,825
*Nabors Industries, Inc............................... 1,947 51,730
*Napco Security Systems, Inc.......................... 500 1,813
Nash Finch Co......................................... 900 6,497
*Nashua Corp.......................................... 500 3,688
*Nastech Pharmaceutical Co., Inc...................... 1,000 1,953
*Nathans Famous, Inc.................................. 400 1,344
National City Bancorp................................. 798 15,661
*National Home Centers, Inc........................... 500 617
*National Home Health Care Corp....................... 206 869
National Presto Industries, Inc....................... 500 17,625
*National Processing, Inc............................. 600 5,175
*National Research Corp............................... 300 1,331
National Steel Corp. Class B.......................... 2,800 16,275
National Technical Systems, Inc....................... 1,100 4,194
*National Techteam, Inc............................... 1,200 4,763
*Natural Alternatives International, Inc.............. 200 681
*Natural Microsystems Corp............................ 300 10,913
*Natural Wonders, Inc................................. 700 1,072
Nelson (Thomas), Inc.................................. 1,300 11,538
*Netmanage, Inc....................................... 5,928 29,547
*#Netrix Corp......................................... 1,300 11,741
*Network Computing Devices, Inc....................... 1,300 8,409
*Network Equipment Technologies, Inc.................. 2,200 27,088
*Neurocrine Biosciences, Inc.......................... 1,500 19,641
*New Brunswick Scientific Co., Inc.................... 418 2,299
</TABLE>
10
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*New Horizons Worldwide, Inc.......................... 750 $ 10,313
Newmil Bancorp, Inc................................... 200 2,550
*Newpark Resources, Inc............................... 400 2,400
Newport Corp.......................................... 500 12,750
*Nexthealth, Inc...................................... 700 984
*Niagara Corp......................................... 200 931
*Nobel Learning Communities, Inc...................... 200 1,613
*Noodle Kidoodle, Inc................................. 1,700 11,953
*Nord Resources Corp.................................. 1,900 309
*Norstan, Inc......................................... 600 4,313
*Nortek, Inc.......................................... 1,000 25,750
*North Face, Inc...................................... 1,200 6,338
Northland Cranberries, Inc. Class A................... 2,000 11,813
*Northwest Pipe Co.................................... 500 6,250
*Northwestern Steel & Wire Co......................... 3,900 1,645
*Novacare, Inc........................................ 5,600 4,550
*Novametrix Medical Systems, Inc...................... 1,000 4,000
*Nu Horizons Electronics Corp......................... 1,155 10,467
*Nuevo Energy Co...................................... 1,400 21,613
*Numerex Corp. Class A................................ 1,000 6,656
Nymagic, Inc.......................................... 1,000 14,375
*O'Sullivan Industries Holdings, Inc.................. 1,100 18,838
*O.I. Corp............................................ 400 1,700
*ODS Networks, Inc.................................... 1,300 10,644
OEA, Inc.............................................. 1,400 7,613
*OMNI Energy Services Corp............................ 200 319
*OSI Systems, Inc..................................... 1,100 4,847
*Oak Technology, Inc.................................. 4,600 29,613
Oakwood Homes Corp.................................... 7,500 22,500
*Objective Systems Integrators, Inc................... 2,500 9,961
*Oceaneering International, Inc....................... 500 6,500
OceanFirst Financial Corp............................. 1,600 29,650
*Ocwen Financial Corp................................. 5,600 36,400
*Officemax, Inc....................................... 6,100 37,363
*Offshore Logistics, Inc.............................. 2,800 27,650
*Ogden Corp........................................... 7,700 100,100
Oglebay Norton Co..................................... 400 8,838
Oil-Dri Corp. of America.............................. 100 1,481
*Old Dominion Freight Lines, Inc...................... 1,000 12,688
Olsten Corp........................................... 7,700 77,963
*Olympic Steel, Inc................................... 1,700 8,553
*Omega Protein Corp................................... 2,500 6,563
*Omega Worldwide, Inc................................. 1,100 4,159
*Omtool, Ltd.......................................... 500 1,484
*One Price Clothing Stores, Inc....................... 1,900 5,047
*Ontrack Data International, Inc...................... 1,000 10,719
*Onyx Acceptance Corp................................. 700 5,163
*Opinion Research Corp................................ 200 1,375
*Opta Food Ingredients, Inc........................... 1,300 4,022
*Opti, Inc............................................ 1,200 4,200
Optical Coating Laboratory, Inc....................... 1,000 196,719
*Optika Imaging Systems, Inc.......................... 400 2,100
*Option Care, Inc..................................... 800 2,675
*Orbital Sciences Corp................................ 300 4,163
Oregon Steel Mills, Inc............................... 2,700 21,938
Oregon Trail Financial Corp........................... 200 2,231
*Oroamerica, Inc...................................... 700 4,878
*Ortel Corp........................................... 200 12,725
*Orthologic Corp...................................... 2,000 4,938
Oshkosh Truck Corp. Class B........................... 2,550 70,444
*Oshman's Sporting Goods, Inc......................... 500 844
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Osmonics, Inc........................................ 1,300 $ 11,700
*Ostex International, Inc............................. 2,000 4,688
*Outlook Group Corp................................... 400 1,825
*Outsource International, Inc......................... 300 277
*Overland Data........................................ 1,000 6,719
Overseas Shipholding Group, Inc....................... 5,900 86,288
Owosso Corp........................................... 200 738
Oxford Industries, Inc................................ 700 14,919
*PBOC Holdings, Inc................................... 600 4,988
*PC Service Source, Inc............................... 1,000 2,563
*PLM International, Inc............................... 1,000 5,688
*PMR Corp............................................. 100 222
*PPT Vision, Inc...................................... 300 909
*PS Group Holdings, Inc............................... 500 5,250
PXRE Group, Ltd....................................... 1,511 18,699
*Pancho's Mexican Buffet, Inc......................... 133 372
*Panera Bread CO...................................... 600 4,763
*Par Technology Corp.................................. 1,000 5,063
*Paragon Trade Brands, Inc............................ 500 260
Park Electrochemical Corp............................. 1,300 42,738
*Parker Drilling Co................................... 8,700 34,256
*Park-Ohio Holdings Corp.............................. 1,700 20,081
*Parlex Corp.......................................... 200 3,775
*Parlux Fragrances, Inc............................... 2,400 8,850
Patina Oil & Gas Corp................................. 1,000 7,125
Patrick Industries, Inc............................... 1,000 12,063
*Paul Harris Stores, Inc.............................. 500 1,617
Paula Financial, Inc.................................. 300 1,847
*Paxar Corp........................................... 3,000 25,500
*Paxson Communications Corp........................... 3,000 34,313
*Payless Cashways, Inc................................ 34 55
*Pediatric Services of America, Inc................... 1,000 1,047
*Pediatrix Medical Group, Inc......................... 500 3,875
Penford Corp.......................................... 400 6,000
*#Penn Traffic Company................................ 2 15
*Penn Treaty American Corp............................ 600 9,525
Penn Virginia Corp.................................... 400 7,175
Penn-America Group, Inc............................... 500 4,000
*Penncorp Financial Group, Inc........................ 2,100 1,444
Pennfed Financial Services, Inc....................... 1,000 15,719
*Pentacon, Inc........................................ 1,000 2,813
*Penwest Pharmaceuticals Company...................... 600 8,081
Pep Boys - Manny, Moe & Jack.......................... 6,100 59,094
*Perceptron, Inc...................................... 1,200 5,269
*Perfumania, Inc...................................... 1,000 3,594
*Perini Corp.......................................... 400 1,575
*Perrigo Co........................................... 4,900 41,191
*Perry Ellis International, Inc....................... 1,000 11,375
*Personnel Group of America, Inc...................... 4,300 33,594
*Petco Animal Supplies, Inc........................... 2,500 34,688
*Petrocorp, Inc....................................... 1,700 10,519
*Petroleum Development Corp........................... 900 3,839
*PetSmart, Inc........................................ 5,300 23,022
*Pharmchem Laboratories, Inc.......................... 500 1,594
*Phar-Mor, Inc........................................ 1,100 2,836
Phillips-Van Heusen Corp.............................. 2,500 21,250
*Phoenix International Life Sciences, Inc............. 34 190
*Phoenix International, Ltd........................... 300 1,219
Phoenix Investment Partners, Ltd...................... 2,200 17,188
*Phoenix Technologies, Ltd............................ 1,800 25,763
</TABLE>
11
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Phycor, Inc.......................................... 6,300 $ 9,253
Piccadilly Cafeterias, Inc............................ 900 4,556
*Pico Holdings, Inc................................... 780 11,871
*Picturetel Corp...................................... 3,800 18,822
Pier 1 Imports, Inc. DE............................... 500 3,469
*Piercing Pagoda, Inc................................. 1,400 18,288
#Pillowtex Corp....................................... 1,100 4,400
Pinnacle Bancshares, Inc.............................. 200 1,800
*Pinnacle Global Group, Inc........................... 300 1,613
*Pinnacle Systems, Inc................................ 480 15,810
Pioneer Standard Electronics, Inc..................... 2,300 30,906
Pitt-Des Moines, Inc.................................. 1,000 24,188
Pittston Co. Burlington Group......................... 3,200 30,400
*Planar Systems, Inc.................................. 1,800 11,700
*#Planet Hollywood, Inc............................... 7,600 764
*Plasma-Therm, Inc.................................... 1,000 8,281
*#Play By Play Toys and Novelties, Inc................ 1,000 2,953
*Players International, Inc........................... 5,000 38,906
*#Pluma, Inc.......................................... 200 2
Pocahontas Bancorp, Inc............................... 100 638
*Polymedica Industries, Inc........................... 500 8,844
Pope & Talbot, Inc.................................... 1,100 13,131
*Powercerv Corp....................................... 1,300 3,372
*Praegitzer Industries, Inc........................... 1,000 5,484
Presidential Life Corp................................ 2,900 51,294
*Pricesmart, Inc...................................... 450 17,522
*Pride International, Inc............................. 6,700 96,313
*Primark Corp......................................... 3,100 82,344
*Prime Hospitality Corp............................... 3,900 33,881
*Prime Medical Services, Inc.......................... 1,500 14,203
Primesource Corp...................................... 500 3,031
*Procyte Corp......................................... 1,100 894
*Programmers Paradise, Inc............................ 400 2,675
*ProMedCo Management Company.......................... 2,200 4,572
*Protection One, Inc.................................. 12,300 21,525
*Protocol Systems, Inc................................ 1,400 11,069
*Provident Financial Holdings, Inc.................... 1,000 18,563
*Pure World, Inc...................................... 520 1,479
*Pyramid Breweries, Inc............................... 300 445
*QMS, Inc............................................. 264 792
*Qad, Inc............................................. 200 956
*Quad Systems Corp.................................... 1,200 1,650
Quaker Chemical Corp.................................. 500 7,813
*Quaker City Bancorp, Inc............................. 625 10,547
*Quaker Fabric Corp................................... 1,250 4,199
*Quality Dining, Inc.................................. 1,400 3,281
Quality Systems, Inc.................................. 1,000 6,750
Quanex Corp........................................... 1,600 33,900
*Quantum Corp-Hard Disk Drive......................... 221 1,519
*Quest Diagnostics, Inc............................... 1,700 51,744
*Quigley Corp......................................... 1,000 2,109
*Quintel Entertainment, Inc........................... 1,000 6,063
*Quorum Health Group, Inc............................. 6,000 53,813
*R & B, Inc........................................... 1,100 6,806
*RCM Technologies, Inc................................ 500 6,422
*RDO Equipment Co. Class A............................ 200 1,313
RLI Corp.............................................. 750 25,500
*RMH Teleservices, Inc................................ 200 1,409
RPC, Inc.............................................. 2,400 16,500
*RTI International Metals, Inc........................ 1,500 9,938
*RTW, Inc............................................. 1,000 5,219
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Radiance Medical Systems, Inc........................ 1,000 $ 5,438
*RadiSys Corp......................................... 301 13,502
*Rag Shops, Inc....................................... 210 440
*Railamerica, Inc..................................... 500 4,047
*Railtex, Inc......................................... 1,000 16,875
*Rainbow Technologies, Inc............................ 800 13,575
*Rainforest Cafe, Inc................................. 2,800 13,125
*Ramsay Youth Services, Inc........................... 233 320
Range Resources Corp.................................. 3,000 9,938
*Rare Hospitality International, Inc.................. 1,800 37,856
*Raytel Med Corp...................................... 1,000 2,969
*Reading Entertainment, Inc........................... 400 2,350
*Read-Rite Corp....................................... 4,200 23,034
*Recoton Corp......................................... 800 6,525
*Redhook Ale Brewery, Inc............................. 1,000 2,422
Redwood Empire Bancorp................................ 200 4,713
*Reebok International, Ltd............................ 5,700 51,300
*Refac................................................ 300 1,388
*Regeneron Pharmaceuticals, Inc....................... 2,100 16,144
*Reliability, Inc..................................... 500 1,469
Reliance Bancorp, Inc................................. 1,300 51,147
Reliance Group Holdings, Inc.......................... 18,300 73,200
*Relm Wireless Corp................................... 400 1,650
*Renaissance Worldwide, Inc........................... 4,400 21,175
*Renex Corp........................................... 800 4,875
*Rentrak Corp......................................... 100 541
*Rent-Way, Inc........................................ 600 9,150
*#Reptron Electronics, Inc............................ 1,000 6,875
*Republic Bankshares, Inc............................. 1,000 14,094
*Research Partners International, Inc................. 300 1,458
*ResortQuest International, Inc....................... 1,400 8,663
Resource America, Inc................................. 2,100 17,653
Resource Bancshares Mortgage Group, Inc............... 1,630 8,252
*Response Oncology, Inc............................... 873 1,228
Richardson Electronics, Ltd........................... 600 3,994
*Riddell Sports, Inc.................................. 1,700 5,100
Riggs National Corp................................... 2,000 28,438
*Right Management Consultants, Inc.................... 300 3,291
*Rightchoice Managed Care, Inc. Class A............... 300 3,375
Riverview Bancorp, Inc................................ 300 3,347
*Roadhouse Grill, Inc................................. 1,000 3,969
Roanoke Electric Steel Corp........................... 1,800 29,306
Robbins & Myers, Inc.................................. 1,000 20,000
*Roberds, Inc......................................... 500 516
*Robotic Vision Systems, Inc.......................... 1,500 8,953
*Rochester Medical Corp............................... 200 1,488
*Rock of Ages Co...................................... 500 2,984
*Rockshox, Inc........................................ 1,500 1,125
Rock-Tenn Co. Class A................................. 2,400 37,200
*Rocky Shoes & Boots, Inc............................. 100 753
*Rofin-Sinar Technologies, Inc........................ 1,000 7,063
*Rogue Wave Software, Inc............................. 500 3,953
Rollins Truck Leasing Corp............................ 5,850 68,738
*Romac International, Inc............................. 6,500 72,922
*Rottlund, Inc........................................ 500 1,344
Rouge Industries, Inc. Class A........................ 900 6,806
*Royal Appliance Manufacturing Co..................... 1,000 5,813
*Rural/Metro Corp..................................... 1,300 7,516
Russ Berrie & Co., Inc................................ 1,500 38,250
</TABLE>
12
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Ryans Family Steak Houses, Inc....................... 4,500 $ 44,297
Ryerson Tull, Inc..................................... 2,529 51,686
Ryland Group, Inc..................................... 1,800 40,950
*S&K Famous Brands, Inc............................... 400 3,013
#SCPIE Holdings, Inc.................................. 1,100 38,294
*SED International Holdings, Inc...................... 1,000 2,047
*SEMX Corp............................................ 1,000 6,375
*SMC Corp............................................. 200 813
*SOS Staffing Services, Inc........................... 1,000 4,750
*SPAR Group, Inc...................................... 200 800
*SPR, Inc............................................. 1,200 5,550
*#SSE Telecom, Inc.................................... 500 3,094
*STM Wireless, Inc. Class A........................... 200 981
*Sames Corp........................................... 300 4,500
*San Filippo (John B.) & Son, Inc..................... 800 2,875
Sanderson Farms, Inc.................................. 1,300 12,106
*Sands Regent Casino Hotel............................ 400 675
*Saucony, Inc. Class B................................ 300 3,816
*Savoir Technology Group, Inc......................... 1,500 8,016
*Scan-Optics, Inc..................................... 1,000 1,328
Schnitzer Steel Industries, Inc. Class A.............. 1,000 18,656
*#Schuff Steel Company................................ 200 775
*Schuler Homes, Inc................................... 1,800 11,644
Schulman (A.), Inc.................................... 2,100 33,272
Schweitzer-Maudoit International, Inc................. 2,700 35,775
*Seacor Smit, Inc..................................... 1,000 51,875
*Seattle Filmworks, Inc............................... 1,000 3,234
*Secom General Corp................................... 80 250
*Segue Software, Inc.................................. 300 7,641
*Seibels Bruce Group, Inc............................. 1,000 2,141
*Seitel, Inc.......................................... 2,000 13,500
Selas Corp. of America................................ 500 3,094
Selective Insurance Group, Inc........................ 2,100 36,816
*Semitool, Inc........................................ 1,300 14,828
*Sensormatic Electronics Corp......................... 1,800 28,688
*Sequa Corp. Class A.................................. 200 11,125
*Service Experts, Inc................................. 1,500 9,375
*#Service Merchandise Co., Inc........................ 8,800 2,200
*Shaw Group, Inc...................................... 1,000 20,875
*Sheldahl, Inc........................................ 1,000 4,094
*Shells Seafood Restaurants, Inc...................... 300 872
*Shiloh Industries, Inc............................... 1,100 9,556
*Shoe Carnival, Inc................................... 800 8,150
*Sholodge, Inc........................................ 600 3,431
*Shoney's, Inc........................................ 2,258 3,105
*Sierra Health Services, Inc.......................... 2,100 19,688
Sifco Industries, Inc................................. 400 2,750
*Sight Resource Corp.................................. 1,700 3,666
*Signal Technology Corp............................... 600 2,700
*Signature Eyewear, Inc............................... 200 631
*Silicon Valley Group, Inc............................ 3,800 54,506
*Silverleaf Resorts, Inc.............................. 1,500 10,969
*Simione Central Holdings, Inc........................ 400 488
Simmons First National Corp. Class A.................. 200 5,450
Simpson Industries, Inc............................... 1,900 20,009
*#Simula, Inc......................................... 500 2,844
*Sitel Corp........................................... 4,000 23,750
*Sizzler International, Inc........................... 2,400 6,000
Skyline Corp.......................................... 900 22,331
Smart & Final Food, Inc............................... 2,000 13,750
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Smith (A.O.) Corp..................................... 1,000 $ 22,000
Smith (A.O.) Corp. Convertible Class A................ 300 6,450
*Smithway Motor Express Corp. Class A................. 600 2,644
*Softech, Inc......................................... 300 375
*#Software Spectrum, Inc.............................. 1,000 10,938
*Sola International, Inc.............................. 3,200 45,600
*Sonic Automotive, Inc................................ 500 4,500
South Jersey Industries, Inc.......................... 1,000 29,313
*Southern Energy Homes, Inc........................... 1,200 2,738
*#Southern Pacific Funding Corp....................... 1,200 27
*Southwall Technologies, Inc.......................... 500 2,180
Southwestern Energy Co................................ 2,200 16,363
Sovereign Bancorp, Inc................................ 2,320 20,554
*Spacehab, Inc........................................ 900 4,472
*Spacelabs Medical, Inc............................... 1,000 13,938
Spartan Motors, Inc................................... 1,000 4,188
*Sparton Corp......................................... 500 2,375
*Spectrum Control, Inc................................ 500 5,391
*SpeedFam-IPEC, Inc................................... 3,065 36,205
*Speizman Industries, Inc............................. 300 1,538
*Splash Technology Holdings, Inc...................... 1,300 9,242
*Sport Chalet, Inc.................................... 600 3,459
*Sport Supply Group, Inc.............................. 300 1,913
*Sports Authority, Inc................................ 2,800 5,950
*Sports Club Co., Inc................................. 600 2,513
*Sportsman's Guide, Inc............................... 1,000 3,219
Springs Industries, Inc. Class A...................... 1,000 40,000
St. Mary Land & Exploration Co........................ 100 2,116
*Stac Software, Inc................................... 25 154
*Staffmark, Inc....................................... 2,500 19,883
Standard Commercial Corp.............................. 856 3,317
*Standard Management Corp............................. 700 4,222
*Standard Microsystems Corp........................... 1,600 19,550
Standard Motor Products, Inc. Class A................. 1,100 20,144
Standard Pacific Corp. DE............................. 3,600 39,600
*Standard Register Co................................. 1,400 29,488
*Stanley Furniture, Inc............................... 400 8,150
*Starcraft Corp....................................... 200 1,406
Starrett (L.S.) Co. Class A........................... 200 4,763
*#Starter Corp........................................ 2,300 207
State Auto Financial Corp............................. 3,200 30,900
State Financial Services Corp. Class A................ 500 7,906
Steel Technologies, Inc............................... 1,500 16,828
Stepan Co............................................. 500 11,844
Stephan Co............................................ 200 800
Sterling Bancorp...................................... 500 9,375
*Sterling Financial Corp. WA.......................... 600 7,613
Stewart & Stevenson Services, Inc..................... 3,000 35,813
Stewart Enterprises, Inc.............................. 20,000 102,188
Stewart Information Services Corp..................... 1,000 13,500
Stifel Financial Corp................................. 551 5,717
Stone & Webster, Inc.................................. 800 13,100
*Storage Computer Corp................................ 100 125
*Stormedia, Inc. Class A.............................. 1,000 1
*Strategic Distribution, Inc.......................... 2,000 3,188
*Stratus Properties, Inc.............................. 1,300 5,322
</TABLE>
13
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Strawbridge and Clothier Liquidating Trust........... 900 $ 146
Stride Rite Corp...................................... 3,000 19,125
*Strouds, Inc......................................... 1,100 2,423
*Stuart Entertainment, Inc............................ 600 48
*Suburban Lodges of America, Inc...................... 2,200 12,719
*Successories, Inc.................................... 200 538
*Summit Design, Inc................................... 2,100 6,431
*#Sun Healthcare Group, Inc........................... 4,800 228
*Sun Television and Appliances, Inc................... 2,400 19
*#Sunbeam Corp........................................ 3,700 18,269
*Sunburst Hospi....................................... 1,000 5,188
*Sunrise Medical, Inc................................. 2,000 12,000
*Sunrise Resources, Inc............................... 1,400 7,153
*Sunterra Corp........................................ 2,000 21,500
Superior Surgical Manufacturing Co., Inc.............. 800 7,800
*Suprema Specialties, Inc............................. 1,200 10,538
*Swiss Army Brands, Inc............................... 1,700 13,919
*Sylvan, Inc.......................................... 400 3,725
*Symmetricom, Inc..................................... 2,100 15,619
*Symons International Group, Inc...................... 1,000 1,359
*Symphonix Devices, Inc............................... 200 622
*Syms Corp............................................ 1,500 9,094
Synalloy Corp. DE..................................... 1,000 7,188
*Synaptic Pharmaceutical Corp......................... 1,000 4,563
*Synbiotics Corp...................................... 600 1,359
*Sync Research, Inc................................... 220 674
*Syntellect, Inc...................................... 1,300 2,884
*Synthetic Industries, Inc............................ 400 13,038
*TBA Entertainment Corp............................... 500 2,094
*TBC Corp............................................. 2,600 15,356
TCBY Enterprises, Inc................................. 2,200 8,800
*TCSI Corp............................................ 3,800 7,125
*TII Industries, Inc.................................. 1,200 1,519
TJ International, Inc................................. 1,400 58,319
