<PAGE>
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL
REPORT
SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
---------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Schedules of Investments
The U.S. Large Company Portfolio........................ 1
The Enhanced U.S. Large Company Portfolio............... 1
The U.S. Large Cap Value Portfolio...................... 1
The U.S. 4-10 Value Portfolio........................... 1
The U.S. 6-10 Value Portfolio........................... 2
The U.S. 6-10 Small Company Portfolio................... 2
The U.S. 9-10 Small Company Portfolio................... 2
The DFA Real Estate Securities Portfolio................ 3
The Large Cap International Portfolio................... 5
The International Small Company Portfolio............... 15
The Japanese Small Company Portfolio.................... 15
The Pacific Rim Small Company Portfolio................. 15
The United Kingdom Small Company Portfolio.............. 16
The Continental Small Company Portfolio................. 16
The DFA International Small Cap Value Portfolio......... 17
The Emerging Markets Portfolio.......................... 35
The Emerging Markets Small Cap Portfolio................ 35
The DFA One-Year Fixed Income Portfolio................. 35
The DFA Two-Year Global Fixed Income Portfolio.......... 35
The DFA Five-Year Government Portfolio.................. 36
The DFA Five-Year Global Fixed Income Portfolio......... 37
The DFA Intermediate Government Fixed Income
Portfolio.............................................. 39
Statements of Assets and Liabilities........................ 40
Statements of Operations.................................... 43
Statements of Changes in Net Assets......................... 49
Financial Highlights........................................ 55
Notes to Financial Statements............................... 66
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Statement of Assets and Liabilities......................... 75
Statement of Operations..................................... 76
Statements of Changes in Net Assets......................... 77
Financial Highlights........................................ 78
Notes to Financial Statements............................... 79
</TABLE>
ii
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Schedules of Investments
The U.S. Large Company Series........................... 81
The Enhanced U.S. Large Company Series.................. 86
The U.S. Large Cap Value Series......................... 88
The U.S. 4-10 Value Series.............................. 91
The U.S. 6-10 Value Series.............................. 97
The U.S. 6-10 Small Company Series...................... 115
The U.S. 9-10 Small Company Series...................... 146
The DFA International Value Series...................... 170
The Japanese Small Company Series....................... 177
The Pacific Rim Small Company Series.................... 184
The United Kingdom Small Company Series................. 193
The Continental Small Company Series.................... 199
The Emerging Markets Series............................. 210
The Emerging Markets Small Cap Series................... 216
The DFA One-Year Fixed Income Series.................... 225
The DFA Two-Year Global Fixed Income Series............. 227
Statements of Assets and Liabilities........................ 229
Statements of Operations.................................... 231
Statements of Changes in Net Assets......................... 234
Financial Highlights........................................ 238
Notes to Financial Statements............................... 245
</TABLE>
iii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. LARGE COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA
Investment Trust Company.................................. $1,095,690,151
--------------
Total Investments (100%) (Cost $751,509,481) ++......... $1,095,690,151
==============
</TABLE>
--------------
++The cost for federal income tax purposes is $760,699,342.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The Enhanced U.S. Large Company Series of The
DFA Investment Trust Company.............................. $100,652,314
------------
Total Investments (100%) (Cost $98,671,844) ++.......... 8,744,771 $100,652,314
============
</TABLE>
--------------
++The cost for federal income tax purposes is $101,614,885.
THE U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $1,262,222,834
--------------
Total Investments (100%) (Cost $1,210,146,963) ++....... 86,041,093 $1,262,222,834
==============
</TABLE>
--------------
++The cost for federal income tax purposes is $1,244,826,260.
THE U.S. 4-10 VALUE PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. 4-10 Value Series of The DFA
Investment Trust Company.................................. $2,358,994
----------
Total Investments (100%) (Cost $2,253,324) ++........... 262,402 $2,358,994
==========
</TABLE>
--------------
++The cost for federal income tax purposes is $2,253,324.
--------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 VALUE PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. 6-10 Value Series of The DFA
Investment Trust Company.................................. $2,674,191,126
--------------
Total Investments (100%) (Cost $2,388,508,612) ++....... 162,268,879 $2,674,191,126
==============
</TABLE>
--------------
++The cost for federal income tax purposes is $2,462,311,579.
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA
Investment Trust Company.................................. $451,764,022
------------
Total Investments (100%) (Cost $389,348,684) ++......... 37,995,292 $451,764,022
============
</TABLE>
--------------
++The cost for federal income tax purposes is $410,519,392.
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The U.S. 9-10 Small Company Series of The DFA
Investment Trust Company.................................. $1,429,465,731
--------------
Total Investments (100%) (Cost $1,203,015,593) ++....... 168,768,091 $1,429,465,731
==============
</TABLE>
--------------
++The cost for federal income tax purposes is $1,245,610,643.
--------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
2
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
Acadia Realty Trust................................... 38,300 $ 227,406
Aegis Realty, Inc..................................... 12,600 125,212
Agree Realty Corp..................................... 6,800 104,125
*Alexander's, Inc..................................... 8,200 552,987
Alexandria Real Estate Equities, Inc.................. 21,900 740,494
AMB Property Corp..................................... 133,700 3,008,250
American Industrial Properties........................ 28,300 357,287
*American Realty Trust, Inc........................... 16,900 270,400
AMLI Residential Properties Trust..................... 26,500 604,531
Apartment Investment & Management Co. Class A......... 102,200 4,094,387
Archstone Communities Trust........................... 212,500 4,767,969
Arden Realty Group, Inc............................... 97,900 2,251,700
Asset Investors Corp.................................. 8,900 104,019
Associated Estates Realty Corp........................ 30,700 199,550
AvalonBay Communities, Inc............................ 101,500 4,034,625
Banyan Strategic Realty Trust......................... 22,400 121,800
Bedford Property Investors, Inc....................... 30,200 537,937
BNP Residential Properties, Inc....................... 8,800 72,600
Boston Properties, Inc................................ 105,400 3,682,412
Boykin Lodging Trust, Inc............................. 26,600 369,075
Bradley Real Estate, Inc.............................. 34,500 741,750
Brandywine Realty Trust............................... 57,200 1,011,725
BRE Properties, Inc. Class A.......................... 69,300 1,866,769
Burnham Pacific Properties, Inc....................... 49,500 318,656
Cabot Industrial Trust................................ 62,800 1,216,750
Camden Property Trust................................. 60,600 1,700,587
Capital Automotive REIT............................... 31,800 456,131
Captec Net Lease Realty, Inc.......................... 14,700 162,159
Carramerica Realty Corp............................... 104,600 2,615,000
CBL & Associates Properties, Inc...................... 38,400 931,200
Center Trust, Inc..................................... 40,300 254,394
Centerpoint Properties Corp........................... 29,700 1,089,619
Chateau Communities, Inc.............................. 43,600 1,182,650
Chelsea GCA Realty, Inc............................... 24,600 831,787
Colonial Properties Trust............................. 34,100 888,731
Commercial Net Lease Realty, Inc...................... 46,900 504,175
Cornerstone Properties, Inc........................... 199,200 3,585,600
Cornerstone Realty Income Trust, Inc.................. 59,000 593,687
Corporate Office Properties Trust..................... 27,600 239,775
Cousins Properties, Inc............................... 49,900 1,911,794
Crescent Real Estate Equities, Inc.................... 187,700 3,836,119
Crown American Realty Trust........................... 40,600 218,225
Developers Diversified Realty Corp.................... 89,300 1,289,269
Duke Realty Investments, Inc.......................... 197,600 4,260,750
Eastgroup Properties, Inc............................. 23,800 511,700
Entertainment Properties Trust........................ 22,900 312,012
Equity Inns, Inc...................................... 56,500 377,844
Equity Office Properties Trust........................ 380,100 10,096,406
Equity Residential Properties Corp.................... 197,000 8,791,125
Essex Property Trust.................................. 28,500 1,134,656
Federal Realty Investment Trust....................... 61,700 1,353,544
Felcor Lodging Trust, Inc............................. 93,900 1,930,819
First Industrial Realty Trust, Inc.................... 58,100 1,688,531
First Union Real Estate Equity & Mortgage
Investments......................................... 66,500 170,406
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
First Washington Realty Trust, Inc.................... 15,500 $ 321,625
Franchise Financial Corp.............................. 86,400 1,949,400
Franklin Select Realty Trust Class A.................. 16,800 7,602
Gables Residential Trust.............................. 38,000 935,750
General Growth Properties............................. 79,100 2,501,537
Glenborough Realty Trust, Inc......................... 46,400 719,200
Glimcher Realty Trust................................. 36,200 488,700
Golf Trust America, Inc............................... 13,000 212,062
Great Lakes Reit, Inc................................. 25,300 425,356
Grove Property Trust.................................. 11,700 167,456
Highwood Properties, Inc.............................. 92,800 2,233,000
*HMG Courtland Properties, Inc........................ 1,100 7,700
Home Properties of New York, Inc...................... 30,700 874,950
Hospitality Properties Trust.......................... 86,200 1,982,600
*Host Funding, Inc.................................... 2,800 3,850
Humphrey Hospitality Trust............................ 17,200 135,719
*Imperial Parking Corp................................ 2,975 43,137
Income Opportunity Realty Investors, Inc.............. 2,300 15,309
Innkeepers USA Trust.................................. 54,000 486,000
IRT Property Co....................................... 49,400 398,287
Jameson Inns, Inc..................................... 17,600 121,000
JDN Realty Corp....................................... 52,600 562,163
JP Realty, Inc........................................ 24,400 440,725
Keystone Property Trust............................... 12,800 170,400
Kilroy Realty Corp.................................... 39,900 912,713
Kimco Realty Corp..................................... 92,700 3,754,350
Koger Equity, Inc..................................... 41,300 738,238
Konover Property Trust, Inc........................... 46,600 262,125
Kranzco Realty Trust, Inc............................. 16,200 147,825
Lasalle Hotel Properties Trust........................ 27,500 385,000
Lexington Corporate Properties Trust.................. 26,100 287,100
Liberty Property Trust................................ 102,500 2,562,500
Macerich Co........................................... 52,200 1,138,613
Mack-California Realty Corp........................... 90,900 2,454,300
Malan Realty Investors, Inc........................... 7,900 111,588
Manufactured Home Communities, Inc.................... 35,000 844,375
*Maxus Realty Trust Inc............................... 700 4,988
Meristar Hospitality Corp............................. 74,000 1,406,000
*MGI Properties....................................... 21,200 49,025
Mid-America Apartment Communities, Inc................ 27,500 644,531
Mid-Atlantic Realty Trust............................. 22,000 214,500
Mills Corp............................................ 36,600 647,363
Mission West Properties, Inc.......................... 41,500 383,875
Monmouth Real Estate Investment Corp. Class A......... 12,900 64,097
National Golf Properties, Inc......................... 18,600 376,650
New Plan Excel Realty Trust, Inc...................... 134,900 1,863,306
One Liberty Properties, Inc........................... 3,900 45,338
Pacific Gulf Properties, Inc.......................... 31,600 730,750
Pan Pacific Retail Properties, Inc.................... 34,200 684,000
Parkway Properties, Inc............................... 15,100 454,888
Pennsylvania Real Estate Investment Trust............. 21,000 366,188
Philips International Realty Corp..................... 11,500 195,500
</TABLE>
3
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Post Properties, Inc.................................. 59,900 $ 2,628,113
Prentiss Properties Trust............................. 55,100 1,322,400
Prime Group Realty Trust.............................. 23,300 355,325
Prime Retail, Inc..................................... 66,300 103,594
Prologis Trust........................................ 248,800 5,147,050
PS Business Parks, Inc................................ 36,000 859,500
Public Storage, Inc................................... 193,200 4,310,775
Ramco-Gershenson Properties Trust..................... 11,000 165,000
Realty Income Corp.................................... 41,000 968,625
Reckson Associates Realty Corp........................ 61,900 1,357,931
Reckson Associates Realty Corp........................ 9,801 223,585
Regency Realty Corp................................... 86,100 1,813,481
RFS Hotel Investors, Inc.............................. 37,400 448,800
Roberts Realty Investment............................. 7,400 50,875
Rouse Co.............................................. 107,700 2,578,069
Saul Centers, Inc..................................... 20,800 326,300
Senior Housing Properties Trust....................... 39,800 370,638
Shurgard Storage Centers, Inc. Class A................ 45,600 1,045,950
Simon Property Group, Inc............................. 261,600 6,409,200
Sizeler Property Investors, Inc....................... 12,000 86,250
SL Green Realty Corp.................................. 37,100 899,675
Smith (Charles E.) Residential Realty, Inc............ 31,700 1,198,656
Sovran Self Storage, Inc.............................. 19,500 404,625
Spieker Properties, Inc............................... 99,100 4,601,956
*Stonehaven Realty Trust.............................. 3,600 9,900
Storage USA, Inc...................................... 42,700 1,283,669
Summit Properties, Inc................................ 40,300 856,375
Sun Communities, Inc.................................. 27,200 880,600
Tanger Factory Outlet Centers, Inc.................... 12,000 279,750
Tarragon Realty Investors, Inc........................ 6,107 62,788
Taubman Centers, Inc.................................. 81,200 883,050
Town & Country Trust.................................. 24,300 397,913
Transcontinental Realty Investors, Inc................ 13,900 147,688
U.S. Restaurant Properties, Inc....................... 23,600 236,000
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
United Dominion Realty Trust, Inc..................... 157,200 $ 1,689,900
United Mobile Homes, Inc.............................. 11,300 90,400
Urban Shopping Centers, Inc........................... 27,100 907,850
Urstadt Biddle Properties Class A..................... 5,100 36,338
Urstadt Biddle Properties, Inc........................ 9,000 65,813
Vornado Realty Trust.................................. 132,700 4,636,206
Washington Real Estate Investment Trust............... 54,400 918,000
Weingarten Realty Investors........................... 40,800 1,660,050
Western Properties Trust.............................. 26,300 289,300
Westfield America, Inc................................ 106,400 1,582,700
Winston Hotels, Inc................................... 26,000 196,625
*Wyndham International, Inc........................... 13,504 25,320
------------
TOTAL COMMON STOCKS
(Cost $175,259,457).................................. 176,046,973
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
6.125%, 07/31/00, valued at $1,831,830) to be
repurchased at $1,804,298.
(Cost $1,804,000)................................... $ 1,804 1,804,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $177,063,457)++.... $177,850,973
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $177,067,238.
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (25.3%)
COMMON STOCKS -- (25.3%)
Acom Co., Ltd......................................... 5,000 $ 367,309
Advantest Corp........................................ 3,670 773,708
Ajinomoto Co., Inc.................................... 24,000 290,429
*All Nippon Airways Co., Ltd.......................... 24,000 58,175
Alps Electric Co., Ltd................................ 6,000 93,336
Amada Co., Ltd........................................ 10,000 86,371
Amano Corp............................................ 3,000 25,215
Aoyama Trading Co., Ltd............................... 2,600 31,029
*Arabian Oil Co., Ltd................................. 1,000 3,455
Asahi Bank, Ltd....................................... 104,000 462,651
Asahi Breweries, Ltd.................................. 18,000 223,506
Asahi Chemical Industry Co., Ltd...................... 53,000 329,789
Asahi Glass Co., Ltd.................................. 43,000 398,950
Asatsu-Dk, Inc........................................ 1,700 55,417
*Ashikaga Bank, Ltd................................... 23,000 46,993
Autobacs Seven Co., Ltd............................... 1,000 29,162
Bank of Fukuoka, Ltd.................................. 21,000 138,667
Bank of Tokyo-Mitsubishi, Ltd......................... 172,200 2,158,996
Bank of Yokohama, Ltd................................. 38,000 162,340
*Benesse Corp......................................... 1,000 66,218
Bridgestone Corp...................................... 31,000 708,242
Brother Industries, Ltd............................... 6,000 14,265
CSK Corp.............................................. 1,900 58,407
Canon, Inc............................................ 32,000 1,474,065
Casio Computer Co., Ltd............................... 9,000 86,092
Chiba Bank, Ltd....................................... 16,000 69,543
Chubu Electric Power Co., Ltd......................... 14,100 247,233
Chugai Pharmaceutical Co., Ltd........................ 9,000 154,214
Chugoku Electric Power Co., Ltd....................... 6,600 95,927
Chuo Mitsui Trust and Banking Co., Ltd................ 27,400 110,185
Citizen Watch Co., Ltd................................ 10,000 85,907
Cosmo Oil Co., Ltd.................................... 15,000 20,896
Credit Saison Co., Ltd................................ 5,100 102,545
Dai Nippon Ink & Chemicals, Inc....................... 29,000 129,547
Dai Nippon Printing Co., Ltd.......................... 28,000 477,697
*Dai Nippon Screen Mfg. Co., Ltd...................... 4,000 31,205
Daicel Chemical Industries, Ltd....................... 7,000 20,673
*Daiei, Inc........................................... 24,000 73,109
*Daifuku Co., Ltd..................................... 3,000 26,246
Dai-Ichi Pharmaceutical Co., Ltd...................... 10,000 185,280
Daikin Industries, Ltd................................ 9,000 179,289
Daimaru, Inc.......................................... 5,000 14,256
Daito Trust Construction Co., Ltd..................... 4,600 87,578
Daiwa Bank, Ltd....................................... 76,000 192,691
Daiwa House Industry Co., Ltd......................... 19,000 140,989
Daiwa Securities Co., Ltd............................. 49,000 596,146
Denki Kagaku Kogyo KK................................. 16,000 52,900
Denso Corp............................................ 33,000 749,338
East Japan Railway Co................................. 147 838,244
Ebara Corp............................................ 11,000 113,397
Elsai Co., Ltd........................................ 10,000 215,463
Fanuc, Ltd............................................ 8,800 767,420
Fuji Bank, Ltd........................................ 127,000 982,502
Fuji Photo Film Co., Ltd.............................. 19,000 663,478
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Fuji Soft ABC, Inc................................... 1,000 $ 49,036
Fujikura, Ltd......................................... 9,000 42,795
Fujita Kanko, Inc..................................... 2,000 10,587
Fujitsu, Ltd.......................................... 72,000 2,039,470
Furukawa Electric Co., Ltd............................ 24,000 343,255
Gunma Bank, Ltd....................................... 16,000 87,225
Gunze, Ltd............................................ 8,000 23,924
Hankyu Corp........................................... 18,000 57,506
Hankyu Department Stores, Inc......................... 3,000 14,794
*Hanwa Co., Ltd....................................... 2,000 1,839
Higo Bank, Ltd........................................ 5,000 18,482
Hirose Electric Co., Ltd.............................. 1,400 196,201
*Hitachi Zosen Corp................................... 17,000 14,209
Hitachi, Ltd.......................................... 123,000 1,523,863
*Hokuriku Bank, Ltd................................... 23,000 53,188
Honda Motor Co., Ltd.................................. 36,000 1,186,904
House Foods Corp...................................... 4,000 59,401
Hoya Corp............................................. 4,000 371,117
Inax Corp............................................. 6,000 34,270
Industrial Bank of Japan.............................. 97,120 757,657
Isetan Co., Ltd....................................... 6,000 58,844
*Ishihara Sangyo Kaisha, Ltd.......................... 12,000 17,943
*Ishikawajima-Harima Heavy Industries Co., Ltd........ 32,000 49,334
*Itochu Corp.......................................... 48,000 193,917
Itoham Foods, Inc..................................... 5,000 20,525
Ito-Yokado Co., Ltd................................... 15,000 890,178
*JGC Corp............................................. 8,000 23,032
Japan Air Lines Co., Ltd.............................. 65,000 196,192
*Japan Energy Corp.................................... 21,000 19,503
Joyo Bank, Ltd........................................ 27,000 105,066
Jusco Co., Ltd........................................ 12,000 205,842
Kajima Corp........................................... 32,000 79,647
Kamigumi Co., Ltd..................................... 10,000 47,829
Kandenko Co., Ltd..................................... 3,000 11,145
*Kanebo, Ltd.......................................... 11,000 23,190
Kaneka Corp........................................... 12,000 123,594
Kansai Electric Power Co., Inc........................ 36,200 623,981
Kao Corp.............................................. 22,000 668,121
Katokichi Co., Ltd.................................... 2,000 50,151
*Kawasaki Heavy Industries, Ltd....................... 51,000 66,784
*Kawasaki Kisen Kaisha, Ltd........................... 11,000 17,265
*Kawasaki Steel Corp.................................. 110,000 166,520
Keihin Electric Express Railway Co., Ltd.............. 13,000 47,328
Kikkoman Corp......................................... 6,000 42,071
Kinden Corp........................................... 9,000 48,897
Kinki Nippon Railway Co., Ltd......................... 55,000 219,642
Kirin Brewery Co., Ltd................................ 37,000 446,714
Kissei Pharmaceutical Co., Ltd........................ 1,000 16,206
*Kobe Steel, Ltd...................................... 42,000 29,645
Kokuyo Co., Ltd....................................... 4,000 59,810
Komatsu, Ltd.......................................... 32,000 197,037
Komori Corp........................................... 2,000 31,521
Konami Co., Ltd....................................... 3,700 195,867
Konica Corp........................................... 10,000 61,296
Koyo Seiko Co......................................... 4,000 27,862
</TABLE>
5
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kubota Corp........................................... 47,000 $ 165,869
Kuraray Co., Ltd...................................... 12,000 124,820
Kureha Chemical Industry Co., Ltd..................... 8,000 20,803
Kurita Water Industries, Ltd.......................... 4,000 83,956
Kyocera Corp.......................................... 7,000 1,162,386
*Kyowa Exeo Corp...................................... 3,000 28,558
Kyowa Hakko Kogyo Co., Ltd............................ 16,000 145,623
Kyushu Electric Power Co., Inc........................ 8,500 112,018
Lion Corp............................................. 5,000 21,314
*Makino Milling Machine Co., Ltd...................... 3,000 27,165
Makita Corp........................................... 4,000 38,003
*Marubeni Corp........................................ 50,000 132,807
Marui Co., Ltd........................................ 13,000 238,449
Matsushita Communication Industrial Co., Ltd.......... 1,000 107,732
Matsushita Electric Industrial Co., Ltd............... 76,000 1,796,331
Matsushita Electric Works, Ltd........................ 14,000 160,316
Meiji Milk Products Co., Ltd.......................... 10,000 49,965
Meiji Seika Kaisha, Ltd. Tokyo........................ 13,000 84,514
Meitec Corp........................................... 1,000 36,777
Minebea Co., Ltd...................................... 13,000 153,694
Mitsubishi Chemical Corp.............................. 80,000 312,793
Mitsubishi Corp....................................... 57,000 473,257
Mitsubishi Electric Corp.............................. 79,000 776,243
Mitsubishi Estate Co., Ltd............................ 48,000 564,811
Mitsubishi Gas Chemical Co., Inc...................... 18,000 46,640
Mitsubishi Heavy Industries, Ltd...................... 124,000 430,703
Mitsubishi Logistics Corp............................. 4,000 31,948
*Mitsubishi Materials Corp............................ 41,000 136,318
Mitsubishi Rayon Co. Ltd.............................. 23,000 60,664
Mitsubishi Trust & Banking Corp....................... 48,000 387,834
Mitsui & Co., Ltd..................................... 58,000 407,764
*Mitsui Engineering and Shipbuilding Co., Ltd......... 17,000 12,788
Mitsui Fudosan Co., Ltd............................... 30,000 309,542
Mitsui Marine & Fire Insurance Co., Ltd............... 28,000 148,484
Mitsui Mining and Smelting Co., Ltd................... 18,000 119,025
Mitsui O.S.K. Lines, Ltd.............................. 28,000 57,209
*Mitsukoshi, Ltd...................................... 17,000 63,311
Mori Seiki Co., Ltd................................... 2,000 29,719
Murata Manufacturing Co., Ltd......................... 8,000 1,344,787
Mycal Corp............................................ 7,000 21,193
NEC Corp.............................................. 60,000 1,521,244
NGK Insulators, Ltd................................... 12,000 124,820
NGK Spark Plug Co., Ltd............................... 7,000 81,978
*NKK Corp............................................. 63,000 40,371
NSK, Ltd.............................................. 20,000 153,982
NTN Corp.............................................. 14,000 45,767
Nagoya Railroad Co., Ltd.............................. 14,000 39,006
Namco, Ltd............................................ 1,500 37,892
Nichido Fire and Marine Insurance Co., Ltd............ 10,000 51,080
Nichiei Co., Ltd...................................... 2,100 37,056
Nichirei Corp......................................... 7,000 20,543
*Nidec Corp........................................... 2,000 150,453
Nikko Securities Co., Ltd............................. 24,000 222,447
Nikon Corp............................................ 13,000 358,579
Nintendo Co., Ltd., Kyoto............................. 5,200 778,008
Nippon COMSYS Corp.................................... 5,000 93,104
*Nippon Credit Bank, Ltd.............................. 26,000 0
Nippon Express Co., Ltd............................... 39,000 217,321
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Nippon Fire and Marine Insurance Co., Ltd............. 13,000 $ 36,099
Nippon Meat Packers, Inc., Osaka...................... 8,000 108,475
Nippon Mitsubishi Oil Company......................... 50,000 204,783
Nippon Paper Industries Co., Ltd...................... 32,000 210,708
Nippon Sheet Glass Co., Ltd........................... 16,000 144,880
Nippon Shinpan Co., Ltd............................... 6,000 12,315
Nippon Shokubai Co., Ltd.............................. 4,000 18,389
Nippon Steel Corp..................................... 251,000 550,137
Nippon Telegraph & Telephone Corp..................... 1,172 6,966,145
Nippon Yusen KK....................................... 41,000 176,680
Nishimatsu Construction Co., Ltd...................... 10,000 35,849
*Nissan Motor Co., Ltd................................ 147,000 771,349
Nisshin Flour Milling Co., Ltd........................ 9,000 81,913
Nisshinbo Industries, Inc............................. 5,000 22,754
Nissin Food Products Co., Ltd......................... 4,000 100,302
Nitto Denko Corp...................................... 6,000 253,541
Nomura Securities Co., Ltd............................ 72,000 1,651,636
Noritake Co., Ltd..................................... 4,000 18,203
Obayashi Corp......................................... 22,000 83,771
Odakyu Electric Railway Co., Ltd...................... 13,000 41,170
Oji Paper Co., Ltd.................................... 35,000 225,586
Okumura Corp.......................................... 5,000 15,092
Olympus Optical Co., Ltd.............................. 8,000 137,451
Omron Corp............................................ 9,000 229,440
Onward Kashiyama Co., Ltd............................. 6,000 80,241
*Orient Corp.......................................... 12,000 54,720
Oriental Land Co., Ltd................................ 3,000 298,676
Orix Corp............................................. 2,760 408,841
Osaka Gas Co., Ltd.................................... 85,000 216,299
Pioneer Electronic Corp............................... 6,000 183,329
Promise Co., Ltd...................................... 4,000 336,197
Q.P. Corp............................................. 3,000 23,209
Ricoh Co., Ltd., Tokyo................................ 5,000 104,481
Rohm Co., Ltd......................................... 4,000 1,266,774
SMC Corp.............................................. 2,600 456,132
Sakura Bank, Ltd...................................... 151,000 1,117,687
Sanden Corp........................................... 3,000 17,692
Sankyo Co., Ltd....................................... 16,000 369,259
Sanrio Co., Ltd....................................... 2,000 53,494
Sanwa Shutter Corp.................................... 4,000 12,631
Sanyo Electric Co., Ltd............................... 69,000 510,090
Sapporo Breweries, Ltd................................ 11,000 42,396
Secom Co., Ltd........................................ 8,000 542,373
Sega Enterprises, Ltd................................. 3,200 47,848
Seibu Railway Co., Ltd................................ 8,000 103,274
Seino Transportation Co., Ltd......................... 3,000 13,708
*Seiyu, Ltd........................................... 4,000 16,308
Sekisui Chemical Co., Ltd............................. 20,000 68,725
Sekisui House, Ltd.................................... 24,000 233,592
Seven-Eleven Japan Co., Ltd........................... 14,000 1,239,099
Seventy-seven (77) Bank, Ltd.......................... 13,000 118,923
Sharp Corp. Osaka..................................... 41,000 738,704
Shikoku Electric Power Co., Inc....................... 4,200 52,346
Shimachu Co., Ltd..................................... 1,000 16,698
Shimamura Co., Ltd.................................... 1,200 125,377
Shimano, Inc.......................................... 4,000 89,529
Shimizu Corp.......................................... 24,000 56,838
Shin-Etsu Chemical Co., Ltd........................... 15,000 735,546
Shionogi & Co., Ltd................................... 11,000 174,692
Shiseido Co., Ltd..................................... 15,000 206,455
Shizuoka Bank, Ltd.................................... 27,000 255,268
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*Showa Denko KK....................................... 38,000 $ 45,173
Showa Shell Sekiyu KK................................. 9,000 36,944
Skylark Co., Ltd...................................... 4,000 140,051
Snow Brand Milk Products Co., Ltd..................... 10,000 50,151
*Softbank Corp........................................ 3,600 551,660
*Softbank Corp. Issue 2000............................ 7,200 1,079,916
Sony Corp............................................. 30,200 2,734,617
Sumitomo Bank, Ltd.................................... 116,000 1,521,169
Sumitomo Chemical Co., Ltd............................ 60,000 289,761
Sumitomo Corp......................................... 39,000 362,201
Sumitomo Electric Industries, Ltd..................... 27,000 393,685
Sumitomo Forestry Co., Ltd............................ 3,000 18,667
*Sumitomo Heavy Industries, Ltd....................... 17,000 44,049
Sumitomo Marine & Fire Insurance Co., Ltd............. 23,000 144,184
*Sumitomo Metal Industries, Ltd. Osaka................ 123,000 84,532
*Sumitomo Metal Mining Co., Ltd....................... 19,000 80,288
*Sumitomo Osaka Cement Co., Ltd....................... 14,000 54,609
TDK Corp.............................................. 1,000 123,148
Taiheiyo Cement Corp.................................. 23,000 34,391
Taisei Corp........................................... 24,000 32,988
Taisho Pharmaceutical Co., Ltd........................ 12,000 366,659
Taiyo Yuden Co., Ltd.................................. 4,000 303,877
Takara Shuzo Co., Ltd................................. 8,000 178,314
*Takara Standard Co., Ltd............................. 3,000 12,398
Takashimaya Co., Ltd.................................. 9,000 81,077
Takeda Chemical Industries, Ltd....................... 32,000 2,184,350
*Takefuji Corp........................................ 5,000 529,371
Takuma Co., Ltd....................................... 2,000 16,958
Teijin, Ltd........................................... 33,000 137,608
Teikoku Oil Co., Ltd.................................. 6,000 17,831
Terumo Corp........................................... 7,000 223,636
Tobu Railway Co., Ltd................................. 29,000 77,297
*Toda Corp............................................ 8,000 31,205
*Toei Co., Ltd........................................ 4,000 26,376
Toho Co., Ltd......................................... 600 100,915
Tohuku Electric Power Co., Inc........................ 17,000 213,141
Tokai Bank, Ltd....................................... 83,000 404,690
Tokio Marine & Fire Insurance Co., Ltd................ 57,000 622,010
Tokyo Broadcasting System, Inc........................ 6,000 222,893
*Tokyo Dome Corp...................................... 4,000 17,460
Tokyo Electric Power Co., Ltd......................... 50,000 1,249,129
Tokyo Electron, Ltd................................... 6,000 819,131
Tokyo Gas Co., Ltd.................................... 95,000 232,923
Tokyo Steel Manufacturing Co., Ltd.................... 3,700 11,821
Tokyo Style Co., Ltd.................................. 2,000 18,017
Tokyu Corp............................................ 40,000 176,085
Toppan Printing Co., Ltd.............................. 25,000 265,150
Toray Industries, Inc................................. 47,000 178,964
Toshiba Corp.......................................... 119,000 1,149,384
*Tosoh Corp........................................... 22,000 109,515
Tostem Corp........................................... 7,000 115,393
Toto, Ltd............................................. 13,000 87,411
Toyo Information System Co., Ltd...................... 1,000 53,959
Toyo Seikan Kaisha, Ltd............................... 7,300 129,017
Toyo Trust & Banking Co., Ltd......................... 12,000 40,566
Toyobo Co., Ltd....................................... 14,000 22,754
Toyoda Automatic Loom Works, Ltd...................... 6,000 128,163
Toyota Motor Corp..................................... 139,000 6,312,604
Tsubakimoto Chain Co.................................. 4,000 18,686
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UNY Co., Ltd.......................................... 7,000 $ 86,334
*Ube Industries, Ltd.................................. 28,000 63,190
Uni-Charm Corp........................................ 2,000 117,019
Wacoal Corp........................................... 4,000 33,545
*World Co., Ltd....................................... 1,000 39,006
Yakult Honsha Co., Ltd................................ 4,000 43,464
Yamaguchi Bank........................................ 3,000 19,810
Yamaha Corp........................................... 7,000 63,710
Yamanouchi Pharmaceutical Co., Ltd.................... 13,000 592,802
Yamato Transport Co., Ltd............................. 16,000 373,717
Yamazaki Baking Co., Ltd.............................. 6,000 55,445
*Yasuda Trust & Banking Co., Ltd...................... 66,000 81,523
Yokogawa Electric Corp................................ 7,000 58,509
------------
TOTAL COMMON STOCKS
(Cost $80,782,383)................................... 90,755,806
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $9,975)....................................... 9,992
------------
TOTAL -- JAPAN
(Cost $80,792,358)................................... 90,765,798
------------
UNITED KINGDOM -- (18.9%)
COMMON STOCKS -- (18.9%)
*3I Group P.L.C....................................... 21,000 397,381
Abbey National P.L.C.................................. 50,600 672,745
Airtours P.L.C........................................ 17,000 91,476
Allied Zurich P.L.C................................... 55,499 622,158
Amec P.L.C............................................ 5,000 16,703
Amvescap P.L.C........................................ 24,000 314,604
Anglian Water P.L.C................................... 9,793 81,385
Arjo Wiggins Appleton P.L.C........................... 28,200 106,325
*Arm Holdings P.L.C................................... 30,000 265,459
Associated British Foods P.L.C........................ 20,720 136,733
BAA P.L.C............................................. 37,807 275,769
BBA Group P.L.C....................................... 12,298 79,961
*BG Group P.L.C....................................... 123,980 743,105
BOC Group P.L.C....................................... 11,178 157,053
BP Amoco P.L.C........................................ 697,689 6,345,656
BPB P.L.C............................................. 10,400 57,516
Barclays P.L.C........................................ 53,822 1,398,986
Barratt Developments P.L.C............................ 4,000 13,811
*Bass P.L.C........................................... 31,228 341,205
Berkeley Group P.L.C.................................. 2,300 19,217
*Blue Circle Industries P.L.C......................... 47,639 302,982
Boots Co., P.L.C...................................... 30,086 250,480
British Aerospace P.L.C............................... 105,245 659,914
British Airways P.L.C................................. 36,000 194,789
British American Tobacco P.L.C........................ 77,499 452,926
British Land Co. P.L.C................................ 17,300 103,433
*British Sky Broadcasting Group P.L.C................. 61,000 1,116,915
British Telecommunications P.L.C...................... 233,711 3,384,987
Bunzl P.L.C........................................... 16,190 77,437
Burmah Castrol P.L.C.................................. 7,481 184,277
CGU P.L.C............................................. 47,198 716,756
Cable and Wireless P.L.C.............................. 68,658 1,144,248
Cadbury Schweppes P.L.C............................... 73,082 486,099
*Canary Wharf Group P.L.C............................. 21,000 112,215
Capita Group P.L.C.................................... 7,000 156,420
Caradon P.L.C......................................... 9,000 21,322
Carillion P.L.C....................................... 4,425 7,044
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Carlton Communications P.L.C.......................... 16,501 $ 195,832
*Celltech P.L.C....................................... 8,000 116,228
Centrica P.L.C........................................ 141,600 512,192
Cobham P.L.C.......................................... 1,540 21,200
Compass Group P.L.C................................... 24,000 268,687
*Corus Group P.L.C.................................... 104,184 152,609
De la Rue P.L.C....................................... 4,250 21,598
Diageo P.L.C.......................................... 123,369 1,054,766
*Dixons Group P.L.C................................... 58,869 278,493
EMI Group P.L.C....................................... 27,688 235,482
Electrocomponents P.L.C............................... 14,117 138,631
*Elementis P.L.C...................................... 11,213 13,576
FKI P.L.C............................................. 19,000 57,935
GKN P.L.C............................................. 25,254 348,029
Glaxo Wellcome P.L.C.................................. 129,619 3,661,715
Granada Group P.L.C................................... 65,679 582,150
Great Portland Estates P.L.C.......................... 6,900 22,947
Great Universal Stores P.L.C.......................... 33,600 208,672
HSBC Holdings P.L.C................................... 311,563 3,436,816
Halifax P.L.C......................................... 79,950 785,721
Hammerson P.L.C....................................... 7,500 46,186
Hanson P.L.C.......................................... 23,200 164,543
Hays P.L.C............................................ 61,000 341,913
*Hepworth P.L.C....................................... 6,000 18,116
Hilton Group P.L.C.................................... 53,300 196,779
Hyder P.L.C........................................... 2,090 9,497
IMI P.L.C............................................. 9,000 36,725
Imperial Chemical Industries P.L.C.................... 25,900 207,500
Invensys P.L.C........................................ 123,449 424,394
Jarvis P.L.C.......................................... 3,000 7,130
Johnson Matthey P.L.C................................. 7,000 80,041
Kingfisher P.L.C...................................... 48,531 448,293
Laird Group P.L.C..................................... 3,700 12,084
Land Securities P.L.C................................. 18,000 212,546
Lasmo P.L.C........................................... 47,800 85,021
Legal and General Group P.L.C......................... 182,000 457,019
Lex Service P.L.C..................................... 2,500 15,507
Lloyds TSB Group P.L.C................................ 199,481 2,158,709
Logica P.L.C.......................................... 14,290 382,117
London Bridge Software Holdings P.L.C................. 5,000 46,709
Lonmin P.L.C.......................................... 3,491 32,352
MEPC P.L.C............................................ 11,088 72,922
Marconi P.L.C......................................... 96,181 1,157,282
Marks & Spencer P.L.C................................. 102,268 380,621
Misys P.L.C........................................... 20,060 173,006
National Grid Group P.L.C............................. 52,000 400,281
*National Power P.L.C................................. 40,002 219,732
*Newco, Ltd........................................... 7,000 31,389
Next P.L.C............................................ 10,630 99,304
*Nycomed Amersham P.L.C............................... 21,000 180,956
Ocean Group P.L.C..................................... 4,523 82,140
Pearson P.L.C......................................... 22,217 669,468
Peninsular & Oriental Steam Navigation Co............. 23,417 245,360
Pilkington P.L.C...................................... 39,089 48,202
Provident Financial P.L.C............................. 9,000 94,839
Prudential Corp. P.L.C................................ 69,498 1,050,733
Psion P.L.C........................................... 10,000 81,910
RMC Group P.L.C....................................... 8,000 100,563
Racal Electronics P.L.C............................... 9,764 64,944
*Railtrack Group P.L.C................................ 16,357 205,370
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Rank Group P.L.C...................................... 16,000 $ 33,720
Reed International P.L.C.............................. 38,000 251,050
Rentokill Initial P.L.C............................... 101,000 226,447
Reuters Holdings Group P.L.C.......................... 50,640 753,888
Rexam P.L.C........................................... 13,401 47,072
Rio Tinto P.L.C....................................... 38,568 568,982
Rolls-Royce P.L.C..................................... 41,458 152,439
Royal & Sun Alliance Insurance Group P.L.C............ 41,171 244,922
*Royal Bank of Scotland Group P.L.C................... 86,176 1,416,880
Safeway P.L.C......................................... 26,400 96,579
Sage Group P.L.C...................................... 45,100 437,160
Sainsbury (J.) P.L.C.................................. 64,361 293,411
Schroders P.L.C....................................... 7,000 112,267
Scottish & Newcastle P.L.C............................ 17,600 152,053
Scottish Hydro-Electric P.L.C......................... 24,000 187,077
Scottish Power P.L.C.................................. 65,000 514,924
*Sema Group P.L.C..................................... 15,000 208,959
Seton Healthcare Group P.L.C.......................... 5,000 53,772
Slough Estates P.L.C.................................. 13,800 74,050
*Smith and Nephew P.L.C............................... 32,000 85,138
Smithkline Beecham P.L.C.............................. 153,055 1,953,707
Smiths Industries P.L.C............................... 11,263 140,655
Spirent P.L.C......................................... 9,174 51,010
St. James Place Capital P.L.C......................... 11,000 41,515
*Stagecoach Holdings P.L.C............................ 51,008 45,745
TI Group P.L.C........................................ 18,000 99,547
Tate & Lyle P.L.C..................................... 12,900 48,300
Taylor Woodrow P.L.C.................................. 8,766 19,916
Tesco P.L.C........................................... 242,867 733,287
Thames Water P.L.C.................................... 11,769 141,081
Unigate P.L.C......................................... 5,800 26,528
Unilever P.L.C........................................ 103,628 683,464
United Utilities P.L.C................................ 18,400 173,541
Vodafone Group P.L.C.................................. 2,183,365 9,953,601
*WPP Group P.L.C...................................... 27,500 334,178
Williams P.L.C........................................ 24,000 136,317
*Wimpey (George) P.L.C................................ 8,100 13,499
*Wolseley P.L.C....................................... 19,516 99,034
Zeneca Group P.L.C.................................... 63,100 2,657,813
------------
TOTAL COMMON STOCKS
(Cost $55,844,452)................................... 67,628,502
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $9,952)....................................... 9,997
------------
TOTAL -- UNITED KINGDOM
(Cost $55,854,404)................................... 67,638,499
------------
FRANCE -- (11.0%)
COMMON STOCKS -- (11.0%)
AXA-UAP............................................... 15,266 2,236,922
Accor SA.............................................. 6,940 279,330
*Air Liquide.......................................... 650 90,723
Air Liquide Prime Fidelite............................ 2,076 285,686
Air Liquide Prime Fidelite 2002....................... 2,637 368,057
Alcatel............................................... 41,000 2,254,795
Altadis SA............................................ 3,800 55,153
Aventis............................................... 30,865 1,995,113
Banque Nationale de Paris............................. 17,869 1,603,318
Bouygues.............................................. 1,154 710,628
*Bouygues Em 00....................................... 63 38,678
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*CPR (Cie Parisienne de Reescompte)................... 400 $ 14,686
Canal Plus SA......................................... 4,982 942,546
Cap Gemini SA......................................... 3,050 568,261
Carrefour............................................. 27,150 1,909,826
Casino Guichard Perrachon............................. 3,200 283,414
Cie Generale d'Optique Essilor International SA....... 350 102,246
Club Mediterranee SA.................................. 500 62,600
Coflexip SA........................................... 600 69,778
Compagnie Francaise d'Etudes et de Construction
Technip SA.......................................... 500 51,842
*Credit National...................................... 800 54,902
Dassault Systemes SA.................................. 4,200 317,450
Eridania Beghin-Say SA................................ 800 72,968
EuraFrance, Paris..................................... 105 44,803
France Telecom SA..................................... 40,600 5,892,625
GTM Entrepose......................................... 400 33,386
Generale des Establissements Michelin SA Series B..... 5,309 174,787
Groupe Danone......................................... 2,896 674,394
*Groupement pour le Financement de la Construction
SA.................................................. 584 58,493
Imerys................................................ 600 74,007
L'Oreal............................................... 2,640 1,808,102
LVMH (Louis Vuitton Moet Hennessy).................... 3,867 1,567,916
LaFarge SA............................................ 3,933 302,740
Lagardere SCA......................................... 4,600 319,954
Legrand SA............................................ 600 122,807
Pechiney SA Series A.................................. 1,655 67,687
Pernod-Ricard SA...................................... 1,760 92,221
Peugeot SA............................................ 1,750 357,050
Pinault Printemps Redoute SA.......................... 4,700 1,005,574
*Publicis SA.......................................... 300 123,168
SEB SA................................................ 300 18,530
Saint-Gobain.......................................... 3,284 455,316
Sanofi Synthelabo..................................... 28,956 1,255,419
Schneider SA.......................................... 6,399 423,720
Sidel SA.............................................. 1,000 67,237
Simco SA.............................................. 600 44,404
Societe Generale, Paris............................... 16,328 936,572
Sodexho Alliance SA................................... 1,300 208,693
BIC................................................... 1,700 74,904
Suez Lyonnaise des Eaux SA............................ 7,854 1,311,088
Thomson-CSF........................................... 6,624 255,554
Total SA.............................................. 28,706 4,496,460
UNIBAIL (Union du Credit Bail Immobiliere )........... 400 51,489
Usinor................................................ 9,100 108,868
Valeo SA.............................................. 3,100 156,110
Vivendi SA............................................ 23,472 2,503,320
Zodiac SA............................................. 100 18,010
------------
TOTAL COMMON STOCKS
(Cost $27,316,154)................................... 39,474,330
------------
RIGHTS/WARRANTS -- (0.0%)
*Banque Nationale de Paris CVG Rights 07/15/02
(Cost $5,148)....................................... 1,521 7,053
------------
TOTAL -- FRANCE
(Cost $27,321,302)................................... 39,481,383
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GERMANY -- (9.5%)
COMMON STOCKS -- (9.5%)
AGIV AG fuer Industrie & Verkehrswesen................ 900 $ 16,025
AXA Colonia Konzern AG................................ 650 57,568
*Aachener und Muenchener Beteiligungs AG.............. 1,500 100,855
Adidas-Salomon AG..................................... 1,900 111,363
Allianz AG............................................ 10,400 3,782,765
*Aventis.............................................. 9,002 584,394
BASF AG............................................... 26,100 1,062,609
Bayer AG.............................................. 30,900 1,192,121
Bayerische Motorenwerke AG............................ 16,250 476,221
Bayerische Vereinsbank AG............................. 16,500 1,049,727
Beiersdorf AG......................................... 3,500 261,296
Bilfinger & Berger Bau AG, Mannheim................... 800 11,908
Buderus AG............................................ 1,400 22,981
Celanese AG........................................... 1,200 23,148
Commerzbank AG........................................ 8,490 311,403
Continental AG........................................ 5,300 96,584
DaimlerChrysler AG, Stuttgart......................... 42,452 2,338,584
Degussa-Huels AG...................................... 2,700 82,632
*Deutsche Bank AG..................................... 25,988 1,961,850
Deutsche Lufthansa AG................................. 16,150 386,421
Deutsche Telekom AG................................... 107,520 6,650,948
Douglas Holding AG.................................... 900 26,793
Dresdner Bank AG...................................... 21,880 882,684
Em TV & Merchandising AG.............................. 4,300 285,130
Fag Kugelfischer Georg Schaeffer AG................... 2,500 18,548
Fresenius Medical Care AG............................. 2,900 238,018
*Gehe AG.............................................. 3,000 99,325
Heidelberger Zement AG, Heidelberg.................... 2,300 134,807
Hochtief AG........................................... 2,210 69,992
Kamps AG, Duesseldorf................................. 1,800 47,743
Karstadt Quelle AG.................................... 1,500 50,358
Linde AG.............................................. 5,000 203,565
MAN AG................................................ 4,650 158,697
Merck KGAA............................................ 1,900 60,615
Metro AG.............................................. 12,840 431,064
Munchener Rueckversicherungs.......................... 7,300 2,132,563
Preussag AG........................................... 7,336 257,850
RWE AG................................................ 20,050 721,464
RWE AG................................................ 800 23,333
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung).................................. 2,500 1,045,647
*SGL Carbon AG........................................ 700 47,910
Schering AG........................................... 2,700 395,254
Siemens AG............................................ 25,200 3,657,492
Thyssen Krupp AG...................................... 21,800 384,130
Veba AG............................................... 21,300 1,067,094
Viag AG............................................... 15,496 307,540
Volkswagen AG......................................... 13,220 532,096
*Wcm Beteiligungs..................................... 7,406 206,737
------------
TOTAL -- GERMANY
(Cost $28,473,035)................................... 34,067,852
------------
SWITZERLAND -- (5.7%)
COMMON STOCKS -- (5.7%)
ABB, Ltd.............................................. 11,400 1,409,035
Adecco SA............................................. 656 515,515
*Alusuisse Lonza Group AG............................. 160 100,815
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<S> <C> <C>
Credit Suisse Holding, Zuerich (Namen)................ 10,339 $ 1,921,418
Financiere Richemont AG............................... 106 262,656
Fischer (Georg) AG, Schaffhausen (Namen).............. 70 22,095
Forbo Holding AG, Eglisau............................. 47 18,246
Holderbank Financiere Glarus AG, Glarus............... 303 353,770
Interallianz Bank AG, Zuerich......................... 110 29,982
Jelmoli Holding AG, Zuerich........................... 19 24,549
Kuoni Reisen Holding AG............................... 110 47,505
*Lonza Group AG, Zuerich.............................. 239 120,558
Moevenpick-Holding, Zuerich........................... 45 20,443
Nestle SA, Cham et Vevey.............................. 1,493 2,836,276
Novartis AG, Basel.................................... 2,740 4,025,157
Roche Holding AG, Basel............................... 79 918,177
Roche Holding, Ltd., Basel Genussch................... 250 2,625,384
SGS Societe Generale de Surveillance Holding SA....... 62 113,393
Sairgroup, Zuerich.................................... 437 80,311
Schindler Holding AG, Hergiswil....................... 21 32,460
Schindler Holding AG, Hergiswil Partizipsch........... 36 55,434
Schneizerische Rueckversicherangs-Gesellschaft........ 532 1,019,123
Sika Finanz AG, Baar.................................. 60 20,283
*Sulzer AG, Winterthur................................ 135 90,558
Swatch Group AG....................................... 123 149,850
Swatch Group AG (Namen)............................... 512 128,076
*Swisscom AG.......................................... 943 329,913
*UBS AG............................................... 16,320 2,192,862
Zurich Allied AG...................................... 1,808 885,339
------------
TOTAL COMMON STOCKS
(Cost $15,887,650)................................... 20,349,183
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,042)....................................... 1,038
------------
TOTAL -- SWITZERLAND
(Cost $15,888,692)................................... 20,350,221
------------
NETHERLANDS -- (4.9%)
COMMON STOCKS -- (4.9%)
ABN-AMRO Holding NV................................... 52,172 1,185,519
AKZO Nobel NV......................................... 9,900 375,607
Aegon NV.............................................. 46,816 1,678,513
Asr Verzekeringsgroep NV.............................. 411 21,155
*Baan Company NV...................................... 4,700 12,946
Buhrmann NV........................................... 2,800 84,783
Elsevier NV........................................... 21,700 202,454
Getronics NV.......................................... 11,793 196,317
Hagemeyer NV.......................................... 2,863 67,712
Heineken NV........................................... 10,850 553,931
IHC Caland NV......................................... 600 26,904
Ing Groep NV.......................................... 34,632 2,059,073
KLM (Koninklijke Luchtvaart Mij) NV................... 2,377 52,796
Koninklijke Ahold NV.................................. 22,918 644,003
Koninklijke KPN NV.................................... 16,693 1,498,620
Koninklijke Vopak NV.................................. 1,700 38,626
*Norit NV............................................. 14,400 526,973
Oce NV................................................ 1,567 22,089
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Royal Dutch Petroleum Co., Den Haag................... 74,600 $ 4,568,237
Royal Philips Electronics NV, Eindhoven............... 46,976 2,085,053
Stork NV.............................................. 800 10,535
TNT Post Groep NV..................................... 16,558 397,105
Unilever NV........................................... 19,842 1,001,963
Vedior NV, Amsterdam.................................. 2,654 30,520
Wolters Kluwer NV..................................... 11,084 269,421
------------
TOTAL COMMON STOCKS
(Cost $13,545,997)................................... 17,610,855
------------
PREFERRED STOCKS -- (0.0%)
Unilever NV Cumulative
(Cost $114,431)..................................... 19,200 94,194
------------
RIGHTS/WARRANTS -- (0.0%)
*TNT Post Groep NV Rights 06/08/00
(Cost $0)........................................... 16,558 0
------------
TOTAL -- NETHERLANDS
(Cost $13,660,428)................................... 17,705,049
------------
ITALY -- (4.2%)
COMMON STOCKS -- (4.2%)
Alitalia Linee Aeree Italiane SpA Series A............ 50,000 96,914
Alleanza Assicurazioni SpA............................ 13,612 155,778
Alleanza Assicurazioni SpA (Risp)..................... 124 753
Assicurazioni Generali SpA, Trieste................... 38,264 1,146,202
Autogrill SpA, Novara................................. 8,000 83,095
Banca Commerciale Italiana SpA........................ 7,076 33,599
Banca di Roma......................................... 176,500 189,713
Banca Intesa SpA, Milano.............................. 143,367 562,416
Banca Popolare di Milano.............................. 7,000 45,313
Benetton Group SpA.................................... 60,000 119,357
Beni Stabili SpA, Roma................................ 38,607 19,227
Bulgari SpA........................................... 7,000 86,990
Cartiere Burgo SpA.................................... 3,000 28,323
*Compagnia di Partecipazioni Assicurative Industriali
SpA................................................. 20,150 25,601
Credito Italiano...................................... 164,000 720,926
*ENEL SpA (Ente Nazionale per l'Energia Elettrica),
Roma................................................ 371,000 1,644,638
ENI SpA............................................... 271,000 1,452,665
Edison SpA............................................ 18,000 160,756
Fabbrica Italiana Magneti Marelli SpA................. 7,500 38,116
Fiat SpA.............................................. 11,990 302,786
HPI SpA (Holding di Partecipazioni Industriale)....... 18,000 20,917
IFIL Finanziaria Partecipazioni SpA................... 4,500 34,012
ITALGAS SpA, Torino................................... 23,000 93,640
*Immsi SpA............................................ 4,000 5,602
*Ing C.Olivetti & C SpA, Ivrea........................ 155,900 526,279
Italcementi Fabriche Riunite Cemento SpA, Bergamo..... 4,680 42,187
La Fondiara Assicurazioni SpA......................... 4,200 19,553
Mediaset SpA.......................................... 40,000 615,796
Mediobanca SpA........................................ 19,000 159,115
Mondadori (Arnoldo) Editore SpA....................... 4,000 91,442
Parmalat Finanziaria SpA.............................. 35,000 43,300
Pirelli SpA........................................... 60,000 153,021
</TABLE>
10
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RAS SpA (Riunione Adriatica di Sicurta)............... 23,803 $ 222,518
Rinascente per l'Esercizio di Grande Magazzini SpA.... 6,000 34,221
SAI SpA (Sta Assicuratrice Industriale), Torino....... 2,000 30,382
*SNIA SpA............................................. 20,000 19,012
San Paolo-IMI SpA..................................... 46,607 678,608
Seat Pagine Gialle SpA, Torino........................ 86,000 326,205
Sirti SpA............................................. 4,000 7,308
*Tecnost SpA.......................................... 106,179 383,051
Telecom Italia Mobile SpA............................. 198,740 2,058,766
*Telecom Italia SpA, Torino........................... 177,500 2,436,287
------------
TOTAL -- COMMON STOCK
(Cost $14,494,954)................................... 14,914,390
------------
PREFERRED STOCKS -- (0.0%)
Fiat SpA (Cost $43,047)............................... 3,000 48,271
------------
TOTAL -- ITALY
(Cost $14,538,001)................................... 14,962,661
------------
FINLAND -- (3.3%)
COMMON STOCKS -- (3.3%)
Amer-Yhtymae Oyj Series A............................. 800 21,441
Finnlines Oy.......................................... 700 12,984
Hartwall Oyj Series A................................. 1,982 31,064
Instrumentarium Oy.................................... 800 18,325
Kemira Oyj............................................ 3,200 16,916
Kesko Oyj............................................. 2,800 27,811
Kone Corp............................................. 600 36,174
Metra Oyj Series B.................................... 1,200 21,701
Metso Oyj............................................. 5,065 65,762
Nokia Oyj............................................. 178,044 9,213,613
Nordic Baltic Holdings AB............................. 22,848 150,436
Outokumpu Oyj Series A................................ 4,600 49,060
Pohjola Group Insurance Corp. Series A................ 2,200 132,619
Rautaruukki Oy Series K............................... 5,100 25,777
Sampo Insurance Co., Ltd.............................. 2,200 91,813
Sanitec Oyj........................................... 354 3,447
Sonera Group Oyj...................................... 27,508 1,385,247
Stockmann Oy AB....................................... 600 10,016
Tietoenator Corp...................................... 2,800 108,803
Upm-Kymmene Oyj....................................... 9,900 249,731
Uponor Oyj Series A................................... 1,400 25,708
------------
TOTAL -- FINLAND
(Cost $5,997,179).................................... 11,698,448
------------
SWEDEN -- (3.0%)
COMMON STOCKS -- (3.0%)
Asea AB............................................... 3,102 378,584
Assidomaen AB......................................... 3,400 58,659
Astrazeneca P.L.C..................................... 18,161 758,635
Atlas Copco AB Series A............................... 4,000 88,760
Atlas Copco AB Series B............................... 1,700 36,403
Drott Series B........................................ 2,400 25,164
Electrolux AB Series B................................ 11,800 199,000
Foreningssparbanken AB Series A....................... 17,100 254,231
Gambro AB Series A.................................... 7,300 54,266
Gambro AB Series B.................................... 2,700 19,921
Graenges AB........................................... 1,100 19,283
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Hennes & Mauritz AB Series B.......................... 23,600 $ 594,383
Mandamus AB........................................... 225 1,098
*Netcom AB Series B................................... 2,600 183,179
Om Gruppen AB......................................... 2,500 100,687
SSAB Swedish Steel Series A........................... 1,700 18,013
Sandvik AB............................................ 7,500 163,513
Securitas AB Series B................................. 10,900 253,360
Skandia Insurance AB.................................. 33,000 842,112
Skandinaviska Enskilda Banken Series A................ 21,800 237,034
Skanska AB............................................ 3,000 111,172
Svenska Cellulosa AB Series B......................... 6,700 134,178
Svenska Handelsbanken Series A........................ 23,000 324,086
Svenska Kullagerfabriken AB Series A.................. 1,300 22,645
Svenska Kullagerfabriken AB Series B.................. 1,300 23,727
Swedish Match AB (Frueher Svenska Taendsticks AB)..... 8,800 27,241
Sydkraft AB Series C.................................. 2,400 39,942
Telefon AB L.M. Ericsson Series A..................... 12,000 250,304
Telefon AB L.M. Ericsson Series B..................... 253,200 5,126,899
Trelleborg AB Series B................................ 2,200 14,645
Volvo AB Series A..................................... 4,200 96,926
Volvo AB Series B..................................... 9,800 232,141
WM-Data AB Series B................................... 8,500 64,601
------------
TOTAL COMMON STOCKS
(Cost $6,095,509).................................... 10,754,792
------------
RIGHTS/WARRANTS -- (0.0%)
*Swedish Match AB Rights 06/05/00..................... 8,800 459
*Volvo AB Series A Redemption Rights 06/30/00......... 4,200 2,610
*Volvo AB Series B Rights 06/30/00.................... 9,800 6,252
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 9,321
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $6,672)....................................... 6,737
------------
TOTAL -- SWEDEN
(Cost $6,102,181).................................... 10,770,850
------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Acerinox SA........................................... 2,000 67,515
Aguas de Barcelona SA................................. 4,400 59,372
Autopistas Concesionaria Espanola SA.................. 9,335 88,304
Azucarera Ebro Agricolas SA........................... 900 10,926
Banco Bilbao Vizcaya SA............................... 109,300 1,520,477
Banco Financiero...................................... 2,800 69,488
Banco Popular Espanol SA, Madrid...................... 4,000 127,240
Banco Santander Central Hispanoamerica SA............. 149,084 1,453,122
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 2,200 30,686
Cortefiel SA.......................................... 1,000 23,927
Endesa SA, Madrid..................................... 39,400 811,912
Fomento de Construcciones y Contratas SA.............. 6,000 133,546
</TABLE>
11
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Gas Natural SA, Buenos Aires.......................... 15,800 $ 277,674
Grupo Dragados SA, Madrid............................. 4,100 30,115
Iberdrola SA.......................................... 33,600 426,902
Metrovacesa SA........................................ 735 12,747
*OCP Construcciones SA, Madrid........................ 1,900 51,435
Prosegur Cia de Seguridad SA.......................... 1,800 22,786
Repsol SA............................................. 44,300 939,590
*Sociedad General de Aguas Barcelona SA New Shares
Issue............................................... 27 376
*Sol Melia SA......................................... 6,300 74,844
Tabacalera SA......................................... 8,100 118,088
*Tele Pizza SA........................................ 7,000 39,925
*Telefonica de Espana SA.............................. 121,699 2,483,008
Union Electrica Fenosa SA............................. 10,800 223,856
Vallehermoso SA....................................... 1,900 12,193
Zardoya Otis SA....................................... 3,300 29,380
------------
TOTAL -- SPAIN
(Cost $7,588,136).................................... 9,139,434
------------
AUSTRALIA -- (2.2%)
COMMON STOCKS -- (2.2%)
AMP, Ltd.............................................. 41,479 360,184
Amcor, Ltd............................................ 23,793 68,412
Australia & New Zealand Banking Group, Ltd............ 34,146 236,509
Australian Gas Light Company.......................... 11,329 59,008
Boral, Ltd............................................ 13,125 14,152
Brambles Industries, Ltd.............................. 8,608 235,715
British American Tobacco (Australasia), Ltd........... 4,891 30,554
Broken Hill Proprietary Co., Ltd...................... 66,817 678,897
CSL, Ltd.............................................. 4,305 58,207
CSR, Ltd.............................................. 53,442 123,173
Coca-Cola Amatil, Ltd................................. 34,037 66,021
Coles Myer, Ltd....................................... 44,155 158,699
Colonial, Ltd......................................... 30,768 165,156
Commonwealth Bank of Australia........................ 12,264 195,071
Faulding (F.H.) and Co., Ltd.......................... 3,419 14,859
Fosters Brewing Group, Ltd............................ 65,298 158,695
Futuris Corp., Ltd.................................... 13,344 12,660
Goodman Fielder, Ltd.................................. 42,012 29,720
*Hanson P.L.C......................................... 1,886 12,718
Hardie (James) Industries, Ltd........................ 8,791 19,825
Leighton Holdings, Ltd................................ 5,652 15,219
Lend Lease Corp., Ltd................................. 19,441 220,711
MIM Holdings.......................................... 52,685 24,646
Mayne Nickless, Ltd................................... 7,054 12,153
National Australia Bank, Ltd.......................... 57,335 853,683
*Newcrest Mining, Ltd................................. 6,972 14,239
News Corp., Ltd....................................... 80,717 775,000
News Corp., Ltd....................................... 57,546 650,325
Normandy Mining, Ltd.................................. 50,699 24,006
North, Ltd............................................ 21,076 33,186
Orica, Ltd............................................ 8,922 36,139
*Origin Energy, Ltd................................... 13,125 10,333
Pacific Dunlop, Ltd................................... 19,238 18,329
*Paperlinx, Ltd....................................... 7,931 13,755
QBE Insurance Group, Ltd.............................. 13,093 49,747
Rio Tinto, Ltd........................................ 22,637 323,297
Santos, Ltd........................................... 22,856 58,677
Smith (Howard), Ltd................................... 3,257 16,314
Southcorp, Ltd........................................ 20,271 57,938
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Suncorp-Metway Limited................................ 10,844 $ 51,082
Tabcorp Holdings, Ltd................................. 12,034 63,848
Telstra Corp., Ltd.................................... 242,100 939,196
WMC, Ltd.............................................. 43,223 177,221
Wesfarmers, Ltd....................................... 8,687 56,497
Westpac Banking Corp.................................. 69,672 474,984
Woodside Petroleum, Ltd............................... 6,666 50,351
Woolworths, Ltd....................................... 43,592 144,241
------------
TOTAL COMMON STOCKS
(Cost $7,695,828).................................... 7,863,352
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $75,592)...................................... 74,490
------------
RIGHTS/WARRANTS -- (0.0%)
*AMP, Ltd. Contingent Payment Rights
(Cost $0)........................................... 9,878 0
------------
TOTAL -- AUSTRALIA
(Cost $7,771,420).................................... 7,937,842
------------
HONG KONG -- (1.9%)
COMMON STOCKS -- (1.9%)
Bank of East Asia, Ltd................................ 42,000 73,845
CLP Holdings, Ltd..................................... 76,000 353,080
Cathay Pacific Airways, Ltd........................... 123,000 220,996
Cheung Kong Holdings, Ltd............................. 84,000 768,095
Citic Pacific, Ltd.................................... 24,000 114,271
Giordano International, Ltd........................... 20,000 31,314
Hang Lung Development Co., Ltd........................ 40,000 25,154
Hang Seng Bank, Ltd................................... 69,900 592,069
Henderson Land Development Co., Ltd................... 18,000 70,226
Hong Kong and China Gas Co., Ltd...................... 188,360 203,058
Hong Kong and Shanghai Hotels, Ltd.................... 27,500 12,705
Hong Kong Electric Holdings, Ltd...................... 33,707 112,905
Hong Kong Telecommunications, Ltd..................... 409,397 935,224
Hutchison Whampoa, Ltd................................ 155,100 1,791,453
Hysan Development Co., Ltd............................ 37,413 40,572
Johnson Electric Holdings, Ltd........................ 32,000 237,166
New World Development Co., Ltd........................ 68,558 68,628
*Oriental Press Group, Ltd............................ 58,000 8,709
Shangri-La Asia, Ltd.................................. 76,000 77,541
Sino Land Co., Ltd.................................... 74,916 25,238
South China Morning Post (Holdings), Ltd.............. 60,000 43,121
Sung Hungkai Properties, Ltd.......................... 87,506 533,436
Swire Pacific, Ltd. Series A.......................... 32,500 187,693
Television Broadcasts, Ltd............................ 15,000 97,215
*Varitronix International, Ltd........................ 9,000 15,535
Wharf Holdings, Ltd................................... 85,542 153,695
Wing Lung Bank, Ltd................................... 5,500 15,635
------------
TOTAL COMMON STOCKS
(Cost $6,699,998).................................... 6,808,579
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $74,240)...................................... 74,221
------------
TOTAL -- HONG KONG
(Cost $6,774,238).................................... 6,882,800
------------
</TABLE>
12
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Bang & Olufsen Holding A.S. Series B.................. 290 $ 10,447
Carlsberg A.S. Series A............................... 680 20,694
Carlsberg A.S. Series B............................... 2,310 74,604
Dampskibsselskabet AF 1912 A.S........................ 42 456,493
Dampskibsselskabet Svendborg A.S...................... 29 452,083
Danisco A.S........................................... 1,960 70,361
Den Danske Bank A.S................................... 2,220 256,456
FLS Industries........................................ 890 13,598
Falck A.S............................................. 410 61,878
GN Great Nordic, Ltd.................................. 590 49,469
*ISS A.S.............................................. 1,310 94,379
*Navision Software A.S................................ 866 31,841
*Nordic Baltic Holding AB............................. 31,125 199,110
Novo Nordisk A.S. Series B............................ 2,720 447,673
Realdanmark A.S....................................... 670 21,805
Tele Danmark A.S...................................... 9,110 639,357
*Topdanmark A.S....................................... 1,300 22,607
Vestas Wind Systems A.S............................... 4,400 160,139
William Demant Holding................................ 2,550 70,952
------------
TOTAL COMMON STOCKS
(Cost $2,868,282).................................... 3,153,946
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $16,737)...................................... 17,057
------------
TOTAL -- DENMARK
(Cost $2,885,019).................................... 3,171,003
------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
Cerebos Pacific, Ltd.................................. 10,000 15,002
City Developments, Ltd................................ 26,000 87,011
Creative Technology Co., Ltd.......................... 3,000 73,221
Cycle & Carriage, Ltd................................. 7,000 13,975
*DBS Group Holdings, Ltd.............................. 32,000 319,424
DBS Land, Ltd......................................... 37,500 42,842
Fraser & Neave, Ltd................................... 10,000 29,715
Keppel Corp., Ltd..................................... 25,000 47,602
Keppel Land, Ltd...................................... 22,000 20,310
Keppel Tatlee Bank, Ltd............................... 35,750 62,708
Natsteel, Ltd......................................... 12,000 12,463
*Neptune Orient Lines, Ltd............................ 23,000 17,385
Overseas Chinese Banking Corp., Ltd................... 34,000 191,273
Parkway Holdings, Ltd................................. 10,000 22,503
Sembcorp Industries, Ltd.............................. 52,000 48,006
Singapore Airlines, Ltd............................... 33,000 287,516
Singapore Land, Ltd................................... 11,000 17,581
Singapore Press Holdings.............................. 21,000 316,250
Singapore Technologies Engineering, Ltd............... 84,000 111,475
Singapore Telecommunications, Ltd..................... 535,000 725,426
United Industrial Corp., Ltd.......................... 32,000 13,109
*United Overseas Bank, Ltd............................ 29,000 157,289
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Venture Manufacturing (Singapore), Ltd............... 5,000 $ 44,140
Wing Tai Holdings, Ltd................................ 19,000 12,388
------------
TOTAL COMMON STOCKS
(Cost $3,456,287).................................... 2,688,614
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $4,577)....................................... 4,565
------------
TOTAL -- SINGAPORE
(Cost $3,460,864).................................... 2,693,179
------------
BELGIUM -- (0.7%)
COMMON STOCKS -- (0.7%)
Barco NV.............................................. 200 22,165
Colruyt SA Halle...................................... 1,000 39,044
D'Ieteren SA.......................................... 160 40,450
Delhaize Freres & cie le Lion SA Molenbeek-Saint
Jean................................................ 1,400 81,213
*Dolmen Computer Applications......................... 100 1,873
Electrabel SA......................................... 1,900 434,349
*Fortis AG............................................ 931 6,985
Fortis AG Series B.................................... 25,379 655,493
Fortis AG VVPR........................................ 8,379 78
Glaverbel SA.......................................... 200 14,440
*Heidelberger Zement AG............................... 266 15,171
*Heidelberger Zement AG VVPR.......................... 266 2
Ing Groep NV.......................................... 1,231 72,437
KBC Bancassurance Holding SA.......................... 10,500 446,864
Solvay SA............................................. 2,900 193,642
Suez Lyonnaise des Eaux SA............................ 2,300 381,172
*Suez Lyonnaise des Eaux SA VVPR...................... 2,300 21
Total Fina SA VVPR Strips............................. 2,250 21
UCB SA................................................ 3,900 144,675
Union Miniere SA...................................... 600 21,211
------------
TOTAL COMMON STOCKS
(Cost $2,920,254).................................... 2,571,306
------------
RIGHTS/WARRANTS -- (0.0%)
*Ing Groep NV Rights 06/09/00
(Cost $0)........................................... 1,231 0
------------
TOTAL -- BELGIUM
(Cost $2,920,254).................................... 2,571,306
------------
EMU -- (0.7%)
INVESTMENT IN CURRENCY -- (0.7%)
*Euro Currency
(Cost $2,517,892)................................... 2,567,499
------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
BPI SGPS SA........................................... 25,200 82,498
Banco Comercial Portugues SA.......................... 42,900 209,670
Banco Espirito Santo e Comercial de Lisboa............ 5,000 116,621
Brisa Auto Estradas de Portugal SA.................... 10,300 75,081
Cimpor Cimentos de Portugal SA........................ 4,780 72,834
Companhia de Seguros Tranquilidade SA................. 700 21,118
Electricidade de Portugal SA.......................... 12,600 217,930
</TABLE>
13
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 4,100 $ 64,298
Portugal Telecom SA................................... 46,700 506,723
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 4,200 182,680
------------
TOTAL -- PORTUGAL
(Cost $1,605,686).................................... 1,549,453
------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A.............................. 2,500 51,608
Christiania Bank Og Kreditkasse....................... 17,700 90,852
Den Norske Bank ASA Series A.......................... 36,500 129,516
*Dyno Industrier ASA.................................. 1,300 27,416
Elkem ASA............................................. 1,300 21,614
Hafslund ASA.......................................... 4,100 18,757
*Kvaerner ASA......................................... 1,700 19,538
*Merkantildata ASA.................................... 6,800 43,250
Norsk Hydro ASA....................................... 12,000 458,613
Norske Skogindustrier ASA Series A.................... 1,300 39,892
Orkla ASA Series A.................................... 10,271 168,475
*Petroleum Geo Services ASA........................... 4,600 81,870
Schibsted ASA......................................... 2,700 52,423
Smedvig ASA Series A.................................. 1,900 32,226
Storebrand ASA........................................ 11,200 71,861
Tomra Systems ASA..................................... 3,800 79,928
------------
TOTAL COMMON STOCKS
(Cost $1,490,365).................................... 1,387,839
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $20,185)...................................... 20,503
------------
TOTAL -- NORWAY
(Cost $1,510,550).................................... 1,408,342
------------
IRELAND -- (0.4%)
COMMON STOCKS -- (0.4%)
*Allied Irish Banks P.L.C............................. 35,078 322,061
CRH P.L.C............................................. 15,512 267,577
DCC P.L.C............................................. 2,178 21,512
Eircom P.L.C.......................................... 85,884 254,877
Fyffes P.L.C.......................................... 9,933 13,818
Greencore Group P.L.C................................. 4,909 13,203
Independent News & Media P.L.C........................ 8,778 68,382
Irish Permanent P.L.C................................. 9,882 77,441
Jefferson Smurfit Group P.L.C......................... 37,203 72,455
Kerry Group P.L.C..................................... 5,023 64,751
*Ryanair Holdings P.L.C............................... 11,250 91,291
Waterford Wedgwood P.L.C.............................. 18,396 18,084
------------
TOTAL -- IRELAND
(Cost $1,608,259).................................... 1,285,452
------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
Austria Tabak AG...................................... 855 $ 28,958
Austrian Airlines/Oesterreichische
Luftverkehrs-Aktiengesellschaft..................... 754 10,132
*BWT AG............................................... 88 26,850
*Bank Austria AG...................................... 4,948 233,569
Bohler Uddeholm AG.................................... 480 18,652
Flughafen Wien AG..................................... 579 19,304
Mayr-Melnhof Karton AG................................ 472 22,325
Oesterreichische Elektrizitaetswirtschafts AG......... 810 83,383
Omv AG................................................ 1,325 113,124
Rhi AG, Wien.......................................... 778 17,807
Va Technologie AG..................................... 805 43,965
Wienerberger AG....................................... 3,035 68,481
------------
TOTAL -- AUSTRIA
(Cost $837,445)...................................... 686,550
------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd............................... 72,500 58,274
Contact Energy, Ltd................................... 18,722 23,513
Fletcher Challenge, Ltd............................... 10,106 26,538
Lion Nathan, Ltd...................................... 17,600 35,044
Telecom Corporation of New Zealand, Ltd............... 77,900 273,225
------------
TOTAL COMMON STOCKS
(Cost $519,761)...................................... 416,594
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $10,334)...................................... 9,686
------------
TOTAL -- NEW ZEALAND
(Cost $530,095)...................................... 426,280
------------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (2.9%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $10,679,454) to be
repurchased at $10,521,739.
(Cost $10,520,000).................................. $ 10,520 10,520,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $296,157,438)++................................ $358,279,901
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $296,673,647.
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The Continental Small Company Series of The
DFA Investment Trust Company (39.8%)
(Cost $103,595,451)....................................... $112,197,073
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (27.1%) (Cost $116,380,664)...... 76,533,132
Investment in The United Kingdom Small Company Series of The
DFA Investment Trust Company (17.0%)
(Cost $47,691,223)........................................ 47,952,440
Investment in The Pacific Rim Small Company Series of The
DFA Investment Trust Company (15.6%)
(Cost $62,755,453)........................................ 44,116,553
Temporary Cash Investments (0.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes 7.75%,
02/15/01, valued at $1,230,385) to be repurchased at
$1,211,200 (Cost $1,211,000)............................ 1,211,000
------------
Total Investments (100%) (Cost $331,633,791) ++......... $282,010,198
============
</TABLE>
--------------
++The cost for federal income tax purposes is $331,750,365.
THE JAPANESE SMALL COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. $121,760,371
------------
Total Investments (100%) (Cost $265,450,047) ++......... $121,760,371
============
</TABLE>
--------------
++The cost for federal income tax purposes is $268,539,990.
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The Pacific Rim Small Company Series of The
DFA Investment Trust Company.............................. $100,874,517
------------
Total Investments (100%) (Cost $145,985,177) ++......... $100,874,517
============
</TABLE>
--------------
++The cost for federal income tax purposes is $146,117,105.
--------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
15
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The United Kingdom Small Company Series of The
DFA Investment Trust Company.............................. $64,822,138
-----------
Total Investments (100%) (Cost $57,464,675) ++.......... $64,822,138
===========
</TABLE>
--------------
++The cost for federal income tax purposes is $57,519,138.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C>
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. $139,615,117
------------
Total Investments (100%) (Cost $105,717,425) ++......... $139,615,117
============
</TABLE>
--------------
++The cost for federal income tax purposes is $105,789,902.
--------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
16
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (25.3%)
COMMON STOCKS -- (25.3%)
Achilles Corp......................................... 92,000 $ 139,271
*Aichi Corp........................................... 63,200 94,499
Aichi Machine Industry Co., Ltd....................... 111,000 244,318
Aichi Steel Works, Ltd................................ 261,000 792,635
Aida Engineering, Ltd................................. 104,000 393,109
Air Water, Inc........................................ 124,000 431,855
*Akai Electric Co., Ltd............................... 490,000 122,870
Amada Co., Ltd........................................ 61,983 535,353
Amada Sonoike Co., Ltd................................ 206,050 426,739
Ando Corp............................................. 177,000 313,972
Anest Iwata Corp...................................... 63,000 87,764
*Aoki Corp............................................ 361,000 147,518
Aoki International Co., Ltd........................... 63,000 211,804
Arai-Gumi, Ltd........................................ 19,600 26,030
Araya Industrial Co., Ltd............................. 194,000 207,197
Asahi Kogyosha Co., Ltd............................... 114,000 238,217
Asahi Organic Chemicals Industry Co., Ltd............. 42,000 112,338
*Asahi Tec Corp....................................... 45,000 59,345
Asanuma Corp.......................................... 325,000 434,641
Ashimori Industry Co., Ltd............................ 44,000 85,405
*Asics Corp........................................... 384,000 406,557
*Atsugi Nylon Industrial Co., Ltd..................... 352,000 339,986
Azel Corp., Tokyo..................................... 152,000 430,555
Bank of Okinawa, Ltd.................................. 36,700 841,876
*Bank of Osaka, Ltd................................... 223,000 451,488
*Bank of Saga, Ltd.................................... 215,000 734,803
Bank of the Ryukyus, Ltd.............................. 48,490 682,260
Brother Industries, Ltd............................... 349,000 829,756
Bunka Shutter Co., Ltd................................ 129,000 253,986
*Cabin Co., Ltd....................................... 164,000 198,003
Calpis Co., Ltd....................................... 71,000 344,202
Calsonic Corp......................................... 89,000 190,109
Central Finance Co., Ltd.............................. 387,000 1,139,345
Cesar Co.............................................. 41,000 83,771
*Chiba Kogyo Bank, Ltd................................ 48,500 508,084
*Chisan Tokan Co., Ltd................................ 165,000 140,980
*Chiyoda Corp......................................... 191,000 193,350
*Chuetsu Pulp and Paper Co., Ltd...................... 215,000 443,278
Chugoku Marine Paints, Ltd............................ 60,000 116,462
Chuo Spring Co., Ltd., Nagoya......................... 222,000 812,333
Cleanup Corp.......................................... 68,000 299,977
D'urban, Inc.......................................... 39,000 102,141
*Dai Nippon Construction.............................. 65,000 85,117
Dai-Dan Co., Ltd...................................... 56,000 216,355
Daido Steel Co., Ltd.................................. 562,000 1,184,806
*Daido Steel Sheet Corp............................... 45,000 81,495
Daidoh, Ltd........................................... 91,000 218,890
Daiho Corp............................................ 83,000 126,417
Daiichi Cement Co., Ltd............................... 77,000 110,128
*Dai-Ichi Hotel, Ltd., Tokyo.......................... 121,000 7,866
Dai-Ichi Jitsugyo Co., Ltd............................ 70,000 118,319
*Dai-Ichi Katei Denki Co., Ltd........................ 225,000 125,377
*Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 19,000 56,996
Daiken Corp........................................... 65,000 174,460
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Daikyo, Inc.......................................... 176,000 $ 375,946
Daio Paper Corp....................................... 128,750 994,845
*Daisue Construction Co., Ltd......................... 25,000 16,485
*Daiwa Danchi Co., Ltd................................ 170,000 353,657
Daiwa Industries, Ltd................................. 63,000 183,134
*Daiwa Kosho Lease Co., Ltd........................... 193,000 519,805
Daiwabo Co., Ltd...................................... 215,000 199,675
Danto Corp............................................ 36,000 112,004
Deodeo Corp........................................... 57,600 441,863
Descente, Ltd......................................... 202,000 354,567
*Dijet Industrial Co., Ltd............................ 10,000 13,374
Eagle Industry Co., Ltd............................... 35,000 105,642
Eighteenth Bank, Ltd.................................. 226,000 753,508
Exedy Corp............................................ 16,000 123,334
*First Baking Co., Ltd................................ 70,000 185,280
Fuji Denki Reiki Co., Ltd............................. 67,000 250,764
*Fuji Kiko Co., Ltd................................... 45,000 72,719
Fujirebio, Inc........................................ 91,000 473,276
*Fujita Corp.......................................... 491,000 214,321
Fukuda Corp........................................... 80,000 194,660
Fukushima Bank, Ltd................................... 32,000 98,073
*Furukawa Co., Ltd.................................... 107,000 192,784
*Gakken Co., Ltd...................................... 127,000 221,741
*Gastec Service, Inc.................................. 98,000 464,174
*Godo Steel, Ltd...................................... 206,000 172,185
*Goldwin, Inc......................................... 54,000 87,263
*Graphtec Corp........................................ 99,000 174,692
Gun-Ei Chemical Industry Co., Ltd..................... 306,000 511,539
*Gunze Sangyo, Inc., Tokyo............................ 222,000 298,955
Gunze, Ltd............................................ 315,000 942,001
*Hanshin Sogo Bank, Ltd............................... 198,000 411,906
Harima Chemicals, Inc................................. 83,000 313,731
*Hazama Corp.......................................... 305,000 130,299
Heiwado Co., Ltd...................................... 73,000 494,915
Hibiya Engineering, Ltd............................... 53,000 233,805
Hisaka Works, Ltd..................................... 106,000 431,186
*Hitachi Kide......................................... 9,000 31,010
Hitachi Koki Co., Ltd................................. 153,000 525,749
Hitachi Medical Corp.................................. 48,000 528,256
Hitachi Plant Engineering & Construction
Co., Ltd............................................ 145,000 324,541
Hitachi Transport System, Ltd......................... 138,000 653,633
Hochiki Corp.......................................... 17,000 45,786
*Hodogaya Chemical Co., Ltd........................... 32,000 49,631
Hokkai Can Co., Ltd., Tokyo........................... 125,000 254,237
*Hokkaido Bank, Ltd................................... 477,000 642,349
Hokkaido Gas Co., Ltd................................. 8,000 14,488
Hokko Chemical Industry Co., Ltd...................... 12,000 37,892
Hokuriku Electrical Construction Co., Ltd............. 81,000 179,039
Hokushin Co., Ltd..................................... 32,600 46,928
Honen Corp............................................ 109,000 165,006
Ichikawa Co., Ltd..................................... 117,000 217,321
Ichiken Co., Ltd...................................... 45,000 47,225
Idec Izumi Corp....................................... 130,000 1,919,665
Ihara Chemical Industry Co., Ltd...................... 64,000 131,953
*Ikegami Tsushinki Co., Ltd........................... 129,000 450,466
</TABLE>
17
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Inaba Denki Sangyo Co., Ltd........................... 9,000 $ 97,042
Inabata and Co., Ltd., Osaka.......................... 178,000 1,039,814
*Inui Steamship Co., Ltd.............................. 32,000 20,506
*Iseki & Co., Ltd..................................... 281,000 229,654
Ishizuka Glass Co., Ltd............................... 119,000 244,244
Itochu Fuel Corp...................................... 140,000 440,771
Itoki Crebio Corp..................................... 63,000 251,005
*Iwasaki Electric Co., Ltd............................ 60,000 122,591
*Iwatsu Electric Co., Ltd............................. 76,000 182,809
Izumi Co., Ltd........................................ 82,000 1,032,663
Izumiya Co., Ltd...................................... 151,000 988,669
*JGC Corp............................................. 226,000 650,661
JMS Co., Ltd.......................................... 135,000 529,092
*Japan Bridge Corp.................................... 31,000 38,291
Japan Oil Transportation Co., Ltd..................... 41,000 76,155
*Japan Paperboard Industries Co., Ltd., Tokyo......... 35,000 87,114
*Japan Steel Works, Ltd............................... 237,000 224,509
Japan Transcity Corp.................................. 79,000 140,868
Japan Vilene Co., Ltd................................. 202,000 408,971
Joban Kosan Co., Ltd.................................. 87,000 117,158
Joshin Denki Co., Ltd................................. 71,000 177,376
*Jujiya Co., Ltd...................................... 265,000 145,205
Juken Sangyo Co., Ltd................................. 38,000 236,099
Kaga Electronics Co., Ltd............................. 7,000 87,439
Kahma Co., Ltd........................................ 41,000 206,761
*Kamagai Gumi Co., Ltd................................ 878,000 407,708
Kamei Corp............................................ 65,000 290,364
Kanaden Corp.......................................... 11,000 44,644
Kanamoto Co., Ltd..................................... 10,000 73,369
Kanematsu Electronics, Ltd............................ 87,000 379,754
*Kanto Bank, Ltd...................................... 30,700 413,420
Kanto Natural Gas Development Co., Ltd................ 198,000 783,357
Kasei (C.I.) Co., Ltd................................. 12,000 40,901
Kasumi Co., Ltd....................................... 43,000 171,720
Kato Works Co., Ltd................................... 100,000 140,237
Katsumura Construction Co., Ltd....................... 40,000 47,922
Kawada Industries, Inc................................ 95,000 175,575
*Kawashima Textile Manufacturers, Ltd................. 306,000 298,398
Kawasho Corp.......................................... 425,000 422,336
Kawasho Gecoss Corp................................... 45,300 143,041
Kayaba Industry Co., Ltd.............................. 80,000 144,880
Keihin Co., Ltd....................................... 34,000 43,891
Keiyo Co., Ltd........................................ 35,000 138,472
Kinki Sharyo Co., Ltd., Nagaokakyo.................... 52,000 69,060
Kinseki, Ltd.......................................... 67,000 963,854
*Kinsho-Mataichi Corp................................. 51,000 46,891
Kioritz Corp.......................................... 237,000 369,779
Kitagawa Iron Works Co., Ltd.......................... 104,000 140,051
Kitano Construction Corp.............................. 98,000 217,525
*Kitz Corp............................................ 197,000 360,427
Kiyo Bank, Ltd........................................ 375,000 915,950
Kokune Corp........................................... 99,000 95,621
Kokusai Kogyo Co., Ltd................................ 71,000 383,106
Komai Tekko, Inc...................................... 63,000 181,379
*Komatsu Construction Co., Ltd........................ 16,000 20,209
*Komatsu Forklift Co., Ltd............................ 111,000 176,280
Komatsu Zenoah Co..................................... 1,000 2,294
*Kosei Securities Co., Ltd............................ 118,000 343,014
*Krosaki Corp......................................... 32,000 48,739
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kumiai Chemical Industry Co., Ltd., Tokyo............. 107,000 $ 178,872
Kurabo Industries, Ltd................................ 337,000 447,560
Kureha Chemical Industry Co., Ltd..................... 263,000 683,910
Kurimoto, Ltd......................................... 171,000 382,735
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 39,000 195,588
Kyosan Electric Manufacturing Co., Ltd................ 77,000 168,767
Kyowa Leather Cloth Co., Ltd.......................... 75,000 326,677
Kyudenko Corp......................................... 107,000 300,107
Kyushu Bank, Ltd...................................... 314,000 947,759
Life Corp............................................. 14,000 80,613
MR Max Corp........................................... 48,000 146,663
Maeda Corp............................................ 244,000 591,446
Maeda Road Construction Co., Ltd...................... 124,000 495,194
Magara Construction Co., Ltd.......................... 57,000 84,699
*Marudai Food Co., Ltd................................ 170,000 281,031
Maruetsu, Inc......................................... 192,000 588,437
Marusan Securities Co., Ltd........................... 25,000 164,616
Maruzen Showa Unyu Co., Ltd........................... 143,000 233,740
Matsui Construction Co., Ltd.......................... 90,000 244,904
Matsuo Bridge Co., Ltd................................ 90,000 162,155
*Meiko National Securities Letters of Guarantee....... 62,000 196,926
Meito Sangyo Co., Ltd................................. 90,000 902,716
Mitsuba Corp.......................................... 72,000 304,249
Mitsubishi Cable Industries, Ltd...................... 239,000 494,980
Mitsubishi Paper Mills, Ltd........................... 419,000 564,244
*Mitsubishi Steel Manufacturing Co., Ltd.............. 185,000 115,115
*Mitsui Construction Co., Ltd......................... 199,000 138,611
Mitsui Home Co., Ltd.................................. 81,000 285,108
Mitsui Matsushima Co., Ltd............................ 55,000 75,598
*Mitsui Mining Co., Ltd............................... 129,000 103,032
Mitsui Wood Systems, Inc.............................. 37,000 46,390
Mitsuuroko Co., Ltd................................... 174,000 888,785
Miyazaki Bank, Ltd.................................... 183,260 595,690
Miyuki Keori Co., Ltd................................. 124,000 479,071
Mizuno Corp........................................... 176,000 531,228
Morita Corp........................................... 117,000 304,249
Morozoff, Ltd., Osaka................................. 119,000 226,561
Mory Industries, Inc.................................. 56,000 123,780
Mutow Co., Ltd........................................ 89,000 529,826
Nabco, Ltd............................................ 107,000 168,934
Nagase & Co., Ltd..................................... 196,000 813,670
*Naigai Co., Ltd...................................... 140,000 130,021
Nakamuraya Co., Ltd................................... 8,000 19,243
*Nakano Corp.......................................... 157,000 138,519
Nakayama Steel Works, Ltd............................. 151,000 201,941
Neturen Co., Ltd., Tokyo.............................. 73,000 212,881
Nichia Steel Works, Ltd............................... 156,200 590,419
Nichimen Corp......................................... 521,000 464,509
Nichimo Co., Ltd...................................... 127,000 155,691
*Nichimo Corp......................................... 104,000 73,406
Nichireki Co., Ltd.................................... 32,000 129,575
Nihon Kohden Corp..................................... 82,000 243,696
Nihon Matai Co., Ltd.................................. 119,000 232,087
Nihon Nohyaku Co., Ltd................................ 90,000 178,036
Nihon Parkerizing Co., Ltd............................ 228,000 717,826
Nihon Tokushu Toryo Co., Ltd.......................... 79,000 184,890
Niigata Chuo Bank, Ltd................................ 321,000 2,981
Nikko Co., Ltd., Akashi............................... 123,000 260,450
</TABLE>
18
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Nippon Beet Sugar Manufacturing Co., Ltd.............. 217,000 $ 274,084
Nippon Chemical Industrial Co., Ltd................... 47,000 144,481
Nippon Chemi-Con Corp................................. 119,000 538,221
*Nippon Chemiphar Co., Ltd............................ 115,000 293,708
*Nippon Columbia Co., Ltd............................. 35,000 59,485
*Nippon Concrete Industries Co., Ltd.................. 41,000 39,220
Nippon Conlux Co., Ltd................................ 78,000 383,933
*Nippon Conveyor Co., Ltd............................. 52,000 52,640
Nippon Denko Co., Ltd................................. 137,000 206,120
Nippon Densetsu Kogyo Co., Ltd........................ 86,000 244,402
Nippon Fine Chemical Co., Ltd......................... 9,000 34,186
*Nippon Formula Feed Manufacturing Co., Ltd........... 35,000 44,207
Nippon Hodo Co., Ltd.................................. 151,000 638,077
Nippon Hume Pipe Co., Ltd............................. 95,000 193,220
Nippon Koei Co., Ltd., Tokyo.......................... 121,000 195,533
*Nippon Koshuha Steel Co., Ltd........................ 133,000 93,875
Nippon Light Metal Co., Ltd........................... 525,000 365,684
*Nippon Metal Industry Co., Ltd....................... 238,000 170,197
Nippon Paint Co., Ltd................................. 315,000 842,535
Nippon Piston Ring Co., Ltd........................... 8,000 7,801
Nippon Road Co., Ltd.................................. 125,000 184,583
*Nippon Seisen Co., Ltd............................... 35,000 67,611
Nippon Shinpan Co., Ltd............................... 386,000 792,254
*Nippon Soda Co., Ltd................................. 175,000 507,081
Nippon Suisan Kaisha, Ltd............................. 104,000 168,061
Nippon Synthetic Chemical Industry Co., Ltd........... 133,000 174,163
*Nippon Valqua Industries, Ltd........................ 153,000 257,190
*Nippon Yakin Kogyo Co., Ltd.......................... 237,000 145,270
*Nissan Construction Co., Ltd......................... 106,000 106,320
*Nissan Diesel Motor Co., Ltd......................... 179,000 134,655
Nissan Shatai Co., Ltd................................ 193,000 304,713
Nisshin Oil Mills, Ltd................................ 189,000 607,327
Nisshinbo Industries, Inc............................. 9,000 40,957
Nissin Electric Co., Ltd.............................. 152,000 385,382
Nittetsu Mining Co., Ltd.............................. 102,000 213,141
Nitto Construction Co., Ltd........................... 10,000 16,717
Nittoc Construction Co., Ltd.......................... 73,000 131,525
Noritz Corp........................................... 70,000 869,839
Obayashi Road Corp.................................... 152,000 409,380
Ohki Corp............................................. 168,000 273,044
*Ohkura Electric Co., Ltd............................. 12,000 22,846
Okabe Co., Ltd........................................ 98,000 290,337
Okamura Corp.......................................... 43,000 109,022
*Oki Electric Cable Co., Ltd.......................... 10,000 22,475
Okura Industrial Co., Ltd............................. 180,000 586,765
*Ono Sokki Co., Ltd................................... 37,000 76,285
*Optec Dai-Ichi Denko Co., Ltd........................ 52,333 40,340
Oriental Construction Co., Ltd........................ 9,000 34,688
Osaki Electric Co., Ltd............................... 29,000 141,936
P.S.C. Corp........................................... 34,000 122,201
Pacific Industrial Co., Ltd........................... 187,000 488,015
Parco Co., Ltd........................................ 77,000 226,691
Pokka Corp............................................ 110,000 443,371
*Prima Meat Packers, Ltd.............................. 93,000 122,647
Rengo Co., Ltd........................................ 600 3,070
*Renown Look, Inc..................................... 114,000 213,866
Rheon Automatic Machinery Co., Ltd.................... 93,000 339,438
*Rhythm Watch Co., Ltd................................ 120,000 254,098
Ryoden Trading Co., Ltd............................... 85,000 278,662
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
S.T. Chemical Co., Ltd................................ 115,000 $ 746,552
SXL Corp.............................................. 108,000 257,776
Sagami Co., Ltd....................................... 141,000 341,778
Sakai Heavy Industries, Ltd........................... 43,000 87,857
*Sakurada Co., Ltd.................................... 36,000 31,428
San-Ai Oil Co., Ltd................................... 100,000 276,759
Sankei Building Co., Ltd.............................. 36,000 135,407
*Sanki Engineering Co., Ltd........................... 104,000 396,006
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 49,000 47,783
*Sankyo Aluminum Industry Co., Ltd.................... 328,000 274,158
Sankyo Seiko Co., Ltd................................. 75,000 191,549
*Sanshin Electronics Co., Ltd......................... 44,000 302,391
*Sanyo Industries, Ltd., Tokyo........................ 121,000 432,644
Sanyo Special Steel Co., Ltd.......................... 248,000 317,845
*Sasebo Heavy Industries Co., Ltd., Tokyo............. 207,000 144,184
Sata Construction Co., Ltd., Gumma.................... 134,000 177,961
Sato Shoji Corp....................................... 49,000 166,102
*Seikitokyu Kogyo Co., Ltd............................ 211,000 172,445
Seiren Co., Ltd....................................... 70,000 215,184
Seiyo Food Systems, Inc............................... 97,000 328,813
Sekisui Jushi Co., Ltd................................ 60,000 195,588
*Sekisui Plastics Co., Ltd............................ 148,000 254,284
Senko Co., Ltd........................................ 150,000 282,795
Senshukai Co., Ltd.................................... 88,000 939,048
Shibuya Kogyo Co., Ltd................................ 61,000 481,541
Shin Nippon Air Technologies Co., Ltd................. 44,620 147,939
Shinagawa Fuel Co., Ltd............................... 86,000 295,519
Shinko Shoji Co., Ltd................................. 40,000 333,596
*Shinmaywa Industries, Ltd............................ 154,000 234,558
*Shokusan Jutaku Sogo Co., Ltd........................ 116,000 98,036
*Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 61,000 81,579
Showa Highpolymer Co., Ltd............................ 26,000 84,514
Showa Sangyo Co., Ltd................................. 146,000 230,508
Sintokogio, Ltd., Nagoya.............................. 113,000 245,572
Soda Nikka Co., Ltd................................... 82,000 135,556
*Sogo Co., Ltd........................................ 52,000 26,561
*Sokkisha Co., Ltd.................................... 35,000 86,464
Sotetsu Rosen Co., Ltd................................ 2,000 9,696
*Suminoe Textile Co., Ltd............................. 46,000 51,265
Sumitomo Densetsu Co., Ltd............................ 12,000 60,738
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 40,000 134,479
Sumitomo Seika Chemicals Co., Ltd..................... 10,000 23,961
Sun Wave Corp......................................... 70,000 123,520
SunTelephone Co., Ltd................................. 78,000 228,187
*Suzutan Co., Ltd..................................... 156,000 262,233
*TYK Corp............................................. 58,000 104,500
Tabai Espec Corp...................................... 8,000 59,067
Tadano, Ltd........................................... 172,000 268,363
Taihei Dengyo Kaisha, Ltd............................. 58,000 124,969
Taihei Kogyo Co., Ltd................................. 101,000 138,825
Taikisha, Ltd......................................... 16,000 118,876
*Taisei Prefab Construction Co., Ltd.................. 265,000 216,578
Taisei Rotec Corp..................................... 220,000 314,650
Taiyo Toyo Sanso Co., Ltd............................. 164,000 284,820
Takada Kiko Co., Ltd.................................. 73,000 305,763
*Taka-Q Co., Ltd...................................... 98,000 140,162
Takara Co., Ltd....................................... 97,000 396,378
</TABLE>
19
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
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------ ------
<S> <C> <C>
Takiron Co., Ltd...................................... 157,000 $ 596,359
Tamura Corp........................................... 73,000 318,644
Tasaki Shinju Co., Ltd................................ 65,000 263,802
*Tatsuta Electric Wire & Cable Co., Ltd............... 90,000 139,587
*Tayca Corp........................................... 169,000 382,967
Teikoku Hormone Manufacturing Co., Ltd................ 76,000 536,429
Teikoku Tsushin Kogyo Co., Ltd........................ 63,000 217,655
*Tekken Corp.......................................... 204,000 215,983
Tenma Corp............................................ 42,000 446,622
Tetra Co., Ltd., Tokyo................................ 31,000 59,020
Titan Kogyo KK........................................ 86,000 146,162
Toa Doro Kogyo Co., Ltd............................... 76,000 162,340
*Toa Wool Spinning & Weaving Co., Ltd................. 185,000 161,504
Toagosei Co., Ltd..................................... 353,000 681,904
*Tobu Store Co., Ltd.................................. 168,000 294,887
Tochigi Bank, Ltd..................................... 86,000 471,233
Tochigi Fuji Industrial Co., Ltd...................... 125,000 237,985
Toda Kogyo Corp....................................... 156,000 764,968
Toenec Corp........................................... 124,000 424,945
Tohto Suisan Co., Ltd................................. 135,000 426,283
*Tokai Senko KK, Nagoya............................... 118,000 147,945
Tokico, Ltd........................................... 160,000 304,620
*Tokimec, Inc......................................... 107,000 136,141
Tokushu Paper Manufacturing Co., Ltd.................. 42,000 159,536
Tokyo Denki Komusho Co., Ltd.......................... 82,000 284,820
*Tokyo Nissan Auto Sales Co., Ltd..................... 34,000 57,153
Tokyo Steel Manufacturing Co., Ltd.................... 215,100 687,201
Tokyo Tatemono Co., Ltd............................... 294,000 546,088
*Tokyo Tekko Co., Ltd................................. 170,000 113,675
*Tokyu Car Corp....................................... 175,000 133,271
*Tokyu Construction Co., Ltd.......................... 223,000 126,334
*Tokyu Department Store Co., Ltd...................... 329,000 268,883
*Tokyu Hotel Chain Co., Ltd........................... 81,000 131,646
Tokyu Store Chain Corp................................ 86,000 238,012
*Tokyu Tourist Corp................................... 54,000 61,184
Toli Corp............................................. 85,000 151,567
Tomoe Corp............................................ 50,000 74,298
Tomoku Co., Ltd....................................... 99,000 175,612
Tonami Transportation Co., Ltd........................ 126,000 228,187
Topcon Corp........................................... 129,000 480,418
Topre Corp............................................ 92,000 275,124
Torishima Pump Manufacturing Co., Ltd., Osaka......... 93,000 449,129
Toshiba Engineering & Construction Co., Ltd........... 89,000 181,017
Toshiba Tungaloy Co., Ltd............................. 97,000 429,710
Tosho Printing Co., Ltd............................... 63,000 129,306
*Tostem Viva Corp..................................... 87,000 315,115
Totetsu Kogyo Co., Ltd................................ 117,000 233,620
*Totoku Electric Co., Ltd., Tokyo..................... 57,000 163,046
*Toyo Construction Co., Ltd........................... 266,000 224,806
*Toyo Electric Co., Ltd............................... 14,000 20,153
*Toyo Engineering Corp................................ 226,000 207,792
Toyo Ink Manufacturing Co., Ltd....................... 378,000 786,366
*Toyo Kanetsu KK...................................... 182,000 169,027
Toyo Radiator Co., Ltd................................ 93,000 336,847
*Toyo Securities Co., Ltd............................. 267,000 986,914
*Toyo Shutter Co., Ltd................................ 66,000 63,134
<CAPTION>
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<S> <C> <C>
Toyo Wharf & Warehouse Co., Ltd....................... 103,000 $ 134,878
Toyota Tsusho Corp.................................... 20,000 67,054
*Tsubasa Securities Co. Ltd........................... 156,800 844,615
*Tsudakoma Corp....................................... 118,000 145,753
*Tsugami Corp......................................... 282,000 1,296,401
*Tsumura & Co., Inc................................... 44,000 162,637
Tsurumi Manufacturing Co., Ltd........................ 34,000 157,882
Tsutsunaka Plastic Industry Co., Ltd.................. 61,000 181,286
U-Shin, Ltd........................................... 32,000 139,977
Uchida Yoko Co., Ltd.................................. 101,000 529,036
Ueki Corp............................................. 113,000 178,407
*Unisia Jecs Corp..................................... 188,000 219,995
*Utoc Corp............................................ 22,000 26,561
Wakachiku Construction Co., Ltd....................... 167,000 204,727
Yahagi Construction Co., Ltd.......................... 130,000 458,788
Yamamura Glass Co., Ltd............................... 227,000 364,718
*Yamatane Corp........................................ 105,000 116,044
*Yamato International, Inc............................ 72,000 87,597
Yodogawa Steel Works, Ltd............................. 182,000 456,373
Yokogawa Bridge Corp.................................. 66,000 224,955
Yokohama Reito Co., Ltd............................... 8,000 48,665
Yondenko Corp......................................... 139,650 415,026
Yorozu Corp........................................... 26,000 77,028
Yuasa Trading Co., Ltd................................ 57,000 68,818
*Yuken Kogyo Co., Ltd................................. 55,000 57,720
Yurtec Corp........................................... 80,000 219,178
*Zexel Corp........................................... 10,000 13,188
------------
TOTAL COMMON STOCKS
(Cost $202,395,307).................................. 119,654,901
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $45,645)...................................... 45,442
------------
TOTAL -- JAPAN
(Cost $202,440,952).................................. 119,700,343
------------
UNITED KINGDOM -- (17.2%)
COMMON STOCKS -- (17.2%)
600 Group P.L.C....................................... 155,890 104,854
AIM Group P.L.C....................................... 32,556 74,209
API Group P.L.C....................................... 16,000 66,963
ASDA Property Holdings P.L.C.......................... 140,000 374,572
*ASW Holdings P.L.C................................... 1,067,640 175,538
Abbeycrest P.L.C...................................... 70,000 117,708
*Acatos & Hutcheson P.L.C............................. 100,404 82,541
Adam & Harvey Group P.L.C............................. 8,000 12,795
Aggregate Industries P.L.C............................ 5,685 5,842
Airflow Streamlines P.L.C............................. 19,305 36,358
Airsprung Furniture Group P.L.C....................... 80,900 138,455
Alexanders Holdings P.L.C............................. 71,000 30,245
Alexandra Workwear P.L.C.............................. 46,000 104,509
*Alldays P.L.C........................................ 200,000 122,565
Allders P.L.C......................................... 156,842 218,022
Allied Leisure P.L.C.................................. 124,719 230,226
Allied Textile Companies P.L.C........................ 126,205 256,549
Alumasc Group P.L.C................................... 150,000 248,868
Amstrad P.L.C......................................... 86,077 238,020
*Anglesey Mining P.L.C................................ 100,000 5,979
Anglo Eastern Plantations P.L.C....................... 57,195 38,043
*Anite Group P.L.C.................................... 800,000 1,937,131
Antofagasta Holdings P.L.C............................ 15,800 78,760
Arcadia Group P.L.C................................... 215,588 164,342
</TABLE>
20
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Armitage Brothers P.L.C............................... 10,000 $ 27,278
*Armour Trust P.L.C................................... 225,000 55,491
Ascot P.L.C........................................... 174,615 789,516
Ash & Lacy P.L.C...................................... 150,000 312,766
Ashtenne Holdings P.L.C............................... 50,000 137,886
Austin Reed Group P.L.C............................... 138,001 203,176
Avesco P.L.C.......................................... 38,571 501,573
Avon Rubber P.L.C..................................... 48,840 154,762
*Azlan Group P.L.C.................................... 185,000 382,980
BICC P.L.C............................................ 140,332 186,681
BLP Group P.L.C....................................... 35,000 26,942
*BS P.L.C............................................. 5,000 7,997
BSS Group P.L.C....................................... 77,000 336,644
Babcock International Group P.L.C..................... 550,000 838,527
Baggeridge Brick P.L.C................................ 96,100 132,868
Baird (William) P.L.C................................. 236,500 217,400
Barlows P.L.C......................................... 100,000 78,472
Barr (A.G.) P.L.C..................................... 7,500 43,720
Baynes (Charles) P.L.C................................ 200,000 127,050
Beale P.L.C........................................... 10,000 12,107
Beattie (James) P.L.C................................. 145,000 355,440
Beazer Group P.L.C.................................... 200,241 378,615
Belhaven Brewery Group P.L.C.......................... 12,000 33,810
Bellway P.L.C......................................... 76,000 287,969
Bemrose Corp. P.L.C................................... 14,065 81,149
Benchmark Group P.L.C................................. 92,000 309,403
Bentalls P.L.C........................................ 111,883 101,175
Bett Brothers P.L.C................................... 71,892 218,138
Birse Group P.L.C..................................... 529,277 89,000
Black Arrow Group P.L.C............................... 35,000 34,789
Blagden Industries P.L.C.............................. 181,983 208,088
Body Shop International P.L.C......................... 180,000 337,653
Boot (Henry) & Sons P.L.C............................. 50,000 148,723
Bourne End Properties P.L.C........................... 289,475 231,483
Breedon P.L.C......................................... 16,000 41,852
Bristol Water Holdings P.L.C.......................... 4,000 47,830
*British Biotech P.L.C................................ 640,896 215,538
British Mohair Holdings P.L.C......................... 10,000 16,965
British Polythene Industries P.L.C.................... 22,960 57,998
Brooke Industrial Holdings P.L.C...................... 25,000 22,607
Brooks Service Group P.L.C............................ 15,000 30,043
Brown & Jackson P.L.C................................. 458,200 1,064,975
*Brunel Holdings P.L.C................................ 200,000 10,463
Bryant Group P.L.C.................................... 598,601 1,046,833
Budgens P.L.C......................................... 327,148 315,397
Bullough P.L.C........................................ 235,000 158,065
Burford Holdings P.L.C................................ 300,000 446,168
*Burn Stewart Distillers P.L.C........................ 200,395 50,920
Burndene Investments P.L.C............................ 229,402 116,582
Burtonwood Brewery P.L.C.............................. 37,080 90,063
*CLS Holdings P.L.C................................... 254,181 623,076
CNC Properties P.L.C.................................. 97,796 179,065
Caffyns P.L.C......................................... 2,500 11,491
*Cairn Energy P.L.C................................... 100,290 242,844
*Cambridge Antibody Technology Group P.L.C............ 32,000 1,112,057
Cannons Group P.L.C................................... 134,444 244,158
Cape P.L.C............................................ 237,482 179,257
Capital & Regional Properties P.L.C................... 179,223 597,383
Carbo P.L.C........................................... 412,000 98,531
Carclo Engineering Group P.L.C........................ 144,314 283,654
Carr's Milling Industries P.L.C....................... 11,000 17,264
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Cathay International P.L.C........................... 920,000 $ 72,194
Chapelthorpe P.L.C.................................... 383,003 133,100
Chloride Group P.L.C.................................. 316,000 701,403
*Chorion P.L.C........................................ 87,600 56,630
*Churchill China P.L.C................................ 30,000 51,567
Clarkson (Horace) P.L.C............................... 75,061 109,389
Clinton Cards P.L.C................................... 107,415 192,664
Close Brothers Group P.L.C............................ 10,988 135,085
*Clubhaus P.L.C....................................... 67,733 64,794
Coats Viyella P.L.C................................... 924,730 770,573
Colefax & Fowler Group P.L.C.......................... 96,000 98,291
Community Hospitals Group P.L.C....................... 67,000 560,811
*Cook (D.C.) Holdings, Ltd............................ 200,000 43,346
Cornwell Parker P.L.C................................. 153,333 97,404
Cosalt P.L.C.......................................... 20,000 62,927
*Costain Group P.L.C.................................. 73,000 13,094
Country Gardens P.L.C................................. 24,000 97,753
Countryside Property P.L.C............................ 144,855 246,827
Countrywide Assured Group P.L.C....................... 94,783 209,675
Courts P.L.C.......................................... 141,633 592,757
Cox Insurance Holdings P.L.C.......................... 70,000 202,457
Cradley Group Holdings P.L.C.......................... 38,466 24,435
*Creighton Naturally P.L.C............................ 250,000 36,433
Crest Nicholson P.L.C................................. 545,000 1,022,337
Cropper (James) P.L.C................................. 14,000 35,260
*DRS Data Research Services P.L.C..................... 51,000 12,578
DTZ Holdings P.L.C.................................... 42,423 99,236
Daejan Holdings P.L.C................................. 34,500 439,610
*Dairy Crest Group P.L.C.............................. 223,000 573,307
*Dana Petroleum P.L.C., UK............................ 233,333 53,186
Dawson Group P.L.C.................................... 68,000 99,099
Dawson International P.L.C............................ 303,194 293,437
*Delancey Estates P.L.C............................... 63,465 87,747
*Delta P.L.C.......................................... 366,000 667,413
Delyn Group P.L.C. ................................... 18,000 76,409
Dencora P.L.C......................................... 25,000 98,277
Denmans Electrical P.L.C.............................. 53,568 112,496
Derwent Valley Holdings P.L.C......................... 94,000 845,118
Development Securities P.L.C.......................... 70,000 258,434
Dewhirst Group P.L.C.................................. 132,000 122,326
Diploma P.L.C......................................... 143,039 379,496
Dixon Motors P.L.C.................................... 165,000 403,233
Dolphin Packaging P.L.C............................... 21,000 72,194
Domino Printing Sciences P.L.C........................ 440,000 1,206,821
East Surrey Holdings P.L.C............................ 27,000 68,607
Eldridge Pope & Co. P.L.C............................. 25,000 73,801
Eleco Holdings P.L.C.................................. 68,900 24,716
Electronic Data Processing P.L.C...................... 55,900 119,064
*Elementis P.L.C...................................... 853,698 1,033,578
Emess P.L.C........................................... 200,000 103,882
*Energy Technique P.L.C............................... 25,000 3,176
Ennstone P.L.C........................................ 268,843 117,538
Enterprise Inns P.L.C................................. 6,307 35,493
Esporta P.L.C......................................... 127,900 189,260
Estates & General P.L.C............................... 75,000 100,892
Eurocopy P.L.C........................................ 156,700 52,114
European Motor Holdings P.L.C......................... 271,675 198,976
Europower P.L.C....................................... 115,564 9,500
*FII Group P.L.C...................................... 104,900 158,362
Fenner P.L.C.......................................... 175,000 240,647
Ferguson International Holdings P.L.C................. 88,836 46,474
</TABLE>
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Fine Art Developments P.L.C........................... 295,000 $ 1,210,371
Finlay (James) P.L.C.................................. 199,130 290,199
Firth Rixson P.L.C.................................... 493,563 287,714
*Fisher (Albert) Group P.L.C.......................... 55,000 62,067
Folkes Group P.L.C.................................... 15,000 19,170
Fortress Holdings P.L.C............................... 200,000 104,629
Freeport Leisure P.L.C................................ 12,000 111,654
*French P.L.C......................................... 17,000 11,816
Friendly Hotels P.L.C................................. 37,061 47,086
Frogmore Estates P.L.C................................ 103,039 726,938
*Fuller, Smith & Turner P.L.C. Series A............... 37,000 237,807
Fulmar P.L.C.......................................... 32,500 32,304
*GBE International P.L.C.............................. 309,427 0
*GEI International P.L.C.............................. 156,716 18,739
Galliford P.L.C....................................... 160,000 60,386
Garban Intercapital P.L.C............................. 41,977 120,780
Garton Engineering P.L.C.............................. 6,000 7,085
Gaskell P.L.C......................................... 40,000 54,407
*Gearhouse Group P.L.C................................ 12,000 14,349
Gleeson (M.J.) Group P.L.C............................ 18,829 166,751
Glenchewton P.L.C..................................... 100,000 107,618
Goodwin P.L.C......................................... 5,000 4,372
Gowrings P.L.C........................................ 15,000 23,429
Grainger Trust, Ltd................................... 42,000 252,679
Grampian Holdings P.L.C............................... 64,713 81,250
Grantchester Holdings P.L.C........................... 135,930 328,127
Greene King P.L.C..................................... 135,026 931,415
*Greenwich Resources P.L.C............................ 156,000 14,573
Haden Maclellan Holdings P.L.C........................ 64,000 35,394
Halstead (James) Group P.L.C.......................... 76,066 196,125
*Hampton Trust P.L.C.................................. 200,491 49,446
*Hanover International P.L.C.......................... 29,169 49,485
Hardys & Hansons P.L.C................................ 96,200 309,868
Hartstone Group P.L.C................................. 1,182,431 97,206
Harvey's Furnishing P.L.C............................. 350,000 617,311
Hawtin P.L.C.......................................... 150,000 34,752
Haynes Publishing Group P.L.C......................... 23,932 57,234
Hazlewood Foods P.L.C................................. 395,500 490,658
Headway P.L.C......................................... 25,000 18,497
Helical Bar P.L.C..................................... 34,500 301,668
Hewden-Stuart P.L.C................................... 140,000 155,897
*Hi-Tech Sports P.L.C................................. 92,142 36,497
Hickson International P.L.C........................... 853,872 331,833
Highbury House Communications P.L.C................... 283,333 255,157
*Highbury House Communications P.L.C. Issue 2000...... 155,833 140,919
Hill & Smith Holdings P.L.C........................... 74,890 58,767
Holidaybreak P.L.C.................................... 8,550 38,850
*Horace Small Apparel P.L.C........................... 64,000 186,060
House of Fraser P.L.C................................. 140,000 101,490
*Howard Holdings P.L.C................................ 100,000 56,799
Hunting P.L.C......................................... 37,015 77,180
*Huntingdon Life Sciences Group P.L.C................. 773,340 144,489
IAF Group P.L.C....................................... 66,500 63,614
Iceland Group P.L.C................................... 23,000 83,023
Inchcape P.L.C........................................ 84,666 338,522
*Independent Insurance Group P.L.C.................... 220,000 808,932
Industrial Control Services Group P.L.C............... 200,000 20,178
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Intelek P.L.C......................................... 25,000 $ 10,463
Inveresk P.L.C........................................ 124,500 50,244
Jacobs (John I.) P.L.C................................ 133,169 104,500
Jarvis Hotels P.L.C................................... 400,000 591,901
Jarvis P.L.C.......................................... 300,000 712,972
Jarvis Porter Group P.L.C............................. 51,000 27,443
John David Sports P.L.C............................... 200,000 394,601
Johnson Group Cleaners P.L.C.......................... 37,000 129,411
Johnston Group P.L.C.................................. 21,000 140,935
Joseph (Leopold) Holdings P.L.C....................... 9,000 85,422
*Kalamazoo Computer Group P.L.C....................... 12,200 6,747
*Kenwood Appliances P.L.C............................. 119,108 121,951
Kier Group P.L.C...................................... 12,196 41,472
Kunick P.L.C.......................................... 799,000 364,251
Laing (John) P.L.C.................................... 76,942 254,165
Laird Group P.L.C..................................... 99,900 326,265
Lambert Howarth Group P.L.C........................... 15,073 54,972
*Lamont Holdings P.L.C................................ 100,000 27,652
*Laura Ashley Holdings P.L.C.......................... 300,000 77,351
Leeds Group P.L.C..................................... 241,639 162,530
Leicester City P.L.C.................................. 100,000 57,546
*Liberty P.L.C........................................ 69,900 305,603
*Lilleshall P.L.C..................................... 29,000 21,890
Linden P.L.C.......................................... 45,535 162,326
Linton Park P.L.C..................................... 30,500 135,625
*Lionheart P.L.C...................................... 120,000 15,246
Locker (Thomas) Holdings P.L.C........................ 419,082 100,224
London Clubs International P.L.C...................... 291,000 419,734
*London Forfeiting Co................................. 66,200 16,821
London Industrial P.L.C............................... 30,822 390,440
London Merchant Securities P.L.C...................... 355,222 915,889
Lookers P.L.C......................................... 168,983 185,645
Low & Bonar P.L.C..................................... 120,000 242,141
MFI Furniture Group P.L.C............................. 416,100 376,277
MS International P.L.C................................ 49,000 16,296
MacDonald Hotels P.L.C................................ 18,000 47,756
MacFarlane Group Clansman P.L.C....................... 88,000 84,182
*Mackie International Group P.L.C..................... 33,250 0
Mallett P.L.C......................................... 25,000 56,051
Manganese Bronze Holdings P.L.C....................... 10,000 30,567
Marshalls P.L.C....................................... 225,001 790,326
Martin International Holdings P.L.C................... 226,800 44,070
Marylebone Warwick Balfour Group P.L.C................ 47,690 107,280
Matthews (Bernard) P.L.C.............................. 219,058 491,139
Mayborn Group P.L.C................................... 50,000 48,951
McAlpine (Alfred) P.L.C............................... 126,000 358,773
McCarthy & Stone P.L.C................................ 155,000 627,849
McKay Securities P.L.C................................ 94,000 195,298
McLeod Russell Holdings P.L.C......................... 31,000 19,693
Mentmore Abbey P.L.C.................................. 300,380 826,119
*Merant P.L.C......................................... 87,500 183,101
Merchant Retail Group P.L.C........................... 153,000 144,074
*Merrydown P.L.C...................................... 94,172 42,931
Mersey Docks & Harbour Co. P.L.C...................... 45,030 323,744
Metalrax Group P.L.C.................................. 200,000 170,396
Microgen Holdings P.L.C............................... 45,600 274,337
Mid-States P.L.C...................................... 50,000 17,189
Molins P.L.C.......................................... 57,750 120,847
Moorfield Estates P.L.C............................... 493,333 217,529
Mowlem (John) & Co. P.L.C............................. 454,478 750,636
Mucklow (A & J) Group P.L.C........................... 160,000 418,516
</TABLE>
22
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Nightfreight P.L.C.................................... 75,000 $ 55,210
Northamber P.L.C...................................... 23,000 41,426
Northern Leisure P.L.C................................ 15,882 36,914
Old English Pub Company P.L.C......................... 70,000 117,708
*Oliver Group P.L.C................................... 43,000 6,106
*Orb Estates P.L.C.................................... 40,000 27,801
*Orbis P.L.C.......................................... 63,000 26,367
Owen (H.R.) P.L.C..................................... 70,000 104,106
Oxford Instruments P.L.C.............................. 143,399 371,877
*Oxford Molecular Group P.L.C......................... 48,000 18,295
*PGA European Tour Courses P.L.C...................... 80,000 47,830
*PPL Therapeutics P.L.C............................... 27,000 71,633
*Paladin Resources P.L.C.............................. 204,394 76,377
Panther Securities P.L.C.............................. 40,000 72,941
*Partners Holdings P.L.C.............................. 80,000 25,111
Partridge Fine Arts P.L.C............................. 33,000 31,321
Paterson Zochonis P.L.C............................... 40,000 218,226
Peel Holdings P.L.C................................... 74,000 558,569
Pendragon P.L.C....................................... 95,000 187,435
*Peptide Therapeutics Group P.L.C..................... 180,000 224,653
Perry Group P.L.C..................................... 79,000 100,369
Persimmon P.L.C....................................... 221,614 632,681
Peterhouse Group P.L.C................................ 41,919 203,633
Photo-Me International P.L.C.......................... 137,500 416,181
Pifco Holdings P.L.C.................................. 19,500 46,052
Pillar Property P.L.C................................. 81,363 379,433
Pittards P.L.C........................................ 39,000 28,855
*Plantation & General Investment P.L.C................ 64,601 30,899
Portmeirion Potteries (Holdings) P.L.C................ 16,044 38,370
*Premier Consolidated Oilfields P.L.C................. 2,628,330 461,606
*Princedale Group P.L.C............................... 100,000 11,210
*Probus Estates P.L.C................................. 416,666 34,253
*Property Partnerships P.L.C.......................... 10,000 11,958
*Provalis P.L.C....................................... 110,769 31,458
Prowting P.L.C........................................ 113,261 175,216
QS Holdings P.L.C..................................... 102,000 52,598
*Quadrant Group P.L.C................................. 5,900 6,835
*Quality Software Products Holdings P.L.C............. 13,750 162,876
Queensborough Holdings P.L.C.......................... 187,000 48,914
Quick Group P.L.C..................................... 217,071 149,250
Quintain Estates & Development P.L.C.................. 153,155 344,526
RCO Holdings P.L.C.................................... 20,000 82,358
RJB Mining P.L.C...................................... 500,000 283,993
Radamec Group P.L.C................................... 20,000 11,360
Raglan Property P.L.C................................. 313,895 153,656
Ransom (William) & Son P.L.C.......................... 75,000 58,293
Reed Executive P.L.C.................................. 15,000 53,249
Reg Vardy P.L.C....................................... 101,000 397,037
Regal Hotel Group P.L.C............................... 1,450,000 476,809
Renold P.L.C.......................................... 338,000 550,677
*Richards P.L.C....................................... 62,000 10,194
Roseby's P.L.C........................................ 45,000 262,320
Rowe Evans Investments P.L.C.......................... 95,900 96,756
*Royal Doulton P.L.C.................................. 147,000 187,861
Rugby Estates P.L.C................................... 32,000 85,377
Russell (Alexander) P.L.C............................. 40,000 71,746
Rutland Trust P.L.C................................... 182,210 123,919
S & U P.L.C........................................... 7,000 28,041
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*SEP Industrial Holdings P.L.C........................ 370,000 $ 74,660
Safeland P.L.C........................................ 100,000 59,788
*Safestore P.L.C...................................... 35,897 36,754
Salvesen (Christian) P.L.C............................ 74,500 135,297
Sanderson Bramall Motor Group P.L.C................... 170,720 313,865
*Save Group P.L.C..................................... 196,000 149,410
Saville (J.) Gordon Group P.L.C....................... 587,302 662,769
Savills P.L.C......................................... 21,000 63,405
Scapa Group P.L.C..................................... 99,600 202,466
Scottish Metropolitan Property P.L.C.................. 407,167 699,881
Seacon Holdings P.L.C................................. 50,000 20,178
Seton Healthcare Group P.L.C.......................... 12,776 137,398
Shaftesbury P.L.C..................................... 183,333 650,816
Shani Group P.L.C..................................... 30,000 15,694
*Sheffield United P.L.C............................... 88,000 17,757
*Sherwood Group P.L.C................................. 202,000 37,741
*ShopRite Group P.L.C................................. 146,000 30,552
Silentnight Holdings P.L.C............................ 30,000 102,013
Simon Engineering P.L.C............................... 175,847 144,561
Sinclair (William) Holdings P.L.C..................... 40,000 59,190
Sirdar P.L.C.......................................... 219,721 193,766
Slug and Lettuce Group P.L.C.......................... 32,000 70,550
Smart (J.) & Co. (Contractors) P.L.C.................. 8,000 30,193
*Smith (David S.) Holdings P.L.C...................... 47,000 101,513
Smith (James) Estates P.L.C........................... 95,000 216,545
*Soco International P.L.C............................. 48,000 57,755
*Solvera P.L.C........................................ 99,000 7,029
*St. Ives P.L.C....................................... 9,377 60,829
St. Modwen Properties P.L.C........................... 214,000 339,857
Stadium Group P.L.C................................... 121,591 125,402
Stanley Leisure Organisation P.L.C.................... 152,932 446,888
Stat-Plus Group P.L.C................................. 25,300 26,282
*Staveley Industries P.L.C............................ 65,000 46,149
Stirling Group P.L.C.................................. 214,889 70,663
*Stoddard Sekers International P.L.C.................. 98,000 6,958
Storehouse P.L.C...................................... 694,930 451,840
Stratagem Group P.L.C................................. 47,000 24,939
Stylo P.L.C........................................... 16,588 5,951
Swallowfield P.L.C.................................... 25,000 30,828
Swan Hill Group P.L.C................................. 87,000 109,233
Syltone P.L.C......................................... 29,000 41,396
TGI Group P.L.C....................................... 39,000 26,815
TT Group P.L.C........................................ 101,703 190,019
*Tadpole Technology P.L.C............................. 53,280 32,054
*Tandem Group P.L.C................................... 472,000 35,275
*Tay Homes P.L.C...................................... 103,937 104,864
*Tbi P.L.C............................................ 221,000 195,720
Telemetrix P.L.C...................................... 170,214 782,338
Tex Holdings P.L.C.................................... 11,000 20,141
The Cardiff Property P.L.C............................ 4,000 26,367
Thorpe (F.W.) P.L.C................................... 15,000 25,671
Tilbury Douglas P.L.C................................. 33,652 172,779
Time Products P.L.C................................... 81,758 109,372
Tinsley (Eliza) Group P.L.C........................... 27,781 31,143
Tops Estates P.L.C.................................... 82,557 176,459
*Torday & Carlisle P.L.C.............................. 72,600 17,362
*Tottenham Hotspur P.L.C.............................. 70,000 73,240
Town Centre Securities (New) P.L.C.................... 227,419 290,634
Transport Development Group P.L.C..................... 285,056 769,062
Transtec P.L.C........................................ 305,000 29,632
*Tring International Group P.L.C...................... 60,000 0
</TABLE>
23
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Try Group P.L.C....................................... 91,160 $ 38,833
UCM Group P.L.C....................................... 46,000 57,411
UK Land............................................... 16,000 43,047
*Union P.L.C.......................................... 100,000 28,399
United Industries P.L.C............................... 97,824 47,521
*United Overseas Group P.L.C.......................... 78,000 23,609
*Utility Cable P.L.C.................................. 200,000 0
*Vanguard Medica Group P.L.C.......................... 18,000 58,518
*Vert (Jacques) P.L.C................................. 45,000 11,434
Vibroplant P.L.C...................................... 185,000 152,086
Viglen Technology P.L.C............................... 137,200 212,250
*Villiers Group P.L.C................................. 183,700 63,153
Vtr P.L.C............................................. 13,000 25,746
Walker Greenbank P.L.C................................ 144,910 72,560
Ward Holdings P.L.C................................... 206,900 128,340
Warner Estate Holdings P.L.C.......................... 99,000 368,458
Warnford Investments P.L.C............................ 12,000 58,293
Waterman Partnership Holdings P.L.C................... 25,000 31,576
Wates City of London Properties P.L.C................. 381,099 467,096
Wembley P.L.C......................................... 53,000 368,369
Wescol Group P.L.C.................................... 31,000 9,035
Westbury P.L.C........................................ 162,482 576,797
*Whitecroft P.L.C..................................... 70,000 17,787
Wilshaw P.L.C......................................... 28,000 20,089
Wilson (Connolly) Holdings P.L.C...................... 415,400 804,063
*Wimpey (George) P.L.C................................ 258,600 430,980
Wintrust P.L.C........................................ 24,000 173,983
Wolstenholme Rink P.L.C............................... 4,000 22,719
Wolverhampton & Dudley Breweries P.L.C................ 191,939 996,947
Wyevale Garden Centres P.L.C.......................... 50,000 352,376
*YJL P.L.C............................................ 29,000 6,935
Yorklyde P.L.C........................................ 14,000 15,276
Yorkshire Group P.L.C................................. 117,096 106,764
Young & Co's Brewery P.L.C. Class A................... 5,000 44,841
Young (H.) Holdings P.L.C............................. 38,666 43,057
Zotefoams P.L.C....................................... 20,000 28,698
------------
TOTAL COMMON STOCKS
(Cost $90,242,735)................................... 81,318,497
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $56,013)...................................... 56,557
------------
RIGHTS/WARRANTS -- (0.0%)
*Evans of Leeds Contingent Units...................... 238,000 0
*Quintain Estates Letters of Entitlement.............. 42,000 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- UNITED KINGDOM
(Cost $90,298,748)................................... 81,375,054
------------
FRANCE -- (7.5%)
COMMON STOCKS -- (7.5%)
Agricole de la Crau................................... 204 12,780
Alain Manoukian SA.................................... 9,565 403,613
*Arbel SA............................................. 1,583 16,296
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 100 $ 11,871
Bains de Mer et du Cercle des Etrangers a Monaco...... 6,329 821,735
*Bazar de l'Hotel de Ville SA......................... 9,361 1,198,036
Burelle SA............................................ 10,986 794,699
*CEE (Continentale d'Equipements Electriques)......... 2,215 9,244
*COFIGEO (Cie Financiere Geo)......................... 205 21,274
*CPR (Cie Parisienne de Reescompte)................... 17,123 628,686
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 6,010 362,290
*Caisse Regionale de Credit Agricole Mutuel de la Brie
Em 00............................................... 181 10,542
Cambodge.............................................. 399 277,155
*Cascades SA.......................................... 22,612 42,989
Christian Dalloz SA................................... 2,000 127,240
*Cie Francaise des Ferrailles......................... 9,710 453,406
Conflandey SA......................................... 1,939 58,443
Continentale d'Entreprises SA......................... 19,198 738,878
*Crometal SA.......................................... 1,120 54,116
*DMC (Dollfus Mieg et Cie)............................ 38,146 155,657
De Dietrich & Co...................................... 38,762 2,284,495
De la Rue Imperiale de Lyon........................... 2,000 3,815,335
*Desquenne et Giral SA................................ 4,761 61,815
Didot-Bottin.......................................... 1,204 67,386
Exacompta Clairefontaine SA........................... 1,233 94,909
Explosifs et de Produits Chimiques.................... 312 46,296
*Faurecia SA.......................................... 7,425 311,246
Fimalac SA............................................ 10,590 1,532,107
Fonderies Franco Belge................................ 913 66,933
Forges Stephanoises SA................................ 300 22,592
France-Africaine de Recherches Petrolieres
(Francarep)......................................... 1,822 80,347
*France-Africaine de Recherches Petrolieres
(Francarep) Em 00................................... 182 8,140
Gantois Series A...................................... 465 49,377
Gascogne SA........................................... 10,334 732,680
*Generale de Geophysique SA........................... 4,259 262,662
*Geodis SA............................................ 3,300 222,340
Gevelot............................................... 2,400 93,482
Groupe Guillin SA..................................... 480 12,242
Groupe Zannier SA..................................... 26,650 1,531,112
*Guerbet SA........................................... 15,148 295,717
Hbs Technologie SA.................................... 405 13,221
*ICBT Groupe SA....................................... 8,110 195,552
IMS International Metal Service SA.................... 13,100 101,565
Immobanque............................................ 9,394 1,035,859
Immobiliere Complexes Commerciaux SA.................. 6,452 244,131
*Immobiliere et Hoteliere SA.......................... 27,700 30,056
Jet Multimedia SA..................................... 2,000 124,086
Legris Industries SA.................................. 8,500 347,637
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 12,163 1,341,192
Maire (Henri)......................................... 1,252 13,004
*Marie Brizard & Roger International SA............... 3,181 191,459
Matussiere et Forest SA............................... 7,020 45,442
*Metaleurop SA........................................ 43,410 293,887
</TABLE>
24
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Mors................................................. 37,132 $ 26,516
*NAF NAF SA........................................... 36,191 505,133
Nord-Est SA........................................... 22,587 564,947
*Nordon & Cie......................................... 1,600 77,753
PSB Industries SA..................................... 1,838 126,138
*Paul Predault SA..................................... 6,400 64,696
*Pier Import Europe SA................................ 18,642 121,020
Plastic Omnium........................................ 8,895 965,162
Radiall SA............................................ 200 24,020
*Remy Cointreau SA.................................... 26,500 572,625
Robertet SA........................................... 200 38,951
*Rochette............................................. 138,121 821,081
Rougier SA............................................ 2,715 154,725
*Rouleau-Guichard SA.................................. 2,495 88,205
*SDR de Bretagne SA................................... 3,200 23,712
SILIC (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,483 497,765
Sabeton............................................... 1,846 237,966
Sechilienne........................................... 100 26,895
Securidev SA.......................................... 16,908 161,039
*Sediver Societe Europeenne d'Isolateurs en Verne et
Composite........................................... 125 2,261
*Selectibanque SA..................................... 46,567 734,168
Signaux et d'Equipements Electroniques SA............. 13,500 732,416
Signaux Girod SA...................................... 5,407 146,422
Skis Rossignol SA..................................... 7,216 99,579
Smoby SA.............................................. 1,600 53,671
*Societe des Immeubles de France...................... 146,528 2,471,848
Societe Financiere Immobail SA........................ 9,997 346,745
Societe Francais des Papiers Peints................... 140 5,869
Sommer-Allibert SA.................................... 19,000 581,482
Sucriere de Pithiviers-le-Vieil....................... 340 97,748
Sylea SA.............................................. 4,300 210,159
Teisseire France SA................................... 6,492 112,587
Tivoly SA............................................. 1,904 29,842
*Trouvay et Cauvin SA................................. 9,481 96,720
UNIBAIL (Union du Credit Bail Immobiliere )........... 3,962 510,003
VM Materiaux SA....................................... 1,636 72,827
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 43,572 1,575,943
Via Banque............................................ 21,658 622,656
Vilmorin et Cie SA.................................... 2,100 140,613
------------
TOTAL COMMON STOCKS
(Cost $34,396,951)................................... 35,509,162
------------
RIGHTS/WARRANTS -- (0.0%)
*Continental d'Enterprises SA Warrants 10/31/01
(Cost $30,655)...................................... 22,587 31,421
------------
TOTAL -- FRANCE
(Cost $34,427,606)................................... 35,540,583
------------
GERMANY -- (6.9%)
COMMON STOCKS -- (6.9%)
*Aigner (Etienne) AG.................................. 454 69,472
Andreae-Noris Zahn AG, Anzag.......................... 18,550 321,702
Anterra Vermoegensverwaltungs AG...................... 3,920 276,292
Balcke-Duerr AG....................................... 79,800 925,824
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Bayerische Handelsbank AG............................. 51,240 $ 1,306,803
*Beta Systems Software AG............................. 16,700 144,035
Bien-Haus AG.......................................... 11,600 190,952
Bilfinger & Berger Bau AG, Mannheim................... 38,319 570,371
Biotest AG............................................ 7,300 136,755
*Bremer Woll-Kaemmerei AG............................. 53,100 177,282
Brillant AG........................................... 300 35,612
Brueder Mannesmann AG................................. 11,700 61,848
*Campina AG........................................... 4,774 276,714
Cewe Color Holding AG................................. 5,000 113,607
Deutsche Verkehrs-Bank AG............................. 7,765 742,452
*Dierig Holding AG.................................... 8,750 93,320
Duerr Beteiligungs AG................................. 5,900 126,943
*Dyckerhoff AG........................................ 16,200 420,670
Dyckerhoff and Widmann AG............................. 122,240 657,521
Escada AG............................................. 5,709 579,752
Eurobike AG........................................... 18,900 217,346
Fag Kugelfischer Georg Schaeffer AG................... 199,050 1,476,796
*Flender (A. Friedrich) AG............................ 98,320 1,139,778
Fuchs Petrolub AG Oel & Chemie........................ 5,700 385,892
*GAM World Multi-Fund, Inc. - Deutsche Mark Class..... 2,588 237,612
*Grammer AG........................................... 33,200 314,056
Heilit & Woerner Bau AG............................... 85,420 316,875
*Herlitz AG........................................... 13,643 146,137
*Holzmann (Philipp) AG................................ 6,200 109,248
*Hucke AG............................................. 25,100 80,774
Hutschenreuther AG.................................... 8,591 59,755
Iwka AG............................................... 20,300 314,211
K & S Aktiengesellschaft AG........................... 80,800 1,192,952
KSB AG................................................ 4,200 397,299
*Kaufring AG.......................................... 12,600 103,999
Kolbenschmidt Pierburg AG, Duesseldorf................ 36,700 486,710
*Leica Camera AG...................................... 4,000 32,719
Leoni AG.............................................. 5,400 143,228
*Loesch Umweltschutz AG............................... 16,000 59,354
*MVS Miete Vertrieb Service AG........................ 45,052 94,008
*Mauser Waldeck AG.................................... 1,151 69,384
*Neue Baumwoll-Spinnerei und Weberei Hof AG........... 16,730 144,294
Norddeutsche Steingutfabrik AG........................ 9,215 101,698
Nuernberger Hypothekenbank AG......................... 38,050 1,040,987
*Otto Reichelt AG..................................... 54,254 327,050
*Pfaff (G.M.) AG...................................... 80,930 45,033
Phoenix AG, Hamburg................................... 71,247 766,466
Plettac AG............................................ 11,000 149,961
Rheinboden Hypothekenbank AG.......................... 39,000 868,049
Rheinmetall Berlin AG................................. 85,490 1,244,754
Salamander AG......................................... 129,990 1,675,688
Salzgitter AG......................................... 278,309 2,064,837
Schmalbach-Lubeca AG.................................. 445,380 2,358,497
Scor Deutschland Rueckversicherungs AG................ 1,749 197,887
Sinn AG............................................... 1,001 99,795
Stern-Brauerei Carl Funke AG.......................... 300 16,971
*Stoehr & Co. AG...................................... 44,310 197,247
*Strabag AG........................................... 25,750 909,852
Sueddeutsche Bodencreditbank AG....................... 49,007 1,499,825
*Tiptel AG............................................ 13,600 65,586
*Triton-Belco AG, Hamburg............................. 2,977 36,168
</TABLE>
25
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Tucher Braeu AG....................................... 1,047 $ 45,637
VK Muehlen AG......................................... 4,268 209,782
Varta AG.............................................. 93,990 836,799
Vossloh AG............................................ 39,200 772,527
Walter AG............................................. 16,900 336,972
Walter Bau AG, Augsburg............................... 44,270 293,551
Westag and Getalit AG, Rheda-Wiedenbrueck............. 19,800 257,076
*Windhoff AG.......................................... 11,400 49,796
Wuerttembergische Metallwarenfabrik AG................ 64,620 1,000,811
*Zanders Feinpapiere AG............................... 10,902 611,688
------------
TOTAL COMMON STOCKS
(Cost $45,180,317)................................... 32,831,344
------------
RIGHTS/WARRANTS -- (0.0%)
*Sueddeutsche Bodencreditbank AG Rights 06/06/00
(Cost $0)........................................... 2 0
------------
TOTAL -- GERMANY
(Cost $45,180,317)................................... 32,831,344
------------
SWITZERLAND -- (5.0%)
COMMON STOCKS -- (5.0%)
AFG Arbonia Foster Holding AG, Arbon.................. 150 84,602
Attisholz Holding AG, Attisholz....................... 1,670 916,289
Banque Cantonale de Geneve............................ 450 66,239
Banque Privee Edmond de Rothschild SA, Geneve......... 105 479,782
Bobst SA, Prilly...................................... 2,130 3,028,513
Bucher Holding AG, Niederweningen..................... 2,125 1,766,456
Caisse d'Epargne Cantonale Vaudoise, Lausanne......... 1,900 281,919
Calida Holding AG..................................... 400 70,797
Canon (Schweiz) AG, Dietlikon......................... 9,900 470,764
*Carlo Gavazzi Holding AG, Baar Series B.............. 253 253,748
Cie Financiere Tradition.............................. 750 92,921
Coop Bank, Basel...................................... 370 224,839
Daetwyler Holding AG, Atldorf......................... 940 1,220,066
Financiere Michelin, Granges-Paccot................... 740 262,822
Forbo Holding AG, Eglisau............................. 7,331 2,845,915
Galenica Holding AG, Bern Series B.................... 3,115 2,214,512
Golay-Buchel Holding SA, Lausanne..................... 125 185,104
Industrieholding Cham AG, Cham........................ 650 444,840
Kuehne & Nagel International AG....................... 1,400 668,205
Lem Holdings AG, Lyss................................. 180 26,761
Maag Holding AG, Zuerich.............................. 1,900 289,205
Moevenpick-Holding, Zuerich........................... 470 213,512
*Nextrom Holding SA................................... 200 22,419
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 1,666 2,779,632
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich..... 50 16,962
UMS Schweizerische Metallwerke Holding AG, Bern....... 3,200 219,942
Unigestion Holding, Geneve............................ 9,200 580,770
Valiant Holding....................................... 550 227,140
Vaudoise Assurances Holding, Lausanne................. 189 362,392
*Von Roll Holding AG, Gerlafingen..................... 15,045 188,618
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
WMH Walter Meier Holding AG, Staefa................... 260 $ 248,497
Zehnder Holding AG.................................... 50 31,239
Zellweger Luwa AG, Uster.............................. 590 315,017
*Zschokke Holding SA, Geneve.......................... 1,950 712,128
*Zueblin Holding AG................................... 440 2,479
Zuercher Ziegeleien Holding, Zuerich.................. 2,000 1,734,523
------------
TOTAL COMMON STOCKS
(Cost $21,229,212)................................... 23,549,569
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $73,219)...................................... 73,963
------------
RIGHTS/WARRANTS -- (0.0%)
*Maag Holding AG Options 09/26/00
(Cost $0)........................................... 1,900 4,484
------------
TOTAL -- SWITZERLAND
(Cost $21,302,431)................................... 23,628,016
------------
HONG KONG -- (4.1%)
COMMON STOCKS -- (4.1%)
ALCO Holdings, Ltd.................................... 710,000 48,293
Acme Landis Holdings, Ltd............................. 130,000 28,529
*Allied Group, Ltd.................................... 5,364,000 406,155
*Allied Properties (Hong Kong), Ltd................... 6,468,000 373,537
*Applied International Holdings, Ltd.................. 1,150,000 34,831
*Asia Commercial Holdings, Ltd........................ 35,960 1,892
*Asia Securities International, Ltd................... 2,326,000 111,942
Asia Standard International Group, Ltd................ 3,658,000 305,146
Asia Tele-Net & Technology Corp., Ltd................. 4,000,000 71,869
Associated International Hotels, Ltd.................. 758,000 272,382
Beauforte Investors Corp., Ltd........................ 44,000 71,997
*Burlingame International Co., Ltd.................... 675,000 25,988
*Burwill Holdings, Ltd................................ 385,000 36,563
CDL Hotels International, Ltd......................... 2,559,620 656,987
*CNT Group, Ltd....................................... 1,428,000 45,633
*Century City International Holdings, Ltd............. 2,863,067 102,882
Champion Technology Holdings, Ltd..................... 9,968 448
Chen Hsong Holdings, Ltd.............................. 322,000 48,350
Cheuk Nang Technologies (Holdings), Ltd............... 3,180,000 26,527
*Chevalier Construction Holdings, Ltd................. 194,857 7,252
Chevalier International Holdings, Ltd................. 1,585,440 113,943
*China Aerospace International Holdings, Ltd.......... 873,000 137,807
China Foods Holdings, Ltd............................. 1,032,000 172,177
*China Investments Holdings, Ltd...................... 989,000 34,270
China Online (Bermuda), Ltd........................... 7,640,000 210,806
*China Overseas Land & Investment, Ltd................ 3,256,000 263,255
China Travel International Investment, Ltd............ 1,722,000 278,455
*Chinese Estates Holdings, Ltd........................ 2,675,131 243,756
*Chinney Investments, Ltd............................. 752,000 36,674
Chow Sang Sang Holdings International, Ltd............ 738,000 151,540
Chuangs China Investments, Ltd........................ 884,000 58,994
Chuang's Consortium International, Ltd................ 3,051,760 115,538
</TABLE>
26
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*City Chiu Chow (Holdings), Ltd....................... 298,000 $ 10,708
*Companion Building Material International Holdings,
Ltd................................................. 3,529,600 35,332
Continental Holdings, Ltd............................. 382,000 22,551
Continental Mariner Investment Co., Ltd............... 417,000 88,837
*Cosmos Machinery Enterprises, Ltd.................... 140,000 6,828
*Crocodile Garments, Ltd.............................. 986,000 21,765
*DigitalHongKong.com.................................. 12 2
*Dransfield Holdings, Ltd............................. 1,952,000 34,821
Dynamic Holdings, Ltd................................. 482,000 56,910
*Emperor (China Concept) Investments, Ltd............. 2,790,000 17,903
*Emperor International Holdings, Ltd.................. 812,000 76,073
*Evergo China Holdings, Ltd........................... 1,296,000 15,801
*Fairwood Holdings, Ltd............................... 675,000 13,687
*Fairyoung Holdings, Ltd.............................. 990,000 25,030
Far East Consortium International, Ltd................ 1,812,301 110,478
*Far East Holdings International, Ltd................. 408,000 33,511
Fountain Set Holdings, Ltd............................ 1,350,000 133,406
*Four Seas Travel International, Ltd.................. 1,180,000 6,209
*G-Prop Holdings, Ltd................................. 53,435 3,497
Golden Resources Development International, Ltd....... 722,000 34,747
Goldlion Holdings, Ltd................................ 1,092,000 72,875
Grand Hotel Holdings, Ltd. Series A................... 372,000 42,490
Grande Holdings, Ltd.................................. 506,000 337,680
Great Wall Electronic International, Ltd.............. 2,278,566 87,727
*Greaterchina Technology Group, Ltd................... 15,219 732
*Guangzhou Investment Co., Ltd........................ 3,038,000 214,438
*Guoco Land, Ltd...................................... 352,000 51,951
Harbour Centre Development, Ltd....................... 590,000 382,379
Harbour Ring International Holdings, Ltd.............. 3,430,000 647,087
Henderson China Holdings, Ltd......................... 438,000 155,987
High Fashion International, Ltd....................... 800,000 132,444
*Hinet Holdings, Ltd.................................. 808,900 37,891
*Hon Kwok Land Investment Co., Ltd.................... 1,096,000 47,120
Hong Kong and Shanghai Hotels, Ltd.................... 1,789,124 826,597
Hong Kong Ferry (Holdings) Co., Ltd................... 349,000 216,109
*Hong Kong Parkview Group, Ltd........................ 646,000 232,136
*Hop Hing Holdings, Ltd............................... 604,000 35,657
Hopewell Holdings, Ltd................................ 1,208,800 488,670
*Hualing Holdings, Ltd................................ 784,000 24,248
*Huey Tai International, Ltd.......................... 2,920,260 127,424
*Innovative International (Holdings), Ltd............. 539,439 10,523
*Iquorom Cybernet, Ltd................................ 3,375,000 29,886
*Jinhui Holdings Co., Ltd............................. 978,000 27,613
*Joyce Boutique Holdings, Ltd......................... 808,000 14,932
*K Wah International Holdings, Ltd.................... 1,307,508 56,213
*KTP Holdings, Ltd.................................... 758,000 29,184
*Kader Holdings Co., Ltd.............................. 857,000 28,046
Keck Seng Investments (Hong Kong), Ltd................ 570,000 65,837
Kee-Shing Holdings Co., Ltd........................... 256,000 38,768
*King Fook Holdings, Ltd.............................. 338,000 15,182
*Kong Tai International Holdings Co., Ltd............. 5,175,000 120,874
Kumagai Gumi Hong Kong, Ltd........................... 424,000 61,489
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Kwong Sang Hong International, Ltd................... 1,060,000 $ 69,379
*Lai Sun Development Co., Ltd......................... 2,698,800 86,589
*Lai Sun Garment (International), Ltd................. 2,700,000 72,767
*Lai Sun Hotels International, Ltd.................... 1,532,000 67,831
*Lam Soon (Hong Kong), Ltd............................ 203,250 35,475
*Lam Soon Food Industries, Ltd........................ 156,000 28,830
Leefung-Asco Printers Holdings, Ltd................... 128,000 26,119
*Linkful International Holdings, Ltd.................. 582,000 7,320
*Lippo, Ltd........................................... 751,000 154,209
Liu Chong Hing Investment, Ltd........................ 626,000 313,321
*Luks Industrial Co., Ltd............................. 613,800 94,528
*Magnificent Estates, Ltd............................. 5,014,600 35,396
*Megga (S.) International Holdings, Ltd............... 1,399,200 12,570
Melbourne Enterprises, Ltd............................ 41,000 139,438
*Melco International Development, Ltd................. 170,000 27,708
*Min Xin Holdings, Ltd................................ 432,000 33,819
Miramar Hotel & Investment Co., Ltd................... 600,000 282,983
*Mui Hong Kong, Ltd................................... 2,050,000 52,881
*NPH International Holdings, Ltd...................... 81,600 8,378
Nam Hing Holdings, Ltd................................ 538,000 21,059
Nanyang Holdings, Ltd................................. 80,850 74,707
*National Electronics Holdings, Ltd................... 1,106,000 26,117
*New Rank City Development, Ltd....................... 6,760 1,041
*New World Cyberbase, Ltd............................. 56,540 4,281
Onfem Holdings, Ltd................................... 684,000 28,968
Orient Power Holdings, Ltd............................ 455,700 31,581
*Pacific Concord Holding, Ltd......................... 3,156,350 380,771
*Pacific Plywood Holdings, Ltd........................ 1,854,000 29,028
Playmate Toys Holdings, Ltd........................... 234,000 19,220
Pokfulam Development Co., Ltd......................... 244,000 78,285
*Poly Investments Holdings, Ltd....................... 1,428,000 64,143
Prestige Properties Holdings, Ltd..................... 1,166,000 92,777
*QPL International Holdings, Ltd...................... 651,000 919,020
Realty Development Corp., Ltd. Series A............... 213,000 203,651
*Regal Hotels International Holdings, Ltd............. 4,988,179 135,075
*Rivera Holdings, Ltd................................. 1,912,000 88,337
*Ryoden Development, Ltd.............................. 2,410,000 219,597
*S.A.S.Dragon Holdings, Ltd........................... 94,400 8,359
SIS International Holdings, Ltd....................... 326,000 34,725
San Miguel Brewery Hong Kong, Ltd..................... 812,400 125,113
Sea Holdings, Ltd..................................... 1,208,000 395,329
*Seapower Resources International, Ltd................ 2,785,000 100,077
*Semi-Tech (Global) Co., Ltd.......................... 1,950,339 15,519
Shangri-La Asia, Ltd.................................. 837,403 854,383
Shaw Brothers Hong Kong, Ltd.......................... 158,000 147,010
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,177,000 182,773
*Shenzhen International Holdings, Ltd................. 2,862,500 187,356
*Shougang Concord Century Holdings, Ltd............... 1,000,000 26,951
*Shougang Concord International Enterprises Co.,
Ltd................................................. 2,196,000 59,184
*Shun Ho Construction (Holdings), Ltd................. 814,380 42,851
*Shun Ho Resources Holdings, Ltd...................... 510,000 16,297
*Shun Shing Holdings, Ltd............................. 726,000 51,245
Shun Tak Holdings, Ltd................................ 1,924,000 185,190
</TABLE>
27
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Silver Grant International Industries, Ltd........... 748,000 $ 54,718
*Sincere Co., Ltd..................................... 872,000 43,645
Sing Tao Holdings, Ltd................................ 410,000 68,403
*Singamas Container Holdings, Ltd..................... 360,000 18,249
*Sino Foundations Holdings, Ltd....................... 618,000 30,139
*Sino Hotels (Holdings), Ltd.......................... 275,653 29,009
South China Holdings, Ltd............................. 846,000 123,773
South China Industries, Ltd........................... 1,182,000 57,644
*South Sea Development Co., Ltd....................... 967,000 44,677
Starlight International Holdings, Ltd................. 708,000 99,040
*Stelux Holdings International, Ltd................... 1,862,552 64,539
Sun Hung Kai & Co., Ltd............................... 1,488,000 253,984
*Swank International Manufacturing Co., Ltd........... 226,000 3,480
Tai Cheung Holdings, Ltd.............................. 1,377,000 192,624
Tai Sang Land Development, Ltd........................ 640,900 115,151
*Tak Sing Alliance Holdings, Ltd...................... 1,299,335 48,358
*Tak Wing Investment Holdings, Ltd.................... 370,000 46,060
Tan Chong International Limited....................... 2,943,000 362,587
Tern Properties Co., Ltd.............................. 168,000 32,556
*Tian An China Investments Co., Ltd................... 2,287,000 85,117
Tian Teck Land, Ltd................................... 800,000 119,097
*Top Form International, Ltd.......................... 494,000 9,637
*Tung Fong Hung Holdings, Ltd......................... 694,200 26,282
Tungtex (Holdings) Co., Ltd........................... 558,000 68,747
*Tysan Holdings, Ltd.................................. 614,000 26,792
*UDL Holdings, Ltd.................................... 75,200 2,606
*USI Holdings, Ltd.................................... 671,999 108,665
*Wah Nam Group, Ltd................................... 630,000 2,587
*Winfoong International, Ltd.......................... 1,525,000 68,500
Wing Fai International, Ltd........................... 342,000 10,841
Wing On Co. International, Ltd........................ 588,000 237,705
Wing Shan International, Ltd.......................... 1,130,000 79,761
Winsor Industrial Corp., Ltd.......................... 394,500 75,943
*Winsor Properties Holdings, Ltd...................... 110,000 31,057
*Wo Kee Hong (Holdings), Ltd.......................... 2,722,400 66,383
*Wong's Kong King International (Holdings), Ltd....... 874,000 45,988
World Houseware (Holdings), Ltd....................... 618,266 21,423
*Yaohan International Holdings, Ltd................... 1,660,000 0
*Yau Lee Holdings, Ltd................................ 2,631,000 38,830
*Yoshiya International Corp., Ltd..................... 720,000 39,733
Yugang International, Ltd............................. 1,258,000 45,205
------------
TOTAL COMMON STOCKS
(Cost $32,253,750)................................... 19,201,799
------------
RIGHTS/WARRANTS -- (0.0%)
*Applied International Holdings, Ltd. Warrants
04/30/04............................................ 230,000 1,771
*China Online (Bermuda), Ltd. Warrants 06/06/03....... 1,528,000 0
*Grande Holdings, Ltd. Warrants 10/15/00.............. 89,600 6,324
*Hinet Holdings, Ltd. Warrants 02/03/03............... 161,780 4,422
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 120,800 0
*Iquorum Cybernet, Ltd. Warrants 04/30/04............. 675,000 1,213
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Mui Hong Kong, Ltd. Rights 06/09/00.................. 1,025,000 $ 1,315
*Tak Sing Alliance Holdings, Ltd. Warrants 02/28/02... 129,933 3,669
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 18,714
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dolars
(Cost $7,879)....................................... 7,876
------------
TOTAL -- HONG KONG
(Cost $32,261,629)................................... 19,228,389
------------
ITALY -- (3.8%)
COMMON STOCKS -- (3.8%)
*Ansaldo Trasporti SpA................................ 497,000 479,817
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 172,500 457,534
*Bastogi SpA.......................................... 450,000 94,317
*Brioschi Finanziaria SpA, Milano..................... 100,000 29,306
CEMENTIR (Cementarie del Tirreno SpA), Roma........... 1,680,000 2,274,734
*CMI SpA.............................................. 22,000 32,645
Caltagirone SpA....................................... 1,145,000 3,833,374
Cartiere Burgo SpA.................................... 12,000 113,292
Cementeria di Augusta SpA............................. 142,500 223,342
Cia Assicuratrice Unipol SpA.......................... 331,598 1,223,949
Credito Valtellinese Scarl, Sondri.................... 4,000 30,493
*Dalmine SpA.......................................... 770,000 191,379
Danieli & C.Officine Meccaniche SpA................... 24,000 117,743
*FONSPA (Credito Fondiaro e Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine SpA).......... 527,000 366,556
Fabbrica Italiana Magneti Marelli SpA................. 190,000 965,612
*Finarte Casa d'Aste SpA (Milano)..................... 135,000 774,984
*Finarte Partecipazioni Pro Arte SpA.................. 277,050 512,589
*Fincasa 44 SpA....................................... 175,000 58,102
Gabetti Holding SpA................................... 175,000 306,739
*Giovanni Crespi SpA.................................. 40,000 48,225
*Grassetto SpA........................................ 110,000 0
*Immsi SpA............................................ 22,000 30,808
Impregilo SpA......................................... 655,000 371,151
Ipi SpA............................................... 223,750 792,674
Italmobiliare SpA, Milano............................. 15,030 326,866
Linificio and Canapificio Nazionale SpA............... 46,250 53,616
Maffei SpA............................................ 90,500 104,073
Marangoni SpA, Rovereto............................... 68,000 201,172
*Montefibre SpA, Milano............................... 262,464 150,914
*Necchi SpA........................................... 62,500 18,664
*Premafin Finanziaria SpA............................. 1,092,000 541,807
*Premaimm SpA......................................... 523,000 136,779
*Ratti SpA............................................ 20,000 31,903
SAES Getters SpA...................................... 9,000 143,896
SAIAG SpA (Industrie Articoli Gomma).................. 10,000 47,483
SISA (Societa Imballaggi Speciali Asti SpA)........... 175,000 107,115
SMI STA Metallurgica Italiana SpA..................... 490,000 301,740
*SNIA SpA............................................. 70,000 66,541
*SNIA SpA Em 00....................................... 156,750 139,846
</TABLE>
28
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 640,000 $ 499,165
Sirti SpA............................................. 22,000 40,194
Vianini Industria SpA................................. 315,000 464,490
Vianini Lavori SpA.................................... 448,250 1,114,098
Zucchi (Vincenzo) SpA................................. 74,000 363,727
------------
TOTAL -- ITALY
(Cost $11,853,499)................................... 18,183,454
------------
SINGAPORE -- (3.6%)
COMMON STOCKS -- (3.6%)
*Alliance Technology & Development, Ltd............... 3,000 398
Apollo Enterprises, Ltd............................... 240,000 92,088
*Bonvests Holdings, Ltd............................... 614,000 203,708
*CK Tang, Ltd......................................... 306,000 52,968
Carnaudmetalbox Asia, Ltd............................. 163,000 192,803
Chevalier Singapore Holdings, Ltd..................... 200,000 32,312
Cosco Investment, Ltd................................. 1,115,000 109,369
First Capital Corp., Ltd.............................. 745,000 580,312
Focal Finance, Ltd.................................... 101,000 110,142
*General Magnetics, Ltd............................... 187,000 30,751
Haw Par Brothers International, Ltd................... 411,000 474,289
Hind Hotels International, Ltd........................ 147,000 211,197
Hong Kok Corp., Ltd................................... 366,000 203,789
Hotel Grand Central, Ltd.............................. 327,700 95,486
Hotel Plaza, Ltd...................................... 892,000 221,312
Hotel Properties, Ltd................................. 1,075,000 986,227
Hour Glass, Ltd....................................... 210,000 43,621
Hwa Hong Corp., Ltd................................... 1,608,000 352,566
Hwa Tat Lee, Ltd...................................... 330,000 54,266
*IPC Corp., Ltd....................................... 3,248,000 459,149
Intraco, Ltd.......................................... 215,000 155,067
Isetan (Singapore), Ltd............................... 76,000 85,949
*Jack Chia-MPH, Ltd................................... 332,000 125,473
Jurong Engineering, Ltd............................... 91,000 99,762
Keppel Land, Ltd...................................... 671,000 619,461
Keppel Marine Industries, Ltd......................... 409,000 320,947
Keppel Tatlee Finance, Ltd............................ 160,000 96,935
*LC Development, Ltd.................................. 1,544,363 196,039
Lee Kim Tah Holdings, Ltd............................. 360,000 41,544
Liang Court Holdings, Ltd............................. 1,236,600 299,675
*Lim Kah Ngam, Ltd.................................... 386,000 55,680
*Low Keng Huat Singapore, Ltd......................... 232,000 45,513
Metro Holdings, Ltd................................... 1,374,000 261,621
*Neptune Orient Lines, Ltd............................ 1,830,000 1,383,228
Orchard Parade Holdings, Ltd.......................... 768,625 263,878
*Osprey Maritime, Ltd................................. 886,000 207,043
Pacific Carriers, Ltd................................. 669,000 308,807
Prima, Ltd............................................ 83,000 183,900
Republic Hotels and Resorts, Ltd...................... 552,000 245,246
SNP Corp., Ltd........................................ 72,500 46,015
*SPP, Ltd............................................. 55,000 5,712
*Scotts Holdings, Ltd................................. 531,000 119,490
Sembcorp Industries, Ltd.............................. 157,729 145,614
Singapore Land, Ltd................................... 245,000 391,577
Singapura Building Society, Ltd....................... 84,000 48,952
*Singatronics, Ltd.................................... 433,000 91,191
Ssangyong Cement (Singapore), Ltd..................... 9,000 7,530
Straits Trading Co., Ltd.............................. 701,000 618,843
Times Publishing, Ltd................................. 271,000 681,753
*Tuan Sing Holdings, Ltd.............................. 2,931,000 363,601
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
United Engineers, Ltd................................. 404,000 $ 396,280
United Industrial Corp., Ltd.......................... 3,541,000 1,450,627
United Overseas Land, Ltd............................. 1,535,000 1,018,539
*Van der Horst, Ltd................................... 232,000 59,569
Vickers Ballas Holdings, Ltd.......................... 543,000 297,642
WBL Corp., Ltd........................................ 445,500 606,640
Wing Tai Holdings, Ltd................................ 1,639,000 1,068,633
------------
TOTAL COMMON STOCKS
(Cost $23,314,252)................................... 16,920,729
------------
PREFERRED STOCKS -- (0.0%)
First Capital Corp., Ltd. 7% Non-Redeemable
Convertible
(Cost $103,604)..................................... 174,000 148,587
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $57,508)...................................... 57,186
------------
TOTAL -- SINGAPORE
(Cost $23,475,364)................................... 17,126,502
------------
AUSTRALIA -- (3.5%)
COMMON STOCKS -- (3.5%)
A.P. Eagers, Ltd...................................... 22,213 54,491
*Adelaide Brighton, Ltd............................... 584,871 130,130
*Aerodata Holdings, Ltd............................... 52,987 4,837
Amalgamated Holdings, Ltd............................. 131,518 215,338
*An Feng Kingstream Steel, Ltd........................ 642,125 109,899
*Anzoil NL............................................ 38,461 1,119
Ashton Mining, Ltd.................................... 510,666 238,893
Asia Pacific Specialty Chemicals, Ltd................. 94,300 29,051
Atkins Carlyle, Ltd................................... 50,280 87,775
*AuIron Energy, Ltd................................... 276,693 67,877
*Aurora Gold, Ltd..................................... 230,029 21,653
Ausdrill, Ltd......................................... 143,070 22,854
Australian Hospital Care, Ltd......................... 237,300 69,043
Australian Oil & Gas Corp., Ltd....................... 74,040 51,532
*Australian Resources, Ltd............................ 352,493 46,252
*Avatar Industries, Ltd............................... 253,698 18,815
*Beach Petroleum NL................................... 1,236,681 23,282
Boag (J.) & Son, Ltd.................................. 61,100 56,817
Brickworks, Ltd....................................... 13,935 333,894
Bridgestone Australia, Ltd............................ 26,822 26,013
Bristile, Ltd......................................... 82,699 51,897
Caltex Australia, Ltd................................. 386,100 528,645
*Cambridge Gulf Exploration NL........................ 93,366 4,101
Capral Aluminium, Ltd................................. 435,676 554,270
*Centaur Mining & Exploration, Ltd.................... 620,579 51,336
Centennial Coal, Ltd.................................. 63,686 18,166
Central Equity, Ltd................................... 155,382 162,220
Centro Properties, Ltd................................ 191,208 298,889
*Cinema Plus, Ltd..................................... 79,300 4,976
*Climax Mining, Ltd................................... 139,697 5,977
Clough, Ltd........................................... 37,266 11,268
Coates Hire, Ltd...................................... 90,300 78,304
Consolidated Paper Industries, Ltd.................... 59,571 57,095
*Consolidated Rutile, Ltd............................. 437,974 202,389
*Coplex Resources NL.................................. 351,512 18,048
Coventry Group, Ltd................................... 66,628 146,342
Crane (G.E) Holdings, Ltd............................. 61,945 272,113
Crevet, Ltd........................................... 46,997 18,500
*Croesus Mining NL.................................... 154,735 22,069
*Cudgen RZ, Ltd....................................... 47,724 17,697
</TABLE>
29
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Cumnock Coal, Ltd.................................... 40,710 $ 7,316
Delta Gold NL......................................... 49,598 40,463
*Denehurst, Ltd....................................... 78,163 3,255
*Devex, Ltd........................................... 141,218 32,226
Devine, Ltd........................................... 81,701 9,555
*Dominion Mining, Ltd................................. 116,119 29,479
*Durban Roodepoort Deep, Ltd.......................... 21,760 21,104
Email, Ltd............................................ 418,227 672,843
*Emporer Mines, Ltd................................... 135,024 29,272
*Energy Equity Corp., Ltd............................. 393,461 32,548
Energy Resources of Australia, Ltd. Series A.......... 200,366 205,755
Evans Deakin Industries, Ltd.......................... 108,203 100,619
Finemore Holdings, Ltd................................ 48,477 35,400
Forest Place Group, Ltd............................... 74,518 23,382
Forrester Parker Group, Ltd........................... 169,862 93,029
GUD Holdings, Ltd..................................... 96,340 91,236
Gazal Corp., Ltd...................................... 89,069 88,924
*General Gold Resources NL............................ 169,056 3,858
George Weston Foods, Ltd.............................. 114,706 392,636
*Gold Mines of Australia, Ltd......................... 79,868 7,063
Goldfields, Ltd....................................... 482,474 294,517
Gowing Bros., Ltd..................................... 71,998 80,095
Grand Hotel Group..................................... 70,000 48,720
Green's Foods, Ltd.................................... 101,626 27,829
HIH Insurance, Ltd.................................... 508,522 342,330
Hamilton Island, Ltd.................................. 21,866 30,188
Hancock and Gore, Ltd................................. 61,509 47,723
Haoma Mining NL....................................... 193,606 14,359
Harris Scarfe Holdings, Ltd........................... 57,341 40,564
*Healthscope, Ltd..................................... 127,219 21,773
Henry Walker Group, Ltd............................... 125,880 93,358
Homestake Mining Co................................... 68,662 450,471
Hudson Timber & Hardware, Ltd......................... 74,375 31,823
Iama, Ltd............................................. 174,262 114,328
*Intag International, Ltd............................. 93,568 1,601
Ipoh, Ltd............................................. 208,463 212,880
Ipswich and West Moreton Building Society, Ltd........ 34,551 39,028
Jones (David), Ltd.................................... 592,200 388,525
Jupiters, Ltd......................................... 596,821 953,356
*Kidston Gold Mines, Ltd.............................. 198,750 29,480
*Lachlan Resources NL................................. 217,903 5,408
*MRI Holdings, Ltd.................................... 87,075 19,870
*MacMahon Holdings, Ltd............................... 305,720 18,313
Magellan Petroleum Australia, Ltd..................... 29,537 27,804
Maxi-Cube, Ltd........................................ 137,613 12,954
McPherson's, Ltd...................................... 32,730 19,793
*Mineral Deposits, Ltd................................ 40,472 2,771
Mirvac, Ltd........................................... 202,307 407,763
*New Hampton Goldfields NL............................ 145,700 17,040
*Newcrest Mining, Ltd................................. 225,000 459,535
Normandy Mt. Leyshon, Ltd............................. 123,978 123,068
*Novus Petroleum, Ltd................................. 184,239 158,607
*Orbital Engine Corp., Ltd............................ 165,000 124,254
PMP Communications, Ltd............................... 724,135 739,478
Pacific Hydro, Ltd.................................... 171,610 143,917
*Payce Consolidated, Ltd.............................. 74,466 28,039
*Peptide Technology, Ltd.............................. 153,432 22,758
*Perilya Mines NL..................................... 167,228 21,943
Permanent Trustee Co., Ltd............................ 18,736 83,373
*Petroz NL............................................ 296,524 44,829
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Petsec Energy, Ltd................................... 153,726 $ 7,981
Pirelli Cables Australia, Ltd......................... 168,560 70,680
*Portman Mining, Ltd.................................. 272,770 107,374
Prime Television, Ltd................................. 153,061 174,641
Publishing and Broadcasting, Ltd...................... 59,455 437,553
QCT Resources, Ltd.................................... 1,031,062 394,105
Queensland Cotton Holdings, Ltd....................... 29,599 70,077
*Reinsurance Australia Corp., Ltd..................... 287,432 13,938
*Resolute, Ltd........................................ 445,413 34,050
Ridley Corp., Ltd..................................... 338,260 108,067
Schaffer Corp., Ltd................................... 15,517 30,098
Scott Corp., Ltd...................................... 42,741 30,479
Sea World Property Trust.............................. 61,000 18,444
Southern Cross Broadcasting (Australia), Ltd.......... 49,072 226,763
Spicers Paper, Ltd.................................... 245,591 260,602
*St. Barbara Mines, Ltd............................... 329,338 19,728
*Star Mining Corp. NL................................. 302,691 1,209
Tassal, Ltd........................................... 44,211 26,736
*Thakral Holdings Group............................... 33,659 10,753
Thakral Holdings Group................................ 899,495 333,553
Ticor, Ltd............................................ 482,210 316,364
*Titan Resources NL................................... 125,121 7,495
Tourism Assets Holdings, Ltd.......................... 381,768 124,144
Union Gold Mining Co. NL.............................. 118,986 51,590
Village Roadshow, Ltd................................. 355,686 462,652
Visions Systems, Ltd.................................. 19,244 112,531
Wattyl, Ltd........................................... 85,030 160,081
Western Metals, Ltd................................... 491,208 64,453
Westralian Sands, Ltd................................. 389,396 875,045
White (Joe) Maltings, Ltd............................. 19,561 33,032
Wide Bay Capricorn Building Society, Ltd.............. 29,461 53,784
Yates (Arthur) and Co. Property, Ltd.................. 360,344 127,456
------------
TOTAL COMMON STOCKS
(Cost $26,261,759)................................... 16,563,753
------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $34,337)...................................... 18,246 18,789
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $17,568)...................................... 17,491
------------
RIGHTS/WARRANTS/OPTIONS -- (0.0%)
*A.P. Eagers, Ltd. Options 01/31/03................... 4,174 1,119
*Gympie Gold, Ltd. Options 06/30/01................... 28,244 927
*Harris Scarfe Holdings, Ltd. Rights 06/19/00......... 7,168 0
*Hudson Investment Group, Ltd. Rights 06/23/00........ 18,593 0
*New Hampton Goldfields NL Options 04/30/01........... 72,850 1,704
*Ridley Corp., Ltd. Options 04/30/02.................. 33,756 2,311
------------
TOTAL RIGHTS/WARRANTS
(Cost $2,259)........................................ 6,061
------------
TOTAL -- AUSTRALIA
(Cost $26,315,923)................................... 16,606,094
------------
SPAIN -- (2.9%)
COMMON STOCKS -- (2.9%)
Acerias y Forjas De Azcoitia SA....................... 15,539 118,170
</TABLE>
30
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
BAMI SA (Inmobiliara de Construcciones y Terrenos).... 43,440 $ 120,456
Banco de Valencia SA.................................. 3,700 30,231
*Banco de Valencia SA Issue 2000...................... 370 2,997
Banco Guipuzcoano SA.................................. 84,686 1,198,490
Banco Pastor SA, La Coruna............................ 21,384 866,244
Banco Zaragozano SA................................... 155,400 2,131,511
Bodegas y Bebedas SA.................................. 23,836 247,582
CAF (Construcciones y Auxiliar de Ferrocarriles SA)... 5,750 109,318
Cristaleria Espanola SA, Madrid....................... 60,044 1,873,800
Elecnor SA............................................ 5,770 224,747
Empresa Nacional de Celulosa SA....................... 54,900 1,008,105
Energia e Industrias Aragonesas SA.................... 61,200 298,542
*Ercros SA............................................ 102,700 55,242
*Espanola del Zinc SA................................. 4,200 18,346
*Europistas Concesionaria Espanola SA................. 158,900 891,554
*Europistas Concesionaria Espanola SA Em 99........... 73,338 409,444
*Filo SA.............................................. 135,044 185,355
*Global Steel Wire SA................................. 25,480 38,754
*Grupo Fosforera SA................................... 12,060 0
Inbesos SA............................................ 16,000 48,225
*Inmobiliaria Urbis SA................................ 288,600 1,265,977
*LSB (La Seda de Barcelona SA) Series B............... 38,400 113,959
Nicolas Correa SA..................................... 8,000 27,970
*Nueva Montana Quijano SA Series B.................... 122,740 53,500
Papelera de Navarra SA................................ 7,851 109,944
Pescanova SA.......................................... 31,125 348,694
*Prima Inmobiliaria SA................................ 23,100 191,736
Reno de Medici SpA.................................... 303,261 601,865
*Tableros de Fibras SA Series B....................... 22,732 212,925
Tavex Algodonera SA................................... 53,400 123,808
Unipapel SA........................................... 34,058 344,282
Uralita SA............................................ 88,000 608,005
------------
TOTAL -- SPAIN
(Cost $11,615,340)................................... 13,879,778
------------
NETHERLANDS -- (2.8%)
COMMON STOCKS -- (2.8%)
ACF Holding NV........................................ 53,200 737,601
Begemann Groep NV..................................... 46,384 344,133
*Begemann Groep NV Series B........................... 44,600 95,133
Econosto NV........................................... 23,124 160,839
Gamma Holding NV...................................... 58,811 2,268,926
Gemeenschappeljk Bezit Crown van Gelder NV............ 40,320 512,282
Geveke NV............................................. 1,066 44,768
Hollandsche Beton Groep NV............................ 34,908 454,852
Kas-Associatie NV..................................... 88,508 1,136,844
Koninklijke Bam Groep NV.............................. 18,217 908,924
Koninklijke Ten Cate NV............................... 41,241 1,327,197
Koninklijke Ubbink NV................................. 900 30,048
MacIntosh NV.......................................... 66,191 1,780,198
Nagron Nationaal Grondbezit NV........................ 2,218 46,488
Nedlloyd Groep NV, Rotterdam.......................... 35,875 815,129
Polynorm NV........................................... 13,226 772,747
Roto Smeets de Boer NV................................ 20,904 571,900
Stork NV.............................................. 27,615 363,665
*Textielgroep Twenthe NV.............................. 1,200 83,244
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Tulip Computers NV................................... 38,643 $ 74,901
Van Dorp Groep NV..................................... 11,632 138,620
Vredestein NV......................................... 64,470 597,897
------------
TOTAL COMMON STOCKS
(Cost $15,875,766)................................... 13,266,336
------------
RIGHTS/WARRANTS -- (0.0%)
*Koninklijke Bam Groep NV Rights 06/13/00............. 18,217 0
*Nagron Nationaal Grondbezit NV Rights 06/07/00....... 2,218 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $15,875,766)................................... 13,266,336
------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.6%)
Alma Industri & Handel AB Series B.................... 8,000 150,892
Anders Dioes AB....................................... 20,200 116,542
Angpannefoereningen AB Series B....................... 7,650 128,164
*Avesta Sheffield AB.................................. 214,800 784,076
B & N Bylock & Nordsjoefrakt AB Series B.............. 99,200 121,069
*Beiger Electronics................................... 8,000 0
Beijer AB Series B.................................... 8,000 122,045
Berg (C.F.) & Co. AB Series B......................... 19,200 32,167
Bong Ljungdahl AB..................................... 15,200 225,983
Boras Waefveri AB Series B............................ 15,900 88,205
Capona AB............................................. 74,742 364,876
*Castellum AB......................................... 59,700 556,393
Catena AB Series A.................................... 3,300 25,630
*Cloetta AB Series B.................................. 6,300 79,684
*Concordia Maritime AB Series B....................... 136,100 241,605
*Diligentia AB........................................ 108,370 1,082,131
*Elekta AB............................................ 11,200 24,853
Esselte AB Series A................................... 15,700 95,806
Esselte AB Series B................................... 12,400 74,980
*Fagerlid Industrier AB............................... 51,750 93,589
Fastighets AB Tornet.................................. 35,250 469,320
*Fastighits AB Celtica................................ 11,000 62,243
*Firefly AB........................................... 5,800 3,218
Geveko AB Series B.................................... 19,900 355,473
Gorthon Lines AB Series B............................. 69,300 123,022
Gunnebo AB............................................ 12,100 139,620
*Intelligent Microsystems Data AB..................... 15,000 57,417
Jacobson and Widmark AB............................... 31,000 378,340
*Kjessler & Mannerstrale AB New Shares................ 20,200 51,548
*Klippans Finpappersbruk AB........................... 30,800 59,460
Ljungberg Gruppen AB Series B......................... 2,100 28,658
*Matteus AB........................................... 64,080 227,510
*Meda AB Series A..................................... 12,700 95,817
Munksjo AB............................................ 30,700 207,777
NH Nordiska Holding AB................................ 86,500 273,520
Naerkes Elektriska AB Series B........................ 26,100 217,185
Norrporten Fastighets AB.............................. 8,000 93,198
PEAB AB Series B...................................... 70,900 176,993
Pandox Hotelfastigheter AB............................ 11,100 97,292
*Perbio Science AB.................................... 3,800 29,302
</TABLE>
31
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Perstorp AB Series B.................................. 53,300 $ 650,501
Platzer Bygg AB Series B.............................. 236,100 214,802
Rottneros Bruk AB..................................... 1,191,000 1,215,704
Salus Ansvar AB Series B.............................. 11,800 21,078
Scandiaconsult AB..................................... 126,800 478,329
Scribona AB Series A.................................. 15,700 40,064
Scribona AB Series B.................................. 12,400 33,707
Spendrups Bryggeri AB Series B........................ 47,200 183,814
*Stena Line AB Series B............................... 303,500 208,775
Sweco AB Series B..................................... 47,050 313,213
Wallenstam Byggnads AB Series B....................... 79,600 362,097
Westergyllen AB Series B.............................. 6,800 110,906
Wihlborgs Fastigheter AB Series B..................... 560,350 708,749
------------
TOTAL COMMON STOCKS
(Cost $12,817,360)................................... 12,097,342
------------
</TABLE>
<TABLE>
BONDS -- (0.1%)
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Wihlborgs Fastigheter AB 5.83%, Notes 12/02/02
(Cost $452,917)..................................... 57 597,488
------------
SHARES
----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $27,438)...................................... 27,761
------------
RIGHTS/WARRANTS -- (0.0%)
*Castellum AB Rights 07/05/00
(Cost $0)........................................... 59,700 15,140
------------
TOTAL -- SWEDEN
(Cost $13,297,715)................................... 12,737,731
------------
DENMARK -- (2.0%)
COMMON STOCKS -- (2.0%)
Aalborg Portland Holding A.S. Series A................ 22,780 619,690
Aalborg Portland Holding A.S. Series B................ 5,950 162,598
Aarhus Oliefabrik A.S. Aeries A....................... 6,770 138,755
*Albani Bryggerierne Series B......................... 1,140 52,394
Alm Brand A.S. Series B............................... 28,044 386,669
Amagerbanken A.S...................................... 3,842 161,755
Ambu International A.S. Series B...................... 608 41,538
Amtssparekassen Fyn A.S............................... 4,181 159,439
Andersen & Martini Series B........................... 500 16,148
Bording (F.E.) A.S. Series B.......................... 475 29,501
Brodrene Hartmann A.S. Series B....................... 6,560 116,524
Chemitalic A.S........................................ 2,230 15,235
Codan A.S............................................. 10,575 689,630
Cubic Modulsystem A.S. Series B....................... 400 20,868
DFDS A.S., Copenhagen................................. 6,880 205,105
Dalhoff, Larsen & Hornemann A.S. Series B............. 1,813 54,049
*Dampskibsselsk et Torm A.S........................... 3,657 199,873
Dampskibsselskabet Norden A.S......................... 937 95,440
*Dansk Data Elektronik A.S............................ 1,190 69,474
Denka Holding A.S..................................... 400 48,196
Djursland Bank........................................ 473 28,319
*East Asiatic Co., Ltd................................ 46,252 631,975
SHARES VALUE+
---------- ------------
Egnsbank Fyn Aktieselskab............................. 300 $ 38,196
Egnsbank Han Herred................................... 2,545 61,645
Egnsbank Nord A.S..................................... 708 54,526
Ejendamsselskabet Norden A.S.......................... 5,934 196,805
Foras Holding A.S. Series A........................... 19,779 114,244
Forstaedernes Bank.................................... 4,715 79,066
Fredgaard Radio A.S................................... 2,177 114,928
Haandvaerkerbanken I Naestved......................... 622 38,631
*Harboes Bryggeri A.S................................. 460 30,855
Hedegaard (Peder P.) A.S.............................. 1,406 48,028
Henriksen Og Henriksen Holding A.S. Series B.......... 500 40,681
Hoejgaard Holding A.S. Series A....................... 10,380 197,272
Hoejgaard Holding A.S. Series B....................... 7,075 133,582
Hoffman & Sonner A.S. Series B........................ 1,261 36,809
*Junckers (F.) Industrier A.S......................... 3,475 46,187
Kompan A.S............................................ 310 24,452
Korn-Og Foderstof Kompagnet A.S....................... 26,230 537,599
Lan & Spar Bank A.S................................... 5,706 143,881
Lauritzen (J.) Holding Series B....................... 5,218 400,425
Lokalbanken I Nordsjaelland A.S....................... 690 47,997
*Midtbank A.S......................................... 5,700 174,883
Migatronic Series B................................... 1,294 21,378
Moens Bank A.S........................................ 424 15,800
Morso Bank............................................ 240 16,396
*NTR Holdings A.S..................................... 1,650 28,284
Naestved Diskontobanken............................... 651 52,562
Nordvestbank.......................................... 1,060 87,560
Norresundby Bank...................................... 439 46,896
Obtec A.S............................................. 510 24,707
Ove Arkil Series B.................................... 680 43,500
Per Aarsleff A.S. Series B............................ 1,050 43,041
*Rederiet Knud I. Larsen A.S.......................... 3,619 225
Ringkjoebing Bank..................................... 688 48,712
Ringkjoebing Landbobank............................... 513 112,789
Salling Bank.......................................... 500 17,390
Sanistal A.S. Series B................................ 920 27,541
*Scanbox Danmark A.S. Series B........................ 3,400 27,317
Skaelskor Bank........................................ 540 26,831
Skjern Bank A.S....................................... 306 18,435
Spaencom A.S.......................................... 300 13,788
Spar Nord Holding..................................... 11,919 473,769
Sparbank Vest A.S..................................... 2,374 134,174
Sparekassen Faaborg A.S............................... 1,634 129,900
Sydbank A.S........................................... 15,770 521,063
*Thrigetitan A.S. Series A............................ 100 3,043
*Topdanmark A.S....................................... 24,600 427,799
Torsana A.S. Series B................................. 200 10,683
Totalbanken A.S....................................... 600 27,949
VT Holdings Shares A.................................. 420 20,868
VT Holdings Shares B.................................. 3,780 180,771
Vestfyns Bank......................................... 500 18,943
Vestjysk Bank......................................... 1,576 70,475
Wessel & Vett Magasin du Nord A.S. Series C........... 6,498 423,756
------------
TOTAL COMMON STOCKS
(Cost $13,088,367)................................... 9,620,212
------------
</TABLE>
32
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<S> <C> <C>
SHARES VALUE+
---------- ------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $19,728)...................................... $ 20,048
------------
TOTAL -- DENMARK
(Cost $13,108,095)................................... 9,640,260
------------
FINLAND -- (2.0%)
COMMON STOCKS -- (2.0%)
Amer-Yhtymae Oyj Series A............................. 80,600 2,160,237
Bank of Aland, Ltd.................................... 5,700 84,579
*Benefon Oy........................................... 19,000 204,223
Efore Oy.............................................. 4,700 32,734
Finnair Oyj........................................... 153,300 568,683
Finvest Oyj........................................... 120,395 209,911
HK Ruokatalo Oy Series A.............................. 16,100 34,342
Honkarakenne Oy Series B.............................. 15,900 89,949
Ilkka-Yhtyma Oyj...................................... 2,400 39,173
Interavanti Oy........................................ 45,000 55,505
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B.... 11,601 48,415
Kemira Oyj............................................ 123,100 650,731
Kesko Oyj............................................. 55,800 554,233
Kone Corp............................................. 27,000 1,627,842
Laennen Tehtaat Oy.................................... 12,500 133,314
Lemminkainen Oy....................................... 23,600 251,697
Leo Longlife Oy....................................... 7,800 60,040
Metsaemarkka Oyj Series B............................. 1,300 7,065
Okobank Class A....................................... 61,140 606,705
Olvi Oyj Series A..................................... 7,500 132,155
Oy Ford AB............................................ 20 1,576
Partek Oyj............................................ 88,300 1,040,818
*Polar Real Estate Corp. Series K..................... 302,400 78,525
Raute Oy Series A..................................... 11,200 78,681
Santasalo-Jot Oy...................................... 17,300 56,315
*Silja Oy AB Series A................................. 82,700 127,316
Tamfelt Oyj........................................... 700 14,185
Tamro Oyj............................................. 33,400 85,492
Tulikivi Oy........................................... 5,900 85,358
Turkistuottajat Oy.................................... 500 3,408
Yit-Yhtymae Oyj....................................... 53,100 551,545
------------
TOTAL -- FINLAND
(Cost $9,942,355).................................... 9,674,752
------------
NORWAY -- (2.0%)
COMMON STOCKS -- (2.0%)
*Askia Invest ASA..................................... 93,000 27,033
*Awilco ASA Series A.................................. 45,200 75,654
Bonheur ASA........................................... 9,555 213,238
*Braathens S.A.F.E. ASA............................... 86,300 269,633
*Broevig Offshore ASA................................. 10,553 58,878
*C. Tybring-Gjedde ASA................................ 38,000 69,964
*Choice Hotel Scandinavia ASA......................... 13,000 37,426
*Dyno Industrier ASA.................................. 68,522 1,445,096
Elkem ASA............................................. 132,052 2,195,513
Farstad Shipping ASA.................................. 38,000 134,839
*Fesil ASA............................................ 19,257 92,398
Ganger Rolf ASA....................................... 6,550 144,714
*Gresvig ASA.......................................... 13,300 87,561
Hafslund ASA.......................................... 45,500 208,161
Hydralift AS.......................................... 15,000 62,766
*Kenor ASA............................................ 24,000 11,167
Kverneland ASA........................................ 21,732 332,219
SHARES VALUE+
---------- ------------
*Leif Hoegh & Co. ASA................................. 80,400 $ 753,599
Moelven Industrier ASA................................ 179,016 141,826
*Nera ASA............................................. 198,011 784,373
*Nomadic Shipping ASA................................. 33,021 9,027
Nordlandsbanken ASA................................... 16,808 384,481
*Ocean Rig ASA........................................ 10,170 47,662
Odfjell ASA Series A.................................. 52,474 649,938
*Raufoss Ammunisjonfabrikker ASA...................... 3,100 16,258
Sagatex AS............................................ 18,200 75,141
Sas Norge ASA Series B................................ 19,700 153,875
Scana Industrier ASA.................................. 6,700 9,570
*Sensonor ASA......................................... 65,865 58,796
Smedvig ASA Series A.................................. 30,600 519,003
Ugland Nordic Shipping ASA............................ 4,900 40,461
Veidekke ASA.......................................... 7,000 49,209
Wilhelmsen (Wilhelm), Ltd. ASA........................ 3,850 75,180
------------
TOTAL COMMON STOCKS
(Cost $11,113,132)................................... 9,234,659
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $67,427)...................................... 67,506
------------
TOTAL -- NORWAY
(Cost $11,180,559)................................... 9,302,165
------------
BELGIUM -- (1.5%)
COMMON STOCKS -- (1.5%)
Banque Belgo-Zairoise Belgolaise SA................... 83 14,779
Belge des Betons...................................... 626 261,249
CFE (Compagnie Francois d'Entreprises)................ 2,996 533,472
CMB (Cie Martime Belge)............................... 28,600 1,550,312
Cofinimmo SA.......................................... 6,105 532,209
Engrais Rosier SA..................................... 200 15,766
Floridienne NV........................................ 1,900 140,965
Glaverbel SA.......................................... 14,812 1,069,401
Ibel (Nouvelle)....................................... 6,969 426,563
Immobel (Cie Immobiliere de Belgique SA).............. 17,260 705,907
Ipso-Ilg SA........................................... 3,600 106,837
La Promotion Internationale Prominter................. 312 22,135
*Papeteries de Catala SA.............................. 450 58,426
Plantations Nord-Sumatra SA........................... 421 49,039
Quick Restaurants SA.................................. 10,952 360,164
*Recticel SA.......................................... 58,686 523,030
*SA Holding Franki NV en Liquidation.................. 1,800 414
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 275 21,117
Sapec SA.............................................. 6,401 230,329
*Spector Photo Group SA............................... 11,701 370,146
*Ter Beke NV.......................................... 1,600 80,869
Uco Textiles NV....................................... 2,200 205,049
------------
TOTAL -- BELGIUM
(Cost $8,827,230).................................... 7,278,178
------------
NEW ZEALAND -- (1.4%)
COMMON STOCKS -- (1.4%)
*AFFCO Holdings, Ltd.................................. 732,400 127,102
CDL Hotels NZ, Ltd.................................... 723,600 66,092
CDL Investments NZ, Ltd............................... 550,195 50,254
Cavalier Corp., Ltd................................... 53,900 83,693
Ceramco Corp., Ltd.................................... 111,100 87,270
</TABLE>
33
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<S> <C> <C>
SHARES VALUE+
---------- ------------
Colonial Motor Co., Ltd............................... 77,580 $ 106,290
DB Group, Ltd......................................... 361,000 443,487
*Evergreen Forests, Ltd............................... 470,500 94,544
Independent Newspapers, Ltd. (Auckland)............... 1,385,541 2,499,413
*New Zealand Oil & Gas, Ltd........................... 290,746 34,523
Northland Port Corp. (New Zealand), Ltd............... 111,426 73,786
*Otter Gold Mines, Ltd................................ 185,306 52,469
PDL Holdings, Ltd..................................... 48,600 102,098
*Richina Pacific, Ltd................................. 204,626 39,249
Sanford, Ltd.......................................... 214,000 415,360
South Port New Zealand, Ltd........................... 91,400 37,567
St. Lukes Group, Ltd.................................. 656,264 485,529
Steel & Tube Holdings, Ltd............................ 250,000 150,708
Tasman Agriculture, Ltd............................... 476,200 184,854
Taylors Group, Ltd.................................... 42,000 20,716
Tourism Holdings, Ltd................................. 216,321 245,991
*Trans Tasman Properties, Ltd......................... 1,297,240 106,639
Tranz Rail Holdings, Ltd.............................. 432,300 621,895
Williams & Kettle, Ltd................................ 21,022 19,681
Wrightson, Ltd........................................ 480,700 94,398
------------
TOTAL COMMON STOCKS
(Cost $6,062,566).................................... 6,243,608
------------
Face
Amount@
--------
(000)
BONDS -- (0.0%)
Capital Properties New Zealand, Ltd. Notes
8.500%, 04/15/05
(Cost $144,704).................................... 320 132,801
------------
TOTAL -- NEW ZEALAND
(Cost $6,207,270).................................... 6,376,409
------------
SHARES
----------
AUSTRIA -- (1.2%)
COMMON STOCKS -- (1.2%)
*ATB Austria Antriebstechnik AG....................... 4,110 22,870
Allgemeine Sparkasse Baugesellschaft.................. 120 9,459
*Austria Mikro Systeme International AG............... 7,169 598,370
BBAG Oesterreichische Brau-Beteiligungs............... 20,150 784,861
Bau Holding AG........................................ 15,853 668,946
Bohler Uddeholm AG.................................... 26,290 1,021,581
Brau Union Goess-Reinighaus AG........................ 23,900 978,582
Flughafen Wien AG..................................... 37,104 1,237,052
*Frauenthal Keramik AG................................ 1,308 23,048
*General Partners Inmobilienbesitz AG................. 5,900 20,519
Linz Textil Holding AG................................ 100 26,524
Rosenbauer International AG........................... 1,462 40,472
Vogel and Noot Waermetechnik AG....................... 8,125 82,887
------------
TOTAL -- AUSTRIA
(Cost $6,136,469).................................... 5,515,171
------------
IRELAND -- (0.9%)
COMMON STOCKS -- (0.9%)
Abbey P.L.C........................................... 82,403 198,694
SHARES VALUE+
---------- ------------
*Arcon International Resources P.L.C.................. 441,600 $ 94,195
Ardagh P.L.C.......................................... 73,853 109,586
Arnotts P.L.C......................................... 38,564 239,621
Barlo Group P.L.C..................................... 362,398 268,871
*Crean (James), Ltd................................... 69,119 17,948
*Dragon Oil P.L.C..................................... 555,000 122,243
*Dunloe Ewart P.L.C................................... 559,547 181,624
Golden Vale P.L.C..................................... 338,225 319,944
Green Property Co..................................... 236,779 1,213,232
Greencore Group P.L.C................................. 147,318 396,207
IFG Group P.L.C....................................... 83,471 92,894
Irish Continental Group P.L.C......................... 19,681 166,095
Jurys Hotel Group P.L.C............................... 96,417 576,742
Oakhill Group P.L.C................................... 69,119 22,436
Readymix P.L.C........................................ 80,250 89,309
Ryan Hotels P.L.C..................................... 160,078 154,395
Silvermines Group P.L.C............................... 195,374 195,686
------------
TOTAL -- IRELAND
(Cost $5,368,013).................................... 4,459,722
------------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
*Aokam Perdana Berhad................................. 10,333 15,500
*MBF Holdings Berhad.................................. 1,521,000 82,054
*Promet Berhad........................................ 201,000 15,339
*Rekapacific Berhad................................... 130,000 15,737
*Silverstone Berhad................................... 66,920 0
*Taiping Consolidated Berhad.......................... 332,000 18,347
*Westmont Industries Berhad........................... 361,000 84,550
*Wing Tiek Holdings Berhad............................ 86,000 20,142
------------
TOTAL -- MALAYSIA
(Cost $1,651,208).................................... 251,669
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $200,891)..................................... 204,131
------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*DF China Technology, Inc.