*TRC Companies, Inc................................... 300 2,363
*TRM Copy Centers Corp................................ 1,000 5,688
Tab Products Co. DE................................... 400 3,050
*Taco Cabana, Inc..................................... 2,500 21,641
*Tandy Brand Accessories, Inc......................... 500 6,516
*Tandy Crafts, Inc.................................... 1,000 3,313
Technology Research Corp.............................. 300 323
*Tech-Sym Corp........................................ 300 5,663
*Tegal Corp........................................... 1,200 3,881
Telxon Corp........................................... 500 7,891
Terra Industries, Inc................................. 8,400 17,325
*Tesoro Petroleum Corp................................ 3,100 37,200
*Tesseract Group, Inc................................. 1,000 1,875
*Tetra Technologies, Inc.............................. 800 6,200
Texas Industries, Inc................................. 1,800 65,250
*Thermedics, Inc...................................... 3,200 18,200
*Thermo Bioanalysis Corp.............................. 600 10,575
*Thermo Ecotek Corp................................... 500 3,688
*Thermo Optek Corp.................................... 3,200 32,200
*Thermo Sentron, Inc.................................. 500 7,406
*Thermo Terratech, Inc................................ 500 3,375
*ThermoQuest Corp..................................... 500 5,156
Thermoretec Corp...................................... 900 5,963
*Thermospectra Corp................................... 1,000 15,938
*Thermotrex Corp...................................... 1,000 8,125
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Thomas Industries, Inc................................ 450 $ 7,256
*Thomaston Mills, Inc................................. 400 513
*Thorn Apple Valley, Inc.............................. 1,500 165
*Tier Technologies, Inc. Class B...................... 600 4,331
Timberland Bancorp, Inc............................... 200 2,356
*Tipperary Corp....................................... 1,000 1,375
Titan International, Inc.............................. 1,200 7,950
#Titanium Metals Corp................................. 2,700 14,681
*Todd Shipyards Corp.................................. 800 7,000
*Topps, Inc........................................... 3,800 43,344
Toro Co............................................... 1,000 32,438
*Total Renal Care Holdings, Inc....................... 4,700 33,488
*Tower Air, Inc....................................... 1,100 1,633
*Tractor Supply Co.................................... 500 8,500
*#Trans World Airlines, Inc........................... 3,000 9,750
*Transcoastal Marine Services, Inc.................... 1,400 4,528
*Transfinancial Holdings, Inc......................... 300 1,594
*Transmedia Network, Inc.............................. 300 750
*Transportation Components, Inc....................... 2,000 5,500
*Transportation Technologies Industries, Inc.......... 1,300 17,428
Transpro, Inc......................................... 1,000 6,625
Transtechnology Corp.................................. 500 4,375
*Transworld Healthcare, Inc........................... 2,000 4,375
*Travel Services International, Inc................... 1,100 11,034
Tremont Corp. DE...................................... 600 9,563
*Trend-Lines, Inc. Class A............................ 200 294
Trenwick Group, Inc................................... 825 16,758
*Trex Medical Corp.................................... 2,400 6,600
*Trico Marine Services, Inc........................... 2,500 18,672
*Trident Microsystems, Inc............................ 900 9,422
*Tridex Corp.......................................... 300 534
Trigen Energy Corp.................................... 400 6,525
*TriPath Imaging, Inc................................. 395 2,592
*Tripos, Inc.......................................... 100 995
*Trism, Inc........................................... 500 82
*Triumph Group........................................ 500 12,156
*Trump Hotels & Casino Resorts, Inc................... 2,000 7,750
*Tultex Corp.......................................... 2,500 547
Twin Disc, Inc........................................ 200 2,788
*Twinlab Corp......................................... 1,700 16,575
U.S. Bancorp, Inc..................................... 1,500 18,844
*#U.S. Diagnostic, Inc................................ 2,500 2,148
*U.S. Office Products, Co............................. 3,800 14,013
*U.S. Vision, Inc..................................... 100 253
*US Oncology, Inc..................................... 7,648 36,448
*US Xpress Enterprises, Inc. Class A.................. 1,000 7,219
*USA Floral Products, Inc............................. 1,000 2,844
*USA Truck, Inc....................................... 1,400 12,119
*UTI Energy Corp...................................... 1,500 30,375
*Ubics, Inc........................................... 200 519
*Ugly Duckling Corp................................... 2,000 14,875
*Ultimate Electronics, Inc............................ 1,300 30,428
*Ultrafem, Inc........................................ 1,000 17
*Ultrak, Inc.......................................... 1,400 6,563
*Ultralife Batteries, Inc............................. 300 1,819
*Ultratech Stepper, Inc............................... 1,700 32,141
*#Unapix Entertainment, Inc........................... 1,000 1,875
*Unicapital Corp...................................... 4,500 10,125
Unico American Corp................................... 500 3,438
*UniComp, Inc......................................... 1,000 3,750
</TABLE>
14
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Unifi, Inc........................................... 2,200 $ 29,150
Unifirst Corp......................................... 1,100 16,706
*Unimark Group, Inc................................... 1,000 1,281
*Uni-Marts, Inc....................................... 500 438
*Union Acceptance Corp. Class A....................... 500 3,672
*Unit Corp............................................ 2,600 14,950
*United American Healthcare Corp.,.................... 700 744
United Industrial Corp................................ 1,400 12,163
*United Natural Foods, Inc............................ 600 5,063
*United Retail Group, Inc............................. 1,100 10,158
*United States Home Corp.............................. 1,000 25,750
United Wisconsin Services, Inc........................ 1,800 9,675
*Universal American Financial Corp.................... 700 2,975
*Universal International, Inc......................... 400 1,038
*Universal Stainless & Alloy Products, Inc............ 300 1,130
*Universal Standard Medical Labs, Inc................. 500 8
*Uno Restaurant Corp.................................. 600 6,600
*Urocor, Inc.......................................... 1,100 3,730
*Urologix, Inc........................................ 1,000 5,094
*Utilx Corp........................................... 800 3,500
*VTEL Corp............................................ 2,600 9,344
*Vallen Corp.......................................... 1,500 37,172
*Value City Department Stores, Inc.................... 2,600 43,388
*Valuevision International, Inc. Class A.............. 2,700 121,416
*Vans, Inc............................................ 1,500 18,000
*#Vari L Co., Inc..................................... 300 6,009
*Variflex, Inc........................................ 1,200 7,500
*Vectra Technologies, Inc............................. 500 8
*#Vencor, Inc......................................... 5,500 866
*Venture Stores, Inc.................................. 1,500 12
*Verilink Corp........................................ 1,500 4,945
*Veritas DGC, Inc..................................... 3,500 50,969
*Vertex Communications Corp........................... 200 4,250
Vesta Insurance Group, Inc............................ 2,000 7,875
*Vestcom Int'l, Inc................................... 300 1,050
*Veterinary Centers of America, Inc................... 2,200 24,681
*Viasoft, Inc......................................... 1,500 9,258
*Vicon Industries, Inc................................ 200 1,175
*Vicorp Restaurants, Inc.............................. 800 14,050
*Video Display Corp................................... 300 1,200
*Video Services Corp.................................. 500 1,500
*Video Update, Inc.................................... 2,175 935
*#Videonics, Inc...................................... 200 203
Virco Manufacturing Corp.............................. 1,089 14,838
*Virtualfund.Com, Inc................................. 900 1,856
*Vista Medical Technologies, Inc...................... 500 211
Vital Signs, Inc...................................... 700 16,363
*Vivid Technologies, Inc.............................. 1,000 5,922
*Volt Information Sciences, Inc....................... 2,000 44,625
*Vysis, Inc........................................... 500 1,602
*#WHX Corp............................................ 2,200 19,525
*WLR Foods, Inc....................................... 1,314 7,473
*WPI Group, Inc....................................... 1,000 2,719
Wabash National Corp.................................. 3,400 49,938
Wackenhut Corp. Class B Non-Voting.................... 1,000 10,125
*Walker Interactive Systems, Inc...................... 500 2,922
*Warrantech Corp...................................... 1,000 1,000
Warren Bancorp, Inc................................... 600 4,894
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Washington Homes, Inc................................ 700 $ 3,719
Washington Savings Bank FSB Waldorf, MD............... 400 1,350
*Waterlink, Inc....................................... 1,500 4,688
Watkins-Johnson Co.................................... 500 19,406
Watsco, Inc. Class A.................................. 1,500 16,313
Watts Industries, Inc. Class A........................ 1,600 22,300
*Webb (Del) Corp...................................... 1,600 36,600
*Weirton Steel Corp................................... 3,600 11,475
Wellman, Inc.......................................... 3,500 55,781
*#Wells-Gardner Electronics Corp...................... 210 656
*West Coast Entertainment Corp........................ 200 45
*West Marine, Inc..................................... 1,100 9,384
Westcorp, Inc......................................... 2,800 41,125
Westerfed Financial Corp.............................. 500 8,250
*Western Beef, Inc.................................... 500 4,359
*Western Water Co..................................... 500 672
*Weston (Roy F.), Inc. Class A........................ 600 1,331
*Wickes Lumber Co..................................... 1,200 6,094
*Williams Clayton Energy, Inc......................... 700 10,369
*Willis Lease Finance Corp............................ 500 3,281
*Wilshire Financial Sevices Group, Inc................ 8 10
*Wilshire Oil Co. of Texas............................ 515 1,996
*Windmere Corp........................................ 2,000 28,625
Wiser Oil Co.......................................... 800 2,250
Wolohan Lumber Co..................................... 600 7,331
*Wolverine Tube, Inc.................................. 1,400 21,263
Woodhead Industries, Inc.............................. 500 6,625
Woodward Governor Co.................................. 1,000 26,969
*Workgroup Technology Corp............................ 900 984
World Fuel Services Corp.............................. 1,000 8,000
*Worldtex, Inc........................................ 1,200 1,425
*Xetel Corp........................................... 1,300 2,417
*Xtra Corp............................................ 1,800 72,000
Yankee Energy Systems, Inc............................ 900 38,419
Yardville National Bancorp............................ 1,000 12,000
*Yellow Corp.......................................... 3,400 57,375
York Financial Corp................................... 832 10,556
York Group, Inc....................................... 500 2,133
Zap.com Corp.......................................... 46 104
*Zapata Corp.......................................... 2,300 12,506
*Zaring National Corp................................. 100 456
*Zemex Corp........................................... 756 6,143
Zenith National Insurance Corp........................ 1,500 31,125
*#Zoltek Companies, Inc............................... 1,000 11,594
*Zygo Corp............................................ 1,000 19,313
*Zymetx, Inc.......................................... 200 422
-----------
TOTAL COMMON STOCKS
(Cost $20,892,064)................................... 18,883,746
-----------
RIGHTS/WARRANTS -- (0.0%)
*Franklin Covey Co. Rights 11/30/99
(Cost $0)........................................... 2,400 0
-----------
</TABLE>
15
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (2.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $485,688) to be
repurchased at $474,070.
(Cost $474,000)..................................... $ 474 $ 474,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $21,366,064)++................................. $19,357,746
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $21,366,961.
</TABLE>
See accompanying Notes to Financial Statements.
16
<PAGE>
VA LARGE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (100.0%)
AK Steel Holding Corp................................. 3,200 $ 53,000
*AMR Corp............................................. 9,900 602,662
*Advanced Micro Devices, Inc.......................... 8,100 228,825
Advanta Corp. Class A................................. 166 2,895
Advanta Corp. Class B Non-Voting...................... 272 3,502
Aetna, Inc............................................ 9,100 497,087
Airborne Freight Corp................................. 3,000 69,562
*Alaska Air Group, Inc................................ 1,900 72,200
Albemarle Corp........................................ 1,000 19,375
Alexander & Baldwin, Inc.............................. 3,100 70,719
*Allegheny Corp....................................... 102 19,584
Alliant Energy Corp................................... 5,000 135,312
Allmerica Financial Corp.............................. 1,500 82,781
*Allstate Corp........................................ 6,100 159,744
Ambac, Inc............................................ 2,200 119,900
*America West Holdings Corp.
Class B............................................. 2,000 40,375
American Annuity Group, Inc........................... 2,700 43,537
American Financial Group, Inc......................... 3,500 94,281
American Greetings Corp. Class A...................... 4,100 96,606
American National Insurance Co........................ 1,610 107,367
Amerus Life Holdings, Inc. Class A.................... 1,500 35,344
Archer-Daniels Midland Co............................. 40,393 502,388
Argonaut Group, Inc................................... 300 6,937
*Arrow Electronics, Inc............................... 7,300 166,987
Ashland, Inc.......................................... 4,400 148,500
*#AutoNation, Inc..................................... 36,000 335,250
*Avnet, Inc........................................... 2,200 120,862
*BJ Services, Co...................................... 1,700 59,287
Bancwest Corp......................................... 2,200 96,937
Bear Stearns Companies, Inc........................... 7,910 322,827
Belo (A.H.) Corp. Class A............................. 6,500 117,000
*Bethlehem Steel Corp................................. 7,200 45,000
Block Drug Co., Inc. Class A.......................... 9 279
Boise Cascade Corp.................................... 3,800 131,575
*Borders Group, Inc................................... 400 6,200
Borg Warner Automotive, Inc........................... 400 16,200
Bowater, Inc.......................................... 2,700 132,300
Brunswick Corp........................................ 3,900 85,069
Burlington Northern Santa Fe Corp..................... 34,600 1,003,400
*CBRL Group, Inc...................................... 4,700 51,994
*CNA Financial Corp................................... 12,000 468,000
CSX Corp.............................................. 14,100 501,431
Capital Re Corp....................................... 1,000 13,750
*Centex Corp.......................................... 3,500 83,125
Champion International Corp........................... 6,200 343,712
Chesapeake Corp....................................... 700 22,356
*Chris-Craft Industries, Inc.......................... 1,591 110,376
Cincinnati Financial Corp............................. 10,690 355,777
*Coca-Cola Enterprises, Inc........................... 2,000 42,375
Commerce Group, Inc................................... 1,400 39,025
Conseco, Inc.......................................... 21,100 427,275
Consolidated Papers, Inc.............................. 3,900 114,075
*Consolidated Stores Corp............................. 6,400 100,800
Cooper Tire & Rubber Co............................... 3,800 57,000
Corn Products International, Inc...................... 2,700 84,712
Countrywide Credit Industries, Inc.................... 7,300 205,312
Crown Cork & Seal Co., Inc............................ 8,000 163,000
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Cummins Engine Co., Inc............................... 2,100 $ 85,050
*Dana Corp............................................ 1,900 52,725
Delphi Automotive Systems Corp........................ 21,596 340,137
*Delta Air Lines, Inc................................. 4,400 216,700
Dillards, Inc. Class A................................ 6,900 130,237
EOG Resources, Inc.................................... 2,800 51,800
*Eastman Chemical Co.................................. 3,000 116,625
Enhance Financial Services Group, Inc................. 1,000 17,125
Everest Reinsurance Holdings, Inc..................... 2,900 68,875
*Extended Stay America, Inc........................... 5,800 44,587
*FMC Corp............................................. 1,000 48,500
*Federal-Mogul Corp................................... 6,100 136,106
*Federated Department Stores, Inc..................... 12,300 578,869
Financial Security Assurance Holdings, Ltd............ 1,900 100,344
First American Financial Corp......................... 2,800 36,050
Florida East Coast Industries, Inc.................... 1,200 48,900
*Ford Motor Co........................................ 32,900 1,661,450
Fortune Brands, Inc................................... 12,800 437,600
*GATX Corp............................................ 1,200 39,450
General Motors Corp................................... 30,900 2,224,800
*General Motors Corp. Class H......................... 7,200 616,500
Georgia-Pacific Corp.................................. 5,600 222,950
Golden West Financial Corp............................ 1,400 141,312
Goodrich (B.F.) Co.................................... 1,300 29,331
*Goodyear Tire & Rubber Co............................ 1,000 33,750
Great Atlantic & Pacific Tea Co., Inc................. 2,200 55,962
*Greenpoint Financial Corp............................ 3,800 96,187
#Harnischfeger Industries, Inc........................ 2,000 2,125
*Harris Corp.......................................... 2,200 46,200
*Healthsouth Corp..................................... 26,200 149,012
Helmerich & Payne, Inc................................ 2,800 63,350
Hilton Hotels Corp.................................... 8,000 80,500
Hollinger International, Inc. Class A................. 5,400 67,837
Horton (D.R.), Inc.................................... 6,000 82,500
*Humana, Inc.......................................... 10,700 74,900
IBP, Inc.............................................. 4,300 94,869
IMC Global, Inc....................................... 7,800 125,775
*Ikon Office Solutions, Inc........................... 9,600 64,200
*Imation Corp......................................... 100 3,219
*Ingram Micro, Inc.................................... 5,000 66,562
*#Integrated Health Services, Inc..................... 2,000 750
*Interim Services, Inc................................ 2,200 40,562
International Paper Co................................ 1,478 77,133
*K Mart Corp.......................................... 32,000 318,000
Kennametal, Inc....................................... 1,200 39,900
LNR Property Corp..................................... 500 8,813
Lafarge Corp.......................................... 5,900 159,300
*Lam Research Corp.................................... 1,100 85,181
*Lanier Worldwide, Inc................................ 2,200 8,800
Lehman Brothers Holdings, Inc......................... 7,700 588,087
Liberty Corp.......................................... 1,000 45,750
*Liberty Financial Companies, Inc..................... 2,700 63,450
Lincoln National Corp................................. 7,400 308,488
*Lockheed Martin Corp................................. 1,400 27,825
Loews Corp............................................ 6,900 441,600
*Louisiana-Pacific Corp............................... 6,900 84,525
Lubrizol Corp......................................... 1,000 27,375
</TABLE>
17
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Lyondell Chemical Co................................. 2,800 $ 39,200
MBIA, Inc............................................. 3,600 180,000
*Mandalay Resort Group................................ 6,000 139,875
*Manor Care, Inc...................................... 1,000 20,063
Mark IV Industries, Inc............................... 2,500 46,875
Mead Corp............................................. 6,200 221,263
Millennium Chemicals, Inc............................. 4,950 96,834
*Mirage Resorts, Inc.................................. 11,000 140,938
*Modis Professional Services, Inc..................... 5,900 63,056
Murphy Oil Corp....................................... 400 22,600
Nabisco Group Holdings Corp........................... 19,940 230,556
*National Semiconductor Corp.......................... 2,100 89,250
Norfolk Southern Corp................................. 24,300 519,413
Northrop Grumman Corp................................. 5,600 314,650
Occidental Petroleum Corp............................. 12,800 280,800
*Officemax, Inc....................................... 7,100 43,488
*#Ohio Casualty Corp.................................. 3,000 46,219
Old Republic International Corp....................... 7,850 98,125
Olsten Corp........................................... 3,000 30,375
Omnicare, Inc......................................... 5,600 75,950
*Owens-Illinois, Inc.................................. 8,300 198,681
PMI Group, Inc........................................ 1,050 52,434
Pacific Century Financial Corp........................ 5,200 102,050
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable, Class A.................... 1,268 59,438
*Pactiv Corporation................................... 11,000 112,750
*Park Place Entertainment Corp........................ 5,300 68,238
Penney (J.C.) Co., Inc................................ 16,600 370,388
Penzoil Quaker State Co............................... 3,000 31,125
*Phelps Dodge Corp.................................... 4,624 240,448
*Pioneer Natural Resources Co......................... 7,600 63,175
Potlatch Corp......................................... 1,500 60,656
*Premier Parks, Inc................................... 400 10,000
Pulte Corp............................................ 2,400 48,150
Questar Corp.......................................... 5,300 91,094
*R & B Falcon Corp.................................... 12,700 157,163
RJ Reynolds Tobacco Holdings, Inc..................... 7,046 150,168
*Rayonier, Inc........................................ 700 31,106
*Raytheon Co. Class A................................. 2,600 75,725
*Raytheon Co. Class B................................. 2,000 61,375
Reynolds Metals Co.................................... 4,600 287,788
*Rowan Companies, Inc................................. 4,300 73,638
Russell Corp.......................................... 1,100 14,369
Ryder System, Inc..................................... 4,500 101,531
Safeco Corp........................................... 11,800 279,881
*Safety-Kleen Corp.................................... 4,700 55,225
Saint Paul Companies, Inc............................. 14,712 444,119
*Saks, Inc............................................ 6,000 105,000
*Seagate Technology, Inc.............................. 1,100 40,700
*Sears, Roebuck & Co.................................. 9,500 324,781
*Sensormatic Electronics Corp......................... 5,600 89,250
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Service Corp. International........................... 17,500 $ 132,344
*Silicon Graphics, Inc................................ 6,600 62,288
*Smurfit-Stone Container Corp......................... 3,663 70,284
Sovereign Bancorp, Inc................................ 5,100 45,183
Springs Industries, Inc. Class A...................... 1,000 40,000
Starwood Hotels and Resorts Worldwide, Inc............ 11,500 256,594
*#Sunoco, Inc......................................... 5,100 130,369
*Tech Data Corp....................................... 1,400 34,388
*Tecumseh Products Co. Class A........................ 700 33,622
Tecumseh Products Co. Class B......................... 300 13,069
Telephone & Data Systems, Inc......................... 200 26,638
Temple-Inland, Inc.................................... 1,900 108,775
*Tenet Healthcare Corp................................ 18,900 421,706
Tenneco Automotive, Inc............................... 2,200 17,325
Terra Industries, Inc................................. 3,000 6,188
*Thermo-Electron Corp................................. 13,700 205,500
Tidewater, Inc........................................ 3,200 102,200
Timken Co............................................. 5,100 97,538
*Toys R Us, Inc....................................... 16,100 281,750
Travelers Property Casualty Corp...................... 6,100 203,206
*Trinity Industries, Inc.............................. 1,100 32,175
*UAL Corp............................................. 3,600 247,500
UMB Financial Corp.................................... 330 13,406
USX-Marathon Group, Inc............................... 8,300 219,431
USX-US Steel Group.................................... 5,700 144,281
Ultramar Diamond Shamrock Corp........................ 5,800 146,813
*Unifi, Inc........................................... 2,000 26,500
Union Pacific Corp.................................... 16,400 771,825
Union Pacific Resources Group, Inc.................... 14,600 190,713
*United Rentals, Inc.................................. 700 12,075
Unitrin, Inc.......................................... 4,700 175,663
*Unova, Inc........................................... 5,000 65,625
UnumProvident Corp.................................... 7,882 256,658
Valero Energy Corp.................................... 4,200 87,150
Valhi, Inc............................................ 6,500 70,281
*Venator Group, Inc................................... 7,300 50,188
*Vishay Intertechnology, Inc.......................... 3,830 110,831
Weis Markets, Inc..................................... 1,700 69,606
Wesco Financial Corp.................................. 400 110,000
Westvaco Corp......................................... 6,950 209,803
Worthington Industries, Inc........................... 3,800 60,563
*Ziff-Davis, Inc...................................... 6,300 116,156
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $31,922,753)++................................. $31,890,447
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $31,923,105.