(Cost $15,055)...................................... 1,626 3,252
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (3.6%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $17,180,125) to be
repurchased at $16,927,797.
(Cost $16,925,000).................................. $ 16,925 16,925,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $607,907,435)++.... $473,734,333
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $607,909,220.
@ Denominated in local currency
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $336,073,608
------------
Total Investments (100%) (Cost $306,050,474) ++......... $336,073,608
============
</TABLE>
--------------
++The cost for federal income tax purposes is $306,745,732.
THE EMERGING MARKETS SMALL CAP PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
------
<S> <C> <C>
Investment in The Emerging Markets Small Cap Series of The
DFA Investment Trust Company.............................. $13,820,155
-----------
Total Investments (100%) (Cost $14,931,361) ++.......... $13,820,155
===========
</TABLE>
--------------
++The cost for federal income tax purposes is $14,931,361.
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The
DFA Investment Trust Company.............................. $683,596,280
------------
Total Investments (100%) (Cost $682,252,553) ++......... 68,841,519 $683,596,280
============
</TABLE>
--------------
++The cost for federal income tax purposes is $686,990,246.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company.......................... $518,479,603
------------
Total Investments (100%) (Cost 521,348,176) ++.......... 52,056,185 $518,479,603
============
</TABLE>
--------------
++The cost for federal income tax purposes is $525,701,752.
--------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
35
<PAGE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (98.2%)
Federal Farm Credit Bank
5.875%, 07/02/01................................... $10,000 $ 9,862,500
5.250%, 05/01/02................................... 50,000 48,246,200
Federal Home Loan Bank
5.125%, 04/17/01................................... 28,000 27,541,668
5.875%, 08/15/01................................... 13,000 12,803,167
5.875%, 09/17/01................................... 27,750 27,295,039
6.000%, 11/15/01................................... 10,000 9,833,620
7.125%, 11/15/01................................... 9,000 8,988,750
6.750%, 02/01/02................................... 35,000 34,737,500
6.750%, 02/15/02................................... 26,000 25,803,206
6.750%, 05/01/02................................... 6,000 5,947,998
------------
TOTAL AGENCY OBLIGATIONS
(Cost $213,908,352).................................. 211,059,648
------------
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $3,846,050) to be
repurchased at $3,788,626.
(Cost $3,788,000).................................... 3,788 3,788,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $217,696,352)++.... $214,847,648
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $217,696,352.
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED STATES -- (28.1%)
BONDS -- (14.6%)
Amoco Canada Eurobond
7.250%, 09/17/02................................... 4,800 $ 4,756,800
Credit Locale de France Holding SA Eurobond
7.125%, 02/18/02................................... 4,900 4,851,980
France Telecom SA Eurobond
6.875%, 10/01/01................................... 9,232 9,142,450
General Electric Capital Corp. Medium Term Notes
5.510%, 03/01/02................................... 6,700 6,501,010
0.775%, 08/06/03................................... 700,000 6,493,241
Glaxo K.K. Eurobond
7.000%, 05/02/02................................... 11,385 11,259,765
KFW International Finance, Inc. Medium Term Notes
6.250%, 10/15/03................................... 4,600 4,362,466
LB Baden-Wuertemberg Medium Term Notes
7.875%, 10/15/01................................... 10,000 10,053,500
Wal-Mart Stores, Inc. Corporate Bonds
6.150%, 08/10/01................................... 12,700 12,573,000
------------
TOTAL BONDS
(Cost $72,027,949)................................... 69,994,212
------------
COMMERCIAL PAPER -- (8.8%)
BASF Corp. C.P.
6.550%, 08/02/00................................... 3,000 2,965,693
British Telecommunications, Inc. C.P.
6.270%, 07/10/00................................... 5,000 4,964,683
DuPont (E.I.) de Nemours & Co., Inc. C.P.
6.430%, 07/28/00................................... 6,000 5,937,680
Govco, Inc. C.P.
6.620%, 08/02/00................................... 5,000 4,942,219
6.580%, 08/11/00................................... 5,000 4,933,832
Sheffield Receivables Corp. C.P.
6.090%, 06/13/00................................... 5,150 5,138,858
St. Michael Finance, Ltd. C.P.
6.400%, 06/23/00................................... 2,000 1,992,092
6.550%, 08/14/00................................... 3,000 2,959,053
Toronto Dominion Holdings, Inc. C.P.
6.600%, 01/29/01................................... 2,700 2,575,854
Windmill Funding Corp. C.P.
6.580%, 07/06/00................................... 6,000 5,961,558
------------
TOTAL COMMERCIAL PAPER
(Cost $42,382,378)................................... 42,371,522
------------
AGENCY OBLIGATIONS -- (4.7%)
Federal Home Loan Bank
6.750%, 02/15/02................................... 13,000 12,901,603
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Federal National Mortgage Association
6.625%, 04/15/02................................... 10,000 $ 9,900,000
------------
TOTAL AGENCY OBLIGATIONS
(Cost $22,976,115)................................... 22,801,603
------------
TOTAL -- UNITED STATES
(Cost $137,386,442).................................. 135,167,337
------------
JAPAN -- (17.9%)
BONDS -- (17.9%)
Asian Development Bank
5.000%, 02/05/03................................... 1,600,000 16,602,546
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 868,000 8,430,499
European Investment Bank
4.625%, 02/26/03................................... 1,500,000 15,484,088
Export-Import Bank of Japan
4.625%, 07/23/03................................... 9,850 8,899,238
Kansai International Airport
1.300%, 07/29/04................................... 913,000 8,593,261
Tokyo Electric Power Co., Inc.
4.750%, 02/25/03................................... 15,000 6,965,373
Toyota Motor Credit Corp. Medium Term Notes
1.000%, 12/20/04................................... 516,000 4,782,133
World Bank (International Bank for Reconstruction and
Development)
4.750%, 12/20/04................................... 1,520,000 16,571,416
------------
TOTAL -- JAPAN
(Cost $85,217,350)................................... 86,328,554
------------
GERMANY -- (9.2%)
BONDS -- (9.2%)
Deutsche Bahn Finance BV
6.875%, 07/19/02................................... 7,100 3,455,646
German Gov't. Treuhandanstalt
6.625%, 07/09/03................................... 13,800 13,331,843
Japan Finance Corp. for Small Business
4.500%, 08/07/02................................... 7,400 3,442,567
Landesbank Rheinland-Pfalz Girozentrale, Mainz
5.750%, 10/16/03................................... 9,900 9,229,031
Landwirtschaftliche Rentenbank
5.000%, 07/30/02................................... 9,000 4,218,272
Tokyo Electric Power Co., Inc.
7.625%, 11/06/02................................... 7,000 3,476,878
Westfalische Hypotheken Bank
4.750%, 01/17/03................................... 7,600 6,939,014
------------
TOTAL -- GERMANY
(Cost $49,493,479)................................... 44,093,251
------------
AUSTRALIA -- (7.5%)
BONDS -- (7.5%)
Airservices Australia
7.375%, 11/15/01................................... 2,750 1,583,722
Alberta (Province of)
7.000%, 03/20/02................................... 5,500 3,150,657
</TABLE>
37
<PAGE>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Federal National Mortgage Association
6.500%, 07/10/02................................... 19,350 $ 10,991,744
New South Wales Treasury Corp.
8.000%, 12/01/01................................... 11,000 6,419,166
8.750%, 04/18/02................................... 2,000 1,181,612
5.500%, 10/01/02................................... 10,000 5,583,560
State Bank of New South Wales
11.750%, 08/16/01.................................. 3,800 2,289,504
10.750%, 03/12/02.................................. 2,000 1,214,883
9.250%, 02/18/03................................... 3,800 2,290,393
State Bank of South Australia
11.000%, 04/10/02.................................. 2,000 1,220,554
------------
TOTAL -- AUSTRALIA
(Cost $41,869,833)................................... 35,925,795
------------
NETHERLANDS -- (7.1%)
BONDS -- (7.1%)
Bank Nederlandse Gemeenten BNG, Den Haag
7.000%, 03/10/03................................... 31,000 13,560,482
Nederlandse Waterschapsbank NV NWB
5.125%, 12/30/02................................... 22,700 9,493,487
Netherlands (Government of)
6.500%, 04/15/03................................... 11,500 11,029,881
------------
TOTAL -- NETHERLANDS
(Cost $36,024,661)................................... 34,083,850
------------
FRANCE -- (6.1%)
BONDS -- (6.1%)
Credit Local de France SA Euro
6.000%, 07/01/02................................... 20,000 2,855,627
Departemente des Hautes de Seine
7.000%, 07/21/03................................... 26,610 3,925,820
Electricite de France
3.750%, 10/28/03................................... 12,150 10,718,069
French Government Note
4.500%, 07/12/03................................... 13,000 11,860,927
------------
TOTAL -- FRANCE
(Cost $32,901,121)................................... 29,360,443
------------
SWEDEN -- (5.8%)
BONDS -- (5.8%)
Eksportfinans ASA
7.500%, 08/16/01................................... 39,000 4,446,053
Nordic Investment Bank, Helsinki
7.500%, 02/28/01................................... 47,100 5,328,704
Sweden (Kingdom of)
5.500%, 04/12/02................................... 118,000 13,207,338
Toyota Motor Credit Corp.
7.500%, 08/06/01................................... 43,000 4,888,939
------------
TOTAL BONDS
(Cost $30,134,295)................................... 27,871,034
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $648)......................................... 646
------------
TOTAL -- SWEDEN
(Cost $30,134,943)................................... 27,871,680
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
CANADA -- (5.7%)
BONDS -- (5.7%)
Alberta (Province of)
10.250%, 08/22/01.................................. 3,133 $ 2,186,651
Canada (Government of)
9.750%, 06/01/01................................... 17,000 11,727,661
Canada Mortgage and Housing
6.250%, 01/02/02................................... 14,600 9,721,050
Toyota Credit Canada, Inc.
7.375%, 12/31/01................................... 5,603 3,780,026
------------
TOTAL -- CANADA
(Cost $28,767,528)................................... 27,415,388
------------
UNITED KINGDOM -- (4.6%)
BONDS -- (4.6%)
Abbey National Treasury Services P.L.C.
4.875%, 02/24/03................................... 11,000 10,090,236
Federal National Mortgage Association
6.875%, 06/07/02................................... 8,000 11,990,484
------------
TOTAL BONDS
(Cost $24,924,746)................................... 22,080,720
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $391)......................................... 360
------------
TOTAL -- UNITED KINGDOM
(Cost $24,925,137)................................... 22,081,080
------------
AUSTRIA -- (4.3%)
BONDS -- (4.3%)
Bank Austria AG
4.750%, 03/17/03................................... 11,500 10,472,095
Republic of Austria
4.300%, 07/15/03................................... 11,450 10,330,251
------------
TOTAL -- AUSTRIA
(Cost $24,336,291)................................... 20,802,346
------------
DENMARK -- (2.6%)
BONDS -- (2.6%)
Denmark (Kingdom of)
8.000%, 05/15/03
(Cost $15,291,110)............................... 96,000 12,630,653
------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $5,535,704) to be
repurchased at $5,453,901.
(Cost $5,453,000)................................... 5,453 5,453,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $511,800,870)++.... $481,213,377
============
</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 $511,800,870.
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (65.2%)
Farm Credit System Financial Assistance Corp.
8.800%, 06/10/05................................... $ 1,000 $ 1,053,750
Federal Farm Credit Bank
6.300%, 08/08/07................................... 6,000 5,595,000
6.400%, 10/09/07................................... 2,500 2,342,020
6.000%, 01/07/08................................... 5,000 4,560,060
6.450%, 10/07/09................................... 2,000 1,853,008
7.160%, 05/19/10................................... 3,000 2,918,736
6.135%, 12/13/10................................... 4,000 3,584,032
6.740%, 04/11/11................................... 1,000 936,718
6.260%, 12/02/11................................... 2,000 1,794,010
6.280%, 11/26/12................................... 1,000 892,493
6.060%, 05/28/13................................... 3,600 3,137,522
Federal Home Loan Bank
7.445%, 03/29/05................................... 3,000 3,004,995
5.935%, 04/22/05................................... 2,000 1,881,216
6.010%, 05/20/05................................... 11,000 10,372,648
5.265%, 11/25/05................................... 6,000 5,425,590
6.440%, 11/28/05................................... 1,350 1,291,198
6.375%, 08/15/06................................... 8,000 7,571,360
6.900%, 02/07/07................................... 9,000 8,720,496
6.370%, 09/26/07................................... 7,425 6,948,471
6.200%, 10/10/07................................... 2,000 1,851,978
5.895%, 01/14/08................................... 2,100 1,903,453
6.030%, 01/30/08................................... 2,000 1,827,398
5.905%, 03/27/08................................... 4,000 3,619,592
6.185%, 05/06/08................................... 1,000 920,411
6.045%, 05/22/08................................... 1,000 911,850
5.945%, 07/28/08................................... 6,000 5,424,402
5.915%, 08/25/08................................... 3,000 2,704,581
5.800%, 09/02/08................................... 3,000 2,682,936
5.550%, 11/17/08................................... 5,000 4,384,220
5.315%, 12/23/08................................... 10,000 8,611,690
5.545%, 02/17/09................................... 3,000 2,621,754
5.950%, 03/16/09................................... 5,550 4,988,739
5.863%, 04/22/09................................... 9,000 8,033,760
6.500%, 11/13/09................................... 9,000 8,392,698
Federal Home Loan Mortgage Corp.
7.350%, 03/22/05................................... 2,000 1,992,490
6.130%, 02/27/06................................... 1,000 936,119
7.100%, 04/10/07................................... 2,000 1,956,706
6.480%, 12/05/11................................... 2,000 1,836,956
Federal National Mortgage Association
6.480%, 06/28/04................................... 2,000 1,932,706
7.400%, 07/01/04................................... 1,000 999,634
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
7.875%, 02/24/05................................... $ 2,000 $ 2,037,242
7.375%, 03/28/05................................... 1,000 996,521
6.220%, 03/13/06................................... 3,070 2,886,724
6.890%, 04/25/06................................... 1,525 1,480,089
6.570%, 08/22/07................................... 2,000 1,894,404
6.470%, 09/25/12................................... 3,410 3,097,801
Student Loan Marketing Association
5.850%, 06/01/07................................... 1,000 910,251
Tennessee Valley Authority
6.375%, 06/15/05................................... 5,000 4,750,000
5.375%, 11/13/08................................... 8,000 6,911,208
6.000%, 03/15/13................................... 5,000 4,387,500
------------
TOTAL AGENCY OBLIGATIONS
(Cost $186,087,302).................................. 171,769,136
------------
</TABLE>
<TABLE>
U.S. TREASURY OBLIGATIONS -- (33.2%)
U.S. Treasury Bonds
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
13.750%, 08/15/04.................................. 6,000 7,522,976
11.625%, 11/15/04.................................. 6,000 7,120,128
12.000%, 05/15/05.................................. 10,000 12,215,047
10.750%, 08/15/05.................................. 8,000 9,413,055
9.375%, 02/15/06................................... 11,000 12,411,916
11.250%, 02/15/15.................................. 5,000 7,229,384
U.S. Treasury Notes
7.000%, 07/15/06................................... 10,000 10,201,494
6.500%, 10/15/06................................... 1,000 995,673
6.625%, 05/15/07................................... 2,000 2,009,136
6.125%, 08/15/07................................... 5,000 4,886,920
5.625%, 05/15/08................................... 11,000 10,428,319
6.000%, 08/15/09................................... 3,000 2,919,311
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $91,032,950)................................................. 87,353,359
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $4,289,139) to be
repurchased at $4,225,698. (Cost $4,225,000) 4,225 4,225,000
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $281,345,252)++.... $263,347,495
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $281,345,252.
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S.
LARGE U.S. LARGE LARGE THE U.S.
COMPANY COMPANY CAP VALUE 4-10 VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ -----------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value................................ $ 1,095,690 $ 100,652 $ 1,262,223 $ 2,359
Receivables
Investment Securities Sold........................ -- -- 289 --
Fund Shares Sold.................................. 5,158 121 522 --
Prepaid Expenses and Other Assets................... 70 20 30 2
----------- ---------- ----------- ----------
Total Assets.................................... 1,100,918 100,793 1,263,064 2,361
----------- ---------- ----------- ----------
LIABILITIES:
Payable for Investment Securities Purchased......... 4,702 121 -- --
Payable for Fund Shares Redeemed.................... 456 -- 811 --
Accrued Expenses and Other Liabilities.............. 77 14 157 3
----------- ---------- ----------- ----------
Total Liabilities............................... 5,235 135 968 3
----------- ---------- ----------- ----------
NET ASSETS.......................................... $ 1,095,683 $ 100,658 $ 1,262,096 $ 2,358
=========== ========== =========== ==========
SHARES OUTSTANDING $.01 PAR VALUE................... 26,215,524 7,679,286 69,190,193 214,761
=========== ========== =========== ==========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE...... $ 41.80 $ 13.11 $ 18.24 $ 10.98
=========== ========== =========== ==========
PUBLIC OFFERING PRICE PER SHARE..................... $ 41.80 $ 13.11 $ 18.24 $ 10.98
=========== ========== =========== ==========
Investments at Cost................................. $ 751,509 $ 98,672 $ 1,210,147 $ 2,253
=========== ========== =========== ==========
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE U.S. THE DFA
6-10 6-10 SMALL 9-10 SMALL REAL ESTATE
VALUE COMPANY COMPANY SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------- ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................... $ 2,674,191 $ 451,764 $ 1,429,466 $ 177,851
Collateral for Securities Loaned................... -- -- -- 4
Receivables
Dividends and Interest........................... -- -- -- 270
Investment Securities Sold....................... 1,511 -- -- --
Fund Shares Sold................................. 859 2,052 540 1,368
Prepaid Expenses and Other Assets.................. 19 14 -- 13
------------ ----------- ------------ -----------
Total Assets................................... 2,676,580 453,830 1,430,006 179,506
------------ ----------- ------------ -----------
LIABILITIES:
Payable for Collateral on Securities Loaned........ -- -- -- 4
Payable for Securities Purchased................... -- 1,355 -- 42
Payable for Fund Shares Redeemed................... 2,370 697 433 152
Accrued Expenses and Other Liabilities............. 698 137 750 67
------------ ----------- ------------ -----------
Total Liabilities.............................. 3,068 2,189 1,183 265
------------ ----------- ------------ -----------
NET ASSETS......................................... $ 2,673,512 $ 451,641 $ 1,428,823 $ 179,241
============ =========== ============ ===========
SHARES OUTSTANDING $.01 PAR VALUE.................. 143,155,597 31,234,666 116,331,036 14,406,689
============ =========== ============ ===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE..... $ 18.68 $ 14.46 $ 12.28 $ 12.44
============ =========== ============ ===========
PUBLIC OFFERING PRICE PER SHARE.................... $ 18.68 $ 14.46 $ 12.28 $ 12.44
============ =========== ============ ===========
Investments at Cost................................ $ 2,388,509 $ 389,349 $ 1,203,016 $ 177,063
============ =========== ============ ===========
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE INTERNATIONAL THE JAPANESE THE PACIFIC RIM
THE LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ----------------- -------------- ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value................... $ 358,280 $ 282,010 $ 121,760 $ 100,875
Collateral for Securities Loaned....... 42,326 -- -- --
Cash................................... 15 15 -- --
Receivables
Dividends, Interest and Tax
Reclaims........................... 858 -- -- --
Investment Securities Sold........... -- -- 58 --
Fund Shares Sold..................... 172 418 1 --
Prepaid Expenses and Other Assets...... 28 16 7 8
----------- ----------- ----------- -----------
Total Assets....................... 401,679 282,459 121,826 100,883
----------- ----------- ----------- -----------
LIABILITIES:
Payable for Collateral on Securities
Loaned............................... 42,326 -- -- --
Payable for Investment Securities
Purchased............................ 2,016 -- -- --
Payable for Fund Shares Redeemed....... 121 136 59 --
Accrued Expenses and Other
Liabilities.......................... 139 88 53 42
----------- ----------- ----------- -----------
Total Liabilities.................. 44,602 224 112 42
----------- ----------- ----------- -----------
NET ASSETS............................. $ 357,077 $ 282,235 $ 121,714 $ 100,841
=========== =========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE...... 18,643,191 32,173,719 11,761,386 12,348,292
=========== =========== =========== ===========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE............................ $ 19.15 $ 8.77 $ 10.35 $ 8.17
=========== =========== =========== ===========
PUBLIC OFFERING PRICE PER SHARE........ $ 19.15 $ 8.83 $ 10.40 $ 8.25
=========== =========== =========== ===========
Investments at Cost.................... $ 296,157 $ 331,634 $ 265,450 $ 145,985
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
THE DFA
THE UNITED THE CONTINENTAL INTERNATIONAL THE
KINGDOM SMALL SMALL SMALL CAP EMERGING
COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ----------------- -------------- ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value................... $ 64,822 $ 139,615 $ 473,734 $ 336,074
Collateral for Securities Loaned....... -- -- 46,539 --
Cash................................... -- -- 15 --
Receivables
Dividends, Interest and Tax
Reclaims........................... -- -- 3,195 --
Investment Securities Sold........... -- 70 118 --
Fund Shares Sold..................... 21 1 362 843
Prepaid Expenses and Other Assets...... 7 11 6 11
---------- ----------- ----------- -----------
Total Assets....................... 64,850 139,697 523,969 336,928
---------- ----------- ----------- -----------
LIABILITIES:
Payable for Collateral on Securities
Loaned............................... -- -- 46,539 --
Payable for Securities Purchased....... -- -- 268 718
Payable for Fund Shares Redeemed....... 21 71 331 126
Accrued Expenses and Other
Liabilities.......................... 22 54 341 119
---------- ----------- ----------- -----------
Total Liabilities.................. 43 125 47,479 963
---------- ----------- ----------- -----------
NET ASSETS............................. $ 64,807 $ 139,572 $ 476,490 $ 335,965
========== =========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE...... 3,401,636 10,782,857 60,146,395 27,886,499
========== =========== =========== ===========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE............................ $ 19.05 $ 12.94 $ 7.92 $ 12.05
========== =========== =========== ===========
PUBLIC OFFERING PRICE PER SHARE........ $ 19.05 $ 13.07 $ 7.97 $ 12.11
========== =========== =========== ===========
Investments at Cost.................... $ 57,465 $ 105,717 $ 607,907 $ 306,050
========== =========== =========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE DFA
THE EMERGING THE DFA TWO-YEAR THE DFA
MARKETS ONE-YEAR GLOBAL FIXED FIVE-YEAR
SMALL CAP FIXED INCOME INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------- ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................. $ 13,820 $ 683,596 $ 518,480 $ 214,848
Interest Receivable.............................. -- -- -- 2,635
Receivable for Fund Shares Sold.................. 41 364 1,195 135
Prepaid Expenses and Other Assets................ 41 8 53 8
---------- ----------- ----------- -----------
Total Assets................................. 13,902 683,968 519,728 217,626
---------- ----------- ----------- -----------
LIABILITIES:
Payable for Investment Securities Purchased...... 41 271 778 --
Payable for Fund Shares Redeemed................. -- 93 416 184
Accrued Expenses and Other Liabilities........... 12 71 60 53
---------- ----------- ----------- -----------
Total Liabilities............................ 53 435 1,254 237
---------- ----------- ----------- -----------
NET ASSETS....................................... $ 13,849 $ 683,533 $ 518,474 $ 217,389
========== =========== =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE................ 1,581,217 67,499,163 52,155,041 21,430,296
========== =========== =========== ===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE... $ 8.76 $ 10.13 $ 9.94 $ 10.14
========== =========== =========== ===========
PUBLIC OFFERING PRICE PER SHARE.................. $ 8.84 $ 10.13 $ 9.94 $ 10.14
========== =========== =========== ===========
Investments at Cost.............................. $ 14,931 $ 682,253 $ 521,348 $ 217,696
========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
THE DFA
INTERMEDIATE
THE DFA FIVE-YEAR GOVERNMENT
GLOBAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO
------------------------ -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C>
ASSETS:
Investments at Value........................................ $ 481,213 $ 263,347
Cash........................................................ 15 --
Receivables
Interest.................................................. 10,474 4,000
Fund Shares Sold.......................................... 175 96
Prepaid Expenses and Other Assets........................... 7 17
----------- -----------
Total Assets............................................ 491,884 267,460
----------- -----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 750 17
Unrealized Loss on Forward Currency Contract................ 3,163 --
Accrued Expenses and Other Liabilities...................... 180 49
----------- -----------
Total Liabilities....................................... 4,093 66
----------- -----------
NET ASSETS.................................................. $ 487,791 $ 267,394
=========== ===========
SHARES OUTSTANDING $.01 PAR VALUE........................... 47,158,158 25,433,324
=========== ===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.............. $ 10.34 $ 10.51
=========== ===========
PUBLIC OFFERING PRICE PER SHARE............................. $ 10.34 $ 10.51
=========== ===========
Investments at Cost......................................... $ 511,801 $ 281,345
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
42
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE ENHANCED THE U.S.
THE U.S. LARGE U.S. LARGE LARGE CAP THE U.S.
COMPANY COMPANY VALUE 4-10 VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(1)
-------------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company......................... -- $ 3,481 $ 6,865 --
Net Investment Income from The DFA Investment Trust
Company.......................................... $ 5,900 -- -- --
------- ------- --------- ----
Total Investment Income........................ 5,900 3,481 6,865 --
------- ------- --------- ----
EXPENSES
Administrative Services............................ 1,096 75 859 $ 1
Accounting & Transfer Agent Fees................... 115 10 20 5
Legal Fees......................................... 7 1 12 --
Audit Fees......................................... 1 -- 2 --
Filing Fees........................................ 47 10 36 1
Shareholders' Reports.............................. 9 1 16 --
Directors' Fees and Expenses....................... 4 -- 6 --
Other.............................................. 3 4 2 1
------- ------- --------- ----
Total Expenses................................. 1,282 101 953 8
Less: Expenses Waived.............................. (806) -- -- (7)
------- ------- --------- ----
Net Expenses....................................... 476 101 953 1
------- ------- --------- ----
NET INVESTMENT INCOME (LOSS)....................... 5,424 3,380 5,912 (1)
------- ------- --------- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Capital Gain Distributions Received from The DFA
Investment Trust Company......................... -- 10,644 202,125 --
Net Realized Loss on Investment Securities Sold.... (4,483) (1,853) (20,424) --
Change in Unrealized Appreciation (Depreciation) of
Investment Securities............................ 24,035 (9,999) (172,152) 106
------- ------- --------- ----
NET GAIN (LOSS) ON INVESTMENT SECURITIES........... 19,552 (1,208) 9,549 106
------- ------- --------- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... $24,976 $ 2,172 $ 15,461 $105
======= ======= ========= ====
</TABLE>
--------------
(1) For the period February 23, 2000 (commencement of operations) to May 31,
2000.
See accompanying Notes to Financial Statements.
43
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE U.S. THE DFA
6-10 6-10 SMALL 9-10 SMALL REAL ESTATE
VALUE COMPANY COMPANY SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends................................................ -- -- -- $ 6,048
Interest................................................. -- -- -- 89
Income from Securities Lending........................... -- -- -- 3
Income Distributions Received from The DFA Investment
Trust Company.......................................... $ 3,187 $ 491 $ 1,653 --
-------- -------- --------- -------
Total Investment Income.............................. 3,187 491 1,653 6,140
-------- -------- --------- -------
EXPENSES
Investment Advisory Services............................. -- -- -- 228
Administrative Services.................................. 4,183 707 3,176 --
Accounting & Transfer Agent Fees......................... 15 12 10 80
Custodian's Fee.......................................... -- -- -- 8
Legal Fees............................................... 26 3 15 1
Audit Fees............................................... 3 -- 2 6
Filing Fees.............................................. 66 16 36 11
Shareholders' Reports.................................... 29 6 15 1
Directors' Fees and Expenses............................. 14 2 7 1
Other.................................................... 3 2 2 2
-------- -------- --------- -------
Total Expenses....................................... 4,339 748 3,263 338
-------- -------- --------- -------
NET INVESTMENT INCOME (LOSS)............................. (1,152) (257) (1,610) 5,802
-------- -------- --------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA
Investment Trust Company............................... 252,080 40,004 250,140 --
Net Realized Gain (Loss) on Investment Securities Sold... (18,454) (4,776) 13,566 (3,876)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities.................................. (65,182) (20,551) (140,181) 19,127
-------- -------- --------- -------
NET GAIN ON INVESTMENT SECURITIES........................ 168,444 14,677 123,525 15,251
-------- -------- --------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $167,292 $ 14,420 $ 121,915 $21,053
======== ======== ========= =======
</TABLE>
See accompanying Notes to Financial Statements.
44
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE INTERNATIONAL THE JAPANESE THE PACIFIC RIM
THE LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ----------------- ------------ ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Net Investment Income from The DFA Investment
Trust Company................................ -- $ 4,116 $ 1,080 $ 2,540
Dividends (Net of Foreign Taxes Withheld of
$283, $0, $0 and $0, respectively)........... $ 2,749 -- -- --
Income from Securities Lending................. 51 -- -- --
Interest....................................... 319 30 -- --
------- -------- -------- --------
Total Investment Income.................... 3,119 4,146 1,080 2,540
------- -------- -------- --------
EXPENSES
Advisory Services.............................. 405 -- -- --
Administrative Services........................ -- 546 249 250
Accounting & Transfer Agent Fees............... 195 16 19 19
Custodian's Fees............................... 113 -- -- --
Legal Fees..................................... 3 3 1 1
Audit Fees..................................... 13 -- -- --
Filing Fees.................................... 24 13 7 7
Shareholders' Reports.......................... 5 4 2 1
Directors' Fees and Expenses................... 1 1 1 1
Other.......................................... 6 6 2 2
------- -------- -------- --------
Total Expenses............................. 765 589 281 281
------- -------- -------- --------
NET INVESTMENT INCOME.......................... 2,354 3,557 799 2,259
------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities
Sold......................................... 115 5,196 519 6,016
Net Realized Gain (Loss) on Foreign Currency
Transactions................................. 16 (9) 14 (36)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency... (4,711) (15,331) (10,374) (22,012)
Translation of Foreign Currency Denominated
Amounts.................................... (67) (23) (33) --
------- -------- -------- --------
NET LOSS ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY..................................... (4,647) (10,167) (9,874) (16,032)
------- -------- -------- --------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $(2,293) $ (6,610) $ (9,075) $(13,773)
======= ======== ======== ========
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE UNITED THE CONTINENTAL INTERNATIONAL THE
KINGDOM SMALL SMALL SMALL CAP EMERGING
COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- --------------- ------------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $921 and $0, respectively)................. -- -- $ 8,168 --
Net Investment Income from The DFA Investment
Trust Company.................................. $ 1,243 $ 2,161 -- $ 3,062
Interest......................................... -- -- 262 --
Income from Securities Lending................... -- -- 225 --
-------- ------- -------- --------
Total Investment Income...................... 1,243 2,161 8,655 3,062
-------- ------- -------- --------
EXPENSES
Investment Advisory Services..................... -- -- 1,608 --
Administrative Services.......................... 159 303 -- 728
Accounting & Transfer Agent Fees................. 19 19 248 33
Custodian's Fee.................................. -- -- 88 --
Legal Fees....................................... -- 1 4 3
Audit Fees....................................... -- -- 23 --
Filing Fees...................................... 7 7 15 13
Shareholders' Reports............................ 1 2 13 11
Directors' Fees and Expenses..................... -- 1 3 1
Other............................................ 2 1 13 1
-------- ------- -------- --------
Total Expenses............................... 188 334 2,015 790
Less: Expenses Waived............................ (2) -- -- --
-------- ------- -------- --------
Net Expenses..................................... 186 334 2,015 790
-------- ------- -------- --------
NET INVESTMENT INCOME............................ 1,057 1,827 6,640 2,272
-------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities
Sold........................................... 4,739 4,417 20,012 12,283
Net Realized Gain (Loss) on Foreign Currency
Transactions................................... (29) 31 (142) (112)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency..... (10,717) 4,914 (47,931) (21,983)
Translation of Foreign Currency Denominated
Amounts...................................... (4) 3 (52) 13
-------- ------- -------- --------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY............................... (6,011) 9,365 (28,113) (9,799)
-------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................... $ (4,954) $11,192 $(21,473) $ (7,527)
======== ======= ======== ========
</TABLE>
See accompanying Notes to Financial Statements.
46
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE EMERGING THE DFA TWO-YEAR THE DFA
MARKETS ONE-YEAR GLOBAL FIXED FIVE-YEAR
SMALL CAP FIXED INCOME INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company......................... -- $20,216 $20,048 --
Interest........................................... -- -- -- $ 6,303
Net Investment Income from The DFA Investment Trust
Company.......................................... $ 159 -- -- --
------- ------- ------- -------
Total Investment Income........................ 159 20,216 20,048 6,303
------- ------- ------- -------
EXPENSES
Investment Advisory Services....................... -- -- -- 216
Administrative Services............................ 30 346 258 --
Accounting & Transfer Agent Fees................... 19 10 10 46
Custodian's Fee.................................... -- -- -- 9
Legal Fees......................................... -- 8 5 2
Audit Fees......................................... -- 1 1 12
Filing Fees........................................ 7 22 23 13
Shareholders' Reports.............................. -- 10 10 3
Directors' Fees and Expenses....................... -- 5 2 1
Other.............................................. 3 1 4 1
------- ------- ------- -------
Total Expenses................................. 59 403 313 303
------- ------- ------- -------
NET INVESTMENT INCOME.............................. 100 19,813 19,735 6,000
------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities
Sold............................................. 853 (390) (2,084) (857)
Net Realized Loss on Foreign Currency
Transactions..................................... (11) -- -- --
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency....... (1,432) (2,401) (5,199) (908)
------- ------- ------- -------
NET LOSS ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY......................................... (590) (2,791) (7,283) (1,765)
------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... $ (490) $17,022 $12,452 $ 4,235
======= ======= ======= =======
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA THE DFA
FIVE-YEAR INTERMEDIATE
GLOBAL FIXED GOVERNMENT
INCOME FIXED INCOME
PORTFOLIO PORTFOLIO
------------ ------------
<S> <C> <C>
INVESTMENT INCOME
Interest.................................................. $ 10,219 $ 8,277
-------- -------
EXPENSES
Investment Advisory Services.............................. 599 133
Accounting & Transfer Agent Fees.......................... 212 52
Custodian's Fee........................................... 30 11
Legal Fees................................................ 4 2
Audit Fees................................................ 25 13
Filing Fees............................................... 29 14
Shareholders' Reports..................................... 11 3
Directors' Fees and Expenses.............................. 2 1
Other..................................................... 2 5
-------- -------
Total Expenses........................................ 914 234
-------- -------
NET INVESTMENT INCOME..................................... 9,305 8,043
-------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Loss on Investment Securities Sold........... (1,492) (414)
Net Realized Gain on Foreign Currency Transactions........ 33,663 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (22,168) (7,282)
Translation of Foreign Currency Denominated Amounts..... (8,171) --
-------- -------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY................................................ 1,832 (7,696)
-------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 11,137 $ 347
======== =======
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE COMPANY U.S. LARGE COMPANY LARGE CAP VALUE 4-10 VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- --------------------- ----------------------- -----------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR FEB. 23
ENDED ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31,
2000 1999 2000 1999 2000 1999 2000
---------- --------- ---------- -------- ---------- ---------- -------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income
(Loss).................... $ 5,424 $ 8,664 $ 3,380 $ 4,959 $ 5,912 $ 19,156 $ (1)
Capital Gain Distributions
Received from The DFA
Investment Trust
Company................... -- -- 10,644 7,564 202,125 82,757 --
Net Realized Gain (Loss) on
Investment Securities
Sold...................... (4,483) 3,541 (1,853) (217) (20,424) (7,441) --
Change in Unrealized
Appreciation
(Depreciation) of
Investment Securities..... 24,035 114,630 (9,999) 1,797 (172,152) (50,776) 106
---------- --------- ---------- -------- ---------- ---------- -------
Net Increase in Net Assets
Resulting from
Operations................ 24,976 126,835 2,172 14,103 15,461 43,696 105
---------- --------- ---------- -------- ---------- ---------- -------
Distributions From:
Net Investment Income....... (4,359) (8,675) (6,250) (2,213) (10,194) (19,128) --
Net Realized Gains.......... (5,508) (2,638) (9,444) (6,137) (104,797) (34,355) --
---------- --------- ---------- -------- ---------- ---------- -------
Total Distributions....... (9,867) (11,313) (15,694) (8,350) (114,991) (53,483) --
---------- --------- ---------- -------- ---------- ---------- -------
Capital Share Transactions
(1):
Shares Issued................. 285,920 410,028 17,428 39,614 305,244 359,265 2,253
Shares Issued in Lieu of
Cash Distributions........ 9,698 10,994 15,694 8,350 112,218 51,364 --
Shares Redeemed............. (111,448) (190,102) (21,142) (13,053) (233,598) (303,550) --
---------- --------- ---------- -------- ---------- ---------- -------
Net Increase From Capital
Shares Transactions....... 184,170 230,920 11,980 34,911 183,864 107,079 2,253
---------- --------- ---------- -------- ---------- ---------- -------
Total Increase
(Decrease).............. 199,279 346,442 (1,542) 40,664 84,334 97,292 2,358
NET ASSETS
Beginning of Period......... 896,404 549,962 102,200 61,536 1,177,762 1,080,470 --
---------- --------- ---------- -------- ---------- ---------- -------
End of Period............... $1,095,683 $ 896,404 $ 100,658 $102,200 $1,262,096 $1,177,762 $ 2,358
========== ========= ========== ======== ========== ========== =======
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 6,820 10,590 1,305 2,744 17,435 17,181 215
Shares Issued in Lieu of
Cash Distributions....... 234 295 1,193 610 6,365 2,606 --
Shares Redeemed............ (2,662) (4,949) (1,579) (907) (13,245) (14,603) --
---------- --------- ---------- -------- ---------- ---------- -------
4,392 5,936 919 2,447 10,555 5,184 215
========== ========= ========== ======== ========== ========== =======
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
THE U.S. THE U.S. 6-10 THE U.S. 9-10 THE DFA REAL ESTATE
6-10 VALUE SMALL COMPANY SMALL COMPANY SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ---------------------- ----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income
(Loss).................. $ (1,152) $ 12,380 $ (257) $ 2,148 $ (1,610) $ 4,100 $ 5,802 $ 8,005
Capital Gain Distributions
Received from The DFA
Investment Trust
Company................. 252,080 198,229 40,004 29,001 250,140 124,444 -- --
Net Realized Gain (Loss)
on Investment Securities
Sold.................... (18,454) (62,945) (4,776) (6,417) 13,566 (26,576) (3,876) (2,177)
Change in Unrealized
Appreciation
(Depreciation) of
Investment Securities... (65,182) 75,688 (20,551) 33,606 (140,181) 138,716 19,127 (15,378)
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 167,292 223,352 14,420 58,338 121,915 240,684 21,053 (9,550)
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
Distributions From:
Net Investment Income..... (13,254) (10,123) (2,196) (1,506) (4,447) (2,799) (7,249) (5,286)
Net Realized Gains........ (204,758) (176,392) (32,341) (29,653) (128,325) (16,080) -- --
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
Total Distributions..... (218,012) (186,515) (34,537) (31,159) (132,772) (18,879) (7,249) (5,286)
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
Capital Share Transactions
(1):
Shares Issued............. 307,371 650,160 229,341 118,196 210,595 226,404 53,914 75,298
Shares Issued in Lieu of
Cash Distributions...... 213,286 181,035 33,696 29,993 128,107 18,041 7,171 5,012
Shares Redeemed........... (418,071) (596,480) (189,944) (101,293) (221,612) (482,170) (25,687) (41,979)
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
Net Increase (Decrease)
From Capital Shares
Transactions............ 102,586 234,715 73,093 46,896 117,090 (237,725) 35,398 38,331
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
Total Increase
(Decrease)............ 51,866 271,552 52,976 74,075 106,233 (15,920) 49,202 23,495
NET ASSETS
Beginning of Period....... 2,621,646 2,350,094 398,665 324,590 1,322,590 1,338,510 130,039 106,544
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
End of Period............. $2,673,512 $2,621,646 $ 451,641 $ 398,665 $1,428,823 $1,322,590 $ 179,241 $130,039
========== ========== ========== ========= ========== ========== =========== ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued............ 15,920 35,506 14,277 8,945 15,359 20,476 4,712 6,151
Shares Issued in Lieu of
Cash Distributions..... 12,160 10,538 2,429 2,438 10,875 1,753 658 417
Shares Redeemed.......... (21,664) (32,442) (12,638) (7,789) (15,361) (42,507) (2,275) (3,450)
---------- ---------- ---------- --------- ---------- ---------- ----------- --------
6,416 13,602 4,068 3,594 10,873 (20,278) 3,095 3,118
========== ========== ========== ========= ========== ========== =========== ========
</TABLE>
See accompanying Notes to Financial Statements.
50
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
THE LARGE CAP THE INTERNATIONAL THE JAPANESE THE PACIFIC RIM
INTERNATIONAL SMALL COMPANY SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- ---------------------- ---------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- -------- ---------- --------- ---------- -------- --------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income..... $ 2,354 $ 2,447 $ 3,557 $ 4,344 $ 799 $ 853 $ 2,259 $ 2,862
Net Realized Gain (Loss)
on Investment Securities
Sold.................... 115 2,341 5,196 1,375 519 (2,827) 6,016 (8,428)
Net Realized Gain (Loss)
on Foreign Currency
Transactions............ 16 38 (9) 581 14 95 (36) 1,861
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ (4,711) 31,929 (15,331) 30,163 (10,374) 30,596 (22,012) 56,978
Translation of Foreign
Currency Denominated
Amounts................. (67) (21) (23) (31) (33) (21) -- 3
---------- -------- ---------- --------- ---------- -------- --------- --------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... (2,293) 36,734 (6,610) 36,432 (9,075) 28,696 (13,773) 53,276
---------- -------- ---------- --------- ---------- -------- --------- --------
Distributions From:
Net Investment Income..... (2,888) (1,826) (5,230) (5,036) (940) (827) (5,473) (2,995)
Net Realized Gains........ (2,323) (1) -- -- -- -- -- --
---------- -------- ---------- --------- ---------- -------- --------- --------
Total Distributions..... (5,211) (1,827) (5,230) (5,036) (940) (827) (5,473) (2,995)
---------- -------- ---------- --------- ---------- -------- --------- --------
Capital Share Transactions
(1):
Shares Issued............. 118,384 146,668 67,721 87,035 7,343 28,169 3,236 14,250
Shares Issued in Lieu of
Cash Distributions...... 5,211 1,827 5,230 5,036 940 827 5,473 2,995
Shares Redeemed........... (27,354) (29,655) (29,318) (147,017) (21,087) (32,046) (20,404) (25,074)
---------- -------- ---------- --------- ---------- -------- --------- --------
Net Increase (Decrease)
From Capital Shares
Transactions............ 96,241 118,840 43,633 (54,946) (12,804) (3,050) (11,695) (7,829)
---------- -------- ---------- --------- ---------- -------- --------- --------
Total Increase
(Decrease)............ 88,737 153,747 31,793 (23,550) (22,819) 24,819 (30,941) 42,452
NET ASSETS
Beginning of Period....... 268,340 114,593 250,442 273,992 144,533 119,714 131,782 89,330
---------- -------- ---------- --------- ---------- -------- --------- --------
End of Period............. $ 357,077 $268,340 $ 282,235 $ 250,442 $ 121,714 $144,533 $ 100,841 $131,782
========== ======== ========== ========= ========== ======== ========= ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued............ 5,937 8,388 7,347 10,458 725 2,930 326 2,288
Shares Issued in Lieu of
Cash Distributions..... 263 112 588 671 94 94 575 487
Shares Redeemed.......... (1,379) (1,715) (3,187) (18,732) (2,068) (3,166) (2,057) (2,899)
---------- -------- ---------- --------- ---------- -------- --------- --------
4,821 6,785 4,748 (7,603) (1,249) (142) (1,156) (124)
========== ======== ========== ========= ========== ======== ========= ========
</TABLE>
See accompanying Notes to Financial Statements.
51
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
THE UNITED KINGDOM THE CONTINENTAL THE DFA INTERNATIONAL THE EMERGING MARKETS
SMALL COMPANY SMALL COMPANY SMALL CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- --------------------- ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- -------- ---------- -------- ---------- --------- --------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 1,057 $ 2,742 $ 1,827 $ 2,795 $ 6,640 $ 9,045 $ 2,272 $ 2,459
Net Realized Gain (Loss) on
Investment Securities
Sold...................... 4,739 9,684 4,417 22,262 20,012 (3,062) 12,283 (2,112)
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. (29) (44) 31 (181) (142) 749 (112) (217)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency.......... (10,717) 15,043 4,914 (36,037) (47,931) 71,809 (21,983) 115,475
Translation of Foreign
Currency Denominated
Amounts................... (4) (5) 3 (26) (52) (73) 13 2
---------- -------- ---------- -------- ---------- --------- --------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations................ (4,954) 27,420 11,192 (11,187) (21,473) 78,468 (7,527) 115,607
---------- -------- ---------- -------- ---------- --------- --------- --------
Distributions From:
Net Investment Income....... (2,767) (2,932) (2,707) (3,288) (12,242) (8,619) (2,533) (2,457)
Net Realized Gains.......... (9,556) (10,988) (21,857) (20,671) -- (9,575) -- --
---------- -------- ---------- -------- ---------- --------- --------- --------
Total Distributions....... (12,323) (13,920) (24,564) (23,959) (12,242) (18,194) (2,533) (2,457)
---------- -------- ---------- -------- ---------- --------- --------- --------
Capital Share Transactions
(1):
Shares Issued............... 3,331 19,031 6,162 34,846 71,006 111,025 66,013 78,830
Shares Issued in Lieu of
Cash Distributions........ 12,323 13,920 24,564 23,959 12,242 18,194 2,533 2,457
Shares Redeemed............. (17,396) (41,856) (38,525) (62,754) (98,176) (115,161) (53,125) (89,060)
---------- -------- ---------- -------- ---------- --------- --------- --------
Net Increase (Decrease) From
Capital Shares
Transactions.............. (1,742) (8,905) (7,799) (3,949) (14,928) 14,058 15,421 (7,773)
---------- -------- ---------- -------- ---------- --------- --------- --------
Total Increase
(Decrease).............. (19,019) 4,595 (21,171) (39,095) (48,643) 74,332 5,361 105,377
NET ASSETS
Beginning of Period......... 83,826 79,231 160,743 199,838 525,133 450,801 330,604 225,227
---------- -------- ---------- -------- ---------- --------- --------- --------
End of Period............... $ 64,807 $ 83,826 $ 139,572 $160,743 $ 476,490 $ 525,133 $ 335,965 $330,604
========== ======== ========== ======== ========== ========= ========= ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 153 929 464 2,465 8,656 14,193 4,891 8,017
Shares Issued in Lieu of
Cash Distributions....... 577 779 1,997 1,618 1,496 2,592 190 304
Shares Redeemed............ (789) (1,911) (2,928) (4,302) (11,893) (14,709) (3,913) (9,211)
---------- -------- ---------- -------- ---------- --------- --------- --------
(59) (203) (467) (219) (1,741) 2,076 1,168 (890)
========== ======== ========== ======== ========== ========= ========= ========
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
THE EMERGING MARKETS THE DFA ONE-YEAR THE DFA TWO-YEAR
FIXED INCOME GLOBAL FIXED INCOME
SMALL CAP PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- ---------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999
---------- ------- ---------- --------- ---------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................. $ 100 $ 69 $ 19,813 $ 39,484 $ 19,735 $ 26,565
Capital Gain Distributions Received
from The DFA Investment Trust
Company............................. -- -- -- -- -- 603
Net Realized Gain (Loss) on Investment
Securities Sold..................... 853 4,443 (390) (251) (2,084) (179)
Net Realized Loss on Foreign Currency
Transactions........................ (11) (28) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (1,432) 650 (2,401) (3,559) (5,199) (5,218)
---------- ------- ---------- --------- ---------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations........... (490) 5,134 17,022 35,674 12,452 21,771
---------- ------- ---------- --------- ---------- ---------
Distributions From:
Net Investment Income................. (104) -- (19,688) (39,523) (30,298) (16,258)
Net Realized Gains.................... (4,330) (218) -- (528) (15) (603)
---------- ------- ---------- --------- ---------- ---------
Total Distributions................. (4,434) (218) (19,688) (40,051) (30,313) (16,861)
---------- ------- ---------- --------- ---------- ---------
Capital Share Transactions (1):
Shares Issued......................... 6,179 5,778 150,814 462,552 119,325 207,875
Shares Issued in Lieu of Cash
Distributions....................... 4,434 218 18,098 36,060 30,052 16,643
Shares Redeemed....................... (3,574) (4,199) (195,233) (534,225) (144,530) (138,825)
---------- ------- ---------- --------- ---------- ---------
Net Increase (Decrease) From Capital
Shares Transactions................. 7,039 1,797 (26,321) (35,613) 4,847 85,693
---------- ------- ---------- --------- ---------- ---------
Total Increase (Decrease)........... 2,115 6,713 (28,987) (39,990) (13,014) 90,603
NET ASSETS
Beginning of Period................... 11,734 5,021 712,520 752,510 531,488 440,885
---------- ------- ---------- --------- ---------- ---------
End of Period......................... $ 13,849 $11,734 $ 683,533 $ 712,520 $ 518,474 $ 531,488
========== ======= ========== ========= ========== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................ 622 545 14,893 45,404 12,085 20,273
Shares Issued in Lieu of Cash
Distributions...................... 461 25 1,792 3,549 3,068 1,631
Shares Redeemed...................... (291) (333) (19,277) (52,459) (14,542) (13,544)
---------- ------- ---------- --------- ---------- ---------
792 237 (2,592) (3,506) 611 8,360
========== ======= ========== ========= ========== =========
</TABLE>
See accompanying Notes to Financial Statements.
53
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
THE DFA FIVE-YEAR THE DFA FIVE-YEAR THE DFA INTERMEDIATE
GOVERNMENT GLOBAL FIXED INCOME GOVERNMENT FIXED
PORTFOLIO PORTFOLIO INCOME PORTFOLIO
--------------------- --------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999
---------- -------- ---------- -------- ---------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................. $ 6,000 $ 10,492 $ 9,305 $ 15,678 $ 8,043 $ 13,620
Net Realized Gain (Loss) on Investment
Securities Sold..................... (857) (71) (1,492) (275) (414) 897
Net Realized Gain on Foreign Currency
Transactions........................ -- -- 33,663 5,791 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (908) (1,947) (22,168) (11,004) (7,282) (20,215)
Translation of Foreign Currency
Denominated Amounts................. -- -- (8,171) 5,025 -- --
---------- -------- ---------- -------- ---------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations........... 4,235 8,474 11,137 15,215 347 (5,698)
---------- -------- ---------- -------- ---------- --------
Distributions From:
Net Investment Income................. (6,576) (10,408) (19,513) (9,462) (7,592) (12,605)
Net Realized Gains.................... -- -- -- (9,686) (899) (1,590)
---------- -------- ---------- -------- ---------- --------
Total Distributions................. (6,576) (10,408) (19,513) (19,148) (8,491) (14,195)
---------- -------- ---------- -------- ---------- --------
Capital Share Transactions (1):
Shares Issued......................... 32,310 77,618 88,008 166,651 37,063 52,035
Shares Issued in Lieu of Cash
Distributions....................... 6,506 10,236 19,282 18,863 8,479 14,167
Shares Redeemed....................... (38,108) (77,884) (83,457) (80,866) (26,380) (28,968)
---------- -------- ---------- -------- ---------- --------
Net Increase From Capital Shares
Transactions........................ 708 9,970 23,833 104,648 19,162 37,234
---------- -------- ---------- -------- ---------- --------
Total Increase (Decrease)........... (1,633) 8,036 15,457 100,715 11,018 17,341
NET ASSETS
Beginning of Period................... 219,022 210,986 472,334 371,619 256,376 239,035
---------- -------- ---------- -------- ---------- --------
End of Period......................... $ 217,389 $219,022 $ 487,791 $472,334 $ 267,394 $256,376
========== ======== ========== ======== ========== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................ 3,216 7,620 8,559 15,818 3,484 4,688
Shares Issued in Lieu of Cash
Distributions...................... 654 1,018 1,892 1,801 806 1,270
Shares Redeemed...................... (3,788) (7,676) (8,131) (7,678) (2,503) (2,609)
---------- -------- ---------- -------- ---------- --------
82 962 2,320 9,941 1,787 3,349
========== ======== ========== ======== ========== ========
</TABLE>
See accompanying Notes to Financial Statements.
54
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 41.08 $ 34.61 $ 28.48 $ 22.73 $ 18.12 $ 13.58
---------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.22 0.45 0.43 0.42 0.41 0.35
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.94 6.67 6.20 5.89 4.52 4.57
---------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 1.16 7.12 6.63 6.31 4.93 4.92
----------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.19) (0.48) (0.43) (0.43) (0.31) (0.36)
Net Realized Gains.......... (0.25) (0.17) (0.07) (0.13) (0.01) (0.02)
---------- -------- -------- -------- -------- --------
Total Distributions....... (0.44) (0.65) (0.50) (0.56) (0.32) (0.38)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 41.80 $ 41.08 $ 34.61 $ 28.48 $ 22.73 $ 18.12
====================================================================================================
Total Return.................. 2.83%# 20.76% 23.56% 28.26% 27.49% 36.54%
----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $1,095,683 $896,404 $549,962 $343,537 $187,757 $ 97,111
Ratio of Expenses to Average
Net Assets**................ 0.15%* 0.15% 0.15% 0.15% 0.21% 0.24%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)**................. 0.31%* 0.31% 0.32% 0.35% 0.45% 0.46%
Ratio of Net Investment Income
to Average Net Assets....... 1.06%* 1.18% 1.39% 1.66% 2.10% 2.29%
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)**... 0.90%* 1.02% 1.21% 1.46% 1.85% 2.23%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 5%* 4% 9% 4% 14% 2%
----------------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY PORTFOLIO
---------------------------------------------------
SIX MONTHS YEAR YEAR YEAR JULY 3,
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
------------------------------ ---------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 15.12 $ 14.27 $ 13.61 $ 11.83 $ 10.00
-------- -------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.50 1.54 0.63 0.54 0.12
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.18) 1.12 2.15 2.40 1.71
-------- -------- ------- ------- -------
Total From Investment
Operations.............. 0.32 2.66 2.78 2.94 1.83
------------------------------ ---------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.92) (1.14) (0.72) (0.55) --
Net Realized Gains.......... (1.41) (0.67) (1.40) (0.61) --
-------- -------- ------- ------- -------
Total Distributions....... (2.33) (1.81) (2.12) (1.16) --
------------------------------ ---------------------------------------------------
Net Asset Value, End of
Period...................... $ 13.11 $ 15.12 $ 14.27 $ 13.61 $ 11.83
============================== ===================================================
Total Return.................. 2.16%# 20.31% 23.73% 27.22% 18.30%#
------------------------------ ---------------------------------------------------
Net Assets, End of Period
(thousands)................. $100,658 $102,200 $61,536 $47,642 $29,236
Ratio of Expenses to Average
Net Assets**................ 0.38%* 0.40% 0.45% 0.52% 0.65%*
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses)**................. 0.38%* 0.40% 0.46% 0.54% 0.65%*
Ratio of Net Investment Income
to Average Net Assets....... 6.73%* 6.27% 4.54% 4.51% 3.44%*
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)**... 6.73%* 6.27% 4.53% 4.49% 3.44%*
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 61%* 82% 87% 194% 211%*
------------------------------ ---------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio
and its respective pro-rata share of the Master Fund Series.
N/A Refer to the Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
55
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 4-10
THE U.S. LARGE CAP VALUE PORTFOLIO VALUE PORTFOLIO
---------------------------------------------------------------------------------- ---------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR FEB. 23,
ENDED ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, MAY 31,
2000 1999 1998 1997 1996 1995 2000
<S> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 20.09 $ 20.21 $ 19.22 $ 15.98 $ 13.29 $ 9.91 $ 10.00
---------- ---------- ---------- -------- -------- -------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.10 0.34 0.31 0.29 0.30 0.29 (0.01)
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.06 0.54 1.83 3.60 2.62 3.55 0.99
---------- ---------- ---------- -------- -------- -------- -------
Total From Investment
Operations............... 0.16 0.88 2.14 3.89 2.92 3.84 0.98
---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.17) (0.35) (0.31) (0.30) (0.23) (0.29) --
Net Realized Gains.......... (1.84) (0.65) (0.84) (0.35) -- (0.17) --
---------- ---------- ---------- -------- -------- -------- -------
Total Distributions....... (2.01) (1.00) (1.15) (0.65) (0.23) (0.46) --
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 18.24 $ 20.09 $ 20.21 $ 19.22 $ 15.98 $ 13.29 $ 10.98
=================================================================================================================================
Total Return.................. 1.14%# 4.51% 11.69% 25.10% 22.20% 39.13% 9.80%#
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $1,262,096 $1,177,762 $1,080,470 $840,003 $541,149 $280,915 $ 2,358
Ratio of Expenses to Average
Net Assets**................ 0.33%* 0.33% 0.33% 0.35% 0.36% 0.42% 0.50%*(a)
Ratio of Expenses to Average
Net Assets
(Excluding Waivers and
Assumption of Expenses)**... 0.33%* 0.33% 0.33% 0.35% 0.36% 0.42% 2.65%*(a)
Ratio of Net Investment Income
to Average Net Assets....... 1.03%* 1.63% 1.57% 1.70% 2.17% 2.49% (0.36%)*(a)
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 1.03%* 1.63% 1.57% 1.70% 2.17% 2.49% (2.51%)*(a)
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 22%* 43% 25% 18% 20% 29% 32%*
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
** Represents the combined ratios for the respective portfolio
and its respective pro-rata share of the Master Fund Series.
N/A Refer to the Master Fund Series
(a) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
</TABLE>
See accompanying Notes to Financial Statements.
56
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE PORTFOLIO
------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 19.17 $ 19.09 $ 22.09 $ 17.00 $ 14.03 $ 11.13
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... - 0.09 0.12 0.07 0.11 0.10
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.12 1.52 (2.10) 5.49 2.93 3.06
---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations.............. 1.12 1.61 (1.98) 5.56 3.04 3.16
--------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.10) (0.08) (0.10) (0.11) (0.02) (0.10)
Net Realized Gains.......... (1.51) (1.45) (0.92) (0.36) (0.05) (0.16)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions....... (1.61) (1.53) (1.02) (0.47) (0.07) (0.26)
--------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 18.68 $ 19.17 $ 19.09 $ 22.09 $ 17.00 $ 14.03
========================================================================================================
Total Return.................. 6.36%# 9.39% (9.32)% 33.57% 21.70% 28.41%
--------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $2,673,512 $2,621,646 $2,350,094 $2,098,654 $1,207,298 $609,950
Ratio of Expenses to Average
Net Assets**................ 0.56%* 0.58% 0.58% 0.60% 0.61% 0.64%
Ratio of Net Investment Income
to Average Net Assets....... (0.08%)* 0.49% 0.57% 0.37% 0.78% 0.85%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 30%* 29% 23% 25% 15% 21%
--------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------ --------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 14.68 $ 13.77 $ 16.89 $ 14.53 $ 12.64 $ 11.08
--------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... (0.01) 0.08 0.08 0.09 0.11 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.06 2.18 (1.55) 3.42 2.20 2.81
--------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 1.05 2.26 (1.47) 3.51 2.31 2.90
------------------------------ --------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.08) (0.07) (0.08) (0.12) (0.02) (0.14)
Net Realized Gains.......... (1.19) (1.28) (1.57) (1.03) (0.40) (1.20)
--------- -------- -------- -------- -------- --------
Total Distributions....... (1.27) (1.35) (1.65) (1.15) (0.42) (1.34)
------------------------------ --------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 14.46 $ 14.68 $ 13.77 $ 16.89 $ 14.53 $ 12.64
============================== ==============================================================
Total Return.................. 7.50%# 18.26% (9.27)% 26.12% 18.73% 28.75%
------------------------------ --------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 451,641 $398,665 $324,590 $337,992 $234,194 $186,644
Ratio of Expenses to Average
Net Assets**................ 0.43%* 0.43% 0.43% 0.45% 0.48% 0.49%
Ratio of Net Investment Income
to Average Net Assets....... (0.12%)* 0.62% 0.47% 0.48% 0.75% 0.83%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 57%* 29% 29% 30% 32% 21%
------------------------------ --------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
** Represents the combined ratios for the respective portfolio
and its respective pro-rata share of the Master Fund Series.
N/A Refer to Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
57
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 12.54 $ 10.65 $ 13.99 $ 12.14 $ 11.03 $ 8.49
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... (0.32) 0.04 0.02 0.03 0.03 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.33 2.00 (1.44) 3.01 1.85 2.61
---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations.............. 1.01 2.04 (1.42) 3.04 1.88 2.66
----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.04) (0.02) (0.03) (0.03) (0.01) (0.04)
Net Realized Gains.......... (1.23) (0.13) (1.89) (1.16) (0.76) (0.08)
Tax Return of Capital....... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions....... (1.27) (0.15) (1.92) (1.19) (0.77) (0.12)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 12.28 $ 12.54 $ 10.65 $ 13.99 $ 12.14 $ 11.03
======================================================================================================================
Total Return.................. 8.45%# 19.47% (11.14)% 27.46% 18.05% 31.37%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $1,428,823 $1,322,590 $1,338,510 $1,509,427 $1,181,804 $925,474
Ratio of Expenses to Average
Net Assets.................. 0.57%*(a) 0.61%(a) 0.59%(a) 0.60% 0.61% 0.62%
Ratio of Net Investment Income
to Average Net Assets....... (0.20%)* 0.30% 0.18% 0.21% 0.22% 0.45%
Portfolio Turnover Rate....... N/A N/A N/A 28% 24% 25%
Portfolio Turnover Rate of
Master Fund Series.......... 37%* 23% 26% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------ -----------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 11.50 $ 13.00 $ 15.53 $ 12.65 $ 10.00 $ 9.28
--------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.37 0.77 0.74 0.88 0.71 0.61
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.22 (1.62) (2.52) 2.68 2.08 0.68
--------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 1.59 (0.85) (1.78) 3.56 2.79 1.29
------------------------------ -----------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.65) (0.65) (0.75) (0.68) (0.14) (0.46)
Net Realized Gains.......... -- -- -- -- -- --
Tax Return of Capital....... -- -- -- -- -- (0.11)
--------- -------- -------- -------- -------- --------
Total Distributions....... (0.65) (0.65) (0.75) (0.68) (0.14) (0.57)
------------------------------ -----------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 12.44 $ 11.50 $ 13.00 $ 15.53 $ 12.65 $ 10.00
============================== =================================================================
Total Return.................. 14.63%# (6.75)% (12.01)% 29.13% 28.24% 14.00%
------------------------------ -----------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 179,241 $130,039 $106,544 $ 95,072 $ 64,390 $ 43,435
Ratio of Expenses to Average
Net Assets.................. 0.44%* 0.47% 0.46% 0.48% 0.71% 0.82%
Ratio of Net Investment Income
to Average Net Assets....... 7.63%* 6.82% 5.95% 5.73% 7.08% 6.76%
Portfolio Turnover Rate....... 8%* 8% 3% 31% 11% 1%
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A N/A N/A N/A
------------------------------ -----------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-Annualized
(a) Represents the combined ratios for the respective portfolio
and its respective pro-rata share of its Master Fund Series.
N/A Refer to the Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
58
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 19.41 $ 16.28 $ 14.27 $ 14.18 $ 12.60 $ 11.91
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.14 0.20 0.23 0.23 0.21 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.02) 3.19 2.03 0.15 1.39 0.95
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations.............. 0.12 3.39 2.26 0.38 1.60 1.10
-----------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.21) (0.26) (0.25) (0.21) (0.02) (0.18)
Net Realized Gains.......... (0.17) -- -- (0.08) -- (0.23)
---------- ---------- ---------- ---------- -------- --------
Total Distributions....... (0.38) (0.26) (0.25) (0.29) (0.02) (0.41)
-----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 19.15 $ 19.41 $ 16.28 $ 14.27 $ 14.18 $ 12.60
=====================================================================================================
Total Return.................. 0.52%# 21.12% 16.13% 2.80% 12.68% 9.37%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 357,077 $ 268,340 $ 114,593 $ 87,223 $ 79,322 $ 67,940
Ratio of Expenses to Average
Net Assets**................ 0.47%* 0.53% 0.47% 0.47% 0.58% 0.57%
Ratio of Expenses to Average
Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 0.47%* 0.53% 0.47% 0.47% 0.58% 0.57%
Ratio of Net Investment Income
to Average Net Assets....... 1.45%* 1.38% 1.63% 1.69% 1.57% 1.84%
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 1.45%* 1.38% 1.63% 1.69% 1.57% 1.84%
Portfolio Turnover Rate....... 0%* 2% 4% 2% 18% 24%
-----------------------------------------------------------------------------------------------------
<CAPTION>
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
-----------------------------------------------------
SIX MONTHS YEAR YEAR YEAR OCT. 1,
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
------------------------------ -----------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 9.13 $ 7.82 $ 7.82 $ 9.96 $ 10.00
--------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.15 0.15 0.15 0.10 0.01
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.32) 1.31 (0.04) (2.22) (0.05)
--------- -------- -------- -------- --------
Total From Investment
Operations.............. (0.17) 1.46 0.11 (2.12) (0.04)
------------------------------ -----------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.19) (0.15) (0.11) (0.02) --
Net Realized Gains.......... -- -- -- -- --
--------- -------- -------- -------- --------
Total Distributions....... (0.19) (0.15) (0.11) (0.02) --
------------------------------ -----------------------------------------------------
Net Asset Value, End of
Period...................... $ 8.77 $ 9.13 $ 7.82 $ 7.82 $ 9.96
============================== =====================================================
Total Return.................. (1.88%)# 19.07% 1.49% (21.35)% (0.40)%#
------------------------------ -----------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 282,235 $250,442 $273,992 $230,469 $104,118
Ratio of Expenses to Average
Net Assets**................ 0.70%* 0.75% 0.73% 0.75% 0.70%*
Ratio of Expenses to Average
Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 0.70%* 0.75% 0.73% 0.75% 0.79%*
Ratio of Net Investment Income
to Average Net Assets....... 2.33%* 1.76% 1.62% 1.46% 0.54%*
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers and
Assumption of Expenses)..... 2.33%* 1.76% 1.62% 1.46% 0.45%*
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A
------------------------------ -----------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** For The International Small Company Portfolio, the Expense
Ratios represents the combined ratios for the Portfolio and
its respective pro-rata share of its Master Fund Series for
the period ended November 30, 1996 and subsequent years.
N/A Refer to the respective Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
59
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE JAPANESE SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 11.11 $ 9.10 $ 9.45 $ 21.03 $ 22.78 $ 25.06
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.01 0.05 0.07 0.09 0.07 0.06
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.70) 2.02 (0.31) (10.45) (1.45) (1.65)
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations.............. (0.69) 2.07 (0.24) (10.36) (1.38) (1.59)
-------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.07) (0.06) (0.11) (0.06) (0.01) (0.06)
Net Realized Gains.......... -- -- -- (1.16) (0.36) (0.63)
---------- ---------- ---------- ---------- -------- --------
Total Distributions....... (0.07) (0.06) (0.11) (1.22) (0.37) (0.69)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.35 $ 11.11 $ 9.10 $ 9.45 $ 21.03 $ 22.78
=============================================================================================================
Total Return.................. (6.15)%# 22.96% (2.37)% (51.90)% (6.28)% (6.54)%
-------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 121,714 $ 144,533 $ 119,714 $ 114,017 $294,120 $371,113
Ratio of Expenses to Average
Net Assets**................ 0.71%* 0.73% 0.74% 0.73% 0.72% 0.74%
Ratio of Net Investment Income
to Average Net Assets....... 1.28%* 0.61% 0.85% 0.50% 0.24% 0.25%
Portfolio Turnover Rate....... N/A N/A N/A N/A 18.52%*(a) 7.79%
Portfolio Turnover Rate of
Master Fund Series.......... 4%* 6% 8% 13% 2%*(b) N/A
-------------------------------------------------------------------------------------------------------------
<CAPTION>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------ --------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 9.76 $ 6.55 $ 9.52 $ 16.63 $ 14.38 $ 15.98
--------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.39 0.20 0.25 0.32 0.27 0.34
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (1.57) 3.23 (2.40) (6.22) 2.40 (1.33)
--------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. (1.18) 3.43 (2.15) (5.90) 2.67 (0.99)
------------------------------ --------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.41) (0.22) (0.32) (0.33) (0.02) (0.34)
Net Realized Gains.......... -- -- (0.50) (0.88) (0.40) (0.27)
--------- -------- -------- -------- -------- --------
Total Distributions....... (0.41) (0.22) (0.82) (1.21) (0.42) (0.61)
------------------------------ --------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 8.17 $ 9.76 $ 6.55 $ 9.52 $ 16.63 $ 14.38
============================== ====================================================================
Total Return.................. (12.66%)# 54.36% (23.98)% (38.07)% 19.06% (6.27)%
------------------------------ --------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 100,841 $131,782 $ 89,330 $111,320 $215,542 $193,137
Ratio of Expenses to Average
Net Assets**................ 0.78%* 0.94% 0.84% 0.84% 0.84% 0.83%
Ratio of Net Investment Income
to Average Net Assets....... 3.62%* 2.50% 3.51% 1.95% 1.70% 2.22%
Portfolio Turnover Rate....... N/A N/A N/A N/A 7.05%*(a) 5.95%
Portfolio Turnover Rate of
Master Fund Series.......... 2%* 34% 26% 24% 8%(b) N/A
------------------------------ --------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio
and its respective pro-rata share of its Master Fund Series.
(a) Portfolio turnover calculated for the period December 1,
1995 to August 9, 1996 (through the date on which the
portfolio transferred its investable assets to its
corresponding Master Fund series in a tax-free exchange).
(b) Calculated for the period August 9 to November 30, 1996.
N/A Refer to the respective Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
60
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 24.22 $ 21.63 $ 28.69 $ 28.47 $ 24.09 $ 23.20
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.32 0.77 0.87 0.81 0.72 0.84
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (1.82) 5.67 (4.27) 1.46 5.31 1.12
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations.............. (1.50) 6.44 (3.40) 2.27 6.03 1.96
------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.82) (0.81) (0.84) (0.73) (0.06) (0.76)
Net Realized Gains.......... (2.85) (3.04) (2.82) (1.32) (1.59) (0.31)
---------- ---------- ---------- ---------- -------- --------
Total Distributions....... (3.67) (3.85) (3.66) (2.05) (1.65) (1.07)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 19.05 $ 24.22 $ 21.63 $ 28.69 $ 28.47 $ 24.09
============================================================================================================
Total Return.................. (7.83%)# 36.08% (13.56)% 8.45% 26.76% 8.39%
------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 64,807 $ 83,826 $ 79,231 $ 130,891 $166,789 $167,730
Ratio of Expenses to Average
Net Assets**................ 0.72%* 0.72% 0.72% 0.70% 0.73% 0.72%
Ratio of Net Investment Income
to Average Net Assets....... 2.67%* 3.11% 2.87% 2.40% 2.49% 2.51%
Portfolio Turnover Rate....... N/A N/A N/A N/A 3.72%*(a) 7.82%
Portfolio Turnover Rate of
Master Fund Series.......... 6%* 5% 11% 4% 5%*(b) N/A
------------------------------------------------------------------------------------------------------------
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------ ------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 14.29 $ 17.42 $ 15.94 $ 15.26 $ 14.13 $ 14.63
--------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.18 0.24 0.28 0.29 0.30 0.29
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.75 (1.26) 2.55 1.55 1.58 (0.48)
--------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.93 (1.02) 2.83 1.84 1.88 (0.19)
------------------------------ ------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.25) (0.29) (0.25) (0.29) (0.02) (0.29)
Net Realized Gains.......... (2.03) (1.82) (1.10) (0.87) (0.73) (0.02)
--------- -------- -------- -------- -------- --------
Total Distributions....... (2.28) (2.11) (1.35) (1.16) (0.75) (0.31)
------------------------------ ------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 12.94 $ 14.29 $ 17.42 $ 15.94 $ 15.26 $ 14.13
============================== ==================================================================
Total Return.................. 7.32%# (6.26)% 19.42% 13.02% 13.96% (1.33)%
------------------------------ ------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 139,572 $160,743 $199,838 $232,744 $299,325 $314,116
Ratio of Expenses to Average
Net Assets**................ 0.70%* 0.70% 0.70% 0.72% 0.73% 0.74%
Ratio of Net Investment Income
to Average Net Assets....... 2.41%* 1.56% 1.32% 1.41% 1.81% 1.69%
Portfolio Turnover Rate....... N/A N/A N/A N/A 4%*(a) 10%
Portfolio Turnover Rate of
Master Fund Series.......... 2%* 11% 1% 3% 7%*(b) N/A
------------------------------ ------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its
pro-rata share of its Master Fund Series for the period
ended November 30, 1996 and subsequent periods.
(a) Portfolio turnover calculated for the period December 1,
1995 to August 9, 1996 (through the date on which the
portfolio transferred its investable assets to its
corresponding Master Fund Series in a tax-free exchange).
(b) Calculated for the period August 9 to November 30, 1996.
N/A Refer to the Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
61
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR DEC. 30,
ENDED ENDED ENDED ENDED ENDED 1994 TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 8.49 $ 7.54 $ 7.95 $ 10.45 $ 9.68 $ 10.00
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.14 0.14 0.15 0.12 0.11 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.51) 1.12 (0.16) (2.19) 0.66 (0.32)
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations.............. (0.37) 1.26 (0.01) (2.07) 0.77 (0.27)
------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.20) (0.15) (0.12) (0.13) -- (0.04)
Net Realized Gains.......... -- (0.16) (0.28) (0.30) -- (0.01)
---------- ---------- ---------- ---------- -------- --------
Total Distributions....... (0.20) (0.31) (0.40) (0.43) -- (0.05)
------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 7.92 $ 8.49 $ 7.54 $ 7.95 $ 10.45 $ 9.68
======================================================================================================
Total Return.................. (4.40%)# 17.54% 0.17% (20.60)% 8.01% (2.73)%#
------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 476,490 $ 525,133 $ 450,801 $ 431,257 $375,488 $147,125
Ratio of Expenses to Average
Net Assets**................ 0.81%* 0.83% 0.86% 0.90% 0.99% 1.23%*
Ratio of Net Investment Income
to Average Net Assets....... 2.68%* 1.81% 1.85% 1.47% 1.38% 1.43%*
Portfolio Turnover Rate....... 12%* 16% 19% 14% 15% 2%*
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING MARKETS PORTFOLIO
------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------ ------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 12.37 $ 8.16 $ 9.61 $ 11.71 $ 10.35 $ 11.30
--------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.08 0.08 0.13 0.12 0.09 0.06
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.30) 4.22 (1.32) (2.13) 1.27 (0.96)
--------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. (0.22) 4.30 (1.19) (2.01) 1.36 (0.90)
------------------------------ ------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.10) (0.09) (0.26) (0.09) -- (0.05)
Net Realized Gains.......... -- -- -- -- -- --
--------- -------- -------- -------- -------- --------
Total Distributions....... (0.10) (0.09) (0.26) (0.09) -- (0.05)
------------------------------ ------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 12.05 $ 12.37 $ 8.16 $ 9.61 $ 11.71 $ 10.35
============================== ==================================================================
Total Return.................. (1.89%)# 53.34% (12.57)% (17.27)% 13.18% (7.96)%
------------------------------ ------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 335,965 $330,604 $225,227 $212,048 $162,025 $ 49,337
Ratio of Expenses to Average
Net Assets**................ 0.86%* 0.91% 1.00% 0.99% 1.15% 1.58%
Ratio of Net Investment Income
to Average Net Assets....... 1.25%* 0.90% 1.19% 1.19% 1.14% 0.98%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 13%* 16% 10% 1% 0% 8%
------------------------------ ------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the Emerging Markets
Portfolio and its pro-rata share of its Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
62
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING MARKETS
SMALL CAP PORTFOLIO THE DFA ONE-YEAR FIXED INCOME PORTFOLIO (1)
--------------------------------------- --------------------------------------------------------------
SIX MONTHS YEAR MARCH 6, SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED TO ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------ --------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value,
Beginning of Period.... $ 14.88 $ 9.09 $ 10.00 $ 10.17 $ 10.22 $ 10.23 $ 10.24 $ 10.21 $ 10.05
---------- ---------- ---------- --------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss)............... 0.12 0.04 (0.01) 0.29 0.52 0.57 0.59 0.56 0.60
Net Gains (Losses) on
Securities (Realized
and Unrealized)...... 0.29 6.11 (0.90) (0.04) (0.04) -- (0.01) 0.03 0.17
---------- ---------- ---------- --------- -------- -------- -------- -------- --------
Total From Investment
Operations......... 0.41 6.15 (0.91) 0.25 0.48 0.57 0.58 0.59 0.77
------------------------------------------------------------------ --------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment
Income............... (0.15) -- -- (0.29) (0.52) (0.57) (0.59) (0.56) (0.60)
Net Realized Gains..... (6.38) (0.36) -- -- (0.01) (0.01) -- -- (0.01)
---------- ---------- ---------- --------- -------- -------- -------- -------- --------
Total
Distributions...... (6.53) (0.36) -- (0.29) (0.53) (0.58) (0.59) (0.56) (0.61)
------------------------------------------------------------------ --------------------------------------------------------------
Net Asset Value, End of
Period................. $ 8.76 $ 14.88 $ 9.09 $ 10.13 $ 10.17 $ 10.22 $ 10.23 $ 10.24 $ 10.21
================================================================== ==============================================================
Total Return............. (1.16%)# 70.30% (9.10)%# 2.48%# 4.80% 5.74% 5.84% 5.94% 7.80%
------------------------------------------------------------------ --------------------------------------------------------------
Net Assets, End of Period
(thousands)............ $ 13,849 $ 11,734 $ 5,021 $ 683,533 $712,520 $752,510 $752,237 $854,521 $704,950
Ratio of Expenses to
Average Net Assets**... 1.52%* 1.77% 2.36%* 0.21%* 0.21% 0.21% 0.22% 0.21% 0.20%
Ratio of Net Investment
Income to Average Net
Assets................. 1.51%* 0.73% (0.29)%* 5.73%* 5.07% 5.51% 5.79% 5.39% 5.86%
Portfolio Turnover
Rate................... N/A N/A N/A N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate
of Master Fund
Series................. 17%* 24% 13%* 10%* 58% 24% 83% 96% 81%
------------------------------------------------------------------ --------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(1) Restated to reflect a 900% stock dividend as of January 2,
1996.
* Annualized
# Non-annualized
** Represents the combined ratios for the respective Portfolio
and its respective pro-rata share of its Master Fund Series.
N/A Refer to Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
63
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA TWO-YEAR GLOBAL
FIXED INCOME PORTFOLIO
------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR FEB. 9
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 10.31 $ 10.21 $ 10.40 $ 10.37 $ 10.00
---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.39 0.56 0.61 0.69 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.15) (0.09) 0.01 (0.12) 0.35
---------- ---------- ---------- ---------- --------
Total From Investment
Operations.............. 0.24 0.47 0.62 0.57 0.59
--------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.61) (0.36) (0.79) (0.53) (0.22)
Net Realized Gains.......... -- (0.01) (0.02) (0.01) --
---------- ---------- ---------- ---------- --------
Total Distributions....... (0.61) (0.37) (0.81) (0.54) (0.22)
--------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 9.94 $ 10.31 $ 10.21 $ 10.40 $ 10.37
============================================================================================
Total Return.................. 2.45%# 4.69% 6.39% 5.66% 6.01%#
--------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 518,474 $ 531,488 $ 440,885 $ 418,905 $319,343
Ratio of Expenses to Average
Net Assets**................ 0.27%* 0.27% 0.29% 0.34% 0.33%*
Ratio of Net Investment Income
to Average Net Assets....... 7.65%* 5.59% 5.90% 6.70% 3.10%*
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 72%* 78% 113% 119% 87%*
--------------------------------------------------------------------------------------------
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO(1)
-------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------ -------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 10.26 $ 10.35 $ 10.36 $ 10.42 $ 10.05 $ 9.75
--------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.28 0.49 0.54 0.59 0.65 0.59
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.09) (0.08) 0.01 (0.06) 0.09 0.30
--------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.19 0.41 0.55 0.53 0.74 0.89
------------------------------ -------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.31) (0.50) (0.56) (0.59) (0.37) (0.59)
Net Realized Gains.......... -- -- -- -- -- --
--------- -------- -------- -------- -------- --------
Total Distributions....... (0.31) (0.50) (0.56) (0.59) (0.37) (0.59)
------------------------------ -------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.14 $ 10.26 $ 10.35 $ 10.36 $ 10.42 $ 10.05
============================== =============================================================
Total Return.................. 1.93%# 4.11% 5.50% 5.39% 7.51% 9.35%
------------------------------ -------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 217,389 $219,022 $210,986 $204,377 $174,386 $300,921
Ratio of Expenses to Average
Net Assets**................ 0.28%* 0.28% 0.29% 0.29% 0.30% 0.28%
Ratio of Net Investment Income
to Average Net Assets....... 5.55%* 4.95% 5.18% 5.95% 5.63% 6.14%
Portfolio Turnover Rate....... 81%* 57% 7% 28% 212% 398%
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A N/A N/A N/A
------------------------------ -------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(1) Restated to reflect a 900% stock dividend as of January 2,
1996.
* Annualized
# Non-annualized
** Represents the combined ratio for the DFA Two-Year Global
Fixed Income Portfolio and its pro-rata share of its Master
Fund Series.
N/A Refer to Master Fund Series
</TABLE>
See accompanying Notes to Financial Statements.
64
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
---------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 10.53 $ 10.65 $ 10.88 $ 11.04 $ 10.51 $ 9.81
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.33 0.37 0.45 0.48 0.50 0.39
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.09) 0.01 0.42 0.33 0.61 1.08
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations.............. 0.24 0.38 0.87 0.81 1.11 1.47
-----------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.43) (0.22) (1.04) (0.88) (0.58) (0.77)
Net Realized Gains.......... -- (0.28) (0.06) (0.09) -- --
---------- ---------- ---------- ---------- -------- --------
Total Distributions....... (0.43) (0.50) (1.10) (0.97) (0.58) (0.77)
-----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.34 $ 10.53 $ 10.65 $ 10.88 $ 11.04 $ 10.51
=====================================================================================================
Total Return.................. 2.35%# 3.63% 8.78% 7.87% 11.13% 15.23%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 487,791 $ 472,334 $ 371,619 $ 250,078 $165,772 $208,166
Ratio of Expenses to Average
Net Assets.................. 0.38%* 0.39% 0.41% 0.42% 0.46% 0.46%
Ratio of Net Investment Income
to Average Net Assets....... 3.88%* 3.62% 3.87% 4.50% 4.88% 5.80%
Portfolio Turnover Rate....... 47%* 59% 74% 95% 98% 130%
-----------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------ --------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 10.84 $ 11.78 $ 11.28 $ 11.22 $ 11.24 $ 10.22
--------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.31 0.61 0.61 0.66 0.65 0.70
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.30) (0.89) 0.59 0.06 (0.13) 1.11
--------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.01 (0.28) 1.20 0.72 0.52 1.81
------------------------------ --------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.30) (0.58) (0.65) (0.66) (0.50) (0.70)
Net Realized Gains.......... (0.04) (0.08) (0.05) -- (0.04) (0.09)
--------- -------- -------- -------- -------- --------
Total Distributions....... (0.34) (0.66) (0.70) (0.66) (0.54) (0.79)
------------------------------ --------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.51 $ 10.84 $ 11.78 $ 11.28 $ 11.22 $ 11.24
============================== ==============================================================
Total Return.................. 0.10%# (2.41)% 11.07% 6.75% 4.98% 18.04%
------------------------------ --------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 267,394 $256,376 $239,035 $136,555 $107,944 $ 78,087
Ratio of Expenses to Average
Net Assets.................. 0.17%* 0.21% 0.24% 0.25% 0.26% 0.27%
Ratio of Net Investment Income
to Average Net Assets....... 6.03%* 5.58% 5.77% 6.20% 6.22% 6.44%
Portfolio Turnover Rate....... 1%* 13% 24% 24% 31% 41%
------------------------------ --------------------------------------------------------------
</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.
65
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-two of the Fund's thirty-eight portfolios (the "Portfolios") are included
in this report. Of the remaining sixteen portfolios, six portfolios are only
available through a select group of insurance products and are presented in a
separate report, six are presented in separate reports, and four have not
commenced operations.
Effective August 1, 1997, The U.S. Small Cap Value Portfolio changed its
name to The U.S. 6-10 Value Portfolio.
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company. This portfolio invests solely in
this series.
Effective December 8, 1998, The DFA Global Fixed Income Portfolio changed
its name to the DFA Five-Year Global Fixed Income Portfolio.
The following Portfolios (the "Feeder Funds") invest in a corresponding
series of The DFA Investment Trust Company (the "Master Funds"):
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 5/31/00
------------------------------------------------ ------------------------------------------- ----------
<S> <C> <C>
The U.S. Large Company Portfolio The U.S. Large Company Series 34%
The Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
The U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 70%
The U.S. 4-10 Value Portfolio The U.S. 4-10 Value Series 1%
The U.S. 6-10 Value Portfolio The U.S. 6-10 Value Series 97%
The U.S. 6-10 Small Company Portfolio The U.S. 6-10 Small Company Series 69%
The U.S. 9-10 Small Company Portfolio The U.S. 9-10 Small Company Series 100%
The International Small Company Portfolio The Japanese Small Company Series 39%
The Pacific Rim Small Company Series 30%
The United Kingdom Small Company Series 43%
The Continental Small Company Series 45%
The Japanese Small Company Portfolio The Japanese Small Company Series 61%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 70%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 57%
The Continental Small Company Portfolio The Continental Small Company Series 55%
The Emerging Markets Portfolio The Emerging Markets Series 96%
The Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 33%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 86%
The DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
66
<PAGE>
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by The DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day, or if there is no such reported sale, at the mean between the most recent
bid and asked prices. Securities held by The Large Cap International Portfolio
and The DFA International Small Cap Value Portfolio (the "International Equity
Portfolios") which are listed on a securities exchange are valued at the last
quoted sale price. Price information on listed securities is taken from the
exchange where the security is primarily traded. Unlisted securities for which
market quotations are readily available are valued at the mean between the most
recent bid and asked prices. Securities for which quotations are not readily
available are valued in good faith at fair value using methods determined by the
Board of Directors.
Securities held by The DFA Five-Year Government Portfolio, The DFA Five-Year
Global Fixed Income Portfolio and The DFA Intermediate Government Fixed Income
Portfolio (the "Fixed Income Portfolios"), are valued on the basis of prices
provided by a pricing service when such prices are believed to reflect the fair
market value of such securities. Securities for which quotations are not readily
available are valued in good faith at fair value using methods determined by the
Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The U.S. Large Company Portfolio, The Japanese
Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
International Small Company Portfolio, The Emerging Markets Portfolio and The
Emerging Markets Small Cap Portfolio, their investment reflects their
proportionate interest in the net assets of the corresponding Master Fund.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and The DFA Five-Year Global Fixed Income
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars at the mean price of such currency against U.S.
dollars last quoted by a major bank. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement. The DFA
Five-Year Global Fixed Income Portfolio also enters into forward foreign
currency contracts solely for the purpose of hedging against fluctuations in
currency exchange rates.
The International Equity Portfolios do not isolate the effect of fluctuation
in foreign exchange rates from the effect of fluctuations in the market prices
of securities whether realized or unrealized. However, The DFA Five-Year Global
Fixed Income Portfolio does isolate the effect of fluctuations in foreign
currency rates when determining the realized gain or loss upon the sale or
maturity of foreign currency denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign exchange
gain or loss for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and The DFA Five-Year Global Fixed Income
Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
67
<PAGE>
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions from The DFA
Investment Trust Company and/or foreign currency and foreign taxes on capital
gains. Interest income is recorded on an accrual basis. Discount and premium on
debt securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Portfolio are directly charged.
Common expenses are allocated using methods determined by the Board of
Directors.
The U.S. Large Company Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio,
The Continental Small Company Portfolio, The International Small Company
Portfolio, The Emerging Markets Portfolio and The Emerging Markets Small Cap
Portfolio each accrue their respective share of income, net of expenses daily on
their investment in their corresponding Master Fund, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision of
services provided by others, providing information to shareholders and the Board
of Directors, and other administrative services.
For the six months ended May 31, 2000, the Portfolios' advisory fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates:
<TABLE>
<S> <C>
The DFA Real Estate Securities Portfolio.................... .30 of 1%
The Large Cap International Portfolio....................... .25 of 1%
The DFA International Small Cap Value Portfolio............. .65 of 1%
The DFA Five-Year Government Portfolio...................... .20 of 1%
The DFA Five-Year Global Fixed Income Portfolio............. .25 of 1%
The DFA Intermediate Government Fixed Income Portfolio...... .10 of 1%(a)
</TABLE>
(a) Effective June 1, 1999, the DFA Intermediate Government Fixed Income
Portfolio changed its advisory fee from .15 of 1% of average net assets to .10
of 1% of average net assets.
For the six months ended May 31, 2000, the Feeder Funds accrued daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<S> <C>
The U.S. Large Company Portfolio............................ .215 of 1%
The Enhanced U.S. Large Company Portfolio................... .15 of 1%
The U.S. Large Cap Value Portfolio.......................... .15 of 1%
The U.S. 4-10 Value Portfolio............................... .30 of 1%
The U.S. 6-10 Value Portfolio............................... .30 of 1%
The U.S. 6-10 Small Company Portfolio....................... .32 of 1%
The U.S. 9-10 Small Company Portfolio....................... .40 of 1%
The International Small Company Portfolio................... .40 of 1%
The Japanese Small Company Portfolio........................ .40 of 1%
The Pacific Rim Small Company Portfolio..................... .40 of 1%
The United Kingdom Small Company Portfolio.................. .40 of 1%
The Continental Small Company Portfolio..................... .40 of 1%
The Emerging Markets Portfolio.............................. .40 of 1%
The Emerging Markets Small Cap Portfolio.................... .45 of 1%
The DFA One-Year Fixed Income Portfolio..................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio.............. .10 of 1%
</TABLE>
68
<PAGE>
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The U.S. Large
Company Portfolio to the extent necessary to keep the annual combined expenses
of the Portfolio and its respective Master Fund to not more than 0.15% of the
average daily net assets of the Portfolio. Prior to that date, the Advisor
agreed to waive its fees and reimburse the Portfolio to the extent necessary to
keep the annual combined expenses to not more than 0.24% of average daily net
assets. At May 31, 2000, approximately $1,478,000 of previously waived fees were
subject to future reimbursement to the Advisor over various periods not
exceeding May 31, 2001.
The Advisor agreed to waive its administrative service fee and/or assume the
direct expenses of The U.S. 4-10 Value Portfolio to the extent necessary to keep
the direct annual expenses of the Portfolio to not more than 0.50% of the
average daily net assets of the Portfolio. At May 31, 2000, approximately $7,000
of previously waived fees were subject to future reimbursement to the Advisor
over various periods not exceeding May 31, 2003.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio and The Continental Small Company Portfolio to the extent
necessary to keep the direct annual expenses of each Portfolio to not more than
0.47% of the average daily net assets of the Portfolio.
The Advisor has agreed to waive its administrative service fee and/or assume
the direct expenses of The International Small Company Portfolio to the extent
necessary to keep the direct annual expenses of the Portfolio to not more than
0.45% of the average daily net assets of the Portfolio.
Effective August 1, 1997, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The Enhanced U.S.
Large Company Portfolio to the extent necessary to keep the annual combined
expenses of the portfolio and its respective Master Fund to not more than 0.45%
of the average daily net assets of the portfolio. At May 31, 2000, there were no
previously waived fees subject to future reimbursement by the Advisor.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2000, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- --------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The DFA Real Estate Securities Portfolio.................... -- -- $ 37,241 $ 5,792
The Large Cap International Portfolio....................... -- -- 85,573 601
The DFA International Small Cap Value Portfolio............. -- -- 29,727 59,699
The DFA Five-Year Government Portfolio...................... -- $12,812 85,580 74,280
The DFA Five-Year Global Fixed Income Portfolio............. -- -- 137,980 108,809
The DFA Intermediate Government Fixed Income Portfolio...... $ 10,292 1,191 28,382 --
</TABLE>
69
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies for each
Portfolio were as follows:
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Portfolio........................... $368,386 $(33,395) $ 334,991
The Enhanced U.S. Large Company Portfolio.................. -- (963) (963)
The U.S. Large Cap Value Portfolio......................... 17,397 -- 17,397
The U.S. 4-10 Value Portfolio.............................. 106 -- 106
The U.S. 6-10 Value Portfolio.............................. 211,880 -- 211,880
The U.S. 6-10 Small Company Portfolio...................... 41,245 -- 41,245
The U.S. 9-10 Small Company Portfolio...................... 183,855 -- 183,855
The DFA Real Estate Securities Portfolio................... 11,413 (10,629) 784
The Large Cap International Portfolio...................... 82,173 (19,535) 61,606
The International Small Company Portfolio.................. 25,230 (74,970) (49,740)
The Japanese Small Company Portfolio....................... 24,224 (171,004) (146,780)
The Pacific Rim Small Company Portfolio.................... 25,782 (71,025) (45,243)
The United Kingdom Small Company Portfolio................. 24,079 (16,776) 7,303
The Continental Small Company Portfolio.................... 79,219 (45,394) 33,825
The DFA International Small Cap Value Portfolio............ 59,427 (193,602) (134,175)
The Emerging Markets Portfolio............................. 105,609 (76,281) 29,328
The Emerging Markets Small Cap Portfolio................... -- (1,111) (1,111)
The DFA One-Year Fixed Income Portfolio.................... -- (3,394) (3,394)
The DFA Two-Year Global Fixed Income Portfolio............. -- (7,222) (7,222)
The DFA Five-Year Government Portfolio..................... -- (2,849) (2,849)
The DFA Five-Year Global Fixed Income Portfolio............ -- (30,587) (30,587)
The DFA Intermediate Government Fixed Income Portfolio..... -- (17,998) (17,998)
</TABLE>
At May 31, 2000, the following Portfolios had capital loss carryforwards for
federal income tax purposes:
<TABLE>
<CAPTION>
EXPIRES ON NOVEMBER 30,
-----------------------------
2002 2003 2004 2005 2006 2007 TOTAL
---- ------ ---- ------ ------- ------- -------
(AMOUNTS IN THOUSANDS)
-----------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
The DFA Real Estate Securities Portfolio...... $134 -- $381 -- $ 127 $ 1,594 $ 2,236
The International Small Company Portfolio..... -- -- -- -- -- 55 55
The Japanese Small Company Portfolio.......... -- -- -- $1,532 7,918 2,826 12,276
The Pacific Rim Small Company Portfolio....... -- -- -- -- -- 10,439 10,439
The DFA International Small Cap Value
Portfolio.................................... -- -- -- -- -- 4,269 4,269
The Emerging Markets Portfolio................ -- -- -- -- 19,586 1,825 21,411
The DFA One-Year Fixed Income Portfolio....... -- -- -- -- -- 184 184
The DFA Five-Year Government Portfolio........ -- $7,871 887 -- -- 70 8,828
The DFA Five-Year Global Fixed Income
Portfolio.................................... -- -- -- -- -- 275 275
</TABLE>
70
<PAGE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
AT MAY 31, 2000 NET ASSETS CONSIST OF:
----------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED APPRECIATION UNREALIZED
NET NET REALIZED (DEPRECIATION) OF NET FOREIGN
INVESTMENT UNDISTRIBUTED FOREIGN INVESTMENT EXCHANGE NUMBER OF
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET SHARES
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
---------- ------------- ------------- ------------- ----------------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
The U.S. Large
Company
Portfolio.......... $ 758,596 $ 2,421 $ (9,515) -- $ 344,181 -- $1,095,683 200,000,000
The Enhanced U.S.
Large Company
Portfolio.......... 96,153 (60) 2,585 -- 1,980 -- 100,658 100,000,000
The U.S. Large Cap
Value Portfolio.... 1,065,209 (493) 145,304 -- 52,076 -- 1,262,096 200,000,000
The U.S. 4-10 Value
Portfolio.......... 2,253 (1) -- -- 106 -- 2,358 100,000,000
The U.S. 6-10 Value
Portfolio.......... 2,265,245 (3,568) 126,152 -- 285,683 -- 2,673,512 300,000,000
The U.S. 6-10 Small
Company
Portfolio.......... 377,962 (675) 11,939 -- 62,415 -- 451,641 100,000,000
The U.S. 9-10 Small
Company
Portfolio.......... 1,017,738 37,285 147,350 -- 226,450 -- 1,428,823 300,000,000
The DFA Real Estate
Securities
Portfolio.......... 177,630 3,330 (6,115) -- 4,396 -- 179,241 100,000,000
The Large Cap
International
Portfolio.......... 293,874 1,578 (453) $ 16 62,124 $ (62) 357,077 150,000,000
The International
Small Company
Portfolio.......... 323,477 2,643 5,784 (9) (49,624) (36) 282,235 100,000,000
The Japanese Small
Company
Portfolio.......... 279,798 456 (14,847) 14 (143,690) (17) 121,714 50,000,000
The Pacific Rim
Small Company
Portfolio.......... 148,976 405 (3,393) (36) (45,111) -- 100,841 50,000,000
The United Kingdom
Small Company
Portfolio.......... 51,813 1,066 4,607 (29) 7,358 (8) 64,807 20,000,000
The Continental
Small Company
Portfolio.......... 99,786 2,143 3,722 31 33,898 (8) 139,572 50,000,000
The DFA
International Small
Cap Value
Portfolio.......... 590,054 3,424 17,408 (142) (134,173) (81) 476,490 200,000,000
The Emerging Markets
Portfolio.......... 318,868 (387) (12,439) (112) 30,023 12 335,965 100,000,000
The Emerging Markets
Small Cap
Portfolio.......... 14,016 26 929 (11) (1,111) -- 13,849 100,000,000
The DFA One-Year
Fixed Income
Portfolio.......... 687,108 125 (5,044) -- 1,344 -- 683,533 300,000,000
The DFA Two-Year
Global Fixed Income
Portfolio.......... 525,907 (173) (4,393) -- (2,867) -- 518,474 200,000,000
The DFA Five-Year
Government
Portfolio.......... 224,903 5,019 (9,684) -- (2,849) -- 217,389 100,000,000
The DFA Five-Year
Global Fixed Income
Portfolio.......... 489,761 7,471 (8,990) 33,663 (30,588) (3,526) 487,791 100,000,000
The DFA Intermediate
Government Fixed
Income Portfolio... 281,752 4,061 (421) -- (17,998) -- 267,394 100,000,000
</TABLE>
71
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
All open repurchase agreements were entered into on May 31, 2000.
2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income
Portfolio may enter into forward foreign currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies. At
May 31, 2000, The DFA Five-Year Global Fixed Income Portfolio had entered into
the following contracts and the related net unrealized foreign exchange loss is
reflected in the accompanying financial statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT MAY 31, 2000 GAIN (LOSS)
--------------------- -------------------------------------- ------------- ------------- -----------
<C> <C> <S> <C> <C> <C>
06/05/00 8,306,180 British Pounds $ 12,941,639 $ 12,416,078 $ 525,561
06/05/00 41,800,449 Canadian Dollars 27,949,629 27,912,743 36,886
06/05/00 175,778,172 European Currency Unit 159,346,577 163,067,133 (3,720,556)
06/05/00 258,085,466 Swedish Krona 29,099,363 28,647,038 452,325
06/08/00 8,384,514,402 Japanese Yen 77,899,616 77,982,715 (83,099)
06/22/00 64,210,224 Australian Dollars 36,734,777 36,642,351 92,426
06/22/00 102,424,533 Danish Krone 12,273,068 12,739,924 (466,856)
------------ ------------ -----------
$356,244,669 $359,407,982 $(3,163,313)
============ ============ ===========
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Five-Year Global Fixed Income Portfolio will enter into forward
contracts only for hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate
72
<PAGE>
plus a variable rate determined at the date of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line.
There is no commitment fee on the unused portion of the line of credit. For the
six months ended May 31, 2000, borrowings under the line were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
<S> <C> <C> <C> <C> <C>
The DFA Real Estate Securities
Portfolio............................. 6.00% $ 716,429 7 $ 836 $ 1,415,000
The DFA Japanese Small Company
Portfolio............................. 6.32% 6,000,000 1 1,053 6,000,000
The DFA Pacific Rim Small Company
Portfolio............................. 6.30% 2,320,000 3 1,217 4,000,000
The United Kingdom Small Company
Portfolio............................. 6.01% 583,750 8 780 1,310,000
The Continental Small Company
Portfolio............................. 6.03% 175,000 2 59 300,000
The DFA International Small Cap Value
Portfolio............................. 6.33% 1,583,333 9 2,506 10,000,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31, 2000.
I. REIMBURSEMENT FEES:
Shares of The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The Continental Small Company Portfolio, The International
Small Company Portfolio, The Emerging Markets Portfolio, The Emerging Markets
Small Cap Portfolio and The DFA International Small Cap Value Portfolio are sold
at a public offering price which is equal to the current net asset value of such
shares plus a reimbursement fee. Reimbursement fees are recorded as an addition
to paid in capital.
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio, The Continental
Small Company Portfolio and The Emerging Markets Small Cap Portfolio are 1.00%
of the net asset value of their shares. The reimbursement fee for The DFA
International Small Cap Value Portfolio and The International Small Company
Portfolio is .675% of the net asset value of their shares.
J. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
May 31, 2000 was reinvested into overnight repurchase agreements with Salomon
Brothers and Fuji Securities, which was in turn collateralized by U.S.
73
<PAGE>
Government Treasury Securities. The market value of securities on loan to
brokers, the related collateral cash received by each Portfolio and value of
collateral on overnight repurchase agreements at May 31, 2000, was as follows:
<TABLE>
<CAPTION>
VALUE OF
MARKET VALUE VALUE OF COLLATERAL ON
OF SECURITIES COLLATERAL AND REPURCHASE
DOMESTIC EQUITY PORTFOLIOS ON LOAN IDEMNIFICATION AGREEMENTS
-------------------------- ------------- -------------- -------------
<S> <C> <C> <C>
The DFA Real Estate Securities Portfolio.......... $ 3,000 $ 3,600 $ 3,693
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIOS
-------------------------------
<S> <C> <C> <C>
The Large Cap International Portfolio............. 40,492,761 42,325,594 46,080,235
The DFA International Small Cap Value Portfolio... 41,634,657 46,538,812 48,357,843
</TABLE>
74
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA International Value Series of The DFA
Investment Trust Company (44,793,667 Shares, Cost
$490,078)++ at Value+..................................... $ 547,379
Receivable for Investment Securities Sold................... 242
Receivable for Fund Shares Sold............................. 243
Prepaid Expenses and Other Assets........................... 17
-----------
Total Assets............................................ 547,881
-----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 484
Accrued Expenses............................................ 130
-----------
Total Liabilities....................................... 614
-----------
NET ASSETS.................................................. $ 547,267
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 43,143,846
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 12.68
===========
COMPONENTS OF NET ASSETS:
Paid-In-Capital............................................. $ 467,147
Accumulated Net Investment Loss............................. (279)
Undistributed Net Realized Gain............................. 23,098
Unrealized Appreciation of Investment Securities............ 57,301
-----------
Total Net Assets........................................ $ 547,267
===========
</TABLE>
--------------
+ See Note B to the financial statements.
++ The cost for federal income tax purposes is $497,543.
See accompanying Notes to Financial Statements.
75
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received From The DFA Investment
Trust Company.......................................... $ 1,398
-------
EXPENSES
Administrative Services................................. 473
Accounting & Transfer Agent Fees........................ 16
Legal Fees.............................................. 13
Audit Fees.............................................. 2
Filing Fees............................................. 18
Shareholders' Reports................................... 18
Directors' Fees and Expenses............................ 4
Other................................................... 1
-------
Total Expenses........................................ 545
-------
NET INVESTMENT INCOME................................... 853
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS......
Capital Gain Distributions Received from The DFA Investment
Trust Company............................................. 27,596
Net Realized Loss on Investment Securities Sold............. (1,312)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities..................................... (33,369)
-------
NET LOSS ON INVESTMENT SECURITIES....................... (7,085)
-------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $(6,232)
=======
</TABLE>
See accompanying Notes to Financial Statements.
76
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- ---------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 853 $ 10,398
Capital Gain Distribution Received from The DFA
Investment Trust Company.............................. 27,596 966
Net Realized Gain (Loss) on Investment Securities
Sold.................................................. (1,312) 4,109
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. (33,369) 42,239
-------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................ (6,232) 57,712
-------- --------
Distributions From:
Net Investment Income................................... (1,930) (10,602)
Net Realized Gains...................................... (6,381) (1,572)
-------- --------
Total Distributions................................. (8,311) (12,174)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................... 184,782 126,813
Shares Issued in Lieu of Cash Distributions............. 8,296 12,172
Shares Redeemed......................................... (84,981) (166,397)
-------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 108,097 (27,412)
-------- --------
Total Increase...................................... 93,554 18,126
NET ASSETS
Beginning of Period..................................... 453,713 435,587
-------- --------
End of Period........................................... $547,267 $453,713
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 14,496 10,154
Shares Issued in Lieu of Cash Distributions............. 635 983
Shares Redeemed......................................... (6,699) (13,104)
-------- --------
8,432 (1,967)
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
77
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
----------- --------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 13.07 $ 11.88 $ 10.94 $ 11.90 $ 10.55 $ 10.06
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.01 0.28 0.24 0.19 0.21 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.15) 1.24 1.08 (0.65) 1.31 0.51
-------- -------- -------- -------- -------- --------
Total from Investment
Operations..................... (0.14) 1.52 1.32 (0.46) 1.52 0.70
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income............ (0.06) (0.29) (0.24) (0.21) (0.17) (0.19)
Net Realized Gains............... (0.19) (0.04) (0.14) (0.29) -- (0.02)
-------- -------- -------- -------- -------- --------
Total Distributions.............. (0.25) (0.33) (0.38) (0.50) (0.17) (0.21)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period..... $ 12.68 $ 13.07 $ 11.88 $ 10.94 $ 11.90 $ 10.55
======== ======== ======== ======== ======== ========
Total Return....................... (1.20)%# 12.96% 12.29% (4.04)% 14.54% 6.95%
Net Assets, End of Period
(thousands)...................... $547,267 $453,713 $435,587 $370,117 $316,708 $245,243
Ratio of Expenses to Average Net
Assets**......................... 0.52%* 0.52% 0.53% 0.56% 0.56% 0.65%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses)**........ 0.52%* 0.52% 0.53% 0.56% 0.57% 0.72%
Ratio of Net Investment Income to
Average Net Assets............... 0.36%* 2.21% 2.04% 1.72% 2.22% 1.79%
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers and assumption of
expenses)........................ 0.36%* 2.21% 2.04% 1.72% 2.21% 1.71%
Portfolio Turnover Rate............ N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 17%* 6% 15% 23% 12% 10%
</TABLE>
--------------
* Annualized
# Non-annualized
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
78
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios, of
which The DFA International Value Portfolio (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series") a corresponding series of The DFA Investment Trust
Company. At May 31, 2000, the Portfolio owned 33% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. FEDERAL INCOME TAXES: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions from The DFA
Investment Trust Company and/or foreign currency and foreign taxes on capital
gains. Expenses directly attributable to the Portfolio or to the Series are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2000, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and reimburse the Portfolio through
March 28, 1996 to the extent necessary to keep the annual combined expenses of
the Portfolio and its respective Master Fund to not more than 0.65% of average
daily net assets.
79
<PAGE>
D. INVESTMENTS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation............................... $49,836
Gross Unrealized Depreciation............................... --
-------
Net......................................................... $49,836
=======
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the six months ended May 31, 2000.
80
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
COMMON STOCKS -- (100.0%)
*3COM Corp............................................ 90,300 $ 3,778,491
Abbott Laboratories................................... 404,400 16,454,025
*Adaptec, Inc......................................... 27,400 540,294
*ADC Telecommunications, Inc.......................... 79,200 5,316,300
Adobe Systems, Inc.................................... 31,200 3,510,975
*Advanced Micro Devices, Inc.......................... 38,800 3,159,775
*AES Corp............................................. 57,000 4,973,250
Aetna, Inc............................................ 37,500 2,503,125
AFLAC, Inc............................................ 70,000 3,618,125
Air Products & Chemicals, Inc......................... 60,500 2,094,812
Alberto-Culver Co. Class B............................ 14,700 386,794
Albertson's Inc....................................... 111,400 4,080,025
Alcan Aluminum, Ltd................................... 57,800 1,896,562
Alcoa, Inc............................................ 114,596 6,696,704
Allegheny Teledyne, Inc............................... 21,950 495,247
Allergan, Inc......................................... 34,700 2,383,456
*Allied Waste Industries, Inc......................... 49,700 506,319
Allstate Corp......................................... 211,900 5,615,350
Alltel Corp........................................... 82,700 5,411,681
*Altera Corp.......................................... 52,700 4,527,259
*Alza Corp............................................ 27,000 1,371,937
Amerada Hess Corp..................................... 23,900 1,586,362
Ameren Corp........................................... 36,200 1,328,087
*America Online, Inc.................................. 600,600 31,831,800
American Electric Power Co., Inc...................... 51,100 1,817,244
American Express Co................................... 353,500 19,022,719
American General Corp................................. 64,900 4,157,656
American Greetings Corp. Class A...................... 17,000 316,625
American Home Products Corp........................... 343,700 18,516,837
American International Group, Inc..................... 407,300 45,846,706
*American Power Conversion Corp....................... 50,800 1,798,637
*Amgen, Inc........................................... 268,700 17,104,434
*AMR Corp............................................. 39,100 1,114,350
AmSouth Bancorporation................................ 102,900 1,858,631
Anadarko Petroleum Corp............................... 33,500 1,777,594
*Analog Devices, Inc.................................. 92,100 7,091,700
*Andrew Corp.......................................... 21,200 745,312
Anheuser-Busch Companies, Inc......................... 122,600 9,501,500
AON Corp.............................................. 67,500 2,370,937
Apache Corp........................................... 30,000 1,826,250
*Apple Computer, Inc.................................. 42,700 3,588,134
*Applied Materials, Inc............................... 201,600 16,839,900
Archer-Daniels Midland Co............................. 159,800 1,907,612
Armstrong Holdings, Inc............................... 10,600 182,187
Ashland, Inc.......................................... 18,700 653,331
Associates First Capital Corp. Class A................ 191,800 5,262,512
AT & T Corp........................................... 840,800 29,165,250
Autodesk, Inc......................................... 16,200 599,906
Automatic Data Processing, Inc........................ 166,000 9,119,625
*Autozone, Inc........................................ 36,300 1,016,400
Avery Dennison Corp................................... 29,800 1,825,250
Avon Products, Inc.................................... 63,700 2,631,606
B B & T Corp.......................................... 91,500 2,682,094
Baker Hughes, Inc..................................... 86,700 3,142,875
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ball Corp............................................. 8,000 $ 237,500
Bank of America Corp.................................. 449,100 24,953,119
Bank of New York Co., Inc............................. 193,600 9,087,100
Bank One Corp......................................... 301,900 9,981,569
Bard (C.R.), Inc...................................... 13,500 615,937
Barrick Gold Corp..................................... 103,900 1,876,694
Bausch & Lomb, Inc.................................... 13,900 966,050
Baxter International, Inc............................. 76,700 5,100,550
Bear Stearns Companies, Inc........................... 29,900 1,177,312
Becton Dickinson & Co................................. 66,200 1,932,212
*Bed, Bath and Beyond, Inc............................ 37,000 1,362,062
Bell Atlantic Corp.................................... 408,500 21,599,437
Bellsouth Corp........................................ 495,200 23,119,650
Bemis Co., Inc........................................ 13,800 474,375
*Best Buy Co., Inc.................................... 54,000 3,456,000
Bestfoods, Inc........................................ 73,400 4,734,300
*Bethlehem Steel Corp................................. 34,500 133,687
*Biogen, Inc.......................................... 39,600 2,156,962
Biomet, Inc........................................... 29,800 1,073,731
Black & Decker Corp................................... 22,900 835,850
Block (H.&R.), Inc.................................... 25,900 799,662
*BMC Software, Inc.................................... 64,300 2,827,191
Boeing Co............................................. 228,500 8,925,781
Boise Cascade Corp.................................... 15,100 439,787
*Boston Scientific Corp............................... 109,200 2,798,250
Briggs & Stratton Corp................................ 6,100 244,000
Bristol Myers Squibb Co............................... 522,000 28,742,625
Brown-Forman Corp. Class B............................ 18,100 1,050,931
Brunswick Corp........................................ 24,200 465,850
Burlington Northern Santa Fe Corp..................... 120,200 2,839,725
Burlington Resources, Inc............................. 57,100 2,612,325
*Cabletron Systems, Inc............................... 47,900 1,098,706
Campbell Soup Co...................................... 112,100 3,475,100
Capital One Financial Corp............................ 51,800 2,447,550
Cardinal Health, Inc.................................. 74,000 4,800,750
Carnival Corp......................................... 162,500 4,407,812
Carolina Power & Light Co............................. 42,100 1,447,187
Caterpillar, Inc...................................... 93,700 3,584,025
*Cendant Corp......................................... 185,700 2,460,525
Centex Corp........................................... 15,600 323,700
Central & South West Corp............................. 55,900 1,163,419
CenturyTel, Inc....................................... 36,800 993,600
*Ceridian Corp........................................ 38,106 919,307
Champion International Corp........................... 25,300 1,846,900
Chase Manhattan Corp.................................. 217,100 16,214,656
Chevron Corp.......................................... 172,700 15,963,956
Chubb Corp............................................ 46,200 3,234,000
CIGNA Corp............................................ 44,300 3,934,394
Cincinnati Financial Corp............................. 43,100 1,733,428
Cinergy Corp.......................................... 41,793 1,112,739
Circuit City Stores, Inc. (Carmax Group).............. 53,400 2,659,987
*Cisco Sytems, Inc.................................... 1,801,200 102,499,537
Citigroup, Inc........................................ 887,200 55,172,750
*Citrix Systems, Inc.................................. 47,200 2,485,375
</TABLE>
81
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Clear Channel Communications, Inc.................... 89,100 $ 6,671,362
Clorox Co............................................. 62,300 2,468,637
CMS Energy Corp....................................... 30,500 693,875
Coastal Corp.......................................... 56,100 3,443,137
Coca-Cola Co.......................................... 650,100 34,699,087
Coca-Cola Enterprises, Inc............................ 111,900 1,916,287
Colgate-Palmolive Co.................................. 153,100 8,056,887
Columbia Gas System, Inc.............................. 21,400 1,384,312
*Comcast Corp. Class A Special........................ 244,000 9,249,125
Comerica, Inc......................................... 41,350 2,093,344
Compaq Computer Corp.................................. 445,700 11,699,625
Computer Associates International, Inc................ 155,000 7,982,500
*Computer Sciences Corp............................... 44,100 4,230,844
*Compuware Corp....................................... 95,000 964,844
*Comverse Tecnology, Inc.............................. 40,200 3,674,531
Conagra, Inc.......................................... 129,800 2,993,512
*Conexant Systems, Inc................................ 56,600 2,131,344
Conoco, Inc........................................... 164,900 4,699,650
Conseco, Inc.......................................... 86,100 538,125
Consolidated Edison, Inc.............................. 58,200 1,898,775
*Consolidated Stores Corp............................. 29,200 379,600
Constellation Energy Group............................ 39,450 1,353,628
Cooper Industries, Inc................................ 24,900 834,150
Cooper Tire & Rubber Co............................... 20,000 241,250
Coors (Adolph) Co. Class B............................ 9,700 545,625
Corning, Inc.......................................... 72,400 14,004,875
*Costco Wholesale Corp................................ 117,000 3,740,344
Countrywide Credit Industries, Inc.................... 29,900 919,425
Crane Co.............................................. 17,400 458,925
Crown Cork & Seal Co., Inc............................ 34,100 583,962
CSX Corp.............................................. 57,500 1,250,625
Cummins Engine Co., Inc............................... 10,900 354,931
CVS Corp.............................................. 103,300 4,493,550
Dana Corp............................................. 43,242 1,116,184
Danaher Corp.......................................... 37,600 1,811,850
Darden Restaurants, Inc............................... 33,700 579,219
Deere & Co............................................ 61,800 2,568,562
*Dell Computer Corp................................... 675,300 29,143,416
Delphi Automotive Systems Corp........................ 148,600 2,684,087
Delta Air Lines, Inc.................................. 33,900 1,743,731
Deluxe Corp........................................... 19,300 476,469
Dillards, Inc. Class A................................ 27,600 412,275
Disney (Walt) Co...................................... 545,000 22,992,187
Dollar General Corp................................... 86,950 1,521,625
Dominion Resources, Inc............................... 62,500 2,859,375
Donnelley (R.R.) & Sons Co............................ 33,400 824,562
Dover Corp............................................ 53,500 2,487,750
Dow Chemical Co....................................... 57,900 6,198,919
Dow Jones & Co., Inc.................................. 23,500 1,598,000
DTE Energy Co......................................... 38,300 1,323,744
Duke Power Co......................................... 96,300 5,609,475
Dun & Bradstreet...................................... 42,300 1,300,725
DuPont (E.I.) de Nemours & Co., Inc................... 274,700 13,460,300
Eastern Enterprises................................... 7,100 437,981
Eastman Chemical Co................................... 20,650 940,866
Eastman Kodak Co...................................... 83,100 4,965,225
Eaton Corp............................................ 19,300 1,400,456
Ecolab, Inc........................................... 34,100 1,304,325
Edison International.................................. 91,300 1,951,537
El Paso Energy Corp................................... 60,000 3,090,000
Electronic Data Systems Corp.......................... 124,000 7,974,750
*EMC Corp. MA......................................... 267,700 31,136,856
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Emerson Electric Co................................... 113,700 $ 6,708,300
Engelhard Corp........................................ 33,174 578,472
Enron Corp............................................ 188,400 13,729,650
Entergy Corp.......................................... 65,100 1,887,900
Equifax, Inc.......................................... 37,200 1,029,975
Exxon Mobil Corp...................................... 909,100 75,739,394
Fannie Mae............................................ 269,600 16,209,700
Federal Home Loan Mortgage Corp....................... 183,000 8,143,500
*Federated Department Stores, Inc..................... 55,400 2,132,900
*FedEx Corp........................................... 76,200 2,695,575
Fifth Third Bancorp................................... 81,500 5,544,547
First Data Corp....................................... 110,300 6,183,694
First Union Corp...................................... 260,000 9,148,750
Firstar Corp.......................................... 257,900 6,592,569
FirstEnergy Corp...................................... 61,200 1,537,650
FleetBoston Financial Corp............................ 241,200 9,120,375
Florida Progress Corp................................. 25,900 1,285,287
Fluor Corp............................................ 20,000 650,000
*FMC Corp............................................. 8,100 492,075
Ford Motor Co......................................... 317,700 15,428,306
Fort James Corp....................................... 57,000 1,289,625
Fortune Brands, Inc................................... 43,300 1,152,862
FPL Group, Inc........................................ 47,200 2,336,400
Franklin Resources, Inc............................... 65,300 1,959,000
*Freeport McMoran Copper & Gold, Inc. Class B......... 43,000 395,062
Gannett Co., Inc...................................... 73,400 4,752,650
Gap, Inc.............................................. 223,900 7,850,494
*Gateway, Inc......................................... 83,300 4,123,350
General Dynamics Corp................................. 52,900 3,124,406
General Electric Co................................... 2,590,800 136,340,850
General Mills, Inc.................................... 79,500 3,155,156
General Motors Corp................................... 168,500 11,900,312
Genuine Parts Co...................................... 46,775 1,116,753
Georgia-Pacific Corp.................................. 45,100 1,477,025
Gillette Co........................................... 282,500 9,428,437
*Global Crossing, Ltd................................. 205,100 5,146,728
Golden West Financial Corp............................ 42,400 1,770,200
Goodrich (B.F.) Co.................................... 29,100 1,033,050
Goodyear Tire & Rubber Co............................. 41,200 1,024,850
GPU, Inc.............................................. 32,600 920,950
Grainger (W.W.), Inc.................................. 24,700 986,456
Great Atlantic & Pacific Tea Co., Inc................. 10,100 185,587
Great Lakes Chemical Corp............................. 14,300 396,825
GTE Corp.............................................. 255,800 16,179,350
*Guidant Corp......................................... 80,800 4,090,500
Halliburton Co........................................ 116,200 5,926,200
Harcourt General, Inc................................. 18,723 739,558
Harley-Davidson, Inc.................................. 79,600 2,965,100
*Harrahs Entertainment, Inc........................... 33,900 669,525
Hartford Financial Services Group, Inc................ 58,500 3,458,812
Hasbro, Inc........................................... 46,198 756,492
HCA - The Heathcare Company........................... 148,500 4,009,500
*Healthsouth Corp..................................... 101,700 654,694
Heinz (H.J.) Co....................................... 93,500 3,664,031
Hercules, Inc......................................... 28,000 463,750
Hershey Foods Corp.................................... 36,500 1,893,437
Hewlett-Packard Co.................................... 264,400 31,761,050
Hilton Hotels Corp.................................... 97,100 825,350
Home Depot, Inc....................................... 605,900 29,575,494
Homestake Mining Co................................... 68,500 462,375
Honeywell International, Inc.......................... 208,400 11,396,875
</TABLE>
82
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Household International, Inc.......................... 123,900 $ 5,823,300
*Humana, Inc.......................................... 44,100 248,062
Huntington Bancshares, Inc............................ 60,300 1,172,081
Ikon Office Solutions, Inc............................ 39,500 197,500
Illinois Tool Works, Inc.............................. 79,000 4,586,937
IMS Health, Inc....................................... 81,000 1,336,500
*Inco, Ltd............................................ 50,500 820,625
Ingersoll-Rand Co..................................... 43,100 1,963,744
Intel Corp............................................ 879,200 109,652,725
International Business Machines Corp.................. 474,400 50,909,050
International Flavors & Fragrances, Inc............... 27,700 941,800
International Paper Co................................ 109,000 3,794,562
Interpublic Group of Companies, Inc................... 73,800 3,168,787
ITT Industries, Inc................................... 23,200 801,850
Jefferson-Pilot Corp.................................. 27,575 1,892,334
Johnson & Johnson..................................... 366,000 32,757,000
Johnson Controls, Inc................................. 22,500 1,281,094
*K Mart Corp.......................................... 128,100 1,088,850
Kansas City Southern Industries, Inc.................. 29,000 1,950,250
Kaufman & Broad Home Corp............................. 12,600 218,137
Kellogg Co............................................ 106,800 3,244,050
Kerr-McGee Corp....................................... 25,100 1,498,156
Keycorp............................................... 117,600 2,469,600
Kimberly Clark Corp................................... 146,000 8,833,000
*KLA-Tencor Corp...................................... 48,200 2,387,406
Knight Ridder, Inc.................................... 20,400 1,081,200
*Kohls Corp........................................... 86,000 4,450,500
*Kroger Co............................................ 219,800 4,368,525
Leggett and Platt, Inc................................ 51,700 1,037,231
Lehman Brothers Holdings, Inc......................... 31,700 2,446,844
*Lexmark International Group, Inc..................... 33,700 2,350,575
Lilly (Eli) & Co...................................... 287,200 21,863,100
Limited, Inc.......................................... 112,800 2,721,300
Lincoln National Corp................................. 51,400 1,991,750
Linear Technology Corp................................ 82,000 4,840,562
Liz Claiborne, Inc.................................... 15,600 613,275
Lockheed Martin Corp.................................. 104,314 2,555,693
Loews Corp............................................ 27,900 1,837,912
Longs Drug Stores Corp................................ 10,400 209,950
Louisiana-Pacific Corp................................ 28,000 315,000
Lowe's Companies, Inc................................. 100,500 4,679,531
*LSI Logic Corp....................................... 78,400 4,130,700
Lucent Technologies, Inc.............................. 838,900 48,131,888
Mallinckrodt, Inc..................................... 18,100 523,769
*Manor Care, Inc...................................... 27,100 191,394
Marriott International, Inc. Class A.................. 65,600 2,378,000
Marsh & McLennan Companies, Inc....................... 70,300 7,737,394
Masco Corp............................................ 117,700 2,317,219
Mattel, Inc........................................... 110,700 1,501,369
*Maxim Integrated Products, Inc....................... 73,200 4,641,338
May Department Stores Co.............................. 87,400 2,627,463
Maytag Corp........................................... 22,200 727,050
MBIA, Inc............................................. 26,200 1,514,688
MBNA Corp............................................. 211,000 5,881,625
McDermott International, Inc.......................... 15,700 157,000
McDonalds Corp........................................ 356,200 12,756,413
McGraw-Hill Companies, Inc............................ 51,600 2,654,175
McKesson HBOC, Inc.................................... 74,100 1,218,019
Mead Corp............................................. 27,100 835,019
*Mediaone Group....................................... 161,200 10,770,175
Medtronic, Inc........................................ 314,200 16,220,575
Mellon Financial Corp................................. 133,900 5,163,519
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Merck & Co., Inc...................................... 615,100 $ 45,901,838
Meredith Corp......................................... 13,500 410,906
Merrill Lynch & Co., Inc.............................. 97,600 9,625,800
MGIC Investment Corp.................................. 27,800 1,377,838
*Micron Technology, Inc............................... 142,300 9,952,106
*Microsoft Corp....................................... 1,370,000 85,667,813
Milacron, Inc......................................... 9,800 154,963
Millipore Corp........................................ 11,900 861,263
Minnesota Mining & Manufacturing Co................... 104,800 8,986,600
*Mirage Resorts, Inc.................................. 50,800 1,063,625
Molex, Inc............................................ 51,600 2,518,725
Morgan (J.P.) & Co., Inc.............................. 45,800 5,896,750
Morgan Stanley Dean Witter
Discover & Co....................................... 300,000 21,581,250
Motorola, Inc......................................... 186,500 17,484,375
Nabisco Group Holdings Corp........................... 85,900 1,873,694
Nacco Industries, Inc. Class A........................ 2,200 83,050
National City Corp.................................... 162,200 3,244,000
*National Semiconductor Corp.......................... 45,200 2,429,500
National Service Industries, Inc...................... 10,700 232,725
*Navistar International Corp.......................... 16,600 533,275
*NCR Corp............................................. 25,500 1,075,781
*Network Appliance Corp............................... 80,100 5,168,953
New Century Energies, Inc............................. 30,500 1,025,563
New York Times Class A................................ 45,200 1,734,550
Newell Rubbermaid, Inc................................ 74,333 1,951,241
Newmont Mining Corp................................... 44,058 1,016,088
*Nextel Communications Corp. Class A.................. 95,800 8,870,481
*Niagara Mohawk Holdings, Inc......................... 46,700 685,906
Nicor, Inc............................................ 12,400 454,925
Nike, Inc. Class B.................................... 72,600 3,112,725
Nordstrom, Inc........................................ 35,400 889,425
Norfolk Southern Corp................................. 100,600 1,791,938
Nortel Network Corp................................... 760,200 41,288,363
Northern States Power Co. MN.......................... 40,800 902,700
Northern Trust Corp................................... 58,500 3,848,203
Northrop Grumman Corp................................. 18,300 1,402,238
*Novell, Inc.......................................... 86,000 713,531
Nucor Corp............................................ 23,000 894,125
Occidental Petroleum Corp............................. 96,800 2,292,950
*Office Depot, Inc.................................... 86,600 611,613
Old Kent Financial Corp............................... 35,000 1,163,750
Omnicom Group, Inc.................................... 46,600 3,911,488
Oneok, Inc............................................ 8,100 235,913
*Oracle Systems Corp.................................. 742,500 53,320,781
Owens Corning......................................... 14,400 222,300
*Owens-Illinois, Inc.................................. 39,500 444,375
Paccar, Inc........................................... 20,620 864,751
*Pactiv Corporation................................... 45,100 403,081
Paine Webber Group, Inc............................... 37,700 1,694,144
Pall Corp............................................. 32,700 686,700
*Parametric Technology Corp........................... 72,400 771,513
Parker-Hannifin Corp.................................. 29,525 1,230,823
Paychex, Inc.......................................... 97,650 3,420,802
PE Corp. - PE Biosystems Group........................ 54,200 3,008,100
PECO Energy Co........................................ 48,800 2,144,150
Penney (J.C.) Co., Inc................................ 68,600 1,243,375
Peoples Energy Corp................................... 9,400 319,013
*Peoplesoft, Inc...................................... 70,600 977,369
Pepsico, Inc.......................................... 383,200 15,591,450
PerkinElmer, Inc...................................... 12,600 661,500
Pfizer, Inc........................................... 1,018,700 45,395,819
</TABLE>
83
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
PG&E Corp. (Holding Co.).............................. 101,100 $ 2,622,281
Pharmacia Corp........................................ 329,226 17,099,175
Phelps Dodge Corp..................................... 21,241 953,190
Philip Morris Companies, Inc.......................... 623,000 16,275,875
Phillips Petroleum Co................................. 66,700 3,818,575
Pinnacle West Capital Corp............................ 22,300 797,225
Pitney Bowes, Inc..................................... 69,900 3,040,650
Placer Dome, Inc...................................... 85,700 707,025
PNC Bank Corp......................................... 77,500 3,904,063
Polaroid Corp......................................... 11,700 224,494
Potlatch Corp......................................... 7,600 287,850
PPG Industries, Inc................................... 45,800 2,269,963
PPL Corp.............................................. 37,900 895,388
Praxair, Inc.......................................... 41,900 1,759,800
Price (T. Rowe) Associates, Inc....................... 31,500 1,203,891
Procter & Gamble Co................................... 346,400 23,035,600
Progressive Corp...................................... 19,200 1,802,400
Providian Financial Corp.............................. 37,300 3,317,369
Public Service Enterprise Group, Inc.................. 57,600 2,145,600
Pulte Corp............................................ 11,400 252,938
Quaker Oats Co........................................ 35,200 2,589,400
*QUALCOMM, Inc........................................ 194,000 12,870,688
*Quintiles Transnational Corp......................... 30,300 447,872
Radioshack Corp....................................... 50,960 2,162,615
Ralston Purina Group.................................. 79,500 1,475,719
Raytheon Co. Class B.................................. 89,200 2,090,625
*Reebok International, Ltd............................ 14,800 205,350
Regions Financial Corp................................ 57,500 1,299,141
Reliant Energy, Inc................................... 77,900 2,220,150
*Rite Aid Corp........................................ 68,200 473,138
Rockwell International Corp........................... 49,800 2,041,800
Rohm & Haas Co........................................ 57,700 1,969,013
*Rowan Companies, Inc................................. 24,300 754,819
Royal Dutch Petroleum Co. Den Haag (N.Y. Registry).... 564,300 35,233,481
Russell Corp.......................................... 8,700 193,575
Ryder System, Inc..................................... 15,600 299,325
*Sabre Holdings Corp.................................. 34,122 981,008
Safeco Corp........................................... 34,200 838,969
*Safeway, Inc......................................... 134,100 6,185,363
*Saint Jude Medical, Inc.............................. 22,150 796,016
Saint Paul Companies, Inc............................. 59,742 2,240,325
*Sapient Corp......................................... 15,300 1,528,566
Sara Lee Corp......................................... 239,200 4,305,600
SBC Communications, Inc............................... 897,800 39,222,638
Schering-Plough Corp.................................. 386,700 18,706,613
Schlumberger, Ltd..................................... 144,600 10,637,138
Schwab (Charles) Corp................................. 323,700 9,306,375
Scientific-Atlanta, Inc............................... 41,600 2,345,200
*Seagate Technology, Inc.............................. 56,800 3,294,400
Seagram Co., Ltd...................................... 114,100 5,441,144
*Sealed Air Corp...................................... 22,092 1,237,152
Sears, Roebuck & Co................................... 99,500 3,675,281
Sempra Energy......................................... 53,845 1,012,959
Shared Medical Systems Corp........................... 7,100 515,638
Sherwin-Williams Co................................... 43,600 1,013,700
*Siebel Systems, Inc.................................. 50,600 5,918,619
Sigma-Aldrich Corp.................................... 26,500 883,609
*Silicon Graphics, Inc................................ 48,500 321,313
SLM Holdings Corp..................................... 41,800 1,408,138
Snap-On, Inc.......................................... 15,400 395,588
*Solectron Corp....................................... 156,000 5,157,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Southern Co........................................... 177,100 $ 4,593,531
SouthTrust Corp....................................... 44,100 1,194,834
Southwest Airlines Co................................. 132,700 2,546,181
Springs Industries, Inc. Class A...................... 4,750 225,625
Sprint Corp........................................... 229,200 13,866,600
*Sprint Corp. (PCS Group)............................. 226,700 12,581,850
Stanley Works......................................... 23,500 631,563
*Staples, Inc......................................... 123,800 1,814,444
State Street Corp..................................... 42,100 4,694,150
Summit Bancorp........................................ 46,100 1,322,494
*Sun Microsystems..................................... 415,600 31,832,363
Sunoco, Inc........................................... 23,800 769,038
Suntrust Banks, Inc................................... 84,200 5,030,950
Supervalu, Inc........................................ 36,800 765,900
Synovus Financial Corp................................ 73,700 1,474,000
Sysco Corp............................................ 86,900 3,644,369
Target Corp........................................... 115,500 7,240,406
Tektronix, Inc........................................ 12,450 666,075
*Tellabs, Inc......................................... 106,000 6,880,063
Temple-Inland, Inc.................................... 14,700 730,406
Tenet Healthcare Corp................................. 82,000 2,101,250
*Teradyne, Inc........................................ 44,900 3,861,400
Texaco, Inc........................................... 145,400 8,351,413
Texas Corp............................................ 72,800 2,602,600
Texas Instruments, Inc................................ 428,000 30,923,000
Textron, Inc.......................................... 39,200 2,459,800
*Thermo-Electron Corp................................. 41,700 774,056
Thomas & Betts Corp................................... 15,200 431,300
Time Warner, Inc...................................... 338,700 26,736,131
Times Mirror Co. Class A.............................. 15,900 1,534,350
Timken Co............................................. 16,300 307,663
TJX Companies, Inc.................................... 81,700 1,766,763
Torchmark Corp........................................ 34,700 943,406
Tosco Corp............................................ 38,000 1,163,750
*Toys R Us, Inc....................................... 63,200 995,400
Transocean Sedco Forex, Inc........................... 55,100 2,710,231
Tribune Co............................................ 62,400 2,402,400
*Tricon Global Restaurants, Inc....................... 39,700 1,163,706
TRW, Inc.............................................. 32,000 1,552,000
Tupperware Corp....................................... 15,200 335,350
Tyco International, Ltd............................... 494,900 23,291,231
U.S. Bancorp.......................................... 198,400 5,158,400
U.S. West, Inc........................................ 133,000 9,576,000
Unicom Corp., Inc..................................... 57,400 2,392,863
Unilever NV........................................... 150,500 7,647,281
Union Carbide Corp.................................... 35,200 1,925,000
Union Pacific Corp.................................... 65,500 2,771,469
Union Pacific Resources Group, Inc.................... 66,376 1,572,282
Union Planters Corp................................... 37,100 1,159,375
*Unisys Corp.......................................... 81,700 2,216,113
United Technologies Corp.............................. 125,100 7,560,731
Unitedhealth Group, Inc............................... 44,900 3,347,856
Unocal Corp........................................... 63,700 2,448,469
UnumProvident Corp.................................... 63,300 1,436,119
*USAir Group, Inc..................................... 18,800 799,000
UST, Inc.............................................. 45,000 748,125
USX-Marathon Group, Inc............................... 81,800 2,223,938
USX-US Steel Group.................................... 23,320 526,158
*Veritas Software Co.................................. 152,500 17,761,484
VF Corp............................................... 31,100 892,181
*Viacom, Inc. Class B................................. 401,083 24,867,146
Vulcan Materials Co................................... 26,300 1,229,525
</TABLE>
84
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wachovia Corp......................................... 53,300 $ 3,684,363
Walgreen Co........................................... 264,700 7,510,863
Wal-Mart Stores, Inc.................................. 1,172,100 67,542,263
Warner-Lambert Co..................................... 225,900 27,588,038
Washington Mutual, Inc................................ 151,800 4,364,250
Waste Management, Inc................................. 163,200 3,325,200
*Watson Pharmaceuticals, Inc.......................... 25,300 1,116,363
*Wellpoint Health Networks, Inc....................... 16,700 1,212,838
Wells Fargo Company................................... 434,500 19,661,125
Wendy's International, Inc............................ 31,500 616,219
Westvaco Corp......................................... 26,350 793,794
Weyerhaeuser Co....................................... 61,900 3,071,788
Whirlpool Corp........................................ 19,700 1,116,744
Willamette Industries, Inc............................ 29,400 955,500
Williams Companies, Inc............................... 114,497 4,758,782
Winn-Dixie Stores, Inc................................ 38,500 608,781
*Worldcom, Inc........................................ 746,900 28,078,772
Worthington Industries, Inc........................... 23,500 284,938
*WR Grace & Co........................................ 18,900 237,431
Wrigley (Wm.) Jr. Co.................................. 30,500 2,441,906
Xerox Corp............................................ 174,800 4,741,450
*Xilinx, Inc.......................................... 84,800 6,452,750
*Yahoo! Inc........................................... 138,500 15,654,828
Young & Rubicam, Inc.................................. 18,300 873,825
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $2,217,384,060)++... $3,202,688,345
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $2,242,097,583.
</TABLE>
See accompanying Notes to Financial Statements.
85
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED STATES -- (54.5%)
BONDS -- (22.6%)
Abbey National Treasury Services P.L.C.
5.750%, 03/06/01................................... 2,000 $ 1,972,620
Bank Nederlandse Gemeenten NV
6.125%, 03/27/01................................... 1,000 987,620
Caisse d'Amortissement et de Dette Sociale
6.500%, 03/11/02................................... 2,600 2,558,400
Citigroup, Inc. Corporate Bonds
9.500%, 03/01/02................................... 1,950 2,010,937
First USA Bank Medium Term Notes
6.125%, 06/25/01................................... 2,000 1,970,000
General Electric Capital Corp.
3.000%, 02/08/01................................... 2,600 2,380,384
Japanese Development Bank Medium Term Notes
8.375%, 02/15/01................................... 1,000 1,007,400
Nederlandse Waterschapsbank NV Medium Term Notes
5.500%, 02/20/01................................... 2,800 2,764,076
Rabobank Nederland
6.000%, 03/12/01................................... 2,100 2,076,711
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 2,900 2,856,500
Wal-Mart Stores, Inc. Corporate Bonds
6.150%, 08/10/01................................... 2,000 1,980,000
-----------
TOTAL BONDS
(Cost $22,850,089)................................... 22,564,648
-----------
COMMERCIAL PAPER -- (16.4%)
CDC Financial Products, Inc. C.P.
6.560%, 07/21/00................................... 2,900 2,873,457
Enterprise Funding Corp. C.P.
6.080%, 06/05/00................................... 1,200 1,199,125
Oesterreich Kontrollbank C.P.
5.960%, 06/12/00................................... 1,900 1,896,238
Sigma Finance Corp. C.P.
6.580%, 07/03/00................................... 1,400 1,391,886
St. Michael Finance, Ltd. C.P.
6.400%, 06/23/00................................... 1,800 1,792,883
Teco Finance, Inc. C.P.
6.770%, 06/01/00................................... 1,800 1,800,000
UBS Finance, Inc. C.P.
6.770%, 06/01/00................................... 3,300 3,300,000
Windmill Funding Corp. C.P.
6.080%, 06/02/00................................... 2,100 2,099,615
-----------
TOTAL COMMERCIAL PAPER
(Cost $16,353,724)................................... 16,353,204
-----------
VARIABLE RATE OBLIGATIONS -- (7.5%)
Chase Manhattan Corp.
***6.430%, 06/12/00................................ 2,000 2,006,800
Key Bank N.A.
***6.641%, 08/02/00................................ 2,000 1,999,600
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Wells Fargo Co.
***6.350%, 06/15/00................................ 3,500 $ 3,507,000
-----------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $7,511,765).................................... 7,513,400
-----------
AGENCY OBLIGATIONS -- (5.0%)
Federal National Mortgage Association
**6.075%, 07/20/00
(Cost $4,958,656)................................ 5,000 4,956,200
-----------
CERTIFICATES OF DEPOSIT -- (3.0%)
Canadian Imperial Bank Corp.
7.090%, 05/04/01
(Cost $3,000,000)................................ 3,000 2,991,000
-----------
TOTAL -- UNITED STATES
(Cost $54,674,234)................................... 54,378,452
-----------
FRANCE -- (11.4%)
BONDS -- (11.4%)
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 1,000 931,762
Charbonnages de France
9.200%, 05/06/01................................... 2,322 2,232,462
Credit Locale de France SA Eurobond
6.000%, 09/24/01................................... 2,000 1,871,314
France (Government of) BTAN
4.750%, 03/12/02................................... 3,000 2,769,411
Societe Nationale de Chemins de Fer Francais
7.750%, 03/01/02................................... 24,600 3,611,091
-----------
TOTAL -- FRANCE
(Cost $12,483,683)................................... 11,416,040
-----------
GERMANY -- (10.2%)
BONDS -- (10.2%)
Allgemeine Hypotheken Bank AG
4.250%, 06/25/01................................... 2,000 1,839,782
Deutsche Genossen Hypobank International SA
3.500%, 10/26/01................................... 3,000 2,720,443
Germany (Republic of)
8.000%, 01/21/02................................... 3,000 2,908,243
Westfalische Hypotheken Bank
3.250%, 08/15/01................................... 3,000 2,723,226
-----------
TOTAL -- GERMANY
(Cost $11,551,614)................................... 10,191,694
-----------
CANADA -- (8.2%)
BONDS -- (8.2%)
Alberta (Province of)
10.250%, 08/22/01.................................. 5,000 3,489,707
Canada (Government of)
7.000%, 09/01/01................................... 5,000 3,366,184
</TABLE>
86
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THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
Canada Mortgage and Housing Corp.
7.250%, 09/01/01................................... 2,000 $ 1,346,874
-----------
TOTAL BONDS
(Cost $8,403,083).................................... 8,202,765
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $239)......................................... 232
-----------
TOTAL -- CANADA
(Cost $8,403,322).................................... 8,202,997
-----------
SWEDEN -- (3.5%)
BONDS -- (3.5%)
Sweden (Kingdom of)
5.500%, 04/12/02
(Cost $3,602,028)................................ 31,000 3,469,725
-----------
TOTAL -- SWEDEN
(Cost $3,602,028).................................... 3,469,725
-----------
UNITED KINGDOM -- (3.1%)
BONDS -- (3.1%)
United Kingdom of Great Britain and Northern
Ireland/United Kingdom
10.000%, 02/26/01
(Cost $3,289,108)................................ 2,000 3,068,918
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $381)......................................... 357
-----------
TOTAL -- UNITED KINGDOM
(Cost $3,289,489).................................... 3,069,275
-----------
DENMARK -- (3.0%)
BONDS -- (3.0%)
Denmark (Kingdom of)
8.000%, 11/15/01
(Cost $3,386,520)................................ 23,000 2,941,671
-----------
AUSTRALIA -- (2.9%)
BONDS -- (2.9%)
New South Wales Treasury Corp.
8.000%, 12/01/01
(Cost $3,384,472)................................ 5,000 2,917,803
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $437)......................................... $ 410
-----------
TOTAL -- AUSTRALIA
(Cost $3,384,909).................................... 2,918,213
-----------
NETHERLANDS -- (2.9%)
BONDS -- (2.9%)
Netherlands (Government of)
8.750%, 09/15/01
(Cost $3,181,085)................................ 3,000 2,905,739
-----------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
*Euro Currency
(Cost $191,099)..................................... 198,297
-----------
TEMPORARY CASH INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $120,933) to be
repurchased at $118,020
(Cost $118,000)..................................... 118 118,000
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $104,265,958)++.... $99,810,103
===========
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
++ The cost for federal income tax purposes is $104,301,863.
@ Denominated in local currency.
* Non-Income Producing Securities
** Face amount of securities pledged as margin requirement for open futures
contracts.
*** Rates shown are the rates as of May 31, 2000, and maturities shown are the
next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
87
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
Aetna, Inc............................................ 544,726 $ 36,360,460
Airborne Freight Corp................................. 148,200 2,991,787
*Airgas, Inc.......................................... 28,800 154,800
AK Steel Holding Corp................................. 675,675 6,545,602
*Alaska Air Group, Inc................................ 111,200 3,461,100
Albemarle Corp........................................ 102,100 2,246,200
Alcoa, Inc............................................ 186,994 10,927,462
Alexander & Baldwin, Inc.............................. 164,000 3,792,500
*Allegheny Corp....................................... 17,158 2,852,517
Alliant Energy Corp................................... 217,700 6,027,569
Allmerica Financial Corp.............................. 80,600 4,649,612
Allstate Corp......................................... 739,500 19,596,750
Ambac, Inc............................................ 140,300 7,067,612
Amerada Hess Corp..................................... 115,100 7,639,762
*America West Holdings Corp. Class B.................. 108,800 1,938,000
American Annuity Group, Inc........................... 37,600 641,550
American Financial Group, Inc......................... 178,100 4,975,669
American Greetings Corp. Class A...................... 190,400 3,546,200
American National Insurance Co........................ 38,900 2,101,816
Amerus Life Holdings, Inc. Class A.................... 45,600 909,150
*AMR Corp............................................. 565,000 16,102,500
Arch Coal, Inc........................................ 49,022 367,665
Archer-Daniels Midland Co............................. 2,064,146 24,640,743
*Arrow Electronics, Inc............................... 333,000 11,675,812
Ashland, Inc.......................................... 249,200 8,706,425
*AutoNation, Inc...................................... 2,068,600 16,290,225
Avnet, Inc............................................ 8,420 582,559
Bancwest Corp......................................... 367,800 6,873,262
Bear Stearns Companies, Inc........................... 376,170 14,811,694
Belo (A.H.) Corp. Class A............................. 331,800 5,329,537
*Bethlehem Steel Corp................................. 444,400 1,722,050
Block Drug Co., Inc. Class A.......................... 1,127 31,204
Boise Cascade Corp.................................... 176,300 5,134,737
*Borders Group, Inc................................... 22,700 319,219
Borg Warner Automotive, Inc........................... 100,800 4,006,800
Bowater, Inc.......................................... 171,600 8,869,575
Brunswick Corp........................................ 297,600 5,728,800
Burlington Northern Santa Fe Corp..................... 1,835,700 43,368,412
C.I.T. Group, Inc. Class A............................ 289,000 5,292,312
CBRL Group, Inc....................................... 270,000 3,906,562
Centex Corp........................................... 229,000 4,751,750
Champion International Corp........................... 293,700 21,440,100
Chesapeake Corp....................................... 15,100 493,581
*Chris-Craft Industries, Inc.......................... 76,294 4,644,397
Cincinnati Financial Corp............................. 490,280 19,718,449
*CNA Financial Corp................................... 615,800 21,976,362
Coca-Cola Enterprises, Inc............................ 1,203,100 20,603,087
Commerce Group, Inc................................... 93,100 2,525,337
Commercial Federal Corp............................... 94,900 1,512,469
Conseco, Inc.......................................... 1,006,800 6,292,500
Consolidated Papers, Inc.............................. 196,100 7,329,237
*Consolidated Stores Corp............................. 211,500 2,749,500
Cooper Tire & Rubber Co............................... 306,400 3,695,950
Corn Products International, Inc...................... 116,200 2,854,162
Countrywide Credit Industries, Inc.................... 370,200 11,383,650
Crompton Corp......................................... 5,637 68,349
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Crown Cork & Seal Co., Inc............................ 424,500 $ 7,269,562
CSX Corp.............................................. 875,400 19,039,950
Cummins Engine Co., Inc............................... 135,200 4,402,450
Dana Corp............................................. 504,800 13,030,150
Delphi Automotive Systems Corp........................ 258,930 4,676,923
Delta Air Lines, Inc.................................. 422,500 21,732,344
Dillards, Inc. Class A................................ 330,700 4,939,831
Dime Bancorp, Inc..................................... 53,800 981,850
Earthgrains Co........................................ 114,700 1,892,550
Eastman Chemical Co................................... 83,200 3,790,800
Enhance Financial Services Group, Inc................. 116,400 1,600,500
ENSCO International, Inc.............................. 67,900 2,372,256
EOG Resources, Inc.................................... 215,000 6,987,500
Everest Re Group, Ltd................................. 16,000 544,000
*Extended Stay America, Inc........................... 355,300 3,197,700
Federal-Mogul Corp.................................... 356,800 3,545,700
*Federated Department Stores, Inc..................... 651,100 25,067,350
Financial Security Assurance Holdings, Ltd............ 41,800 3,140,225
Finova Group, Inc..................................... 118,400 1,413,400
First American Financial Corp......................... 112,300 1,866,987
First Citizens Bancshares, Inc. NC.................... 10,300 621,219
Florida East Coast Industries, Inc.................... 62,500 3,000,000
*FMC Corp............................................. 1,000 60,750
Ford Motor Co......................................... 2,145,900 104,210,269
Fortune Brands, Inc................................... 591,000 15,735,375
GATX Corp............................................. 143,400 4,830,787
General Motors Corp................................... 1,494,300 105,534,937
*General Motors Corp. Class H......................... 389,446 38,336,091
*Gentiva Health Services.............................. 3,325 28,990
Georgia-Pacific Corp.................................. 445,000 14,573,750
*Golden State Bancorp, Inc............................ 156,200 2,743,262
Golden West Financial Corp............................ 247,800 10,345,650
Goodrich (B.F.) Co.................................... 109,100 3,873,050
Goodyear Tire & Rubber Co............................. 113,400 2,820,825
Great Atlantic & Pacific Tea Co., Inc................. 135,900 2,497,162
Greenpoint Financial Corp............................. 265,700 5,546,487
Harris Corp........................................... 126,400 3,863,100
Hartford Life, Inc. Class A........................... 20,000 1,003,750
*Healthsouth Corp..................................... 1,481,200 9,535,225
*Hearst-Argyle Television, Inc........................ 225,000 4,260,937
Heller Financial, Inc................................. 52,600 992,825
Helmerich & Payne, Inc................................ 151,600 5,647,100
Hibernia Corp......................................... 301,300 3,879,238
Hollinger International, Inc. Class A................. 268,700 3,274,781
Horton (D.R.), Inc.................................... 355,300 4,641,106
*Humana, Inc.......................................... 557,100 3,133,688
IBP, Inc.............................................. 344,900 5,690,850
Ikon Office Solutions, Inc............................ 541,400 2,707,000
*Imation Corp......................................... 1,600 45,300
IMC Global, Inc....................................... 445,300 6,846,488
*Ingram Micro, Inc.................................... 266,900 4,503,938
*Interim Services, Inc................................ 150,300 3,024,788
International Paper Co................................ 513,041 17,860,240
*K Mart Corp.......................................... 1,650,000 14,025,000
Keycorp............................................... 840,000 17,640,000
Lafarge Corp.......................................... 257,500 6,566,250
</TABLE>
88
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Lam Research Corp.................................... 14,700 $ 472,697
*Lanier Worldwide, Inc................................ 101,400 183,788
Lehman Brothers Holdings, Inc......................... 362,000 27,941,875
Lennar Corp........................................... 58,000 1,094,750
*Liberty Corp......................................... 40,400 1,419,050
Liberty Financial Companies, Inc...................... 160,000 3,770,000
Lincoln National Corp................................. 446,100 17,286,375
Lockheed Martin Corp.................................. 489,500 11,992,750
Loews Corp............................................ 363,400 23,938,975
Longs Drug Stores Corp................................ 50,900 1,027,544
Louisiana-Pacific Corp................................ 335,300 3,772,125
Lubrizol Corp......................................... 182,000 4,208,750
Lyondell Chemical Co.................................. 303,000 5,056,313
Mallinckrodt, Inc..................................... 205,300 5,940,869
*Mandalay Resort Group................................ 296,300 6,277,856
*Manor Care, Inc...................................... 222,000 1,567,875
Mark IV Industries, Inc............................... 85,600 1,819,000
MBIA, Inc............................................. 92,900 5,370,781
Mead Corp............................................. 306,300 9,437,869
Millennium Chemicals, Inc............................. 346,800 6,675,900
*Mirage Resorts, Inc.................................. 669,900 14,026,031
*Modis Professional Services, Inc..................... 89,500 917,375
*Mony Group, Inc...................................... 5,000 185,313
Nabisco Group Holdings Corp........................... 1,090,980 23,797,001
Norfolk Southern Corp................................. 1,294,000 23,049,375
Northrop Grumman Corp................................. 249,000 19,079,625
Occidental Petroleum Corp............................. 650,800 15,415,825
*Officemax, Inc....................................... 384,600 2,091,263
Ohio Casualty Corp.................................... 213,800 2,558,919
Old Republic International Corp....................... 612,475 10,756,592
Omnicare, Inc......................................... 360,300 5,944,950
*Owens-Illinois, Inc.................................. 415,500 4,674,375
Pacific Century Financial Corp........................ 227,800 5,125,500
*Pacificare Health Systems, Inc....................... 51,296 3,324,622
*Pactiv Corporation................................... 615,100 5,497,456
*Park Place Entertainment Corp........................ 759,800 9,592,475
Penney (J.C.) Co., Inc................................ 1,140,000 20,662,500
Penzoil Quaker State Co............................... 55,600 611,600
Phelps Dodge Corp..................................... 212,712 9,545,451
*Pioneer Natural Resources Co......................... 483,900 7,228,256
PMI Group, Inc........................................ 58,500 2,968,875
Potlatch Corp......................................... 94,600 3,582,975
*Premier Parks, Inc................................... 153,600 3,657,600
*Pride International, Inc............................. 50,000 1,271,875
Pulte Corp............................................ 127,600 2,831,125
Questar Corp.......................................... 271,400 5,512,813
*R & B Falcon Corp.................................... 169,300 3,967,969
Radian Group, Inc..................................... 47,000 2,585,000
Rayonier, Inc......................................... 83,000 3,340,750
Raytheon Co. Class A.................................. 321,500 7,575,344
Raytheon Co. Class B.................................. 409,900 9,607,031
*Rite Aid Corp........................................ 457,100 3,171,131
RJ Reynolds Tobacco Holdings, Inc..................... 448,226 12,438,272
Russell Corp.......................................... 137,400 3,057,150
Ryder System, Inc..................................... 268,800 5,157,600
*Sabre Holdings Corp.................................. 408,298 11,738,568
Safeco Corp........................................... 491,200 12,049,750
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Safety-Kleen Corp.................................... 195,700 $ 122,313
Saint Paul Companies, Inc............................. 695,326 26,074,725
*Saks, Inc............................................ 450,200 5,205,438
Sears, Roebuck & Co................................... 867,500 32,043,281
*Sensormatic Electronics Corp......................... 196,500 3,082,594
Service Corp. International........................... 825,600 2,580,000
*Silicon Graphics, Inc................................ 501,700 3,323,763
*Smurfit-Stone Container Corp......................... 36,026 512,245
Sovereign Bancorp, Inc................................ 744,700 5,108,177
Spiegel, Inc. Class A Non-Voting...................... 9,600 73,350
Springs Industries, Inc. Class A...................... 7,700 365,750
St. Joe Corp.......................................... 78,400 2,347,100
Starwood Hotels and Resorts Worldwide, Inc............ 577,500 17,072,344
Sunoco, Inc........................................... 329,000 10,630,813
Supervalu, Inc........................................ 286,100 5,954,456
*Tech Data Corp....................................... 72,500 2,725,547
Tecumseh Products Co. Class A......................... 58,300 2,632,609
Tecumseh Products Co. Class B......................... 15,400 665,088
Temple-Inland, Inc.................................... 180,200 8,953,688
Tenet Healthcare Corp................................. 633,000 16,220,625
Tenneco Automotive, Inc............................... 123,020 899,584
Terra Industries, Inc................................. 61,400 130,475
*Thermo-Electron Corp................................. 485,600 9,013,950
Tidewater, Inc........................................ 164,000 6,375,500
Timken Co............................................. 274,800 5,186,850
*Toys R Us, Inc....................................... 819,300 12,903,975
Trinity Industries, Inc............................... 93,300 2,058,431
Tyson Foods, Inc. Class A............................. 50,000 493,750
U.S. Industries, Inc.................................. 262,100 3,538,350
*UAL Corp............................................. 158,400 8,157,600
Ultramar Diamond Shamrock Corp........................ 265,400 6,883,813
UMB Financial Corp.................................... 51,260 1,893,416
*Unifi, Inc........................................... 73,000 930,750
Union Pacific Corp.................................... 826,200 34,958,588
Union Pacific Resources Group, Inc.................... 773,900 18,331,756
*United Rentals, Inc.................................. 235,400 3,825,250
Unitrin, Inc.......................................... 223,800 7,203,563
*Unova, Inc........................................... 273,500 3,777,719
UnumProvident Corp.................................... 646,189 14,660,413
USX-Marathon Group, Inc............................... 916,450 24,915,984
USX-US Steel Group.................................... 314,400 7,093,650
Valero Energy Corp.................................... 268,500 7,853,625
Valhi, Inc............................................ 158,500 1,693,969
*Venator Group, Inc................................... 590,000 6,379,375
*Vishay Intertechnology, Inc.......................... 199,411 14,108,328
Wallace Computer Services, Inc........................ 31,000 310,000
Weis Markets, Inc..................................... 20,800 681,200
Wesco Financial Corp.................................. 13,540 3,290,220
Westvaco Corp......................................... 306,650 9,237,831
*Wisconsin Central Transportation Corp................ 5,900 77,069
Worthington Industries, Inc........................... 122,800 1,488,950
*Ziff-Davis, Inc...................................... 20,000 168,750
--------------
TOTAL COMMON STOCKS
(Cost $1,774,314,419)................................ 1,791,687,391
--------------
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $17,594,688) to be
repurchased at $17,335,865.
(Cost $17,333,000).................................. $ 17,333 $ 17,333,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,791,647,419)++.............................. $1,809,020,391
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $1,791,816,976.
</TABLE>
See accompanying Notes to Financial Statements.
90
<PAGE>
THE U.S. 4-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.3%)
*3Dfx Interactive, Inc................................ 76,000 $ 562,875
AAR Corp.............................................. 86,600 1,201,575
*Acceptance Insurance Companies, Inc.................. 23,600 120,950
*Acuson Corp.......................................... 8,000 98,000
Advanta Corp. Class A................................. 36,987 623,000
Advanta Corp. Class B Non-Voting...................... 47,527 574,780
*Aftermarket Technology Corp.......................... 16,600 98,044
Agco Corp............................................. 202,400 2,530,000
*Agribrands International, Inc........................ 28,700 1,189,256
Airborne Freight Corp................................. 154,800 3,125,025
*Airgas, Inc.......................................... 229,900 1,235,712
AK Steel Holding Corp................................. 375,438 3,637,056
*Alaska Air Group, Inc................................ 105,500 3,283,687
*Albany International Corp. Class A................... 20,780 297,414
Albemarle Corp........................................ 19,900 437,800
Alexander & Baldwin, Inc.............................. 143,500 3,318,437
Alfa Corp............................................. 5,000 85,156
*Allegheny Corp....................................... 10,454 1,737,977
*Allen Telecom, Inc................................... 48,300 772,800
Alliance Bancorp...................................... 2,300 40,609
*Alliance Semiconductor Corp.......................... 18,700 462,825
Alliant Energy Corp................................... 78,100 2,162,394
Allmerica Financial Corp.............................. 42,200 2,434,412
*Amerco, Inc.......................................... 58,700 1,029,084
*America West Holdings Corp.