</TABLE>
See accompanying Notes to Financial Statements.
18
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (27.9%)
COMMON STOCKS -- (27.9%)
Aichi Steel Works, Ltd............................... 4,000 $ 10,178
Aisin Seiki Co., Ltd................................. 2,000 30,415
Amada Co., Ltd....................................... 3,000 17,028
*Aoki Corp........................................... 6,000 3,053
Aoyama Trading Co., Ltd.............................. 1,100 26,158
*Ashikaga Bank, Ltd.................................. 9,000 19,377
*Atsugi Co., Ltd..................................... 5,000 8,954
Bank of Yokohama, Ltd................................ 15,000 67,965
Calpis Co., Ltd...................................... 2,000 9,121
Canon Sales Co., Inc................................. 2,000 27,401
Casio Computer Co., Ltd.............................. 3,000 20,434
Chiba Bank, Ltd...................................... 10,000 53,530
Chiyoda Fire and Marine Insurance Co., Ltd........... 5,000 16,245
Chudenko Corp........................................ 1,030 17,962
Chugoku Bank, Ltd.................................... 2,000 22,547
Chuo Trust and Banking Co., Ltd...................... 2,000 19,572
Citizen Watch Co., Ltd............................... 3,000 18,378
Cosmo Oil Co., Ltd................................... 10,000 15,658
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 4,000 17,106
Daicel Chemical Industries, Ltd...................... 4,000 11,822
Daido Steel Co., Ltd................................. 5,000 7,976
Dai-Ichi Kangyo Bank, Ltd............................ 12,000 138,220
*Daikyo, Inc......................................... 3,000 8,661
Daishi Bank, Ltd..................................... 5,000 19,670
Daito Trust Construction Co., Ltd.................... 2,916 36,812
Daiwa Bank, Ltd...................................... 26,000 87,782
Daiwa House Industry Co., Ltd........................ 7,000 63,023
*Daiwa Securities Co., Ltd........................... 22,000 313,901
Dowa Fire & Marine Insurance Co., Ltd................ 5,000 12,967
Ezaki Glico Co., Ltd................................. 2,200 10,550
*Fujita Corp......................................... 9,000 6,077
Fukuoka City Bank, Ltd............................... 4,712 22,365
Fukuyama Transporting Co., Ltd....................... 4,000 28,576
Gunze, Ltd........................................... 4,000 11,156
*Hanwa Co., Ltd...................................... 2,000 2,290
*Haseko Corp......................................... 8,000 4,462
Higo Bank, Ltd....................................... 3,000 13,153
*Hino Motors, Ltd.................................... 5,000 15,903
Hiroshima Bank, Ltd.................................. 2,000 7,770
Hitachi Cable, Ltd................................... 5,000 29,505]
Hitachi Koki Co., Ltd................................ 2,000 5,930
Hitachi Maxell, Ltd.................................. 1,000 26,814
Hitachi Metals, Ltd.................................. 5,000 22,998
Hitachi Transport System, Ltd........................ 2,000 11,117
Hitachi, Ltd......................................... 61,000 841,708
*Hokkaido Bank, Ltd.................................. 7,000 11,098
Hokkoku Bank, Ltd.................................... 5,000 20,796
*Hokuriku Bank, Ltd.................................. 7,000 16,509
House Foods Corp..................................... 2,000 28,399
Hyakugo Bank, Ltd. (105th Bank)...................... 4,000 19,103
Hyakujishi Bank, Ltd................................. 3,000 19,318
Inax Corp............................................ 2,000 11,841
Ishikawajima-Harima Heavy Industries Co., Ltd........ 18,000 22,371
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Itochu Corp......................................... 22,000 $ 130,900
Japan Energy Corp.................................... 15,000 14,679
Juroku Bank, Ltd..................................... 5,000 22,802
Kajima Corp.......................................... 13,000 43,764
*Kamagai Gumi Co., Ltd............................... 6,000 5,050
Kamigumi Co., Ltd.................................... 4,000 17,028
Kandenko Co., Ltd.................................... 3,000 15,795
Katokichi Co., Ltd................................... 1,000 25,102
Kinden Corp.......................................... 2,000 16,069
#Kiyo Bank, Ltd...................................... 5,000 14,092
*Kobe Steel, Ltd..................................... 45,000 34,349
Komatsu, Ltd......................................... 14,000 78,779
Komori Corp.......................................... 1,000 19,621
Konica Corp.......................................... 5,000 20,062
Kureha Chemical Industry Co., Ltd.................... 4,000 10,804
Kyudenko Corp........................................ 2,000 7,712
Kyushu Matsushita Electric Co., Ltd.................. 2,000 25,601
Maeda Corp........................................... 2,000 6,165
Makita Corp.......................................... 2,000 18,202
*Marubeni Corp....................................... 22,000 85,472
Maruetsu, Inc........................................ 3,000 11,215
Matsushita Electric Industrial Co., Ltd.............. 38,000 961,295
Mitsubishi Corp...................................... 6,000 52,317
Mitsubishi Gas Chemical Co., Inc..................... 5,000 11,450
Mitsubishi Heavy Industries, Ltd..................... 46,000 149,004
*Mitsubishi Materials Corp........................... 10,000 21,530
*Mitsubishi Motors Corp.............................. 14,000 64,941
Mitsui Trust & Banking Co., Ltd...................... 16,000 49,322
Mizuno Corp.......................................... 2,000 5,696
Mycal Corp........................................... 3,000 14,562
*NKK Corp............................................ 64,000 50,732
NTN Corp............................................. 4,000 13,896
Nagase & Co., Ltd.................................... 2,000 8,240
Nanto Bank, Ltd...................................... 3,000 23,546
*New Japan Securities Co., Ltd....................... 6,000 17,322
Nichimen Corp........................................ 5,000 6,018
*Nippon Credit Bank, Ltd............................. 20,000 0
Nippon Light Metal Co., Ltd.......................... 8,000 9,473
Nippon Mitsubishi Oil Company........................ 19,100 84,299
Nippon Sheet Glass Co., Ltd.......................... 4,000 23,174
Nippon Shinpan Co., Ltd.............................. 6,000 17,674
Nishimatsu Construction Co., Ltd..................... 4,000 17,967
Nishi-Nippon Bank, Ltd............................... 6,000 25,718
Nisshin Steel Co., Ltd............................... 12,000 12,331
*Nisshinbo Industries, Inc........................... 3,000 15,149
Nittetsu Mining Co., Ltd............................. 2,000 4,795
Nitto Boseki Co., Ltd................................ 7,000 11,714
Noritz Corp.......................................... 1,000 11,567
*Oki Electric Industry Co., Ltd...................... 9,000 53,374
Okumura Corp......................................... 4,000 13,505
Pioneer Electronic................................... 2,000 44,527
Sakura Bank, Ltd..................................... 43,000 317,708
San In Godo Bank, Ltd................................ 3,000 22,166
*Sankyo Aluminum Industry Co., Ltd................... 3,000 2,936
Sanwa Shutter Corp................................... 3,000 10,275
Sanyo Electric....................................... 35,000 138,719
Seino Transportation Co., Ltd........................ 2,000 12,037
Sekisui Chemical Co., Ltd............................ 8,000 37,970
</TABLE>
19
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sekisui House, Ltd................................... 10,000 $ 96,883
Sharp Corp. Osaka.................................... 9,000 183,637
Shiga Bank, Ltd...................................... 4,000 19,572
Shimizu Corp......................................... 12,000 40,632
*Shinmaywa Industries, Ltd........................... 2,000 3,934
Shionogi & Co., Ltd.................................. 3,000 35,524
Showa Shell Sekiyu KK................................ 3,000 17,116
Snow Brand Milk Products Co., Ltd.................... 4,000 16,245
Sumitomo Corp........................................ 15,000 146,059
*Sumitomo Metal Industries, Ltd. Osaka............... 50,000 47,952
*Sumitomo Metal Mining Co., Ltd...................... 10,000 22,802
Sumitomo Realty & Development Co., Ltd............... 7,000 26,031
Taiheiyo Cement Corp................................. 11,600 22,817
Taisei Corp.......................................... 14,000 29,730
Tanabe Seiyaku Co., Ltd.............................. 4,000 24,896
Teijin, Ltd.......................................... 15,000 67,231
Toda Corp............................................ 4,000 15,188
Tokyo Steel Manufacturing Co., Ltd................... 1,500 5,945
Tokyo Style Co., Ltd................................. 1,000 8,905
Tokyo Tatemono Co., Ltd.............................. 4,000 8,925
Tostem Corp.......................................... 4,000 71,830
Toto, Ltd............................................ 3,000 18,349
*Toyo Engineering Corp............................... 3,000 2,995
Toyo Seikan Kaisha, Ltd.............................. 3,100 55,517
Toyo Trust & Banking Co., Ltd........................ 11,000 58,345
Toyota Tsusho Corp................................... 4,000 12,526
UNY Co., Ltd......................................... 2,000 20,942
Victor Co. of Japan, Ltd............................. 2,000 13,720
Wacoal Corp.......................................... 2,000 17,830
Yamaguchi Bank....................................... 2,000 17,224
Yamaha Corp.......................................... 2,000 18,320
Yamato Kogyo Co., Ltd................................ 2,000 10,354
*Yasuda Trust & Banking Co., Ltd..................... 40,000 77,115
Yodogawa Steel Works, Ltd............................ 4,000 12,722
Yokogawa Electric Corp............................... 3,000 19,582
-----------
TOTAL COMMON STOCKS
(Cost $6,732,909).................................... 6,559,332
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $1,432).......................... 1,473
-----------
TOTAL -- JAPAN
(Cost $6,734,341).................................... 6,560,805
-----------
</TABLE>
<TABLE>
<CAPTION>
------ ------
<S> <C> <C>
UNITED KINGDOM -- (18.5%)
COMMON STOCKS -- (18.5%)
Aggregate Industries P.L.C........................... 16,000 18,029
*Allied Domecq P.L.C. (New).......................... 8,399 44,646
Anglian Water P.L.C.................................. 2,025 21,351
Arcadia Group P.L.C.................................. 2,337 3,555
Arjo Wiggins Appleton P.L.C.......................... 10,500 31,942
Associated British Foods P.L.C....................... 8,800 43,835
Associated British Ports Holdings P.L.C.............. 4,600 21,796
BAA P.L.C............................................ 13,920 98,326
BG P.L.C............................................. 34,412 180,593
BOC Group P.L.C...................................... 6,696 137,896
BPB P.L.C............................................ 6,900 36,184
Barclays P.L.C....................................... 62 1,787
Bass P.L.C........................................... 10,027 112,909
Berkeley Group P.L.C................................. 1,590 16,727
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Blue Circle Industries P.L.C......................... 10,390 $ 59,532
Britannic P.L.C...................................... 2,600 43,895
British Airways P.L.C................................ 14,189 84,916
British Land Co. P.L.C............................... 5,766 41,556
*British-Borneo Petroleum Syndicate P.L.C............ 5,480 16,321
CGU P.L.C............................................ 18,461 279,329
Capital Shopping Centres P.L.C....................... 4,000 25,133
Carillion P.L.C...................................... 2,178 3,868
Chelsfield P.L.C..................................... 3,000 15,696
Cookson Group P.L.C.................................. 9,000 35,442
*Corus Group P.L.C................................... 49,343 100,201
Debenhams P.L.C...................................... 4,675 14,743
Fairview Holdings P.L.C.............................. 2,450 5,912
Great Universal Stores P.L.C......................... 10,100 67,643
Greenalls Group P.L.C................................ 2,700 12,643
Hammerson P.L.C...................................... 3,800 27,689
Hanson P.L.C......................................... 8,200 68,370
Hilton Group P.L.C................................... 22,165 71,134
Hyder P.L.C.......................................... 1,875 12,782
Inchcape P.L.C....................................... 833 3,582
Invensys P.L.C....................................... 12,628 58,729
Johnson Matthey P.L.C................................ 3,000 31,775
LaPorte P.L.C........................................ 2,000 18,587
*Laporte P.L.C. Class B.............................. 18,000 287
Lasmo P.L.C.......................................... 8,700 17,182
Lonmin P.L.C......................................... 1,651 14,831
Lonrho Africa P.L.C.................................. 1,587 923
Marks & Spencer P.L.C................................ 41,900 167,837
Millennium and Copthorne Hotels P.L.C................ 3,000 18,276
National Power P.L.C................................. 6,226 39,838
National Westminster Bank P.L.C...................... 17,363 398,497
Norwich Union P.L.C.................................. 28,000 197,894
Peninsular & Oriental Steam Navigation Co............ 8,000 117,351
Pilkington P.L.C..................................... 8,390 11,693
Powergen P.L.C....................................... 6,228 53,515
RMC Group P.L.C...................................... 2,000 24,432
*Railtrack Group P.L.C............................... 7,000 107,588
Rank Group P.L.C..................................... 9,535 29,728
Rio Tinto P.L.C...................................... 13,239 259,356
Rolls-Royce P.L.C.................................... 19,231 58,349
Royal & Sun Alliance Insurance Group P.L.C........... 20,366 125,045
Safeway P.L.C........................................ 15,428 45,336
Sainsbury (J.) P.L.C................................. 26,274 129,516
Scottish & Newcastle P.L.C........................... 8,300 63,520
Selfridges P.L.C..................................... 1,210 4,558
Severn Trent P.L.C................................... 2,995 37,494
Signet Group P.L.C................................... 24,000 23,126
Slough Estates P.L.C................................. 4,000 22,234
Somerfield P.L.C..................................... 6,000 8,266
Standard Chartered P.L.C............................. 6,097 82,639
Storehouse P.L.C..................................... 5,502 4,250
Tarmac P.L.C......................................... 2,206 19,465
Tate & Lyle P.L.C.................................... 4,000 27,283
Tesco P.L.C.......................................... 45,268 122,207
Thames Water P.L.C................................... 2,724 37,810
Thistle Hotels P.L.C................................. 5,457 15,427
Trinity P.L.C........................................ 1,950 17,066
Unigate P.L.C........................................ 2,600 12,434
</TABLE>
20
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
United Assurance Group P.L.C......................... 3,000 $ 17,440
United Biscuits Holdings P.L.C....................... 5,335 19,374
United Utilities P.L.C............................... 4,670 43,513
Whitbread P.L.C...................................... 6,339 60,729
Wolseley P.L.C....................................... 4,027 29,648
Yorkshire Water P.L.C................................ 3,261 17,659
-----------
TOTAL COMMON STOCKS
(Cost $4,390,163).................................... 4,372,670
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $391).................. 384
-----------
TOTAL -- UNITED KINGDOM
(Cost $4,390,554).................................... 4,373,054
-----------
GERMANY -- (9.4%)
COMMON STOCKS -- (9.4%)
BASF AG.............................................. 10,650 489,521
BHW Holding AG....................................... 3,000 52,861
*Bankgesellschaft Berlin AG.......................... 2,700 42,138
Bayer AG............................................. 3,500 147,484
Bayerische Vereinsbank AG............................ 1,900 117,846
Berliner Kraft & Licht Bewag AG...................... 2,000 22,655
Bilfinger & Berger Bau AG............................ 600 11,056
Commerzbank AG....................................... 7,850 252,930
Deutsche Bank AG..................................... 7,222 470,118
*Deutsche Lufthansa AG............................... 4,100 90,408
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 500 37,708
Dresdner Bank AG..................................... 2,500 115,792
FPB Holding AG....................................... 200 32,220
Hochtief AG.......................................... 1,200 45,854
Linde AG............................................. 1,333 66,438
*MAN AG.............................................. 1,000 30,408
Merck KGAA........................................... 700 21,145
*Thyssen Krupp AG.................................... 5,500 141,493
Vereins & Westbank AG................................ 1,206 34,486
-----------
TOTAL -- GERMANY
(Cost $1,991,143).................................... 2,222,561
-----------
FRANCE -- (9.4%)
COMMON STOCKS -- (9.4%)
AGF (Assurances Generales de France SA).............. 2,035 111,876
*Assurances Generales de France, Paris............... 137 21
Banque Nationale de Paris............................ 5,875 538,307
Christian Dior SA.................................... 300 53,919
Credit Commercial de France.......................... 700 85,283
Eridania Beghin-Say SA............................... 300 33,529
*Euro Disney SCA..................................... 15,675 14,362
Generale des Establissements Michelin SA Series B.... 1,500 60,111
Groupe Danone........................................ 500 115,943
Hachette Filipacchi Medias........................... 500 25,726
LaFarge SA........................................... 1,291 121,735
Pechiney SA Series A................................. 600 34,768
Pernod-Ricard........................................ 400 22,796
Peugeot SA........................................... 500 97,920
Rhone-Poulenc SA Series A............................ 1,144 70,840
Saint-Gobain......................................... 1,013 172,376
Societe Generale Paris............................... 1,228 264,602
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Thomson-CSF.......................................... 900 $ 26,108
*Total SA............................................ 2,337 310,844
Usinor............................................... 2,700 41,323
-----------
TOTAL COMMON STOCKS
(Cost $1,400,732).................................... 2,202,389
-----------
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants
06/15/00........................................... 835 8,073
*Banque Nationale de Paris Certified Garantee Value
Rights 07/15/02
(Cost $8,538)...................................... 1,196 5,130
-----------
TOTAL -- FRANCE
(Cost $1,409,270).................................... 2,210,462
-----------
SWITZERLAND -- (7.2%)
COMMON STOCKS -- (7.2%)
Ascom Holding AG, Bern............................... 20 42,555
Baloise-Holding, Basel............................... 360 288,972
Banque Cantonale Vaudois............................. 110 33,881
Bobst SA, Prilly..................................... 20 23,258
Ciba Spezialitaetenchemie Holding AG................. 700 50,601
Financiere Richemont AG.............................. 160 357,035
Forbo Holding AG, Eglisau............................ 40 18,455
Helvetia Patria Holding, St. Gallen.................. 70 54,121
Holderbank Financiere Glarus AG, Glarus.............. 31 38,836
Interallianz Bank AG, Zuerich........................ 160 38,620
Intershop Holding AG, Zuerich........................ 40 23,786
*Oerlikon-Buehrle Holding AG, Zuerich................ 500 85,802
Pargesa Holding SA, Geneve........................... 50 80,144
Roche Holding AG, Basel.............................. 12 200,266
Sairgroup, Zuerich................................... 540 111,165
Schindler Holding AG, Hergiswil...................... 25 36,379
Schweizerische Lebensversicherungs und
Rentenanstalt...................................... 120 67,661
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall............................. 80 43,950
*Sulzer AG, Winterthur............................... 170 105,897
-----------
TOTAL COMMON STOCKS
(Cost $1,352,953).................................... 1,701,384
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $3,530).......................... 3,329
-----------
TOTAL -- SWITZERLAND
(Cost $1,356,483).................................... 1,704,713
-----------
NETHERLANDS -- (6.1%)
COMMON STOCKS -- (6.1%)
ABN Amro Holding NV.................................. 8,651 210,535
Asr Verzekeringsgroep NV............................. 827 47,797
Buhrmann NV.......................................... 2,068 32,504
DSM NV............................................... 1,695 58,027
Fortis (NL).......................................... 6,762 231,696
Heineken Holding NV Series A......................... 3,125 110,128
Ing Groep NV......................................... 5,539 311,484
KLM (Koninklijke Luchtvaart Mij) NV.................. 1,475 36,089
</TABLE>
21
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Koninklijke KPN NV................................... 1,512 $ 84,189
*Philips Electronics NV.............................. 2,576 313,453
-----------
TOTAL -- NETHERLANDS
(Cost $845,689)...................................... 1,435,902
-----------
ITALY -- (3.9%)
COMMON STOCKS -- (3.9%)
Banca Commerciale Italiana SpA....................... 26,000 132,204
Banca di Roma........................................ 80,000 107,133
Banca Toscana........................................ 7,500 26,733
CIR SpA (Cie Industriale Riunite), Torino............ 15,000 36,097
Cartiere Burgo SpA................................... 3,000 20,389
Fiat SpA............................................. 7,260 198,540
Ifil Finanziaria Partecipazioni SpA.................. 4,500 34,889
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 5,000 61,168
Montedison SpA....................................... 40,800 62,443
RAS SpA (Riunione Adriatica di Sicurta).............. 11,500 97,729
#Sirti SpA........................................... 3,500 21,180
Snia BPD SpA......................................... 15,000 15,209
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 2,800 31,266
Unione Immobiliare SpA............................... 128,000 62,636
-----------
TOTAL -- ITALY
(Cost $796,532)...................................... 907,616
-----------
AUSTRALIA -- (2.8%)
COMMON STOCKS -- (2.8%)
Amcor, Ltd........................................... 4,441 19,276
Boral, Ltd........................................... 9,290 13,760
CSR, Ltd............................................. 16,261 38,970
Colonial, Ltd........................................ 10,400 41,452
Goodman Fielder, Ltd................................. 18,885 16,927
MIM Holdings......................................... 12,316 10,256
Mayne Nickless, Ltd.................................. 5,552 14,470
News Corp., Ltd...................................... 11,821 102,271
Normandy Mining, Ltd................................. 26,929 19,344
Orica, Ltd........................................... 3,037 15,784
Pacific Dunlop, Ltd.................................. 15,286 20,503
*Pasminco, Ltd....................................... 16,755 15,976
Pioneer International, Ltd........................... 8,037 23,552
Rio Tinto, Ltd....................................... 8,953 156,795
Santos, Ltd.......................................... 8,775 23,428
#St. George Bank, Ltd................................ 6,881 41,904
WMC, Ltd............................................. 16,569 76,046
-----------
TOTAL COMMON STOCKS
(Cost $621,391)...................................... 650,714
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $749)....................... 743
-----------
TOTAL -- AUSTRALIA
(Cost $622,140)...................................... 651,457
-----------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Acerinox SA.......................................... 2,500 76,901
Aumar (Autopistas del Mare Nostrum SA)............... 4,200 72,018
Autopistas Concesionaria Espanola SA................. 7,607 77,896
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Banco Pastor SA, La Coruna........................... 400 $ 15,280
Cia Espanola de Petroleous SA........................ 17,100 172,178
Cristaleria Espanola SA, Madrid...................... 350 14,625
Grupo Dragados SA, Madrid............................ 7,500 68,720
Hidroelectrica del Cantabrico SA..................... 7,200 103,307
-----------
TOTAL -- SPAIN
(Cost $655,539)...................................... 600,925
-----------
HONG KONG -- (2.3%)
COMMON STOCKS -- (2.3%)
Amoy Properties, Ltd................................. 68,000 52,534
*Chinese Estates Holdings, Ltd....................... 27,834 4,121
*Evergo China Holdings, Ltd.......................... 5,757 101
Great Eagle Holdings, Ltd............................ 7,482 13,246
Hang Lung Development Co., Ltd....................... 25,000 25,913
*Hong Kong & Shanghai Hotels, Ltd.................... 18,416 11,026
Hopewell Holdings, Ltd............................... 14,000 7,887
Hysan Development Co., Ltd........................... 17,390 20,712
Kerry Properties, Ltd................................ 14,000 16,674
New World Development Co., Ltd....................... 9,000 17,846
*Paliburg Holdings, Ltd.............................. 45,000 2,839
*Shangri-La Asia, Ltd................................ 30,000 35,151
Sino Land Co., Ltd................................... 46,000 21,915
Swire Pacific, Ltd. Series A......................... 22,000 126,339
Tan Chong International, Ltd......................... 30,000 6,605
*Tsim Sha Tsui Properties, Ltd....................... 12,000 7,648
Wharf Holdings, Ltd.................................. 52,457 133,060
Wheelock and Co., Ltd................................ 34,000 34,585
-----------
TOTAL COMMON STOCKS
(Cost $827,702)...................................... 538,202
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $4,401)..................... 4,402
-----------
RIGHTS/WARRANTS -- (0.0%)
*Chinese Estates Holdings, Ltd. Warrants 11/24/00
(Cost $0).......................................... 2,530 114
-----------
TOTAL -- HONG KONG
(Cost $832,103)...................................... 542,718
-----------
SWEDEN -- (2.3%)
COMMON STOCKS -- (2.3%)
Assidomaen AB........................................ 4,810 80,911
*Avesta Sheffield AB................................. 2,000 9,693
*Boliden, Ltd........................................ 547 1,480
Diligentia AB........................................ 560 4,249
Gambro AB Series A................................... 2,500 25,879
Mo Och Domsjoe AB Series B........................... 2,300 75,214
SSAB Swedish Steel Series A.......................... 1,200 15,387
Svenska Cellulosa AB Series B........................ 2,900 80,679
Svenska Kullagerfabriken AB Series B................. 1,900 42,354
Trelleborg AB Series B............................... 1,400 11,610
Volvo AB Series A.................................... 2,400 57,875
Volvo AB Series B.................................... 5,100 123,885
-----------
TOTAL COMMON STOCKS
(Cost $564,536)...................................... 529,216
-----------
</TABLE>
22
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $4,556)......................... $ 4,376
-----------
TOTAL -- SWEDEN
(Cost $569,092)...................................... 533,592
-----------
BELGIUM -- (1.9%)
COMMON STOCKS -- (1.9%)
*Bekaert SA.......................................... 1,000 50,798
CMB (Cie Martime Belge).............................. 300 14,424
Cofinimmo SA......................................... 220 22,705
Electrafina SA....................................... 200 22,574
Glaverbel SA......................................... 200 17,721
Groupe Bruxelles Lambert SA, Bruxelles............... 200 34,476
Solvay SA............................................ 2,300 171,372
Suez Lyonnaise des Eaux.............................. 500 73,553
*Suez Lyonnaise des Eaux SA VVPR..................... 500 5
*Suez Lyonnaise ds Eaux CVG.......................... 500 6,041
Union Miniere SA..................................... 600 22,051
-----------
TOTAL -- BELGIUM
(Cost $437,936)...................................... 435,720
-----------
FINLAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Enso Oy Series A..................................... 3,456 48,717
Enso Oy Series R..................................... 8,590 122,040
Huhtamaki Van Leer Oyj............................... 1,300 39,530
Kesko Oyj............................................ 4,800 51,327
Metra Oyj Series B................................... 1,400 23,513
Metsa-Serla Oyj Series B............................. 6,800 67,099
Outokumpu Oyj Series A............................... 5,000 56,637
Stockmann Oy AB...................................... 1,000 15,204
-----------
TOTAL -- FINLAND
(Cost $413,512)...................................... 424,067
-----------
SINGAPORE -- (1.0%)
COMMON STOCKS -- (1.0%)
Fraser & Neave, Ltd.................................. 10,000 43,750
Keppel Corp., Ltd.................................... 24,000 63,715
Keppel Land, Ltd..................................... 29,000 46,953
*Neptune Orient Lines, Ltd........................... 23,000 34,227
Singapore Land, Ltd.................................. 9,000 21,214
United Industrial Corp., Ltd......................... 43,000 23,292
United Overseas Land, Ltd............................ 12,000 10,429
-----------
TOTAL COMMON STOCKS
(Cost $330,770)...................................... 243,580
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $20)........................ 21
-----------
TOTAL -- SINGAPORE
(Cost $330,790)...................................... 243,601
-----------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
*Jyske Bank A.S...................................... 1,500 29,680
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kapital Holdings A.S................................. 2,003 $ 97,197
Unidanmark A.S. Series A............................. 1,128 85,503
-----------
TOTAL COMMON STOCKS
(Cost $188,524)...................................... 212,380
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone (Cost $44)............................. 41
-----------
TOTAL -- DENMARK
(Cost $188,568)...................................... 212,421
-----------
IRELAND -- (0.5%)
COMMON STOCKS -- (0.5%)
Independent Newspapers P.L.C......................... 5,048 26,431
Jefferson Smurfit Group P.L.C........................ 33,549 91,206
-----------
TOTAL -- IRELAND
(Cost $124,335)...................................... 117,637
-----------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Carter Holt Harvey, Ltd.............................. 24,100 29,235
*Lion Nathan, Ltd.................................... 7,600 16,851
-----------
TOTAL COMMON STOCKS
(Cost $48,111)....................................... 46,086
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $5)........................ 5
-----------
TOTAL -- NEW ZEALAND
(Cost $48,116)....................................... 46,091
-----------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency (Cost $897)........................... 903
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $319,600) to be
repurchased at $312.046.
(Cost $312,000).................................... $ 312 312,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $22,059,071)++................................. $23,536,245
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $22,059,526.
</TABLE>
See accompanying Notes to Financial Statements.
23
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (25.3%)
COMMON STOCKS -- (25.3%)
Achilles Corp......................................... 6,000 $ 9,982
Aica Kogyo Co., Ltd................................... 3,000 19,641
Aichi Tokei Denki Co., Ltd............................ 3,000 9,835
Aida Engineering, Ltd................................. 3,000 9,483
*Akai Electric Co., Ltd............................... 9,000 5,989
Amada Metrecs Co., Ltd................................ 3,000 14,298
Amada Sonoike Co., Ltd................................ 7,000 13,838
Arai-Gumi, Ltd........................................ 1,200 2,255
Asahi Denka Kogyo KK.................................. 3,000 18,261
Asahi Diamond Industrial Co., Ltd..................... 5,000 26,667
Asahi Kogyosha Co., Ltd............................... 3,000 8,279
Asahi Optical Co., Ltd................................ 5,000 12,820
Asahi Organic Chemicals Industry Co., Ltd............. 3,000 8,866
Ashimori Industry Co., Ltd............................ 3,000 6,635
*Asics Corp........................................... 7,000 9,316
*Atsugi Co., Ltd...................................... 19,000 34,027
Azel Corp., Tokyo..................................... 2,000 6,557
Bando Chemical Industries, Ltd........................ 5,000 10,618
*#Bank of Osaka, Ltd.................................. 9,000 15,942
CKD Corp.............................................. 2,000 6,850
Central Finance Co., Ltd.............................. 4,000 11,391
Central Glass Co., Ltd................................ 7,000 15,276
*#Chiba Kogyo Bank, Ltd............................... 800 9,230
*Chiyoda Corp......................................... 12,000 24,309
*Chori Co., Ltd....................................... 5,000 5,725
Chukyo Coca-Cola Bottling Co., Ltd.................... 3,000 31,531
Chukyo Sogo Bank, Ltd................................. 5,000 20,111
*#Cosmo Securities Co., Ltd........................... 22,000 71,048
Dai-Dan Co., Ltd...................................... 3,000 19,083
Daido Hoxan, Inc...................................... 4,000 11,274
*Daiei OMC, Inc....................................... 9,000 36,199
Daihen Corp........................................... 11,000 21,853
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 4,000 14,092
Daisan Bank, Ltd...................................... 4,000 17,615
*Daiwa Danchi Co., Ltd................................ 5,000 11,743
Daiwabo Co., Ltd...................................... 8,000 10,412
Denki Kogyo Co., Ltd.................................. 3,000 25,865
France Bed Co., Ltd................................... 4,000 23,526
*Fuji Kosan Co., Ltd.................................. 6,000 5,343
Fuji Kyuko Co., Ltd................................... 5,000 15,658
*Fuji Spinning Co., Ltd., Tokyo....................... 4,000 3,875
*Fujiko Co., Ltd...................................... 4,000 4,267
*Fujiya Co., Ltd...................................... 10,000 24,955
*Furukawa Battery Co., Ltd............................ 3,000 5,813
*Furukawa Co., Ltd.................................... 18,000 29,946
Fuso Pharmaceutical Industries, Ltd................... 5,000 21,530
*Gakken Co., Ltd...................................... 3,000 6,018
*Godo Steel, Ltd...................................... 6,000 7,340
*Hazama Corp.......................................... 17,000 10,814
Hitachi Electronics, Ltd.............................. 3,000 16,558
Hitachi Medical Corp.................................. 2,000 24,759
Hitachi Plant Engineering & Construction Co., Ltd..... 6,000 14,797
*Hitachi Seiki Co., Ltd............................... 4,000 5,911
Hokkaido Gas Co., Ltd................................. 4,000 7,398
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Hokuriku Electric Industry Co., Ltd.................. 4,000 $ 7,203
Horiba, Ltd........................................... 2,000 20,199
*Howa Machinery, Ltd.................................. 5,000 6,312
Ichikoh Industries, Ltd............................... 4,000 9,473
Iino Kaiun Kaisha, Ltd................................ 9,000 14,709
Inageya Co., Ltd...................................... 2,000 16,460
Intec, Inc............................................ 2,000 31,355
*Iseki & Co., Ltd..................................... 14,000 15,619
Itochu Fuel Corp...................................... 4,000 12,565
*Iwasaki Electric Co., Ltd............................ 4,000 9,395
*Iwatsu Electric Co., Ltd............................. 3,000 8,074
*JGC Corp............................................. 10,000 27,499
Japan Aviation Electronics Industry, Ltd.............. 3,000 11,244
*Japan Coated Paper Manufacturing Co., Ltd............ 3,000 2,877
*Japan Paperboard Industries Co., Ltd., Tokyo......... 3,000 7,252
Japan Pulp and Paper Co., Ltd......................... 5,000 16,147
*Japan Steel Works, Ltd............................... 21,000 30,415
Japan Transcity Corp.................................. 3,000 6,018
Japan Vilene Co., Ltd................................. 3,000 7,017
Japan Wool Textile Co., Ltd........................... 6,000 20,845
Jeol, Ltd............................................. 5,000 30,729
Joshin Denki Co., Ltd................................. 2,000 5,754
Kagawa Bank, Ltd...................................... 3,000 18,789
Kaken Pharmaceutical Co., Ltd......................... 7,000 47,267
Kanematsu Corp........................................ 10,500 10,378
Kanematsu-NNK Corp.................................... 3,000 6,987
*Kansai Kisen Kaisha.................................. 9,000 5,989
Kanto Auto Works, Ltd., Yokosuka...................... 3,000 25,043
Kanto Denka Kogyo Co., Ltd............................ 4,000 11,195
Kawada Industries, Inc................................ 2,000 4,619
Kawai Musical Instruments Manufacturing Co., Ltd...... 5,000 9,688
Keiyo Co., Ltd........................................ 2,000 10,765
Kita-Nippon Bank, Ltd................................. 400 20,434
Kokusai Kogyo Co., Ltd................................ 2,000 13,505
*Komatsu Forklift Co., Ltd............................ 3,000 5,050
*Kosei Securities Co., Ltd............................ 4,000 8,612
Kurabo Industries, Ltd................................ 13,000 18,956
#Kuraya Corp.......................................... 5,000 58,374
Kyodo Shiryo Co., Ltd................................. 5,000 7,389
Kyushu Bank, Ltd...................................... 4,000 12,017
Life Corp............................................. 2,000 10,961
*Marudai Food Co., Ltd................................ 5,000 9,101
Maruha Corp........................................... 18,000 20,610
Maruyama Manufacturing Co., Inc....................... 3,000 5,285
Maruzen Co., Ltd...................................... 4,000 8,494
Matsuo Bridge Co., Ltd................................ 3,000 6,312
Misawa Homes Co., Ltd................................. 9,000 35,054
Mitsubishi Cable Industries, Ltd...................... 14,000 21,373
*Mitsubishi Chemical Corp............................. 14,000 59,735
*Mitsubishi Plastics, Inc............................. 16,000 23,800
*Mitsubishi Shindoh Co., Ltd.......................... 3,000 5,607
*Mitsubishi Steel Manufacturing Co., Ltd.............. 5,000 4,746
Mitsuboshi Belting, Ltd............................... 8,000 22,704
</TABLE>
24
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Mitsui Construction Co., Ltd......................... 6,000 $ 5,578
Mitsui Home Co., Ltd.................................. 4,000 18,672
*Mitsui Mining Co., Ltd............................... 5,000 6,018
Mitsui O.S.K. Lines, Ltd.............................. 9,714 17,872
Mitsuuroko Co., Ltd................................... 3,000 14,855
Miura Co., Ltd........................................ 2,000 27,988
Morinaga & Co., Ltd................................... 16,000 38,988
Nachi-Fujikoshi Corp.................................. 13,000 20,482
*Nagasakiya Co., Ltd. (Tokyo)......................... 5,000 7,389
Nakamuraya Co., Ltd................................... 3,000 8,778
Nakayama Steel Works, Ltd............................. 5,000 7,682
Nichias Corp.......................................... 4,000 6,655
Nichiha Corp.......................................... 4,000 36,013
Nichimo Co., Ltd...................................... 5,000 8,318
Nichireki Co., Ltd.................................... 2,000 10,295
Nichiro Corp.......................................... 5,000 8,563
Nifco, Inc............................................ 2,000 24,172
*Niigata Engineering Co., Ltd......................... 14,000 33,019
Nikkiso Co., Ltd...................................... 4,000 19,337
Nippon Beet Sugar Manufacturing Co., Ltd.............. 5,000 8,514
Nippon Carbon Co., Ltd................................ 5,000 7,095
Nippon Chemical Industrial Co., Ltd................... 2,000 5,441
Nippon Chemi-Con Corp................................. 5,000 15,658
*Nippon Columbia Co., Ltd............................. 3,000 5,901
*Nippon Concrete Industries Co., Ltd.................. 3,000 3,376
Nippon Densetsu Kogyo Co., Ltd........................ 2,000 5,970
*Nippon Kasei Chemical Co., Ltd....................... 5,000 7,829
Nippon Shinyaku Co., Ltd.............................. 3,000 18,202
Nippon Signal Co., Ltd................................ 3,000 16,441
*Nippon Steel Chemical Co., Ltd....................... 6,000 8,866
Nippon Suisan Kaisha, Ltd............................. 18,000 35,054
Nippon Synthetic Chemical Industry Co., Ltd........... 3,000 5,637
Nippon Thompson Co., Ltd.............................. 3,000 24,074
Nissan Shatai Co., Ltd................................ 11,000 17,224
Nissha Printing Co., Ltd.............................. 3,000 20,551
Nisshin Oil Mills, Ltd................................ 10,000 36,502
Nitsuko Corp.......................................... 3,000 13,358
Nittetsu Mining Co., Ltd.............................. 3,000 7,193
Noritz Corp........................................... 2,000 23,135
*Odakyu Real Estate Co., Ltd.......................... 4,000 7,242
#Okamoto Industries, Inc.............................. 9,000 22,019
Okasan Securities Co., Ltd............................ 7,000 39,115
*Okura and Co., Ltd................................... 6,000 0
*Pacific Metals Co., Ltd.............................. 7,000 12,399
Parco Co., Ltd........................................ 2,000 6,889
*#Pasco Corp.......................................... 1,000 9,356
*Prima Meat Packers, Ltd.............................. 5,000 9,199
Raito Kogyo Co., Ltd.................................. 2,400 11,649
Rasa Industries, Ltd.................................. 3,000 8,984
Rheon Automatic Machinery Co., Ltd.................... 2,000 7,614
Rohto Pharmaceutical Co., Ltd......................... 2,000 14,679
Ryobi, Ltd............................................ 5,000 6,997
Ryoyo Electro Corp.................................... 2,000 29,241
SXL Corp.............................................. 3,000 8,220
Sagami Co., Ltd....................................... 3,000 6,899
Sakai Chemical Industry Co., Ltd...................... 3,000 20,845
Sakata Inx Corp....................................... 3,000 10,569
*Sankyo Aluminum Industry Co., Ltd.................... 16,000 15,658