Class B............................................. 124,300 2,214,094
American Annuity Group, Inc........................... 38,200 651,787
American Financial Group, Inc......................... 171,000 4,777,312
*American Freightways Corp............................ 83,300 1,241,691
American Greetings Corp. Class A...................... 209,300 3,898,212
*American Homepatient, Inc............................ 7,000 2,310
American National Insurance Co........................ 1,100 59,434
*Ameripath, Inc....................................... 10,200 87,497
Amerus Life Holdings, Inc. Class A.................... 86,200 1,718,612
*Ames Department Stores, Inc.......................... 41,000 485,594
*AMF Bowling, Inc..................................... 112,600 105,562
*Amresco, Inc......................................... 58,000 33,531
*Amtran, Inc.......................................... 28,400 402,037
Analogic Corp......................................... 300 10,819
*Ann Taylor Stores Corp............................... 67,100 1,744,600
*Applica, Inc......................................... 74,600 1,100,350
*Applied Graphics Technologies, Inc................... 7,100 24,628
Applied Industrial Technologies, Inc.................. 48,800 850,950
*Apria Healthcare Group, Inc.......................... 24,200 347,875
*Arch Capital Group, Ltd.............................. 43,700 659,597
Arch Chemicals, Inc................................... 66,950 1,154,887
Arch Coal, Inc........................................ 121,557 911,677
Arctic Cat, Inc....................................... 31,800 342,844
Argonaut Group, Inc................................... 69,500 1,255,344
Armstrong Holdings, Inc............................... 124,000 2,131,250
Arnold Industries, Inc................................ 76,600 878,506
*Arrow Electronics, Inc............................... 37,804 1,325,503
Arvin Industries, Inc................................. 74,500 1,341,000
Ashland, Inc.......................................... 75,000 2,620,312
*Audiovox Corp. Class A............................... 10,800 204,188
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Aurora Foods, Inc.................................... 208,200 $ 741,712
*Aviation Sales Co.................................... 8,800 58,850
*Avid Technology, Inc................................. 86,100 866,381
*Avis Group Holdings, Inc............................. 110,900 2,134,825
Avnet, Inc............................................ 1,835 126,959
*Aztar Corp........................................... 138,300 1,763,325
Baldwin & Lyons, Inc. Class B......................... 17,300 313,562
Bancwest Corp......................................... 255,600 4,776,525
Bandag, Inc........................................... 28,000 694,750
Bandag, Inc. Class A.................................. 29,100 662,025
BankAtlantic Bancorp, Inc. Class A.................... 1,995 7,606
BankAtlantic Bancorp, Inc. Class B.................... 24,700 141,253
Bassett Furniture Industries, Inc..................... 22,100 270,034
*Battle Mountain Gold Co.............................. 104,800 203,050
Bay View Capital Corp................................. 39,600 400,950
Belo (A.H.) Corp. Class A............................. 291,900 4,688,644
*Benchmark Electronics, Inc........................... 23,900 812,600
Bergen Brunswig Corp. Class A......................... 332,400 1,724,325
Berkley (W.R.) Corp................................... 85,300 1,879,266
*Berlitz International, Inc........................... 7,700 85,662
*Bethlehem Steel Corp................................. 421,900 1,634,862
*Beverly Enterprises.................................. 366,600 1,099,800
Bindley Western Industries, Inc....................... 31,366 597,914
*Bio-Rad Laboratories, Inc. Class A................... 8,000 185,500
Birmingham Steel Corp................................. 44,900 173,987
Block Drug Co., Inc. Class A.......................... 43,111 1,193,636
Bob Evans Farms, Inc.................................. 106,000 1,437,625
*Boca Resorts, Inc.................................... 115,400 995,325
Boise Cascade Corp.................................... 188,900 5,501,712
*Bombay Co., Inc...................................... 52,300 166,706
*Borders Group, Inc................................... 7,500 105,469
Borg Warner Automotive, Inc........................... 79,200 3,148,200
Bowater, Inc.......................................... 28,400 1,467,925
Bowne & Co., Inc...................................... 121,630 1,223,902
*Boyd Gaming Corp..................................... 102,800 507,575
*Brightpoint, Inc..................................... 1,400 16,275
Brookline Bancorp, Inc................................ 66,200 647,519
*Brown (Tom), Inc..................................... 35,600 776,525
Brown Shoe Company, Inc............................... 47,600 568,225
Brunswick Corp........................................ 282,600 5,440,050
Brush Wellman, Inc.................................... 34,800 606,825
BSB Bancorp, Inc...................................... 3,800 72,556
*Budget Group, Inc.................................... 74,900 285,556
*Buffets, Inc......................................... 102,900 1,192,997
Burlington Coat Factory Warehouse Corp................ 128,300 1,627,806
*Burlington Industries, Inc........................... 94,800 314,025
*Bush Boake Allen, Inc................................ 5,400 176,175
Butler Manufacturing Co............................... 1,600 35,700
C.I.T. Group, Inc. Class A............................ 1,900 34,794
Calgon Carbon Corp.................................... 125,200 821,625
Caraustar Industries, Inc............................. 21,500 355,422
*Carmike Cinemas, Inc. Class A........................ 7,200 38,250
Carpenter Technology Corp............................. 78,300 1,619,831
Carter-Wallace, Inc................................... 33,700 674,000
Cash America International, Inc....................... 27,000 276,750
*Castle & Cooke, Inc.................................. 58,000 1,080,250
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Castle (A.M.) & Co.................................... 9,700 $ 120,644
*CB Richard Ellis Services, Inc....................... 45,100 453,819
CBRL Group, Inc....................................... 182,600 2,641,994
Centex Corp........................................... 195,900 4,064,925
*Central Garden & Pet Co.............................. 59,300 676,391
Century Aluminum Co................................... 9,400 96,056
*Century Business Services, Inc....................... 80,200 209,272
*Champion Enterprises, Inc............................ 145,800 829,237
*Charming Shoppes, Inc................................ 166,200 981,619
*Checkpoint System, Inc............................... 94,800 752,475
Chemed Corp........................................... 9,000 272,812
Chemfirst, Inc........................................ 13,900 290,162
Chemical Financial Corp............................... 131 3,627
Chesapeake Corp....................................... 59,600 1,948,175
*Chesapeake Energy Corp............................... 44,000 253,000
Chiquita Brands International, Inc.................... 208,500 820,969
*Chris-Craft Industries, Inc.......................... 43,622 2,655,489
CICOR International, Inc.............................. 14,250 150,516
Circle International, Inc............................. 4,800 90,750
*Cirrus Logic, Inc.................................... 46,200 804,169
City Holding Co....................................... 21,400 212,662
CKE Restaurants, Inc.................................. 136,500 452,156
Cleveland Cliffs, Inc................................. 42,000 1,068,375
CNA Surety Corp....................................... 8,000 100,000
Coachmen Industries, Inc.............................. 47,300 564,644
Columbus McKinnon Corp................................ 20,200 279,012
*Comfort Systems USA, Inc............................. 108,600 658,387
Commerce Group, Inc................................... 62,800 1,703,450
Commercial Federal Corp............................... 178,000 2,836,875
Commercial Metals Co.................................. 46,800 1,231,425
Commonwealth Bancorp, Inc............................. 1,500 17,344
Commonwealth Industries, Inc.......................... 6,600 40,631
Community Trust Bancorp, Inc.......................... 6,050 87,536
*Compucom Systems, Inc................................ 98,600 237,256
Comsat Corp. Series 1................................. 54,500 1,335,250
Conseco, Inc.......................................... 100,000 625,000
*Consolidated Freightways Corp........................ 16,000 73,000
*Consolidated Graphics, Inc........................... 33,600 348,600
Consolidated Papers, Inc.............................. 16,800 627,900
*Consolidated Stores Corp............................. 258,500 3,360,500
Cooper Tire & Rubber Co............................... 298,300 3,598,244
*CoorsTek, Inc........................................ 13,175 424,894
Corn Products International, Inc...................... 129,640 3,184,282
Corus Bankshares, Inc................................. 36,600 908,137
*Covenant Transport, Inc. Class A..................... 19,300 198,428
*Coventry Health Care, Inc............................ 147,300 1,744,584
*Credit Acceptance Corp............................... 136,100 757,056
Crompton Corp......................................... 22,000 266,750
Cross Timbers Oil Co.................................. 18,700 379,844
Crown Cork & Seal Co., Inc............................ 347,500 5,950,937
*CSS Industries, Inc.................................. 21,600 432,000
Cummins Engine Co., Inc............................... 128,000 4,168,000
Curtiss-Wright Corp................................... 3,500 121,844
Dain Rauscher Corp.................................... 1,700 101,363
*Delphi Financial Group, Inc. Class A................. 40,745 1,364,957
Deltic Timber Corp.................................... 4,100 87,637
Detroit Diesel Corp................................... 72,100 1,135,575
Dexter Corp........................................... 27,800 1,202,350
Dillards, Inc. Class A................................ 336,914 5,032,653
Dime Bancorp, Inc..................................... 26,700 487,275
Dime Community Bancorp, Inc........................... 39,100 635,375
Dimon, Inc............................................ 53,800 121,050
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Discount Auto Parts, Inc............................. 36,700 $ 367,000
*Dollar Thrifty Automotive Group, Inc................. 64,100 1,153,800
Downey Financial Corp................................. 70,900 2,109,275
*Dress Barn, Inc...................................... 43,400 923,606
*Dura Automotive Systems, Inc......................... 48,150 573,286
*Dura Pharmaceuticals, Inc............................ 61,300 718,359
*DVI, Inc............................................. 44,100 633,937
Earthgrains Co........................................ 120,500 1,988,250
*Electro Rent Corp.................................... 13,600 147,900
*Electroglas, Inc..................................... 8,100 213,638
*Encompass Services Corp.............................. 196,000 1,151,500
Energen Corp.......................................... 23,000 508,875
Enhance Financial Services Group, Inc................. 121,100 1,665,125
*Enserch Exploration Corp............................. 54,933 281,532
*Esco Electronics Corp................................ 20,600 363,075
*Esterline Technologies Corp.......................... 51,500 701,687
Ethyl Corp............................................ 258,800 663,175
*Extended Stay America, Inc........................... 377,000 3,393,000
*Fairchild Corp. Class A.............................. 27,936 132,696
*Farm Family Holdings, Inc............................ 1,700 45,900
Farmer Brothers Co.................................... 1,500 251,250
FBL Financial Group, Inc. Class A..................... 88,000 1,287,000
Federal-Mogul Corp.................................... 271,300 2,696,044
Fidelity National Financial, Inc...................... 84,200 1,305,100
Financial Security Assurance Holdings, Ltd............ 26,100 1,960,762
*Finish Line, Inc. Class A............................ 64,700 448,856
Finova Group, Inc..................................... 196,400 2,344,525
First American Financial Corp......................... 204,300 3,396,487
First Charter Corp.................................... 45,000 718,594
First Citizens Bancshares, Inc. NC.................... 28,200 1,700,812
First Niagara Financial Group, Inc.................... 51,400 470,631
*First Republic Bank.................................. 12,100 204,187
First Sentinel Bancorp, Inc........................... 54,600 425,709
First Washington Bancorp, Inc......................... 15,270 220,938
*FirstFed Financial Corp. DE.......................... 58,600 787,437
*Fisher Scientific International, Inc................. 13,000 448,500
Flagstar Bancorp, Inc................................. 6,200 58,319
Fleetwood Enterprises, Inc............................ 104,000 1,482,000
Fleming Companies, Inc................................ 111,000 1,560,937
Florida East Coast Industries, Inc.................... 22,000 1,056,000
*FMC Corp............................................. 3,900 236,925
*Forest Oil Corp...................................... 6,400 102,000
Foster Wheeler Corp................................... 132,500 1,117,969
*Foundation Health Systems, Inc....................... 34,500 414,000
*Franklin Covey Co.................................... 6,500 50,375
Fremont General Corp.................................. 215,500 942,812
*Fritz Companies, Inc................................. 45,500 473,484
Frontier Insurance Group, Inc......................... 69,800 82,887
*FSI International, Inc............................... 2,100 30,253
GATX Corp............................................. 51,700 1,741,644
*GC Companies, Inc.................................... 6,900 182,419
Gencorp, Inc.......................................... 113,700 1,115,681
General Cable Corp.................................... 24,000 199,500
*General Communications, Inc. Class A................. 113,500 546,219
*Genlyte Group, Inc................................... 3,500 71,203
*Gentiva Health Services.............................. 29,375 256,113
Geon Co............................................... 32,400 696,600
Gerber Scientific, Inc................................ 14,300 171,600
Gibraltar Steel Corp.................................. 39,900 632,166
Glatfelter (P.H.) Co.................................. 130,600 1,542,712
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Glenayre Technologies, Inc........................... 75,800 $ 622,981
*Global Sources, Ltd.................................. 1,326 36,589
*Golden State Bancorp, Inc............................ 90,300 1,585,894
*Goodys Family Clothing............................... 61,100 334,141
*Grand Union Co....................................... 16,200 13,669
Granite Construction, Inc............................. 17,400 453,488
*Graphic Packaging International Corp................. 53,700 184,594
Great Atlantic & Pacific Tea Co., Inc................. 122,450 2,250,019
Greenpoint Financial Corp............................. 313,600 6,546,400
*Griffon Corp......................................... 92,500 560,781
*Group 1 Automotive, Inc.............................. 17,700 203,550
Guilford Mills, Inc................................... 45,350 297,609
*Hadco Corp........................................... 3,300 291,225
*Ha-Lo Industries, Inc................................ 52,700 293,144
Hancock Holding Co.................................... 3,600 114,300
*Handleman Co......................................... 40,700 396,825
*Hanger Orthopedic Group, Inc......................... 10,000 48,125
Harbor Florida Bancshares, Inc........................ 23,700 251,072
Harleysville Group, Inc............................... 105,700 1,790,294
Harris Corp........................................... 106,100 3,242,681
Hartford Life, Inc. Class A........................... 82,900 4,160,544
HCC Insurance Holdings, Inc........................... 24,100 411,206
*Healthsouth Corp..................................... 632,900 4,074,294
*Hearst-Argyle Television, Inc........................ 160,500 3,039,469
Heilig-Meyers Co...................................... 135,000 227,812
Heller Financial, Inc................................. 122,300 2,308,412
*Hexcel Corp.......................................... 39,400 305,350
Hollinger International, Inc. Class A................. 138,900 1,692,844
*Hollywood Entertainment Corp......................... 70,600 486,478
*Homebase, Inc........................................ 21,200 39,750
*Homestead Village, Inc............................... 61,300 249,031
Horton (D.R.), Inc.................................... 226,700 2,961,269
*Houston Exploration Co............................... 16,000 400,000
*HS Resources, Inc.................................... 29,400 986,737
Hughes Supply, Inc.................................... 73,700 1,400,300
*Humana, Inc.......................................... 525,500 2,955,937
Hunt (J.B.) Transport Services, Inc................... 100,300 1,620,472
*Hutchinson Technology, Inc........................... 99,100 1,167,522
*Hypercom Corp........................................ 43,800 547,500
IBP, Inc.............................................. 297,000 4,900,500
*IHOP Corp............................................ 18,500 326,062
Ikon Office Solutions, Inc............................ 469,200 2,346,000
*Imation Corp......................................... 56,600 1,602,487
IMC Global, Inc....................................... 354,500 5,450,437
IMCO Recycling, Inc................................... 26,600 177,887
Imperial Sugar Co..................................... 18,000 24,750
*Inacom Corp.......................................... 127,500 21,675
Independence Community Bank Corp...................... 224,400 3,001,350
*Information Resources, Inc........................... 63,800 317,006
Ingles Market, Inc. Class A........................... 31,300 309,087
*Ingram Micro, Inc.................................... 264,800 4,468,500
*Input/Output, Inc.................................... 169,200 1,332,450
*Insignia Financial Group, Inc........................ 59,700 675,356
*Integrated Device Technology, Inc.................... 29,700 1,412,606
*Integrated Electrical Services, Inc.................. 87,300 431,044
Interface, Inc. Class A............................... 116,800 511,000
*Intergraph Corp...................................... 84,300 471,553
*Interim Services, Inc................................ 195,400 3,932,425
Intermet Corp......................................... 52,100 359,002
International Multifoods Corp......................... 59,600 830,675
*International Rectifier Corp......................... 46,200 1,905,750
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*International Speciality Products, Inc............... 190,200 $ 1,034,212
Interpool, Inc........................................ 50,950 407,600
*Ionics, Inc.......................................... 41,200 1,184,500
*IT Group, Inc ....................................... 10,200 59,287
*JDA Software Group, Inc.............................. 9,400 145,994
Jefferies Group, Inc.................................. 17,600 355,300
*JLK Direct Distribution, Inc. Class A................ 8,500 58,969
Justin Industries, Inc................................ 44,900 782,944
*Kaiser Aluminum Corp................................. 259,700 1,152,419
Kaman Corp. Class A................................... 77,800 775,569
Kellwood Co........................................... 83,200 1,404,000
Kennametal, Inc....................................... 99,600 2,626,950
*Kent Electronics Corp................................ 13,900 385,725
*Key Energy Group, Inc................................ 134,000 1,457,250
*kforce.com, Inc...................................... 109,300 1,403,822
Kimball International, Inc. Class B................... 16,000 258,500
*Komag, Inc........................................... 18,500 38,734
*Kulicke & Soffa Industries, Inc...................... 2,600 130,975
Lafarge Corp.......................................... 217,800 5,553,900
*Lakes Gaming, Inc.................................... 7,550 62,052
*Lam Research Corp.................................... 7,000 225,094
Landamerica Financial Group, Inc...................... 47,100 868,406
Landrys Seafood Restaurants, Inc...................... 71,200 556,250
*Lanier Worldwide, Inc................................ 40,300 73,044
Lawson Products, Inc.................................. 6,000 143,812
Lennar Corp........................................... 123,000 2,321,625
*Liberty Corp......................................... 51,200 1,798,400
Liberty Financial Companies, Inc...................... 147,400 3,473,112
LNR Property Corp..................................... 74,600 1,445,375
*Loews Cineplex Entertainment Corp.................... 155,300 407,662
Lone Star Steakhouse Saloon........................... 104,600 1,108,106
Longs Drug Stores Corp................................ 62,800 1,267,775
Longview Fibre Co..................................... 74,200 890,400
*Louis Dreyfus Natural Gas Corp....................... 66,450 2,134,706
Louisiana-Pacific Corp................................ 325,100 3,657,375
LTV Corp.............................................. 333,400 875,175
Lubrizol Corp......................................... 32,500 751,562
Luby's Cafeterias, Inc................................ 64,400 567,525
Lyondell Chemical Co.................................. 326,400 5,446,800
M.A. Hanna Co......................................... 143,200 1,673,650
*Magellan Health Services, Inc........................ 41,995 89,239
*Magnetek, Inc........................................ 62,300 525,656
*Mail-Well, Inc....................................... 82,700 775,312
Mallinckrodt, Inc..................................... 48,600 1,406,362
*Mandalay Resort Group................................ 252,100 5,341,369
*Manor Care, Inc...................................... 219,700 1,551,631
Marcus Corp........................................... 54,600 597,187
*Marine Transport Corp................................ 20 52
Mark IV Industries, Inc............................... 63,600 1,351,500
*Maxxam, Inc.......................................... 14,900 379,950
McGrath Rent Corp..................................... 7,000 109,812
MDC Holdings, Inc..................................... 70,400 1,359,600
*Medical Assurance, Inc............................... 11,790 134,111
*MEMC Electronic Materials, Inc....................... 35,000 535,937
Metals USA, Inc....................................... 119,300 626,325
*Metromedia International Group, Inc.................. 135,000 582,188
Michael Foods, Inc.................................... 4,500 103,078
*Michaels Stores, Inc................................. 28,600 1,222,650
*Mid Atlantic Medical Services, Inc................... 25,300 313,088
Midland Co............................................ 7,600 191,900
Mikasa, Inc........................................... 19,000 182,875
Milacron, Inc......................................... 93,500 1,478,469
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Millennium Chemicals, Inc............................. 254,500 $ 4,899,125
Mine Safety Appliances Co............................. 21,000 488,250
*Mirage Resorts, Inc.................................. 50,000 1,046,875
Mississippi Chemical Corp............................. 55,100 320,269
*Modis Professional Services, Inc..................... 314,400 3,222,600
*Mony Group, Inc...................................... 125,800 4,662,463
*Moog, Inc. Class A................................... 20,600 440,325
*Moog, Inc. Class B................................... 1,000 40,563
*Morrison Knudsen Corp................................ 167,800 1,300,450
Movado Group, Inc..................................... 5,100 48,848
*MS Carriers, Inc..................................... 42,700 823,309
MTS Systems Corp...................................... 6,100 44,320
*N & F Worldwide Corp................................. 17,200 88,150
Nacco Industries, Inc. Class A........................ 22,500 849,375
National Presto Industries, Inc....................... 22,600 702,013
*National Processing, Inc............................. 15,500 181,156
National Steel Corp. Class B.......................... 76,775 403,069
*NationsRent, Inc..................................... 17,100 63,056
NCH Corp.............................................. 10,200 408,000
*NCI Building Systems, Inc............................ 42,400 723,450
*Network Equipment Technologies, Inc.................. 46,400 495,900
*New Century Financial Corp........................... 1,300 11,984
*Newpark Resources, Inc............................... 26,000 217,750
*Nortek, Inc.......................................... 36,400 780,325
North Fork Bancorporation, Inc........................ 31,700 525,031
*NS Group, Inc........................................ 38,600 706,863
*Nuevo Energy Co...................................... 36,100 697,181
*Oceaneering International, Inc....................... 14,260 278,070
OceanFirst Financial Corp............................. 25,600 436,800
*Ocwen Financial Corp................................. 196,900 1,132,175
*Officemax, Inc....................................... 487,700 2,651,869
*Offshore Logistics, Inc.............................. 72,700 1,020,072
Ogden Corp............................................ 158,600 1,367,925
Ohio Casualty Corp.................................... 186,300 2,229,778
Old Republic International Corp....................... 372,400 6,540,275
Olin Corp............................................. 7,300 114,063
Omnicare, Inc......................................... 294,400 4,857,600
*On Command Corp...................................... 14,100 230,888
*Orbital Sciences Corp................................ 29,900 366,275
Oregon Steel Mills, Inc............................... 44,700 97,781
Oshkosh Truck Corp. Class B........................... 5,150 157,558
Overseas Shipholding Group, Inc....................... 119,400 2,768,588
*Owens-Illinois, Inc.................................. 283,500 3,189,375
Pacific Century Financial Corp........................ 179,500 4,038,750
Park Electrochemical Corp............................. 18,700 468,669
*Parker Drilling Co................................... 257,900 1,563,519
*Patterson Energy, Inc................................ 5,300 128,028
*Paxar Corp........................................... 73,300 737,581
*Paxson Communications Corp........................... 18,600 144,150
Penn Virginia Corp.................................... 4,400 98,175
Penzoil Quaker State Co............................... 53,436 587,796
Pep Boys - Manny, Moe & Jack.......................... 175,700 1,251,863
*Perrigo Co........................................... 84,000 511,875
*Per-Se Technologies, Inc............................. 24,700 161,322
*Personnel Group of America, Inc...................... 55,300 221,200
*Petco Animal Supplies, Inc........................... 16,600 314,881
*PetSmart, Inc........................................ 115,700 345,292
PFF Bancorp, Inc...................................... 10,800 150,525
*Philadelphia Consolidated Holding Corp............... 600 10,144
Phillips-Van Heusen Corp.............................. 87,000 755,813
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Phoenix Investment Partners, Ltd...................... 107,400 $ 899,475
*Phycor, Inc.......................................... 128,900 62,436
*Pico Holdings, Inc................................... 4,200 45,281
*Picturetel Corp...................................... 69,100 212,698
Pier 1 Imports, Inc. DE............................... 24,000 204,000
Pilgrim Pride Corp.................................... 79,300 634,400
*Pinnacle Entertainment, Inc.......................... 19,400 369,813
*Pioneer Natural Resources Co......................... 241,500 3,607,406
Pioneer Standard Electronics, Inc..................... 55,300 661,872
PMI Group, Inc........................................ 19,450 987,088
*Policy Management Systems Corp....................... 81,100 826,206
Polymer Group, Inc.................................... 60,700 443,869
Pope & Talbot, Inc.................................... 2,400 44,550
Potlatch Corp......................................... 109,800 4,158,675
Precision Castparts Corp.............................. 65,100 3,173,625
*Premier Parks, Inc................................... 244,000 5,810,250
Presidential Life Corp................................ 95,100 1,399,753
*Price Communications Corp............................ 33,772 770,424
*Pride International, Inc............................. 55,600 1,414,325
*Primark Corp......................................... 62,300 1,619,800
*Prime Hospitality Corp............................... 161,900 1,396,388
*Procurenet, Inc...................................... 13,000 0
*Professionals Group, Inc............................. 6,300 104,541
*Protection One, Inc.................................. 228,300 428,063
*PSS World Medical, Inc............................... 10,400 87,750
*PTEK Holdings, Inc................................... 88,800 305,250
Pulte Corp............................................ 133,500 2,962,031
PXRE Group, Ltd....................................... 17,200 255,850
Quanex Corp........................................... 50,800 742,950
*Quest Diagnostics, Inc............................... 26,800 1,792,250
Questar Corp.......................................... 182,900 3,715,156
*Quorum Health Group, Inc............................. 219,300 2,121,042
Range Resources Corp.................................. 9,600 27,000
Rayonier, Inc......................................... 28,100 1,131,025
*Read-Rite Corp....................................... 68,000 133,875
*Reebok International, Ltd............................ 149,500 2,074,313
Reliance Group Holdings, Inc.......................... 433,400 1,002,238
*Renaissance Worldwide, Inc........................... 13,000 28,844
*Rent-Way, Inc........................................ 10,500 280,219
Resource America, Inc................................. 38,300 264,509
Resource Bancshares Mortgage Group, Inc............... 30,200 145,338
*Respironics, Inc..................................... 5,800 93,163
Riggs National Corp................................... 95,900 1,396,544
*Rite Aid Corp........................................ 180,900 1,254,994
RJ Reynolds Tobacco Holdings, Inc..................... 301,600 8,369,400
RLI Corp.............................................. 31,950 1,162,181
Roadway Express, Inc.................................. 5,500 118,078
Rock-Tenn Co. Class A................................. 70,500 674,156
Rollins Truck Leasing Corp............................ 162,810 1,536,519
Rouge Industries, Inc. Class A........................ 4,500 20,250
*RTI International Metals, Inc........................ 30,300 393,900
Russ Berrie & Co., Inc................................ 16,300 308,681
Russell Corp.......................................... 58,600 1,303,850
*Ryans Family Steak Houses, Inc....................... 92,500 838,281
Ryder System, Inc..................................... 233,500 4,480,281
Ryerson Tull, Inc..................................... 72,818 719,078
Ryland Group, Inc..................................... 51,000 1,131,563
*S3, Inc.............................................. 33,928 541,788
*Safety-Kleen Corp.................................... 220,500 137,813
*Saks, Inc............................................ 473,500 5,474,844
*Schein (Henry), Inc.................................. 80,900 1,428,391
</TABLE>
94
<PAGE>
THE U.S. 4-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Schulman (A.), Inc.................................... 94,000 $ 1,119,188
Schweitzer-Maudoit International, Inc................. 8,000 110,000
SCPIE Holdings, Inc................................... 33,900 824,194
Seaboard Corp......................................... 4,040 743,360
*Seacor Smit, Inc..................................... 32,900 2,109,713
*Seitel, Inc.......................................... 54,800 465,800
Selective Insurance Group, Inc........................ 94,300 1,747,497
*Sensormatic Electronics Corp......................... 103,000 1,615,813
*Sequa Corp. Class A.................................. 22,400 1,068,200
*Sequa Corp. Class B.................................. 3,100 178,250
Service Corp. International........................... 826,400 2,582,500
*Shiloh Industries, Inc............................... 7,300 74,825
*Shopko Stores, Inc................................... 94,900 1,743,788
*Sierra Health Services, Inc.......................... 42,600 178,388
*Silicon Graphics, Inc................................ 76,200 504,825
*Silicon Valley Group, Inc............................ 49,200 1,308,413
*Sinclair Broadcast Group, Inc. Class A............... 156,800 1,291,150
Skyline Corp.......................................... 18,400 379,500
SLI, Inc.............................................. 19,300 250,900
*Smart & Final Food, Inc.............................. 61,500 503,531
Smith (A.O.) Corp..................................... 49,550 1,040,550
Smith (A.O.) Corp. Convertible Class A................ 10,400 219,700
*Sola International, Inc.............................. 54,500 272,500
*Sonic Automotive, Inc................................ 73,700 718,575
South Financial Group, Inc............................ 78,100 981,131
South Jersey Industries, Inc.......................... 24,900 648,956
*Southern Pacific Funding Corp........................ 200 5
Southwestern Energy Co................................ 41,700 385,725
Sovereign Bancorp, Inc................................ 489,900 3,360,408
*SpeedFam-IPEC, Inc................................... 40,900 538,091
Spiegel, Inc. Class A Non-Voting...................... 2,000 15,281
Springs Industries, Inc. Class A...................... 31,900 1,515,250
*SPS Technologies, Inc................................ 9,900 347,738
*Staffmark, Inc....................................... 84,800 418,700
Standard Motor Products, Inc. Class A................. 17,300 167,594
Standard Pacific Corp. DE............................. 113,000 1,285,375
Standard Register Co.................................. 71,200 965,650
*STAR Telecommunications, Inc......................... 43,200 90,450
Starrett (L.S.) Co. Class A........................... 2,000 40,625
State Auto Financial Corp............................. 104,600 1,170,213
Staten Island Bancorp, Inc............................ 116,800 1,978,300
*Steelcase, Inc. Class A.............................. 69,800 855,050
Stepan Co............................................. 17,000 371,875
Stewart & Stevenson Services, Inc..................... 83,900 1,169,356
Stewart Enterprises, Inc.............................. 458,400 1,847,925
Stewart Information Services Corp..................... 6,300 79,538
Stone & Webster, Inc.................................. 31,000 30,031
*Stoneridge, Inc...................................... 36,600 411,750
Stride Rite Corp...................................... 111,300 730,406
*Sunbeam Corp......................................... 133,800 418,125
Sunoco, Inc........................................... 22,200 717,338
*Sunrise Assisted Living, Inc......................... 70,300 1,280,778
*Sunterra Corp........................................ 45,300 15,572
Supervalu, Inc........................................ 24,000 499,500
Susquehanna Bancshares, Inc........................... 10,000 136,563
*Swift Energy Corp.................................... 2,700 69,356
*Sybase, Inc.......................................... 35,800 681,319
*Sylvan Learning Systems, Inc......................... 16,800 190,050
*Systemax, Inc........................................ 95,100 647,869
*Tech Data Corp....................................... 64,500 2,424,797
Tecumseh Products Co. Class A......................... 55,600 2,510,688
Tecumseh Products Co. Class B......................... 17,100 738,506
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Tenneco Automotive, Inc............................... 44,600 $ 326,138
*Terex Corp........................................... 45,000 717,188
Terra Industries, Inc................................. 131,100 278,588
*Tesoro Petroleum Corp................................ 112,600 1,154,150
Texas Industries, Inc................................. 65,400 1,876,163
*Thermedics, Inc...................................... 54,372 458,764
*Thermo Ecotek Corp................................... 6,800 53,125
*Thermo Instrument Systems, Inc....................... 10,300 168,663
*Thermo-Electron Corp................................. 42,500 788,906
Thomas Industries, Inc................................ 2,600 52,000
Tidewater, Inc........................................ 81,200 3,156,650
Timken Co............................................. 235,600 4,446,950
Titan International, Inc.............................. 36,000 213,750
Titanium Metals Corp.................................. 54,500 238,438
*Toll Brothers, Inc................................... 83,500 1,617,813
Toro Co............................................... 14,200 447,300
*Total Renal Care Holdings, Inc....................... 178,900 704,419
*Tower Automotive, Inc................................ 146,600 2,034,075
Trenwick Group, Inc................................... 50,757 761,355
*Triad Hospitals, Inc................................. 2,000 42,875
*Trico Marine Services, Inc........................... 58,400 567,575
*Trigon Healthcare, Inc............................... 30,600 1,530,000
Trinity Industries, Inc............................... 142,700 3,148,319
*Triumph Group........................................ 9,900 277,200
Tucker Anthony Sutro Corp............................. 31,300 536,013
*Twinlab Corp......................................... 62,800 449,413
Tyson Foods, Inc. Class A............................. 20,900 206,388
U.S. Industries, Inc.................................. 213,000 2,875,500
*U.S. Office Products, Co............................. 5,500 5,586
*UICI................................................. 150,100 731,738
Ultramar Diamond Shamrock Corp........................ 181,400 4,705,063
*Ultratech Stepper, Inc............................... 26,800 376,875
UMB Financial Corp.................................... 51,360 1,897,110
*Unifi, Inc........................................... 199,200 2,539,800
Union Pacific Resources Group, Inc.................... 6,000 142,125
*Unit Corp............................................ 10,400 137,150
*United Auto Group, Inc............................... 27,800 248,463
United Community Financial Corp....................... 61,600 363,825
*United Companies Financial Corp...................... 15,500 543
*United Rentals, Inc.................................. 222,300 3,612,375
Universal Corporation................................. 80,500 1,866,594
Universal Forest Products, Inc........................ 26,000 342,063
*Universal Stainless & Alloy Products, Inc............ 3,000 20,625
*Unova, Inc........................................... 185,000 2,555,313
*URS Corp............................................. 27,200 357,000
*US Oncology, Inc..................................... 295,106 1,410,976
*Usec, Inc............................................ 113,000 522,625
USX-US Steel Group.................................... 298,700 6,739,419
*Vail Resorts, Inc.................................... 74,500 1,192,000
Valero Energy Corp.................................... 122,900 3,594,825
Valhi, Inc............................................ 119,000 1,271,813
*Value City Department Stores, Inc.................... 72,900 724,444
*Varco International, Inc............................. 27,400 595,950
*Venator Group, Inc................................... 206,600 2,233,863
*Veterinary Centers of America, Inc................... 59,400 807,469
Vintage Petroleum, Inc................................ 35,700 847,875
*Volt Information Sciences, Inc....................... 28,000 808,500
Wabash National Corp.................................. 79,900 1,023,719
*Wackenhut Corp. Class A.............................. 1,000 13,313
*Wackenhut Corp. Class B Non-Voting................... 1,000 8,250
Wallace Computer Services, Inc........................ 149,800 1,498,000
</TABLE>
95
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THE U.S. 4-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Walter Industries, Inc................................ 6,200 $ 67,038
Warnaco Group, Inc.................................... 164,200 1,108,350
*Waste Connections, Inc............................... 71,500 1,385,313
Watsco, Inc. Class A.................................. 64,250 951,703
Watts Industries, Inc. Class A........................ 58,000 659,750
*Webb (Del) Corp...................................... 61,100 931,775
*Weirton Steel Corp................................... 97,200 443,475
Weis Markets, Inc..................................... 3,100 101,525
Wellman, Inc.......................................... 80,000 1,575,000
Werner Enterprises, Inc............................... 111,700 1,399,741
Wesco Financial Corp.................................. 2,775 674,325
West Pharmaceutical Services, Inc..................... 7,700 180,950
Westcorp, Inc......................................... 71,700 779,738
*WFS Financial, Inc................................... 12,900 203,578
*Wisconsin Central Transportation Corp................ 151,200 1,975,050
*Wolverine Tube, Inc.................................. 5,900 97,350
Woodward Governor Co.................................. 28,800 702,900
Worthington Industries, Inc........................... 32,200 390,425
*Xtra Corp............................................ 37,200 1,676,325
*Yellow Corp.......................................... 82,300 1,350,234
York International Corp............................... 105,700 2,761,413
Zenith National Insurance Corp........................ 49,400 1,173,250
*Ziff-Davis, Inc...................................... 330,800 2,791,125
------------
TOTAL COMMON STOCKS
(Cost $725,728,754).................................. 678,060,923
------------
RIGHTS/WARRANTS -- (0.0%)
*Westcorp, Inc. Rights 06/15/00
(Cost $0)........................................... 71,700 15,684
------------
PREFERRED STOCKS -- (0.0%)
O'Sullivan Industries Holdings (Senior Preferred 12%)
(Cost $0)........................................... 8,100 4,091
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $12,176,515) to be
repurchased at $11,997,983.
(Cost $11,996,000).................................. $ 11,996 11,996,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $737,724,754)++................................ $690,076,698
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $737,926,424.
</TABLE>
See accompanying Notes to Financial Statements.
96
<PAGE>
THE U.S. 6-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.9%)
*3-D Systems Corp..................................... 130,700 $ 1,539,809
*3Dfx Interactive, Inc................................ 215,342 1,594,877
*800-Jr Cigar, Inc.................................... 1,000 10,031
*A Consulting Team, Inc............................... 4,400 28,875
*A.C. Moore Arts & Crafts, Inc........................ 68,800 396,675
AAR Corp.............................................. 521,850 7,240,669
ABC Bancorp........................................... 20,280 201,532
*ABC Rail Products Corp............................... 55,400 347,981
Abington Bancorp, Inc................................. 43,000 400,437
*Ablest, Inc.......................................... 16,800 82,950
Abrams Industries, Inc................................ 10,000 38,125
*Abraxas Petroleum Corp............................... 88,200 131,418
*Acceptance Insurance Companies, Inc.................. 278,100 1,425,262
*Access Worldwide Communications, Inc................. 13,200 17,737
Aceto Corp............................................ 87,326 933,297
*Acme Electric Corp................................... 56,300 466,234
*Acme United Corp..................................... 8,700 20,662
*Acorn Products, Inc.................................. 16,000 25,000
*ACT Networks, Inc.................................... 156,700 1,826,534
*Actionpoint, Inc..................................... 86,400 858,600
*Acuson Corp.......................................... 4,400 53,900
Adams Resources & Energy, Inc......................... 6,600 109,312
*Adaptive Broadband Corp.............................. 164,300 4,348,816
*ADE Corp............................................. 141,900 2,172,844
*Adept Technology, Inc................................ 143,600 3,006,625
*Advance Lighting Technologies, Inc................... 90,500 947,422
*Advanced Aerodynamics & Structures, Inc.............. 5,000 17,578
*Advanced Digital Information Corp.................... 13,000 164,531
*Advanced Magnetics, Inc.............................. 88,400 596,700
Advanced Marketing Services, Inc...................... 130,875 2,417,098
*Advanced Neuromodulation Systems, Inc................ 80,160 981,960
Advanta Corp. Class A................................. 129,413 2,179,800
Advanta Corp. Class B Non-Voting...................... 299,125 3,617,543
Advest Group, Inc..................................... 101,900 1,948,837
*Aehr Test Systems.................................... 81,400 483,312
*AEP Industries, Inc.................................. 67,950 1,123,298
*Aerovox, Inc......................................... 75,400 242,694
*Aetrium, Inc......................................... 7,200 38,925
*Aftermarket Technology Corp.......................... 43,300 255,741
*AG Services America, Inc............................. 2,900 47,306
Agco Corp............................................. 770,100 9,626,250
*Agribiotech, Inc..................................... 112,300 3,650
*Agribrands International, Inc........................ 49,500 2,051,156
*AHT Corp............................................. 163,900 194,631
*Air Methods Corp..................................... 97,800 342,300
*Airgas, Inc.......................................... 868,300 4,667,112
*Airnet Systems, Inc.................................. 155,900 696,678
*Airtran Holdings, Inc................................ 900 3,698
AK Steel Holding Corp................................. 169,241 1,639,522
Alamo Group, Inc...................................... 104,300 1,245,081
*Albany International Corp. Class A................... 14,820 212,111
*Aldila, Inc.......................................... 178,100 286,630
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Alfa Corp............................................. 82,800 $ 1,410,187
Alico, Inc............................................ 81,000 1,245,375
*Align-Rite International, Inc........................ 56,400 1,163,250
*All American Semiconductor, Inc...................... 7,860 81,547
Allen Organ Co. Class B............................... 5,000 321,562
*Allen Telecom, Inc................................... 302,600 4,841,600
Alliance Bancorp...................................... 136,320 2,406,900
*Alliance Semiconductor Corp.......................... 370,900 9,179,775
*Allied Healthcare Products, Inc...................... 130,000 430,625
*Allied Holdings, Inc................................. 105,900 675,112
Allied Products Corp.................................. 203,741 267,410
*Allied Research Corp................................. 64,400 499,100
*Allin Communications Corp............................ 90,000 213,750
*Allou Health & Beauty Care, Inc. Class A............. 76,700 527,312
*Allstars Systems, Inc................................ 68,500 154,125
*Almost Family, Inc................................... 13,700 34,678
*Alpha Technologies Group, Inc........................ 74,400 648,675
*Alphanet Solutions, Inc.............................. 78,000 360,750
*Alternative Resources Corp........................... 63,000 88,594
*Alterra Healthcare Corp.............................. 489,200 947,825
Ambanc Holding Co., Inc............................... 64,600 934,681
*Ambassadors, Inc..................................... 149,900 2,037,703
Amcast Industrial Corp................................ 151,000 1,302,375
*Amerco, Inc.......................................... 101,900 1,786,434
*America West Holdings Corp. Class B.................. 308,500 5,495,156
American Annuity Group, Inc........................... 11,600 197,925
American Bank of Connecticut.......................... 46,600 914,525
American Biltrite, Inc................................ 44,400 585,525
*American Coin Merchandising, Inc..................... 64,200 168,525
*American Ecology Corp................................ 50,000 171,875
*American Freightways Corp............................ 630,100 9,392,428
*American Healthcorp, Inc............................. 30,100 120,400
*American Homepatient, Inc............................ 164,016 54,125
*American Homestar Corp............................... 100,600 99,028
*American Indemnity Financial Escrow.................. 14,200 14,200
*American Medical Electronics, Inc. (Escrow-Bonus).... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 20,800 0
*American Medical Security Group, Inc................. 314,400 2,063,250
*American Pacific Corp................................ 100,000 596,875
*American Physicians Services Group, Inc.............. 48,100 148,058
*American Retirement Corp............................. 26,900 147,950
*American Skiing Co................................... 93,100 162,925
*American Software, Inc. Class A...................... 173,800 687,053
*American Technical Ceramics Corp..................... 86,400 2,959,200
American Vanguard Corp................................ 7,744 60,984
American Woodmark Corp................................ 35,010 661,908
Americana Bancorp, Inc................................ 28,430 326,945
*Amerihost Properties, Inc............................ 70,000 242,812
*Ameripath, Inc....................................... 267,500 2,294,648
*Ameristar Casinos, Inc............................... 186,900 741,759
Ameron, Inc........................................... 51,800 1,903,650
</TABLE>
97
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Amerus Life Holdings, Inc. Class A.................... 93,385 $ 1,861,863
*Ames Department Stores, Inc.......................... 161,500 1,912,766
*AMF Bowling, Inc..................................... 130,800 122,625
*Amistar Corp......................................... 42,300 94,514
Ampco-Pittsburgh Corp................................. 207,200 2,292,150
Amplicon, Inc......................................... 16,800 166,950
*Amrep Corp........................................... 104,992 682,448
*Amresco, Inc......................................... 683,500 395,148
*Amtran, Inc.......................................... 156,600 2,216,869
Amwest Insurance Group, Inc........................... 67,290 328,039
*Anadigics, Inc....................................... 31,000 1,076,281
Analogic Corp......................................... 79,200 2,856,150
*Analytical Surveys, Inc.............................. 9,100 31,566
Anchor Bancorp Wisconsin, Inc......................... 57,312 886,545
Andersons, Inc........................................ 71,000 625,687
Andover Bancorp, Inc.................................. 71,825 2,087,414
*Angeion Corp......................................... 6,300 8,662
Angelica Corp......................................... 179,600 1,212,300
*Anicom, Inc.......................................... 296,700 1,469,592
*Ann Taylor Stores Corp............................... 155,900 4,053,400
Apogee Enterprises, Inc............................... 631,500 2,565,469
*Applica, Inc......................................... 233,100 3,438,225
*Applied Extrusion Technologies, Inc.................. 214,000 1,257,250
*Applied Films Corp................................... 37,500 862,500
*Applied Graphics Technologies, Inc................... 249,200 864,412
Applied Industrial Technologies, Inc.................. 470,000 8,195,625
*Applied Microsystems Corp............................ 104,000 578,500
Applied Signal Technologies, Inc...................... 91,300 924,412
*Apria Healthcare Group, Inc.......................... 4,900 70,437
*Aquila Biopharmaceuticals, Inc....................... 89,900 210,703
*Arch Capital Group, Ltd.............................. 35,400 534,319
Arch Chemicals, Inc................................... 72,200 1,245,450
Arch Coal, Inc........................................ 470,900 3,531,750
*Arch Communications Group, Inc....................... 95,800 481,994
Arctic Cat, Inc....................................... 232,000 2,501,250
Argonaut Group, Inc................................... 145,900 2,635,319
*Argosy Gaming Corp................................... 156,200 2,469,912
*Ark Restaurants Corp................................. 14,900 116,872
*Arkansas Best Corp................................... 220,900 2,443,706
Armstrong Holdings, Inc............................... 14,500 249,219
Arnold Industries, Inc................................ 252,800 2,899,300
*Arqule, Inc.......................................... 112,100 770,687
Arrow Financial Corp.................................. 7,555 113,325
*ARV Assisted Living, Inc............................. 227,900 220,778
Arvin Industries, Inc................................. 94,200 1,695,600
*Asante Technologies, Inc............................. 94,200 138,356
ASB Financial Corp.................................... 14,700 129,084
*Ascent Assurance, Inc................................ 222 368
*Asche Transportation Services, Inc................... 55,600 100,775
*Ashworth, Inc........................................ 232,000 993,250
*Aspect Communications Corp........................... 42,600 1,705,331
*Astea International, Inc............................. 24,400 53,756
Astro-Med, Inc........................................ 56,475 331,791
*Astronics Corp....................................... 22,687 198,511
*Asyst Technologies, Inc.............................. 177,000 7,118,719
*Atchison Casting Corp................................ 159,700 1,127,881
*Athey Products Corp.................................. 17,140 36,422
*Atlanta Sosnoff Capital Corp......................... 66,100 636,212
*Atlantic American Corp............................... 41,900 130,937
*Atlantis Plastics, Inc............................... 60,000 420,000
*Atrion Corp.......................................... 37,750 448,281
*Audiovox Corp. Class A............................... 177,900 3,363,422
<CAPTION>
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*Ault, Inc............................................ 96,700 $ 565,091
*Aurora Foods, Inc.................................... 445,600 1,587,450
*Auspex Systems, Inc.................................. 299,100 1,430,072
*Autologic Information International, Inc............. 7,100 19,303
Avado Brands, Inc..................................... 221,400 314,803
*Avalon Holding Corp. Class A......................... 25,112 98,878
*Avatar Holdings, Inc................................. 53,300 1,054,341
*Aviall, Inc.......................................... 169,000 908,375
*Aviation Sales Co.................................... 146,600 980,387
*Avid Technology, Inc................................. 204,100 2,053,756
*Avis Group Holdings, Inc............................. 399,700 7,694,225
Avnet, Inc............................................ 17,748 1,227,940
*Avteam, Inc. Class A................................. 175,500 348,258
*Axsys Technologies, Inc.............................. 57,500 844,531
*Aztar Corp........................................... 669,600 8,537,400
Aztec Manufacturing Co................................ 2,500 40,000
Badger Meter, Inc..................................... 21,200 673,100
*Badger Paper Mills, Inc.............................. 10,400 45,175
Bairnco Corp.......................................... 116,700 838,781
Baker (J.), Inc....................................... 188,518 1,201,802
*Baker (Michael) Corp................................. 78,800 512,200
Baldwin & Lyons, Inc. Class B......................... 12,000 217,500
*Baldwin Piano & Organ Co............................. 73,600 446,200
*Baldwin Technology, Inc. Class A..................... 219,700 466,862
*Baltek Corp.......................................... 5,100 37,931
*Bancinsurance Corp................................... 60,270 248,614
Bancorp Connecticut, Inc.............................. 47,400 696,187
Bandag, Inc........................................... 139,400 3,458,862
Bandag, Inc. Class A.................................. 183,700 4,179,175
*Bank Plus Corp....................................... 248,100 690,028
*Bank United Financial Corp. Class A.................. 288,600 1,857,862
Bank West Financial Corp.............................. 2,100 13,519
BankAtlantic Bancorp, Inc. Class A.................... 168,883 643,866
BankAtlantic Bancorp, Inc. Class B.................... 226,402 1,294,736
*Banknorth Group, Inc................................. 194,709 2,719,841
Banta Corp............................................ 4,000 74,000
Barnes Group, Inc..................................... 20,000 333,750
*Barrett Business Services, Inc....................... 56,000 311,500
*Barringer Technologies, Inc.......................... 99,400 611,931
*Barry (R.G.) Corp.................................... 145,300 499,469
*Basin Exploration, Inc............................... 164,300 2,731,487
Bassett Furniture Industries, Inc..................... 174,450 2,131,561
*Battle Mountain Gold Co.............................. 931,600 1,804,975
Bay View Capital Corp................................. 351,442 3,558,350
*Baycorp Holdings, Ltd................................ 44,000 357,500
*Bayou Steel Corp. Class A............................ 165,500 372,375
*BCT International, Inc............................... 11,100 14,569
*Be Aerospace, Inc.................................... 22,800 157,462
*Beard Co............................................. 30,000 54,375
*Beazer Homes USA, Inc................................ 126,000 2,315,250
*BEI Electronics, Inc................................. 86,000 114,219
BEI Technologies, Inc................................. 83,800 1,487,450
*Bel Fuse, Inc. Class A............................... 32,500 591,094
Bel Fuse, Inc. Class B................................ 86,700 1,557,891
*Belco Oil & Gas Corp................................. 179,000 1,398,437
Bell Industries, Inc.................................. 148,522 389,870
*Bell Microproducts, Inc.............................. 138,400 1,790,550
*Bellwether Exploration Co............................ 165,100 1,405,930
*Benchmark Electronics, Inc........................... 153,400 5,215,600
*Benton Oil & Gas Co.................................. 330,100 907,775
Bergen Brunswig Corp. Class A......................... 491,800 2,551,212
</TABLE>
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Berkley (W.R.) Corp................................... 173,400 $ 3,820,219
*Berlitz International, Inc........................... 207,100 2,303,987
*Bethlehem Steel Corp................................. 579,600 2,245,950
*Beverly Enterprises.................................. 1,852,000 5,556,000
*BF Enterprises, Inc.................................. 2,300 18,112
BHA Group Holdings, Inc. Class A...................... 19,200 194,400
*BI, Inc.............................................. 111,300 591,281
*Big 4 Ranch, Inc..................................... 73,300 0
Bindley Western Industries, Inc....................... 210,454 4,011,779
*Bio Vascular, Inc.................................... 90,900 264,178
*Bioanalytical Systems, Inc........................... 6,200 16,275
*Bionx Implants, Inc.................................. 175,000 382,812
*Bio-Rad Laboratories, Inc. Class A................... 108,800 2,522,800
*BioReliance Corp..................................... 54,200 272,694
*Biosite Diagnostics, Inc............................. 54,700 1,235,878
*Biosource International, Inc......................... 135,500 923,094
Birmingham Steel Corp................................. 509,300 1,973,537
*Black Hawk Gaming & Development, Inc................. 47,000 321,656
Blair Corp............................................ 134,500 2,589,125
Blimpie International................................. 28,000 45,500
Block Drug Co., Inc. Class A.......................... 43,988 1,217,918
*Blonder Tongue Laboratories, Inc..................... 4,600 31,625
*Bluegreen Corp....................................... 343,498 1,073,431
BMC Industries, Inc................................... 463,500 1,767,094
Bob Evans Farms, Inc.................................. 233,000 3,160,062
*Boca Research, Inc................................... 98,700 536,681
*Boca Resorts, Inc.................................... 549,800 4,742,025
*Bogen Communications International, Inc.............. 5,000 31,094
*Bolt Technology Corp................................. 4,400 19,800
*Bombay Co., Inc...................................... 689,500 2,197,781
*Bon-Ton Stores, Inc.................................. 220,300 492,233
*Books-a-Million, Inc................................. 260,300 886,647
*Boron, Lepore and Associates, Inc.................... 220,600 1,688,969
*Boston Biomedical, Inc............................... 53,000 193,781
*Boston Communications Group, Inc..................... 140,800 1,447,600
Bostonfed Bancorp, Inc................................ 55,460 727,912
Bowl America, Inc. Class A............................ 49,000 379,750
Bowne & Co., Inc...................................... 570,532 5,740,978
*Boyd Gaming Corp..................................... 497,000 2,453,937
*Brass Eagle, Inc..................................... 134,300 654,712
*Brauns Fashions Corp................................. 3,600 80,100
*Bridgestreet Accomodations, Inc...................... 40,600 111,650
*Brigham Exploration Co............................... 46,700 122,587
*BrightStar Information Technology Group, Inc......... 27,600 106,950
*Brookdale Living Communities......................... 5,000 68,125
Brookline Bancorp, Inc................................ 37,900 370,709
*Brooks Automation, Inc............................... 70,300 2,803,212
*Brookstone, Inc...................................... 111,300 1,579,069
*Brown & Sharpe Manufacturing Co. Class A............. 230,275 518,119
*Brown (Tom), Inc..................................... 355,600 7,756,525
Brown Shoe Company, Inc............................... 335,000 3,999,062
*Brunswick Technologies, Inc.......................... 78,700 691,084
Brush Wellman, Inc.................................... 204,900 3,572,944
BSB Bancorp, Inc...................................... 118,831 2,268,929
BT Financial Corp..................................... 39,925 691,202
*BTG, Inc............................................. 33,000 268,125
*BTU International, Inc............................... 85,300 738,378
*Buckhead America Corp................................ 15,700 79,481
<CAPTION>
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*Budget Group, Inc.................................... 727,200 $ 2,772,450
*Buffets, Inc......................................... 463,800 5,377,181
*Builders Transport, Inc.............................. 39,100 2,150
*Building Materials Holding Corp...................... 222,300 2,063,222
*Bull Run Corp. GA.................................... 50,400 144,112
Burlington Coat Factory Warehouse Corp................ 514,040 6,521,882
*Burlington Industries, Inc........................... 1,155,800 3,828,587
Bush Industries, Inc. Class A......................... 43,900 749,044
*Business Resource Group.............................. 57,200 355,712
*Butler International, Inc............................ 34,800 284,925
Butler Manufacturing Co............................... 96,500 2,153,156
*BWAY Corp............................................ 153,400 1,102,562
*C.P. Clare Corp...................................... 186,200 1,221,937
Cadmus Communications Corp............................ 130,700 1,135,456
Calgon Carbon Corp.................................... 552,400 3,625,125
*Caliber Learning Network, Inc........................ 267,100 726,178
*California Coastal Communities, Inc.................. 45,100 257,916
*California Micro Devices Corp........................ 2,400 33,975
*Callon Petroleum Co.................................. 52,100 794,525
Cal-Maine Foods, Inc.................................. 102,700 343,403
Camco Financial Corp.................................. 8,183 73,647
*Cameron Ashley Building Products, Inc................ 158,800 2,868,325
Cameron Financial Corp................................ 32,700 385,247
*Canisco Resources, Inc............................... 5,700 3,078
*Cannon Express, Inc. Class A......................... 6,900 13,369
*Cannondale Corp...................................... 125,600 902,750
*Canterbury Information Technology, Inc............... 900 2,391
*Capital Corp. of the West............................ 2,800 27,475
*Capital Crossing Bank................................ 21,800 223,450
*Capital Pacific Holdings, Inc........................ 190,900 524,975
*Capital Senior Living Corp........................... 351,900 835,762
*Capital Trust, Inc................................... 105,400 408,425
Capitol Bancorp, Ltd.................................. 41,672 468,810
Capitol Transamerica Corp............................. 117,000 1,316,250
Caraustar Industries, Inc............................. 42,500 702,578
*Carbide/Graphite Group, Inc.......................... 159,200 681,575
*Cardiac Pathways Corp................................ 3,000 11,812
*Caredata.com, Inc.................................... 71,200 284,800
*Career Blazers, Inc. Trust Units..................... 9,540 0
*Carematrix, Inc...................................... 167,800 123,228
*Caribiner International, Inc......................... 514,200 385,650
*Carlyle Industries, Inc.............................. 29,312 15,572
*Carmike Cinemas, Inc. Class A........................ 187,300 995,031
Carpenter Technology Corp............................. 481,300 9,956,894
*Carriage Services, Inc. Class A...................... 224,500 645,437
*Carrington Laboratories, Inc......................... 105,100 233,191
*Carson, Inc.......................................... 156,900 637,406
Carter-Wallace, Inc................................... 302,700 6,054,000
Cascade Corp.......................................... 138,150 1,554,187
*Casella Waste Systems, Inc. Class A.................. 17,700 230,100
Casey's General Stores, Inc........................... 61,100 721,744
Cash America International, Inc....................... 319,300 3,272,825
*Casino Data Systems.................................. 231,800 1,024,991
*Castle & Cooke, Inc.................................. 340,300 6,338,087
Castle (A.M.) & Co.................................... 136,480 1,697,470
*Castle Dental Centers, Inc........................... 48,900 119,194
Castle Energy Corp.................................... 147,700 893,123
*Catalina Lighting, Inc............................... 108,000 432,000
Cato Corp. Class A.................................... 371,700 4,611,403
</TABLE>
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Cavalier Homes, Inc................................... 352,281 $ 528,421
*CB Richard Ellis Services, Inc....................... 291,700 2,935,231
CBRL Group, Inc....................................... 69,300 1,002,684
*CCA Industries, Inc.................................. 40,800 42,075
CCBT Financial Companies, Inc......................... 22,400 329,700
*Celadon Group, Inc................................... 107,100 1,449,197
*Celebrity, Inc....................................... 26,325 59,643
*Celeris Corporation.................................. 56,333 155,796
*Celeritek, Inc....................................... 45,900 2,207,503
Cenit Bancorp, Inc.................................... 54,900 610,762
*Centigram Communications Corp........................ 86,800 1,630,212
Central Bancorp, Inc.................................. 24,900 405,403
*Central Garden & Pet Co.............................. 375,400 4,281,906
Century Aluminum Co................................... 336,300 3,436,566
*Century Business Services, Inc....................... 100,000 260,937
*Ceradyne, Inc........................................ 95,000 783,750
*Ceres Group, Inc..................................... 6,600 39,187
*Cerprobe Corp........................................ 48,800 603,900
*CFM Technologies, Inc................................ 108,300 846,094
*Champion Enterprises, Inc............................ 571,100 3,248,131
Champion Industries, Inc.............................. 32,400 92,137
*Champps Entertainment, Inc........................... 130,800 510,937
*Charming Shoppes, Inc................................ 1,792,900 10,589,316
*Chart House Enterprises, Inc......................... 170,400 905,250
*Chase Industries, Inc................................ 121,850 1,127,112
*Check Technology Corp................................ 70,700 360,128
*Checkers Drive-In Restaurant, Inc.................... 15,521 33,225
*Checkpoint System, Inc............................... 426,700 3,386,931
Chemed Corp........................................... 109,500 3,319,219
*Chemfab Corp......................................... 16,050 160,500
Chemfirst, Inc........................................ 76,600 1,599,025
*Cherry Corp.......................................... 81,200 1,634,150
Chesapeake Corp....................................... 126,600 4,138,237
*Chesapeake Energy Corp............................... 1,312,800 7,548,600
Chester Valley Bancorp................................ 1,311 23,557
Chicago Rivet & Machine Co............................ 11,800 262,550
*Children's Comprehensive Services, Inc............... 162,300 365,175
*Childtime Learning Centers, Inc...................... 43,500 293,625
Chiquita Brands International, Inc.................... 1,342,531 5,286,216
*Cholestech Corp...................................... 17,700 132,750
*Chromcraft Revington, Inc............................ 17,700 196,912
*Chronimed, Inc....................................... 37,400 245,437
*CHS Electronics, Inc................................. 624,200 7,802
*Chyron Corp.......................................... 122,000 305,000
CICOR International, Inc.............................. 143,700 1,517,831
*CIDCO, Inc........................................... 233,100 713,869
*Ciprico, Inc......................................... 59,500 643,344
Circle International, Inc............................. 30,300 572,859
*Circuit City Stores, Inc. (Carmax Group)............. 540,300 1,452,056
*Circuit Systems, Inc................................. 53,000 50,516
*Cirrus Logic, Inc.................................... 283,800 4,939,894
*Citadel Holding Corp. Class A........................ 58,640 183,250
*Citation Computer System, Inc........................ 11,200 40,425
*Citation Holding Corp. Class B....................... 14,660 45,812
Citizens Banking Corp................................. 48,750 888,164
*Citizens, Inc. Class A............................... 76,719 469,904
City Holding Co....................................... 3,500 34,781
*Civic Bancorp........................................ 41,557 583,097
CKE Restaurants, Inc.................................. 985,200 3,263,475
*Clean Harbors, Inc................................... 150,500 277,484
<CAPTION>
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Cleveland Cliffs, Inc................................. 174,400 $ 4,436,300
*Clintrials Research, Inc............................. 332,900 1,076,723
CNA Surety Corp....................................... 64,500 806,250
*CNS, Inc............................................. 235,700 942,800
Coachmen Industries, Inc.............................. 240,400 2,869,775
*Coast Dental Services, Inc........................... 145,600 298,025
*Coast Distribution System............................ 90,200 191,675
Coastal Bancorp, Inc.................................. 116,900 1,760,806
*Coastcast Corp....................................... 106,000 2,027,250
*Cobra Electronic Corp................................ 78,900 433,950
*Coeur d'Alene Mines Corp. ID......................... 338,200 824,362
*Coherent, Inc........................................ 12,900 726,431
*Cohesion Technologies, Inc........................... 117,300 1,238,981
*Coinmach Laundry Corp................................ 189,300 2,561,466
Cold Metal Products, Inc.............................. 70,400 264,000
Cole National Corp. Class A........................... 190,300 1,201,269
Collins Industries, Inc............................... 28,200 133,950
*Columbia Banking System, Inc......................... 60,056 654,986
*Columbus Energy Corp................................. 50,932 356,524
Columbus McKinnon Corp................................ 27,000 372,937
*Comdial Corp......................................... 122,600 1,120,641
*Comforce Corp........................................ 64,700 129,400
*Comfort Systems USA, Inc............................. 279,900 1,696,894
*Command Systems, Inc................................. 24,400 44,987
Commercial Bancshares, Inc............................ 27,834 492,314
Commercial Bank of New York........................... 26,400 313,500
Commercial Metals Co.................................. 209,833 5,521,231
Commercial National Financial Corp.................... 15,000 242,812
Commonwealth Bancorp, Inc............................. 167,300 1,934,406
Commonwealth Industries, Inc.......................... 378,000 2,327,062
Communications Systems, Inc........................... 6,400 87,600
Community Bank System, Inc............................ 58,000 1,319,500
Community Financial Corp.............................. 13,500 151,031
Community Financial Group, Inc........................ 12,800 168,000
Community First Brokerage Co.......................... 12,400 208,475
Community Savings Bankshares, Inc..................... 34,800 367,575
Community Trust Bancorp, Inc.......................... 53,797 778,375
*Compucom Systems, Inc................................ 660,900 1,590,291
*Computer Learning Centers, Inc....................... 43,300 41,947
*Computer Motion, Inc................................. 38,300 293,234
*Computer Network Technology Corp..................... 135,450 1,688,892
*Computer Outsourcing Services, Inc................... 25,800 390,225
*Comshare, Inc........................................ 104,250 397,453
*Comstock Resources, Inc.............................. 424,000 3,180,000
*Comtech Telecommunications Corp...................... 22,750 287,930
*Concord Camera Corp.................................. 139,400 2,365,444
*Condor Technology Solutions, Inc..................... 67,100 28,308
*Cone Mills Corp. NC.................................. 555,000 3,191,250
*Congoleum Corp. Class A.............................. 97,400 304,375
*Conmed Corp.......................................... 122,961 2,962,592
*Consolidated Freightways Corp........................ 411,500 1,877,469
*Consolidated Graphics, Inc........................... 77,300 801,987
*Continental Materials Corp........................... 4,600 79,637
*Cooker Restaurant Corp............................... 135,000 320,625
Cooperative Bankshares, Inc........................... 20,800 202,800
*CoorsTek, Inc........................................ 78,500 2,531,625
*Copart, Inc.......................................... 292,400 5,162,687
*Core Materials Corp.................................. 500 781
*Core, Inc............................................ 7,400 42,550
*Cornell Corrections, Inc............................. 140,700 1,020,075
*Correctional Services Corp........................... 38,200 168,319
*Corrpro Companies, Inc............................... 123,575 463,406
</TABLE>
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<TABLE>
<CAPTION>
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*Corsair Communications, Inc.......................... 14,000 $ 315,875
Corus Bankshares, Inc................................. 30,700 761,744
*Cost-U-Less, Inc..................................... 35,000 57,969
*Cotelligent Group, Inc............................... 79,400 362,262
Cotton States Life Insurance Co....................... 8,300 68,475
Counsel Corp.......................................... 2,000 4,875
Courier Corp.......................................... 23,400 605,475
*Covenant Transport, Inc. Class A..................... 237,100 2,437,684
*Coventry Health Care, Inc............................ 261,600 3,098,325
*Cover-All Technologies, Inc.......................... 31,901 21,932
Covest Bancshares, Inc................................ 48,825 508,085
CPAC, Inc............................................. 84,800 583,000
CPB, Inc.............................................. 107,000 2,514,500
CPI Corp.............................................. 86,400 1,927,800
*Craig (Jenny), Inc................................... 247,800 356,212
*Craig Corp........................................... 50,800 206,375
*Creative Computers, Inc.............................. 54,400 251,600
*Credit Acceptance Corp............................... 735,300 4,090,106
*Creditrust Corp...................................... 15,500 7,992
*Criticare Systems, Inc............................... 91,000 199,062
*Cross (A.T.) Co. Class A............................. 233,700 1,431,412
Cross Timbers Oil Co.................................. 54,600 1,109,062
*Crossman Communities, Inc............................ 15,500 274,641
*Crown Central Petroleum Corp. Class A................ 79,000 715,937
*Crown Central Petroleum Corp. Class B................ 68,700 622,594
Crown Crafts, Inc..................................... 170,700 245,381
*Crown Group, Inc..................................... 4,100 21,012
*Crown Vantage, Inc................................... 128,820 30,192
*Crown-Andersen, Inc.................................. 22,900 105,912
*CSP, Inc............................................. 38,865 241,692
*CSS Industries, Inc.................................. 186,500 3,730,000
*CTB International Corp............................... 65,300 425,470
Cubic Corp............................................ 110,750 2,215,000
Culp, Inc............................................. 190,418 1,202,014
*Curative Health Services, Inc........................ 79,400 428,016
Curtiss-Wright Corp................................... 94,900 3,303,706
*Cyberoptics Corp..................................... 48,300 1,800,684
*Cybex International, Inc............................. 107,500 288,906
*Cylink Corp.......................................... 72,200 997,262
*Cyrk, Inc............................................ 355,800 2,045,850
*Cytrx Corp........................................... 14,600 15,969
*D A Consulting Group, Inc............................ 119,200 262,612
Dain Rauscher Corp.................................... 84,700 5,050,237
*Dairy Mart Convenience Stores, Inc................... 9,000 38,250
*Damark International, Inc. Class A................... 89,800 1,692,169
*Dan River, Inc. (GA) Class A......................... 452,200 2,261,000
*Danielson Holding Corp............................... 32,400 153,900
*Darling International, Inc........................... 12,000 14,250
*Data I/O Corp........................................ 90,600 339,750
*Data Race, Inc....................................... 5,100 22,472
Data Research Association, Inc........................ 15,300 78,891
*Data Systems & Software, Inc......................... 91,900 413,550
*Datakey, Inc......................................... 18,000 76,500
*Dataram Corp......................................... 43,480 774,487
*DataTRAK International, Inc.......................... 59,200 321,900
*Dataware Technologies, Inc........................... 72,400 192,312
*Datron Systems, Inc.................................. 43,700 506,647
*Datum, Inc........................................... 88,400 1,375,725
*Dave and Busters, Inc................................ 68,040 467,775
*Davel Communications, Inc............................ 21,385 37,090
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Dawson Geophysical Co................................ 68,900 $ 669,622
*Daxor Corp........................................... 52,000 637,000
*Dayton Superior Corp. Class A........................ 6,000 153,000
Deb Shops, Inc........................................ 97,000 1,203,406
*Deckers Outdoor Corp................................. 117,000 394,875
*Decora Industries, Inc............................... 9,900 9,745
Decorator Industries, Inc............................. 24,232 118,131
*DeGeorge Financial Corp.............................. 19,900 348
*Del Global Technologies Corp......................... 177,800 1,489,075
*Delia's, Inc......................................... 91,600 229,000
*Delphi Financial Group, Inc. Class A................. 17,430 583,905
*Delta Financial Corp................................. 251,300 439,775
Delta Natural Gas Co., Inc............................ 26,100 393,947
Delta Woodside Industries, Inc........................ 520,000 1,170,000
Deltic Timber Corp.................................... 108,400 2,317,050
*Denali, Inc.......................................... 69,500 146,602
Designs, Inc.......................................... 178,800 273,787
*Detection Systems, Inc............................... 78,300 773,212
*Detrex Corp.......................................... 12,800 62,000
Detroit Diesel Corp................................... 450,800 7,100,100
*Devcon International Corp............................ 55,100 368,481
*Diamond Home Services, Inc........................... 140,000 10,850
*Dianon Systems, Inc.................................. 27,700 579,969
*Diedrich Coffee, Inc................................. 52 128
*Digi International, Inc.............................. 316,700 1,632,984
Dime Community Bancorp, Inc........................... 186,100 3,024,125
Dimon, Inc............................................ 890,500 2,003,625
*Diodes, Inc.......................................... 47,200 1,286,200
*Discount Auto Parts, Inc............................. 314,900 3,149,000
*Diversified Corporate Resources, Inc................. 5,400 14,850
*Dixie Group, Inc..................................... 161,100 573,919
*Dixon Ticonderoga Co................................. 30,150 111,178
*Dollar Thrifty Automotive Group, Inc................. 465,600 8,380,800
*Dominion Homes, Inc.................................. 76,400 489,437
Donegal Group, Inc.................................... 93,744 651,814
*Donna Karan International, Inc....................... 17,500 123,594
Donnelly Corp. Class A................................ 78,525 1,133,705
Downey Financial Corp................................. 320,713 9,541,212
*Dress Barn, Inc...................................... 294,123 6,259,305
*Drew Industries, Inc................................. 11,200 78,400
*DRS Technologies, Inc................................ 73,675 838,053
*Drug Emporium, Inc................................... 243,000 277,172
*Drypers Corp......................................... 78,900 141,773
DT Industries, Inc.................................... 222,000 2,233,875
*Duckwall-Alco Stores, Inc............................ 106,300 916,837
*Ducommun, Inc........................................ 33,700 377,019
*Dunn Computer Corp................................... 6,100 11,723
*Dura Automotive Systems, Inc......................... 309,378 3,683,532
*Dura Pharmaceuticals, Inc............................ 218,500 2,560,547
*DVI, Inc............................................. 228,000 3,277,500
*Dwyer Group, Inc..................................... 9,200 23,000
*Dynamics Research Corp............................... 85,636 604,804
*E Com Ventures, Inc.................................. 27,000 81,844
Eagle Bancshares, Inc................................. 75,900 887,081
*Eagle Food Centers, Inc.............................. 124,300 128,184
*Eagle Point Software Corp............................ 87,700 405,612
Earthgrains Co........................................ 193,900 3,199,350
Eastern Co............................................ 29,400 378,525
*ECC International Corp............................... 109,500 328,500
Ecology & Environment, Inc. Class A................... 25,700 150,987
Edelbrock Corp........................................ 85,000 972,187
*Edge Petroleum Corp. DE.............................. 6,000 18,562
</TABLE>
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Edo Corp.............................................. 66,100 $ 425,519
*Educational Insights, Inc............................ 49,300 60,855
*EduTrek International, Inc........................... 4,800 6,450
EFC Bancorp, Inc...................................... 5,000 45,625
*EFTC Corp............................................ 329,200 694,406
*El Paso Electric Co.................................. 86,700 1,029,562
*Elantec Semiconductor, Inc........................... 3,800 144,994
*Elcom International, Inc............................. 56,800 296,425
*Elcotel, Inc......................................... 11,900 22,127
*Elder-Beerman Stores Corp............................ 50,000 228,125
*Electro Rent Corp.................................... 77,200 839,550
*Electroglas, Inc..................................... 119,300 3,146,537
*Elite Information Group, Inc......................... 180,800 1,152,600
Ellett Brothers, Inc.................................. 67,900 280,087
*eLOT, Inc............................................ 261,500 706,867
*Eltrax System, Inc................................... 89,485 430,647
*ELXSI Corp........................................... 27,900 338,287
EMC Insurance Group, Inc.............................. 124,900 1,007,006
*Emcee Broadcast Products, Inc........................ 50,000 157,812
*Emcor Group, Inc..................................... 17,000 377,187
Empire Federal Bancorp, Inc........................... 2,100 23,231
*EMS Technologies, Inc................................ 110,450 1,784,458
*En Pointe Technologies, Inc.......................... 36,500 384,391
*Encad, Inc........................................... 147,200 515,200
*Encompass Services Corp.............................. 679,750 3,993,531
*Encore Wire Corp..................................... 13,400 84,169
*Endosonics Corp...................................... 9,900 42,230
Energen Corp.......................................... 183,400 4,057,725
Enesco Group, Inc..................................... 296,900 1,187,600
Engineered Support Systems, Inc....................... 43,550 549,819
Engle Homes, Inc...................................... 154,200 1,479,356
Enhance Financial Services Group, Inc................. 407,300 5,600,375
Ennis Business Forms, Inc............................. 6,000 44,250
*Enserch Exploration Corp............................. 848,018 4,346,092
*Environmental Elements Corp.......................... 14,500 19,937
*Environmental Technologies Corp...................... 44,200 607,750
*ePresence, Inc....................................... 56,700 474,862
*Equinox Systems, Inc................................. 59,950 348,459
*Equity Marketing, Inc................................ 5,800 58,725
*Equity Oil Co........................................ 142,900 292,498
*Esco Electronics Corp................................ 225,700 3,977,962
Eskimo Pie Corp....................................... 43,300 426,234
Espey Manufacturing & Electronics Corp................ 3,800 54,625
*Esterline Technologies Corp.......................... 268,542 3,658,885
Ethyl Corp............................................ 710,600 1,820,912
*Evans & Sutherland Computer Corp..................... 184,000 1,454,750
*Evergreen Resources, Inc............................. 17,000 466,969
*Exabyte Corp......................................... 373,100 1,574,016
*Exar Corp............................................ 133,050 9,134,714
Exide Corp............................................ 378,900 3,220,650
*Exponent, Inc........................................ 90,400 709,075
*Extended Stay America, Inc........................... 883,100 7,947,900
Ezcorp, Inc. Class A Non-Voting....................... 246,000 538,125
*E-Z-Em, Inc. Class A................................. 45,200 310,750
*E-Z-Em, Inc. Class B................................. 3,843 24,739
Fab Industries, Inc................................... 87,081 870,810
*Fairchild Corp. Class A.............................. 480,829 2,283,938
Falcon Products, Inc.................................. 112,100 1,106,987
*Family Golf Centers, Inc............................. 164,100 51,281
*Fansteel, Inc........................................ 88,300 353,200
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*Farm Family Holdings, Inc............................ 29,500 $ 796,500
Farmer Brothers Co.................................... 484 81,070
*Faro Technologies, Inc............................... 18,200 49,481
Farrel Corp........................................... 62,200 101,075
FBL Financial Group, Inc. Class A..................... 328,700 4,807,237
*Featherlite Manufacturing, Inc....................... 27,900 96,778
Federal Screw Works................................... 2,000 83,250
*FEI Co............................................... 252,900 4,575,909
FFLC Bancorp.......................................... 50,833 651,298
FFY Financial Corp.................................... 84,600 935,887
*Fibermark, Inc....................................... 109,350 1,141,341
*Fiberstars, Inc...................................... 12,900 101,184
Fidelity Bancorp, Inc. Delaware....................... 32,700 574,294
Fidelity Bankshares, Inc.............................. 8,000 124,500
*Fidelity Federal Bancorp............................. 20,000 38,750
Fidelity National Corp................................ 78,700 489,416
Fidelity National Financial, Inc...................... 432,200 6,699,100
*Finish Line, Inc. Class A............................ 289,900 2,011,181
*Finishmaster, Inc.................................... 120,000 652,500
*Finlay Enterprises, Inc.............................. 50,800 579,437
*First Aviation Services, Inc......................... 9,000 60,187
First Bell Bancorp, Inc............................... 59,600 851,162
*First Cash, Inc...................................... 109,000 459,844
First Charter Corp.................................... 17,100 273,066
First Citizens Bancshares, Inc. NC.................... 4,500 271,406
First Defiance Financial Corp......................... 131,000 1,084,844
First Essex Bancorp................................... 95,700 1,576,059
First Federal Bancshares of Arkansas, Inc............. 60,200 910,525
First Federal Capital Corp............................ 131,220 1,398,313
First Federal of East Hartford........................ 31,000 895,125
First Financial Holdings, Inc......................... 100,600 1,575,019
First Indiana Corp.................................... 92,906 1,622,952
*First Investors Financial Services Group, Inc........ 120,600 569,081
First Keystone Financial, Inc......................... 38,800 392,850
First Mariner Bank Corp............................... 43,600 280,675
First Midwest Financial, Inc.......................... 27,000 267,469
First Niagara Financial Group, Inc.................... 18,100 165,728
First Northern Capital Corp........................... 106,400 1,419,775
First Oak Brook Bancshares, Inc. Class A.............. 29,000 434,094
*First Republic Bank.................................. 128,352 2,165,940
First Savings Bancorp, Inc. North Carolina............ 48,500 873,000
First Sentinel Bancorp, Inc........................... 336,800 2,625,987
*First Team Sports, Inc............................... 99,300 212,564
First Washington Bancorp, Inc......................... 244,910 3,543,542
FirstBank NW Corp..................................... 11,600 117,450
*FirstCity Financial Corp............................. 8,300 18,156
Firstfed America Bancorp, Inc......................... 14,900 173,212
*FirstFed Financial Corp. DE.......................... 360,600 4,845,562
Firstspartan Financial Corp........................... 38,700 677,250
*Firstwave Technologies, Inc.......................... 45,700 162,092
*Fischer Imaging Corp................................. 100,600 270,362
Flag Financial Corp................................... 27,550 145,498
Flagstar Bancorp, Inc................................. 42,300 397,884
*Flander Corp......................................... 542,300 1,931,944
Fleetwood Enterprises, Inc............................ 217,100 3,093,675
Fleming Companies, Inc................................ 606,697 8,531,677
Flexsteel Industries, Inc............................. 90,400 1,166,725
*Flooring America, Inc................................ 332,900 915,475
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Florida Rock Industries, Inc.......................... 34,500 $ 1,364,906
*Florsheim Group, Inc................................. 120,800 298,225
*Flour City International, Inc........................ 2,400 6,900
Flushing Financial Corp............................... 137,250 1,981,547
FNB Financial Services Corp........................... 11,900 145,775
*Foilmark, Inc........................................ 84,758 325,789
*Foodarama Supermarkets, Inc.......................... 13,400 361,800
Foothill Independent Bancorp.......................... 45,818 443,862
*Forest Oil Corp...................................... 109,500 1,745,156
*Foster (L.B.) Co. Class A............................ 169,900 568,103
Foster Wheeler Corp................................... 926,900 7,820,719
*FPIC Insurance Group, Inc............................ 47,800 616,919
Frankfort First Bancorp, Inc.......................... 25,650 304,594
Franklin Bank National Associaton Southfield, MI...... 49,283 425,066
*Franklin Covey Co.................................... 335,900 2,603,225
*Franklin Electronic Publishers, Inc.................. 112,300 729,950
Freds, Inc. Class A................................... 215,750 3,694,719
Fremont General Corp.................................. 513,500 2,246,562
*French Fragrances, Inc............................... 33,100 254,456
Frequency Electronics, Inc............................ 96,000 1,632,000
*Fresh America Corp................................... 32,200 70,437
*Fresh Choice, Inc.................................... 65,100 234,970
*Fresh Foods, Inc..................................... 133,100 390,981
*Friede Goldman International......................... 111,948 944,561
*Friedman Billings Ramsey Group, Inc. Class A......... 183,500 1,169,812
Friedman Industries, Inc.............................. 108,195 351,634
Friedmans, Inc. Class A............................... 209,600 1,264,150
Frisch's Restaurants, Inc............................. 92,392 900,822
*Fritz Companies, Inc................................. 255,200 2,655,675
Frontier Insurance Group, Inc......................... 542,700 644,456
Frozen Food Express Industries, Inc................... 327,600 829,237
FSF Financial Corp.................................... 9,400 116,325
*FSI International, Inc............................... 267,500 3,853,672
*FTI Consulting, Inc.................................. 62,700 587,812
GA Financial, Inc..................................... 75,100 882,425
*Gadzooks, Inc........................................ 127,900 1,822,575
Gainsco, Inc.......................................... 355,600 1,866,900
*Galey & Lord, Inc.................................... 271,200 661,050
*GameTech International, Inc.......................... 21,500 137,062
Garan, Inc............................................ 58,000 1,189,000