Sankyu, Inc., Tokyo................................... 20,000 23,487
Sanyo Shokai, Ltd..................................... 5,000 15,169
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sanyo Special Steel Co., Ltd.......................... 7,000 $ 10,755
Sasebo Heavy Industries Co., Ltd., Tokyo.............. 7,000 5,754
Seiko Corp............................................ 3,000 13,387
Seiyo Food Systems, Inc............................... 3,000 11,802
Shikoku Chemicals Corp................................ 3,000 9,542
Shimizu Bank, Ltd..................................... 400 21,530
Shinagawa Fuel Co., Ltd............................... 3,000 11,450
Shindengen Electric Manufacturing Co., Ltd............ 3,000 14,092
Shin-Etsu Polymer Co., Ltd............................ 5,000 30,092
*Shinko Electric Co., Ltd............................. 6,000 10,334
*Shinmaywa Industries, Ltd............................ 5,000 9,835
*Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 12,000 20,081
Showa Sangyo Co., Ltd................................. 10,000 20,453
*Sumitomo Construction Co., Ltd....................... 6,000 6,576
*Sumitomo Light Metal Industries, Ltd................. 11,000 10,119
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 2,000 6,655
Sun Wave Corp......................................... 2,000 4,365
Taisei Rotec Corp..................................... 3,000 5,725
Takaoka Electric Manufacturing Co., Ltd., Tokyo....... 4,000 7,242
Takasago International Corp........................... 3,000 14,268
*Takashima & Co., Ltd................................. 4,000 5,676
Takiron Co., Ltd...................................... 3,000 10,686
Tamura Corp........................................... 4,000 15,814
Tasaki Shinju Co., Ltd................................ 2,000 8,514
*Teac Corp............................................ 5,000 17,175
Teisan KK............................................. 5,000 14,679
Tenma Corp............................................ 2,000 22,743
Toa Corp.............................................. 12,000 20,903
Toa Doro Kogyo Co., Ltd............................... 3,000 7,721
*Toa Wool Spinning & Weaving Co., Ltd................. 6,000 6,752
Tochigi Bank, Ltd..................................... 3,000 19,817
Toenec Corp........................................... 3,000 11,215
Toho Zinc Co., Ltd.................................... 4,000 9,199
Tokai Carbon Co., Ltd................................. 12,000 23,604
Tokai Rika Co., Ltd................................... 3,000 28,889
Tokico, Ltd........................................... 4,000 6,420
Tokin Corp............................................ 2,000 11,372
Tokushu Paper Manufacturing Co., Ltd.................. 3,000 14,033
Tokyo Rope Manufacturing Co., Ltd..................... 4,000 5,911
*Tokyo Securities Co., Ltd............................ 4,000 16,167
*Tokyo Tekko Co., Ltd................................. 3,000 2,349
Tokyo Theatres Co., Inc., Tokyo....................... 6,000 10,686
*Tokyu Hotel Chain Co., Ltd........................... 12,000 19,729
Tokyu Store Chain Corp................................ 4,000 12,839
Tonami Transportation Co., Ltd........................ 3,000 5,725
Topy Industries, Ltd.................................. 16,000 24,583
Toshiba Machine Co., Ltd.............................. 6,000 11,450
*Totoku Electric Co., Ltd., Tokyo..................... 3,000 6,253
Toyo Chemical Co., Ltd................................ 3,000 12,595
*Toyo Electric Co., Ltd............................... 5,000 7,193
*#Toyo Engineering Corp............................... 11,000 10,980
Toyo Exterior Co., Ltd................................ 3,000 26,158
Toyo Kohan Co., Ltd................................... 3,000 11,479
*Toyo Tire & Rubber Co., Ltd.......................... 8,000 12,526
Toyo Umpanki Co., Ltd................................. 5,000 7,731
</TABLE>
25
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Tsubaki Nakashima Co., Ltd............................ 4,000 $ 55,585
*Tsumura & Co., Inc................................... 3,000 12,624
Unisia Jecs Corp...................................... 3,000 3,611
Wakachiku Construction Co., Ltd....................... 4,000 7,163
Yokohama Reito Co., Ltd............................... 3,000 17,821
Yomiuri Land Co., Ltd................................. 3,000 8,015
Yondenko Corp......................................... 2,100 7,604
Yonekyu Corp.......................................... 2,000 27,793
Yoshimoto Kogyo Co., Ltd.............................. 2,000 21,334
*Yuasa Corp........................................... 7,000 14,317
Yurtec Corp........................................... 4,000 16,558
Zenchiku Co., Ltd..................................... 4,000 9,473
-----------
TOTAL COMMON STOCKS
(Cost $4,798,381).................................... 3,479,870
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $3,552)........................... 3,620
-----------
TOTAL -- JAPAN
(Cost $4,801,933).................................... 3,483,490
-----------
UNITED KINGDOM -- (19.0%)
COMMON STOCKS -- (18.1%)
Abbot Group P.L.C..................................... 7,000 13,379
Alldays P.L.C......................................... 2,300 2,656
Amec P.L.C............................................ 9,315 35,087
Ash & Lacy P.L.C...................................... 7,000 13,825
BICC P.L.C............................................ 22,473 39,730
BPP Holdings P.L.C.................................... 1,400 11,651
Bellway P.L.C......................................... 4,000 21,948
Benchmark Group P.L.C................................. 5,000 17,241
Berisford P.L.C....................................... 7,000 35,900
Bespak P.L.C.......................................... 1,360 11,621
Black (Peter) Holdings P.L.C.......................... 3,000 14,573
Body Shop International P.L.C......................... 8,000 17,010
*Booker P.L.C......................................... 11,000 22,425
Bradford Property Trust P.L.C......................... 6,000 23,078
Bradstock Group P.L.C................................. 21,000 9,532
Brake Brothers P.L.C.................................. 2,430 23,028
Brammer (H.) P.L.C.................................... 1,933 14,085
Britax International P.L.C............................ 13,300 26,267
*British Biotech P.L.C................................ 30,000 14,215
British Polythene Industries P.L.C.................... 2,000 8,887
Bryant Group P.L.C.................................... 11,054 25,528
Bulmer (H.P.) Holdings P.L.C.......................... 2,002 14,508
Cannons Group P.L.C................................... 11,000 31,711
Carpetright P.L.C..................................... 4,000 29,147
*Celltech P.L.C....................................... 3,100 25,798
Charter P.L.C......................................... 4,767 23,537
City Centre Restaurants P.L.C......................... 9,500 9,986
Cordiant Communications Group P.L.C................... 12,000 47,304
Countrywide Assured Group P.L.C....................... 14,000 34,562
Courtaulds Textiles P.L.C............................. 4,600 5,495
Courts P.L.C.......................................... 2,320 13,395
Cox Insurance Holdings P.L.C.......................... 7,000 22,298
Croda International P.L.C............................. 4,000 17,679
*Danka Business Systems P.L.C......................... 7,000 19,399
Dawson Group P.L.C.................................... 4,000 10,830
*Dawson International P.L.C........................... 10,277 5,647
Delta P.L.C........................................... 6,000 11,229
Derwent Valley Holdings P.L.C......................... 2,000 17,998
Devro P.L.C........................................... 8,000 13,697
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Dewhirst Group P.L.C.................................. 6,000 $ 6,451
*Dialog Corp. P.L.C................................... 8,000 10,193
Diploma P.L.C......................................... 3,000 8,840
Elementis P.L.C....................................... 13,000 15,736
Ellis & Everard P.L.C................................. 4,514 14,271
Euromoney Publications P.L.C.......................... 990 31,536
Fairey Group P.L.C.................................... 4,610 33,665
Finelist Group P.L.C.................................. 3,000 5,758
First Choice Holidays................................. 14,437 30,237
First Leisure Corp. P.L.C............................. 5,100 18,398
Forth Ports P.L.C..................................... 2,000 16,723
GWR Group P.L.C....................................... 5,000 47,184
Geest P.L.C........................................... 3,000 21,788
Gerrard Group P.L.C................................... 3,500 25,921
Go-Ahead Group P.L.C.................................. 2,000 18,444
Grantchester Holdings P.L.C........................... 10,000 25,643
Greene King P.L.C..................................... 2,000 16,118
Greggs P.L.C.......................................... 640 20,106
Hazlewood Foods P.L.C................................. 11,000 16,293
Henlys Group P.L.C.................................... 2,800 22,744
Heywood Williams Group P.L.C.......................... 5,000 17,838
Hiscox P.L.C.......................................... 6,000 13,092
Hogg Robinson P.L.C................................... 4,770 20,437
House of Fraser P.L.C................................. 8,000 7,518
Hunting P.L.C......................................... 5,163 9,045
Iceland Group P.L.C................................... 8,000 29,433
JJB Sports P.L.C...................................... 6,000 50,075
Jardine Lloyd Thompson Group P.L.C.................... 8,790 34,650
Johnston Press P.L.C.................................. 7,010 30,983
*Laird Group P.L.C.................................... 6,800 26,914
Lasmo P.L.C........................................... 15,000 29,624
London Clubs International P.L.C...................... 7,000 12,877
*London Forfeiting Co................................. 5,000 2,986
London Merchant Securities P.L.C...................... 10,000 24,846
Low & Bonar P.L.C..................................... 5,000 12,622
Lynx Holdings P.L.C................................... 5,000 10,273
MacFarlane Group Clansman P.L.C....................... 6,000 7,549
Manchester United P.L.C............................... 12,000 36,314
McBride P.L.C......................................... 6,500 8,127
Meggitt P.L.C......................................... 12,785 33,395
Menzies (John) P.L.C.................................. 3,000 17,440
*Merant P.L.C......................................... 3,575 25,623
Mersey Docks & Harbour Co. P.L.C...................... 3,580 25,288
Meyer International P.L.C............................. 2,030 12,076
Molins P.L.C.......................................... 1,360 3,033
Mowlem (John) & Co. P.L.C............................. 8,000 14,908
*NXT P.L.C............................................ 2,800 58,644
Nestor Healthcare Group P.L.C......................... 3,700 40,190
*Oxford Molecular Group P.L.C......................... 6,530 2,600
Parity Group P.L.C.................................... 6,000 25,659
Perkins Foods P.L.C................................... 6,688 10,759
Persimmon P.L.C....................................... 8,404 33,396
*Premier Consolidated Oilfields P.L.C................. 40,000 10,034
Quick Group P.L.C..................................... 13,192 15,758
Redrow Group P.L.C.................................... 11,000 35,040
Regent Inns P.L.C..................................... 4,000 10,225
Renishaw P.L.C........................................ 2,904 23,866
Rotork P.L.C.......................................... 4,104 20,263
SIG P.L.C............................................. 4,300 16,471
Salvesen (Christian) P.L.C............................ 12,000 23,604
Scapa Group P.L.C..................................... 6,600 16,766
</TABLE>
26
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Senior Engineering Group P.L.C........................ 12,000 $ 18,635
Shanks & McEwan Group P.L.C........................... 8,000 32,045
St. Modwen Properties P.L.C........................... 23,000 35,808
Stanley Leisure Organisation P.L.C.................... 4,000 14,494
Staveley Industries P.L.C............................. 6,000 6,355
Swan Hill Group P.L.C................................. 13,000 13,044
T & S Stores P.L.C.................................... 7,690 45,317
Tibbett & Britten Group P.L.C......................... 2,300 16,393
Tilbury Douglas P.L.C................................. 9,249 41,247
Transport Development Group P.L.C..................... 4,126 12,223
Vaux Group P.L.C...................................... 5,319 32,912
Versailles Group P.L.C................................ 13,000 51,660
Vitec Group P.L.C..................................... 2,000 17,361
Vosper Thornycroft Holdings P.L.C..................... 1,460 25,265
Waddington (John) P.L.C............................... 3,980 14,421
Wates City of London Properties P.L.C................. 12,000 16,341
Westbury P.L.C........................................ 5,170 21,944
Wilson (Connolly) Holdings P.L.C...................... 8,000 17,201
Wolverhampton & Dudley Breweries P.L.C................ 2,400 20,642
Yates Brothers Wine Lodges P.L.C...................... 3,030 16,408
-----------
TOTAL COMMON STOCKS
(Cost $2,598,275).................................... 2,491,892
-----------
INVESTMENT IN CURRENCY -- (0.9%)
*British Pound Sterling (Cost $122,906)............... 122,300
-----------
TOTAL -- UNITED KINGDOM
(Cost $2,721,181).................................... 2,614,192
-----------
GERMANY -- (6.6%)
COMMON STOCKS -- (6.6%)
AGIV AG fuer Industrie & Verkehrswesen................ 1,700 31,581
Andreae-Noris Zahn AG, Anzag.......................... 580 14,658
*Baader Wertpapier Handelsbank AG..................... 1,100 31,787
Barmag AG............................................. 700 12,687
Bayerische Handelsbank AG............................. 860 27,710
Binding-Brauerei AG................................... 70 14,096
*Brau und Brunnen AG.................................. 300 13,563
*Concordia Bau und Boden AG........................... 667 3,291
*Deutsche Babcock AG, Oberhausen...................... 380 14,731
Duerr Beteiligungs AG................................. 500 11,101
Dyckerhoff and Widmann AG............................. 1,000 6,998
Fag Kugelfischer Georg Schaeffer AG................... 3,250 23,168
Gerresheimer Glas AG.................................. 1,000 15,909
Goldschmidt (T.H.) AG................................. 1,300 33,247
Harpener AG........................................... 125 24,795
Holsten-Brauerei AG................................... 1,000 17,570
*Holzmann (Philipp) AG................................ 200 5,196
Horten AG............................................. 2,000 28,696
Iwka AG............................................... 1,000 19,181
K & S Aktiengesellschaft AG........................... 2,000 26,280
KWS Kleinwanzlebener Saatzucht AG..................... 15 8,154
Kiekert AG............................................ 500 12,838
*Kloeckner Humboldt-Deutz AG.......................... 3,300 16,514
*Kloeckner-Werke AG................................... 400 31,012
Km-Europa Metal AG.................................... 400 23,702
Kolbenschmidt Pierburg AG, Duesseldorf................ 1,300 19,831
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kraftuebertragungswerke Rheinfelden AG................ 80 $ 22,151
Mannheimer Aktiengesellschaft Holding AG.............. 480 22,764
Nuernberger Hypothekenbank AG......................... 600 21,749
*Pfleiderer AG........................................ 2,100 26,008
Phoenix AG, Hamburg................................... 1,000 13,291
Plettac AG............................................ 70 1,868
*Praktiker Bau und Heimwerkermaerkt AG................ 3,500 57,901
Rheinmetall Berlin AG................................. 990 14,853
Rhoen Klinikum AG..................................... 600 23,863
Salamander AG......................................... 1,000 13,090
Salzgitter AG......................................... 3,100 25,439
Schmalbach-Lubeca AG.................................. 140 17,902
Ser Systeme........................................... 900 31,354
*Strabag AG........................................... 166 6,268
Stuttgarter Hofbraeu AG............................... 1,000 17,520
Sued-Chemie AG........................................ 200 8,256
Sueddeutsche Bodencreditbank AG....................... 150 5,513
#Tarkett AG........................................... 1,200 7,854
Varta AG.............................................. 1,300 13,417
Vereinigte Deutsche Nickel-Werke AG................... 2,190 39,691
Vossloh AG............................................ 800 13,009
Walter AG............................................. 1,000 17,620
-----------
TOTAL -- GERMANY
(Cost $1,124,714).................................... 909,677
-----------
HONG KONG -- (6.4%)
COMMON STOCKS -- (6.4%)
ASM Pacific Technology, Ltd........................... 30,000 48,092
*Allied Group, Ltd.................................... 276,000 27,364
*Allied Properties (Hong Kong), Ltd................... 142,000 7,222
Asia Financial Holdings, Ltd.......................... 49,830 8,662
Asia Standard International Group, Ltd................ 70,000 9,824
Cafe de Coral Holdings, Ltd........................... 78,000 30,632
*Century City International Holdings, Ltd............. 394,000 12,683
Champion Technology Holdings, Ltd..................... 253,410 14,846
Chen Hsong Holdings, Ltd.............................. 72,000 23,408
*China Aerospace International Holdings, Ltd.......... 46,800 5,303
*China Everbright Technology, Ltd..................... 206,000 23,341
China Foods Holdings, Ltd............................. 30,000 5,640
China Motor Bus Co., Ltd.............................. 1,600 10,507
China Online (Bermuda), Ltd........................... 740,000 16,770
China-Hong Kong Photo Products Holdings, Ltd.......... 90,000 12,168
*Continental Mariner Investment Co., Ltd.............. 60,000 8,344
Cross Harbour Tunnel Co., Ltd......................... 29,000 21,471
*Dong-Jun Holdings, Ltd............................... 92,000 1,398
Dynamic Holdings, Ltd................................. 92,000 13,623
Elec & Eltek International Holdings, Ltd.............. 110,000 17,988
*FPB Bank Holding Co., Ltd............................ 50,000 9,206
*Founder, Ltd......................................... 122,000 97,393
Four Seas Mercantile Holdings, Ltd.................... 60,000 14,060
Giordano International, Ltd........................... 82,000 81,826
Gold Peak Industries (Holdings), Ltd.................. 81,250 17,262
</TABLE>
27
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Goldlion Holdings, Ltd................................ 37,000 $ 4,097
Grande Holdings, Ltd.................................. 28,000 12,438
Great Wall Electronic International, Ltd.............. 142,640 7,622
Harbour Centre Development, Ltd....................... 9,000 6,663
International Bank of Asia, Ltd....................... 138,285 29,913
JCG Holdings, Ltd..................................... 28,000 15,322
Kumagai Gumi Hong Kong, Ltd........................... 27,000 9,995
*Lai Sun Development Co., Ltd......................... 86,000 3,765
*Lai Sun Hotels International, Ltd.................... 150,000 10,429
Liu Chong Hing Investment, Ltd........................ 18,000 11,299
Moulin International Holdings, Ltd.................... 97,825 9,195
Ngai Lik Industrial Holdings, Ltd..................... 94,000 30,864
*Oriental Press Group, Ltd............................ 85,000 9,960
*QPL International Holdings, Ltd...................... 23,000 8,958
Sea Holdings, Ltd..................................... 38,000 13,700
*Semi-Tech (Global) Co., Ltd.......................... 68,346 1,839
*Shangri-La Asia, Ltd................................. 14,182 16,617
Shaw Brothers Hong Kong, Ltd.......................... 20,000 20,859
Shell Electric Manufacturing (Holdings) Co., Ltd...... 45,600 4,756
*Shougang Concord International Enterprises Co.,
Ltd................................................. 90,000 3,592
#Shun Tak Holdings, Ltd............................... 224,000 46,724
*Silver Grant International Industries, Ltd........... 40,000 3,863
Sime Darby Hong Kong, Ltd............................. 20,000 6,695
Sun Hung Kai & Co., Ltd............................... 59,000 6,989
Tai Cheung Holdings, Ltd.............................. 25,000 5,279
*Tem Fat Hing Fung (Holdings), Ltd.................... 348,000 12,322
*Triplenic Holdings, Ltd.............................. 168,000 2,747
*Union Bank of Hong Kong, Ltd......................... 36,000 22,018
-----------
TOTAL COMMON STOCKS
(Cost $1,129,734).................................... 877,553
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $5,846)...................... 5,850
-----------
RIGHTS/WARRANTS -- (0.0%)
*China Aerospace International Holdings Warrants
12/31/99............................................ 4,680 7
*Dong-Jun Holdings, Ltd. Warrants 03/31/00............ 18,400 24
*Grande Holdings, Ltd. Warrants 10/15/00.............. 5,600 180
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 211
-----------
TOTAL -- HONG KONG
(Cost $1,135,580).................................... 883,614
-----------
FRANCE -- (6.4%)
COMMON STOCKS -- (6.4%)
Boiron SA............................................. 300 19,634
Bollore Technologies SA............................... 200 37,557
Brioche Pasquier SA................................... 200 18,950
*CDE (Comptoir des Entrepeneurs SA)................... 13,818 29,496
Carbone Lorraine...................................... 400 14,721
Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA........................................... 100 45,411
*DMC (Dollfus Mieg et Cie)............................ 300 1,918
Damart SA............................................. 300 21,794
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Dietrich et Cie....................................... 450 $ 26,959
Fimalac SA............................................ 330 36,550
Fraikin SA............................................ 400 32,039
GFI Industries SA..................................... 500 10,074
Gaumont............................................... 408 22,615
*#Generale de Geophysique SA.......................... 435 22,119
Grandvision SA........................................ 600 17,520
Groupe Andre SA....................................... 304 46,985
Groupe du Louvre SA................................... 700 41,091
Groupe Norbert Dentressangle SA....................... 600 13,230
Guyenne et Gascogne SA................................ 60 27,790
*Infogrames Entertainment SA.......................... 550 69,777
Legris Industries SA.................................. 400 15,305
*Metaleurop SA........................................ 1,500 11,932
*Moulinex SA.......................................... 1,440 13,484
Nord-Est SA........................................... 752 20,217
*Remy Cointreau SA.................................... 900 18,124
Rochefortaise Communication SA........................ 190 35,105
Rue Imperiale de Lyon................................. 20 37,476
Signaux et d'Equipements Electroniques SA............. 321 12,909
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 160 26,566
Skis Rossignol SA..................................... 648 9,330
Societe des Immeubles de France....................... 1,620 31,057
Sommer-Allibert SA.................................... 900 22,120
Sopra SA.............................................. 500 35,342
Sylea SA.............................................. 200 10,230
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 400 15,587
-----------
TOTAL COMMON STOCKS
(Cost $769,832)...................................... 871,014
-----------
RIGHTS/WARRANTS -- (0.0%)
*Continental d'Enterprises SA Warrants 10/31/01....... 752 840
*Fonciere Lyonnaise SA Warrants 07/30/02.............. 204 64
*Havas Advertising SA Warrants 05/13/01............... 207 2,022
*Inforgrames Entertainment SA Warrants 06/30/01....... 50 1,311
-----------
TOTAL RIGHTS/WARRANTS
(Cost $1,423)........................................ 4,237
-----------
TOTAL -- FRANCE
(Cost $771,255)...................................... 875,251
-----------
SINGAPORE -- (5.1%)
COMMON STOCKS -- (5.0%)
Amtek Engineering, Ltd................................ 15,000 10,536
Avimo Group, Ltd...................................... 11,000 19,578
Bukit Sembawang Estates, Ltd.......................... 1,000 9,583
Comfort Group, Ltd.................................... 37,000 20,703
#First Capital Corp., Ltd............................. 33,000 44,393
GK Goh Holdings....................................... 17,000 15,381
Haw Par Brothers International, Ltd................... 24,000 41,429
Hitachi Zosen (Singapore), Ltd........................ 22,000 12,899
Hotel Plaza, Ltd...................................... 25,000 9,673
#Hotel Properties, Ltd................................ 32,000 29,334
Inchcape Motors, Ltd.................................. 18,000 18,857
Kay Hian Holdings, Ltd. (Foreign)..................... 13,000 8,976
</TABLE>
28
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Keppel Marine Industries, Ltd......................... 24,000 $ 29,572
Keppel Telecommunications and Transportation, Ltd..... 27,000 38,411
Kim Eng Holdings, Ltd................................. 65,000 43,334
*Labroy Marine, Ltd................................... 25,000 23,810
*Neptune Orient Lines, Ltd............................ 34,000 50,596
Orchard Parade Holdings, Ltd.......................... 11,200 7,400
*Osprey Maritime, Ltd................................. 69,000 24,849
#Overseas Union Enterprise, Ltd....................... 6,000 16,214
Robinson & Co., Ltd................................... 8,000 26,429
*Scotts Holdings, Ltd................................. 25,000 10,714
*Sembcorp Logistics, Ltd.............................. 12,000 46,786
Sime Singapore, Ltd................................... 49,000 20,417
Straits Trading Co., Ltd.............................. 51,000 54,036
Times Publishing, Ltd................................. 11,000 22,917
*Tuan Sing Holdings, Ltd.............................. 44,000 9,560
*Van der Horst, Ltd................................... 4,000 1,560
Vickers Ballas Holdings, Ltd.......................... 29,000 19,161
-----------
TOTAL COMMON STOCKS
(Cost $622,109)...................................... 687,108
-----------
PREFERRED STOCKS -- (0.1%)
First Capital Corp., Ltd. 7% Non-Redeemable
Convertible
(Cost $5,895)....................................... 9,900 13,023
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $3,314)...................... 3,308
-----------
TOTAL -- SINGAPORE
(Cost $631,318)...................................... 703,439
-----------
AUSTRALIA -- (4.2%)
COMMON STOCKS -- (4.2%)
Adelaide Bank, Ltd.................................... 5,745 19,356
Ashton Mining, Ltd.................................... 22,406 10,967
*Aurora Gold, Ltd..................................... 15,600 3,818
Bank of Queensland, Ltd............................... 6,263 21,857
Capral Aluminium, Ltd................................. 9,174 11,664
*Centaur Mining & Exploration, Ltd.................... 16,005 2,391
*Climax Mining, Ltd................................... 1,273 117
Crane (G.E) Holdings, Ltd............................. 3,681 18,369
Evans Deakin Industries, Ltd.......................... 7,149 10,362
Flight Centre, Ltd.................................... 10,900 90,076
GWA International, Ltd................................ 11,676 16,366
Goldfields, Ltd....................................... 22,716 14,729
Hills Industries, Ltd................................. 15,391 24,166
*Hudson Conway, Ltd................................... 2,329 9,934
Iama, Ltd............................................. 14,718 22,174
Mirvac, Ltd........................................... 21,930 44,164
*North Flinders Mines, Ltd............................ 6,728 14,114
OPSM Protector, Ltd................................... 2,313 4,192
Pacific BBA, Ltd...................................... 5,757 18,664
*Petsec Energy, Ltd................................... 4,391 614
*Queensland Metals Corp., Ltd......................... 42,779 11,693
Resolute, Ltd......................................... 10,133 2,995
Ridley Corp., Ltd..................................... 34,861 15,490
Siddons Ramset, Ltd................................... 4,702 13,779
Simsmetal, Ltd........................................ 3,491 12,205
Sonic Healthcare, Ltd................................. 15,918 64,760
Sons of Gwalia, Ltd................................... 4,449 13,284
Spotless Services, Ltd................................ 32,573 31,059
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Thakral Holdings Group................................ 65,506 $ 29,982
*Thakral Holdings Group Issue 99...................... 2,960 1,336
Tourism Assets Holdings, Ltd.......................... 35,578 14,927
-----------
TOTAL COMMON STOCKS
(Cost $625,791)...................................... 569,604
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $4,174)...................... 4,117
-----------
TOTAL -- AUSTRALIA
(Cost $629,965)...................................... 573,721
-----------
SWITZERLAND -- (3.4%)
COMMON STOCKS -- (3.1%)
Agie Charmilles Holding AG............................ 200 19,486
*Attisholz Holding AG, Attisholz...................... 24 13,547
Bank Sarasin & Cie Series B, Basel.................... 10 17,789
Bobst SA, Prilly...................................... 20 23,258
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.......................................... 100 16,029
*ESEC Holding SA, Cham................................ 15 23,572
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 60 21,498
Financiere Michelin, Granges-Paccot................... 50 20,398
Forbo Holding AG, Eglisau............................. 51 23,530
Generali (Switzerland) Holdings, Adliswil............. 80 25,495
Kraftwerk Laufenburg, Laufenburg...................... 100 14,929
Moevenpick-Holding, Zuerich........................... 40 18,857
Oz Holding, Zuerich................................... 20 17,349
Phoenix Mecano AG, Stein am Rhein..................... 50 21,686
Phonak Holding AG Series B............................ 20 34,321
Sarna Kunststoff Holding AG, Sarnen................... 15 16,312
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 10 18,153
Sika Finanz AG, Baar.................................. 90 28,965
Von Roll Holding AG, Gerlafingen...................... 1,359 19,434
Zuercher Ziegeleien Holding, Zuerich.................. 27 27,664
-----------
TOTAL COMMON STOCKS
(Cost $456,047)...................................... 422,272
-----------
INVESTMENT IN CURRENCY -- (0.3%)
*Swiss Francs (Cost $43,062).......................... 43,024
-----------
TOTAL -- SWITZERLAND
(Cost $499,109)...................................... 465,296
-----------
SWEDEN -- (3.2%)
COMMON STOCKS -- (3.2%)
Allgon AB Series B.................................... 1,400 22,233
*Argonaut AB Series B................................. 13,200 12,267
*Avesta Sheffield AB.................................. 14,800 71,728
Bergman & Beving AB Series B.......................... 2,500 28,526
Carbo AB.............................................. 2,400 46,018
Catena AB Series A.................................... 1,700 13,598
Celsius Industrier AB Series B........................ 1,400 28,655
Diligentia AB......................................... 3,100 23,521
Esselte AB Series A................................... 1,400 9,552
Esselte AB Series B................................... 1,100 7,634
Garphyttan Industrier AB.............................. 1,680 18,181
Lindex AB............................................. 700 20,009
Mandator AB........................................... 3,000 27,702
</TABLE>
29
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Meto AG.............................................. 2,500 $ 18,674
Nobelpharma AB........................................ 1,400 20,256
Rottneros Bruk AB..................................... 11,700 13,488
Scribona AB Series A.................................. 1,500 4,499
Sifo Group AB......................................... 1,500 11,293
Tietoenator Corp...................................... 1,015 45,849
-----------
TOTAL COMMON STOCKS
(Cost $447,228)...................................... 443,683
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $1,074).......................... 1,029
-----------
TOTAL -- SWEDEN
(Cost $448,302)...................................... 444,712
-----------
SPAIN -- (2.7%)
COMMON STOCKS -- (2.7%)
*Abengoa SA........................................... 600 12,759
Amper SA.............................................. 1,600 13,436
*Asturiana del Zinc SA................................ 2,100 23,217
Banco de Valencia SA.................................. 3,000 25,071
Banco Zaragozano SA................................... 3,600 32,804
Campofrio Alimentacion S.A............................ 1,100 14,598
Cementos Portland SA.................................. 1,000 25,021
Cristaleria Espanola SA, Madrid....................... 400 16,714
Empresa Nacional de Celulosa SA....................... 1,000 18,929
*Europistas Concesionaria Espanola SA................. 2,300 13,085
*Europistas Concesionaria Espanola SA Em 99........... 1,056 5,774
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas.......................................... 3,300 21,864
*Inmobiliaria Urbis SA................................ 4,600 23,529
Portland Valderrivas SA............................... 900 22,138
Prosegur Cia de Seguridad SA.......................... 2,200 19,294
*Puleva SA............................................ 13,900 23,793
Uralita SA............................................ 1,900 13,009
Viscofan Industria Navarra de Envolturas Celulosicas
S.A................................................. 2,730 20,589
*Zeltia SA............................................ 1,100 18,973
-----------
TOTAL -- SPAIN
(Cost $368,705)...................................... 364,597
-----------
ITALY -- (2.6%)
COMMON STOCKS -- (2.6%)
*Ansaldo Trasporti SpA................................ 7,000 8,303
Banco di Desio e della Brianza SpA.................... 5,000 15,556
Buzzi Unicem SpA...................................... 3,000 33,227
Cartiere Burgo SpA.................................... 4,000 27,186
#Cia Assicuratrice Unipol SpA......................... 6,000 22,655
*Dalmine SpA.......................................... 82,000 17,091
*Fabbrica Italiana Magneti Marelli SpA................ 7,500 25,298
Falck (Acciaierie & Ferriere Lombarde)................ 5,000 35,040
Gewiss SpA............................................ 6,000 34,496
Impregilo SpA......................................... 19,000 12,052
Italmobiliare SpA, Milano............................. 750 17,293
*Premafin Finanziaria SpA............................. 29,600 15,349
*Premaimm SpA......................................... 7,400 2,548
SMI STA Metallurgica Italiana SpA..................... 31,000 18,260
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali) SpA....................................... 5,000 39,621
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sorin Biomedica SpA................................... 7,500 $ 21,447
Vianini Lavori SpA.................................... 11,000 16,946
-----------
TOTAL -- ITALY
(Cost $312,462)...................................... 362,368
-----------
DENMARK -- (2.4%)
COMMON STOCKS -- (2.4%)
Alm Brand A.S. Series B............................... 623 10,035
Bang & Olufsen Holding A.S. Series B.................. 450 14,801
Coloplast A.S. Series B............................... 404 39,373
*DFDS A.S., Copenhagen................................ 240 11,110
Danske Traelastko..................................... 200 16,378
*Dfds New Shares...................................... 144 6,666
Falck A.S............................................. 568 56,509
GN Great Nordic, Ltd.................................. 1,600 60,207
Korn-Og Foderstof Kompagnet A.S....................... 700 16,581
Nordiske Kabel og Traadfabrikker Holding A.S.......... 277 15,560
Obel (C.W.) A.S. Series B............................. 89 11,264
Radiometer A.S. Series B.............................. 432 19,297
Sas Danmark A.S....................................... 1,739 17,890
*Topdanmark A.S....................................... 1,450 31,992
-----------
TOTAL COMMON STOCKS
(Cost $320,180)...................................... 327,663
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone (Cost $125)............................. 122
-----------
TOTAL -- DENMARK
(Cost $320,305)...................................... 327,785
-----------
NETHERLANDS -- (2.1%)
COMMON STOCKS -- (2.1%)
ACF Holding NV (Certificate).......................... 800 11,680
Draka Holding NV...................................... 500 19,332
Grolsche NV........................................... 800 16,311
Hoek's (W.A.) Machine & Zuurstoffafabriek NV.......... 312 12,330
Hollandsche Beton Groep NV............................ 1,518 13,680
Internatio-Mueller NV................................. 1,230 21,302
Kempen & Co. NV....................................... 324 12,560
Koninklijke Ahrend NV................................. 1,254 13,258
Koninklijke Frans Maas Groep NV....................... 765 19,026
Koninklijke Volker Wessels Stevin NV.................. 930 14,280
NBM-Amstelland NV..................................... 1,130 13,084
Nedlloyd Groep NV, Rotterdam.......................... 922 24,462
Schuttersveld NV...................................... 1,284 20,944
Stork NV.............................................. 900 12,551
Twentsche Kabel Holding NV............................ 627 17,361
Unique International NV............................... 710 16,407
Van der Mollen Holding NV............................. 308 14,948
Wegener Arcade NV .................................... 1,590 18,091
-----------
TOTAL -- NETHERLANDS
(Cost $408,941)...................................... 291,607
-----------
NEW ZEALAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Fernz Corp., Ltd...................................... 6,407 14,140
Independent Newspapers, Ltd. (Auckland)............... 5,200 21,469
Natural Gas Corp. Holdings, Ltd....................... 23,600 20,810
New Zealand Refining Co., Ltd......................... 1,008 5,909
</TABLE>
30
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ports of Auckland..................................... 5,962 $ 14,890
Trustpower, Ltd....................................... 18,000 42,203
United Networks, Ltd.................................. 6,200 18,961
Warehouse Group, Ltd.................................. 7,154 28,442
-----------
TOTAL COMMON STOCKS
(Cost $173,348)...................................... 166,824
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $249)....................... 249
-----------
TOTAL -- NEW ZEALAND
(Cost $173,597)...................................... 167,073
-----------
NORWAY -- (1.2%)
COMMON STOCKS -- (1.2%)
Aker Maritim ASA...................................... 2,500 17,211
Dyno Industrier ASA................................... 1,400 34,125
Hafslund ASA.......................................... 4,500 24,561
Leif Hoegh & Co. ASA.................................. 1,500 15,630
*NCL Holding ASA...................................... 7,300 20,556
Schibsted ASA......................................... 2,100 32,041
Wilhelmsen (Wilhelm), Ltd. ASA........................ 700 18,235
-----------
TOTAL COMMON STOCKS
(Cost $170,054)...................................... 162,359
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone (Cost $32)........................... 31
-----------
TOTAL -- NORWAY
(Cost $170,086)...................................... 162,390
-----------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Ackermans & Van Haaren SA............................. 1,200 36,610
Afrifina.............................................. 140 20,158
CMB (Cie Martime Belge)............................... 300 14,424
Cofinimmo SA.......................................... 220 22,705
Creyf's SA............................................ 700 16,281
Deceuninck Plastics Industries SA..................... 130 30,499
Immobel (Cie Immobiliere de Belgique SA).............. 200 11,378
*Spector Photo Group SA............................... 188 7,099
-----------
TOTAL -- BELGIUM
(Cost $163,410)...................................... 159,154
-----------
FINLAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Amer Group P.L.C...................................... 1,100 21,432
Asko Oyj.............................................. 1,500 23,863
Finnair Oyj........................................... 3,800 16,644
Finnlines Oy.......................................... 900 23,561
Kci Konecranes International P.L.C.................... 600 16,463
Partek Oyj............................................ 1,900 21,235
Tamro Oyj............................................. 4,800 14,161
*Viking Line AB....................................... 400 15,707
-----------
TOTAL -- FINLAND
(Cost $170,410)...................................... 153,066
-----------
EMU -- (1.0%)
INVESTMENT IN CURRENCY -- (1.0%)
*Euro Currency (Cost $131,931)........................ 131,718
-----------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
AUSTRIA -- (0.9%)
COMMON STOCKS -- (0.9%)
BBAG Oesterreichische Brau-Beteiligungs............... 362 $ 15,491
Bohler Uddeholm AG.................................... 385 16,126
Brau Union Goess-Reinighaus AG........................ 420 18,396
Flughafen Wien AG..................................... 543 18,862
Mayr Melnhof Karton AG................................ 420 17,508
Oberbank AG........................................... 294 20,426
Radex Heraklith Industrie Beteiligungs AG............. 584 15,559
*Rhi AG Em 99......................................... 249 6,471
-----------
TOTAL -- AUSTRIA
(Cost $141,815)...................................... 128,839
-----------
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
Anglo Irish Bank Corp. P.L.C.......................... 7,285 17,091
DCC P.L.C............................................. 2,250 16,311
Green Proper Co....................................... 3,447 19,957
Greencore Group P.L.C................................. 5,942 16,154
IAWS Group P.L.C...................................... 4,260 20,160
Waterford Wedgwood P.L.C.............................. 19,145 18,313
-----------
TOTAL -- IRELAND
(Cost $116,932)...................................... 107,986
-----------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
*Kedah Cement Holdings Berhad......................... 24,000 15,348
*Kuala Lumpur Industries Holdings Berhad.............. 12,000 1,560
*Promet Berhad........................................ 23,000 1,755
-----------
TOTAL -- MALAYSIA
(Cost $58,574)....................................... 18,663
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (3.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $434,456) to be
repurchased at $423,062.