*Garden Fresh Restaurant Corp......................... 69,700 757,987
*Gart Sports Co....................................... 16,637 94,623
*Gasonics International, Inc.......................... 78,200 2,130,950
GBC Bancorp........................................... 105,800 3,038,444
*GC Companies, Inc.................................... 131,300 3,471,244
*Geerling & Wade, Inc................................. 27,500 97,969
*Gehl Co.............................................. 91,100 1,631,259
Gencorp, Inc.......................................... 765,100 7,507,544
General Binding Corp.................................. 8,800 66,000
General Cable Corp.................................... 210,800 1,752,275
*General Communications, Inc. Class A................. 895,400 4,309,112
*General Datacomm Industries, Inc..................... 119,300 469,744
*Genesee & Wyoming, Inc............................... 18,800 344,275
*Genesis Health Ventures, Inc......................... 544,300 204,112
Genesis Worldwide, Inc................................ 56,600 56,600
*Geneva Steel Co. Class A............................. 93,000 34,875
*Genlyte Group, Inc................................... 91,600 1,863,487
*GenStar Therapeutics Corporation..................... 14,500 67,062
*Gensym Corp.......................................... 74,000 269,406
<CAPTION>
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*Gentiva Health Services.............................. 75,575 $ 658,920
Geon Co............................................... 2,100 45,150
*Gerber Childrenswear, Inc............................ 42,700 224,175
Gerber Scientific, Inc................................ 146,900 1,762,800
*Getty Petroleum Marketing, Inc....................... 200,100 725,362
*Giant Group, Ltd..................................... 50,600 32,416
*Giant Industries, Inc................................ 178,700 1,574,794
Gibraltar Steel Corp.................................. 137,600 2,180,100
*Giga-Tronics, Inc.................................... 20,800 157,300
*G-III Apparel Group, Ltd............................. 98,500 455,562
*Gish Biomedical, Inc................................. 47,900 103,284
Glatfelter (P.H.) Co.................................. 586,800 6,931,575
*Glenayre Technologies, Inc........................... 707,600 5,815,587
*Global Sources, Ltd.................................. 22,838 630,214
*Global Vacation Group, Inc........................... 169,000 433,062
*Globe Business Resources, Inc........................ 45,500 581,547
Golden Enterprises, Inc............................... 17,200 53,750
*Golden State Vintners, Inc........................... 32,300 155,444
*Good Guys, Inc....................................... 263,300 707,619
*Goodys Family Clothing............................... 117,200 640,937
Gorman-Rupp Co........................................ 44,000 767,250
*Gottschalks, Inc..................................... 231,700 1,172,981
*Government Technology Services, Inc.................. 121,000 366,781
*GP Strategies Corp................................... 222,665 848,910
*Gradco Systems, Inc.................................. 91,550 170,226
*Graham Corp.......................................... 27,150 207,019
*Grand Union Co....................................... 154,600 130,444
Granite Construction, Inc............................. 136,000 3,544,500
Granite State Bankshares, Inc......................... 22,800 376,200
*Graphic Packaging International Corp................. 478,500 1,644,844
Gray Communications Systems, Inc...................... 35,950 406,684
*Greenbriar Corp...................................... 10,700 16,050
Greenbrier Companies, Inc............................. 247,900 1,890,237
*Griffin Land & Nurseries, Inc. Class A............... 25,000 337,500
*Griffon Corp......................................... 418,400 2,536,550
*Group 1 Automotive, Inc.............................. 75,000 862,500
*Group 1 Software, Inc................................ 25,350 464,222
*GT Interactive Software Corp......................... 76,500 160,172
Guaranty Federal Bancshares, Inc...................... 14,800 147,537
*Guest Supply, Inc.................................... 76,200 1,338,262
Guilford Mills, Inc................................... 436,800 2,866,500
*Gulf Island Fabrication, Inc......................... 11,200 194,250
*Gulfmark Offshore, Inc............................... 107,400 2,315,812
*Gundle/SLT Environmental, Inc........................ 290,800 908,750
*Gymboree Corp........................................ 428,900 1,199,580
*GZA Geoenvironmental Technologies, Inc............... 42,700 261,537
*Hadco Corp........................................... 50,800 4,483,100
Haggar Corp........................................... 107,325 1,244,299
*Hagler Bailly, Inc................................... 53,100 96,244
*Hahn Automotive Warehouse, Inc....................... 38,746 41,168
*Halifax Corp......................................... 24,000 124,500
Hallmark Capital Corp................................. 35,000 297,500
*Hallwood Group, Inc.................................. 100 956
*Ha-Lo Industries, Inc................................ 250,800 1,395,075
*Hampshire Group, Ltd................................. 19,100 152,800
*Hampton Industries, Inc.............................. 79,094 148,301
Hancock Fabrics, Inc.................................. 196,300 920,156
Hancock Holding Co.................................... 1,600 50,800
*Handleman Co......................................... 474,436 4,625,751
*Hanger Orthopedic Group, Inc......................... 262,700 1,264,244
</TABLE>
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Harbor Florida Bancshares, Inc........................ 17,500 $ 185,391
*Harding Lawson Associates Group, Inc................. 66,500 754,359
Hardinge Brothers, Inc................................ 155,200 1,498,650
Harleysville Group, Inc............................... 455,200 7,709,950
Harman International Industries, Inc.................. 27,300 1,579,987
Harmon Industries, Inc................................ 3,700 49,487
*Harnischfeger Industries, Inc........................ 266,100 117,084
*Harolds Stores, Inc.................................. 2,000 5,000
*Harry's Farmers Market, Inc. Class A................. 46,100 51,862
*Hartmarx Corp........................................ 696,000 1,566,000
*Harvey Entertainment Co.............................. 52,400 160,475
*Hastings Entertainment, Inc.......................... 169,800 225,516
Hastings Manufacturing Co............................. 1,700 15,459
*Hathaway Corp........................................ 45,300 161,381
*Hauser, Inc.......................................... 42,275 58,128
Haven Bancorp, Inc.................................... 117,000 2,098,687
Haverty Furniture Co., Inc............................ 280,200 3,152,250
*Hawaiian Airlines, Inc............................... 568,400 1,421,000
*Hawk Corp............................................ 191,000 1,301,187
*Hawker Pacific Aerospace............................. 84,000 472,500
*Hawthorne Financial Corp............................. 84,200 684,125
HCC Insurance Holdings, Inc........................... 38,600 658,612
*Headway Corporate Resources, Inc..................... 93,700 298,669
*Health Management Systems, Inc....................... 240,200 994,578
*Health Risk Management, Inc.......................... 72,700 422,569
*Health Systems Design Corp........................... 90,000 506,250
*Healthcare Recoveries, Inc........................... 54,700 190,595
*Healthcare Services Group, Inc....................... 171,650 772,425
*Healthcor Holdings................................... 65,300 2,285
Healthplan Services Corp.............................. 297,000 723,937
*Hector Communications Corp........................... 9,500 121,125
*HEI, Inc............................................. 10,200 123,675
Heico Corp............................................ 14,900 195,562
Heilig-Meyers Co...................................... 1,133,850 1,913,372
*Hello Direct, Inc.................................... 84,100 1,045,994
Heritage Financial Corp............................... 32,100 253,791
*Herley Industries, Inc............................... 26,733 432,740
*Hexcel Corp.......................................... 425,250 3,295,687
HF Financial Corp..................................... 52,150 451,423
*High Plains Corp..................................... 211,900 476,775
*Highlands Insurance Group, Inc....................... 226,410 1,641,472
*Hirsch International Corp. Class A................... 90,000 126,562
*Hi-Shear Industries, Inc............................. 53,500 129,570
*Hi-Tech Pharmacal, Inc............................... 54,600 212,428
*HMI Industries, Inc.................................. 27,800 40,831
HMN Financial, Inc.................................... 70,000 791,875
*HMT Technology Corp.................................. 777,700 1,336,672
*Hoenig Group, Inc.................................... 104,700 971,747
*Holiday RV Superstores, Inc.......................... 70,700 296,056
Holly Corp............................................ 107,400 1,074,000
*Hollywood Casino Corp. Class A....................... 32,900 166,556
*Hollywood Entertainment Corp......................... 269,600 1,857,712
*Hologic, Inc......................................... 284,500 1,635,875
Home Bancorp.......................................... 13,800 203,981
Home Federal Bancorp.................................. 34,875 573,258
Home Loan Financial Corp.............................. 700 4,637
Home Port Bancorp, Inc................................ 14,500 351,625
*Home Products International, Inc..................... 124,450 536,691
*Homebase, Inc........................................ 839,650 1,574,344
*Homegold Financial, Inc.............................. 50,000 45,312
*Homeland Holding Corp................................ 6,900 27,169
<CAPTION>
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*Homestead Village, Inc............................... 278,500 $ 1,131,406
Horizon Financial Corp................................ 91,865 858,364
*Horizon Health Corp.................................. 113,600 688,700
*Horizon Offshore, Inc................................ 168,000 1,895,250
*Horizon Pharmacies, Inc.............................. 31,000 116,250
*Hotelworks.com, Inc.................................. 209,200 78,450
*Houston Exploration Co............................... 310,400 7,760,000
*Hovnanian Enterprises, Inc. Class A.................. 257,084 1,413,962
Howell Corp........................................... 104,200 970,362
*HPSC, Inc............................................ 43,600 411,475
*HS Resources, Inc.................................... 330,000 11,075,625
*Hub Group, Inc. Class A.............................. 108,700 1,375,734
*Hudson Hotels Corp................................... 14,300 14,523
Hudson River Bancorp, Inc............................. 35,700 349,191
*Hudson Technologies, Inc............................. 55,900 117,041
Huffy Corp............................................ 171,900 558,675
Hughes Supply, Inc.................................... 349,350 6,637,650
Hunt (J.B.) Transport Services, Inc................... 597,200 9,648,512
Hunt Corp............................................. 62,850 632,428
*Huntco, Inc. Class A................................. 92,600 283,587
*Hurco Companies, Inc................................. 92,800 406,000
*Hutchinson Technology, Inc........................... 506,400 5,966,025
*Hvide Marine, Inc. Class A........................... 110,500 0
*Hycor Biomedical, Inc................................ 69,800 349,000
*Hypercom Corp........................................ 216,800 2,710,000
*Hyseq, Inc........................................... 213,600 4,946,175
Iberiabank Corp....................................... 105,300 1,572,919
*Ico, Inc............................................. 241,800 396,703
*ICT Group, Inc....................................... 48,500 341,016
*ICU Medical, Inc..................................... 69,900 1,312,809
*IEC Electronics Corp................................. 130,700 249,147
*IFR Systems, Inc..................................... 134,400 768,600
*IHOP Corp............................................ 69,900 1,231,987
*II-VI, Inc........................................... 136,100 5,231,344
*Il Fornaio (America) Corp............................ 8,800 75,900
*Imation Corp......................................... 92,700 2,624,569
IMCO Recycling, Inc................................... 347,500 2,323,906
*Immucor, Inc......................................... 61,100 490,709
*Imperial Credit Industries, Inc...................... 733,500 2,567,250
Imperial Sugar Co..................................... 697,400 958,925
*Impreso.com, Inc..................................... 6,500 26,609
*In Focus Systems, Inc................................ 158,800 4,431,512
*Inacom Corp.......................................... 731,200 124,304
Independence Holding Co............................... 52,600 650,925
Independent Bank East................................. 77,726 1,015,296
Industrial Bancorp, Inc............................... 29,200 332,150
*Industrial Distribution Group, Inc................... 178,900 424,887
*Industrial Holdings, Inc............................. 9,200 10,637
*Inference Corp. Class A.............................. 115,000 711,562
*Infinium Software, Inc............................... 4,300 13,841
*Infonautics Corp. Class A............................ 64,100 262,409
*Information Management Associates, Inc............... 101,500 444,062
*Information Resources, Inc........................... 489,200 2,430,712
Ingles Market, Inc. Class A........................... 211,100 2,084,612
*Innodata Corp........................................ 94 582
*Innotrac Corp........................................ 68,500 338,219
*Innovative Clinical Solutions, Ltd................... 261,200 45,710
*Innovative Gaming Corp. of America................... 6,600 4,847
*Innoveda, Inc........................................ 305,200 1,363,862
Innovex, Inc.......................................... 22,200 190,781
*Inprise Corp......................................... 147,900 825,005
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*Input/Output, Inc.................................... 544,700 $ 4,289,512
*Insignia Financial Group, Inc........................ 387,032 4,378,299
*Insilco Holding Co................................... 432 11,664
*Insituform East, Inc................................. 31,200 41,925
*Insituform Technologies, Inc. Class A................ 51,100 1,767,741
*Inso Corp............................................ 171,100 604,197
*Inspire Insurance Solutions, Inc..................... 176,700 612,928
Insteel Industries, Inc............................... 117,400 675,050
*Insurance Auto Auctions, Inc......................... 146,300 2,839,134
*Insurance Management Solutions, Inc.................. 19,600 31,544
*Integra, Inc......................................... 104,800 65,500
*IntegraMed America, Inc.............................. 57,100 178,437
*Integrated Device Technology, Inc.................... 215,987 10,272,882
*Integrated Electrical Services, Inc.................. 398,800 1,969,075
*Integrated Measurement System, Inc................... 83,800 1,246,525
*Integrated Silicon Solution, Inc..................... 203,400 6,032,081
*Intellicall, Inc..................................... 4,500 3,656
Intelligent Systems Corp.............................. 52,375 222,594
*Inter Parfums, Inc................................... 103,200 1,212,600
Interface, Inc. Class A............................... 577,100 2,524,812
*Intergraph Corp...................................... 792,900 4,435,284
*Interlinq Software Corp.............................. 68,800 193,500
*Intermagnetics General Corp.......................... 143,980 1,637,772
Intermet Corp......................................... 224,500 1,546,945
*International Aircraft Investors..................... 38,500 197,312
International Aluminum Corp........................... 48,900 712,106
International Multifoods Corp......................... 398,000 5,547,125
*International Rectifier Corp......................... 368,300 15,192,375
*International Remote Imaging Systems, Inc............ 6,200 8,912
International Shipholding Corp........................ 80,450 613,431
*International Speciality Products, Inc............... 466,190 2,534,908
*International Total Services, Inc.................... 74,900 74,900
Interpool, Inc........................................ 589,800 4,718,400
*Interstate National Dealers Services, Inc............ 3,900 21,206
*Intervisual Books, Inc. Class A...................... 9,900 14,231
*Intevac, Inc......................................... 5,100 15,937
Investors Title Co.................................... 18,200 200,200
*Invision Technologies, Inc........................... 33,900 136,659
*Invivo Corp.......................................... 2,500 25,156
*Ionics, Inc.......................................... 146,700 4,217,625
*IRI International Corp............................... 26,700 238,631
*Iridex Corp.......................................... 74,300 631,550
*Isco, Inc............................................ 91,100 408,527
*Isle of Capri Casinos, Inc........................... 308,700 4,215,684
*Isolyser Co., Inc.................................... 597,600 2,110,275
*IT Group, Inc ....................................... 361,379 2,100,515
*ITC Learning Corp.................................... 49,200 121,462
*ITEQ, Inc............................................ 305,059 171,596
*ITLA Capital Corp.................................... 154,400 2,016,850
*Itron, Inc........................................... 85,300 397,178
*IVI Checkmate Corp................................... 175,705 516,133
*J & J Snack Foods Corp............................... 170,100 2,535,553
*J. Alexander's Corp.................................. 88,900 344,487
*J. Jill Group, Inc................................... 176,600 1,087,194
*Jackpot Enterprises, Inc............................. 106,500 1,231,406
Jacksonville Bancorp, Inc............................. 16,200 207,562
*Jaclyn, Inc.......................................... 26,900 53,800
*Jaco Electronics, Inc................................ 70,446 1,146,949
*Jacobson Stores, Inc................................. 78,650 442,406
<CAPTION>
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*Jan Bell Marketing, Inc.............................. 382,400 $ 836,500
*Jason, Inc........................................... 288,900 2,907,056
*JDA Software Group, Inc.............................. 62,600 972,256
Jefferies Group, Inc.................................. 65,200 1,316,225
Jefferson Savings Bancorp, Inc........................ 79,900 871,409
*JLK Direct Distribution, Inc. Class A................ 103,000 714,562
*JLM Industries, Inc.................................. 118,500 448,078
*Jo-Ann Stores, Inc. Class A.......................... 35,700 339,150
*Jo-Ann Stores, Inc. Class B.......................... 35,700 287,831
*Johnson Outdoors, Inc................................ 123,300 1,090,434
*Jos. A. Bank Clothiers, Inc.......................... 155,400 704,156
*JPM Co............................................... 3,500 18,047
*JPS Industries, Inc.................................. 9,000 33,609
*Jps Packaging Company................................ 61,150 171,984
Justin Industries, Inc................................ 352,500 6,146,719
*JWGenesis Financial Corp............................. 14,250 117,562
K Swiss, Inc. Class A................................. 88,200 1,160,381
*K2, Inc.............................................. 306,580 2,165,221
*Kaiser Aluminum Corp................................. 1,232,615 5,469,729
*Kaiser Group International, Inc...................... 123,000 17,297
*Kaiser Ventures, Inc................................. 134,100 1,734,919
Kaman Corp. Class A................................... 435,000 4,336,406
*Kasper A.S.L., Ltd................................... 59,900 154,430
Katy Industries, Inc.................................. 139,300 1,349,469
Kaye Group, Inc....................................... 40,000 270,000
*KBK Capital Corp..................................... 68,900 288,519
*KCS Energy, Inc...................................... 183,900 206,887
*Kellstrom Industries, Inc............................ 94,300 474,447
Kellwood Co........................................... 416,218 7,023,679
Kenan Transport Co.................................... 200 3,725
*Kendle International, Inc............................ 76,900 485,431
Kennametal, Inc....................................... 5,300 139,787
*Kennedy-Wilson, Inc.................................. 5,100 26,297
*Kent Electronics Corp................................ 166,450 4,618,987
*Kentucky Electric Steel, Inc......................... 32,600 69,275
Kentucky First Bancorp, Inc........................... 11,700 119,194
*Kevco, Inc........................................... 138,800 221,212
Kewaunee Scientific Corp.............................. 30,800 359,012
*Key Energy Group, Inc................................ 166,900 1,815,037
*Key Production Co., Inc.............................. 146,612 2,354,955
*Key Technology, Inc.................................. 55,800 483,019
*Key Tronic Corp...................................... 172,500 468,984
*Keystone Automotive Industries, Inc.................. 283,680 2,078,842
*Keystone Consolidated Industries, Inc................ 147,849 572,915
*kforce.com, Inc...................................... 915,600 11,759,737
Kimball International, Inc. Class B................... 287,000 4,636,844
*Kimmins Corp......................................... 16,000 5,020
*Kinark Corp.......................................... 73,400 96,337
*Kinnard Investment, Inc.............................. 73,600 584,200
*Kit Manufacturing Co................................. 11,100 72,150
*Kitty Hawk, Inc...................................... 170,900 79,896
Klamath First Bancorp, Inc............................ 144,600 1,617,713
*KLLM Transport Services, Inc......................... 52,099 415,164
Knape & Vogt Manufacturing Co......................... 37,434 567,359
*Komag, Inc........................................... 949,600 1,988,225
*Koss Corp............................................ 45,700 764,047
*Krug International Corp.............................. 65,400 85,838
*K-Tron International, Inc............................ 6,300 99,422
*Kulicke & Soffa Industries, Inc...................... 161,700 8,145,638
*KVH Industries, Inc.................................. 59,200 308,950
LabOne, Inc........................................... 91,950 474,117
</TABLE>
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*Laboratory Corp. of America Holdings, Inc............ 29,650 $ 2,131,094
*Labtec, Inc.......................................... 8,916 55,725
*Laclede Steel Co..................................... 44,100 17,916
LaCrosse Footwear, Inc................................ 19,900 80,222
*Ladish Co., Inc...................................... 254,200 2,216,306
*Lakeland Industries, Inc............................. 6,100 38,888
*Lakes Gaming, Inc.................................... 168,725 1,386,709
*Lam Research Corp.................................... 75,900 2,440,659
*Lamson & Sessions Co................................. 159,800 1,278,400
*Lancer Corp.......................................... 94,400 342,200
*Landair Corp......................................... 23,200 94,975
Landamerica Financial Group, Inc...................... 243,312 4,486,065
Landrys Seafood Restaurants, Inc...................... 481,800 3,764,063
*Larscom, Inc......................................... 57,400 287,000
*LaserSight Corporation............................... 32,100 163,509
Lawrence Savings Bank MA.............................. 3,500 25,266
Lawson Products, Inc.................................. 250,000 5,992,188
*Layne Christensen Co................................. 156,000 692,250
*Lazare Kaplan International, Inc..................... 132,300 1,157,625
La-Z-Boy, Inc......................................... 117,949 1,894,556
*Leapnet, Inc......................................... 155,686 498,683
*Learn2.com, Inc...................................... 60,454 116,185
*Lechters, Inc........................................ 263,400 403,331
Lennox International, Inc............................. 203,680 2,393,240
Lesco, Inc............................................ 61,700 960,206
*Let's Talk Cellular & Wireless, Inc.................. 400 192
Liberty Bancorp, Inc.................................. 2,800 19,338
*Liberty Corp......................................... 7,200 252,900
*Life Financial Corp.................................. 44,500 175,219
*Lifeline Systems, Inc................................ 14,400 175,500
Lifetime Hoan Corp.................................... 156,100 1,297,581
Lillian Vernon Corp................................... 122,600 1,195,350
*Lindal Cedar Homes, Inc.............................. 8,000 16,250
Lindberg Corp......................................... 95,900 755,213
*Lithia Motors, Inc. Class A.......................... 5,500 66,688
*LMI Aerospace, Inc................................... 11,900 33,841
LNR Property Corp..................................... 329,800 6,389,875
*Lodgenet Entertainment Corp.......................... 29,000 676,969
*Lodgian, Inc......................................... 396,900 893,025
*Loehmanns, Inc....................................... 65,000 4,713
*Loews Cineplex Entertainment Corp.................... 1,004,200 2,636,025
*Logic Devices, Inc................................... 78,700 184,453
Lone Star Steakhouse Saloon........................... 505,000 5,349,844
Longs Drug Stores Corp................................ 21,100 425,956
Longview Fibre Co..................................... 246,300 2,955,600
*Louis Dreyfus Natural Gas Corp....................... 465,900 14,967,038
*LSB Industries, Inc.................................. 99,500 80,844
LSI Industries, Inc................................... 5,830 100,021
LTV Corp.............................................. 1,538,700 4,039,088
*LTX Corp............................................. 210,000 5,519,063
Luby's Cafeterias, Inc................................ 72,200 636,263
Lufkin Industries, Inc................................ 95,200 1,612,450
*Lumisy, Inc.......................................... 172,100 424,872
*Lunar Corp........................................... 100,450 1,111,228
*Lydall, Inc.......................................... 294,900 3,078,019
*Lynch Corp........................................... 6,200 191,425
M.A. Hanna Co......................................... 246,200 2,877,463
*M.H. Meyerson & Co., Inc............................. 51,600 191,888
*Mac-Gray Corp........................................ 72,800 222,950
*Mackie Designs, Inc.................................. 1,000 6,844
*Made2Manage Systems, Inc............................. 81,000 521,438
<CAPTION>
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*Magellan Health Services, Inc........................ 416,500 $ 885,063
*Magnetek, Inc........................................ 377,100 3,181,781
*Magnum Hunter Resources, Inc......................... 118,000 634,250
*Mail-Well, Inc....................................... 9,800 91,875
*Main Street & Main, Inc.............................. 124,600 412,738
Main Street Bancorp, Inc.............................. 6,200 52,216
*Mallon Resources Corp................................ 46,100 352,233
*Manchester Equipment Co., Inc........................ 184,200 805,875
*Manugistic Group, Inc................................ 177,600 5,161,500
*Mapinfo Corp......................................... 47,900 1,408,559
Marcus Corp........................................... 301,000 3,292,188
*Marine Transport Corp................................ 128,870 338,284
*Marisa Christina, Inc................................ 94,000 158,625
Maritrans, Inc........................................ 188,500 1,119,219
*MarkWest Hydrocarbon, Inc............................ 155,500 1,302,313
*Marlton Technologies, Inc............................ 103,700 129,625
Marsh Supermarkets, Inc. Class A...................... 42,900 697,125
Marsh Supermarkets, Inc. Class B...................... 56,900 586,781
Massbank Corp. Reading, MA............................ 40,266 1,190,364
Matec Corp............................................ 6,900 53,475
*Material Sciences Corp............................... 346,200 3,721,650
*Matlack Systems, Inc................................. 141,092 432,094
*Matria Healthcare, Inc............................... 545,700 1,858,791
*Matrix Pharmaceutical, Inc........................... 280,700 2,438,581
*Matrix Service Co.................................... 154,300 752,213
*Mattson Technology, Inc.............................. 96,100 2,913,031
*Maverick Tube Corp................................... 129,500 4,552,734
*Max & Ermas Restaurants, Inc......................... 41,900 361,388
*Maxco, Inc........................................... 38,500 300,781
*Maxicare Health Plans, Inc........................... 224,000 364,000
*Maxwell Shoe Company, Inc............................ 37,200 282,488
*Maxwell Technologies, Inc............................ 10,900 153,281
*Maxxam, Inc.......................................... 97,900 2,496,450
*Maynard Oil Co....................................... 53,500 896,125
*Mazel Stores, Inc.................................... 177,100 1,549,625
*MB Financial, Inc.................................... 36,800 408,250
*McClain Industries, Inc.............................. 600 2,906
McGrath Rent Corp..................................... 114,500 1,796,219
*McNaughton Apparel Group, Inc........................ 114,000 1,086,563
McRae Industries, Inc. Class A........................ 1,000 6,188
*McWhorter Technologies, Inc.......................... 128,000 2,504,000
MDC Holdings, Inc..................................... 408,288 7,885,062
*Meadow Valley Corp................................... 44,064 167,994
Meadowbrook Insurance Group, Inc...................... 193,700 1,041,138
*Mechanical Dynamics, Inc............................. 8,600 51,063
Medford Bancorp, Inc.................................. 103,600 1,547,525
*Media 100, Inc....................................... 57,200 1,011,725
*Media Arts Group, Inc................................ 22,100 85,638
*Medialink Worldwide, Inc............................. 51,100 367,281
*Medical Action Industries, Inc....................... 27,800 110,331
*Medical Alliance, Inc................................ 108,700 421,213
*Medical Assurance, Inc............................... 87,924 1,000,136
*Medical Resources, Inc............................... 63,218 3,635
*Medicore, Inc........................................ 58,600 119,031
*Medstone International, Inc.......................... 75,700 404,522
*MEMC Electronic Materials, Inc....................... 348,300 5,333,344
Merchants Group, Inc.................................. 25,600 388,800
*Mercury Air Group, Inc............................... 15,300 72,675
Meridian Insurance Group, Inc......................... 56,870 767,745
*Meridian Medical Technology, Inc..................... 18,000 155,250
*Meridian Resource Corp............................... 139,300 740,031
*Merisel, Inc......................................... 335,800 267,591
</TABLE>
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*MeriStar Hotels & Resorts, Inc....................... 82,000 $ 235,750
*Merit Medical Systems, Inc........................... 25,600 126,400
*Merix Corp........................................... 77,600 2,136,425
*Merrimac Industries, Inc............................. 11,770 142,711
*Mesa Air Group, Inc.................................. 452,500 2,707,930
*Mesa Labs, Inc....................................... 17,000 75,703
*Mestek, Inc.......................................... 13,500 224,438
*Metacreations Corp................................... 55,400 396,456
*Metal Management, Inc................................ 409,500 556,664
Metals USA, Inc....................................... 317,140 1,664,985
*Metatec Corp. Class A................................ 124,300 341,825
*Metrocall, Inc....................................... 447,510 1,440,423
*Metromedia International Group, Inc.................. 1,099,000 4,739,438
MFB Corp.............................................. 19,200 318,000
*MFRI, Inc............................................ 59,700 235,069
MI Schottenstein Homes, Inc........................... 187,600 3,189,200
*Michael Anthony Jewelers, Inc........................ 98,500 246,250
Michael Foods, Inc.................................... 173,981 3,985,252
*Michaels Stores, Inc................................. 383,000 16,373,250
*Micro Linear Corp.................................... 178,100 940,591
*Microage, Inc........................................ 486,000 230,850
*Microcide Pharmaceuticals, Inc....................... 73,000 545,219
MicroFinancial, Inc................................... 30,000 285,000
*Micros to Mainframes, Inc............................ 6,200 36,813
*Microsemi Corp....................................... 23,300 504,591
*Microtest, Inc....................................... 87,000 647,063
*Microtouch Systems, Inc.............................. 132,500 1,171,797
*Microwave Power Dynamics, Inc........................ 77,700 382,430
Mid America Banccorp.................................. 88,727 2,073,994
*Mid Atlantic Medical Services, Inc................... 316,000 3,910,500
Midcoast Energy Resources, Inc........................ 4,000 64,000
*Middleby Corp........................................ 170,000 1,136,875
Middlesex Water Co.................................... 7,500 219,844
Midland Co............................................ 16,800 424,200
*Midway Airlines Corp................................. 98,700 586,031
*Midwest Grain Products, Inc.......................... 124,300 873,984
Mikasa, Inc........................................... 198,400 1,909,600
*Mikohn Gaming Corp................................... 124,400 789,163
Milacron, Inc......................................... 147,400 2,330,763
*Miller Building Systems, Inc......................... 46,200 261,319
*Miller Industries, Inc............................... 692,550 1,601,522
*Miltope Group, Inc................................... 53,600 108,038
*MIM Corp............................................. 42,700 78,728
Mine Safety Appliances Co............................. 112,800 2,622,600
Minntech Corp......................................... 7,600 56,050
*Minolta-QMS, Inc..................................... 40,905 135,498
Minuteman International, Inc.......................... 9,000 75,938
Mississippi Chemical Corp............................. 494,900 2,876,606
*Mitcham Industries, Inc.............................. 77,100 454,167
*Mobile America Corp.................................. 82,500 216,563
*Modtech Holdings, Inc................................ 4,300 46,359
*Monarch Casino and Resort, Inc....................... 5,200 24,700
*Monarch Dental Corp.................................. 138,400 400,063
*Monro Muffler Brake, Inc............................. 101,130 843,803
Monterey Bay Bancorp, Inc............................. 44,500 396,328
*Moog, Inc. Class A................................... 99,850 2,134,294
*Moog, Inc. Class B................................... 12,800 519,200
*Moore Handley, Inc................................... 2,000 3,313
*Moore Medical Corp................................... 42,300 370,125
*Morrison Knudsen Corp................................ 452,700 3,508,425
*Mother's Work, Inc................................... 67,000 707,688
*Motient Corp......................................... 138,100 1,247,216
<CAPTION>
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*Motor Car Parts & Accessories, Inc................... 71,200 $ 72,446
*Motor Club of America................................ 5,600 44,450
Movado Group, Inc..................................... 156,150 1,495,624
*Movie Gallery, Inc................................... 254,900 852,322
*MRV Communications, Inc.............................. 365,100 9,732,197
*MS Carriers, Inc..................................... 200,800 3,871,675
MTS Systems Corp...................................... 250,710 1,821,565
Mueller (Paul) Co..................................... 6,100 146,781
*Multi Color Corp..................................... 6,000 47,625
*Multiple Zones International, Inc.................... 172,000 722,938
*N & F Worldwide Corp................................. 274,100 1,404,763
*NABI, Inc............................................ 561,200 3,253,206
Nacco Industries, Inc. Class A........................ 93,800 3,540,950
*Napco Security Systems, Inc.......................... 52,300 199,394
Nash Finch Co......................................... 155,300 1,208,428
Nashua Corp........................................... 118,000 973,500
*Nastech Pharmaceutical Co., Inc...................... 95,600 374,931
*Nathans Famous, Inc.................................. 85,000 249,688
National City Bancorp................................. 115,314 1,672,053
*National Equipment Services, Inc..................... 195,700 1,113,044
*National Home Centers, Inc........................... 70,500 120,070
*National Home Health Care Corp....................... 58,211 240,120
National Presto Industries, Inc....................... 133,400 4,143,738
*National Processing, Inc............................. 56,400 659,175
*National Record Mart, Inc............................ 62,300 100,264
*National Research Corp............................... 78,000 426,563
*National Standard Co................................. 3,600 6,525
National Steel Corp. Class B.......................... 429,800 2,256,450
National Technical Systems, Inc....................... 104,184 325,575
*National Techteam, Inc............................... 301,900 1,009,478
*National Western Life Insurance Co. Class A.......... 24,300 1,797,441
*Natrol, Inc.......................................... 18,500 77,758
*Natural Alternatives International, Inc.............. 82,100 129,564
*Natural Microsystems Corp............................ 78,500 5,055,891
*Natural Wonders, Inc................................. 89,100 100,238
*Navigators Group, Inc................................ 5,100 44,944
NBT Bancorp........................................... 101,347 1,013,470
NCH Corp.............................................. 91,600 3,664,000
*NCI Building Systems, Inc............................ 88,500 1,510,031
*NCS Healthcare, Inc.................................. 260,900 236,441
*Neff Corp. Class A................................... 11,000 41,938
Nelson (Thomas), Inc.................................. 183,800 1,298,088
*Netmanage, Inc....................................... 690,413 1,887,848
*Netrix Corp.......................................... 90,900 997,059
*Network Computing Devices, Inc....................... 177,600 283,050
*Network Equipment Technologies, Inc.................. 390,100 4,169,194
*Network Peripherals, Inc............................. 21,400 380,519
*Neurocrine Biosciences, Inc.......................... 100,700 2,139,875
*New American Healthcare Corp......................... 23,600 944
*New Brunswick Scientific Co., Inc.................... 77,531 407,038
*New Century Financial Corp........................... 118,400 1,091,500
*New Day Runner, Inc.................................. 3,740 6,136
*New Horizons Worldwide, Inc.......................... 68,875 1,201,008
*New Mexico & Arizona Land Co......................... 87,400 447,925
*Newcor, Inc.......................................... 64,712 137,513
*Newmark Homes Corp................................... 2,000 11,875
Newmil Bancorp, Inc................................... 43,500 440,438
*Newpark Resources, Inc............................... 218,000 1,825,750
Newport Corp.......................................... 56,600 9,652,069
*Nexell Therapeutics, Inc............................. 1,702 5,877
</TABLE>
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*Nexthealth, Inc...................................... 81,300 $ 228,656
*Niagara Corp......................................... 131,500 567,094
Nitches, Inc.......................................... 3,679 19,775
*NMT Medical, Inc..................................... 124,100 471,192
*Nobel Learning Communities, Inc...................... 72,900 526,247
Noel Group, Inc....................................... 85,860 22,324
Noland Co............................................. 2,000 33,000
*Noodle Kidoodle, Inc................................. 114,500 343,500
*Norstan, Inc......................................... 234,000 1,155,375
*Nortek, Inc.......................................... 81,100 1,738,581
North Central Bancshares, Inc......................... 41,300 591,106
North Fork Bancorporation, Inc........................ 251,000 4,157,188
Northeast Bancorp..................................... 22,500 180,000
Northland Cranberries, Inc. Class A................... 177,300 703,659
Northrim Bank......................................... 20,096 171,444
*Northwest Pipe Co.................................... 98,200 1,322,631
*Novametrix Medical Systems, Inc...................... 20,200 126,566
*NPS Pharmaceuticals, Inc............................. 152,200 1,926,281
*NS Group, Inc........................................ 308,800 5,654,900
*Nu Horizons Electronics Corp......................... 116,305 2,013,530
*NuCo2, Inc........................................... 5,200 29,900
*Nuevo Energy Co...................................... 241,500 4,663,969
*Numerex Corp. Class A................................ 78,200 720,906
*Nutraceutical International Corp..................... 116,700 421,214
Nymagic, Inc.......................................... 132,700 1,866,094
*O.I. Corp............................................ 51,800 201,534
*Oak Technology, Inc.................................. 708,800 10,476,950
Oakwood Homes Corp.................................... 1,072,500 3,083,438
*Objective Systems Integrators, Inc................... 347,200 2,555,175
*Oceaneering International, Inc....................... 129,000 2,515,500
OceanFirst Financial Corp............................. 164,000 2,798,250
*O'Charleys, Inc...................................... 127,000 1,781,969
*Ocwen Financial Corp................................. 332,300 1,910,725
*ODS Networks, Inc.................................... 110,600 1,610,613
*Offshore Logistics, Inc.............................. 351,900 4,937,597
Ogden Corp............................................ 374,596 3,230,891
Oglebay Norton Co..................................... 47,200 985,300
*Ohio Art Co.......................................... 3,600 30,600
Ohio Casualty Corp.................................... 34,100 408,134
Oil-Dri Corp. of America.............................. 50,800 492,125
*Old Dominion Freight Lines, Inc...................... 134,300 1,225,488
*Olympic Steel, Inc................................... 201,800 876,569
*Omega Protein Corp................................... 486,200 1,367,438
*Omega Worldwide, Inc................................. 42,400 174,900
*OMNI Energy Services Corp............................ 47,800 34,356
*Omtool, Ltd.......................................... 279,400 506,413
*On Command Corp...................................... 63,700 1,043,088
*One Price Clothing Stores, Inc....................... 163,400 388,075
*Ontrack Data International, Inc...................... 23,400 173,306
*Onyx Acceptance Corp................................. 110,600 456,225
*Onyx Pharmacueticals, Inc............................ 1,700 11,794
*Opinion Research Corp................................ 43,900 274,375
*Opta Food Ingredients, Inc........................... 199,600 452,219
*Opti, Inc............................................ 163,800 655,200
*Optika Imaging Systems, Inc.......................... 95,000 602,656
*Option Care, Inc..................................... 800 5,225
*Orbital Sciences Corp................................ 41,300 505,925
Oregon Steel Mills, Inc............................... 516,761 1,130,415
*Oriole Homes Corp. Class A Convertible............... 20,800 39,000
*Oriole Homes Corp. Class B........................... 30,900 50,213
*Orleans Homebuilders, Inc............................ 20,100 32,663
<CAPTION>
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*Oroamerica, Inc...................................... 119,400 $ 869,381
*Orthologic Corp...................................... 359,700 1,663,613
Oshkosh Truck Corp. Class B........................... 89,600 2,741,200
*Oshman's Sporting Goods, Inc......................... 71,000 221,875
*OSI Pharmaceutical, Inc.............................. 77,100 771,000
*OSI Systems, Inc..................................... 74,600 445,269
*Osmonics, Inc........................................ 164,000 1,476,000
*Ostex International, Inc............................. 105,600 207,900
*OTR Express, Inc..................................... 15,000 18,750
*Outlook Group Corp................................... 49,500 275,344
*Outsource International, Inc......................... 83,400 99,038
*Overland Data........................................ 500 4,078
Overseas Shipholding Group, Inc....................... 671,400 15,568,088
Owosso Corp........................................... 107,300 224,659
Oxford Industries, Inc................................ 109,400 1,688,863
*OYO Geospace Corp.................................... 7,000 112,000
*PAM Transportation Services, Inc..................... 45,400 385,900
*Pameco Corp.......................................... 76,500 200,813
Pamrapo Bancorp, Inc.................................. 32,300 639,944
*Pancho's Mexican Buffet, Inc......................... 14,600 52,469
*Panera Bread CO...................................... 205,800 1,749,300
*Par Technology Corp.................................. 157,300 599,706
Park Electrochemical Corp............................. 157,300 3,942,331
*Parker Drilling Co................................... 1,225,900 7,432,019
*Park-Ohio Holdings Corp.............................. 176,835 1,492,045
Parkvale Financial Corp............................... 52,025 929,947
*Parlex Corp.......................................... 55,300 1,228,697
*Parlux Fragrances, Inc............................... 225,300 682,941
Patina Oil & Gas Corp................................. 247,626 4,287,025
Patrick Industries, Inc............................... 93,500 613,594
*Patterson Energy, Inc................................ 83,900 2,026,709
*Paul Harris Stores, Inc.............................. 184,875 496,852
Paula Financial, Inc.................................. 89,900 241,606
*Paul-Son Gaming Corp................................. 32,000 96,000
*Paxar Corp........................................... 103,000 1,036,438
*Paxson Communications Corp........................... 480,700 3,725,425
*Payless Cashways, Inc................................ 4,156 6,689
*PBOC Holdings, Inc................................... 62,600 571,225
*PC Service Source, Inc............................... 91,300 102,713
*PCD, Inc............................................. 17,400 76,125
*Pediatric Services of America, Inc................... 83,900 169,111
*Pediatrix Medical Group, Inc......................... 144,500 1,029,563
Peerless Manufacturing Co............................. 16,000 229,000
*Peerless Systems Corp................................ 81,000 192,375
Penford Corp.......................................... 81,000 1,455,469
*Penn National Gaming, Inc............................ 2,500 34,844
*Penn Traffic Company................................. 1,160 6,525
*Penn Treaty American Corp............................ 116,200 2,287,688
Penn Virginia Corp.................................... 163,900 3,657,019
Penn-America Group, Inc............................... 142,850 1,312,434
Pennfed Financial Services, Inc....................... 128,900 1,724,038
*Pentacon, Inc........................................ 106,200 195,806
*Penwest Pharmaceuticals Company...................... 14,600 168,813
Peoples Bancshares, Inc. Massachusetts................ 32,400 564,975
Pep Boys - Manny, Moe & Jack.......................... 680,100 4,845,713
*Perceptron, Inc...................................... 142,400 565,150
*Perini Corp.......................................... 71,100 204,413
*Perrigo Co........................................... 737,600 4,494,750
*Perry Ellis International, Inc....................... 84,700 824,502
*Per-Se Technologies, Inc............................. 372,566 2,433,322
*Personnel Group of America, Inc...................... 421,100 1,684,400
</TABLE>
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*Petco Animal Supplies, Inc........................... 168,300 $ 3,192,441
*Petrocorp, Inc....................................... 102,600 724,613
*Petroglyph Energy, Inc............................... 9,000 18,281
*Petroleum Development Corp........................... 232,300 1,241,353
*PetSmart, Inc........................................ 86,300 257,552
PFF Bancorp, Inc...................................... 44,200 616,038
*Pharmchem Laboratories, Inc.......................... 64,900 176,447
*Phar-Mor, Inc........................................ 243,300 410,569
*Philadelphia Consolidated Holding Corp............... 16,000 270,500
*Phillips (R.H.), Inc................................. 23,800 66,194
Phillips-Van Heusen Corp.............................. 589,000 5,116,938
*Phoenix International, Ltd........................... 85,750 164,801
Phoenix Investment Partners, Ltd...................... 628,500 5,263,688
*Phoenix Technologies, Ltd............................ 53,500 961,328
*Photo Control Corp................................... 4,200 12,666
*PhotoWorks, Inc...................................... 208,100 627,552
*Phycor, Inc.......................................... 367,700 178,105
Piccadilly Cafeterias, Inc............................ 170,500 490,188
*Pico Holdings, Inc................................... 102,820 1,108,528
*Picturetel Corp...................................... 730,000 2,247,031
Pier 1 Imports, Inc. DE............................... 210,900 1,792,650
*Piercing Pagoda, Inc................................. 28,300 403,275
Pilgrim Pride Corp.................................... 443,600 3,548,800
Pilgrim's Pride Corp.................................. 165,600 983,250
Pillowtex Corp........................................ 216,400 1,027,900
Pinnacle Bancshares, Inc.............................. 10,400 94,900
*Pinnacle Entertainment, Inc.......................... 269,800 5,143,063
*Pinnacle Global Group, Inc........................... 26,200 96,613
*Pinnacle Systems, Inc................................ 97,520 2,331,338
Pioneer Standard Electronics, Inc..................... 417,900 5,001,741
Pitt-Des Moines, Inc.................................. 119,800 2,785,350
Pittston Brink's Group................................ 227,322 3,452,453
*Planar Systems, Inc.................................. 150,600 1,454,231
*Play By Play Toys and Novelties, Inc................. 83,600 142,381
*PLM International, Inc............................... 103,200 767,550
PMR Corp.............................................. 96,900 336,122
Pocahontas Bancorp, Inc............................... 37,700 223,844
*Point West Capital Corp.............................. 14,300 53,178
*Policy Management Systems Corp....................... 35,200 358,600
*Polymedica Industries, Inc........................... 57,240 1,524,015
Polymer Group, Inc.................................... 586,500 4,288,781
*Pomeroy Computer Resource, Inc....................... 20,800 304,850
Pope & Talbot, Inc.................................... 239,000 4,436,438
*Porta Systems Corp................................... 1,300 2,275
*Powell Industries, Inc............................... 50,800 424,656
*Powercerv Corp....................................... 186,000 252,844
*Powertel, Inc........................................ 53,000 4,491,750
*PPT Vision, Inc...................................... 89,000 411,625
Precision Castparts Corp.............................. 65,350 3,185,813
Premier Financial Bancorp............................. 1,100 8,216
*Premiumwear, Inc..................................... 34,900 459,153
Presidential Life Corp................................ 396,700 5,838,928
*Previo, Inc.......................................... 22,300 125,438
*Price Communications Corp............................ 429,887 9,806,797
*Pricesmart, Inc...................................... 36,850 1,321,994
*Pride International, Inc............................. 417,200 10,612,525
*Primark Corp......................................... 439,300 11,421,800
*Prime Hospitality Corp............................... 651,000 5,614,875
*Prime Medical Services, Inc.......................... 168,000 1,317,750
Primesource Corp...................................... 67,254 354,134
*Printronix, Inc...................................... 87,100 1,243,897
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*Printware, Inc....................................... 4,800 $ 13,500
*Procurenet, Inc...................................... 22,400 0
Professional Bancorp, Inc............................. 36,800 128,800
*Professionals Group, Inc............................. 12,510 207,588
*Programmers Paradise, Inc............................ 86,800 295,663
Progress Financial Corp............................... 30,098 357,414
*ProMedCo Management Company.......................... 442,700 518,789
*Protection One, Inc.................................. 1,136,900 2,131,688
*Protocol Systems, Inc................................ 123,200 1,913,450
*Provant, Inc......................................... 52,800 199,650
Providence & Worcester Railroad Co.................... 19,300 129,069
*Provident Financial Holdings, Inc.................... 23,200 340,750
*Proxim, Inc.......................................... 37,200 3,246,863
*PSC, Inc............................................. 9,300 42,141
*PSS World Medical, Inc............................... 142,300 1,200,656
*PTEK Holdings, Inc................................... 144,100 495,344
Pulaski Financial Corp................................ 22,400 260,400
Pulte Corp............................................ 2,600 57,688
*Pure Resources, Inc.................................. 46,421 696,315
*Pure World, Inc...................................... 86,400 267,300
PXRE Group, Ltd....................................... 218,283 3,246,960
Pyramid Breweries, Inc................................ 86,300 167,206
*Qad, Inc............................................. 11,500 43,844
*QEP Co., Inc......................................... 20,200 166,019
*Quad Systems Corp.................................... 72,100 111,530
Quaker Chemical Corp.................................. 71,600 1,185,875
*Quaker City Bancorp, Inc............................. 63,562 913,704
*Quaker Fabric Corp................................... 243,200 1,330,000
*Quality Dining, Inc.................................. 226,200 742,219
Quality Systems, Inc.................................. 80,500 581,109
Quanex Corp........................................... 244,702 3,578,767
*Quantum Corp-Hard Disk Drive Group................... 28,837 272,149
*Quest Diagnostics, Inc............................... 243,400 16,277,375
*Quigley Corp......................................... 22,100 37,984
*Quintel Entertainment, Inc........................... 34,000 80,219
*Quipp, Inc........................................... 1,300 24,294
Quixote Corp.......................................... 56,600 806,550
*Quorum Health Group, Inc............................. 653,100 6,316,702
*R & B, Inc........................................... 129,000 338,625
*Racing Champions Corp................................ 83,100 136,336
*Radiance Medical Systems, Inc........................ 119,800 1,121,253
*RadiSys Corp......................................... 25,911 1,017,816
*Rag Shops, Inc....................................... 55,755 121,964
*Railamerica, Inc..................................... 246,265 1,300,587
*RailWorks Corp....................................... 500 4,656
*Rainforest Cafe, Inc................................. 376,300 1,117,141
*Ramsay Youth Services, Inc........................... 51,266 72,093
Range Resources Corp.................................. 606,891 1,706,881
*Rare Hospitality International, Inc.................. 133,500 3,687,938
Raven Industries, Inc................................. 15,100 205,738
*Rawlings Sporting Goods, Inc......................... 11,300 66,034
*Raytech Corp. DE..................................... 30,300 92,794
*Raytel Med Corp...................................... 160,000 400,000
*RCM Technologies, Inc................................ 236,900 1,902,603
*RDO Equipment Co. Class A............................ 93,800 527,625
*Reading Entertainment, Inc........................... 75,736 392,881
*Read-Rite Corp....................................... 501,800 987,919
*Recoton Corp......................................... 204,932 1,697,093
*Redhook Ale Brewery, Inc............................. 131,700 228,417
Redwood Empire Bancorp................................ 28,200 537,563
*Reebok International, Ltd............................ 818,000 11,349,750
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*Refac................................................ 56,785 $ 181,002
*Regeneron Pharmaceuticals, Inc....................... 389,000 7,901,563
*Rehabilicare, Inc.................................... 17,300 44,872
*Reliability, Inc..................................... 93,300 379,031
Reliance Group Holdings, Inc.......................... 823,000 1,903,188
*Relm Wireless Corp................................... 59,254 146,283
*Remington Oil & Gas Corp............................. 27,500 179,609
*Renaissance Worldwide, Inc........................... 684,500 1,518,734
*Rentrak Corp......................................... 63,000 224,438
*Rent-Way, Inc........................................ 64,000 1,708,000
*Reptron Electronics, Inc............................. 91,500 932,156
*Republic Bankshares, Inc............................. 64,500 632,906
*Republic First Bancorp, Inc.......................... 51,930 228,817
Republic Group, Inc................................... 17,120 158,360
Republic Security Financial Corp...................... 186,272 765,462
*Research Partners International, Inc................. 86,400 132,300
*ResortQuest International, Inc....................... 284,400 1,350,900
Resource America, Inc................................. 232,000 1,602,250
Resource Bancshares Mortgage Group, Inc............... 352,735 1,697,537
*Respironics, Inc..................................... 26,500 425,656
*Response Oncology, Inc............................... 26,500 25,672
*Rex Stores Corp...................................... 93,400 1,973,075
*Rexhall Industries, Inc.............................. 14,099 79,307
*RF Monolithics, Inc.................................. 9,600 87,300
Richardson Electronics, Ltd........................... 105,200 1,291,988
*Riddell Sports, Inc.................................. 125,700 392,813
Riggs National Corp................................... 511,700 7,451,631
*Right Management Consultants, Inc.................... 87,600 897,900
*Rightchoice Managed Care, Inc. Class A............... 47,700 667,800
*Riverside Group, Inc................................. 3,200 12,000
Riverview Bancorp, Inc................................ 62,400 551,850
*Riviera Holdings Corporation......................... 5,500 40,563
RLI Corp.............................................. 142,630 5,188,166
*RMH Teleservices, Inc................................ 84,100 525,625
*Roadhouse Grill, Inc................................. 130,500 734,063
Roadway Express, Inc.................................. 21,600 463,725
Roanoke Electric Steel Corp........................... 149,200 1,972,238
Robbins & Myers, Inc.................................. 3,700 80,013
*Roberds, Inc......................................... 79,700 1,594
*Robinson Nugent, Inc................................. 53,900 606,375
*Robotic Vision Systems, Inc.......................... 171,800 2,034,756
*Rochester Medical Corp............................... 29,000 253,750
*Rock of Ages Co...................................... 88,500 442,500
Rock-Tenn Co. Class A................................. 375,450 3,590,241
*Rocky Shoes & Boots, Inc............................. 75,400 388,781
*Rofin-Sinar Technologies, Inc........................ 33,800 410,881
*Rogue Wave Software, Inc............................. 99,900 427,697
Rollins Truck Leasing Corp............................ 949,850 8,964,209
*Rottlund, Inc........................................ 40,600 93,888
Rouge Industries, Inc. Class A........................ 251,100 1,129,950
*Royal Precision, Inc................................. 14,150 39,355
RPC, Inc.............................................. 167,900 1,783,938
*RTI International Metals, Inc........................ 311,550 4,050,150
*RTW, Inc............................................. 150,700 607,509
*Rural/Metro Corp..................................... 134,500 174,430
*Rush Enterprises, Inc................................ 93,600 649,350
Russ Berrie & Co., Inc................................ 196,300 3,717,431
Russell Corp.......................................... 43,200 961,200
*Ryans Family Steak Houses, Inc....................... 555,400 5,033,313
Ryerson Tull, Inc..................................... 206,939 2,043,523
<CAPTION>
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Ryland Group, Inc..................................... 296,864 $ 6,586,670
*S&K Famous Brands, Inc............................... 106,100 729,438
*S3, Inc.............................................. 345,424 5,515,990
*Safety 1st, Inc...................................... 36,500 503,016
*Safety Components International, Inc................. 40,200 1,809
*Safety-Kleen Corp.................................... 69,500 43,438
*Salient 3 Communications, Inc. Class A............... 72,900 833,794
*Sames Corp........................................... 30,918 525,606
*San Filippo (John B.) & Son, Inc..................... 75,700 264,950
Sanderson Farms, Inc.................................. 225,400 1,514,406
*Sands Regent Casino Hotel............................ 15,492 24,932
*Saucony, Inc. Class A................................ 27,200 291,550
*Saucony, Inc. Class B................................ 36,500 365,000
*Savoir Technology Group, Inc......................... 199,700 1,585,119
*SBE, Inc............................................. 2,100 39,309
*SBS Technologies, Inc................................ 37,900 1,231,750
*Scan-Optics, Inc..................................... 120,100 118,223
*ScanSoft, Inc........................................ 46,577 112,804
*SCB Computer Technology, Inc......................... 32,900 69,913
*Scheid Vineyards, Inc................................ 26,500 101,031
*Schein (Henry), Inc.................................. 57,200 1,009,938
*Scherer Healthcare, Inc.............................. 900 3,347
*Schieb (Earl), Inc................................... 72,200 230,138
*Schlotzskys, Inc..................................... 168,800 1,018,075
Schnitzer Steel Industries, Inc. Class A.............. 76,700 1,143,309
*Schuff Steel Company................................. 112,000 364,000
*Schuler Homes, Inc................................... 365,100 2,259,056
Schulman (A.), Inc.................................... 186,300 2,218,134
Schultz Sav-O Stores, Inc............................. 15,300 174,038
Schweitzer-Maudoit International, Inc................. 180,900 2,487,375
*Scios-Nova, Inc...................................... 119,500 515,344
Scope Industries, Inc................................. 8,100 373,613
SCPIE Holdings, Inc................................... 95,200 2,314,550
Seaboard Corp......................................... 28,440 5,232,960
Seacoast Financial Services Corp...................... 123,869 1,087,725
*Seacor Smit, Inc..................................... 164,900 10,574,213
*Secom General Corp................................... 11,500 92,359
*SED International Holdings, Inc...................... 129,700 417,472
*SEEC, Inc............................................ 31,000 140,953
*Segue Software, Inc.................................. 68,900 589,956
*Seibels Bruce Group, Inc............................. 89,700 140,156
*Seitel, Inc.......................................... 337,700 2,870,450
Selas Corp. of America................................ 73,500 404,250
*Select Comfort Corp.................................. 33,000 125,297
Selective Insurance Group, Inc........................ 386,400 7,160,475
*Semitool, Inc........................................ 135,000 1,911,094
*SEMX Corp............................................ 104,700 827,784
*Seneca Foods Corp. Class B........................... 10,500 120,750
*Sensormatic Electronics Corp......................... 690,400 10,830,650
*Sequa Corp. Class A.................................. 89,800 4,282,338
*Sequa Corp. Class B.................................. 31,400 1,805,500
*SeraCare, Inc........................................ 1,500 3,656
*Servotronics, Inc.................................... 400 1,500
*SGV Bancorp, Inc..................................... 3,300 80,541
*Sharper Image Corp................................... 23,400 262,519
*Shaw Group, Inc...................................... 118,600 5,173,925
*Sheldahl, Inc........................................ 133,650 628,573
*Shells Seafood Restaurants, Inc...................... 42,100 89,463
*Shiloh Industries, Inc............................... 156,600 1,605,150
*Shoe Carnival, Inc................................... 160,800 1,170,825
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*Shoe Pavilion, Inc................................... 3,400 $ 5,313
*Sholodge, Inc........................................ 76,800 312,000
*Shoney's, Inc........................................ 594,304 371,440
*Shopko Stores, Inc................................... 131,400 2,414,475
*Sierra Health Services, Inc.......................... 490,100 2,052,294
Sifco Industries, Inc................................. 76,615 469,267
*Sight Resource Corp.................................. 96,800 86,213
*Sigmatron International, Inc......................... 16,800 71,925
*Signal Technology Corp............................... 74,900 1,109,456
*Signature Eyewear, Inc............................... 17,000 27,625
*Silicon Storage Technology, Inc...................... 21,600 1,604,475
*Silicon Valley Group, Inc............................ 374,700 9,964,678
*Silverleaf Resorts, Inc.............................. 242,500 863,906
*Simione Central Holdings, Inc........................ 29,400 80,208
Simmons First National Corp. Class A.................. 42,200 805,756
*Simon Transportation Services, Inc................... 91,300 522,122
Simpson Industries, Inc............................... 287,400 2,532,713
*Simula, Inc.......................................... 80,450 155,872
*Sitel Corp........................................... 834,900 4,852,856
*Sizzler International, Inc........................... 253,300 744,069
Sky Financial Group, Inc.............................. 12,255 189,570
*Skyepharma P.L.C. ADR................................ 4,400 60,232
Skyline Corp.......................................... 112,800 2,326,500
Skywest, Inc.......................................... 88,200 3,365,381
*Smart & Final Food, Inc.............................. 252,200 2,064,888
*SMC Corp............................................. 74,100 294,084
Smith (A.O.) Corp..................................... 238,050 4,999,050
Smith (A.O.) Corp. Convertible Class A................ 75,350 1,591,769
*Smithway Motor Express Corp. Class A................. 73,200 187,575
*Softech, Inc......................................... 58,000 63,438
*Software Spectrum, Inc............................... 54,300 785,653
*Sola International, Inc.............................. 448,600 2,243,000
*Sonic Automotive, Inc................................ 218,500 2,130,375
*SOS Staffing Services, Inc........................... 156,800 475,300
*Sound Advice, Inc.................................... 25,100 248,647
South Financial Group, Inc............................ 113,290 1,423,206
South Jersey Industries, Inc.......................... 185,777 4,841,813
*Southern Energy Homes, Inc........................... 168,100 189,113
*Southern Pacific Funding Corp........................ 120,000 3,000
*Southwall Technologies, Inc.......................... 86,600 722,569
Southwestern Energy Co................................ 462,300 4,276,275
Sovereign Bancorp, Inc................................ 43,160 296,051
*Spacehab, Inc........................................ 84,400 374,525
*Spacelabs Medical, Inc............................... 170,300 1,931,841
Span-American Medical System, Inc..................... 25,900 94,292
*SPAR Group, Inc...................................... 8,500 21,781
Spartan Motors, Inc................................... 285,200 1,265,575
*Sparton Corp......................................... 108,700 448,388
*Special Metals Corp.................................. 47,800 112,031
*Spectrian Corp....................................... 71,500 1,081,438
*Spectrum Control, Inc................................ 101,500 1,008,656
*SpeedFam-IPEC, Inc................................... 303,747 3,996,171
*Speizman Industries, Inc............................. 40,400 146,450
*Splash Technology Holdings, Inc...................... 21,100 166,822
*Sport Chalet, Inc.................................... 45,900 223,763
*Sport Supply Group, Inc.............................. 93,500 444,125
*Sport-Haley, Inc..................................... 60,800 261,250
*Sports Authority, Inc................................ 610,400 1,297,100
*Sports Club Co., Inc................................. 115,700 390,488
*Sportsman's Guide, Inc............................... 90,700 266,431
<CAPTION>
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Springs Industries, Inc. Class A...................... 19,300 $ 916,750
*SPS Technologies, Inc................................ 7,200 252,900
*SS&C Technologies, Inc............................... 9,800 44,866
*SSE Telecom, Inc..................................... 64,600 177,650
St. Francis Capital Corp.............................. 106,100 1,462,191
St. Mary Land & Exploration Co........................ 53,500 1,927,672
*Staffmark, Inc....................................... 257,200 1,269,925
*Stage II Apparel Corp................................ 31,600 31,600
*Stage Stores, Inc.................................... 32,200 5,031
Standard Commercial Corp.............................. 180,380 563,688
*Standard Management Corp............................. 112,100 381,841
*Standard Microsystems Corp........................... 216,600 2,822,569
Standard Motor Products, Inc. Class A................. 164,150 1,590,203
Standard Pacific Corp. DE............................. 659,300 7,499,538
Standard Register Co.................................. 84,400 1,144,675
*Stanley Furniture, Inc............................... 118,400 2,675,100
*Star Buffet, Inc..................................... 7,200 19,125
*Star Multi Care Services, Inc........................ 19,034 36,878
*STAR Telecommunications, Inc......................... 113,400 237,431
*Starcraft Corp....................................... 27,300 209,869
Starrett (L.S.) Co. Class A........................... 58,400 1,186,250
*Starter Corp......................................... 237,200 1,305
State Auto Financial Corp............................. 125,900 1,408,506
State Financial Services Corp. Class A................ 62,000 629,688
*Station Casinos, Inc................................. 222,700 6,040,738
Steel Technologies, Inc............................... 214,600 1,602,794
*Stein Mart, Inc...................................... 74,200 577,369
*Steinway Musical Instruments, Inc.................... 11,900 206,763
Stepan Co............................................. 128,900 2,819,688
Stephan Co............................................ 50,600 183,425
*Sterile Recoveries, Inc.............................. 30,100 201,294
Sterling Bancorp...................................... 67,075 1,064,816
*Sterling Financial Corp. WA.......................... 102,880 1,064,165
Stewart & Stevenson Services, Inc..................... 368,600 5,137,363
Stewart Enterprises, Inc.............................. 2,444,700 9,855,197
Stewart Information Services Corp..................... 163,200 2,060,400
Stifel Financial Corp................................. 86,472 821,484
*STM Wireless, Inc. Class A........................... 95,100 422,006
Stone & Webster, Inc.................................. 205,200 198,788
*Stoneridge, Inc...................................... 252,500 2,840,625
*Stratasys, Inc....................................... 32,700 201,820
*Strategic Distribution, Inc.......................... 674,788 1,433,925
*Stratus Properties, Inc.............................. 175,000 809,375
*Strawbridge and Clothier Liquidating Trust........... 71,881 10,760
Stride Rite Corp...................................... 459,500 3,015,469
*Strouds, Inc......................................... 144,100 299,458
*Suburban Lodges of America, Inc...................... 238,200 1,339,875
*Success Bancshares, Inc.............................. 11,100 113,775
*Successories, Inc.................................... 141,800 270,306
*Summa Industries, Inc................................ 8,000 87,250
*Sunbeam Corp......................................... 56,000 175,000
*Sunburst Hospitality Corp............................ 42,750 189,703
*Sundance Homes, Inc.................................. 40,500 13,365
*Sunrise Assisted Living, Inc......................... 69,200 1,260,738
*Sunrise Medical, Inc................................. 370,900 1,645,869
*Sunrise Resources, Inc............................... 88,900 437,555
*Sunterra Corp........................................ 438,800 150,838
*Superior Consultant Holdings Corp.................... 3,900 30,530
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*Superior National Insurance Group, Inc............... 228,500 $ 20,565
Superior Surgical Manufacturing Co., Inc.............. 140,500 1,211,813
*Suprema Specialties, Inc............................. 50,500 448,188
Susquehanna Bancshares, Inc........................... 189,772 2,591,574
*Swift Energy Corp.................................... 174,500 4,482,469
*Swiss Army Brands, Inc............................... 90,500 477,953
*Sybase, Inc.......................................... 93,200 1,773,713
*Sybron Chemicals, Inc................................ 17,100 337,725
*Sylvan Learning Systems, Inc......................... 2,200 24,888
*Sylvan, Inc.......................................... 104,000 1,020,500
*Symmetricom, Inc..................................... 244,200 3,663,000
*Symons International Group, Inc...................... 37,500 26,367
*Symphonix Devices, Inc............................... 21,300 77,213
*Syms Corp............................................ 225,600 775,500
Synalloy Corp. DE..................................... 92,850 696,375
*Synaptic Pharmaceutical Corp......................... 70,100 332,975
*Synbiotics Corp...................................... 106,100 238,725
*Sync Research, Inc................................... 50,280 166,553
*Syncor International Corp. DE........................ 65,600 3,243,100
*Syntellect, Inc...................................... 206,800 1,008,150
*Sypris Solutions, Inc................................ 26,250 252,656
*Systemax, Inc........................................ 242,000 1,648,625
*T&W Financial Corp................................... 55,300 0
Tab Products Co. DE................................... 69,000 332,063
*Taco Cabana, Inc..................................... 181,400 1,162,094
*Taitron Components, Inc.............................. 6,500 19,500
Talbots, Inc.......................................... 16,300 931,138
*Tandy Brand Accessories, Inc......................... 24,200 159,569
*Tandy Crafts, Inc.................................... 181,900 545,700
*Tarrant Apparel Group................................ 29,800 242,125
Tasty Baking Co....................................... 4,200 50,138
*TBA Entertainment Corp............................... 138,000 539,063
*TBC Corp............................................. 416,900 2,012,845
TCBY Enterprises, Inc................................. 279,066 1,395,330
*TCC Industries, Inc.................................. 24,800 2,108
*TCI International, Inc............................... 27,600 182,850
*TCSI Corp............................................ 413,700 749,831
*TEAM America Corp.................................... 2,500 9,414
*Team, Inc............................................ 85,500 208,406
*Technical Communications Corp........................ 6,300 30,319
Technology Research Corp.............................. 65,400 128,756
*Tech-Sym Corp........................................ 85,100 1,861,563
*Tegal Corp........................................... 208,000 893,750
*Telescape International, Inc......................... 1,200 9,375
*Telxon Corp.......................................... 137,800 2,144,513
*Temtex Industries, Inc............................... 35,700 40,163
*Terex Corp........................................... 2,800 44,625
Terra Industries, Inc................................. 1,478,300 3,141,388
*Tesoro Petroleum Corp................................ 668,500 6,852,125
*Tesseract Group, Inc................................. 117,200 36,625
*Tetra Technologies, Inc.............................. 257,400 3,330,113
Texas Industries, Inc................................. 98,662 2,830,366
*Texfi Industries, Inc................................ 4,800 96
TF Financial Corp..................................... 32,100 453,413
*TFC Enterprises, Inc................................. 19,900 41,666
*Thermedics, Inc...................................... 84,000 708,750
*Thermo Ecotek Corp................................... 38,000 296,875
*Thermo Terratech, Inc................................ 130,000 975,000
Thermoretec Corp...................................... 118,100 826,700
*Thermotrex Corp...................................... 22,300 221,606
<CAPTION>
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*Thomas Group, Inc.................................... 40,400 $ 393,900
Thomas Industries, Inc................................ 138,650 2,773,000
*Thomaston Mills, Inc................................. 34,800 33,713
Thor Industries, Inc.................................. 3,900 91,163
*Thorn Apple Valley, Inc.............................. 82,215 7,605
*Three Rivers Bancorp, Inc............................ 71,850 577,045
*Tier Technologies, Inc. Class B...................... 55,100 277,222
*TII Industries, Inc.................................. 104,700 207,764
Timberland Bancorp, Inc............................... 34,500 320,203
*Tipperary Corp....................................... 129,200 371,450
Titan International, Inc.............................. 260,000 1,543,750
Titanium Metals Corp.................................. 541,600 2,369,500
*Today's Man, Inc..................................... 94,500 48,727
*Todd Shipyards Corp.................................. 140,000 997,500
*Todd-AO Corp. Class A................................ 40 808
*Toddhunter International, Inc........................ 76,000 622,250
*Tokheim Corp......................................... 73,400 100,925
*Toll Brothers, Inc................................... 15,900 308,063
Toro Co............................................... 84,300 2,655,450
*Total Entertainment Restaurant Corp.................. 16,500 39,188
*Total Renal Care Holdings, Inc....................... 297,400 1,171,013
*Tower Air, Inc....................................... 166,400 24,128
*Tower Automotive, Inc................................ 43,000 596,625
*Toymax International, Inc............................ 16,800 42,000
*Track 'n Trail, Inc.................................. 13,800 9,272
*Tractor Supply Co.................................... 67,900 1,031,231
*Trailer Bridge, Inc.................................. 84,000 85,313
*Trans World Airlines, Inc............................ 638,300 1,555,856
*Transact Technologies, Inc........................... 10,900 110,363
*Transcoastal Marine Services, Inc.................... 183,600 88,931
*Transfinancial Holdings, Inc......................... 68,700 120,225
*Transmation, Inc..................................... 60,000 145,313
*Transmedia Network, Inc.............................. 36,700 112,394
*Transmontaigne Oil Co................................ 62,400 421,200
Transport Lux Corp.................................... 2,746 14,760
*Transportation Components, Inc....................... 310,800 602,175
Transpro, Inc......................................... 69,700 313,650
Transtechnology Corp.................................. 93,400 805,575
*Transworld Healthcare, Inc........................... 228,600 350,044
*TRC Companies, Inc................................... 91,450 960,225
Tremont Corp. DE...................................... 70,633 1,174,274
*Trend-Lines, Inc. Class A............................ 70,900 89,733
Trenwick Group, Inc................................... 318,551 4,778,265
*Trex Medical Corp.................................... 288,600 541,125
*Triad Hospitals, Inc................................. 13,500 289,406
*Trico Marine Services, Inc........................... 429,900 4,178,091
*Trident Microsystems, Inc............................ 169,200 1,422,338
*Tridex Corp.......................................... 82,000 62,781
*Trimark Holdings, Inc................................ 30,300 242,873
*TriPath Imaging, Inc................................. 89,287 439,459
*Triple S Plastics, Inc............................... 33,100 535,806
*Tripos, Inc.......................................... 43,766 700,256
*Triumph Group........................................ 113,700 3,183,600
*TRM Copy Centers Corp................................ 94,000 475,875
*Trump Hotels & Casino Resorts, Inc................... 492,600 1,354,650
Tucker Anthony Sutro Corp............................. 227,700 3,899,363
*Tultex Corp.......................................... 96,807 1,210
Tuscarora, Inc........................................ 200 2,538
Twin Disc, Inc........................................ 35,200 545,600
*Twinlab Corp......................................... 112,700 806,509
*Tyler Technologies, Inc.............................. 190,600 762,400
U.S. Bancorp, Inc..................................... 143,700 660,122
</TABLE>
112
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*U.S. Diagnostic, Inc................................. 280,000 $ 218,750
*U.S. Home & Garden, Inc.............................. 11,600 29,363
*U.S. Office Products, Co............................. 495,100 502,836
*U.S. Vision, Inc..................................... 52,500 90,234
*Ubics, Inc........................................... 52,000 131,625
*Ugly Duckling Corp................................... 220,800 1,593,900
*UICI................................................. 712,700 3,474,413
*Ultimate Electronics, Inc............................ 119,300 2,967,588
*Ultrak, Inc.......................................... 176,500 1,180,344
*Ultralife Batteries, Inc............................. 146,000 1,099,563
*Ultratech Stepper, Inc............................... 238,600 3,355,313
*Unapix Entertainment, Inc............................ 62,900 70,763
*Unicapital Corp...................................... 174,500 119,969
Unico American Corp................................... 76,300 468,530
*UniComp, Inc......................................... 8,100 21,769
*Unifab International, Inc............................ 21,700 158,681
*Unifi, Inc........................................... 424,500 5,412,375
Unifirst Corp......................................... 156,400 1,280,525
*Unimark Group, Inc................................... 126,600 94,950
*Uni-Marts, Inc....................................... 103,200 206,400
*Union Acceptance Corp. Class A....................... 67,900 337,378
*Uniroyal Technology Corp............................. 29,200 465,375
*Unit Corp............................................ 315,900 4,165,931
*United American Healthcare Corp.,.................... 80,200 50,125
*United Auto Group, Inc............................... 50,100 447,769
United Community Financial Corp....................... 49,800 294,131
*United Companies Financial Corp...................... 79,900 2,797
United Fire Casualty Co............................... 18,750 325,195
United Industrial Corp................................ 219,600 1,935,225
United National Bancorp............................... 11,832 217,413
*United Natural Foods, Inc............................ 129,900 1,968,797
*United Retail Group, Inc............................. 169,300 1,349,109
*United Road Services, Inc............................ 5,380 21,520
*United States Energy Corp............................ 27,600 79,350
United Wisconsin Services, Inc........................ 244,800 1,407,600
*Unitel Video, Inc.................................... 29,500 590
*Universal American Financial Corp.................... 56,200 210,750
Universal Corporation................................. 85,200 1,975,575
Universal Forest Products, Inc........................ 18,900 248,653
*Universal Stainless & Alloy Products, Inc............ 118,900 817,438
*Uno Restaurant Corp.................................. 113,410 1,375,096
*Unova, Inc........................................... 164,600 2,273,538
*Urocor, Inc.......................................... 146,200 548,250
*Urologix, Inc........................................ 187,500 791,016
*URS Corp............................................. 81,602 1,071,026
*US Can Corp.......................................... 43,800 722,700
*US Liquids, Inc...................................... 77,600 378,300
*US Oncology, Inc..................................... 1,651,864 7,897,975
*US Xpress Enterprises, Inc. Class A.................. 153,690 1,080,633
*USA Floral Products, Inc............................. 193,000 159,828
*USA Truck, Inc....................................... 46,100 302,531
*Usec, Inc............................................ 111,000 513,375
*UTI Energy Corp...................................... 117,000 5,001,750
*Utilx Corp........................................... 81,600 306,000
*V.I. Technologies, Inc............................... 15,800 114,550
*Vail Resorts, Inc.................................... 79,175 1,266,800
*Valence Technology, Inc.............................. 61,700 900,434
*Valley National Gases, Inc........................... 13,800 69,000
*Value City Department Stores, Inc.................... 416,600 4,139,963
*Valuevision International, Inc. Class A.............. 199,800 5,787,956
*Vans, Inc............................................ 147,700 2,307,813
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Varco International, Inc............................. 220,200 $ 4,789,350
*Vari L Co., Inc...................................... 54,900 530,986
*Variflex, Inc........................................ 71,500 413,359
*Venator Group, Inc................................... 923,000 9,979,938
*Verdant Brands, Inc.................................. 8,700 12,098
*Verilink Corp........................................ 208,400 1,445,775
*Veritas DGC, Inc..................................... 95,400 2,635,425
*Verity, Inc.......................................... 64,100 2,169,384
*Versar, Inc.......................................... 1,300 2,763
Vesta Insurance Group, Inc............................ 288,200 1,711,188
*Vestcom International, Inc........................... 128,700 506,756
*Veterinary Centers of America, Inc................... 355,400 4,831,219
*Viasoft, Inc......................................... 195,700 1,623,698
*Vicon Industries, Inc................................ 71,500 227,906
*Vicorp Restaurants, Inc.............................. 134,600 2,536,369
*Video Display Corp................................... 55,200 391,575
*Video Services Corp.................................. 27,000 84,375
*Videonics, Inc....................................... 58,000 51,656
*Viisage Technology, Inc.............................. 10,400 30,713
Vintage Petroleum, Inc................................ 315,200 7,486,000
Virco Manufacturing Corp.............................. 123,898 1,300,929
Virginia Gas Co....................................... 22,100 58,703
*Vision Twenty-One, Inc............................... 33,300 16,130
*VisionAmerica, Inc................................... 41,200 27,038
Vital Signs, Inc...................................... 194,000 4,037,625
*Vitech America, Inc.................................. 1,400 8,356
*Volt Information Sciences, Inc....................... 164,600 4,752,825
*VTEL Corp............................................ 369,300 1,327,172
Vulcan International Corp............................. 12,200 403,363
*Vysis, Inc........................................... 18,500 145,109
Wabash National Corp.................................. 234,900 3,009,656
*Wackenhut Corp. Class A.............................. 59,000 785,438
*Wackenhut Corp. Class B Non-Voting................... 56,300 464,475
*Walker Interactive Systems, Inc...................... 169,100 536,364
*Wall Street Deli, Inc................................ 39,700 43,422
Wallace Computer Services, Inc........................ 182,400 1,824,000
Walter Industries, Inc................................ 19,500 210,844
Warnaco Group, Inc.................................... 73,900 498,825
*Warrantech Corp...................................... 227,000 198,625
Warren Bancorp, Inc................................... 72,000 542,250
*Washington Homes, Inc................................ 119,500 642,313
Washington Savings Bank FSB........................... 25,100 80,006
*Waste Connections, Inc............................... 206,800 4,006,750
*Waterlink, Inc....................................... 232,200 638,550
Watsco, Inc. Class A.................................. 294,600 4,363,763
Watts Industries, Inc. Class A........................ 290,400 3,303,300
*Webb (Del) Corp...................................... 341,388 5,206,167
*Webco Industries, Inc................................ 97,300 383,119
Weider Nutrition International, Inc................... 83,600 271,700
*Weirton Steel Corp................................... 738,900 3,371,231
Wellco Enterprises, Inc............................... 4,800 38,400
Wellman, Inc.......................................... 591,200 11,639,250
*Wells-Gardner Electronics Corp....................... 50,384 173,195
Werner Enterprises, Inc............................... 355,737 4,457,829
*West Marine, Inc..................................... 89,200 721,963
West Pharmaceutical Services, Inc..................... 161,800 3,802,300
Westbank Corp......................................... 1,400 12,075
*Westcoast Hospitality Corp........................... 303,100 2,349,025
Westcorp, Inc......................................... 431,056 4,687,734
Westerfed Financial Corp.............................. 71,600 1,024,775
Western Ohio Financial Corp........................... 21,700 324,144
*Western Water Co..................................... 34,000 7,969
</TABLE>
113
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Weston (Roy F.), Inc. Class A........................ 93,300 $ 294,478
*Wet Seal, Inc. Class A............................... 23,400 269,100
Weyco Group, Inc...................................... 2,400 59,100
*WFS Financial, Inc................................... 236,300 3,729,109
Whitney Holdings Corp................................. 37,600 1,465,225
*WHX Corp............................................. 372,500 2,188,438
*Wickes Lumber Co..................................... 96,600 519,225
*Williams Clayton Energy, Inc......................... 121,700 3,156,594
*Williams Industries, Inc............................. 3,400 9,563
*Willis Lease Finance Corp............................ 71,700 542,231
*Wilshire Financial Sevices Group, Inc................ 2,092 3,269
*Wilshire Oil Co. of Texas............................ 118,214 406,361
Winnebago Industries, Inc............................. 80,200 1,122,800
*Wisconsin Central Transportation Corp................ 16,100 210,306
*Wiser Oil Co......................................... 137,575 412,725
*WLR Foods, Inc....................................... 240,006 1,110,028
*Wolf (Howard B.), Inc................................ 5,000 5
Wolohan Lumber Co..................................... 81,978 917,129
*Wolverine Tube, Inc.................................. 185,300 3,057,450
Wolverine World Wide, Inc............................. 63,000 708,750
Woodhead Industries, Inc.............................. 142,000 2,294,188
Woodward Governor Co.................................. 49,200 1,200,788
*Workgroup Technology Corp............................ 91,600 62,975
World Fuel Services Corp.............................. 177,295 1,207,822
*Worldpages.com, Inc.................................. 163,300 1,143,100
*Worldtex, Inc........................................ 255,300 103,716
*WPI Group, Inc....................................... 117,600 167,213
*Wyant Corp........................................... 800 1,150
*Xetel Corp........................................... 131,500 230,125
*Xicor, Inc........................................... 53,100 360,084
*Xtra Corp............................................ 118,200 5,326,388
Yardville National Bancorp............................ 53,570 564,159
*Yellow Corp.......................................... 402,300 6,600,234
York Financial Corp................................... 115,005 1,444,750
York Group, Inc....................................... 114,900 416,513
*York Research Corp................................... 3,800 3,978
*Zap.com Corp......................................... 2,558 7,994
*Zapata Corp.......................................... 243,400 912,750
*Zaring National Corp................................. 50,500 168,859
*Zemex Corp........................................... 89,658 728,471
Zenith National Insurance Corp........................ 215,300 5,113,375
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ziegler Co., Inc...................................... 7,700 $ 142,931
*Zoll Medical Corp.................................... 20,600 1,028,713
*Zoltek Companies, Inc................................ 44,200 294,206
*Zygo Corp............................................ 31,800 1,043,438
*Zymetx, Inc.......................................... 16,400 34,338
--------------
TOTAL COMMON STOCKS
(Cost $2,829,121,848)................................ 2,717,737,132
--------------
RIGHTS/WARRANTS -- (0.0%)
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 579,500 26,367
*Golden Books Family Entertainment Warrants
01/01/02............................................ 561 526
*Skyepharma P.L.C. Contingent Payment Rights.......... 55,300 0
*Westcorp, Inc. Rights 06/15/00....................... 431,056 94,294
--------------
TOTAL RIGHTS/WARRANTS
(Cost $833,588)...................................... 121,187
--------------
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holdings (Senior Preferred 12%)
(Cost $0)........................................... 93,300 47,117
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $29,958,549) to be
repurchased at $29,519,878.
(Cost $29,515,000).................................. $ 29,515 29,515,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$2,859,470,436)++.................................... $2,747,420,436
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $2,859,657,905.
</TABLE>
See accompanying Notes to Financial Statements.