(Cost $423,000)..................................... $ 423 423,000
-----------
TOTAL INVESTMENTS - (100.0%)
(Cost $15,723,525)++................................. $13,751,638
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $15,750,972.
</TABLE>
See accompanying Notes to Financial Statements.
31
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
BONDS -- (37.3%)
American International Group, Inc. Medium Term Notes
5.375%, 03/26/01................................... $500 $ 493,125
Asian Development Bank Medium Term Notes
8.500%, 05/02/01................................... 500 513,750
Associates Corp. of North America Medium Term Notes
5.600%, 01/15/01................................... 500 495,000
Bank of America Medium Term Notes
6.050%, 07/19/01................................... 500 495,625
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 500 492,500
Ford Motor Credit Corp. Medium Term Notes
5.750%, 01/25/01................................... 500 495,000
General Electric Capital Corp. Medium Term Notes
5.945%, 07/23/01................................... 500 495,000
IBM Corp. Medium Term Notes
5.950%, 06/04/01................................... 500 495,625
Interamerican Development Bank Corporate Bonds
8.500%, 05/01/01................................... 500 512,500
Norwest Financial, Inc. Corporate Bonds
5.500%, 03/19/01................................... 500 492,500
Paccar Financial Corp. Medium Term Notes
6.050%, 05/15/01................................... 500 495,000
Shell Canada, Ltd. Medium Term Notes
8.875%, 01/14/01................................... 600 613,500
Southwestern Bell Telephone Co.
6.375%, 04/01/01................................... 600 597,750
Toyota Motor Credit Corp.
5.500%, 09/17/01................................... 600 587,250
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 500 492,500
Wal-Mart Stores, Inc. Medium Term Notes
6.150%, 08/10/01................................... 500 498,125
-----------
TOTAL BONDS
(Cost $8,335,108).................................... 8,264,750
-----------
COMMERCIAL PAPER -- (36.8%)
Corporate Asset Funding Corp. C.P.
6.080%, 01/21/00................................... 300 297,509
DuPont (E.I.) de Nemours & Co., Inc. C.P.
5.880%, 01/28/00................................... 600 594,335
Electricite de France C.P.
5.700%, 01/18/00................................... 500 496,047
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
Enterprise Funding Corp. C.P.
5.400%, 12/01/99................................... $600 $ 600,000
France Telecom C.P.
5.850%, 01/14/00................................... 600 595,703
Gannett Co. C.P.
5.950%, 01/14/00................................... 500 496,419
Govco, Inc. C.P.
5.920%, 01/19/00................................... 600 595,157
Kittyhawk Funding Corp. C.P.
6.050%, 01/28/00................................... 600 594,335
Metlife Funding Corp. C.P.
5.830%, 01/31/00................................... 600 594,073
Oesterreich Kontrollbank C.P.
5.880%, 01/18/00................................... 600 595,312
Sheffield Receivables Corp. C.P.
6.120%, 01/21/00................................... 600 595,019
Shell Financial U.K. C.P.
5.930%, 01/13/00................................... 500 496,500
Sigma Finance Corp. C.P.
6.040%, 01/13/00................................... 500 496,500
St. Michael Finance, Ltd. C.P.
5.950%, 01/18/00................................... 500 496,087
Windmill Funding Corp. C.P.
6.040%, 01/06/00................................... 600 596,484
-----------
TOTAL COMMERCIAL PAPER
(Cost $8,138,750).................................... 8,139,480
-----------
AGENCY OBLIGATIONS -- (16.1%)
Federal Farm Credit Bank
5.125%, 04/02/01................................... 500 493,166
5.875%, 07/02/01................................... 500 496,875
Federal Home Loan Bank
5.625%, 03/19/01................................... 600 595,839
5.125%, 04/17/01................................... 500 492,969
Federal National Mortgage Association
5.310%, 05/18/01................................... 500 493,461
5.440%, 05/21/01................................... 500 494,326
5.820%, 07/19/01................................... 500 496,526
-----------
TOTAL AGENCY OBLIGATIONS
(Cost $3,593,692).................................... 3,563,162
-----------
VARIABLE RATE OBLIGATIONS -- (4.5%)
***Chase Manhattan Corp.
6.352%, 02/24/00................................... 500 500,000
***Key Bank N.A.
***6.435%, 02/02/00................................ 500 500,450
-----------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $1,000,000).................................... 1,000,450
-----------
CERTIFICATES OF DEPOSIT -- (2.3%)
Bayerische Landesbank
6.060%, 06/18/01
(Cost $500,000).................................. 500 500,000
</TABLE>
32
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Capital Markets Inc.
5.30%, 12/01/99 (Collateralized by U.S. Treasury
Notes 6.125% 07/31/00, valued at $511,250) to be
repurchased at $496,073.
(Cost $496,000).................................. $ 496 $ 496,000
-----------
TOTAL INVESTMENTS -- (99.2%) (Cost $22,063,550)++...... 21,963,842
-----------
OTHER ASSETS AND LIABILITIES -- (0.8%)
Interest Receivable................................... 192,173
Payable for Fund Shares Redeemed...................... (9,235)
Other Liabilities in Excess of Other Assets........... (12,186)
-----------
170,752
-----------
NET ASSETS -- (100.0%) Applicable to 2,123,547
Outstanding $.01 Par Value Shares (50,000,000 Shares
Authorized).......................................... $22,134,594
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.42
===========
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
*** Rates shown are the rates as of November 30, 1999, and maturities shown
are the next interest readjustment date.
++ The cost for federal income tax purposes is $22,062,550.
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED STATES -- (22.0%)
BONDS -- (17.5%)
Amoco Canada Medium Term Notes
7.250%, 09/17/02..................................... 200 $ 202,140
Associates Corp. of North America Medium Term Notes
6.625%, 05/15/01..................................... 300 300,000
Credit Locale de France Holding SA Medium Term Notes
7.125%, 02/18/02..................................... 100 100,500
France Telecom SA Medium Term Notes
6.875%, 10/01/01..................................... 300 300,720
General Electric Capital Corp. Medium Term Notes
5.510%, 03/01/02..................................... 300 296,340
Glaxo K.K. Medium Term Notes
7.000%, 05/02/02..................................... 300 301,290
KFW International Finance, Inc. Medium Term Notes
6.250%, 10/15/03..................................... 200 211,184
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01..................................... 300 295,500
Wal-Mart Stores, Inc. Medium Term Notes
6.150%, 08/10/01..................................... 300 298,875
-----------
TOTAL BONDS
(Cost $2,352,416).................................... 2,306,549
-----------
COMMERCIAL PAPER -- (4.5%)
Corporate Asset Funding Co. C.P.
5.920%, 01/28/00..................................... 300 297,153
Govco, Inc. C.P.
6.080%, 01/21/00..................................... 300 297,480
-----------
TOTAL COMMERCIAL PAPER
(Cost $594,555)...................................... 594,633
-----------
TOTAL -- UNITED STATES
(Cost $2,946,971).................................... 2,901,182
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
JAPAN -- (18.2%)
BONDS -- (18.2%)
Asian Development Bank
5.000%, 02/05/03..................................... 45,000 499,961
Credit Local de France SA
6.000%, 10/31/01..................................... 9,000 97,596
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02..................................... 32,000 330,130
Eksportfinans ASA
2.650%, 07/10/02..................................... 20,000 206,606
European Investment Bank
4.625%, 02/26/03..................................... 10,000 110,349
Export-Import Bank Japan
4.625%, 07/23/03..................................... 150 149,976
Inter-American Development Bank
6.000%, 10/30/01..................................... 25,000 269,927
2.250%, 02/05/02..................................... 10,000 101,600
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Nordic Investment Bank
2.600%, 06/28/02..................................... 40,000 $ 412,781
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03..................................... 20,000 221,050
-----------
TOTAL -- JAPAN
(Cost $1,990,823).................................... 2,399,976
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
FRANCE -- (16.2%)
BONDS -- (16.2%)
Belgium (Kingdom of)
6.875%, 05/30/02..................................... 1,000 162,064
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02..................................... 122 125,979
Caisse Nationale d'Autoroutes
5.500%, 02/14/02..................................... 1,800 281,769
Credit Local de France SA Euro Medium Term Notes
6.000%, 07/01/02..................................... 1,000 158,795
Departemente des Hautes de Seine
7.000%, 07/21/03..................................... 1,500 246,205
Electricite de France
3.750%, 10/28/03..................................... 350 340,076
European Investment Bank
8.500%, 02/20/02..................................... 1,500 249,819
French Automotive Casting, Inc.
4.500%, 07/12/02..................................... 160 161,972
French Government Note
4.500%, 07/12/03..................................... 200 201,377
KFW International Finance, Inc.
8.750%, 06/26/02..................................... 1,200 202,840
-----------
TOTAL -- FRANCE
(Cost $2,272,166).................................... 2,130,896
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
GERMANY -- (7.6%)
BONDS -- (7.6%)
Deutsche Bahn Finance BV
6.875%, 07/19/02..................................... 400 216,077
German Gov't Treuhandanstalt
6.625%, 07/09/03..................................... 300 322,003
Japan Finance Corp. for Small Business
4.500%, 08/07/02..................................... 600 308,363
World Bank (International Bank for Reconstruction and
Development)
6.125%, 09/27/02..................................... 300 160,251
-----------
TOTAL -- GERMANY
(Cost $1,091,656).................................... 1,006,694
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
AUSTRALIA -- (7.2%)
BONDS -- (7.2%)
Airservices Australia
7.375%, 11/15/01..................................... 250 161,289
Alberta (Province of)
7.000%, 03/20/02..................................... 500 320,003
</TABLE>
34
<PAGE>
VA GLOBAL BOND PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Federal National Mortgage Association
6.500%, 07/10/02..................................... 300 $ 189,866
State Bank of New South Wales
11.750%, 08/16/01.................................... 200 137,600
9.250%, 02/18/03..................................... 200 135,972
-----------
TOTAL -- AUSTRALIA
(Cost $1,036,414).................................... 944,730
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
CANADA -- (5.8%)
BONDS -- (5.8%)
Canada (Government of)
9.750%, 06/01/01..................................... 400 286,498
Canada Mortgage and Housing
6.250%, 01/02/02..................................... 400 272,568
Toyota Credit Canada, Inc.
8.000%, 12/29/00..................................... 200 138,524
7.375%, 12/31/01..................................... 100 69,052
-----------
TOTAL -- CANADA
(Cost $793,750)...................................... 766,642
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED KINGDOM -- (5.0%)
BONDS -- (4.9%)
Federal National Mortgage Association
6.875%, 06/07/02..................................... 200 318,765
United Kingdom Treasury
7.000%, 11/06/01..................................... 200 322,683
-----------
TOTAL BONDS
(Cost $649,287)...................................... 641,448
-----------
INVESTMENT IN CURRENCY -- (0.1%)
British Pound Sterling (Cost $11,325)................. 11,155
-----------
TOTAL -- UNITED KINGDOM
(Cost $660,612)...................................... 652,603
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
AUSTRIA -- (4.6%)
BONDS -- (4.6%)
Bank Austria Investment Bank AG
4.750%, 03/17/03..................................... 300 301,220
Republic of Austria
4.300%, 07/15/03..................................... 300 298,079
-----------
TOTAL -- AUSTRIA
(Cost $636,508)...................................... 599,299
-----------
NETHERLANDS -- (4.3%)
BONDS -- (4.3%)
Bank Nederlandse Gemeenten NV
7.625%, 12/16/02..................................... 250 123,673
Netherland Government Bond
6.500%, 04/15/03..................................... 400 423,255
-----------
TOTAL -- NETHERLANDS
(Cost $589,621)...................................... 546,928
-----------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
DENMARK -- (2.3%)
BONDS -- (2.3%)
Kingdom of Denmark
8.000%, 05/15/03
(Cost $329,648).................................... 2,000 $ 296,190
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
SWEDEN -- (1.8%)
BONDS -- (1.8%)
Sweden (Kingdom of)
5.000%, 01/15/04
(Cost $254,881).................................... 2,000 233,336
-----------
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.30%,
12/01/99 (Collateralized by U.S. Treasury Notes
4.50%, 01/31/01, valued at $249,688) to be
repurchased at $241,035.
(Cost $241,000)..................................... 241 241,000
-----------
TOTAL INVESTMENTS -- (96.7%)
(Cost $12,843,650)++................................. $12,719,476
===========
OTHER ASSETS AND LIABILITIES -- (3.3%)
Interest Receivable................................... 302,502
Other Assets.......................................... 140,062
Other Liabilities..................................... (8,541)
-----------
434,023
-----------
Net Assets -- (100%) Applicable to 1,230,671
Outstanding $0.1 Par Value Shares (50,000,000 Shares
Authorized)......................................... $13,153,499
===========
NET ASSET VALUE OFFERING AND REDEMPTION PRICE PER
SHARE............................................... $ 10.69
-----------
-----------
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
+ See Note B to Financial Statements.
@ Denominated in local currency.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $12,844,050.
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE VALUE
PORTFOLIO PORTFOLIO
--------------- ---------------
<S> <C> <C>
ASSETS:
Investments at Value........................................ $ 19,358 $ 31,890
Collateral for Securities Loaned............................ 549 555
Cash........................................................ 1 73
Receivables.................................................
Dividends and Interest.................................... 19 83
Investment Securities Sold................................ 130 551
Prepaid Expenses and Other Assets........................... -- 1
---------- ----------
Total Assets............................................ 20,057 33,153
---------- ----------
LIABILITIES:................................................
Payable for Collateral on Securities Loaned................. 549 555
Payable for Investment Securities Purchased................. 402 300
Payable for Fund Shares Redeemed............................ 1 --
Accrued Expenses and Other Liabilities...................... 17 16
---------- ----------
Total Liabilities....................................... 969 871
---------- ----------
NET ASSETS.................................................. $ 19,088 $ 32,282
========== ==========
SHARES OUTSTANDING $.01 PAR VALUE (50,000,000 Shares
Authorized)............................................... 1,493,138 2,017,937
========== ==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 12.78 $ 16.00
========== ==========
Investments at Cost......................................... $ 21,366 $ 31,923
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE SMALL
PORTFOLIO PORTFOLIO
---------------- ----------------
<S> <C> <C>
ASSETS:
Investments at Value........................................ $ 23,536 $ 13,752
Collateral for Securities Loaned............................ 81 316
Cash........................................................ 15 15
Receivables
Dividends, Interest and Foreign Tax Reclaims.............. 78 41
Investment Securities Sold................................ -- 1
Fund Shares Sold.......................................... -- 1
Prepaid Expenses and Other Assets........................... 4 1
---------- ----------
Total Assets............................................ 23,714 14,127
---------- ----------
LIABILITIES:................................................
Payable for Collateral on Securities Loaned................. 81 316
Payable for Investment Securities Purchased................. 3 493
Accrued Expenses and Other Liabilities...................... 13 10
---------- ----------
Total Liabilities....................................... 97 819
---------- ----------
NET ASSETS.................................................. $ 23,617 $ 13,308
========== ==========
SHARES OUTSTANDING $.01 PAR VALUE (50,000,000 Shares
Authorized)............................................... 1,854,933 1,602,330
========== ==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 12.73 $ 8.31
========== ==========
Investments at Cost......................................... $ 22,059 $ 15,724
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA
VA SMALL VA LARGE INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of $0, $0 and $44
respectively)........................................... $ 175 $ 591 $ 481
Interest.................................................. 31 37 24
Income from Securities Lending............................ 15 -- 9
------- ------- ------
Total Investment Income............................... 221 628 514
------- ------- ------
EXPENSES
Investment Advisory Services.............................. 93 80 88
Accounting & Transfer Agent Fees.......................... 16 30 24
Custodian's Fees.......................................... 3 4 14
Legal Fees................................................ -- 1 --
Audit Fees................................................ 2 3 3
Filing Fees............................................... 1 1 --
Shareholders' Reports..................................... 8 10 6
Other..................................................... 2 8 7
------- ------- ------
Total Expenses........................................ 125 137 142
------- ------- ------
NET INVESTMENT INCOME..................................... 96 491 372
------- ------- ------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain on Investment Securities................ 3,570 5,804 1,649
Net Realized Gain on Foreign Currency Transactions........ -- -- 10
Change in Unrealized Appreciation/(Depreciation) of:
Investment Securities and Foreign Currency............ (2,374) (5,110) 1,383
Translation of Foreign Currency Denominated Amounts... -- -- (4)
------- ------- ------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.... 1,196 694 3,038
------- ------- ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 1,292 $ 1,185 $3,410
======= ======= ======
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1999
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA
INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- --------------- ----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of $27, $0 and
$0, respectively)....................................... $ 286 -- --
Interest.................................................. 12 $1,044 $ 495
Income from Securities Lending............................ 6 -- --
------ ------ -----
Total Investment Income............................... 304 1,044 495
------ ------ -----
EXPENSES
Investment Advisory Services.............................. 66 49 29
Accounting & Transfer Agent Fees.......................... 13 10 11
Custodian's Fees.......................................... 13 2 2
Legal Fees................................................ -- 1 --
Audit Fees................................................ 2 2 1
Filing Fees............................................... 1 1 1
Shareholders' Reports..................................... 5 8 4
Other..................................................... 3 2 9
------ ------ -----
Total Expenses........................................ 103 75 57
------ ------ -----
NET INVESTMENT INCOME..................................... 201 969 438
------ ------ -----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities......... 377 (7) 19
Net Realized Gain on Foreign Currency Transactions........ (116) -- 174
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ 1,494 (102) (336)
Translation of Foreign Currency Denominated Amounts... (2) -- 136
------ ------ -----
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY................................................ 1,753 (109) (7)
------ ------ -----
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $1,954 $ 860 $ 431
====== ====== =====
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998
-------- -------- -------- --------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSERTS
Operations:
Net Investment Income............... $ 96 $ 57 $ 491 $ 411
Net Realized Gain on Investment
Securities........................ 3,570 1,518 5,804 1,933
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities........................ (2,374) (3,079) (5,110) 742
------- ------- ------- -------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.................... 1,292 (1,504) 1,185 3,086
------- ------- ------- -------
Distributions From:
Net Investment Income............... (54) (63) (122) (396)
Net Realized Gains.................. (1,518) (1,173) (1,935) (1,625)
------- ------- ------- -------
Total Distributions............. (1,572) (1,236) (2,057) (2,021)
------- ------- ------- -------
Capital Share Transactions (1):
Shares Issued....................... 5,687 6,766 9,070 12,228
Shares Issued in Lieu of Cash
Distributions..................... 1,572 1,236 2,057 2,021
Shares Redeemed..................... (5,723) (4,858) (8,160) (9,672)
------- ------- ------- -------
Net Increase From Capital Share
Transactions.................. 1,536 3,144 2,967 4,577
------- ------- ------- -------
Total Increase.................. 1,256 404 2,095 5,642
NET ASSETS
Beginning of Period................. 17,832 17,428 30,187 24,545
------- ------- ------- -------
End of Period....................... $19,088 $17,832 $32,282 $30,187
======= ======= ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 459 471 545 747
Shares Issued in Lieu of Cash
Distributions.................... 134 89 136 134
Shares Redeemed.................... (460) (328) (491) (579)
------- ------- ------- -------
133 232 190 302
======= ======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998
-------- -------- -------- --------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............... $ 372 $ 331 $ 201 $ 185
Net Realized Gain on Investment
Securities........................ 1,649 1,120 377 821
Net Realized Gain (Loss) on Foreign
Currency Transactions............. 10 2 (116) (11)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.......................... 1,383 468 1,494 (1,081)
Translation of Foreign Currency
Denominated Amounts............... (4) 1 (2) (1)
------- ------- ------- -------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.................... 3,410 1,922 1,954 (87)
------- ------- ------- -------
Distributions From:
Net Investment Income............... (386) (295) (216) (119)
Net Realized Gains.................. (1,043) (227) (823) (112)
------- ------- ------- -------
Total Distributions............. (1,429) (522) (1,039) (231)
------- ------- ------- -------
Capital Share Transactions (1):
Shares Issued....................... 5,740 7,431 3,013 5,382
Shares Issued in Lieu of Cash
Distributions..................... 1,429 522 1,039 231
Shares Redeemed..................... (6,624) (5,872) (4,407) (2,431)
------- ------- ------- -------
Net Increase (Decrease) From
Capital Share Transactions.... 545 2,081 (355) 3,182
------- ------- ------- -------
Total Increase.................. 2,526 3,481 560 2,864
NET ASSETS
Beginning of Period................. 21,091 17,610 12,748 9,884
------- ------- ------- -------
End of Period....................... $23,617 $21,091 $13,308 $12,748
======= ======= ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 474 628 385 666
Shares Issued in Lieu of Cash
Distributions.................... 132 50 149 32
Shares Redeemed.................... (560) (488) (570) (295)
------- ------- ------- -------
46 190 (36) 403
======= ======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SHORT-TERM VA GLOBAL
FIXED PORTFOLIO BOND PORTFOLIO
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1999 1998
-------- -------- -------- --------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............... $ 969 $ 879 $ 438 $ 320
Net Realized Gain (Loss) on
Investment Securities............. (7) 19 19 1
Net Realized Gain on Foreign
Currency Transactions............. -- -- 174 35
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.......................... (102) (7) (336) 513
Translation of Foreign Currency
Denominated Amounts............... -- -- 136 (154)
------- ------- ------- -------
Net Increase in Net Assets
Resulting from Operations..... 860 891 431 715
------- ------- ------- -------
Distributions From:
Net Investment Income............... (183) (864) (5) (798)
Net Realized Gains.................. (18) (12) (2) (26)
Tax Return of Capital............... -- -- -- (27)
------- ------- ------- -------
Total Distributions............. (201) (876) (7) (851)
------- ------- ------- -------
Capital Share Transactions (1):
Shares Issued....................... 8,986 6,661 5,435 4,119
Shares Issued in Lieu of Cash
Distributions..................... 201 876 7 851
Shares Redeemed..................... (6,178) (4,221) (3,196) (1,424)
------- ------- ------- -------
Net Increase From Capital Share
Transactions.................. 3,009 3,316 2,246 3,546
------- ------- ------- -------
Total Increase.................. 3,668 3,331 2,670 3,410
NET ASSETS
Beginning of Period................. 18,467 15,136 10,483 7,073
------- ------- ------- -------
End of Period....................... $22,135 $18,467 $13,153 $10,483
======= ======= ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 879 662 516 410
Shares Issued in Lieu of Cash
Distributions.................... 20 87 1 87
Shares Redeemed.................... (606) (419) (303) (141)
------- ------- ------- -------
293 330 214 356
======= ======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
42
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
-------------------------------------------------------- ---------------------------------
YEAR YEAR YEAR YEAR OCT. 3 YEAR YEAR YEAR
ENDED ENDED ENDED ENDED TO ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30 NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1999 1998 1997
--------- --------- --------- --------- -------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period... $ 13.11 $ 15.45 $ 11.75 $ 9.69 $10.00 $ 16.51 $ 16.08 $ 13.46
------- ------- ------- ------ ------ ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment
Income.............. 0.07 0.04 0.06 0.03 0.01 0.25 0.24 0.24
Net Gains (Losses) on
Securities (Realized
and Unrealized)..... 0.76 (1.27) 3.78 2.05 (0.31) 0.38 1.47 3.07
------- ------- ------- ------ ------ ------- ------- -------
Total from
Investment
Operations........ 0.83 (1.23) 3.84 2.08 (0.30) 0.63 1.71 3.31
------- ------- ------- ------ ------ ------- ------- -------
LESS DISTRIBUTIONS
Net Investment
Income.............. (0.04) (0.06) (0.03) (0.02) (0.01) (0.07) (0.24) (0.23)
Net Realized Gains.... (1.12) (1.05) (0.11) -- -- (1.07) (1.04) (0.46)
------- ------- ------- ------ ------ ------- ------- -------
Total
Distributions..... (1.16) (1.11) (0.14) (0.02) (0.01) (1.14) (1.28) (0.69)
------- ------- ------- ------ ------ ------- ------- -------
Net Asset Value, End of
Period................ $ 12.78 $ 13.11 $ 15.45 $11.75 $ 9.69 $ 16.00 $ 16.51 $ 16.08
======= ======= ======= ====== ====== ======= ======= =======
Total Return............ 7.10% (8.45)% 33.02% 21.47% (3.04)%# 4.24% 11.46% 25.72%
Net Assets, End of
Period (thousands).... $19,088 $17,832 $17,428 $8,058 $4,848 $32,282 $30,187 $24,545
Ratio of Expenses to
Average Net Assets.... 0.67% 0.70% 0.71% 1.05% 0.99%* 0.43% 0.46% 0.48%
Ratio of Net Investment
Income to Average Net
Assets................ 0.51% 0.32% 0.45% 0.34% 0.91%* 1.54% 1.49% 1.71%
Portfolio Turnover
Rate.................. 28.29% 22.81% 21.18% 5.19% 0.00%* 52.03% 22.98% 20.49%
<CAPTION>
VA LARGE
VALUE PORTFOLIO
--------------------
YEAR JAN. 13
ENDED TO
NOV. 30, NOV. 30
1996 1995
--------- --------
<S> <C> <C>
Net Asset Value,
Beginning of Period... $ 11.29 $10.00
------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment
Income.............. 0.17 0.19
Net Gains (Losses) on
Securities (Realized
and Unrealized)..... 2.12 1.85
------- ------
Total from
Investment
Operations........ 2.29 2.04
------- ------
LESS DISTRIBUTIONS
Net Investment
Income.............. (0.12) (0.16)
Net Realized Gains.... -- (0.59)
------- ------
Total
Distributions..... (0.12) (0.75)
------- ------
Net Asset Value, End of
Period................ $ 13.46 $11.29
======= ======
Total Return............ 20.45% 20.41%#
Net Assets, End of
Period (thousands).... $13,570 $6,562
Ratio of Expenses to
Average Net Assets.... 1.03% 1.20%*
Ratio of Net Investment
Income to Average Net
Assets................ 1.59% 2.03%*
Portfolio Turnover
Rate.................. 18.54% 65.38%*
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
43
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
---------------------------------------------------- ------------------------------
YEAR YEAR YEAR YEAR OCT. 3 YEAR YEAR YEAR
ENDED ENDED ENDED ENDED TO ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30 NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1999 1998 1997
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period..... $ 11.65 $ 10.87 $ 11.41 $ 10.03 $10.00 $ 7.78 $ 7.99 $10.48
------- ------- ------- ------- ------ ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss)................ 0.20 0.19 0.17 0.11 -- 0.12 0.11 0.09
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 1.66 0.91 (0.56) 1.29 0.03 1.04 (0.14) (2.30)
------- ------- ------- ------- ------ ------- ------- ------
Total from Investment
Operations.......... 1.86 1.10 (0.39) 1.40 0.03 1.16 (0.03) (2.21)
------- ------- ------- ------- ------ ------- ------- ------
LESS DISTRIBUTIONS
Net Investment Income... (0.21) (0.18) (0.10) -- -- (0.13) (0.09) (0.06)
Net Realized Gains...... (0.57) (0.14) (0.05) (0.02) -- (0.50) (0.09) (0.22)
------- ------- ------- ------- ------ ------- ------- ------
Total Distributions... (0.78) (0.32) (0.15) (0.02) -- (0.63) (0.18) (0.28)
------- ------- ------- ------- ------ ------- ------- ------
Net Asset Value, End of
Period.................. $ 12.73 $ 11.65 $ 10.87 $ 11.41 $10.03 $ 8.31 $ 7.78 $ 7.99
======= ======= ======= ======= ====== ======= ======= ======
Total Return.............. 17.21% 10.43% (3.45)% 13.92% 0.30%# 16.44% (0.23)% (21.54)%
Net Assets, End of Period
(thousands)............. $23,617 $21,091 $17,610 $10,517 $5,014 $13,308 $12,748 $9,884
Ratio of Expenses to
Average Net Assets...... 0.65% 0.68% 0.76% 1.17% 1.32%* 0.79% 0.90% 0.99%
Ratio of Net Investment
Income to Average Net
Assets.................. 1.70% 1.63% 1.83% 1.29% (0.20)%* 1.53% 1.56% 1.32%
Portfolio Turnover Rate... 20.27% 27.11% 7.95% 4.14% 0.00%* 14.31% 20.82% 8.57%
<CAPTION>
VA INTERNATIONAL
SMALL PORTFOLIO
-------------------
YEAR JAN. 13
ENDED TO
NOV. 30, NOV. 30
1996 1995
-------- --------
<S> <C> <C>
Net Asset Value,
Beginning of Period..... $ 9.71 $10.00
------ ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss)................ 0.06 (0.01)
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 0.71 (0.28)
------ ------
Total from Investment
Operations.......... 0.77 (0.29)
------ ------
LESS DISTRIBUTIONS
Net Investment Income... -- --
Net Realized Gains...... -- --
------ ------
Total Distributions... -- --
------ ------
Net Asset Value, End of
Period.................. $10.48 $ 9.71
====== ======
Total Return.............. 7.93% (2.90)%#
Net Assets, End of Period
(thousands)............. $6,007 $4,856
Ratio of Expenses to
Average Net Assets...... 1.27% 2.52%*
Ratio of Net Investment
Income to Average Net
Assets.................. 0.63% (0.39)%*
Portfolio Turnover Rate... 6.40% 0.00%*
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
44
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SHORT-TERM VA GLOBAL
FIXED PORTFOLIO BOND PORTFOLIO
---------------------------------------------------- ------------------------------
YEAR YEAR YEAR YEAR OCT. 3 YEAR YEAR YEAR
ENDED ENDED ENDED ENDED TO ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30 NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1999 1998 1997
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period..... $ 10.09 $ 10.08 $ 10.08 $ 10.04 $10.00 $ 10.30 $ 10.69 $11.14
------- ------- ------- ------- ------ ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income... 0.46 0.53 0.53 0.48 0.08 0.36 0.52 0.42
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... (0.02) 0.02 -- 0.04 -- 0.04 0.30 0.34
------- ------- ------- ------- ------ ------- ------- ------
Total from Investment
Operations.......... 0.44 0.55 0.53 0.52 0.08 0.40 0.82 0.76
------- ------- ------- ------- ------ ------- ------- ------
LESS DISTRIBUTIONS
Net Investment Income... (0.10) (0.53) (0.53) (0.48) (0.04) (0.01) (1.14) (0.94)
Net Realized Gains...... (0.01) (0.01) -- -- -- -- (0.04) (0.27)
Tax Return of Capital... -- -- -- -- -- -- (0.03) --
------- ------- ------- ------- ------ ------- ------- ------
Total Distributions... (0.11) (0.54) (0.53) (0.48) (0.04) (0.01) (1.21) (1.21)
------- ------- ------- ------- ------ ------- ------- ------
Net Asset Value, End of
Period.................. $ 10.42 $ 10.09 $ 10.08 $ 10.08 $10.04 $ 10.69 $ 10.30 $10.69
======= ======= ======= ======= ====== ======= ======= ======
Total Return.............. 4.39% 5.54% 5.46% 5.34% 0.81%# 3.85% 8.44% 7.58%
Net Assets, End of Period
(thousands)............. $22,135 $18,467 $15,136 $ 7,789 $5,041 $13,153 $10,483 $7,073
Ratio of Expenses to
Average Net Assets...... 0.40% 0.41% 0.43% 0.70% 0.63%* 0.49% 0.57% 0.65%
Ratio of Net Investment
Income to Average Net
Assets.................. 4.91% 5.24% 5.44% 4.93% 5.11%* 3.74% 3.65% 4.09%
Portfolio Turnover Rate... 29.96% 49.84% 72.92% 29.27% 0.00%* 43.63% 36.97% 58.35%
<CAPTION>
VA GLOBAL
BOND PORTFOLIO
-------------------
YEAR JAN. 13
ENDED TO
NOV. 30, NOV. 30
1996 1995
-------- --------
<S> <C> <C>
Net Asset Value,
Beginning of Period..... $10.61 $10.00
------ ------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income... 0.37 0.48
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 0.57 0.81
------ ------
Total from Investment
Operations.......... 0.94 1.29
------ ------
LESS DISTRIBUTIONS
Net Investment Income... (0.41) (0.57)
Net Realized Gains...... -- (0.11)
Tax Return of Capital... -- --
------ ------
Total Distributions... (0.41) (0.68)
------ ------
Net Asset Value, End of
Period.................. $11.14 $10.61
====== ======
Total Return.............. 9.16% 13.09%#
Net Assets, End of Period
(thousands)............. $3,703 $3,393
Ratio of Expenses to
Average Net Assets...... 1.73% 1.31%*
Ratio of Net Investment
Income to Average Net
Assets.................. 3.43% 5.08%*
Portfolio Turnover Rate... 88.93% 60.09%*
</TABLE>
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------
(Restated to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company. The Fund offers thirty-four portfolios, six of which (the
"VA Portfolios") are included in this report. Of the remaining twenty-seven
portfolios, twenty-six are presented in separate reports and the remaining
portfolio has not yet commenced operations. The VA Portfolios are only available
through a select group of insurance products.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Securities held
by VA International Value Portfolio and VA International Small Portfolio (the
"International Equity Portfolios") which are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at the
mean price of such currency against U.S. dollars last quoted by a major bank.
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement. VA Global Bond Portfolio also enters into forward
foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are also marked to
market daily based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon the sale or maturity of foreign currency
denominated debt obligations pursuant to U.S. Federal income tax regulations;
such amounts are categorized as foreign exchange gain or loss for both financial
reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
46
<PAGE>
3. FEDERAL INCOME TAXES: It is the VA Portfolios' intention to continue to
qualify as a regulated investment company and distribute all of their taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of foreign currency and foreign taxes on capital gains.
Interest income is recorded on the accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities.
Expenses directly attributable to a VA Portfolio are directly charged. Common
expenses are allocated using methods determined by the Board of Directors.
The Funds may be subject to taxes imposed by countries in which they invest,
with respect to their investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Funds accrue such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales of foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or "the Advisor") provides investment
advisory services to the VA Portfolios. For the year ended November 30, 1999,
the VA Portfolios' advisory fees were computed daily and paid monthly to the
Advisor based on the following effective annual rates:
<TABLE>
<S> <C>
VA Small Value Portfolio................................. 0.50 of 1%
VA Large Value Portfolio................................. 0.25 of 1%
VA International Value Portfolio......................... 0.40 of 1%
VA International Small Portfolio......................... 0.50 of 1%
VA Short-Term Fixed Portfolio............................ 0.25 of 1%
VA Global Bond Portfolio................................. 0.25 of 1%
</TABLE>
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1999, the VA Portfolios made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- --------
<S> <C> <C> <C> <C>
VA Small Value Portfolio...... -- -- $ 8,611 $ 8,469
VA Large Value Portfolio...... -- -- 17,620 16,153
VA International Value
Portfolio................... -- -- 4,310 4,324
VA International Small
Portfolio................... -- -- 5,724 6,438
VA Short-Term Fixed
Portfolio................... -- -- 15,921 2,290
VA Global Bond Portfolio...... -- -- 11,824 4,811
</TABLE>
47
<PAGE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1999, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- --------
<S> <C> <C> <C>
VA Small Value Portfolio.................................... $3,165 $(5,174) $(2,009)
VA Large Value Portfolio.................................... 4,275 (4,307) (32)
VA International Value Portfolio............................ 4,598 (3,121) 1,477
VA International Small Portfolio............................ 2,051 (4,050) (1,999)
VA Short-Term Fixed Portfolio............................... -- (99) (99)
VA Global Bond Portfolio.................................... 60 (185) (125)
</TABLE>
At November 30, 1999, the VA Short-Term Fixed Portfolio had a capital loss
carryover for federal income tax purposes of approximately $7,000, which expires
on November 30, 2007.
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The VA Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on November 30, 1999.
2. FORWARD CURRENCY CONTRACTS: VA Global Bond Portfolio may enter into
forward foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At November 30, 1999, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange state is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT NOVEMBER 30, 1999 GAIN
- --------------------- ------------- ------------ ------------------ ----------
<C> <C> <S> <C> <C> <C>
12/22/99 1,550,808 Australian Dollars $ 989,564 $ 985,823 $ 3,741
12/22/99 2,295,044 Danish Krone 317,979 310,652 7,327
12/27/99 2,077,786 Swedish Krona 248,381 244,415 3,966
12/29/99 234,505,802 Japanese Yen 2,296,177 2,294,914 1,263
12/29/99 1,180,613 Canadian Dollars 804,458 801,448 3,010
12/29/99 4,760,776 European Currency Unit 4,893,139 4,793,564 99,575
12/30/99 405,709 Great Britain Pounds 649,550 646,177 3,373
----------- ----------- --------
$10,199,248 $10,076,993 $122,255
=========== =========== ========
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
48
<PAGE>
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
G. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly, liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the year ended November 30, 1999 borrowings
under the line by the VA Portfolios were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
<S> <C> <C> <C> <C> <C>
VA Large Value Portfolio..................... 5.24% $157,763 20 $551 $420,500
VA International Value Portfolio............. 5.22% 78,383 25 535 375,000
VA International Small Value Portfolio....... 5.32% 122,797 27 713 500,000
</TABLE>
There were no outstanding borrowings under the line of credit at November 30,
1999.
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1999 NET ASSETS CONSIST OF:
(AMOUNTS IN THOUSANDS)
-----------------------------------------------
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ----------------
<S> <C> <C> <C>
Paid-In Capital........................................... $17,439 $26,030 $20,120
Undistributed Net Investment Income....................... 87 482 276
Undistributed Net Realized Gain........................... 3,570 5,802 1,735
Undistributed Net Realized Foreign Exchange Gain.......... -- -- 10
Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency......................... (2,008) (32) 1,478
Unrealized Net Foreign Exchange Loss...................... -- -- (2)
------- ------- -------
$19,088 $32,282 $23,617
======= ======= =======
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ------------- ----------------
<S> <C> <C> <C>
Paid-In Capital........................................... $14,873 $21,381 $12,519
Undistributed Net Investment Income....................... 148 860 447
Undistributed Net Realized Gain (Loss).................... 375 (6) 17
Undistributed Net Realized Foreign........................
Exchange Gain (116) -- 174
Unrealized Depreciation of Investment Securities and
Foreign Currency........................................ (1,971) (100) (124)
Unrealized Net Foreign Exchange Gain (Loss)............... (1) -- 120
------- ------- -------
$13,308 $22,135 $13,153
======= ======= =======
</TABLE>
49
<PAGE>
I. SECURITIES LENDING:
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
November 30, 1999 was reinvested into overnight repurchase agreements with JP
Morgan and Fuji Securities, which was in turn collateralized by U.S. Government
Treasury Securities. The market value of securities on loan to brokers, the
related collateral cash received by each Portfolio and the value of collateral
on overnight repurchase agreements at November 30, 1999, was as follows:
<TABLE>
<CAPTION>
VALUE OF
COLLATERAL ON
VALUE OF OVERNIGHT
VALUE OF COLLATERAL AND REPURCHASE
SECURITIES INDEMNIFICATION AGREEMENTS
---------- --------------- -------------
<S> <C> <C> <C>
VA Small Value Portfolio.................................... $286,165 $549,396 $560,991
VA Large Value Portfolio.................................... 514,795 554,600 566,305
VA International Value Portfolio............................ 76,683 81,070 82,837
VA International Small Portfolio............................ 293,959 315,660 322,539
</TABLE>
J. MALAYSIA
During the year ended November 30, 1999, the VA International Value
Portfolio and the VA International Small Portfolio repatriated funds from
Malaysia. In accordance with the Malaysian government's repatriation tax regime,
the Funds paid repatriation taxes based on the market value at August 31, 1998
of securities sold as follows: a 30% tax on repatriation between September 1,
1998 and April 1, 1999, a 20% tax on repatriations between April 1, 1999 and
June 1, 1999 and a 10% tax on repatriations between June 1, 1999 and
September 1, 1999. Realized gains and losses on the sale of Malaysian securities
have been recorded net of applicable repatriation taxes for financial statement
purposes.
50
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Directors of
DFA Investment Dimensions Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, of VA Small Value Portfolio, VA Large
Value Portfolio, VA International Value Portfolio, and VA International Small
Portfolio, and the statements of net assets of VA Short-Term Fixed Portfolio and
VA Global Bond Portfolio and the related statements of operations and of changes
in net assets and the financial highlights present fairly, in all material
respects, the financial position of VA Small Value Portfolio, VA Large Value
Portfolio, VA International Value Portfolio, VA International Small Portfolio,
VA Short-Term Fixed Portfolio, and VA Global Bond Portfolio (constituting
portfolios within the DFA Investment Dimensions Group Inc., hereafter referred
to as the "Fund") at November 30, 1999, and the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and the financial highlights for
each of the periods presented, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards, which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 14, 2000
51