114
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (100.0%)
*@track Communications, Inc........................... 22,300 $ 63,416
*1-800 CONTACTS, Inc.................................. 5,900 168,887
*21st Century Holding Co.............................. 1,100 5,706
*24/7 Media, Inc...................................... 5,300 75,691
*3-D Systems Corp..................................... 15,100 177,897
*3Dfx Interactive, Inc................................ 29,443 218,062
*3DO Co............................................... 41,000 229,344
*4Front Software International, Inc................... 15,000 209,531
*800-Jr Cigar, Inc.................................... 11,500 115,359
*8X8, Inc............................................. 22,500 172,266
*99 Cents Only Stores................................. 6,400 230,000
*A Consulting Team, Inc............................... 5,500 36,094
*A.C. Moore Arts & Crafts, Inc........................ 7,400 42,666
*AAON, Inc............................................ 7,600 185,012
AAR Corp.............................................. 32,800 455,100
Aaron Rents, Inc. Class A............................. 4,900 72,887
Aaron Rents, Inc. Class B............................. 14,400 187,200
*Aastrom Biosciences, Inc............................. 23,800 62,847
*Abaxis, Inc.......................................... 18,100 112,559
ABC Bancorp........................................... 8,310 82,581
*ABC Rail Products Corp............................... 23,500 147,609
Abington Bancorp, Inc................................. 3,900 36,319
*Abiomed, Inc......................................... 13,200 504,075
*Able Telcom Holding Corp............................. 19,900 37,934
*Ablest, Inc.......................................... 2,100 10,369
ABM Industries, Inc................................... 26,800 621,425
Abrams Industries, Inc................................ 200 762
*Abraxas Petroleum Corp............................... 4,200 6,258
*Acacia Research Corp................................. 18,500 292,531
*Accelr8 Technology Corp.............................. 6,500 8,531
*Acceptance Insurance Companies, Inc.................. 17,600 90,200
*Access Worldwide Communications, Inc................. 12,400 16,662
*Acclaim Entertainment, Inc........................... 69,800 166,866
*Ace Cash Express, Inc................................ 13,100 189,131
*Ace Comm Corp........................................ 10,900 60,291
Aceto Corp............................................ 6,000 64,125
Ackerley Group, Inc................................... 28,300 343,137
*Acme Electric Corp................................... 4,600 38,094
*Acme Metals, Inc..................................... 11,000 1,815
*Acme United Corp..................................... 3,100 7,362
*Acorn Products, Inc.................................. 5,300 8,281
*ACT Manufacturing, Inc............................... 21,200 668,462
*ACT Networks, Inc.................................... 13,400 156,194
*Actel Corp........................................... 22,800 661,912
*Action Performance Companies, Inc.................... 21,400 171,869
*Actionpoint, Inc..................................... 5,600 55,650
*Active Apparel Group, Inc............................ 1,500 6,141
*Active Voice Corp.................................... 13,200 88,687
*Activision, Inc...................................... 27,600 171,206
*Actrade International, Ltd........................... 10,300 155,787
*Actuate Corp......................................... 23,400 543,319
*Acuson Corp.......................................... 33,100 405,475
*Adac Laboratories.................................... 26,866 518,010
*adam.com, Inc........................................ 7,000 25,375
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Adams Resources & Energy, Inc......................... 5,400 $ 89,437
*Adaptive Broadband Corp.............................. 22,000 582,312
*ADE Corp............................................. 17,400 266,437
*Adept Technology, Inc................................ 12,500 261,719
*Administaff, Inc..................................... 16,100 836,194
*Advance Lighting Technologies, Inc................... 26,500 277,422
*Advance Paradigm, Inc................................ 26,000 407,875
*Advanced Aerodynamics & Structures, Inc.............. 5,000 17,578
*Advanced Digital Information Corp.................... 10,000 126,562
*Advanced Magnetics, Inc.............................. 8,700 58,725
Advanced Marketing Services, Inc...................... 16,600 306,581
*Advanced Materials Group, Inc........................ 237 196
*Advanced Neuromodulation Systems, Inc................ 7,700 94,325
*Advanced Nutraceuticals, Inc......................... 2,800 4,331
*Advanced Photonix, Inc. Class A...................... 14,100 26,437
*Advanced Polymer Systems, Inc........................ 21,600 74,250
*Advanced Radio Telecom Corp.......................... 31,700 328,887
*Advanced Technical Products, Inc..................... 3,600 15,075
*Advanced Tissue Sciences, Inc........................ 65,800 258,059
Advanta Corp. Class A................................. 12,500 210,547
Advanta Corp. Class B Non-Voting...................... 17,800 215,269
*Advantage Learning Systems, Inc...................... 44,400 577,200
*Advantica Restaurant Group, Inc...................... 48,400 35,544
Advest Group, Inc..................................... 9,800 187,425
*Advo, Inc............................................ 24,800 796,700
*Aehr Test Systems.................................... 8,200 48,687
*AEP Industries, Inc.................................. 9,700 160,353
*Aeroflex, Inc........................................ 20,500 738,000
*Aerosonic Corp....................................... 5,100 49,725
*Aerovox, Inc......................................... 6,500 20,922
*Aetrium, Inc......................................... 11,300 61,091
*Affiliated Managers Group, Inc....................... 13,600 455,600
*Affinity Technology Group, Inc....................... 33,600 24,675
*Aftermarket Technology Corp.......................... 22,600 133,481
*AG Services America, Inc............................. 6,800 110,925
*Ag-Chem Equipment Co., Inc........................... 8,000 51,000
Agco Corp............................................. 68,500 856,250
*Agribiotech, Inc..................................... 22,100 718
*Agribrands International, Inc........................ 7,000 290,062
*Agritope, Inc........................................ 2,040 5,801
*AHL Services, Inc.................................... 20,800 159,900
*AHT Corp............................................. 10,900 12,944
*Air Methods Corp..................................... 8,300 29,050
*Airgas, Inc.......................................... 75,700 406,887
*Airnet Systems, Inc.................................. 12,500 55,859
*Airtran Holdings, Inc................................ 78,000 320,531
*Akorn, Inc........................................... 23,900 191,573
*Aksys, Ltd........................................... 18,000 141,187
Alabama National Bancorporation....................... 13,900 263,231
Alamo Group, Inc...................................... 8,700 103,856
*Alaris Medical, Inc.................................. 69,400 99,762
*Albany International Corp. Class A................... 33,404 478,095
*Alcide Corp.......................................... 2,300 31,337
*Aldila, Inc.......................................... 13,900 22,370
*Alexion Pharmaceuticals, Inc......................... 16,500 615,141
</TABLE>
115
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Alfa Corp............................................. 43,100 $ 734,047
*Algos Pharmaceutical Corp............................ 17,000 214,094
Alico, Inc............................................ 9,100 139,912
*Align-Rite International, Inc........................ 5,100 105,187
*All American Semiconductor, Inc...................... 5,100 52,912
*Allcity Insurance Co................................. 200 1,487
Allegiant Bancorp, Inc................................ 4,700 42,741
Allen Organ Co. Class B............................... 800 51,450
*Allen Telecom, Inc................................... 35,900 574,400
Alliance Bancorp...................................... 11,455 202,252
*Alliance Gaming Corp................................. 8,265 12,656
*Alliance Pharmaceuticals Corp........................ 51,600 443,437
*Alliance Semiconductor Corp.......................... 36,400 900,900
*Alliant Techsystems, Inc............................. 9,400 648,600
*Allied Healthcare Products, Inc...................... 6,700 22,194
*Allied Holdings, Inc................................. 8,400 53,550
Allied Products Corp.................................. 14,250 18,703
*Allied Research Corp................................. 6,300 48,825
*Allin Communications Corp............................ 7,800 18,525
*Allou Health & Beauty Care, Inc. Class A............. 5,800 39,875
*Alltrista Corp....................................... 8,100 198,956
*Almost Family, Inc................................... 1,600 4,050
*Alpha Microsystems, Inc.............................. 14,000 53,812
*Alpha Technologies Group, Inc........................ 8,500 74,109
*Alphanet Solutions, Inc.............................. 6,900 31,912
Alpharma, Inc. Class A................................ 13,000 643,500
*Alpine Group, Inc.................................... 19,000 125,875
*Alteon, Inc.......................................... 16,200 25,819
*Alternative Resources Corp........................... 19,200 27,000
*Alterra Healthcare Corp.............................. 28,700 55,606
*Alyn Corp............................................ 10,000 6,562
*Alysis Technologies, Inc............................. 2,000 6,187
Ambanc Holding Co., Inc............................... 8,300 120,091
*Ambassadors, Inc..................................... 11,700 159,047
*AMBI, Inc............................................ 32,800 93,275
*AMC Entertainment, Inc............................... 23,600 112,100
Amcast Industrial Corp................................ 11,500 99,187
Amcol International Corp.............................. 32,200 535,325
Amcore Financial, Inc................................. 34,525 672,159
*Amedisys, Inc........................................ 1,400 2,844
*Amerco, Inc.......................................... 24,800 434,775
*America Services Group, Inc.......................... 4,600 73,600
*America West Holdings Corp. Class B.................. 41,700 742,781
*American Aircarriers Support, Inc.................... 7,200 33,975
American Annuity Group, Inc........................... 6,600 112,612
American Bancorporation Ohio.......................... 400 5,537
American Bank of Connecticut.......................... 4,900 96,162
American Biltrite, Inc................................ 4,500 59,344
*American Claims Evaluation, Inc...................... 1,000 2,187
*American Classic Voyages Co.......................... 22,800 433,912
*American Coin Merchandising, Inc..................... 7,800 20,475
*American Dental Partners, Inc........................ 7,800 58,012
*American Dental Technologies, Inc.................... 5,100 6,694
*American Ecology Corp................................ 13,650 46,922
*American Freightways Corp............................ 37,100 553,022
*American Healthcorp, Inc............................. 10,600 42,400
*American Homestar Corp............................... 17,530 17,256
*American Indemnity Financial Escrow.................. 800 800
*American Italian Pasta Co............................ 19,800 486,337
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*American Medical Electronics, Inc. (Escrow-Bonus).... 4,400 $ 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 4,400 0
*American Medical Security Group, Inc................. 19,500 127,969
*American Pacific Corp................................ 9,200 54,912
*American Physicians Services Group, Inc.............. 2,200 6,772
*American Retirement Corp............................. 19,500 107,250
*American Science & Engineering, Inc.................. 6,500 32,500
*American Shared Hospital Services.................... 4,900 14,394
*American Skiing Co................................... 17,600 30,800
*American Software, Inc. Class A...................... 21,500 84,992
American States Water Company......................... 11,600 345,825
*American Superconductor Corp......................... 18,300 491,241
*American Technical Ceramics Corp..................... 9,800 335,650
American Vanguard Corp................................ 189 1,488
*American Wagering, Inc............................... 10,100 33,772
American Woodmark Corp................................ 10,400 196,625
*American Xtal Technology, Inc........................ 24,200 843,975
Americana Bancorp, Inc................................ 2,712 31,188
*Amerihost Properties, Inc............................ 6,400 22,200
*Ameripath, Inc....................................... 21,400 183,572
*Amerisource Health Corp.............................. 33,400 814,125
*Ameristar Casinos, Inc............................... 20,300 80,566
Ameron, Inc........................................... 5,100 187,425
Amerus Life Holdings, Inc. Class A.................... 22,144 441,496
*Ames Department Stores, Inc.......................... 30,800 364,787
Ametek, Inc........................................... 38,600 803,362
*AMF Bowling, Inc..................................... 29,500 27,656
*Amistar Corp......................................... 1,600 3,575
*AML Communications, Inc.............................. 8,200 25,369
Ampco-Pittsburgh Corp................................. 11,900 131,644
*Ampex Corp. Class A.................................. 65,400 114,450
Amplicon, Inc......................................... 15,000 149,062
*Amrep Corp........................................... 8,300 53,950
*Amresco, Inc......................................... 52,300 30,236
*Amsurg Corp. Class A................................. 589 3,571
*Amsurg Corp. Class B................................. 6,200 37,394
*Amtran, Inc.......................................... 13,500 191,109
Amwest Insurance Group, Inc........................... 3,694 18,008
*Amylin Pharmaceuticals, Inc.......................... 33,500 305,687
*Anacomp, Inc......................................... 16,900 47,531
Analogic Corp......................................... 16,600 598,637
Analysts International Corp........................... 27,100 219,341
*Analytical Surveys, Inc.............................. 7,700 26,709
*Anaren Microwave, Inc................................ 5,600 565,075
Anchor Bancorp Wisconsin, Inc......................... 28,505 440,937
Anchor Financial Corp................................. 8,100 220,725
*Anchor Gaming, Inc................................... 12,000 536,625
Andersons, Inc........................................ 8,200 72,262
Andover Bancorp, Inc.................................. 8,300 241,219
*Andrea Electronics Corp.............................. 15,900 107,325
*Anesta Corp.......................................... 14,700 217,284
*Angeion Corp......................................... 4,300 5,912
Angelica Corp......................................... 8,900 60,075
*Anicom, Inc.......................................... 30,200 149,584
*Anika Therapeutics, Inc.............................. 12,700 31,353
*Ann Taylor Stores Corp............................... 20,200 525,200
*Ansoft Corp.......................................... 15,200 131,575
*Ansys, Inc........................................... 18,800 206,212
</TABLE>
116
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Anthony and Sylvan Pools Corp........................ 2,341 $ 19,174
*APAC Teleservices, Inc............................... 56,400 498,787
*Apex, Inc............................................ 22,300 810,466
*Aphton Corp.......................................... 19,800 404,662
Apogee Enterprises, Inc............................... 37,600 152,750
Applebees International, Inc.......................... 13,300 427,678
*Applica, Inc......................................... 26,100 384,975
*Applied Analytical Industries, Inc................... 19,000 146,359
*Applied Digital Solutions, Inc....................... 54,900 177,567
*Applied Extrusion Technologies, Inc.................. 15,300 89,887
*Applied Films Corp................................... 6,600 151,800
*Applied Graphics Technologies, Inc................... 24,700 85,678
*Applied Imaging Corp................................. 15,700 38,269
Applied Industrial Technologies, Inc.................. 24,850 433,322
*Applied Innovation, Inc.............................. 18,100 125,003
*Applied Microsystems Corp............................ 8,900 49,506
*Applied Science & Technology, Inc.................... 18,500 375,781
Applied Signal Technologies, Inc...................... 9,200 93,150
*Applix, Inc.......................................... 14,600 86,687
*Aquila Biopharmaceuticals, Inc....................... 11,000 25,781
*Aradigm Corp......................................... 19,200 268,200
*Arch Capital Group, Ltd.............................. 20,500 309,422
Arch Chemicals, Inc................................... 24,600 424,350
Arch Coal, Inc........................................ 42,000 315,000
*Arch Communications Group, Inc....................... 62,566 314,785
Arctic Cat, Inc....................................... 23,600 254,437
Area Bancshares Corp.................................. 21,200 422,012
Argonaut Group, Inc................................... 25,300 456,981
*Argosy Gaming Corp................................... 36,600 578,737
*Arguss Holdings, Inc................................. 16,900 282,019
*ARI Network Services, Inc............................ 8,000 24,750
*Ariad Pharmaceuticals, Inc........................... 26,100 214,102
*Ariel Corp........................................... 14,400 39,150
*ARIS Corp............................................ 16,400 58,937
*Ark Restaurants Corp................................. 2,700 21,178
*Arkansas Best Corp................................... 25,700 284,306
Arm Financial Group, Inc. Class A..................... 29,100 684
*Armor Holdings, Inc.................................. 28,300 309,531
Armstrong Holdings, Inc............................... 12,000 206,250
Arnold Industries, Inc................................ 27,900 319,978
*Aronex Pharmaceuticals, Inc.......................... 29,600 74,925
*Arqule, Inc.......................................... 17,500 120,312
*Arrhythmia Research Technology, Inc.................. 1,800 3,150
Arrow Financial Corp.................................. 9,500 142,500
Arrow International, Inc.............................. 30,900 1,025,494
*Artesyn Technologies, Inc............................ 44,700 983,400
*Arthrocare Corp...................................... 4,000 341,000
*Artisan Components, Inc.............................. 17,100 133,594
*Artisoft, Inc........................................ 19,700 205,619
*Arts Way Manufacturing Co., Inc...................... 200 800
*ARV Assisted Living, Inc............................. 15,700 15,209
Arvin Industries, Inc................................. 23,100 415,800
*Asante Technologies, Inc............................. 7,200 10,575
ASB Financial Corp.................................... 1,000 8,781
*Ascent Assurance, Inc................................ 109 181
*Ascent Pediatrics, Inc............................... 100 148
*Asche Transportation Services, Inc................... 4,200 7,612
*Ashworth, Inc........................................ 17,500 74,922
*ASI Solutions, Inc................................... 6,600 42,075
*Aspect Development, Inc.............................. 198 11,552
*Aspen Technology, Inc................................ 28,600 588,981
*Aspeon, Inc.......................................... 12,900 71,958
<CAPTION>
SHARES VALUE+
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*Assisted Living Concepts, Inc........................ 15,600 $ 14,625
Associated Materials, Inc............................. 6,900 106,950
*Astea International, Inc............................. 18,500 40,758
*Astec Industries, Inc................................ 22,900 591,822
Astro-Med, Inc........................................ 4,500 26,437
*Astronics Corp....................................... 6,200 54,250
*AstroPower, Inc...................................... 14,700 202,584
*ASV, Inc............................................. 12,500 154,297
*Asyst Technologies, Inc.............................. 9,300 374,034
*ATG, Inc............................................. 16,200 35,437
*Athey Products Corp.................................. 2,940 6,247
*Atlanta Sosnoff Capital Corp......................... 7,700 74,112
*Atlantic American Corp............................... 20,500 64,062
*Atlantic Coast Airlines, Inc......................... 21,600 656,775
*Atlantic Data Services, Inc.......................... 16,800 69,300
*Atlantic Premium Brands, Ltd......................... 2,000 5,500
*Atlantis Plastics, Inc............................... 3,300 23,100
Atmos Energy Corp..................................... 41,000 750,812
*Atrion Corp.......................................... 2,700 32,062
*Atrix Labs, Inc...................................... 14,900 108,956
*ATS Medical, Inc..................................... 23,300 232,272
*Atwood Oceanics, Inc................................. 12,300 672,656
*Audiovox Corp. Class A............................... 22,300 421,609
*Ault, Inc............................................ 5,700 33,309
*Aurora Biosciences Corp.............................. 9,500 450,359
*Aurora Foods, Inc.................................... 63,900 227,644
*Auspex Systems, Inc.................................. 36,400 174,037
*Autobond Acceptance Corp............................. 5,900 870
*Autoimmune, Inc...................................... 19,200 24,900
*Autologic Information International, Inc............. 2,300 6,253
*Autote Corp. Class A................................. 40,858 125,128
Avado Brands, Inc..................................... 33,200 47,206
*Avalon Holding Corp. Class A......................... 1,550 6,103
*Avant Corp........................................... 50,100 784,378
*Avant Immunotherapeutics, Inc........................ 55,075 268,491
*Avatar Holdings, Inc................................. 9,100 180,009
Avert, Inc............................................ 4,200 82,819
*Avi Biopharma, Inc................................... 17,100 167,794
*Aviall, Inc.......................................... 19,400 104,275
*Aviation Sales Co.................................... 18,242 121,993
*Avid Technology, Inc................................. 28,600 287,787
*Avigen, Inc.......................................... 20,700 618,412
*Aviron............................................... 21,800 530,694
*Avis Group Holdings, Inc............................. 37,400 719,950
*AVT Corporation...................................... 36,600 331,116
*Avteam, Inc. Class A................................. 12,800 25,400
*Axent Technologies, Inc.............................. 33,920 620,100
*Axsys Technologies, Inc.............................. 5,100 74,906
*Axys Pharmaceuticals, Inc............................ 37,800 146,475
*Aztar Corp........................................... 51,400 655,350
Aztec Manufacturing Co................................ 6,100 97,600
*Bacou USA, Inc....................................... 24,900 491,775
Badger Meter, Inc..................................... 3,200 101,600
*Badger Paper Mills, Inc.............................. 1,000 4,344
Bairnco Corp.......................................... 8,700 62,531
Baker (J.), Inc....................................... 16,000 102,000
*Baker (Michael) Corp................................. 6,900 44,850
*Balanced Care Corp................................... 5,300 8,944
Balchem Corp.......................................... 5,000 50,937
Baldor Electric Co.................................... 43,933 823,744
Baldwin & Lyons, Inc. Class B......................... 14,700 266,437
</TABLE>
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*Baldwin Piano & Organ Co............................. 1,300 $ 7,881
*Baldwin Technology, Inc. Class A..................... 13,500 28,687
*Ballantyne Omaha, Inc................................ 16,100 39,244
*Bally Total Fitness Holding Corp..................... 28,575 659,011
*Baltek Corp.......................................... 1,500 11,156
Bancfirst Ohio Corp................................... 9,800 152,206
*Bancinsurance Corp................................... 7,800 32,175
Bancorp Connecticut, Inc.............................. 6,700 98,406
Bandag, Inc........................................... 11,800 292,787
Bandag, Inc. Class A.................................. 11,100 252,525
Bangor Hydro-Electric Co.............................. 9,500 141,312
Bank of Granite Corp.................................. 14,800 288,600
Bank of The Ozarks.................................... 3,800 63,412
*Bank Plus Corp....................................... 23,300 64,803
*Bank United Financial Corp. Class A.................. 21,600 139,050
Bank West Financial Corp.............................. 2,600 16,737
BankAtlantic Bancorp, Inc. Class A.................... 11,285 43,024
BankAtlantic Bancorp, Inc. Class B.................... 12,681 72,519
*BankFirst Corp....................................... 11,800 92,925
*Banknorth Group, Inc................................. 37,960 530,254
Banta Corp............................................ 31,900 590,150
Barnes Group, Inc..................................... 24,100 402,169
*Barnett, Inc......................................... 20,400 193,162
*Barnwell Industries, Inc............................. 400 5,425
*Barra, Inc........................................... 18,200 784,306
*Barrett Business Services, Inc....................... 9,600 53,400
*Barringer Technologies, Inc.......................... 7,900 48,634
*Barrister Information Systems Corp................... 11,800 11,800
*Barry (R.G.) Corp.................................... 10,764 37,001
*Base Ten Systems, Inc................................ 1,720 1,908
*Basin Exploration, Inc............................... 24,000 399,000
Bassett Furniture Industries, Inc..................... 14,700 179,616
*Battle Mountain Gold Co.............................. 144,600 280,162
Bay State Bancorp, Inc................................ 1,400 25,725
Bay View Capital Corp................................. 42,300 428,287
*Baycorp Holdings, Ltd................................ 10,700 86,937
*Bayou Steel Corp. Class A............................ 13,000 29,250
*BCT International, Inc............................... 2,700 3,544
*Be Aerospace, Inc.................................... 32,300 223,072
Beauticontrol Cosmetics, Inc.......................... 8,000 28,750
*Beazer Homes USA, Inc................................ 11,500 211,312
*bebe stores, inc..................................... 27,700 246,703
*BEI Electronics, Inc................................. 7,600 10,094
BEI Technologies, Inc................................. 9,700 172,175
*Bel Fuse, Inc. Class A............................... 3,300 60,019
Bel Fuse, Inc. Class B................................ 5,250 94,336
*Belco Oil & Gas Corp................................. 36,600 285,937
Belden, Inc........................................... 30,400 832,200
*Bell and Howell Co................................... 5,000 107,187
Bell Industries, Inc.................................. 10,520 27,615
*Bell Microproducts, Inc.............................. 12,100 156,544
*Bellwether Exploration Co............................ 16,600 141,359
*Benchmark Electronics, Inc........................... 19,500 663,000
*Benihana, Inc........................................ 1,000 14,812
*Bentley Pharmaceuticals, Inc......................... 12,560 80,070
*Benton Oil & Gas Co.................................. 35,400 97,350
Bergen Brunswig Corp. Class A......................... 101,200 524,975
Berkley (W.R.) Corp................................... 28,100 619,078
Berkshire Energy Resources............................ 2,000 74,750
*Berlitz International, Inc........................... 5,200 57,850
Berry Petroleum Corp. Class A......................... 25,300 396,894
*Bethlehem Steel Corp................................. 20,000 77,500
<CAPTION>
SHARES VALUE+
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*Beverly Enterprises.................................. 112,700 $ 338,100
*Beyond.com Corp...................................... 47,100 73,594
BHA Group Holdings, Inc. Class A...................... 8,400 85,050
*BI, Inc.............................................. 10,300 54,719
*Big 4 Ranch, Inc..................................... 3,200 0
*Big City Radio, Inc.................................. 5,200 23,725
Big Dog Holdings, Inc................................. 1,500 6,750
*Billing Information Concepts Corp.................... 50,200 232,959
Bindley Western Industries, Inc....................... 43,821 835,338
*BindView Development Corp............................ 7,100 49,589
*Bio Technology General Corp.......................... 59,500 626,609
*Bio Vascular, Inc.................................... 11,600 33,712
*Bioanalytical Systems, Inc........................... 4,500 11,812
*Biocryst Pharmaceuticals, Inc........................ 20,400 479,400
*Bio-Logic Systems Corp............................... 5,200 30,225
*Biomatrix, Inc....................................... 25,600 475,200
*Bionova Holdings Corp................................ 8,070 16,140
*Bionx Implants, Inc.................................. 13,900 30,406
*Bio-Plexus, Inc...................................... 2,700 6,581
*Bio-Rad Laboratories, Inc. Class A................... 11,800 273,612
*BioReliance Corp..................................... 7,500 37,734
*Biosite Diagnostics, Inc............................. 17,200 388,612
*Biosource International, Inc......................... 10,600 72,212
*Biospecifics Technologies Corp....................... 5,800 15,769
*Biospherics, Inc..................................... 13,700 84,769
*BioTransplant, Inc................................... 11,700 70,200
Birmingham Steel Corp................................. 38,300 148,412
*Bitstream, Inc....................................... 10,000 51,562
*Black Hawk Gaming & Development, Inc................. 3,600 24,637
Black Hills Corp...................................... 27,700 663,069
Blair Corp............................................ 10,500 202,125
Blanch (E.W.) Holdings, Inc........................... 14,700 377,606
*BLC Financial Services, Inc.......................... 5,000 9,375
Block Drug Co., Inc. Class A.......................... 18,100 501,144
*Blonder Tongue Laboratories, Inc..................... 9,800 67,375
*Blount International, Inc............................ 24,000 328,500
*Blue Rhino Corp...................................... 8,600 73,906
*Blue Wave Systems, Inc............................... 17,700 195,253
*Bluegreen Corp....................................... 31,965 99,891
BMC Industries, Inc................................... 35,600 135,725
Bob Evans Farms, Inc.................................. 41,100 557,419
*Boca Research, Inc................................... 15,000 81,562
*Boca Resorts, Inc.................................... 44,600 384,675
*Bogen Communications International, Inc.............. 8,300 51,616
*Bolder Technologies Corp............................. 18,900 108,380
*Bolt Technology Corp................................. 7,000 31,500
*Bombay Co., Inc...................................... 47,200 150,450
*Bonded Motors, Inc................................... 1,800 326
*Bone Care International, Inc......................... 2,250 44,227
*Bontex, Inc.......................................... 200 481
*Bon-Ton Stores, Inc.................................. 15,600 34,856
*Books-a-Million, Inc................................. 19,900 67,784
*Boron, Lepore and Associates, Inc.................... 15,900 121,734
Boston Acoustics, Inc................................. 6,400 68,000
*Boston Beer Company, Inc. Class A.................... 18,000 153,000
*Boston Biomedical, Inc............................... 6,400 23,400
*Boston Communications Group, Inc..................... 21,600 222,075
Boston Private Financial Holdings, Inc................ 12,000 117,750
Bostonfed Bancorp, Inc................................ 4,200 55,125
</TABLE>
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<CAPTION>
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*Boundless Corp....................................... 4,400 $ 31,350
Bowne & Co., Inc...................................... 48,000 483,000
*Boyd Gaming Corp..................................... 74,700 368,831
*Bradley Pharmaceuticals, Inc. Class A................ 8,200 9,097
Brady (W.H.) Co. Class A.............................. 24,900 750,112
*Brass Eagle, Inc..................................... 7,900 38,512
*Brauns Fashions Corp................................. 7,400 164,650
*Breed Technologies, Inc.............................. 36,800 8,740
Brenton Banks, Inc.................................... 24,496 245,725
*Bridgestreet Accomodations, Inc...................... 7,200 19,800
Bridgford Foods Corp.................................. 14,100 149,372
*Brigham Exploration Co............................... 14,500 38,062
*Brightpoint, Inc..................................... 60,900 707,962
*BrightStar Information Technology Group, Inc......... 9,500 36,812
*Brilliant Digital Entertainment, Inc................. 18,600 106,950
*Brio Technology, Inc................................. 4,200 59,850
*Britesmile, Inc...................................... 25,800 191,081
*Broadview Media, Inc................................. 200 291
*Brookdale Living Communities......................... 15,400 209,825
Brookline Bancorp, Inc................................ 36,000 352,125
*Brooks Automation, Inc............................... 4,900 195,387
*Brookstone, Inc...................................... 10,600 150,387
*Brooktrout Technology, Inc........................... 15,800 356,487
*Brown & Sharpe Manufacturing Co. Class A............. 12,900 29,025
*Brown (Tom), Inc..................................... 40,400 881,225
Brown and Brown, Inc.................................. 16,350 762,319
Brown Shoe Company, Inc............................... 21,000 250,687
*Brunswick Technologies, Inc.......................... 6,800 59,712
Brush Wellman, Inc.................................... 18,000 313,875
Bryn Mawr Bank Corp................................... 800 16,350
BSB Bancorp, Inc...................................... 12,273 234,338
BT Financial Corp..................................... 18,318 317,130
*BTG, Inc............................................. 11,600 94,250
*BTU International, Inc............................... 8,900 77,041
*Buckeye Technology, Inc.............................. 42,200 804,437
*Buckhead America Corp................................ 900 4,556
*Buckle, Inc.......................................... 24,000 325,500
*Budget Group, Inc.................................... 44,200 168,512
*Buffets, Inc......................................... 50,486 585,322
*Builders Transport, Inc.............................. 1,800 99
*Building Materials Holding Corp...................... 15,200 141,075
*Bull Run Corp. GA.................................... 44,900 128,386
Burlington Coat Factory Warehouse Corp................ 49,480 627,777
*Burlington Industries, Inc........................... 54,000 178,875
*Burns International Services Corp.................... 23,500 273,187
*Bush Boake Allen, Inc................................ 23,200 756,900
Bush Industries, Inc. Class A......................... 13,200 225,225
*Business Resource Group.............................. 6,800 42,287
*Butler International, Inc............................ 12,300 100,706
Butler Manufacturing Co............................... 7,400 165,112
*BWAY Corp............................................ 12,000 86,250
*BYL Bancorp.......................................... 2,800 28,787
C & D Technologies, Inc............................... 13,000 942,500
*C.P. Clare Corp...................................... 12,400 81,375
*Cable Design Techologies Corp........................ 20,725 573,823
Cabot Oil & Gas Corp. Class A......................... 27,600 688,275
*Cache, Inc........................................... 11,800 44,250
*Caci International, Inc. Class A..................... 14,700 289,866
<CAPTION>
SHARES VALUE+
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*Cadiz, Inc........................................... 38,800 $ 261,900
Cadmus Communications Corp............................ 11,700 101,644
Cagle's, Inc. Class A................................. 2,000 17,000
*Cal Dive International, Inc.......................... 18,600 856,181
Calgon Carbon Corp.................................... 47,400 311,062
*Caliber Learning Network, Inc........................ 13,600 36,975
*California Amplifier, Inc............................ 15,700 353,741
*California Coastal Communities, Inc.................. 9,800 56,044
*California Micro Devices Corp........................ 13,500 191,109
California Water Service Group........................ 14,200 331,037
*Callon Petroleum Co.................................. 15,300 233,325
*Calloways Nursery, Inc............................... 1,200 1,462
Cal-Maine Foods, Inc.................................. 12,400 41,462
*Calton Inc........................................... 24,000 31,500
*Cambridge Heart, Inc................................. 18,100 44,684
*Cambridge Technology Partners, Inc................... 10,700 85,600
Camco Financial Corp.................................. 6,316 56,844
*Cameron Ashley Building Products, Inc................ 11,300 204,106
Cameron Financial Corp................................ 1,300 15,316
*Candela Laser Corp................................... 14,300 145,234
*Candies, Inc......................................... 17,200 23,381
*Canisco Resources, Inc............................... 500 270
*Cannon Express, Inc. Class A......................... 900 1,744
*Cannondale Corp...................................... 9,700 69,719
*Cantel Industries, Inc. Class B...................... 5,700 37,406
*Canterbury Information Technology, Inc............... 12,000 31,875
*Capital Corp. of the West............................ 4,100 40,231
*Capital Crossing Bank................................ 7,600 77,900
*Capital Pacific Holdings, Inc........................ 12,300 33,825
*Capital Senior Living Corp........................... 21,200 50,350
Capital Southwest Corp................................ 300 16,912
Capitol Bancorp, Ltd.................................. 8,564 96,345
Capitol Transamerica Corp............................. 14,600 164,250
Caraustar Industries, Inc............................. 28,600 472,794
*Carbide/Graphite Group, Inc.......................... 10,800 46,237
Carbo Ceramics, Inc................................... 17,800 556,250
*Cardiac Pathways Corp................................ 2,000 7,875
*Cardima, Inc......................................... 21,200 25,837
*Cardiotech International, Inc........................ 6,600 9,487
*Caredata.com, Inc.................................... 9,900 39,600
*Career Blazers, Inc. Trust Units..................... 800 0
*Career Education Corp................................ 10,300 411,356
*CareerEngine Network, Inc............................ 7,000 12,687
*Carematrix, Inc...................................... 15,800 11,603
*Carey International, Inc............................. 10,600 98,381
*Caribiner International, Inc......................... 27,900 20,925
*Carlyle Industries, Inc.............................. 2,458 1,306
*Carmike Cinemas, Inc. Class A........................ 13,500 71,719
Carpenter Technology Corp............................. 24,100 498,569
*Carreker-Antinori, Inc............................... 24,100 262,087
*Carriage Services, Inc. Class A...................... 15,400 44,275
*Carrington Laboratories, Inc......................... 12,300 27,291
*Carrizo Oil & Gas, Inc............................... 10,000 62,969
*Carson, Inc.......................................... 11,800 47,937
Carter-Wallace, Inc................................... 37,200 744,000
Cascade Corp.......................................... 14,800 166,500
Cascade Natural Gas Corp.............................. 14,300 253,825
*Casella Waste Systems, Inc. Class A.................. 19,669 255,697
Casey's General Stores, Inc........................... 59,300 700,481
Cash America International, Inc....................... 27,900 285,975
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Casino Data Systems.................................. 23,900 $ 105,683
*Castle & Cooke, Inc.................................. 18,800 350,150
Castle (A.M.) & Co.................................... 16,837 209,410
*Castle Dental Centers, Inc........................... 6,300 15,356
Castle Energy Corp.................................... 7,300 44,142
*Catalina Lighting, Inc............................... 7,400 29,600
*Catalyst International, Inc.......................... 10,300 64,375
*Catalytica, Inc...................................... 37,600 356,025
Cathay Bancorp, Inc................................... 6,100 278,122
Cato Corp. Class A.................................... 26,700 331,247
Catskill Financial Corp............................... 3,500 57,750
Cavalier Homes, Inc................................... 21,460 32,190
*CB Richard Ellis Services, Inc....................... 26,900 270,681
CBRL Group, Inc....................................... 57,500 831,953
*CCA Industries, Inc.................................. 4,300 4,434
CCBT Financial Companies, Inc......................... 11,100 163,378
*CCC Information Services Group, Inc.................. 28,900 285,387
*CD Warehouse, Inc.................................... 3,300 5,105
*CDI Corp............................................. 21,000 452,812
*CDNOW/N2K, Inc....................................... 31,900 94,703
*Cec Entertainment Inc................................ 10,800 248,400
*Celadon Group, Inc................................... 10,100 136,666
*Celebrity, Inc....................................... 1,300 2,945
*Celeris Corporation.................................. 4,000 11,062
*Celeritek, Inc....................................... 7,700 370,322
*Cell Genesys, Inc.................................... 28,452 509,469
*Cell Pathways, Inc................................... 4,829 97,636
*Cell Therapeutics, Inc............................... 22,600 371,487
*Cellegy Pharmaceuticals, Inc......................... 12,700 61,516
*Cellnet Data Systems, Inc............................ 41,900 0
*Cellstar Corp........................................ 79,000 218,484
*Cellular Technical Services.......................... 2,100 15,356
*Cel-Sci Corp......................................... 2,500 7,500
Cenit Bancorp, Inc.................................... 6,100 67,862
*Centennial Bancorp................................... 21,697 186,459
*Centennial Technologies Inc.......................... 196 1,390
*CenterSpan Communication Corp........................ 7,900 111,834
Centex Construction Products, Inc..................... 24,200 726,000
*Centigram Communications Corp........................ 6,600 123,956
Central Bancorp, Inc.................................. 2,400 39,075
*Central Garden & Pet Co.............................. 29,500 336,484
Central Parking Corp.................................. 31,800 836,737
Central Vermont Public Service Corp................... 14,900 162,969
Centura Banks, Inc.................................... 5,470 236,577
Century Aluminum Co................................... 22,200 226,856
Century Bancorp Income Class A........................ 1,000 13,625
*Century Business Services, Inc....................... 99,500 259,633
Century South Banks, Inc.............................. 17,900 353,525
*Cephalon, Inc........................................ 11,800 609,912
*Ceradyne, Inc........................................ 10,500 86,625
Cerberonics, Inc. Class A............................. 200 937
*Ceres Group, Inc..................................... 15,700 93,219
*Cerner Corp.......................................... 28,400 646,987
*Cerprobe Corp........................................ 12,200 150,975
*Cerus Corp........................................... 16,600 644,287
*CFM Technologies, Inc................................ 8,100 63,281
CFW Communications Co................................. 14,400 544,950
CH Energy Group, Inc.................................. 19,800 637,312
*Chad Therapeutics.................................... 10,000 8,750
*Champion Enterprises, Inc............................ 57,700 328,169
Champion Industries, Inc.............................. 10,062 28,614
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Championship Auto Racing Teams, Inc.................. 20,200 $ 395,162
*Champps Entertainment, Inc........................... 15,100 58,984
*Channell Commercial Corp............................. 4,200 44,887
*Charles and Colvard, Ltd............................. 9,200 56,925
*Charles River Associates, Inc........................ 11,300 202,341
*Charming Shoppes, Inc................................ 108,500 640,828
*Chart House Enterprises, Inc......................... 14,500 77,031
Chart Industries, Inc................................. 26,125 114,297
*Charter Federal Savings Bank (Escrow)................ 2,100 0
Chase Corp............................................ 4,100 43,562
*Chase Industries, Inc................................ 11,800 109,150
*Chattem, Inc......................................... 11,800 140,862
*Chaus (Bernard), Inc................................. 11,100 9,019
*Check Technology Corp................................ 8,000 40,750
*Checkers Drive-In Restaurant, Inc.................... 3,034 6,495
*Checkpoint System, Inc............................... 36,200 287,337
*Cheesecake Factory, Inc.............................. 19,650 781,702
Chemed Corp........................................... 13,300 403,156
*Chemfab Corp......................................... 9,700 97,000
Chemfirst, Inc........................................ 18,000 375,750
Chemical Financial Corp............................... 15,918 440,730
*Cherokee, Inc........................................ 9,100 65,122
*Cherry Corp.......................................... 4,800 96,600
*Chesapeake Biological Laboratories, Inc. Class A..... 6,100 15,822
Chesapeake Corp....................................... 19,200 627,600
*Chesapeake Energy Corp............................... 118,570 681,777
Chesapeake Utilities Corp............................. 6,700 118,506
Chester Valley Bancorp................................ 475 8,535
Chicago Rivet & Machine Co............................ 200 4,450
*Chicos Fas, Inc...................................... 18,700 338,353
*Children's Comprehensive Services, Inc............... 8,650 19,462
*Children's Place Retail Stores, Inc.................. 30,500 583,312
*Childtime Learning Centers, Inc...................... 6,500 43,875
Chiquita Brands International, Inc.................... 73,385 288,953
*Chirex, Inc.......................................... 19,700 342,287
Chittenden Corp....................................... 14,959 414,177
*Choicepoint, Inc..................................... 9,909 400,695
*Cholestech Corp...................................... 15,300 114,750
*ChromaVision Medical Systems, Inc.................... 25,300 271,975
*Chromcraft Revington, Inc............................ 12,600 140,175
*Chronimed, Inc....................................... 15,700 103,031
*CHS Electronics, Inc................................. 27,000 337
Church & Dwight Co., Inc.............................. 50,500 918,469
Churchill Downs, Inc.................................. 12,800 288,800
*Chyron Corp.......................................... 32,100 80,250
CICOR International, Inc.............................. 9,550 100,872
*CIDCO, Inc........................................... 17,800 54,512
*Cima Laboratories, Inc............................... 14,000 206,062
*Ciprico, Inc......................................... 6,400 69,200
Circle International, Inc............................. 19,900 376,234
*Circuit City Stores, Inc. (Carmax Group)............. 26,500 71,219
*Circuit Systems, Inc................................. 2,600 2,478
*Citadel Holding Corp. Class A........................ 4,240 13,250
*Citation Computer System, Inc........................ 5,000 18,047
*Citation Holding Corp. Class B....................... 1,060 3,312
*Citizens, Inc. Class A............................... 25,893 158,595
City Holding Co....................................... 18,686 185,692
</TABLE>
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*Civic Bancorp........................................ 6,000 $ 84,187
CKE Restaurants, Inc.................................. 55,500 183,844
Clarcor, Inc.......................................... 26,600 470,487
*Clark (Dick) Productions, Inc........................ 3,880 49,480
*Clark/Bardes Holdings, Inc........................... 10,600 155,687
*Clean Harbors, Inc................................... 12,400 22,862
Cleveland Cliffs, Inc................................. 13,900 353,581
*click2learn.com, Inc................................. 19,000 226,812
*ClickAction, Inc..................................... 10,600 138,131
*Clintrials Research, Inc............................. 20,750 67,113
*Closure Medical Corp................................. 17,400 293,081
CMI Corp. Class A..................................... 17,800 63,412
CMP Media Group, Inc.................................. 3,200 92,800
CNA Surety Corp....................................... 47,900 598,750
CNBT Bancshares, Inc.................................. 6,400 78,400
*CNS, Inc............................................. 19,100 76,400
CNY Financial Corp.................................... 4,600 85,531
Coachmen Industries, Inc.............................. 17,200 205,325
*Coast Dental Services, Inc........................... 8,300 16,989
*Coast Distribution System............................ 4,000 8,500
Coastal Bancorp, Inc.................................. 8,200 123,512
*Coastcast Corp....................................... 10,000 191,250
*Cobalt Group, Inc.................................... 21,800 141,700
*Cobra Electronic Corp................................ 6,100 33,550
Coca-Cola Bottling Co. Consolidated................... 7,800 380,006
*Coeur d'Alene Mines Corp. ID......................... 39,500 96,281
*Cognitronics Corp.................................... 3,750 38,437
*Cohesion Technologies, Inc........................... 11,500 121,469
Cohu, Inc............................................. 10,300 364,362
*Coinmach Laundry Corp................................ 12,600 170,494
*Coinstar, Inc........................................ 26,100 241,833
Cold Metal Products, Inc.............................. 3,500 13,125
*Coldwater Creek, Inc................................. 13,300 305,484
*Cole (Kenneth) Productions, Inc. Class A............. 11,250 376,172
Cole National Corp. Class A........................... 17,100 107,944
*Collagenex Pharmaceuticals, Inc...................... 10,300 103,322
*Collateral Therapeutics, Inc......................... 16,900 391,869
*Collins & Aikman Corp................................ 70,700 419,781
Collins Industries, Inc............................... 9,700 46,075
Colorado Business Bankshares, Inc..................... 5,700 74,278
*Colorado Medtech, Inc................................ 15,800 79,494
*Columbia Banking System, Inc......................... 14,922 162,743
*Columbia Laboratories, Inc........................... 34,900 331,550
*Columbia Sportswear Co............................... 27,800 731,487
*Columbus Energy Corp................................. 4,800 33,600
Columbus McKinnon Corp................................ 14,900 205,806
*Com21, Inc........................................... 23,900 472,772
*Comarco, Inc......................................... 4,400 126,637
*Comdial Corp......................................... 11,900 108,773
*Comforce Corp........................................ 13,877 27,754
*Comfort Systems USA, Inc............................. 41,600 252,200
*Command Systems, Inc................................. 7,700 14,197
Commercial Bancshares, Inc............................ 2,586 45,740
Commercial Bank of New York........................... 4,200 49,875
Commercial Metals Co.................................. 15,800 415,737
Commercial National Financial Corp.................... 3,200 51,800
*Commodore Applied Technologies, Inc.................. 13,902 15,640
Commonwealth Bancorp, Inc............................. 14,500 167,656
Commonwealth Industries, Inc.......................... 18,300 112,659
Communications Systems, Inc........................... 11,300 154,669
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Community Bank System, Inc............................ 9,200 $ 209,300
Community Bankshares, Inc............................. 210 2,441
Community Financial Corp.............................. 2,200 24,612
Community Financial Group, Inc........................ 2,300 30,187
Community First Brokerage Co.......................... 2,700 45,394
Community Savings Bankshares, Inc..................... 11,073 116,959
Community Trust Bancorp, Inc.......................... 13,748 198,916
Community West Bancshares............................. 5,500 33,687
*Competitive Technologies, Inc........................ 7,900 94,800
*Complete Business Solutions, Inc..................... 11,500 259,469
*Comptek Research, Inc................................ 7,900 134,794
*Compucom Systems, Inc................................ 54,700 131,622
*Computer Horizons Corp............................... 42,100 470,994
*Computer Learning Centers, Inc....................... 18,900 18,309
*Computer Motion, Inc................................. 11,400 87,281
*Computer Network Technology Corp..................... 26,200 326,681
*Computer Outsourcing Services, Inc................... 6,300 95,287
Computer Task Group, Inc.............................. 24,800 178,250
*Computrac, Inc....................................... 6,200 5,812
*Computron Software, Inc.............................. 28,700 57,400
CompX International, Inc.............................. 7,900 149,112
*Comshare, Inc........................................ 12,500 47,656
*Comstock Resources, Inc.............................. 27,100 203,250
*Comtech Telecommunications Corp...................... 5,900 74,672
*Concentrex, Inc...................................... 6,900 31,266
*Conceptus, Inc....................................... 12,500 61,328
*Concord Camera Corp.................................. 25,800 437,794
*Concord Communications, Inc.......................... 20,900 517,275
*Concurrent Computer Corp............................. 58,700 500,784
*Condor Technology Solutions, Inc..................... 11,800 4,978
*Conductus, Inc....................................... 4,900 41,191
*Cone Mills Corp. NC.................................. 29,200 167,900
*Congoleum Corp. Class A.............................. 5,500 17,187
*Conmed Corp.......................................... 19,875 478,863
Connecticut Water Services, Inc....................... 6,200 169,531
*Connitics Corp....................................... 29,900 263,494
*Conrad Industries, Inc............................... 6,800 38,887
*Consolidated Delivery and Logistics, Inc............. 7,300 12,775
*Consolidated Freightways Corp........................ 28,200 128,662
*Consolidated Graphics, Inc........................... 15,900 164,962
*Consolidated Products, Inc........................... 32,300 320,981
Consolidated Tokoma Land Co........................... 6,400 76,000
*Continental Materials Corp........................... 200 3,462
*Converse, Inc........................................ 22,300 13,241
*Cooker Restaurant Corp............................... 6,600 15,675
Cooper Companies, Inc................................. 18,300 631,350
Cooperative Bankshares, Inc........................... 1,400 13,650
*CoorsTek, Inc........................................ 6,900 222,525
*Copart, Inc.......................................... 30,200 533,219
*Copytele, Inc........................................ 81,500 140,078
*Cordiant Communications Group P.L.C. ADR............. 6,324 121,342
*Core Materials Corp.................................. 7,700 12,031
*Core, Inc............................................ 10,700 61,525
*Corixa Corp.......................................... 27,000 858,094
*Cornell Corrections, Inc............................. 12,400 89,900
*Correctional Services Corp........................... 14,812 65,265
*Corrpro Companies, Inc............................... 7,875 29,531
*Corsair Communications, Inc.......................... 22,900 516,681
Corus Bankshares, Inc................................. 15,800 392,037
*Corvas International, Inc............................ 27,300 172,331
</TABLE>
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SHARES VALUE+
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*Corvel Corp.......................................... 3,900 $ 106,519
*Cost Plus, Inc....................................... 22,500 656,016
*CoStar Group, Inc.................................... 16,800 351,750
*Cost-U-Less, Inc..................................... 3,000 4,969
*Cotelligent Group, Inc............................... 19,200 87,600
Cotton States Life Insurance Co....................... 6,330 52,222
*Coulter Pharmaceutical, Inc.......................... 21,800 405,344
Courier Corp.......................................... 1,900 49,162
*Covance, Inc......................................... 62,800 447,450
*Covenant Transport, Inc. Class A..................... 13,800 141,881
*Coventry Health Care, Inc............................ 64,900 768,659
Covest Bancshares, Inc................................ 2,425 25,235
*Covol Technologies, Inc.............................. 7,100 10,872
*Coyote Network Systems, Inc.......................... 21,600 128,925
CPAC, Inc............................................. 6,120 42,075
CPB, Inc.............................................. 12,000 282,000
*C-Phone Corp......................................... 11,700 12,066
*CPI Aerostructures, Inc.............................. 66 162
CPI Corp.............................................. 10,500 234,281
Craftmade International, Inc.......................... 8,700 42,684
*Craig (Jenny), Inc................................... 18,600 26,737
*Craig Corp........................................... 2,400 9,750
Crawford & Co. Class A................................ 300 3,131
Crawford & Co. Class B................................ 15,600 183,300
*Cray, Inc............................................ 29,800 103,834
*Creative Biomolecules, Inc........................... 45,800 234,009
*Creative Computers, Inc.............................. 13,500 62,437
*Credit Acceptance Corp............................... 52,400 291,475
*Credit Management Solutions.......................... 7,700 31,522
*Creditrust Corp...................................... 12,000 6,187
*Crescent Operating, Inc.............................. 9,100 13,366
*Criticare Systems, Inc............................... 7,500 16,406
*Cross (A.T.) Co. Class A............................. 16,200 99,225
Cross Timbers Oil Co.................................. 57,550 1,168,984
*Crossman Communities, Inc............................ 14,200 251,606
*Crosswalk.com, Inc................................... 9,600 23,400
*Crown Central Petroleum Corp. Class A................ 4,300 38,969
*Crown Central Petroleum Corp. Class B................ 4,700 42,594
Crown Crafts, Inc..................................... 11,100 15,956
*Crown Group, Inc..................................... 1,400 7,175
*Crown Resources Corp................................. 12,400 8,912
*Crown Vantage, Inc................................... 8,500 1,992
*Crown-Andersen, Inc.................................. 1,000 4,625
*Crusader Holding Corp................................ 3,900 31,444
*Cryolife, Inc........................................ 15,900 273,281
*CSK Auto Corp........................................ 33,400 501,000
*CSP, Inc............................................. 4,600 28,606
*CSS Industries, Inc.................................. 11,600 232,000
*CT Communications, Inc............................... 4,800 153,000
*CTB International Corp............................... 11,800 76,884
*CTC Communications Group, Inc........................ 18,750 465,234
CTG Resources, Inc.................................... 11,200 441,000
Cubic Corp............................................ 11,500 230,000
*Cubist Pharmaceuticals, Inc.......................... 20,500 588,094
Culp, Inc............................................. 11,200 70,700
*Cumulus Media, Inc. Class A.......................... 10,000 114,375
*Cunningham Graphics International, Inc............... 6,100 133,628
*CUNO, Inc............................................ 21,200 589,625
*Curative Health Services, Inc........................ 11,500 61,992
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Curtiss-Wright Corp................................... 13,000 $ 452,562
*Cuseeme Networks, Inc................................ 15,600 140,400
*Cutter & Buck, Inc................................... 12,350 124,272
*CV Therapeutics, Inc................................. 20,100 832,266
CVB Financial Corp.................................... 27,900 428,962
*CVF Technologies Corp................................ 7,400 17,575
*Cyanotech Corp....................................... 18,000 23,906
*Cybercash, Inc....................................... 31,000 133,687
*Cyberian Outpost, Inc................................ 28,000 119,000
*Cyberonics, Inc...................................... 21,600 384,075
*Cyberoptics Corp..................................... 6,600 246,056
*Cybersource Corp..................................... 13,700 195,653
*Cybex Corp........................................... 21,012 707,842
*Cybex International, Inc............................. 8,700 23,381
*Cygnus, Inc.......................................... 29,700 239,456
*Cylink Corp.......................................... 36,300 501,394
*Cyrk, Inc............................................ 17,300 99,475
*Cytogen Corp......................................... 64,400 258,606
*Cytrx Corp........................................... 8,000 8,750
*D & K Healthcare Resources, Inc...................... 4,300 48,912
*D A Consulting Group, Inc............................ 6,700 14,761
*Daily Journal Corp................................... 200 5,887
Dain Rauscher Corp.................................... 1,500 89,437
*Dairy Mart Convenience Stores, Inc................... 1,600 6,800
*Daisytek International Corp.......................... 22,500 227,812
*Daktronics, Inc...................................... 11,500 104,398
*Dal-Tile International, Inc.......................... 63,700 577,281
*Damark International, Inc. Class A................... 8,200 154,519
*Dan River, Inc. (GA) Class A......................... 23,100 115,500
*Danielson Holding Corp............................... 22,800 108,300
*Daou Systems, Inc.................................... 23,000 32,344
*Darling International, Inc........................... 15,600 18,525
*Data Broadcasting Corp............................... 42,213 193,256
*Data Dimensions, Inc................................. 17,800 32,262
*Data I/O Corp........................................ 9,500 35,625
*Data Race, Inc....................................... 27,400 120,731
Data Research Association, Inc........................ 5,600 28,875
*Data Systems & Software, Inc......................... 8,300 37,350
*Datakey, Inc......................................... 1,000 4,250
*Datalink Corp........................................ 3,000 52,125
*Datamarine International, Inc........................ 200 169
*Dataram Corp......................................... 8,000 142,500
Datascope Corp........................................ 17,300 650,372
*Datastream Systems, Inc.............................. 22,400 226,800
*DataTRAK International, Inc.......................... 5,600 30,450
*Dataware Technologies, Inc........................... 13,400 35,594
*Datawatch Corp....................................... 9,300 18,745
*Datron Systems, Inc.................................. 3,500 40,578
*Datum, Inc........................................... 5,900 91,819
*Dave and Busters, Inc................................ 16,800 115,500
*Davel Communications, Inc............................ 9,478 16,438
*Davox Corp........................................... 16,000 333,500
*Daw Technologies, Inc................................ 14,300 17,205
*Dawson Geophysical Co................................ 5,400 52,481
*Daxor Corp........................................... 6,100 74,725
*Dayton Superior Corp. Class A........................ 6,500 165,750
Deb Shops, Inc........................................ 17,200 213,387
*Deckers Outdoor Corp................................. 11,800 39,825
*Decora Industries, Inc............................... 10,200 10,041
Decorator Industries, Inc............................. 2,162 10,540
*Del Global Technologies Corp......................... 8,500 71,187
Del Laboratories, Inc................................. 16,439 162,335
</TABLE>
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<CAPTION>
SHARES VALUE+
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*Del Monte Foods Co................................... 50,000 $ 425,000
*Delco Remy International, Inc........................ 18,300 138,394
*Delia's, Inc......................................... 17,000 42,500
*Delphi Financial Group, Inc. Class A................. 19,400 649,900
*Delta Financial Corp................................. 19,600 34,300
Delta Natural Gas Co., Inc............................ 3,100 46,791
Delta Woodside Industries, Inc........................ 26,200 58,950
*Deltek Systems, Inc.................................. 22,100 236,884
Deltic Timber Corp.................................... 13,500 288,562
*Denali, Inc.......................................... 4,300 9,070
*Dense-Pac Microsystems, Inc.......................... 22,200 126,262
*Department 56, Inc................................... 18,500 165,344
*DepoMed, Inc......................................... 9,300 34,875
Designs, Inc.......................................... 14,800 22,662
*Detection Systems, Inc............................... 8,200 80,975
*Detrex Corp.......................................... 500 2,422
Detroit Diesel Corp................................... 25,700 404,775
*Devcon International Corp............................ 4,000 26,750
Dewolfe Companies, Inc................................ 200 1,450
*Dexterity Surgical, Inc.............................. 1,000 969
*Diacrin, Inc......................................... 14,900 101,506
Diagnostic Products Corp.............................. 17,700 550,912
*Diametrics Medical, Inc.............................. 31,200 225,225
*Diamond Home Services, Inc........................... 7,300 566
*Dianon Systems, Inc.................................. 9,200 192,625
*Diedrich Coffee, Inc................................. 15,520 38,315
*Digene Corp.......................................... 17,400 517,650
*Digi International, Inc.............................. 17,200 88,687
*Digital Biometrics, Inc.............................. 21,200 74,862
*Digital Courier Technologies, Inc.................... 5,000 22,031
*Digital Generation Systems, Inc...................... 32,100 146,456
*Digital Power Corp................................... 1,000 2,875
*Digital River, Inc................................... 24,700 279,419
Dime Community Bancorp, Inc........................... 13,900 225,875
Dimon, Inc............................................ 46,700 105,075
*Diodes, Inc.......................................... 7,800 212,550
*Dionex Corp.......................................... 18,600 655,650
*Directrix, Inc....................................... 813 4,090
*Discount Auto Parts, Inc............................. 21,700 217,000
*Dispatch Management Services Corp.................... 4,300 5,375
*Display Technologies, Inc............................ 7,930 21,560
*Diversified Corporate Resources, Inc................. 2,200 6,050
*Dixie Group, Inc..................................... 11,200 39,900
*Dixon Ticonderoga Co................................. 1,900 7,006
*DocuCorp International, Inc.......................... 17,800 83,716
*Document Sciences Corp............................... 14,200 29,731
*Documentum, Inc...................................... 14,200 784,106
*Dollar Thrifty Automotive Group, Inc................. 26,600 478,800
*Dominion Homes, Inc.................................. 5,800 37,156
Donegal Group, Inc.................................... 11,200 77,875
*Donna Karan International, Inc....................... 24,100 170,206
Donnelly Corp. Class A................................ 7,300 105,394
*Dorsey Trailers, Inc................................. 3,000 2,437
*Dot Hill Systems Corp................................ 15,460 135,275
Dover Downs Entertainment, Inc........................ 13,400 158,287
Downey Financial Corp................................. 30,976 921,536
*Dress Barn, Inc...................................... 23,600 502,237
*Drew Industries, Inc................................. 14,300 100,100
*Drexler Technology Corp.............................. 12,800 147,200
Dreyer's Grand Ice Cream, Inc......................... 28,800 611,100
*Dril-Quip, Inc....................................... 17,200 741,750
*DRS Technologies, Inc................................ 12,600 143,325
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Drug Emporium, Inc................................... 17,200 $ 19,619
*Dryclean USA, Inc.................................... 1,000 1,625
*Drypers Corp......................................... 4,700 8,445
*DSET Corp............................................ 12,200 231,037
DT Industries, Inc.................................... 11,100 111,694
*DualStar Technologies Corp........................... 17,200 70,412
*Duane Reade, Inc..................................... 19,100 571,806
*Duckwall-Alco Stores, Inc............................ 6,200 53,475
*Ducommun, Inc........................................ 12,500 139,844
*Dunn Computer Corp................................... 12,200 23,447
*DuPont Photomasks, Inc............................... 2,200 126,569
*Dura Automotive Systems, Inc......................... 18,100 215,503
*Dura Pharmaceuticals, Inc............................ 49,100 575,391
*Duramed Pharmaceuticals, Inc......................... 30,500 157,266
*DVI, Inc............................................. 15,200 218,500
*Dwyer Group, Inc..................................... 9,100 22,750
*Dynamic Healthcare Technologies, Inc................. 18,800 20,562
*Dynamic Materials Corp............................... 2,000 3,312
*Dynamics Research Corp............................... 9,700 68,506
*Dynatech Corp........................................ 5,100 61,200
*E Com Ventures, Inc.................................. 6,800 20,612
*e.spire Communications, Inc.......................... 56,600 214,903
*E4L, Inc............................................. 37,011 34,698
Eagle Bancshares, Inc................................. 7,200 84,150
*Eagle Food Centers, Inc.............................. 10,300 10,622
*Eagle Point Software Corp............................ 6,200 28,675
Earthgrains Co........................................ 44,500 734,250
*EarthShell Corp...................................... 110,000 443,437
East West Bancorp, Inc................................ 24,800 304,575
Eastern Co............................................ 4,950 63,731
*Eateries, Inc........................................ 3,800 14,012
*ECC International Corp............................... 8,300 24,900
*ECCS, Inc............................................ 1,700 6,614
*Eclipse Surgical Technologies, Inc................... 35,300 121,344
*Eclipsys Corp........................................ 15,000 104,531
*Eco Soil Systems, Inc................................ 19,700 30,166
*Ecogen, Inc.......................................... 13,640 21,526
Ecology & Environment, Inc. Class A................... 2,000 11,750
*Edac Technologies Corp............................... 3,500 2,516
Edelbrock Corp........................................ 6,700 76,631
*Edge Petroleum Corp.................................. 9,200 28,462
*Edison Control Corp.................................. 1,000 8,531
Edo Corp.............................................. 8,700 56,006
*Education Management Corp............................ 31,700 528,994
Educational Development Corp.......................... 1,800 4,894
*Educational Insights, Inc............................ 2,700 3,333
*EduTrek International, Inc........................... 3,900 5,241
*eFax.com, Inc........................................ 16,800 17,850
EFC Bancorp, Inc...................................... 4,800 43,800
*EFTC Corp............................................ 20,100 42,398
*Egghead.com, Inc..................................... 45,442 155,497
*eGlobe, Inc.......................................... 31,300 96,345
*El Paso Electric Co.................................. 70,300 834,812
*Elan Corp. P.L.C. ADR................................ 15,595 620,876
*Elantec Semiconductor, Inc........................... 16,600 633,394
*Elcom International, Inc............................. 33,600 175,350
Elcor Corp............................................ 20,175 384,586
*Elcotel, Inc......................................... 17,600 32,725
*Elder-Beerman Stores Corp............................ 16,400 74,825
*Electric Fuel Corp................................... 20,900 118,216
*Electro Rent Corp.................................... 27,000 293,625
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Electro Scientific Industries, Inc................... 6,900 $ 325,378
*Electroglas, Inc..................................... 22,200 585,525
*Electronic Processing, Inc........................... 4,200 46,200
*Electronic Retailing System International, Inc....... 2,300 1,473
*Elite Information Group, Inc......................... 9,300 59,287
Ellett Brothers, Inc.................................. 5,600 23,100
*E-Loan, Inc.......................................... 20,000 95,937
*eLOT, Inc............................................ 69,000 186,516
*Eltrax System, Inc................................... 5,546 26,690
*ELXSI Corp........................................... 1,800 21,825
*Embrex, Inc.......................................... 10,400 182,650
EMC Insurance Group, Inc.............................. 14,600 117,712
*Emcee Broadcast Products, Inc........................ 5,100 16,097
*Emcor Group, Inc..................................... 13,500 299,531
*Emergent Information Technologies, Inc............... 17,700 51,717
*Emerging Vision, Inc................................. 26,800 61,556
*Emeritus Corp........................................ 12,500 36,719
*Emisphere Technologies, Inc.......................... 14,500 573,203
Empire District Electric Co........................... 19,000 448,875
Empire Federal Bancorp, Inc........................... 2,100 23,231
*EMS Technologies, Inc................................ 11,300 182,566
*En Pointe Technologies, Inc.......................... 8,100 85,303
*Encad, Inc........................................... 15,300 53,550
*Encompass Services Corp.............................. 78,000 458,250
*Encore Med Corp...................................... 9,900 22,430
*Encore Wire Corp..................................... 19,700 123,741
*Endocardial Solutions, Inc........................... 13,200 109,725
*Endosonics Corp...................................... 19,400 82,753
Energen Corp.......................................... 36,100 798,712
*Energy Biosystems Corp............................... 7,214 62,897
*Energy Conversion Devices, Inc....................... 13,900 253,675
Energy West, Inc...................................... 200 1,581
Energynorth, Inc...................................... 4,300 253,700
Energysouth, Inc...................................... 5,300 102,687
Enesco Group, Inc..................................... 17,500 70,000
Engineered Support Systems, Inc....................... 9,000 113,625
*Engineering Animation, Inc........................... 13,800 132,178
*Engineering Measurements Co.......................... 1,250 7,734
Engle Homes, Inc...................................... 14,300 137,191
Enhance Financial Services Group, Inc................. 41,900 576,125
*Enlighten Software Solutions, Inc.................... 1,600 4,750
Ennis Business Forms, Inc............................. 21,300 157,087
*Enserch Exploration Corp............................. 42,400 217,300
*Entrade, Inc......................................... 16,400 105,575
*Entremed, Inc........................................ 16,900 369,159
*Envirogen, Inc....................................... 616 1,829
*Environmental Elements Corp.......................... 9,200 12,650
*Environmental Technologies Corp...................... 3,700 50,875
*Environmental Tectonics Corp......................... 8,900 84,550
*Enzo Biochem, Inc.................................... 7,340 258,735
*EP Medsystems, Inc................................... 10,200 47,175
*Epicor Software Corp................................. 50,642 181,995
*Epimmune, Inc........................................ 9,500 52,844
*Epitope, Inc......................................... 17,100 177,947
*EPIX Medical, Inc.................................... 11,700 161,241
*ePlus, Inc........................................... 4,400 88,687
*ePresence, Inc....................................... 28,900 242,037
*Equimed Inc Nevis.................................... 2,250 0
*Equinox Systems, Inc................................. 7,000 40,687
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Equity Marketing, Inc................................ 8,100 $ 82,012
*Equity Oil Co........................................ 10,200 20,878
*Ergo Science Corp.................................... 15,700 19,380
ESB Financial Corp.................................... 4,840 50,517
*Escalon Medical Corp................................. 3,200 5,300
*Esco Electronics Corp................................ 13,700 241,462
*eShare Communications, Inc........................... 23,500 138,062
Eskimo Pie Corp....................................... 3,100 30,516
Espey Manufacturing & Electronics Corp................ 400 5,750
*ESS Technology, Inc.................................. 45,800 602,556
*Esterline Technologies Corp.......................... 19,100 260,237
Ethan Allen Interiors, Inc............................ 31,500 732,375
Ethyl Corp............................................ 104,000 266,500
E'town Corp........................................... 11,300 749,331
*European Micro Holdings, Inc......................... 4,400 28,600
*Evans & Sutherland Computer Corp..................... 12,100 95,666
*Evans Systems, Inc................................... 4,000 1,812
*Evercel, Inc......................................... 1,666 23,740
*Evergreen Resources, Inc............................. 16,400 450,487
*Evolving Systems, Inc................................ 13,400 52,344
*Exabyte Corp......................................... 27,300 115,172
*Exactech, Inc........................................ 6,500 95,875
*Exar Corp............................................ 6,100 418,803
*Excalibur Technologies Corp.......................... 18,700 538,794
*Excel Legacy Corp.................................... 40,200 115,575
*Excel Technology, Inc................................ 15,100 476,594
*eXcelon Corp......................................... 32,400 212,625
*Excelsior-Henderson Motorcycle Manufacturing Co...... 5,200 624
Exide Corp............................................ 24,200 205,700
*Exponent, Inc........................................ 8,700 68,241
*Extended Stay America, Inc........................... 79,300 713,700
*Extended Systems, Inc................................ 12,300 396,675
Ezcorp, Inc. Class A Non-Voting....................... 11,900 26,031
*E-Z-Em, Inc. Class A................................. 5,400 37,125
*E-Z-Em, Inc. Class B................................. 4,462 28,724
*Ezenia! Inc.......................................... 16,300 73,350
F & M Bancorp (MD).................................... 8,462 146,234
F & M National Corp................................... 27,400 649,037
F.N.B. Corp........................................... 23,205 424,942
Fab Industries, Inc................................... 6,900 69,000
*Factory 2-U Stores, Inc.............................. 15,200 530,575
*Factual Data Corp.................................... 5,400 45,225
Fair, Isaac & Co., Inc................................ 18,300 770,887
*Fairchild Corp. Class A.............................. 35,152 166,972
*Fairfield Communities, Inc........................... 50,400 425,250
Falcon Products, Inc.................................. 11,300 111,587
*Family Golf Centers, Inc............................. 25,550 7,984
*Famous Dave's of America, Inc........................ 2,400 8,137
*Fansteel, Inc........................................ 8,700 34,800
*Farm Family Holdings, Inc............................ 4,700 126,900
Farmer Brothers Co.................................... 2,400 402,000
*Faro Technologies, Inc............................... 13,600 36,975
*Faroudja, Inc........................................ 11,900 37,931
Farrel Corp........................................... 3,400 5,525
*Fatbrain.com, Inc.................................... 12,600 83,278
FBL Financial Group, Inc. Class A..................... 35,500 519,187
FCNB Corp............................................. 11,977 145,595
*Featherlite Manufacturing, Inc....................... 6,500 22,547
Fedders Corp.......................................... 20,700 125,494
Fedders Corp. Class A................................. 7,700 43,312
</TABLE>
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Federal Screw Works................................... 1,800 $ 74,925
*FEI Co............................................... 30,200 546,431
*Female Health Co..................................... 9,300 5,812
Ferro Corp............................................ 33,500 741,187
FFLC Bancorp.......................................... 4,600 58,937
FFY Financial Corp.................................... 8,900 98,456
*Fibermark, Inc....................................... 8,800 91,850
*Fiberstars, Inc...................................... 5,200 40,787
Fidelity Bancorp, Inc. Delaware....................... 2,600 45,662
Fidelity Bankshares, Inc.............................. 6,800 105,825
*Fidelity Federal Bancorp............................. 2,500 4,844
*Fidelity Holdings, Inc............................... 21,900 55,434
Fidelity National Corp................................ 11,400 70,894
Fidelity National Financial, Inc...................... 30,800 477,400
*Fieldworks, Inc...................................... 8,900 9,178
*Filenet Corp......................................... 29,000 609,906
*Film Roman, Inc...................................... 4,700 5,214
*Financial Federal Corp............................... 16,300 289,325
*Finish Line, Inc. Class A............................ 20,800 144,300
*Finishmaster, Inc.................................... 800 4,350
*Finlay Enterprises, Inc.............................. 13,500 153,984
First Albany Companies, Inc........................... 6,244 116,301
*First American Health Concepts, Inc.................. 1,600 4,200
*First Aviation Services, Inc......................... 6,200 41,462
First Bancorp......................................... 600 9,750
First Bell Bancorp, Inc............................... 6,600 94,256
*First Cash, Inc...................................... 9,400 39,656
First Charter Corp.................................... 19,780 315,862
First Citizens Bancshares, Inc. NC.................... 1,300 78,406
First Commonwealth Financial Corp..................... 63,900 623,025
*First Consulting Group, Inc.......................... 26,544 206,545
First Defiance Financial Corp......................... 6,959 57,629
First Essex Bancorp................................... 9,800 161,394
First Federal Bancshares of Arkansas, Inc............. 4,400 66,550
First Federal Capital Corp............................ 18,500 197,141
First Federal of East Hartford........................ 2,000 57,750
First Financial Bankshares, Inc....................... 12,813 375,581
*First Financial Corp................................. 1,275 41,437
First Financial Holdings, Inc......................... 14,700 230,147
First Franklin Corp................................... 300 2,709
First Georgia Holdings, Inc........................... 1,012 4,744
First Indiana Corp.................................... 16,400 286,487
First International Bancorp, Inc...................... 10,700 90,616
*First Investors Financial Services Group, Inc........ 6,000 28,312
First Keystone Financial, Inc......................... 2,000 20,250
First Mariner Bank Corp............................... 3,200 20,600
First Merchants Corp.................................. 14,100 300,506
First Midwest Financial, Inc.......................... 2,500 24,766
First Mutual Bancshares, Inc.......................... 3,768 37,444
First Niagara Financial Group, Inc.................... 19,800 181,294
First Northern Capital Corp........................... 11,100 148,116
First Oak Brook Bancshares, Inc. Class A.............. 2,100 31,434
*First Republic Bank.................................. 11,900 200,812
First Savings Bancorp, Inc. North Carolina............ 4,500 81,000
First SecurityFed Financial, Inc...................... 5,400 61,425
First Sentinel Bancorp, Inc........................... 47,400 369,572
First Source Corp..................................... 24,700 443,828
*First Team Sports, Inc............................... 5,900 12,630
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
First United Bancshares, Inc.......................... 5,000 $ 84,531
First United Corp..................................... 2,800 32,900
First Washington Bancorp, Inc......................... 12,300 177,966
First Years, Inc...................................... 13,300 123,441
FirstBank NW Corp..................................... 1,600 16,200
*FirstCity Financial Corp............................. 8,300 18,156
Firstfed America Bancorp, Inc......................... 6,300 73,237
*FirstFed Financial Corp. DE.......................... 20,100 270,094
Firstspartan Financial Corp........................... 3,400 59,500
*Firstwave Technologies, Inc.......................... 7,500 26,602
*Fischer Imaging Corp................................. 9,100 24,456
Flag Financial Corp................................... 6,500 34,328
Flagstar Bancorp, Inc................................. 13,700 128,866
Flamemaster Corp...................................... 247 2,231
*Flander Corp......................................... 25,600 91,200
Fleetwood Enterprises, Inc............................ 35,900 511,575
Fleming Companies, Inc................................ 43,100 606,094
Flexsteel Industries, Inc............................. 8,300 107,122
*flightserv.com....................................... 34,400 43,000
*Flir Systems, Inc.................................... 17,150 118,978
*Flooring America, Inc................................ 21,000 57,750
*Florida Banks, Inc................................... 6,000 31,312
Florida Public Utilities Co........................... 3,600 52,650
Florida Rock Industries, Inc.......................... 24,000 949,500
*Florsheim Group, Inc................................. 8,400 20,737
*Flour City International, Inc........................ 4,900 14,087
*Flow International Corp.............................. 17,700 183,084
Flowserve Corp........................................ 43,900 702,400
Flushing Financial Corp............................... 12,400 179,025
FNB Financial Services Corp........................... 2,100 25,725
*Foamex International, Inc............................ 20,500 108,266
*Focal, Inc........................................... 18,500 69,953
*Foilmark, Inc........................................ 10,300 39,591
*Foodarama Supermarkets, Inc.......................... 1,400 37,800
Foothill Independent Bancorp.......................... 7,400 71,687
*Footstar, Inc........................................ 22,900 821,537
Forest City Enterprises, Inc. Class A................. 2,700 79,987
Forest City Enterprises, Inc. Class B................. 3,000 94,500
*Forest Oil Corp...................................... 64,540 1,028,606
*Forrester Resh, Inc.................................. 7,400 438,681
*Fortel, Inc.......................................... 13,800 28,247
*Forward Air Corp., Inc............................... 22,750 728,000
*Fossil, Inc.......................................... 35,300 706,000
*Foster (L.B.) Co. Class A............................ 10,000 33,437
Foster Wheeler Corp................................... 44,800 378,000
*Fotoball USA, Inc.................................... 3,100 12,787
*Fountain Powerboat Industries, Inc................... 6,100 14,678
*Four Kids Entertainment, Inc......................... 15,400 283,937
*Fourth Shift Corp.................................... 13,800 59,297
*FPIC Insurance Group, Inc............................ 10,400 134,225
Frankfort First Bancorp, Inc.......................... 850 10,094
Franklin Bank National Associaton Southfield, MI...... 3,789 32,680
*Franklin Covey Co.................................... 20,300 157,325
Franklin Electric Co., Inc............................ 7,000 487,594
*Franklin Electronic Publishers, Inc.................. 7,300 47,450
Freds, Inc. Class A................................... 15,500 265,437
Fremont General Corp.................................. 71,900 314,562
*French Fragrances, Inc............................... 15,200 116,850
Frequency Electronics, Inc............................ 10,300 175,100
*Fresh America Corp................................... 4,900 10,719
*Fresh Choice, Inc.................................... 7,400 26,709
</TABLE>
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*Fresh Foods, Inc..................................... 7,600 $ 22,325
*Friede Goldman International......................... 47,873 403,928
*Friedman Billings Ramsey Group, Inc. Class A......... 13,100 83,512
Friedman Industries, Inc.............................. 4,305 13,991
Friedmans, Inc. Class A............................... 16,000 96,500
*Friendly Ice Cream Corp.............................. 7,500 35,859
Frisch's Restaurants, Inc............................. 7,000 68,250
*Fritz Companies, Inc................................. 42,100 438,103
Frontier Adjusters of America, Inc.................... 1,000 3,937
*Frontier Airlines, Inc............................... 23,000 303,312
Frontier Insurance Group, Inc......................... 36,990 43,926
*Frontier Oil Corp.................................... 35,100 245,700
Frozen Food Express Industries, Inc................... 17,907 45,327
FSF Financial Corp.................................... 2,800 34,650
*FSI International, Inc............................... 32,600 469,644
*FTI Consulting, Inc.................................. 6,800 63,750
*FuelCell Energy, Inc................................. 6,550 284,106
Fuller (H.B.) Co...................................... 12,600 487,462
*Funco, Inc........................................... 6,000 147,562
*Furr's/Bishop's, Inc................................. 2,700 7,762
*Fusion Medical Technologies, Inc..................... 13,000 166,156
*FVC.COM, Inc......................................... 18,400 103,500
*FX Energy, Inc....................................... 10,000 75,625
*FYI, Inc............................................. 18,800 615,700
G & K Services, Inc. Class A.......................... 20,900 523,153
GA Financial, Inc..................................... 5,700 66,975
*Gadzooks, Inc........................................ 11,600 165,300
Gainsco, Inc.......................................... 23,811 125,008
*Galagen, Inc......................................... 11,400 22,087
*Galey & Lord, Inc.................................... 14,600 35,587
*GameTech International, Inc.......................... 11,700 74,587
Garan, Inc............................................ 6,900 141,450
*Garden Fresh Restaurant Corp......................... 7,300 79,387
*Gardenburger, Inc.................................... 8,700 47,306
*Gardner Denver Machinery, Inc........................ 19,800 346,500
*Gart Sports Co....................................... 676 3,845
*Gasonics International, Inc.......................... 17,150 467,337
*Gaylord Container Corp. Class A...................... 60,300 241,200
GBC Bancorp........................................... 14,900 427,909
*GC Companies, Inc.................................... 10,100 267,019
*Geerling & Wade, Inc................................. 5,000 17,812
*Gehl Co.............................................. 7,200 128,925
*Geltex Pharmaceuticals, Inc.......................... 25,700 500,347
*Gencor Industries, Inc............................... 5,100 32,194
Gencorp, Inc.......................................... 50,200 492,587
*Gene Logic, Inc...................................... 27,900 590,259
*Genelabs Technologies, Inc........................... 45,700 154,952
General Binding Corp.................................. 16,000 120,000
General Cable Corp.................................... 41,600 345,800
*General Chemical Group, Inc.......................... 15,100 14,628
*General Communications, Inc. Class A................. 49,600 238,700
*General Datacomm Industries, Inc..................... 25,700 101,194
General Employment Enterprises, Inc................... 6,600 23,100
*General Magic, Inc................................... 49,500 130,711
General Magnaplate Corp............................... 400 950
*General Semiconductor, Inc........................... 41,500 653,625
*Genesco, Inc......................................... 26,000 401,375
*Genesee & Wyoming, Inc............................... 3,100 56,769
Genesee Corp. Class B................................. 200 3,737
*Genesis Health Ventures, Inc......................... 31,700 11,887
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Genesis Worldwide, Inc................................ 3,400 $ 3,400
*Geneva Steel Co. Class A............................. 11,900 4,462
*Genlyte Group, Inc................................... 17,700 360,084
*Genome Therapeutics Corp............................. 26,700 414,684
*Genrad, Inc.......................................... 32,800 239,850
*GenStar Therapeutics Corporation..................... 2,100 9,712
*Gensym Corp.......................................... 8,100 29,489
Gentek, Inc........................................... 22,200 299,700
*Gentiva Health Services.............................. 13,950 121,627
*Genus, Inc........................................... 20,100 110,550
*Genzyme Transgenics Corp............................. 31,300 580,028
Geon Co............................................... 26,100 561,150
Georgia Gulf Corp..................................... 20,000 500,000
*Geoworks............................................. 19,900 214,547
*Gerald Stevens, Inc.................................. 53,800 105,919
*Gerber Childrenswear, Inc............................ 10,000 52,500
Gerber Scientific, Inc................................ 28,800 345,600
*Geron Corp........................................... 23,500 425,203
*Getty Petroleum Marketing, Inc....................... 13,900 50,387
Getty Realty Corp. (Holding Co.)...................... 13,600 152,150
*Giant Group, Ltd..................................... 2,200 1,409
*Giant Industries, Inc................................ 11,800 103,987
Gibraltar Steel Corp.................................. 16,300 258,253
*Giga Information Group, Inc.......................... 10,000 49,062
*Giga-Tronics, Inc.................................... 5,600 42,350
*G-III Apparel Group, Ltd............................. 6,700 30,987
*Gilman & Ciocia, Inc................................. 9,900 52,903
*Gish Biomedical, Inc................................. 2,700 5,822
Glacier Bancorp, Inc.................................. 3,627 46,358
*Glacier Water Services, Inc.......................... 3,600 43,650
Glatfelter (P.H.) Co.................................. 46,600 550,462
*Glenayre Technologies, Inc........................... 35,900 295,053
*Gliatech, Inc........................................ 9,900 185,316
*Global Imaging Systems, Inc.......................... 21,100 191,219
*Global Payment Technologies, Inc..................... 5,500 34,375
*Global Sources, Ltd.................................. 1,669 46,054
*Global Sports, Inc................................... 22,100 120,169
*Global Technologies, Ltd............................. 10,700 39,791
*Global Vacation Group, Inc........................... 16,300 41,769
*Globe Business Resources, Inc........................ 6,200 79,244
*Globecomm Systems, Inc............................... 15,100 164,684
Gold Banc Corp........................................ 41,800 236,431
Golden Enterprises, Inc............................... 12,200 38,125
*Golden State Vintners, Inc........................... 4,600 22,137
*Good Guys, Inc....................................... 24,400 65,575
*Goodrich Petroleum Corp.............................. 6,500 27,625
*Goodys Family Clothing............................... 33,300 182,109
Gorman-Rupp Co........................................ 7,975 139,064
*Gottschalks, Inc..................................... 13,100 66,319
*Government Technology Services, Inc.................. 9,300 28,191
*GP Strategies Corp................................... 10,960 41,785
Graco, Inc............................................ 22,500 721,406
*Gradco Systems, Inc.................................. 9,600 17,850
*Graham Corp.......................................... 1,000 7,625
*Grand Union Co....................................... 10,200 8,606
Granite Construction, Inc............................. 27,000 703,687
Granite State Bankshares, Inc......................... 7,400 122,100
*Graphic Packaging International Corp................. 34,200 117,562
Gray Communications Systems, Inc...................... 8,700 98,419
*Great Plains Software................................ 9,700 404,369
Great Southern Bancorp, Inc........................... 5,400 90,787
</TABLE>
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<TABLE>
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SHARES VALUE+
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Greater Bay Bancorp................................... 14,458 $ 662,809
*Green Mountain Coffee, Inc........................... 3,100 55,800
Green Mountain Power Corp............................. 7,000 55,562
*Greenbriar Corp...................................... 6,760 10,140
Greenbrier Companies, Inc............................. 15,600 118,950
Grey Advertising, Inc................................. 200 93,200
*Grey Wolf, Inc....................................... 186,700 933,500
*Griffin Land & Nurseries, Inc. Class A............... 2,200 29,700
*Griffon Corp......................................... 33,400 202,487
*Gristede's Sloans, Inc............................... 1,200 2,400
*Group 1 Automotive, Inc.............................. 24,600 282,900
*Group 1 Software, Inc................................ 8,025 146,958
*Grow Biz International, Inc.......................... 3,800 18,525
*Grubb & Ellis Co..................................... 23,700 131,831
*GSV, Inc............................................. 9,500 4,750
*GT Interactive Software Corp......................... 113,500 237,641
*Gtech Holdings, Inc.................................. 22,000 485,375
*GTS Duratek, Inc..................................... 17,300 140,562
*Guaranty Bancshares, Inc............................. 3,900 39,975
Guaranty Federal Bancshares, Inc...................... 5,200 51,837
*Guess, Inc........................................... 33,650 513,162
*Guest Supply, Inc.................................... 8,100 142,256
Guilford Mills, Inc................................... 27,250 178,828
*Guilford Pharmaceuticals, Inc........................ 27,700 386,069
*Guitar Center, Inc................................... 28,600 366,437
*Gulf Island Fabrication, Inc......................... 11,600 201,187
*Gulfmark Offshore, Inc............................... 10,500 226,406
*Gumtech International, Inc........................... 11,400 125,044
*Gundle/SLT Environmental, Inc........................ 13,700 42,812
*Gymboree Corp........................................ 30,300 84,745
*GZA Geoenvironmental Technologies, Inc............... 1,700 10,412
*Hadco Corp........................................... 11,900 1,050,175
*Haemonetics Corp..................................... 28,100 602,394
Haggar Corp........................................... 8,600 99,706
*Hagler Bailly, Inc................................... 19,900 36,069
*Hahn Automotive Warehouse, Inc....................... 2,163 2,298
*Hain Celestial Group, Inc............................ 35,588 1,048,749
*Halifax Corp......................................... 1,000 5,187
*Hall Kinion Associates, Inc.......................... 12,700 324,644
Hallmark Capital Corp................................. 3,400 28,900
*Ha-Lo Industries, Inc................................ 53,800 299,262
*Halsey Drug Co., Inc................................. 12,200 13,725
*Hamilton Bancorp, Inc................................ 10,100 173,594
*Hammons (John Q.) Hotels, Inc. Class A............... 7,800 32,175
*Hampshire Group, Ltd................................. 2,000 16,000
*Hampton Industries, Inc.............................. 4,944 9,270
Hancock Fabrics, Inc.................................. 22,100 103,594
Hancock Holding Co.................................... 13,810 438,467
*Handleman Co......................................... 34,900 340,275
*Hanger Orthopedic Group, Inc......................... 31,900 153,519
*Hanover Direct, Inc.................................. 220,600 344,687
*Harbinger Corp....................................... 30,800 462,000
Harbor Federal Bancorp, Inc........................... 770 13,379
Harbor Florida Bancshares, Inc........................ 29,300 310,397
*Harding Lawson Associates Group, Inc................. 6,600 74,869
Hardinge Brothers, Inc................................ 11,700 112,978
*Harken Energy Corp................................... 110,500 82,875
Harland (John H.) Co.................................. 31,000 476,625
Harleysville Group, Inc............................... 31,900 540,306
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Harleysville National Corp. PA........................ 10,200 $ 302,494
Harmon Industries, Inc................................ 14,700 196,612
*Harnischfeger Industries, Inc........................ 37,800 16,632
*Harolds Stores, Inc.................................. 2,308 5,770
Harris Financial, Inc................................. 37,400 231,412
*Harry's Farmers Market, Inc. Class A................. 2,100 2,362
*Hartmarx Corp........................................ 44,900 101,025
*Harvard Industries, Inc.............................. 2,500 11,328
*Harvey Entertainment Co.............................. 5,400 16,537
*Hastings Entertainment, Inc.......................... 11,700 15,539
Hastings Manufacturing Co............................. 700 6,366
*Hathaway Corp........................................ 2,900 10,331
*Hauppauge Digital, Inc............................... 11,300 96,403
*Hauser, Inc.......................................... 5,050 6,944
Haven Bancorp, Inc.................................... 11,700 209,869
Haverty Furniture Co., Inc............................ 16,200 182,250
Haverty Furniture Co., Inc. Class A................... 400 4,700
*Hawaiian Airlines, Inc............................... 40,900 102,250
*Hawk Corp............................................ 9,600 65,400
*Hawker Pacific Aerospace............................. 7,500 42,187
Hawkins Chemical, Inc................................. 13,800 108,675
*Hawthorne Financial Corp............................. 7,200 58,500
*Hayes Lemmerz International, Inc..................... 33,300 480,769
HCC Insurance Holdings, Inc........................... 49,900 851,419
*HD Vest, Inc......................................... 3,000 18,281
*Headway Corporate Resources, Inc..................... 14,700 46,856
*Health Management Systems, Inc....................... 20,625 85,400
*Health Power, Inc.................................... 1,900 8,431
*Health Risk Management, Inc.......................... 5,300 30,806
*Health Systems Design Corp........................... 8,700 48,937
*HealthAxis, Inc...................................... 14,200 74,994
*Healthcare Recoveries, Inc........................... 14,600 50,872
*Healthcare Services Group, Inc....................... 13,050 58,725
*Healthcare.com Corp.................................. 32,500 83,281
*Healthcor Holdings................................... 3,000 105
*HealthGrades.com, Inc................................ 8,700 10,059
Healthplan Services Corp.............................. 15,729 38,339
*Heartland Express, Inc............................... 35,976 635,201
*Heartport, Inc....................................... 29,200 92,162
*Hearx, Ltd........................................... 12,000 47,250
*HeavenlyDoor.com, Inc................................ 347 553
*Hecla Mining Co...................................... 53,300 56,631
*Hector Communications Corp........................... 4,600 58,650
*HEI, Inc............................................. 6,100 73,962
Heico Corp............................................ 11,000 144,375
Heico Corp. Class A................................... 2,507 32,591
Heilig-Meyers Co...................................... 64,750 109,266
*Hello Direct, Inc.................................... 6,800 84,575
*Hemasure, Inc........................................ 6,600 15,262
*Hemispherx Biopharma, Inc............................ 31,600 183,675
Henry Jack & Associates, Inc.......................... 1,096 47,642
Herbalife International, Inc. Class A................. 8,800 76,450
Herbalife International, Inc. Class B................. 12,200 93,025
Heritage Financial Corp............................... 12,400 98,037
*Herley Industries, Inc............................... 6,000 97,125
*Heska Corp........................................... 35,000 71,094
*Hexcel Corp.......................................... 40,200 311,550
HF Financial Corp..................................... 6,100 52,803
*HI/FN, Inc........................................... 11,400 330,956
*Hibbett Sporting Goods, Inc.......................... 6,500 126,141
*Hickory Tech Corp.................................... 10,400 136,500
*High Plains Corp..................................... 15,900 35,775
</TABLE>
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<CAPTION>
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*Highlands Insurance Group, Inc....................... 15,400 $ 111,650
Hilb Rogal Hamilton Co................................ 14,400 450,900
*Hines Horticulture, Inc.............................. 24,300 161,747
*Hirsch International Corp. Class A................... 5,500 7,734
*Hi-Shear Industries, Inc............................. 500 1,211
*Hi-Shear Technology Corp............................. 8,600 17,200
*Hi-Tech Pharmacal, Inc............................... 4,400 17,119
*HMI Industries, Inc.................................. 5,400 7,931
HMN Financial, Inc.................................... 6,000 67,875
*HMT Technology Corp.................................. 53,700 92,297
*Hoenig Group, Inc.................................... 10,600 98,381
*Holiday RV Superstores, Inc.......................... 9,400 39,362
*Hollis-Eden Pharmaceuticals, Inc..................... 12,200 109,037
Holly Corp............................................ 10,700 107,000
*Hollywood Casino Corp. Class A....................... 27,400 138,712
*Hollywood Entertainment Corp......................... 54,900 378,295
*Hologic, Inc......................................... 17,800 102,350
*Holt's Cigar Holdings, Inc........................... 1,122 6,206
Home Bancorp.......................................... 1,700 25,128
Home Federal Bancorp.................................. 6,100 100,269
Home Loan Financial Corp.............................. 2,400 15,900
Home Port Bancorp, Inc................................ 600 14,550
*Home Products International, Inc..................... 9,400 40,537
*Homebase, Inc........................................ 46,050 86,344
*Homegold Financial, Inc.............................. 7,700 6,978
*Homeland Holding Corp................................ 3,000 11,812
*Homestead Village, Inc............................... 34,400 139,750
HopFed Bancorp, Inc................................... 2,100 21,459
Horace Mann Educators Corp............................ 49,200 836,400
Horizon Financial Corp................................ 9,453 88,326
*Horizon Health Corp.................................. 6,700 40,619
*Horizon Medical Products, Inc........................ 7,400 15,725
*Horizon Offshore, Inc................................ 20,700 233,522
*Horizon Organic Holding Corp......................... 10,700 102,987
*Horizon Pharmacies, Inc.............................. 7,600 28,500
*Hot Topic, Inc....................................... 9,800 250,206
*Hotelworks.com, Inc.................................. 16,100 6,037
*HotJobs.com, Ltd..................................... 34,800 403,462
*Houston Exploration Co............................... 26,300 657,500
*Hovnanian Enterprises, Inc. Class A.................. 16,100 88,550
*Hovnanian Enterprises, Inc. Class B.................. 1,150 6,325
Howell Corp........................................... 2,100 19,556
*Howtek, Inc.......................................... 3,600 6,806
*HPSC, Inc............................................ 2,100 19,819
*HS Resources, Inc.................................... 20,700 694,744
HSB Group, Inc........................................ 17,700 514,406
*HTE, Inc............................................. 19,100 19,398
*Hub Group, Inc. Class A.............................. 9,100 115,172
*Hudson Hotels Corp................................... 3,100 3,148
Hudson River Bancorp, Inc............................. 15,900 155,522
*Hudson Technologies, Inc............................. 6,600 13,819
Huffy Corp............................................ 12,500 40,625
Hughes Supply, Inc.................................... 25,900 492,100
Hunt (J.B.) Transport Services, Inc................... 39,200 633,325
Hunt Corp............................................. 12,900 129,806
*Huntco, Inc. Class A................................. 4,900 15,006
*Hurco Companies, Inc................................. 6,200 27,125
Hussmann International, Inc........................... 31,400 906,675
*Hutchinson Technology, Inc........................... 27,200 320,450
*Hvide Marine, Inc. Class A........................... 7,000 0
*Hycor Biomedical, Inc................................ 9,500 47,500
*Hypercom Corp........................................ 36,500 456,250
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*HyperFeed Technologies, Inc.......................... 12,000 $ 35,250
*Hyperion Solutions Corp.............................. 23,935 752,457
*Hyseq, Inc........................................... 14,600 338,081
*I.C. Isaacs & Co., Inc............................... 7,200 11,925
Iberiabank Corp....................................... 8,500 126,969
*Ibis Technology Corp................................. 6,100 219,219
*Ico, Inc............................................. 14,320 23,494
*ICT Group, Inc....................................... 13,000 91,406
*ICU Medical, Inc..................................... 10,700 200,959
*Identix, Inc......................................... 34,100 439,037
*IDEXX Laboratories, Inc.............................. 29,700 737,859
*IDG Books Worldwide, Inc............................. 14,300 128,253
*IDT Corp............................................. 23,200 756,175
*IDX Systems Corp..................................... 33,800 500,662
*IEC Electronics Corp................................. 8,100 15,441
*IFR Systems, Inc..................................... 10,700 61,191
*IGEN, Inc............................................ 17,000 225,781
*IGI, Inc............................................. 9,600 13,800
*Igo Corp............................................. 5,000 18,750
*IHOP Corp............................................ 22,100 389,512
*II-VI, Inc........................................... 6,200 238,312
*Ikos Systems, Inc.................................... 10,900 92,820
*Il Fornaio (America) Corp............................ 5,800 50,025
*ilife.com, Inc....................................... 7,000 14,219
*Image Entertainment, Inc............................. 18,800 74,612
*Imatron, Inc......................................... 110,800 230,256
IMCO Recycling, Inc................................... 18,200 121,712
*Immucor, Inc......................................... 9,300 74,691
*Immune Response Corp. DE............................. 31,100 209,439
*Immunogen, Inc....................................... 35,300 243,791
*Immunomedics, Inc.................................... 38,000 471,437
*Impath, Inc.......................................... 11,300 614,791
*Impco Technologies, Inc.............................. 9,500 272,531
*Imperial Credit Industries, Inc...................... 41,790 146,265
Imperial Sugar Co..................................... 37,251 51,220
*Impreso.com, Inc..................................... 5,300 21,697
*IMR Global Corp...................................... 42,400 700,925
*In Focus Systems, Inc................................ 25,300 706,028
*In Home Health, Inc.................................. 6,100 12,486
*Inacom Corp.......................................... 50,244 8,541
Independence Community Bank Corp...................... 1,040 13,910
Independence Holding Co............................... 2,500 30,937
Independent Bank Corp. MA............................. 15,600 194,512
Independent Bank East................................. 14,500 189,406
*Individual Investor Group, Inc....................... 12,700 26,392
*Indus International, Inc............................. 44,200 262,437
Industrial Bancorp, Inc............................... 4,100 46,637
*Industrial Data Systems Corp......................... 5,000 5,625
*Industrial Distribution Group, Inc................... 9,700 23,037
*Industrial Holdings, Inc............................. 13,000 15,031
*Industri-Matematik International Corp................ 33,100 173,775
*Inference Corp. Class A.............................. 8,500 52,594
*Infinium Software, Inc............................... 16,000 51,500
*Infocure Corp........................................ 34,400 149,425
*Infonautics Corp. Class A............................ 8,500 34,797
*Information Architects Corp.......................... 31,400 218,819
*Information Management Associates, Inc............... 9,700 42,437
*Information Resource Engineering, Inc................ 8,600 123,087
*Information Resources, Inc........................... 31,500 156,516
</TABLE>
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<TABLE>
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SHARES VALUE+
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*infoUSA, Inc......................................... 54,800 $ 275,712
*Infu-tech, Inc....................................... 2,000 4,156
*Ingenuus Corp........................................ 29,700 43,622
Ingles Market, Inc. Class A........................... 12,000 118,500
*Innerdyne, Inc....................................... 24,400 135,725
*Innodata Corp........................................ 1,800 11,137
*Innotrac Corp........................................ 15,300 75,544
*Innovative Clinical Solutions, Ltd................... 30,000 5,250
*Innovative Gaming Corp. of America................... 8,300 6,095
*Innoveda, Inc........................................ 19,700 88,034
Innovex, Inc.......................................... 19,200 165,000
*Inprise Corp......................................... 57,800 322,416
*Input/Output, Inc.................................... 55,800 439,425
*Insight Enterprises, Inc............................. 10,262 465,959
*Insignia Financial Group, Inc........................ 28,733 325,042
*Insilco Holding Co................................... 192 5,184
*Insite Vision, Inc................................... 22,300 87,806
*Insituform East, Inc................................. 1,700 2,284
*Insituform Technologies, Inc. Class A................ 14,910 515,793
*Inso Corp............................................ 19,000 67,094
*Inspire Insurance Solutions, Inc..................... 24,550 85,158
Insteel Industries, Inc............................... 6,800 39,100
*Insurance Auto Auctions, Inc......................... 15,000 291,094
*Insurance Management Solutions, Inc.................. 16,600 26,716
*Integ, Inc........................................... 9,700 16,823
Integra Bank Corp..................................... 18,494 366,412
*Integra Lifesciences Corp............................ 21,200 149,725
*Integra, Inc......................................... 5,900 3,687
*Integral Vision, Inc................................. 11,700 20,475
*IntegraMed America, Inc.............................. 4,300 13,437
*Integrated Electrical Services, Inc.................. 39,300 194,044
*Integrated Measurement System, Inc................... 10,100 150,237
*Integrated Silicon Solution, Inc..................... 26,200 776,994
*INTELFILM Corp....................................... 8,300 21,787
*Intellicall, Inc..................................... 8,900 7,231
*Intellidata Technologies Corp........................ 42,600 259,594
Intelligent Systems Corp.............................. 5,800 24,650
*Intelligroup, Inc.................................... 18,000 170,719
*Inter Parfums, Inc................................... 10,200 119,850
*InterCept Group, Inc................................. 14,300 243,547
Interchange Financial Services Corp................... 8,400 107,100
*InterDent, Inc....................................... 21,700 69,169
*Interdigital Communications Corp..................... 20,300 326,703
*Interface Systems, Inc............................... 6,000 42,187
Interface, Inc. Class A............................... 48,500 212,187
*Interferon Scientific, Inc........................... 2,435 3,082
*Intergraph Corp...................................... 54,400 304,300
*Interlink Electronics................................ 14,400 312,300
*Interlinq Software Corp.............................. 6,200 17,437
*Interlogix, Inc...................................... 8,500 187,531
*Interlott Technologies, Inc.......................... 4,100 24,087
*Intermagnetics General Corp.......................... 17,200 195,650
Intermet Corp......................................... 25,700 177,089
*International Aircraft Investors..................... 4,200 21,525
International Aluminum Corp........................... 2,100 30,581
*International FiberCom, Inc.......................... 33,500 480,516
*International Microcomputer Software, Inc............ 5,100 3,366
International Multifoods Corp......................... 20,600 287,113
*International Remote Imaging Systems, Inc............ 10,100 14,519
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
International Shipholding Corp........................ 7,900 $ 60,238
*International Speciality Products, Inc............... 75,700 411,619
*International Total Services, Inc.................... 5,600 5,600
*Interneuron Pharmaceuticals, Inc..................... 50,800 78,581
*Interphase Corp...................................... 7,500 105,938
*Interplay Entertainment Corp......................... 25,100 44,709
Interpool, Inc........................................ 33,050 264,400
*Interpore International.............................. 17,800 136,003
*Interstate National Dealers Services, Inc............ 5,100 27,731
*Intertan, Inc........................................ 33,300 351,731
Inter-Tel, Inc........................................ 28,900 407,309
*Intervisual Books, Inc. Class A...................... 1,000 1,438
*Intervoice, Inc...................................... 35,200 497,200
Interwest Bancorp..................................... 17,300 263,284
*Intest Corp.......................................... 4,400 64,075
*Intevac, Inc......................................... 15,300 47,813
*IntraNet Solutions, Inc.............................. 21,800 429,188
Invacare Corp......................................... 31,100 769,725
*Inverness Medical Technology, Inc.................... 26,700 206,925
Investors Financial Services Corp..................... 10,198 827,950
Investors Title Co.................................... 1,400 15,400
*Invision Technologies, Inc........................... 12,200 49,181
*Invivo Corp.......................................... 5,600 56,350
*Iomed, Inc........................................... 6,200 34,100
*Ion Networks, Inc.................................... 10,500 63,492
*Ionics, Inc.......................................... 17,800 511,750
*IRI International Corp............................... 39,900 356,606
*Iridex Corp.......................................... 8,600 73,100
*Iron Mountain, Inc................................... 11,520 420,480
Iroquois Bancorp...................................... 400 13,038
Irwin Financial Corp.................................. 27,300 393,291
*Isco, Inc............................................ 14,735 66,077
*Isis Pharmaceuticals, Inc............................ 35,900 334,319
*Isle of Capri Casinos, Inc........................... 33,200 453,388
*Isolyser Co., Inc.................................... 46,010 162,473
*I-Stat Corp.......................................... 20,000 293,125
*IT Group, Inc ....................................... 28,080 163,215
*ITC Learning Corp.................................... 3,800 9,381
*ITEQ, Inc............................................ 25,354 14,262
*ITLA Capital Corp.................................... 9,200 120,175
*Itron, Inc........................................... 19,500 90,797
*ITT Educational Services, Inc........................ 31,900 530,338
*Ivex Packaging Corp.................................. 27,200 244,800
*IVI Checkmate Corp................................... 23,600 69,325
*J & J Snack Foods Corp............................... 10,500 156,516
*J. Alexander's Corp.................................. 6,900 26,738
*J. Jill Group, Inc................................... 10,400 64,025
*Jackpot Enterprises, Inc............................. 8,000 92,500
Jacksonville Bancorp, Inc............................. 1,600 20,500
*Jaclyn, Inc.......................................... 1,300 2,600
*Jaco Electronics, Inc................................ 3,973 64,685
*Jacobson Stores, Inc................................. 6,200 34,875
*Jakks Pacific, Inc................................... 25,100 364,734
*Jan Bell Marketing, Inc.............................. 24,800 54,250
*Jason, Inc........................................... 22,400 225,400
*JDA Software Group, Inc.............................. 31,400 487,681
Jefferies Group, Inc.................................. 28,000 565,250
Jefferson Savings Bancorp, Inc........................ 10,000 109,063
*Jennifer Convertibles, Inc........................... 1,300 2,681
*JFAX.com, Inc........................................ 35,000 53,594
JLG Industries, Inc................................... 48,800 475,800
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*JLK Direct Distribution, Inc. Class A................ 6,300 $ 43,706
*JLM Industries, Inc.................................. 6,100 23,066
*JMAR Industries, Inc................................. 28,400 117,150
*Jo-Ann Stores, Inc. Class A.......................... 4,500 42,750
*Jo-Ann Stores, Inc. Class B.......................... 3,400 27,413
*Johnson Outdoors, Inc................................ 6,700 59,253
*Jones Lang LaSalle, Inc.............................. 33,900 523,331
*Jos. A. Bank Clothiers, Inc.......................... 7,500 33,984
*Joule, Inc........................................... 1,500 2,063
*Journal Register Co.................................. 51,200 665,600
*JPM Co............................................... 9,500 48,984
*JPS Industries, Inc.................................. 6,000 22,406
*Jps Packaging Company................................ 4,300 12,094
*Judge.com, Inc....................................... 16,700 18,788
*Juno Lighting, Inc................................... 980 7,350
Justin Industries, Inc................................ 33,400 582,413
*JWGenesis Financial Corp............................. 10,900 89,925
K Swiss, Inc. Class A................................. 7,600 99,988
*K2, Inc.............................................. 22,475 158,730
*Kaiser Aluminum Corp................................. 87,300 387,394
*Kaiser Group International, Inc...................... 17,900 2,517
*Kaiser Ventures, Inc................................. 9,700 125,494
Kaman Corp. Class A................................... 27,000 269,156
*Kaneb Services, Inc.................................. 36,800 179,400
*Kasper A.S.L., Ltd................................... 5,500 14,180
Katy Industries, Inc.................................. 9,600 93,000
Kaye Group, Inc....................................... 3,000 20,250
*KBK Capital Corp..................................... 5,000 20,938
Keithley Instruments, Inc............................. 1,000 61,688
*Kellstrom Industries, Inc............................ 12,600 63,394
Kellwood Co........................................... 30,600 516,375
*Kendle International, Inc............................ 14,600 92,163
*Kennedy-Wilson, Inc.................................. 11,800 60,844
*Kensey Nash Corp..................................... 7,900 76,038
*Kent Electronics Corp................................ 23,000 638,250
*Kentucky Electric Steel, Inc......................... 2,800 5,950
Kentucky First Bancorp, Inc........................... 900 9,169
*Keravision, Inc...................................... 22,000 116,188
*Kevco, Inc........................................... 8,300 13,228
Kewaunee Scientific Corp.............................. 2,000 23,313
*Key Energy Group, Inc................................ 69,500 755,813
*Key Production Co., Inc.............................. 15,000 240,938
*Key Technology, Inc.................................. 6,100 52,803
*Key Tronic Corp...................................... 12,500 33,984
*Keystone Automotive Industries, Inc.................. 18,040 132,199
*Keystone Consolidated Industries, Inc................ 13,000 50,375
*kforce.com, Inc...................................... 60,300 774,478
*KFX, Inc............................................. 24,500 42,875
Kimball International, Inc. Class B................... 32,400 523,463
*Kimmins Corp......................................... 3,400 1,067
*Kinark Corp.......................................... 6,800 8,925
*Kinnard Investment, Inc.............................. 6,300 50,006
*Kirby Corp........................................... 27,000 597,375
*Kit Manufacturing Co................................. 300 1,950
*Kitty Hawk, Inc...................................... 17,300 8,088
Klamath First Bancorp, Inc............................ 9,900 110,756
*KLLM Transport Services, Inc......................... 3,500 27,891
Knape & Vogt Manufacturing Co......................... 3,190 48,348
*Knight Transportation, Inc........................... 16,600 252,631
*Koala Corp........................................... 6,400 92,000
Kollmorgen Corp....................................... 11,100 253,913
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Komag, Inc........................................... 69,100 $ 144,678
*Kos Pharmaceuticals, Inc............................. 18,800 294,338
*Koss Corp............................................ 3,300 55,172
*Krauses Furniture, Inc............................... 23,100 28,875
*Kroll-O'Gara Co...................................... 26,700 142,678
*Kronos, Inc.......................................... 16,200 469,294
*Krug International Corp.............................. 1,048 1,376
*K-Tel International, Inc............................. 12,700 23,416
*K-Tron International, Inc............................ 6,200 97,844
*Kushner-Locke Co..................................... 16,600 32,681
*K-V Pharmaceutical Co. Class A....................... 12,800 245,600
*K-V Pharmaceutical Co. Class B....................... 8,300 165,481
*KVH Industries, Inc.................................. 7,300 38,097
*La Jolla Pharmceutical Co............................ 24,300 84,291
*LaBarge, Inc......................................... 16,200 28,350
LabOne, Inc........................................... 19,050 98,227
*Labor Ready, Inc..................................... 47,100 441,563
*Laboratory Corp. of America Holdings, Inc............ 10,790 775,531
*Labtec, Inc.......................................... 950 5,938
Laclede Gas Co........................................ 20,700 407,531
*Laclede Steel Co..................................... 2,700 1,097
LaCrosse Footwear, Inc................................ 7,700 31,041
*Ladish Co., Inc...................................... 17,400 151,706
*Lakeland Industries, Inc............................. 2,000 12,750
*Lakes Gaming, Inc.................................... 10,475 86,091
*Lamson & Sessions Co................................. 14,700 117,600
Lance, Inc............................................ 31,800 310,050
*Lancer Corp.......................................... 9,600 34,800
*Landair Corp......................................... 4,100 16,784
Landamerica Financial Group, Inc...................... 14,700 271,031
Landauer, Inc......................................... 9,400 173,900
*Landec Corp.......................................... 15,900 81,488
*Landmark Systems, Inc................................ 15,300 98,494
Landrys Seafood Restaurants, Inc...................... 29,277 228,727
*Landstar Systems, Inc................................ 9,100 482,300
*Larscom, Inc......................................... 8,200 41,000
*Laser Pacific Media Corp............................. 6,600 24,441
*Laser Power Corp..................................... 8,600 18,813
*Laser Technology, Inc................................ 5,000 7,500
*Laser Vision Centers, Inc............................ 27,700 130,709
*Laserscope........................................... 15,100 17,695
*LaserSight Corporation............................... 25,700 130,909
*Lason, Inc........................................... 22,700 58,878
*Launch Media, Inc.................................... 2,300 20,053
Lawrence Savings Bank MA.............................. 4,300 31,041
Lawson Products, Inc.................................. 11,400 273,244
*Layne Christensen Co................................. 12,600 55,913
*Lazare Kaplan International, Inc..................... 10,500 91,875
*LBP, Inc............................................. 3,200 10,700
*LCA-Vision, Inc...................................... 60,600 168,544
*LCC International, Inc. Class A...................... 9,700 143,378
*Leapnet, Inc......................................... 29,922 95,844
*Learn2.com, Inc...................................... 61,215 117,648
*Learning Tree International, Inc..................... 19,300 1,018,075
*Lechters, Inc........................................ 17,000 26,031
*Lecroy Corp.......................................... 10,000 105,625
*Lectec Corp.......................................... 5,000 13,438
Lennox International, Inc............................. 13,065 153,514
Lesco, Inc............................................ 11,000 171,188
*Let's Talk Cellular & Wireless, Inc.................. 4,000 1,920
*Level 8 Systems, Inc................................. 14,387 281,895
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Lexington Global Asset Managers, Inc................. 3,600 $ 36,338
Libbey, Inc........................................... 16,800 508,200
Liberty Bancorp, Inc.................................. 2,700 18,647
*Liberty Corp......................................... 19,200 674,400
Liberty Homes, Inc. Class A........................... 200 1,300
*Life Financial Corp.................................. 6,700 26,381
*Lifecell Corp........................................ 13,100 77,372
*Lifecore Biomedical, Inc............................. 16,100 117,228
*Lifeline Systems, Inc................................ 4,100 49,969
*Lifemark Corporation................................. 4,766 26,958
Lifetime Hoan Corp.................................... 12,562 104,422
*Ligand Pharmaceuticals, Inc. Class B................. 39,377 419,611
*Lightbridge, Inc..................................... 21,600 469,125
*Lightning Rod Software, Inc.......................... 580 2,918
Lillian Vernon Corp................................... 11,600 113,100
Lilly Industry, Inc. Class A.......................... 26,500 382,594
*Lindal Cedar Homes, Inc.............................. 4,482 9,104
Lindberg Corp......................................... 6,300 49,613
Lindsay Manufacturer Co............................... 14,900 279,375
Liqui Box Corp........................................ 3,800 192,494
*Lithia Motors, Inc. Class A.......................... 9,600 116,400
*Littlefield, Adams & Co.............................. 900 225
*Littlefuse, Inc...................................... 25,400 1,017,588
*LJL Biosystems, Inc.................................. 15,800 143,681
*LLEX Oncology, Inc................................... 23,900 596,753
*LLX Resorts, Inc..................................... 2,900 5,891
*LMI Aerospace, Inc................................... 7,900 22,466
LNR Property Corp..................................... 28,200 546,375
*Lodgenet Entertainment Corp.......................... 13,200 308,138
*Lodgian, Inc......................................... 21,900 49,275
*Loews Cineplex Entertainment Corp.................... 68,100 178,763
*Logic Devices, Inc................................... 8,600 20,156
*Logility, Inc........................................ 14,600 58,856
*Lojack Corp.......................................... 17,400 120,169
Lone Star Steakhouse Saloon........................... 39,000 413,156
Longs Drug Stores Corp................................ 15,700 316,944
Longview Fibre Co..................................... 56,800 681,600
*Loronix Information Systems, Inc..................... 6,600 220,275
*Lowrance Electronics, Inc............................ 2,200 9,075
LSB Bancshares, Inc. NC............................... 5,156 73,795
*LSB Industries, Inc.................................. 10,700 8,694
LSI Industries, Inc................................... 13,200 226,463
LTV Corp.............................................. 110,300 289,538
*LTX Corp............................................. 4,800 126,150
Luby's Cafeterias, Inc................................ 23,900 210,619
Lufkin Industries, Inc................................ 8,200 138,888
*Lumisy, Inc.......................................... 12,000 29,625
*Lunar Corp........................................... 11,100 122,794
*Lund International Holdings, Inc..................... 2,200 9,900
*Lydall, Inc.......................................... 19,500 203,531
*Lynch Corp........................................... 2,200 67,925
*Lynch Interactive Corp............................... 2,200 231,000
*Lynx Therapeutics, Inc............................... 14,400 230,850
M.A. Hanna Co......................................... 51,800 605,413
*M.H. Meyerson & Co., Inc............................. 8,300 30,866
*Mace Security International, Inc..................... 26,100 50,569
*Mac-Gray Corp........................................ 23,100 70,744
*Mackie Designs, Inc.................................. 16,100 110,184
*Madden (Steven), Ltd................................. 13,900 221,966
*Made2Manage Systems, Inc............................. 6,100 39,269
Madison Gas & Electric Co............................. 21,000 394,406
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
MAF Bancorp, Inc...................................... 26,484 $ 523,059
*Magainin Pharmaceuticals, Inc........................ 30,100 103,469
*Magellan Health Services, Inc........................ 35,900 76,288
*Magnetek, Inc........................................ 33,400 281,813
*Magnum Hunter Resources, Inc......................... 22,200 119,325
*MAI Systems Corp..................................... 9,600 4,800
*Mail.com, Inc........................................ 5,702 31,628
*Mail-Well, Inc....................................... 54,100 507,188
*Main Street & Main, Inc.............................. 13,000 43,063
Main Street Bancorp, Inc.............................. 10,100 85,061
Maine Public Service Co............................... 1,700 31,556
*Mallon Resources Corp................................ 8,600 65,709
*Manatron, Inc........................................ 1,102 7,507
*Manchester Equipment Co., Inc........................ 8,900 38,938
*Manhattan Associates, Inc............................ 29,100 551,991
Manitowoc Co., Inc.................................... 25,850 844,972
*Manugistic Group, Inc................................ 12,900 374,906
*Mapics, Inc.......................................... 23,000 116,797
*Mapinfo Corp......................................... 11,100 326,409
Marcus Corp........................................... 19,300 211,094
*Marine Transport Corp................................ 7,540 19,793
*MarineMax, Inc....................................... 16,700 153,431
*Marisa Christina, Inc................................ 6,700 11,306
Maritrans, Inc........................................ 11,800 70,063
*Markel Corp.......................................... 4,000 575,750
*Marketing Services, Inc.............................. 29,900 154,172
*MarkWest Hydrocarbon, Inc............................ 8,500 71,188
*Marlton Technologies, Inc............................ 7,800 9,750
Marsh Supermarkets, Inc. Class A...................... 1,600 26,000
Marsh Supermarkets, Inc. Class B...................... 5,800 59,813
*Martek Biosciences Corp.............................. 19,200 355,800
*Marten Transport, Ltd................................ 4,200 56,438
*Marvel Enterprises, Inc.............................. 17,400 75,038
MascoTech, Inc........................................ 49,100 632,163
Massbank Corp. Reading, MA............................ 4,200 124,163
*Master Graphics, Inc................................. 5,500 1,265
Matec Corp............................................ 1,100 8,525
*Material Sciences Corp............................... 20,500 220,375
*Mathsoft, Inc........................................ 6,300 15,356
*Matlack Systems, Inc................................. 9,600 29,400
*Matria Healthcare, Inc............................... 44,100 150,216
*Matritech, Inc....................................... 26,100 115,819
*Matrix Bancorp, Inc.................................. 6,800 53,338
*Matrix Pharmaceutical, Inc........................... 24,900 216,319
*Matrix Service Co.................................... 9,700 47,288
Matthews International Corp. Class A.................. 14,600 367,738
*Matthews Studio Equipment Group...................... 8,800 275
*Mattson Technology, Inc.............................. 19,500 591,094
Maui Land & Pineapple Company, Inc.................... 4,300 83,850
*Maverick Tube Corp................................... 23,100 812,109
*Max & Ermas Restaurants, Inc......................... 3,300 28,463
*Maxco, Inc........................................... 4,000 31,250
*Maxicare Health Plans, Inc........................... 17,900 29,088
*Maxim Pharmaceuticals, Inc........................... 9,300 357,759
*Maximus, Inc......................................... 27,300 566,475
*Maxtor Corp.......................................... 38,600 404,094
*Maxwell Shoe Company, Inc............................ 11,400 86,569
*Maxwell Technologies, Inc............................ 12,600 177,188
*Maxxam, Inc.......................................... 7,300 186,150
*Maynard Oil Co....................................... 6,200 103,850
*Mays (J.W.), Inc..................................... 200 1,050
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Mazel Stores, Inc.................................... 11,800 $ 103,250
*MB Financial, Inc.................................... 7,100 78,766
*McClain Industries, Inc.............................. 266 1,288
McGrath Rent Corp..................................... 12,600 197,663
*McMoran Exploration Co............................... 15,796 245,825
*McNaughton Apparel Group, Inc........................ 9,800 93,406
*McWhorter Technologies, Inc.......................... 12,900 252,356
MDC Holdings, Inc..................................... 24,100 465,431
*Meade Instruments Corp............................... 8,000 396,250
*Meadow Valley Corp................................... 2,200 8,388
Meadowbrook Insurance Group, Inc...................... 11,000 59,125
*Measurement Specialties, Inc......................... 5,000 127,500
MECH Financial, Inc................................... 4,500 155,391
*Mechanical Dynamics, Inc............................. 8,100 48,094
*Medarex, Inc......................................... 3,400 154,806
Medford Bancorp, Inc.................................. 10,600 158,338
*Media 100, Inc....................................... 8,600 152,113
*Media Arts Group, Inc................................ 16,800 65,100
*MediaBay, Inc........................................ 13,300 43,641
*Medialink Worldwide, Inc............................. 7,300 52,469
*Medical Action Industries, Inc....................... 11,900 47,228
*Medical Alliance, Inc................................ 7,900 30,613
*Medical Assurance, Inc............................... 25,700 292,338
*Medical Resources, Inc............................... 5,283 304
*Medicalcontrol, Inc.................................. 3,500 21,875
*Medicore, Inc........................................ 3,800 7,719
*Medplus, Inc......................................... 7,400 38,156
*Medstone International, Inc.......................... 6,000 32,063
*MEDTOX Scientific, Inc............................... 3,000 25,875
*Memberworks, Inc..................................... 19,300 623,028
Mentor Corp. MN....................................... 31,400 755,563
*Mentor Graphics Corp................................. 51,800 885,456
Merchants Bancshares, Inc............................. 5,500 108,625
Merchants Group, Inc.................................. 1,300 19,744
Merchants New York Bancorp, Inc....................... 24,100 410,453
*Mercury Air Group, Inc............................... 8,400 39,900
Meridian Diagnostics, Inc............................. 18,900 127,575
Meridian Insurance Group, Inc......................... 3,267 44,105
*Meridian Medical Technology, Inc..................... 3,800 32,775
*Meridian Resource Corp............................... 59,172 314,351
*Merisel, Inc......................................... 77,400 61,678
*MeriStar Hotels & Resorts, Inc....................... 33,500 96,313
*Merit Medical Systems, Inc........................... 9,500 46,906
*Merix Corp........................................... 8,500 234,016
*Merrimac Industries, Inc............................. 1,160 14,065
*Mesa Air Group, Inc.................................. 44,400 265,706
*Mesa Labs, Inc....................................... 4,900 21,820
*Mesaba Holdings, Inc................................. 22,850 263,489
*Messagemedia, Inc.................................... 61,100 181,391
*Mestek, Inc.......................................... 4,200 69,825
*Meta Group, Inc...................................... 13,500 335,391
*Metacreations Corp................................... 30,100 215,403
*Metal Management, Inc................................ 36,421 49,510
Metals USA, Inc....................................... 42,000 220,500
*Metamor Worldwide, Inc............................... 32,400 740,138
*Metatec Corp. Class A................................ 6,300 17,325
*Met-Coil Systems Corp................................ 1,000 7,031
Met-Pro Corp.......................................... 11,175 94,988
*Metro Information Services, Inc...................... 18,000 179,438
*Metro One Telecommunications, Inc.................... 15,000 149,531
*Metrocall, Inc....................................... 36,985 119,045
MetroCorp. Bancshares, Inc............................ 7,100 52,141
<CAPTION>
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<S> <C> <C>
*Metrologic Instruments, Inc.......................... 4,900 $ 76,563
*Metromedia International Group, Inc.................. 103,400 445,913
*Metropolitan Financial Corp.......................... 4,100 16,913
*Metrotrans Corp...................................... 1,600 200
Metrowest Bank MA..................................... 15,700 92,238
MFB Corp.............................................. 1,800 29,813
*MFRI, Inc............................................ 4,400 17,325
*MGI Pharma, Inc...................................... 16,900 369,688
MI Schottenstein Homes, Inc........................... 10,500 178,500
*Miami Computer Supply Corp........................... 15,600 315,900
*Michael Anthony Jewelers, Inc........................ 7,400 18,500
Michael Foods, Inc.................................... 24,358 557,950
*Micro Component Technology, Inc...................... 10,352 58,554
*Micro Linear Corp.................................... 12,100 63,903
*Microage, Inc........................................ 21,750 10,331
*Microcide Pharmaceuticals, Inc....................... 14,600 109,044
MicroFinancial, Inc................................... 4,000 38,000
*Micrografx, Inc...................................... 14,700 48,234
*Micros Systems, Inc.................................. 10,700 338,053
*Micros to Mainframes, Inc............................ 6,100 36,219
*Microsemi Corp....................................... 17,400 376,819
*Microtest, Inc....................................... 7,900 58,756
*Micro-Therapeutics, Inc.............................. 9,900 54,759
*Microtouch Systems, Inc.............................. 8,400 74,288
*Microvision, Inc..................................... 13,800 370,013
*Microware Systems Corp............................... 19,500 57,281
*Microwave Power Dynamics, Inc........................ 13,800 67,922
Mid America Banccorp.................................. 13,800 322,575
*Mid Atlantic Medical Services, Inc................... 56,800 702,900
Midas, Inc............................................ 17,950 465,578
Midcoast Energy Resources, Inc........................ 16,200 259,200
*Middleby Corp........................................ 13,200 88,275
Middlesex Water Co.................................... 4,200 123,113
Midland Co............................................ 3,300 83,325
*Midway Airlines Corp................................. 8,500 50,469
*Midway Games, Inc.................................... 42,100 276,281
Midwest Banc Holdings, Inc............................ 12,000 164,625
*Midwest Express Holdings, Inc........................ 15,575 324,155
*Midwest Grain Products, Inc.......................... 10,400 73,125
Mikasa, Inc........................................... 16,400 157,850
*Mikohn Gaming Corp................................... 7,500 47,578
Milacron, Inc......................................... 39,800 629,338
*Milestone Scientific, Inc............................ 8,800 13,200
*Miller Building Systems, Inc......................... 3,200 18,100
*Miller Industries, Inc............................... 52,400 121,175
*Miltope Group, Inc................................... 11,000 22,172
*MIM Corp............................................. 24,600 45,356
Mine Safety Appliances Co............................. 15,000 348,750
*Mining Services International Corp................... 2,500 5,156
Minntech Corp......................................... 7,300 53,838
*Minolta-QMS, Inc..................................... 13,921 46,113
Minuteman International, Inc.......................... 1,000 8,438
*MIPS Technologies, Inc............................... 16,900 425,669
*Miravant Medical Technologies........................ 20,000 246,875
Mississippi Chemical Corp............................. 28,742 167,063
Mississippi Valley Bancshares, Inc.................... 12,100 273,763
*Mitcham Industries, Inc.............................. 9,600 56,550
*Mity-Lite, Inc....................................... 6,200 84,863
*Mobile America Corp.................................. 6,100 16,013
*Mobile Mini, Inc..................................... 12,500 260,156
*Mobius Management Systems, Inc....................... 21,400 87,606
MOCON, Inc............................................ 7,800 44,241
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*Modine Manufacturing Co.............................. 12,600 $ 253,181
*Modtech Holdings, Inc................................ 15,457 166,646
*Molecular Biosystems, Inc............................ 16,700 11,481
*Molecular Devices Corp............................... 12,600 671,738
*Monaco Coach Corp.................................... 20,700 297,563
*Monarch Casino and Resort, Inc....................... 10,400 49,400
*Monarch Dental Corp.................................. 11,000 31,797
*Mondavi (Robert) Corp. Class A....................... 10,400 327,925
*Monro Muffler Brake, Inc............................. 10,700 89,278
Monterey Bay Bancorp, Inc............................. 4,300 38,297
*Monterey Pasta Co.................................... 14,900 58,669
*Moog, Inc. Class A................................... 9,400 200,925
*Moog, Inc. Class B................................... 2,000 81,125
*Moore Medical Corp................................... 3,900 34,125
Morgan Keegan, Inc.................................... 37,700 607,913
*Morgan's Foods, Inc.................................. 900 2,250
*Morrison Knudsen Corp................................ 57,500 445,625
Morrison Management Specialists, Inc.................. 14,100 383,344
*Morton Industrial Group, Inc. Class A................ 1,000 5,375
*Morton's Restaurant Group, Inc....................... 6,200 113,925
*Mossimo, Inc......................................... 16,600 8,300
*Mother's Work, Inc................................... 3,300 34,856
*Motient Corp......................................... 47,000 424,469
*Motor Car Parts & Accessories, Inc................... 6,100 6,207
*Motor Cargo Industries, Inc.......................... 5,700 28,500
*Motor Club of America................................ 700 5,556
Movado Group, Inc..................................... 12,300 117,811
*Movie Gallery, Inc................................... 14,400 48,150
*MPW Industrial Services Group........................ 5,000 34,375
*MS Carriers, Inc..................................... 14,800 285,363
*MSC Industrial Direct Co., Inc. Class A.............. 25,900 597,319
*MSC Software Corp.................................... 15,200 131,100
*MTI Technology Corp.................................. 13,000 91,406
MTS Systems Corp...................................... 20,840 151,416
*Multi Color Corp..................................... 1,000 7,938
*Multiple Zones International, Inc.................... 14,700 61,786
*Musicland Stores Corp................................ 41,000 302,375
Myers Industries, Inc................................. 22,007 299,845
*Myriad Genetics, Inc................................. 7,400 580,206
Mystic Financial, Inc................................. 1,700 18,700
*N & F Worldwide Corp................................. 20,700 106,088
*NABI, Inc............................................ 42,000 243,469
Nacco Industries, Inc. Class A........................ 4,600 173,650
*Nanogen, Inc......................................... 20,900 518,581
*Nanometrics, Inc..................................... 11,500 282,469
*Nanophase Technologies Corp.......................... 13,800 103,931
*Napco Security Systems, Inc.......................... 2,150 8,197
*Napro Biotherapeutics, Inc........................... 27,500 156,406
Nash Finch Co......................................... 14,800 115,163
Nashua Corp........................................... 7,600 62,700
*Nastech Pharmaceutical Co., Inc...................... 8,000 31,375
*Nathans Famous, Inc.................................. 7,900 23,206
*National Beverage Corp............................... 20,400 173,400
National City Bancorp................................. 11,300 163,850
*National Dentex Corp................................. 4,600 72,594
*National Discount Brokers Group, Inc................. 22,900 572,500
*National Equipment Services, Inc..................... 24,600 139,913
*National Home Centers, Inc........................... 3,000 5,109
*National Home Health Care Corp....................... 3,815 15,737
National Penn Bancshares, Inc......................... 19,400 425,588
<CAPTION>
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National Presto Industries, Inc....................... 8,550 $ 265,584
*National Processing, Inc............................. 57,700 674,369
*National Record Mart, Inc............................ 6,500 10,461
*National Research Corp............................... 7,000 38,281
*National RV Holdings, Inc............................ 20,700 234,169
*National Standard Co................................. 6,500 11,781
National Steel Corp. Class B.......................... 24,900 130,725
National Technical Systems, Inc....................... 10,800 33,750
*National Techteam, Inc............................... 17,200 57,513
*National Western Life Insurance Co. Class A.......... 1,000 73,969
*NationsRent, Inc..................................... 30,500 112,469
*Natrol, Inc.......................................... 1,000 4,203
*Natural Alternatives International, Inc.............. 5,400 8,522
*Natural Microsystems Corp............................ 12,800 824,400
*Natural Wonders, Inc................................. 5,700 6,413
Natures Sunshine Products, Inc........................ 22,759 173,537
*Nautica Enterprises, Inc............................. 43,900 541,891
*Navarre Corp......................................... 30,500 54,805
*Navigant Consulting, Inc............................. 49,000 226,625
*Navigant International, Inc.......................... 15,200 137,750
*Navigators Group, Inc................................ 8,400 74,025
NBT Bancorp........................................... 13,148 131,480
NCH Corp.............................................. 7,000 280,000
*NCI Building Systems, Inc............................ 19,900 339,544
*NCO Group, Inc....................................... 25,400 605,631
*NCS Healthcare, Inc.................................. 16,700 15,134
*Neff Corp. Class A................................... 20,800 79,300
Nelson (Thomas), Inc.................................. 17,200 121,475
*Neogen Corp.......................................... 5,900 35,769
*NeoMagic Corp........................................ 30,300 94,214
*Neopharm, Inc........................................ 10,600 150,388
*Neorx Corp........................................... 23,900 345,803
*Neose Technologies, Inc.............................. 17,600 491,700
*Neotherapeutics, Inc................................. 9,000 99,563
*Neoware Systems, Inc................................. 6,900 13,692
*Netguru, Inc......................................... 3,200 54,200
*Netmanage, Inc....................................... 71,345 195,084
*Netopia, Inc......................................... 21,200 705,563
*NetRadio Corp........................................ 11,000 29,219
*Netrix Corp.......................................... 34,800 381,713
*Netscout System, Inc................................. 20,300 241,697
*Netspeak Corp........................................ 17,800 176,331
*Network Computing Devices, Inc....................... 17,800 28,369
*Network Equipment Technologies, Inc.................. 23,600 252,225
*Network Peripherals, Inc............................. 20,500 364,516
*Network Six, Inc..................................... 275 1,023
*Neurobiological Technologies, Inc.................... 2,700 18,731
*Neurocrine Biosciences, Inc.......................... 28,300 601,375
*Neurogen Corp........................................ 17,000 400,563
*New American Healthcare Corp......................... 200 8
*New Brunswick Scientific Co., Inc.................... 6,900 36,227
*New Century Financial Corp........................... 19,500 179,766
*New Day Runner, Inc.................................. 2,140 3,511
New England Business Services, Inc.................... 15,200 224,200
New Hampshire Thrift BancShares, Inc.................. 200 2,538
*New Horizons Worldwide, Inc.......................... 9,600 167,400
New Jersey Resources Corp............................. 19,600 759,500
*New Mexico & Arizona Land Co......................... 6,258 32,072
*New World Coffee - Manhattan Bagel................... 11,000 22,344
</TABLE>
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*Newcor, Inc.......................................... 6,300 $ 13,388
*Newmark Homes Corp................................... 8,500 50,469
Newmil Bancorp, Inc................................... 4,700 47,588
*Newpark Resources, Inc............................... 65,100 545,213
Newport Corp.......................................... 3,200 545,700
*Newsedge Corp........................................ 23,500 46,633
*Nexell Therapeutics, Inc............................. 21,223 73,286
*Nexthealth, Inc...................................... 8,600 24,188
*Niagara Corp......................................... 9,000 38,813
Nitches, Inc.......................................... 785 4,219
NL Industries, Inc.................................... 31,000 538,625
*NMT Medical, Inc..................................... 14,100 53,536
NN Ball & Roller, Inc................................. 16,750 148,395
*Nobel Learning Communities, Inc...................... 7,600 54,863
*Nobility Homes....................................... 6,000 30,375
*Noble International, Ltd............................. 8,400 75,600
Noel Group, Inc....................................... 7,200 1,872
Noland Co............................................. 200 3,300
*Noodle Kidoodle, Inc................................. 7,800 23,400
Nordson Corp.......................................... 15,900 773,634
*Norstan, Inc......................................... 14,200 70,113
*Nortek, Inc.......................................... 12,700 272,256
*North American Scientific, Inc....................... 7,000 117,688
North Central Bancshares, Inc......................... 2,700 38,644
North Pittsburgh Systems, Inc......................... 14,700 184,209
Northeast Bancorp..................................... 900 7,200
Northeast Pennsylvania Financial Corp................. 5,500 54,313
Northern Technologies International................... 2,700 17,888
*Northfield Laboratories, Inc......................... 18,500 204,656
Northland Cranberries, Inc. Class A................... 22,100 87,709
Northrim Bank......................................... 3,144 26,822
Northwest Bancorp, Inc................................ 53,000 402,469
Northwest Natural Gas Co.............................. 27,600 603,750
*Northwest Pipe Co.................................... 6,200 83,506
Northwestern Corp..................................... 25,400 590,550
*Novadigm, Inc........................................ 20,200 265,756
*Novamed Eyecare, Inc................................. 6,000 39,750
*Novametrix Medical Systems, Inc...................... 10,500 65,789
*Novavax, Inc......................................... 25,000 148,438
*Noven Pharmaceuticals, Inc........................... 23,900 446,631
*Novitron International, Inc.......................... 1,430 4,379
*Novoste Corp......................................... 15,000 566,250
*NPC International, Inc............................... 25,100 232,959
*NPS Pharmaceuticals, Inc............................. 26,100 330,328
*NS Group, Inc........................................ 26,200 479,788
*Nstor Technology..................................... 24,600 70,725
*NTN Communications, Inc.............................. 14,093 33,471
*Nu Horizons Electronics Corp......................... 11,900 206,019
*Nucentrix Broadband Networks, Inc.................... 13,100 276,738
*NuCo2, Inc........................................... 8,200 47,150
*Nuevo Energy Co...................................... 22,800 440,325
NUI Corp.............................................. 16,600 464,800
*Number Nine Visual Technology Corp................... 8,400 630
*Numerex Corp. Class A................................ 12,100 111,547
*NuSkin Enterprises, Inc.............................. 14,000 92,750
*Nutraceutical International Corp..................... 12,100 43,673
*Nutramax Products, Inc............................... 3,300 1,007
*NYFIX, Inc........................................... 20,575 549,738
Nymagic, Inc.......................................... 8,700 122,344
*O.I. Corp............................................ 2,600 10,116
<CAPTION>
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Oak Hill Financial, Inc............................... 3,000 $ 49,125
*Oak Technology, Inc.................................. 48,990 724,133
*Oakley, Inc.......................................... 82,600 800,188
Oakwood Homes Corp.................................... 61,000 175,375
*OAO Technology Solutions, Inc........................ 21,500 65,508
*Objective Systems Integrators, Inc................... 39,700 292,167
*Oceaneering International, Inc....................... 25,200 491,400
OceanFirst Financial Corp............................. 13,400 228,638
*O'Charleys, Inc...................................... 20,750 291,148
*Ocular Sciences, Inc................................. 27,500 377,266
*Ocwen Financial Corp................................. 76,500 439,875
*Odetics, Inc. Class A................................ 300 3,178
*ODS Networks, Inc.................................... 20,500 298,531
*Odwalla, Inc......................................... 6,600 40,219
*Officemax, Inc....................................... 42,600 231,638
*Offshore Logistics, Inc.............................. 23,000 322,719
Ogden Corp............................................ 54,400 469,200
Oglebay Norton Co..................................... 6,400 133,600
Ohio Casualty Corp.................................... 1,500 17,953
Oil-Dri Corp. of America.............................. 5,700 55,219
*Old Dominion Freight Lines, Inc...................... 10,800 98,550
Old Guard Group, Inc.................................. 3,500 39,922
Olin Corp............................................. 15,500 242,188
*Olympic Steel, Inc................................... 10,000 43,438
Omega Financial Corp.................................. 11,400 263,269
*Omega Protein Corp................................... 26,500 74,531
*Omega Research, Inc.................................. 27,600 88,406
*Omega Worldwide, Inc................................. 13,800 56,925
*OMNI Energy Services Corp............................ 11,600 8,338
*Omni Nutraceuticals, Inc............................. 32,700 107,297
*Omtool, Ltd.......................................... 17,000 30,813
*On Assignment, Inc................................... 28,100 727,088
*On Command Corp...................................... 33,600 550,200
*On Technology Corp................................... 14,000 40,250
*One Price Clothing Stores, Inc....................... 10,700 25,413
Oneida, Ltd........................................... 21,600 411,750
Oneok, Inc............................................ 4,300 125,238
*Onhealth Network Company............................. 3,800 9,144
*On-Point Technology Systems, Inc..................... 7,900 4,567
*Ontrack Data International, Inc...................... 7,900 58,509
*Onyx Acceptance Corp................................. 5,900 24,338
*Onyx Pharmacueticals, Inc............................ 17,700 122,794
*Open Market, Inc..................................... 37,100 393,028
*Opinion Research Corp................................ 1,700 10,625
*Opta Food Ingredients, Inc........................... 11,000 24,922
*Opti, Inc............................................ 14,900 59,600
*Optical Cable Corp................................... 14,500 345,734
*Optical Sensors, Inc................................. 9,800 6,125
*Optika Imaging Systems, Inc.......................... 10,000 63,438
*Option Care, Inc..................................... 11,700 76,416
*Orbit International Corp............................. 1,266 2,057
*ORBIT/FR, Inc........................................ 6,700 18,844
*Orbital Sciences Corp................................ 39,200 480,200
Oregon Steel Mills, Inc............................... 30,200 66,063
Oregon Trail Financial Corp........................... 4,600 44,419
*O'Reilly Automotive, Inc............................. 53,200 719,863
*Organogenesis, Inc................................... 37,200 330,150
*Oriole Homes Corp. Class A Convertible............... 800 1,500
*Oriole Homes Corp. Class B........................... 2,000 3,250
*Orleans Homebuilders, Inc............................ 2,000 3,250
*Oroamerica, Inc...................................... 5,800 42,231
</TABLE>
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*Orphan Medical, Inc.................................. 10,700 $ 75,234
*OrthAlliance, Inc.................................... 15,800 93,319
*Orthodontic Centers of America, Inc.................. 41,850 959,934
*Orthologic Corp...................................... 32,200 148,925
Oshkosh B'Gosh, Inc. Class A.......................... 18,200 307,694
Oshkosh Truck Corp. Class B........................... 17,800 544,569
*Oshman's Sporting Goods, Inc......................... 4,100 12,813
*OSI Pharmaceutical, Inc.............................. 26,100 261,000
*OSI Systems, Inc..................................... 12,000 71,625
*Osicom Technologies, Inc............................. 14,400 609,300
*Osmonics, Inc........................................ 15,700 141,300
*Osteotech, Inc....................................... 15,600 139,669
*Ostex International, Inc............................. 15,000 29,531
*OTR Express, Inc..................................... 200 250
Ottawa Financial Corp................................. 7,800 147,956
Otter Tail Power Co................................... 26,200 551,838
*Outlook Group Corp................................... 1,800 10,013
*Outsource International, Inc......................... 6,900 8,194
*Overland Data........................................ 10,100 82,378
Overseas Shipholding Group, Inc....................... 40,200 932,138
Owens & Minor, Inc.................................... 36,100 390,331
Owosso Corp........................................... 6,800 14,238
Oxford Industries, Inc................................ 9,900 152,831
*Oxigene, Inc......................................... 14,700 164,456
*Oxis International, Inc.............................. 7,900 12,838
*OYO Geospace Corp.................................... 100 1,600
*P&F Industries, Inc. Class A......................... 1,300 10,766
*P.F. Chang's China Bistro, Inc....................... 10,200 327,994
*Pacific Aerospace and Electronics, Inc............... 25,700 32,527
Pacific Capital Bancorp............................... 500 13,438
Pacific Crest Capital, Inc............................ 1,060 13,449
*Pacific Gateway Exchange, Inc........................ 21,400 68,547
*Packaged Ice, Inc.................................... 19,800 69,300
*Pagasus Systems, Inc................................. 26,300 367,378
*Paging Network, Inc.................................. 131,300 88,217
*Palatin Technologies, Inc............................ 62 287
*Palm Harbor Homes, Inc............................... 29,700 460,350
*PAM Transportation Services, Inc..................... 6,700 56,950
*Pameco Corp.......................................... 6,500 17,063
Pamrapo Bancorp, Inc.................................. 3,400 67,363
*Panavision, Inc...................................... 3,600 26,100
*Pancho's Mexican Buffet, Inc......................... 1,666 5,987
*Panera Bread CO...................................... 13,700 116,450
*Panja, Inc........................................... 12,000 121,875
*Par Technology Corp.................................. 8,500 32,406
*Paracelsus Healthcare Corp........................... 1,171 110
Paragon Technologies, Inc............................. 4,700 30,550
*Parallel Petroleum Corp.............................. 18,300 49,753
*Paravant, Inc........................................ 19,300 53,980
*Parexel International Corp........................... 18,800 169,200
Paris Corp............................................ 200 388
*Park Bancorp, Inc.................................... 1,700 20,347
Park Electrochemical Corp............................. 13,600 340,850
*Parker Drilling Co................................... 93,700 568,056
*Parkervision, Inc.................................... 15,500 467,906
*Park-Ohio Holdings Corp.............................. 13,700 115,594
Parkvale Financial Corp............................... 7,500 134,063
*Parlex Corp.......................................... 6,200 137,756
*Parlux Fragrances, Inc............................... 13,800 41,831
*Pathogenesis Corp.................................... 21,400 323,006
*Patient Infosy....................................... 8,800 6,875
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Patina Oil & Gas Corp................................. 16,834 $ 291,439
Patrick Industries, Inc............................... 6,800 44,625
Patriot Bank Corp..................................... 7,400 58,738
*Patriot Transportation Holding, Inc.................. 2,500 49,219
*Patterson Energy, Inc................................ 37,780 912,623
*Paul Harris Stores, Inc.............................. 11,900 31,981
Paula Financial, Inc.................................. 6,600 17,738
*Paul-Son Gaming Corp................................. 3,800 11,400
*Paxar Corp........................................... 56,015 563,651
*Paxson Communications Corp........................... 59,000 457,250
*Payless Cashways, Inc................................ 159 256
*PBOC Holdings, Inc................................... 20,400 186,150
*PC Connection, Inc................................... 26,550 1,076,934
*PC Service Source, Inc............................... 4,900 5,513
*PCD, Inc............................................. 8,700 38,063
*P-Com, Inc........................................... 71,500 525,078
*PDS Financial Corp................................... 1,100 1,409
*Peapod, Inc.......................................... 20,200 42,294
*Pediatric Services of America, Inc................... 4,800 9,675
*Pediatrix Medical Group, Inc......................... 17,200 122,550
Peerless Manufacturing Co............................. 1,600 22,900
*Peerless Systems Corp................................ 17,900 42,513
*Pegasystems, Inc..................................... 32,000 193,000
*Pemco Aviation Group, Inc............................ 950 14,013
Penford Corp.......................................... 7,600 136,563
Penn Engineering & Manufacturing Corp. Class A........ 600 15,375
Penn Engineering & Manufacturing Corp. Non-voting..... 7,500 217,031
*Penn National Gaming, Inc............................ 19,300 268,994
*Penn Traffic Company................................. 93 523
*Penn Treaty American Corp............................ 8,500 167,344
Penn Virginia Corp.................................... 10,500 234,281
*Pennaco Energy, Inc.................................. 22,000 335,500
Penn-America Group, Inc............................... 10,000 91,875
Pennfed Financial Services, Inc....................... 11,100 148,463
*Pentacon, Inc........................................ 16,900 31,159
Penton Media, Inc..................................... 26,200 733,600
*Penwest Pharmaceuticals Company...................... 16,300 188,469
Peoples Bancorp, Inc.................................. 300 4,256
Peoples Bancshares, Inc. Massachusetts................ 4,300 74,981
Pep Boys - Manny, Moe & Jack.......................... 56,900 405,413
*Perceptron, Inc...................................... 8,550 33,933
*Performance Food Group Co............................ 15,500 489,703
*Performance Technologies, Inc........................ 17,100 173,672
*Pericom Semiconductor Corp........................... 9,700 397,700
*Perini Corp.......................................... 4,900 14,088
Permanent Bancorp, Inc................................ 4,000 76,500
*Perrigo Co........................................... 88,000 536,250
*Perry Ellis International, Inc....................... 8,700 84,689
*Per-Se Technologies, Inc............................. 29,900 195,284
*Personnel Group of America, Inc...................... 32,500 130,000
*Pervasive Software, Inc.............................. 18,800 94,588
*Petco Animal Supplies, Inc........................... 26,056 494,250
*Petrocorp, Inc....................................... 6,900 48,731
*Petroglyph Energy, Inc............................... 4,400 8,938
*Petroleum Development Corp........................... 17,800 95,119
*PetSmart, Inc........................................ 123,100 367,377
PFF Bancorp, Inc...................................... 15,400 214,638
*Pharmaceutical Products Development Service Co....... 29,570 488,829
</TABLE>
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*Pharmaceutical Resources, Inc........................ 35,400 $ 212,400
*Pharmacopeia, Inc.................................... 22,700 495,853
*Pharmacyclics........................................ 15,900 672,272
*Pharmanetics, Inc.................................... 9,700 151,563
*PharmaPrint, Inc..................................... 13,900 5,430
*Pharmchem Laboratories, Inc.......................... 7,500 20,391
*Phar-Mor, Inc........................................ 14,200 23,963
*Pharmos Corp......................................... 6,200 20,731
*Philadelphia Consolidated Holding Corp............... 15,900 268,809
*Phillips (R.H.), Inc................................. 6,700 18,634
Phillips-Van Heusen Corp.............................. 28,900 251,069
*Phoenix Gold International, Inc...................... 1,000 2,250
*Phoenix International, Ltd........................... 8,850 17,009
Phoenix Investment Partners, Ltd...................... 49,300 412,888
*Phoenix Technologies, Ltd............................ 32,300 580,391
*Phonetel Technologies, Inc........................... 112 47
*Photo Control Corp................................... 1,000 3,016
*Photoelectron Corp................................... 6,900 29,325
*Photon Dynamics, Inc................................. 6,500 391,828
*PhotoWorks, Inc...................................... 17,900 53,980
*Photronics, Inc...................................... 17,700 426,459
*Phycor, Inc.......................................... 63,200 30,613
Piccadilly Cafeterias, Inc............................ 11,100 31,913
*Pico Holdings, Inc................................... 19,761 213,048
*Picturetel Corp...................................... 48,600 149,597
*Piercing Pagoda, Inc................................. 11,900 169,575
Pilgrim Pride Corp.................................... 31,500 252,000
Pilgrim's Pride Corp.................................. 12,900 76,594
Pillowtex Corp........................................ 14,717 69,906
*Pilot Network Services, Inc.......................... 15,100 150,528
*Pinnacle Entertainment, Inc.......................... 31,300 596,656
*Pinnacle Global Group, Inc........................... 1,400 5,163
Pioneer Standard Electronics, Inc..................... 35,400 423,694
Pitt-Des Moines, Inc.................................. 9,600 223,200
Pittston Brink's Group................................ 10,818 164,298
Pizza Inn, Inc........................................ 11,600 41,325
*PJ America, Inc...................................... 7,000 75,906
*Plains Resources, Inc................................ 19,700 300,425
*Planar Systems, Inc.................................. 13,700 132,291
*Platinum Entertainment, Inc.......................... 9,300 5,086
*Plato Learning, Inc.................................. 7,600 95,475
*Play By Play Toys and Novelties, Inc................. 5,900 10,048
*Playboy Enterprises, Inc. Class A.................... 6,100 72,819
*Playboy Enterprises, Inc. Class B.................... 19,736 259,035
*Plexus Corp.......................................... 160 13,365
*Pliant Systems, Inc.................................. 10,600 53,994
*PLM International, Inc............................... 5,100 37,931
*PMCC Financial Corp.................................. 2,600 9,750
PMR Corp.............................................. 6,700 23,241
Pocahontas Bancorp, Inc............................... 4,800 28,500
*Point West Capital Corp.............................. 3,400 12,644
Polaris Industries, Inc............................... 15,000 450,938
*Policy Management Systems Corp....................... 31,900 324,981
*Polymedica Industries, Inc........................... 13,000 346,125
Polymer Group, Inc.................................... 37,500 274,219
*Polyvision Corp...................................... 15,500 38,750
*Pomeroy Computer Resource, Inc....................... 15,400 225,706
Pope & Talbot, Inc.................................... 16,500 306,281
*Porta Systems Corp................................... 12,300 21,525
*Possis Medical, Inc.................................. 18,000 137,250
*Powell Industries, Inc............................... 10,900 91,117
<CAPTION>
SHARES VALUE+
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*Powercerv Corp....................................... 15,800 $ 21,478
*Power-One, Inc....................................... 6,200 546,763
*PPT Vision, Inc...................................... 6,800 31,450
*Prandium, Inc........................................ 21,564 4,636
Precision Castparts Corp.............................. 21,400 1,043,250
Premier Financial Bancorp............................. 5,800 43,319
*Premier Laser Systems, Inc. Class A.................. 9,900 842
Premier National Bancorp.............................. 6,751 84,388
*Premiumwear, Inc..................................... 1,400 18,419
*Pre-Paid Legal Services, Inc......................... 25,850 780,347
Presidential Life Corp................................ 33,900 498,966
*Presstek, Inc........................................ 30,400 579,500
*Previo, Inc.......................................... 5,375 30,234
*Pricesmart, Inc...................................... 4,400 157,850
*Pride International, Inc............................. 15,900 404,456
*Prima Energy Corp.................................... 7,050 294,338
*Primark Corp......................................... 23,200 603,200
*Prime Hospitality Corp............................... 53,800 464,025
*Prime Medical Services, Inc.......................... 19,900 156,091
Primesource Corp...................................... 2,581 13,591
Primex Technologies, Inc.............................. 13,500 261,141
*Primix Solutions, Inc................................ 17,500 90,234
*Princeton Video Image, Inc........................... 9,800 61,709
*Printrak International, Inc.......................... 15,300 110,447
*Printronix, Inc...................................... 8,000 114,250
*Printware, Inc....................................... 4,000 11,250
*Priority Healthcare Corp............................. 2,038 104,448
*ProBusiness Services, Inc............................ 26,100 696,544
*Procom Technology, Inc............................... 14,700 367,959
*Procurenet, Inc...................................... 19,700 0
Professional Bancorp, Inc............................. 1,900 6,650
*Professional Detailing, Inc.......................... 17,600 468,050
*Professionals Group, Inc............................. 9,930 164,776
*Progenics Pharmaceuticals, Inc....................... 15,700 163,378
*Programmers Paradise, Inc............................ 5,600 19,075
Progress Financial Corp............................... 7,200 85,500
*Progress Software Corp............................... 39,200 606,375
*Project Software & Development, Inc.................. 4,900 107,647
*ProMedCo Management Company.......................... 23,900 28,008
*Prophet 21, Inc...................................... 1,500 20,063
*Protection One, Inc.................................. 89,500 167,813
*Protocol Systems, Inc................................ 10,600 164,631
*Provant, Inc......................................... 21,900 82,809
Providence & Worcester Railroad Co.................... 1,600 10,700
Providence Energy Corp................................ 5,300 214,650
Provident Bancorp, Inc................................ 5,200 80,275
Provident Bankshares Corp............................. 34,800 507,863
Provident Financial Group, Inc........................ 26 727
*Provident Financial Holdings, Inc.................... 5,100 74,906
*Province Healthcare Co............................... 18,900 529,200
*Proxymed, Inc........................................ 19,800 26,606
*PRT Group, Inc....................................... 18,300 16,298
*PRWW, Ltd............................................ 6,900 54,769
*PSC, Inc............................................. 13,400 60,719
*PSS World Medical, Inc............................... 92,300 778,781
*PSW Technologies, Inc................................ 9,500 92,031
Psychemedics Corp..................................... 23,700 112,575
*PTEK Holdings, Inc................................... 56,400 193,875
Public Service Co. of New Mexico...................... 42,200 704,213
Pulaski Financial Corp................................ 3,100 36,038
Pulte Corp............................................ 27,200 603,500
*Puma Technology, Inc................................. 10,400 229,125
</TABLE>
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*Pure Resources, Inc.................................. 16,562 $ 248,437
*Pure World, Inc...................................... 10,700 33,103
Pyramid Breweries, Inc................................ 5,700 11,044
*Qad, Inc............................................. 36,400 138,775
*QC Optics, Inc....................................... 3,200 4,200
*QEP Co., Inc......................................... 1,300 10,684
*QRS Corp............................................. 10,000 274,688
*Quad Systems Corp.................................... 4,600 7,116
*QuadraMed Corp....................................... 30,206 68,435
Quaker Chemical Corp.................................. 11,400 188,813
*Quaker City Bancorp, Inc............................. 2,187 31,438
*Quaker Fabric Corp................................... 17,250 94,336
*Quality Dining, Inc.................................. 13,700 44,953
Quality Systems, Inc.................................. 8,000 57,750
Quanex Corp........................................... 15,700 229,613
Queens County Bancorp................................. 23,300 459,447
*Quest Educational Corporation........................ 10,300 97,367
*Questcor Pharmaceuticals, Inc........................ 26,800 35,175
*Quidel Corp.......................................... 27,700 173,991
*Quigley Corp......................................... 12,000 20,625
*Quiksilver, Inc...................................... 29,100 396,488
*Quintel Entertainment, Inc........................... 16,700 39,402
*Quipp, Inc........................................... 2,400 44,850
Quixote Corp.......................................... 10,400 148,200
*Quokka Sports, Inc................................... 48,800 218,075
*Quorum Health Group, Inc............................. 71,500 691,539
*R & B, Inc........................................... 9,800 25,725
*R H Donnelley Corp................................... 38,200 706,700
*Racing Champions Corp................................ 19,100 31,336
*Radiance Medical Systems, Inc........................ 15,600 146,006
*Radiant Systems, Inc................................. 28,800 450,900
*Radiologix, Inc...................................... 21,200 86,125
*RadiSys Corp......................................... 3,662 143,848
*Rag Shops, Inc....................................... 2,415 5,283
*Railamerica, Inc..................................... 18,700 98,759
*RailWorks Corp....................................... 13,400 124,788
*Rainbow Rentals, Inc................................. 7,700 79,888
*Rainbow Technologies, Inc............................ 13,400 423,356
*Rainforest Cafe, Inc................................. 24,600 73,031
*Ralcorp Holdings, Inc................................ 33,600 428,400
*Ramsay Youth Services, Inc........................... 6,400 9,000
*Ramtron International Corp........................... 5,760 50,040
Range Resources Corp.................................. 43,800 123,188
*Rare Hospitality International, Inc.................. 15,881 438,713
Raven Industries, Inc................................. 5,200 70,850
*Rawlings Sporting Goods, Inc......................... 8,000 46,750
*Rayovac Corp......................................... 30,200 536,050
*Raytech Corp. DE..................................... 2,400 7,350
*Raytel Med Corp...................................... 10,400 26,000
*RCM Technologies, Inc................................ 14,200 114,044
*RDO Equipment Co. Class A............................ 6,300 35,438
*Reading Entertainment, Inc........................... 8,600 44,613
*Read-Rite Corp....................................... 54,500 107,297
*Recoton Corp......................................... 15,200 125,875
*Redhook Ale Brewery, Inc............................. 7,900 13,702
Redwood Empire Bancorp................................ 4,200 80,063
*Reebok International, Ltd............................ 51,900 720,113
*Reeds Jewelers, Inc.................................. 440 1,265
Regal Beloit Corp..................................... 23,100 386,925
*Regeneron Pharmaceuticals, Inc....................... 25,000 507,813
*Regent Communications, Inc........................... 11,500 63,969
Regis Corp............................................ 44,700 536,400
<CAPTION>
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*Rehabcare Group, Inc................................. 9,300 $ 399,900
*Rehabilicare, Inc.................................... 11,600 30,088
*Reliability, Inc..................................... 8,600 34,938
Reliance Group Holdings, Inc.......................... 119,800 277,038
Reliance Steel and Aluminum Co........................ 30,600 640,688
*Reliv International, Inc............................. 7,750 14,652
*Relm Wireless Corp................................... 6,600 16,294
*Remec, Inc........................................... 19,800 671,963
*RemedyTemp, Inc...................................... 7,300 135,734
*Remington Oil & Gas Corp............................. 23,600 154,138
*Renaissance Worldwide, Inc........................... 64,900 143,997
*Rent-A-Center, Inc................................... 30,400 615,600
*Rentrak Corp......................................... 13,600 48,450
*Rent-Way, Inc........................................ 24,200 645,838
*Repligen Corp........................................ 25,100 113,734
*Reptron Electronics, Inc............................. 8,000 81,500
Republic Bancorp, Inc................................. 49,900 489,644
Republic Bancorp, Inc. Class A........................ 13,500 87,117
*Republic Bankshares, Inc............................. 13,700 134,431
*Republic First Bancorp, Inc.......................... 6,434 28,350
Republic Group, Inc................................... 15,300 141,525
Republic Security Financial Corp...................... 60,882 250,187
*Res-Care, Inc........................................ 29,850 229,472
*Research Partners International, Inc................. 11,100 16,997
*ResMed, Inc.......................................... 16,300 391,200
*ResortQuest International, Inc....................... 21,300 101,175
Resource America, Inc................................. 24,600 169,894
Resource Bancshares Mortgage Group, Inc............... 28,408 136,714
*Respironics, Inc..................................... 39,648 636,846
*Response Oncology, Inc............................... 12,000 11,625
*Restoration Hardware, Inc............................ 20,200 127,828
*Revlon, Inc.......................................... 21,900 153,300
*Rex Stores Corp...................................... 9,200 194,350
*Rexall Sundown, Inc.................................. 6,300 150,216
*Rexhall Industries, Inc.............................. 1,771 9,962
*Rexx Environmental Corp.............................. 2,500 12,188
*RF Monolithics, Inc.................................. 7,900 71,841
*Ribozyme Pharmaceuticals............................. 19,700 244,403
Richardson Electronics, Ltd........................... 13,600 167,025
Richmond County Financial Corp........................ 33,820 633,068
*Riddell Sports, Inc.................................. 9,255 28,922
Riggs National Corp................................... 36,800 535,900
*Right Management Consultants, Inc.................... 6,300 64,575
*Right Start, Inc..................................... 6,900 26,306
*Rightchoice Managed Care, Inc. Class A............... 2,400 33,600
*Rimage Corp.......................................... 10,200 156,506
*Riverside Group, Inc................................. 1,000 3,750
Riverview Bancorp, Inc................................ 6,400 56,600
Rivianna Foods, Inc................................... 15,800 263,169
*Riviera Holdings Corporation......................... 5,000 36,875
RLI Corp.............................................. 12,800 465,600
*RMH Teleservices, Inc................................ 10,800 67,500
*RMI.Net, Inc......................................... 19,900 58,767
*Roadhouse Grill, Inc................................. 9,700 54,563
Roadway Express, Inc.................................. 19,700 422,934
Roanoke Electric Steel Corp........................... 14,200 187,706
Robbins & Myers, Inc.................................. 14,200 307,075
*Roberds, Inc......................................... 2,900 58
*Robertson-Ceco Corp.................................. 20,900 239,044
*Robinson Nugent, Inc................................. 6,400 72,000
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*Robocom Systems, Inc................................. 800 $ 1,663
*Robotic Vision Systems, Inc.......................... 33,200 393,213
*Rochester Medical Corp............................... 6,900 60,375
*Rock of Ages Co...................................... 5,000 25,000
Rock-Tenn Co. Class A................................. 25,700 245,756
*Rocky Mountain Chocolate Factory..................... 1,900 9,500
*Rocky Shoes & Boots, Inc............................. 4,900 25,266
*Rofin-Sinar Technologies, Inc........................ 14,900 181,128
*Rogers Corp.......................................... 20,000 618,750
*Rogue Wave Software, Inc............................. 13,600 58,225
*Rohn Industries, Inc................................. 60,600 192,216
Rollins Truck Leasing Corp............................ 62,300 587,956
Rollins, Inc.......................................... 33,900 402,563
*Ross Systems, Inc.................................... 25,700 35,739
*Rottlund, Inc........................................ 2,300 5,319
Rouge Industries, Inc. Class A........................ 16,000 72,000
Rowe Furniture Corp................................... 14,500 63,438
*Royal Appliance Manufacturing Co..................... 19,500 119,438
Royal Bancshares of Pennsylvania Class A.............. 3,791 57,813
*Royal Energy, Inc.................................... 2,300 7,044
*Royal Gold, Inc...................................... 19,300 50,361
*Royal Precision, Inc................................. 550 1,530
RPC, Inc.............................................. 36,700 389,938
*RTI International Metals, Inc........................ 22,900 297,700
*RTW, Inc............................................. 12,300 49,584
*Rubio's Restaurants, Inc............................. 5,000 39,063
Ruby Tuesday, Inc..................................... 74,400 734,700
Ruddick Corp.......................................... 46,400 643,800
*Rural Cellular Corp. Class A......................... 10,400 703,950
*Rural/Metro Corp..................................... 14,000 18,156
*Rush Enterprises, Inc................................ 6,700 46,481
Russ Berrie & Co., Inc................................ 22,600 427,988
Russell Corp.......................................... 13,700 304,825
*RWD Technologies, Inc................................ 14,600 61,594
*Ryans Family Steak Houses, Inc....................... 39,800 360,688
Ryerson Tull, Inc..................................... 27,200 268,600
Ryland Group, Inc..................................... 15,700 348,344
*S&K Famous Brands, Inc............................... 6,500 44,688
S&T Bancorp, Inc...................................... 29,700 533,672
*S3, Inc.............................................. 36,876 588,864
*Safeguard Health Enterprises, Inc.................... 4,400 4,290
*Safety 1st, Inc...................................... 8,800 121,275
*Safety Components International, Inc................. 4,100 185
*Safety-Kleen Corp.................................... 15,000 9,375
*Saga Communications, Inc. Class A.................... 16,062 331,279
*SAGA Systems, Inc.................................... 31,500 462,656
*Salient 3 Communications, Inc. Class A............... 2,600 29,738
*Salton/Maxim Housewares, Inc......................... 17,700 560,869
*Sames Corp........................................... 3,800 64,600
*Samsonite Corp....................................... 20,618 98,580
*San Filippo (John B.) & Son, Inc..................... 5,000 17,500
*Sanchez Computer Associates, Inc..................... 27,200 459,000
Sanderson Farms, Inc.................................. 15,100 101,453
*Sands Regent Casino Hotel............................ 2,000 3,219
*Sandy Spring Bancorp, Inc............................ 1,000 21,844
*Sangstat Medical Corp................................ 19,600 524,300
*Santa Cruz Operation, Inc............................ 42,400 176,225
*Satcon Technology Corp............................... 15,900 255,394
*Saucony, Inc. Class A................................ 3,500 37,516
*Saucony, Inc. Class B................................ 4,600 46,000
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Sauer, Inc............................................ 30,200 $ 260,475
*Savoir Technology Group, Inc......................... 13,500 107,156
*SBE, Inc............................................. 3,700 69,259
*SBS Technologies, Inc................................ 8,100 263,250
*Scan-Optics, Inc..................................... 7,400 7,284
*ScanSoft, Inc........................................ 49,918 120,895
*ScanSource, Inc...................................... 5,500 152,281
*SCB Computer Technology, Inc......................... 25,700 54,613
*SCC Communications Corp.............................. 14,400 79,650
Schawk, Inc. Class A.................................. 25,200 200,025
*Scheid Vineyards, Inc................................ 2,300 8,769
*Schein (Henry), Inc.................................. 42,700 753,922
*Schein Pharmaceutical, Inc........................... 36,200 739,838
*Schick Technologies, Inc............................. 9,000 16,875
*Schieb (Earl), Inc................................... 2,200 7,013
*Schlotzskys, Inc..................................... 9,600 57,900
*Schmitt Industries, Inc.............................. 10,300 27,681
Schnitzer Steel Industries, Inc. Class A.............. 7,200 107,325
*Schuff Steel Company................................. 6,000 19,500
*Schuler Homes, Inc................................... 20,100 124,369
Schulman (A.), Inc.................................... 33,100 394,097
Schultz Sav-O Stores, Inc............................. 7,700 87,588
Schweitzer-Maudoit International, Inc................. 17,300 237,875
*Sciclone Pharmaceuticals, Inc........................ 33,400 281,291
*Scientific Games Holdings Corp....................... 14,800 357,050
Scientific Technologies, Inc.......................... 6,700 37,269
*Scios-Nova, Inc...................................... 46,187 199,181
*Scott Technologies, Inc.............................. 18,600 337,706
*Scotts Co. Class A................................... 6,600 248,325
*Scott's Liquid Gold, Inc............................. 7,100 7,766
*SCP Pool Corp........................................ 14,600 493,663
SCPIE Holdings, Inc................................... 12,800 311,200
Seaboard Corp......................................... 1,400 257,600
*Seachange International, Inc......................... 12,800 330,400
Seacoast Banking Corp. Class A........................ 1,500 39,094
Seacoast Financial Services Corp...................... 5,746 50,457
*Seacor Smit, Inc..................................... 11,300 724,613
Seaway Food Town, Inc................................. 8,700 132,947
*Secom General Corp................................... 140 1,124
Second Bancorp, Inc................................... 10,500 162,094
*Secure Computing Corp................................ 26,800 309,038
*Security Associates International, Inc............... 5,700 22,800
*SED International Holdings, Inc...................... 9,450 30,417
*Sedona Worldwide, Inc................................ 2,502 13
*SEEC, Inc............................................ 6,100 27,736
*Segue Software, Inc.................................. 23,400 200,363
*Seibels Bruce Group, Inc............................. 5,400 8,438
*Seitel, Inc.......................................... 24,400 207,400
Selas Corp. of America................................ 4,750 26,125
*Select Comfort Corp.................................. 20,000 75,938
Selective Insurance Group, Inc........................ 29,800 552,231
SEMCO Energy, Inc..................................... 19,700 263,488
*Semitool, Inc........................................ 28,800 407,700
*SEMX Corp............................................ 6,200 49,019
*Seneca Foods Corp. Class A........................... 200 2,313
*Seneca Foods Corp. Class B........................... 1,300 14,950
*Sensory Science Corp................................. 15,300 40,163
*Sequa Corp. Class A.................................. 6,400 305,200
*Sequa Corp. Class B.................................. 2,600 149,500
*SeraCare, Inc........................................ 9,600 23,400
*Serologicals Corp.................................... 11,550 46,741
</TABLE>
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<CAPTION>
SHARES VALUE+
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*Servotronics, Inc.................................... 900 $ 3,375
Sevenson Environmental Services, Inc.................. 2,080 23,075
*SGV Bancorp, Inc..................................... 1,400 34,169
*Shared Technologies Cellular, Inc.................... 10,100 15,781
*Sharper Image Corp................................... 13,200 148,088
*Shaw Group, Inc...................................... 19,800 863,775
*Sheffield Medical Technologies, Inc.................. 32,750 135,094
*Sheldahl, Inc........................................ 15,200 71,488
*Shells Seafood Restaurants, Inc...................... 4,400 9,350
*Shiloh Industries, Inc............................... 8,800 90,200
*Shoe Carnival, Inc................................... 14,600 106,306
*Shoe Pavilion, Inc................................... 6,200 9,688
*Sholodge, Inc........................................ 5,800 23,563
*Shoney's, Inc........................................ 45,000 28,125
*Shop At Home, Inc.................................... 34,900 147,234
*Shopko Stores, Inc................................... 39,500 725,813
Shoreline Financial Corp.............................. 3,407 45,995
*Shuffle Master, Inc.................................. 9,200 135,413
*SICOR, Inc........................................... 61,400 523,819
*Siebert Financial Corp............................... 29,700 220,894
*Sierra Health Services, Inc.......................... 31,936 133,732
*SierraCities.com, Inc................................ 23,000 92,359
Sifco Industries, Inc................................. 5,400 33,075
*Sight Resource Corp.................................. 7,100 6,323
*Sigma Designs, Inc................................... 19,100 67,447
*Sigmatron International, Inc......................... 1,700 7,278
*Signal Apparel Co., Inc. Class A..................... 6,200 1,163
*Signal Technology Corp............................... 7,700 114,056
*Signature Eyewear, Inc............................... 3,600 5,850
*Silgan Holdings, Inc................................. 15,000 141,563
*Silicon Valley Bancshares............................ 13,600 446,675
*Silicon Valley Group, Inc............................ 9,600 255,300
*Silverleaf Resorts, Inc.............................. 14,900 53,081
*Simione Central Holdings, Inc........................ 2,035 5,554
Simmons First National Corp. Class A.................. 4,550 86,877
*Simon Transportation Services, Inc................... 6,100 34,884
Simpson Industries, Inc............................... 19,850 174,928
*Simpson Manufacturing Co., Inc....................... 13,100 623,888
*Simula, Inc.......................................... 14,400 27,900
*Sipex Corp........................................... 24,000 525,750
*Sitel Corp........................................... 77,600 451,050
*Sizzler International, Inc........................... 33,200 97,525
SJNB Financial Corp................................... 1,500 39,938
SJW Corp.............................................. 3,600 406,800
*Skyepharma P.L.C. ADR................................ 915 12,526
Skyline Corp.......................................... 8,700 179,438
*SkyMall, Inc......................................... 16,800 40,950
Skywest, Inc.......................................... 21,800 831,806
SL Industries, Inc.................................... 9,200 78,775
SLI, Inc.............................................. 44,900 583,700
*Smart & Final Food, Inc.............................. 32,900 269,369
*SMC Corp............................................. 5,600 22,225
Smith (A.O.) Corp..................................... 18,050 379,050
Smith (A.O.) Corp. Convertible Class A................ 3,750 79,219
*Smith Micro Software, Inc............................ 18,600 125,550
*Smithway Motor Express Corp. Class A................. 4,700 12,044
Smucker (J.M.) Co. Class A............................ 15,900 281,231
Smucker (J.M.) Co. Class B............................ 16,200 272,363
*Socrates Technolgies Corp............................ 18,400 20,700
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Softech, Inc......................................... 8,100 $ 8,859
*Softnet Systems, Inc................................. 34,700 369,772
*Software Spectrum, Inc............................... 3,900 56,428
*Sola International, Inc.............................. 27,100 135,500
Somerset Group, Inc................................... 312 6,669
*Somnus Medical Technologies, Inc..................... 13,900 40,831
*Sonic Automotive, Inc................................ 28,600 278,850
*Sonic Corp........................................... 21,950 607,055
*Sonic Foundry, Inc................................... 8,600 121,744
*Sonic Solutions...................................... 14,600 60,453
*Sonosight, Inc....................................... 3,633 72,546
*Sonus Pharmaceuticals, Inc........................... 11,800 34,294
*SOS Staffing Services, Inc........................... 13,100 39,709
*Sound Advice, Inc.................................... 4,800 47,550
*Source Media, Inc.................................... 16,400 89,944
South Financial Group, Inc............................ 27,210 341,826
South Jersey Industries, Inc.......................... 14,600 380,513
*Southern Banc Company, Inc........................... 200 1,650
*Southern Energy Homes, Inc........................... 11,925 13,416
*Southern Pacific Funding Corp........................ 19,600 490
*Southern Union Co.................................... 31,358 540,926
*Southwall Technologies, Inc.......................... 9,800 81,769
Southwest Bancorp, Inc................................ 4,000 66,250
*Southwest Bancorporation of Texas, Inc............... 30,800 611,188
Southwest Gas Corp.................................... 17,000 326,188
Southwest Securities Group, Inc....................... 15,300 443,700
Southwest Water Co.................................... 8,400 110,775
Southwestern Energy Co................................ 29,900 276,575
*Spacehab, Inc........................................ 14,100 62,569
*Spacelabs Medical, Inc............................... 12,300 139,528
Span-American Medical System, Inc..................... 2,400 8,738
*SPAR Group, Inc...................................... 1,500 3,844
Spartan Motors, Inc................................... 14,000 62,125
Spartech Corp......................................... 17,700 524,363
*Sparton Corp......................................... 7,200 29,700
*Spatial Technology, Inc.............................. 10,750 37,625
*Special Metals Corp.................................. 16,100 37,734
*Specialty Equipment Co., Inc......................... 25,000 528,125
*SpectraLink Corp..................................... 22,500 338,203
*Spectranetics Corp................................... 27,602 128,522
*Spectra-Physics Laser, Inc........................... 7,300 287,438
*Spectrian Corp....................................... 11,400 172,425
*Spectrum Control, Inc................................ 13,200 131,175
*SpectRx, Inc......................................... 8,900 96,231
*SpeedFam-IPEC, Inc................................... 32,600 428,894
*Speizman Industries, Inc............................. 2,300 8,338
*Spire Corp........................................... 3,200 15,000
*Splash Technology Holdings, Inc...................... 15,500 122,547
*Sport Chalet, Inc.................................... 2,700 13,163
*Sport Supply Group, Inc.............................. 9,400 44,650
*Sport-Haley, Inc..................................... 3,500 15,039
*Sports Authority, Inc................................ 41,400 87,975
*Sports Club Co., Inc................................. 20,100 67,838
*SportsLine USA, Inc.................................. 1,600 18,400
*Sportsman's Guide, Inc............................... 5,100 14,981
Springs Industries, Inc. Class A...................... 10,600 503,500
*SPS Technologies, Inc................................ 13,800 484,725
*SPSS, Inc............................................ 12,600 315,000
*Spyglass, Inc........................................ 10,700 332,034
*SRS Labs, Inc........................................ 11,700 108,956
*SS&C Technologies, Inc............................... 15,600 71,419
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*SSE Telecom, Inc..................................... 7,700 $ 21,175
St. Francis Capital Corp.............................. 13,200 181,913
St. Joseph Light & Power Co........................... 49,600 1,044,700
St. Mary Land & Exploration Co........................ 17,800 641,356
*Staar Surgical Co.................................... 15,300 208,941
*Staff Leasing, Inc................................... 27,400 98,041
*Staffmark, Inc....................................... 32,300 159,481
*Stage II Apparel Corp................................ 1,700 1,700
*Stage Stores, Inc.................................... 21,400 3,344
*Standard Automotive Corp............................. 3,000 17,250
Standard Commercial Corp.............................. 14,229 44,466
*Standard Management Corp............................. 7,600 25,888
*Standard Microsystems Corp........................... 17,100 222,834
Standard Motor Products, Inc. Class A................. 11,900 115,281
Standard Pacific Corp. DE............................. 37,000 420,875
Standard Register Co.................................. 26,100 353,981
Standex International Corp............................ 14,100 237,056
*Stanley Furniture, Inc............................... 7,600 171,713
*Star Buffet, Inc..................................... 2,800 7,438
*Star Multi Care Services, Inc........................ 1,362 2,639
*STAR Telecommunications, Inc......................... 66,800 139,863
*Starcraft Corp....................................... 2,500 19,219
*Starmet Corp......................................... 13,000 36,969
Starrett (L.S.) Co. Class A........................... 6,700 136,094
*Startec Global Communications Corp................... 9,700 111,853
*StarTek, Inc......................................... 13,900 880,913
*Starter Corp......................................... 24,300 134
State Auto Financial Corp............................. 45,200 505,675
State Financial Services Corp. Class A................ 11,100 112,734
Staten Island Bancorp, Inc............................ 8,300 140,581
*Station Casinos, Inc................................. 26,300 713,388
*Steel Dynamics, Inc.................................. 46,100 430,747
Steel Technologies, Inc............................... 14,500 108,297
*Stein Mart, Inc...................................... 53,000 412,406
*Steinway Musical Instruments, Inc.................... 11,200 194,600
*Stemcells, Inc....................................... 22,000 56,031
Stepan Co............................................. 8,400 183,750
Stephan Co............................................ 2,700 9,788
*Stericycle, Inc...................................... 14,700 299,053
*Sterile Recoveries, Inc.............................. 6,100 40,794
*STERIS Corp.......................................... 54,600 499,931
Sterling Bancorp...................................... 10,800 171,450
Sterling Bancshares................................... 28,637 319,482
*Sterling Financial Corp. WA.......................... 10,500 108,609
Stewart & Stevenson Services, Inc..................... 30,700 427,881
Stewart Enterprises, Inc.............................. 128,400 517,613
Stewart Information Services Corp..................... 13,600 171,700
Stifel Financial Corp................................. 9,400 89,300
*STM Wireless, Inc. Class A........................... 9,200 40,825
*Stockwalk.com Group, Inc............................. 900 7,988
Stone & Webster, Inc.................................. 14,200 13,756
*Stone Energy Corp.................................... 9,200 566,375
*Stoneridge, Inc...................................... 24,600 276,750
*Storage Computer Corp................................ 15,500 108,500
*Stratasys, Inc....................................... 4,400 27,156
*Strategic Diagnostics, Inc........................... 18,000 107,438
*Strategic Distribution, Inc.......................... 40,292 85,621
*Stratesec, Inc....................................... 8,400 21,000
*Strattec Security Corp............................... 6,500 225,469
*Stratus Properties, Inc.............................. 16,100 74,463
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Strawbridge and Clothier Liquidating Trust........... 4,200 $ 629
Strayer Ed, Inc....................................... 17,000 422,344
Stride Rite Corp...................................... 56,800 372,750
*Strouds, Inc......................................... 7,200 14,963
*Structural Dynamics Research Corp.................... 41,100 466,228
Sturm Ruger & Co., Inc................................ 32,000 320,000
*Styleclick.com, Inc.................................. 10,000 104,063
*Suburban Lodges of America, Inc...................... 17,800 100,125
*Success Bancshares, Inc.............................. 2,200 22,550
*Successories, Inc.................................... 8,400 16,013
Suffolk Bancorp....................................... 4,300 115,563
*Summa Industries, Inc................................ 4,300 46,897
Summit Bancshares, Inc................................ 2,000 34,375
Summit Bank Corp...................................... 700 11,463
*Summit Technology, Inc............................... 57,500 1,065,547
*Sun Bancorp, Inc..................................... 9,200 64,113
Sun Hydraulics, Inc................................... 4,400 39,050
*Sunair Electronics, Inc.............................. 3,000 7,875
*Sunbeam Corp......................................... 145,994 456,231
*Sunburst Hospitality Corp............................ 20,600 91,413
*Sundance Homes, Inc.................................. 3,000 990
*Sunglass Hut International, Inc...................... 49,300 296,570
*Sunquest Information Systems, Inc.................... 15,700 117,750
*Sunrise Assisted Living, Inc......................... 26,465 482,159
*Sunrise Medical, Inc................................. 27,200 120,700
*Sunrise Resources, Inc............................... 5,500 27,070
*Sunrise Technologies International, Inc.............. 53,100 462,966
*SunSource, Inc....................................... 6,700 30,150
*Sunterra Corp........................................ 36,000 12,375
*Superconductor Technologies, Inc..................... 10,200 143,438
*Supergen, Inc........................................ 16,600 390,619
*Superior Consultant Holdings Corp.................... 10,800 84,544
*Superior Energy Services, Inc........................ 65,900 667,238
Superior Industries International, Inc................ 27,700 773,869
*Superior National Insurance Group, Inc............... 17,400 1,566
Superior Surgical Manufacturing Co., Inc.............. 10,000 86,250
Superior Telecom, Inc................................. 24,208 263,262
*Supertex, Inc........................................ 26,500 752,766
*Suprema Specialties, Inc............................. 5,700 50,588
*Supreme Industries, Inc.............................. 11,655 59,003
*SurModics, Inc....................................... 7,800 184,763
Susquehanna Bancshares, Inc........................... 43,200 589,950
*SVI Holdings, Inc.................................... 35,700 274,444
*Swift Energy Corp.................................... 23,880 613,418
*Swisher International, Inc........................... 700 700
*Swiss Army Brands, Inc............................... 10,200 53,869
*Sybase, Inc.......................................... 30,800 586,163
*Sybron Chemicals, Inc................................ 3,200 63,200
*Sykes Enterprises, Inc............................... 7,200 139,725
*Sylvan Learning Systems, Inc......................... 13,700 154,981
*Sylvan, Inc.......................................... 7,300 71,631
*Symix Systems, Inc................................... 9,600 96,300
*Symmetricom, Inc..................................... 18,000 270,000
*Symons International Group, Inc...................... 8,300 5,836
*Symphonix Devices, Inc............................... 14,900 54,013
*Syms Corp............................................ 18,500 63,594
Synalloy Corp. DE..................................... 8,100 60,750
*Synaptic Pharmaceutical Corp......................... 13,900 66,025
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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*Synbiotics Corp...................................... 12,100 $ 27,225
*Sync Research, Inc................................... 3,080 10,203
*Syncor International Corp............................ 15,300 756,394
*Syntel, Inc.......................................... 46,500 565,266
*Syntellect, Inc...................................... 14,500 70,688
*Synthetech, Inc...................................... 14,800 48,100
*Syntroleum Corp...................................... 35,400 633,881
*Sypris Solutions, Inc................................ 2,250 21,656
*System Software Associates, Inc...................... 10,700 514
*Systemax, Inc........................................ 42,700 290,894
*Systems & Computer Technology Corp................... 35,400 653,794
*T&W Financial Corp................................... 6,700 0
Tab Products Co....................................... 5,200 25,025
*Taco Cabana, Inc..................................... 14,400 92,250
*Tag-It Pacific, Inc.................................. 6,700 32,244
*Taitron Components, Inc.............................. 5,500 16,500
*Take Two Interactive Software........................ 28,100 253,778
*TALX Corp............................................ 6,000 90,188
*Tandy Brand Accessories, Inc......................... 7,500 49,453
*Tandy Crafts, Inc.................................... 13,200 39,600
*Targeted Genetics Corp............................... 37,700 266,256
*Tarrant Apparel Group................................ 19,600 159,250
Tasty Baking Co....................................... 10,100 120,569
TB Woods Corp......................................... 4,700 42,888
*TBA Entertainment Corp............................... 10,500 41,016
*TBC Corp............................................. 25,650 123,841
TCBY Enterprises, Inc................................. 24,800 124,000
*TCC Industries, Inc.................................. 1,100 94
*TCI International, Inc............................... 4,400 29,150
*TCSI Corp............................................ 25,300 45,856
*TEAM America Corp.................................... 2,800 10,544
*Team, Inc............................................ 7,600 18,525
Tech/Ops Sevcon, Inc.................................. 4,000 38,750
*Techdyne, Inc........................................ 7,100 17,750
Teche Holding Co...................................... 700 9,275
*Technical Chemicals & Products, Inc.................. 12,000 9,563
*Technical Communications Corp........................ 400 1,925
*Technisource, Inc.................................... 10,400 42,575
Technitrol, Inc....................................... 9,600 662,400
Technology Research Corp.............................. 7,000 13,781
*Technology Solutions Corp............................ 57,100 273,902
*Tech-Sym Corp........................................ 7,500 164,063
*Tegal Corp........................................... 15,600 67,031
Tejon Ranch Co........................................ 13,900 316,225
*Telcom Semiconductor, Inc............................ 22,500 559,688
*Telescan, Inc........................................ 18,200 130,244
*Telescape International, Inc......................... 8,000 62,500
*TeleSpectrum Worldwide, Inc.......................... 38,600 168,875
*Teletouch Communications, Inc........................ 4,200 8,925
*Telular Corp......................................... 12,900 110,053
*Telxon Corp.......................................... 18,100 281,681
*Temtex Industries, Inc............................... 2,000 2,250
Tennant Co............................................ 9,000 321,750
Tenneco Automotive, Inc............................... 10,000 73,125
*Terex Corp........................................... 30,300 482,906
Terra Industries, Inc................................. 98,600 209,525
*Terremark Worldwide, Inc............................. 36,500 73,000
*Tesoro Petroleum Corp................................ 42,200 432,550
*TESSCO Technologies, Inc............................. 5,800 98,238
*Tesseract Group, Inc................................. 7,600 2,375
*Tetra Tech, Inc...................................... 30,281 669,021
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Tetra Technologies, Inc.............................. 13,200 $ 170,775
*Texas Biotechnology Corp............................. 43,300 419,469
Texas Industries, Inc................................. 23,000 659,813
Texas Regional Banchshares, Inc. Class A.............. 16,000 432,000
TF Financial Corp..................................... 2,600 36,725
*TFC Enterprises, Inc................................. 11,400 23,869
*Thackeray Corp....................................... 3,600 11,025
*Theglobe.com, Inc.................................... 31,900 49,345
*Theragenics Corp..................................... 32,500 290,469
*Thermatrix, Inc...................................... 5,400 2,531
*Thermedics, Inc...................................... 46,100 388,969
*Thermo Cardiosystems, Inc............................ 46,200 453,338
*Thermo Ecotek Corp................................... 21,100 164,844
*Thermo Fibergen, Inc................................. 6,800 81,600
*Thermo Fibertek, Inc................................. 70,400 431,200
*Thermo Terratech, Inc................................ 15,500 116,250
*Thermolase Corp...................................... 33,200 76,775
Thermoretec Corp...................................... 17,600 123,200
*Thermotrex Corp...................................... 14,900 148,069
*Thermwood Corp....................................... 200 1,275
Thistle Group Holdings Co............................. 7,100 47,703
*Thomas Group, Inc.................................... 6,100 59,475
Thomas Industries, Inc................................ 17,450 349,000
*Thomaston Mills, Inc................................. 1,900 1,841
Thor Industries, Inc.................................. 15,700 366,988
*Thoratec Laboratories Corp........................... 24,100 295,225
*Thorn Apple Valley, Inc.............................. 4,600 426
*T-HQ, Inc............................................ 24,000 231,750
*Three Rivers Bancorp, Inc............................ 7,300 58,628
*Three-Five Systems, Inc.............................. 9,199 577,237
*Tier Technologies, Inc. Class B...................... 10,700 53,834
*TII Industries, Inc.................................. 8,860 17,582
Timberland Bancorp, Inc............................... 6,600 61,256
Timberline Software Corp.............................. 23,200 179,075
*Tipperary Corp....................................... 15,700 45,138
Titan International, Inc.............................. 20,100 119,344
*Titan Pharmaceuticals, Inc........................... 18,700 474,513
Titanium Metals Corp.................................. 35,600 155,750
*TMBR/Sharp Drilling, Inc............................. 6,200 72,850
*T-Netix, Inc......................................... 16,500 81,469
*Today's Man, Inc..................................... 4,300 2,217
*Todd Shipyards Corp.................................. 12,600 89,775
*Todd-AO Corp. Class A................................ 10,700 216,006
*Toddhunter International, Inc........................ 4,600 37,663
*Tofutti Brands, Inc.................................. 6,900 15,956
*Tokheim Corp......................................... 14,000 19,250
*Toll Brothers, Inc................................... 38,700 749,813
*Tollgrade Communications, Inc........................ 10,600 701,588
Tompkins County Trustco, Inc.......................... 330 7,796
*Topps, Inc........................................... 51,000 537,094
*Toreador Royalty Corp................................ 4,900 26,644
Toro Co............................................... 14,000 441,000
*Total Entertainment Restaurant Corp.................. 12,300 29,213
*Total Renal Care Holdings, Inc....................... 81,200 319,725
*Total-Telephone USA Communications, Inc.............. 3,000 19,688
*Tower Air, Inc....................................... 13,300 1,929
*Tower Automotive, Inc................................ 31,200 432,900
*Towne Services, Inc.................................. 5,200 3,981
*Toymax International, Inc............................ 11,100 27,750
*Track Data Corp...................................... 65,500 76,758
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Track 'n Trail, Inc.................................. 4,900 $ 3,292
*Tractor Supply Co.................................... 11,400 173,138
*Trailer Bridge, Inc.................................. 5,000 5,078
*Trammell Crow Co..................................... 45,300 569,081
*Trans World Airlines, Inc............................ 65,900 160,631
*Trans World Entertainment Corp....................... 58,300 582,089
*Transact Technologies, Inc........................... 7,200 72,900
*Transaction Systems Architects, Inc.................. 3,400 41,331
*Transcoastal Marine Services, Inc.................... 12,400 6,006
*Transcrypt International, Inc........................ 7,800 16,819
*Transfinancial Holdings, Inc......................... 3,300 5,775
*Transkaryotic Therapies, Inc......................... 3,400 85,106
*Transmation, Inc..................................... 6,700 16,227
*Transmedia Network, Inc.............................. 14,900 45,631
*Transmontaigne Oil Co................................ 39,700 267,975
*Transport Industries, Inc............................ 1,000 5,250
*Transportation Components, Inc....................... 21,000 40,688
Transpro, Inc......................................... 6,700 30,150
Transtechnology Corp.................................. 4,900 42,263
*TransTexas Gas Corp.................................. 48,400 0
*TransTexas Gas Corp. Class A......................... 236 1,239
*Transworld Healthcare, Inc........................... 19,300 29,553
*Travelocity.com, Inc................................. 16,700 296,425
*Travis Boats & Motors, Inc........................... 2,700 14,006
*TRC Companies, Inc................................... 8,800 92,400
*TREEV, Inc........................................... 9,000 58,922
*Trega Biosciences, Inc............................... 25,400 69,056
Tremont Corp. DE...................................... 5,100 84,788
*Trend-Lines, Inc. Class A............................ 3,300 4,177
*Trendwest Resorts, Inc............................... 22,000 506,688
Trenwick Group, Inc................................... 20,075 301,125
*Trex Medical Corp.................................... 32,200 60,375
*Triad Guaranty, Inc.................................. 14,600 270,556
*Triad Hospitals, Inc................................. 1,000 21,438
*Triangle Pharmaceuticals, Inc........................ 44,800 285,600
*Triarc Companies, Inc. Class A....................... 22,200 460,650
Trico Bancshares...................................... 4,950 78,581
*Trico Marine Services, Inc........................... 28,900 280,872
*Trident Microsystems, Inc............................ 14,700 123,572
*Tridex Corp.......................................... 5,100 3,905
*Trimark Holdings, Inc................................ 1,700 13,627
*Trimble Navigation, Ltd.............................. 20,700 917,269
*Trimedyne, Inc....................................... 5,400 10,631
*Trimeris, Inc........................................ 20,300 892,566
*TriPath Imaging, Inc................................. 33,752 166,123
*Triple S Plastics, Inc............................... 3,800 61,513
*Tripos, Inc.......................................... 4,400 70,400
*Tristar Corp......................................... 1,000 5,375
*Triumph Group........................................ 10,800 302,400
*TRM Copy Centers Corp................................ 6,700 33,919
*Tropical Sportswear International Corp............... 8,300 190,381
*Troy Group, Inc...................................... 1,000 9,313
*Trump Hotels & Casino Resorts, Inc................... 28,900 79,475
Trust Co. of New Jersey............................... 21,600 394,875
Trustco Bank Corp. NY................................. 58,800 718,463
*TSR, Inc............................................. 6,100 34,598
Tucker Anthony Sutro Corp............................. 23,800 407,575
*Tuesday Morning Corp................................. 33,900 353,831
*Tufco Technologies, Inc.............................. 4,500 45,281
*TurboChef Technologies, Inc.......................... 20,400 85,425
Tuscarora, Inc........................................ 12,100 153,519
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Twin Disc, Inc........................................ 3,600 $ 55,800
*Twinlab Corp......................................... 35,400 253,331
*Tyler Technologies, Inc.............................. 48,200 192,800
U.S. Bancorp, Inc..................................... 17,200 79,013
*U.S. Diagnostic, Inc................................. 18,000 14,063
*U.S. Franchise Systems, Inc.......................... 18,700 101,097
*U.S. Home & Garden, Inc.............................. 23,700 59,991
*U.S. Office Products, Co............................. 39,600 40,219
*U.S. Plastic Lumber Corp............................. 31,700 143,641
*U.S. Vision, Inc..................................... 7,700 13,234
*Ubics, Inc........................................... 8,400 21,263
*Ucar International, Inc.............................. 27,000 330,750
UCBH Holdings, Inc.................................... 10,300 258,788
*UFP Technologies, Inc................................ 3,800 9,975
UGI Corp.............................................. 30,000 663,750
*Ugly Duckling Corp................................... 16,700 120,553
*UICI................................................. 51,000 248,625
*Ultimate Electronics, Inc............................ 12,400 308,450
*Ultimate Software Group, Inc......................... 17,500 139,453
*Ultradata Systems, Inc............................... 2,000 5,813
*Ultrak, Inc.......................................... 15,100 100,981
*Ultralife Batteries, Inc............................. 14,100 106,191
*Ultratech Stepper, Inc............................... 23,600 331,875
Umpqua Holdings Corp.................................. 7,100 58,797
*Unapix Entertainment, Inc............................ 6,100 6,863
*Unicapital Corp...................................... 58,700 40,356
Unico American Corp................................... 7,200 44,213
*UniComp, Inc......................................... 9,600 25,800
*Unidigital, Inc...................................... 6,100 13,725
*Unifab International, Inc............................ 6,800 49,725
*Unifi, Inc........................................... 58,500 745,875
Unifirst Corp......................................... 9,650 79,009
*Unify Corp........................................... 21,000 280,219
*Unimark Group, Inc................................... 10,100 7,575
*Uni-Marts, Inc....................................... 6,500 13,000
*Union Acceptance Corp. Class A....................... 5,200 25,838
Union Community Bancorp............................... 2,300 24,941
*Unique Mobility, Inc................................. 21,500 150,500
*Uniroyal Technology Corp............................. 27,200 433,500
Unisource Energy Corp................................. 36,780 565,493
*Unit Corp............................................ 40,600 535,413
*United American Healthcare Corp.,.................... 5,300 3,313
*United Auto Group, Inc............................... 21,400 191,263
United Community Financial Corp....................... 34,400 203,175
United Financial Corp. MN............................. 400 5,575
United Fire Casualty Co............................... 5,400 93,656
United Guardian, Inc.................................. 1,900 8,313
United Illuminating Co................................ 14,600 691,675
United Industrial Corp................................ 16,000 141,000
United National Bancorp............................... 17,600 323,400
*United Natural Foods, Inc............................ 23,700 359,203
*United Retail Group, Inc............................. 14,600 116,344
*United Road Services, Inc............................ 720 2,880
*United Security Bancorporation....................... 1,600 15,050
*United States Energy Corp............................ 11,500 33,063
United Wisconsin Services, Inc........................ 18,500 106,375
*Unitel Video, Inc.................................... 700 14
Unitil Corp........................................... 6,100 158,600
Unity Bancorp, Inc.................................... 2,600 10,969
*Universal American Financial Corp.................... 8,400 31,500
Universal Corporation................................. 31,500 730,406
*Universal Electronics, Inc........................... 15,000 329,531
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Universal Forest Products, Inc........................ 22,100 $ 290,753
*Universal Stainless & Alloy Products, Inc............ 6,500 44,688
*Uno Restaurant Corp.................................. 14,800 179,450
*Unova, Inc........................................... 25,300 349,456
*Urban Outfitters, Inc................................ 19,400 175,813
*Urocor, Inc.......................................... 12,200 45,750
*Urologix, Inc........................................ 14,900 62,859
*Uromed Corp. New..................................... 4,720 13,496
*URS Corp............................................. 17,700 232,313
*Ursus Telecom Corp................................... 7,300 62,734
*US Can Corp.......................................... 14,800 244,200
*US LEC Corp.......................................... 11,300 216,113
*US Liquids, Inc...................................... 17,800 86,775
*US Oncology, Inc..................................... 89,638 428,582
*US Xpress Enterprises, Inc. Class A.................. 20,523 144,302
*USA Detergents, Inc.................................. 18,100 46,381
*USA Floral Products, Inc............................. 16,400 13,581
*USA Truck, Inc....................................... 10,200 66,938
*USABancShares.com, Inc............................... 5,300 17,308
*USANA, Inc........................................... 10,200 45,581
USB Holding Co., Inc.................................. 14,805 185,063
*USData Corp.......................................... 17,100 82,828
*Usec, Inc............................................ 5,500 25,438
*Utah Medical, Inc.................................... 6,300 44,100
*UTI Energy Corp...................................... 21,400 914,850
*Utilx Corp........................................... 9,600 36,000
*V.I. Technologies, Inc............................... 14,600 105,850
*Vail Resorts, Inc.................................... 16,500 264,000
*Valence Technology, Inc.............................. 36,800 537,050
*Valentis, Inc........................................ 32,066 242,499
*Valley National Gases, Inc........................... 4,200 21,000
Valley Resources, Inc................................. 4,000 95,000
Valmont Industries, Inc............................... 25,800 507,938
*Value City Department Stores, Inc.................... 36,100 358,744
Value Line, Inc....................................... 10,900 365,150
*Vans, Inc............................................ 17,800 278,125
*Varco International, Inc............................. 50,956 1,108,293
*Vari L Co., Inc...................................... 7,500 72,539
*Varian Medical Systems, Inc.......................... 2,850 117,741
*Variflex, Inc........................................ 5,100 29,484
*Vari-Lite International, Inc......................... 4,800 5,250
*VDI Media............................................ 8,800 59,125
Vector Group, Ltd..................................... 26,345 296,381
Vectren Corp.......................................... 27,066 507,488
*Veeco Instruments, Inc............................... 4,100 184,628
*Ventana Medical Systems, Inc......................... 15,500 582,703
*Venture Catalyst, Inc................................ 5,000 19,219
Venturian Corp........................................ 330 1,526
*Veramark Technologies, Inc........................... 10,400 38,675
*Verdant Brands, Inc.................................. 4,517 6,281
*Verilink Corp........................................ 17,000 117,938
*Veritas DGC, Inc..................................... 24,300 671,288
*Vermont Pure Holdings, Ltd........................... 12,300 42,281
*Versant Object Technology Corp....................... 6,500 27,625
*Versar, Inc.......................................... 3,000 6,375
*Vertel Corp.......................................... 32,300 377,506
*Vertex Pharmaceuticals, Inc.......................... 5,200 383,988
Vesta Insurance Group, Inc............................ 22,400 133,000
*Vestcom International, Inc........................... 9,600 37,800
*Veterinary Centers of America, Inc................... 23,900 324,891
*Viasat, Inc.......................................... 13,500 522,281
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Viasoft, Inc......................................... 19,800 $ 164,278
*VIB Corp............................................. 103 628
*Vical, Inc........................................... 25,700 482,678
*Vicon Industries, Inc................................ 4,900 15,619
*Vicorp Restaurants, Inc.............................. 8,700 163,941
*Vidamed, Inc......................................... 10,800 19,238
*Video Display Corp................................... 3,000 21,281
*Video Services Corp.................................. 2,000 6,250
*Videonics, Inc....................................... 3,600 3,206
*Viisage Technology, Inc.............................. 9,100 26,873
Vintage Petroleum, Inc................................ 27,700 657,875
*Vion Pharmaceuticals, Inc............................ 5,000 34,375
*Virbac Corp.......................................... 25,200 64,575
Virco Manufacturing Corp.............................. 13,028 136,794
Virginia Gas Co....................................... 5,500 14,609
*ViroPharma, Inc...................................... 13,400 150,331
*Virtualfund.Com, Inc................................. 20,800 41,275
*Vision Sciences, Inc................................. 5,100 6,694
*Vision Twenty-One, Inc............................... 14,500 7,023
*VisionAmerica, Inc................................... 10,100 6,628
*Vista Eyecare, Inc................................... 18,400 5,750
*VISTA Information Solutions, Inc..................... 25,100 54,906
*Vista Medical Technologies, Inc...................... 30,000 21,563
*Visual Data Corp..................................... 8,500 29,883
Vital Signs, Inc...................................... 14,500 301,781
*Vitalcom, Inc........................................ 6,000 9,375
*Vitech America, Inc.................................. 21,200 126,538
*Vivus, Inc........................................... 37,700 217,953
*Vlasic Foods International, Inc...................... 50,100 109,594
*Vodavi Technology, Inc............................... 4,300 10,347
*Volt Information Sciences, Inc....................... 17,400 502,425
*V-ONE Corp........................................... 19,400 64,869
*Voxware, Inc......................................... 16,100 74,463
VRB Bancorp........................................... 7,600 38,950
*VTEL Corp............................................ 27,000 97,031
Vulcan International Corp............................. 700 23,144
*Vysis, Inc........................................... 13,000 101,969
Wabash National Corp.................................. 25,300 324,156
Wabtec Corp........................................... 9,900 111,375
*Wackenhut Corp. Class A.............................. 5,000 66,563
*Wackenhut Corp. Class B Non-Voting................... 10,550 87,038
*Wackenhut Corrections Corp........................... 24,600 159,900
*Walker Interactive Systems, Inc...................... 16,000 50,750
*Wall Street Deli, Inc................................ 1,500 1,641
Wallace Computer Services, Inc........................ 49,800 498,000
Walter Industries, Inc................................ 56,900 615,231
Warnaco Group, Inc.................................... 61,800 417,150
*Warrantech Corp...................................... 12,100 10,588
Warren Bancorp, Inc................................... 9,500 71,547
Warwick Community Bancorp, Inc........................ 5,300 58,300
Washington Banking Co................................. 3,700 30,525
*Washington Homes, Inc................................ 7,900 42,463
Washington Savings Bank FSB........................... 1,600 5,100
Washington Trust Bancorp, Inc......................... 10,700 159,831
*Waste Connections, Inc............................... 27,800 538,625
*Waste Industries, Inc................................ 16,600 141,878
*Waterlink, Inc....................................... 22,700 62,425
Waters Instruments, Inc............................... 200 831
Watsco, Inc. Class A.................................. 42,800 633,975
Watsco, Inc. Class B.................................. 1,350 19,913
Watts Industries, Inc. Class A........................ 19,100 217,263
Wausau-Mosinee Paper Corp............................. 58,400 540,200
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Wavo Corp............................................ 31,600 $ 36,044
WD-40 Co.............................................. 16,000 311,500
*Webb (Del) Corp...................................... 20,100 306,525
*Webco Industries, Inc................................ 6,000 23,625
*Webhire, Inc......................................... 18,900 50,794
*WebLink Wireless, Inc................................ 36,900 234,084
Weider Nutrition International, Inc................... 10,200 33,150
*Weirton Steel Corp................................... 49,900 227,669
Wellco Enterprises, Inc............................... 1,000 8,000
Wellman, Inc.......................................... 38,500 757,969
*Wells-Gardner Electronics Corp....................... 6,200 21,313
Werner Enterprises, Inc............................... 51,700 647,866
Wesbanco, Inc......................................... 23,950 561,328
*Wesley Jessen Vision Care, Inc....................... 21,000 775,688
West Coast Bancorp.................................... 15,354 166,975
*West Marine, Inc..................................... 22,300 180,491
West Pharmaceutical Services, Inc..................... 18,900 444,150
*Westaff, Inc......................................... 17,400 75,038
Westbank Corp......................................... 4,300 37,088
*Westcoast Hospitality Corp........................... 15,000 116,250
Westcorp, Inc......................................... 29,200 317,550
*Westell Technologies, Inc............................ 30,460 503,542
Westerfed Financial Corp.............................. 5,300 75,856
*Western Digital Corp................................. 115,600 541,875
Western Gas Resources, Inc............................ 35,400 803,138
Western Ohio Financial Corp........................... 900 13,444
*Western Power & Equipment Corp....................... 2,600 14,544
*Western Water Co..................................... 10,900 2,555
*Weston (Roy F.), Inc. Class A........................ 7,500 23,672
*Wet Seal, Inc. Class A............................... 9,200 105,800
*WFS Financial, Inc................................... 33,600 530,250
*White Electronics Designs Corp....................... 21,200 210,675
*Whitehall Jewellers, Inc............................. 18,100 235,300
*Whitman Education Group, Inc......................... 12,200 16,775
*WHX Corp............................................. 16,700 98,113
*Wickes Lumber Co..................................... 10,600 56,975
*Wild Oats Markets, Inc............................... 25,300 233,234
*William Lyon Homes................................... 29,100 185,513
*Williams Clayton Energy, Inc......................... 11,900 308,656
*Williams Controls, Inc............................... 14,700 24,347
*Williams Industries, Inc............................. 1,200 3,375
*Willis Lease Finance Corp............................ 7,900 59,744
*Wilshire Financial Sevices Group, Inc................ 137 214
*Wilshire Oil Co. of Texas............................ 7,107 24,430
*Wilsons The Leather Experts, Inc..................... 17,100 267,188
*Wind River Systems, Inc.............................. 9,904 358,092
Winnebago Industries, Inc............................. 23,700 331,800
*Wire One Technologies, Inc........................... 3,950 24,070
*Wireless Telecom Group, Inc.......................... 18,900 44,888
*Wireless Xcessories Group............................ 6,600 8,559
*Wisconsin Central Transportation Corp................ 35,200 459,800
*Wiser Oil Co......................................... 9,100 27,300
*WLR Foods, Inc....................................... 19,192 88,763
*WMF Group, Ltd....................................... 7,700 67,255
*WMS Industries, Inc.................................. 36,700 454,163
Wolohan Lumber Co..................................... 6,400 71,600
*Wolverine Tube, Inc.................................. 15,700 259,050
Wolverine World Wide, Inc............................. 48,100 541,125
Woodhead Industries, Inc.............................. 14,700 237,497
Woodward Governor Co.................................. 11,300 275,791
*Workflow Management, Inc............................. 15,200 184,775
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Workgroup Technology Corp............................ 8,000 $ 5,500
*World Acceptance Corp................................ 20,900 107,766
*World Access, Inc.................................... 20,372 213,269
World Fuel Services Corp.............................. 13,300 90,606
*World of Science, Inc................................ 2,900 3,127
*Worldpages.com, Inc.................................. 29,400 205,800
*Worldtex, Inc........................................ 15,700 6,378
*WPI Group, Inc....................................... 5,300 7,536
WPS Resources Corp.................................... 19,000 593,750
*WSI Industries, Inc.................................. 2,000 8,000
*Wyant Corp........................................... 266 382
Wynns International, Inc.............................. 20,550 277,425
*Xceed, Inc........................................... 28,000 350,875
*Xeta Corp............................................ 3,900 119,559
*Xetel Corp........................................... 12,300 21,525
*Xicor, Inc........................................... 22,000 149,188
*Xoma, Ltd............................................ 31,200 100,913
X-Rite, Inc........................................... 23,900 253,191
*Xtra Corp............................................ 15,600 702,975
Yardville National Bancorp............................ 8,700 91,622
*Yellow Corp.......................................... 27,700 454,453
Yonkers Financial Corp................................ 400 6,025
York Financial Corp................................... 8,891 111,693
York Group, Inc....................................... 9,200 33,350
*York Research Corp................................... 15,100 15,808
*Young Broadcasting, Inc. Class A..................... 16,100 371,809
*Youthstream Media Networks, Inc...................... 24,800 137,175
*Zamba Corporation.................................... 35,600 172,438
*Zap.com Corp......................................... 334 1,044
*Zapata Corp.......................................... 26,600 99,750
*Zaring National Corp................................. 1,900 6,353
Zenith National Insurance Corp........................ 18,800 446,500
*Zevex International, Inc............................. 3,400 16,469
*Zila, Inc............................................ 2,557 8,270
*ZixIt Corp........................................... 16,800 438,900
*Zoll Medical Corp.................................... 8,300 414,481
*Zoltek Companies, Inc................................ 20,600 137,119
*Zonagen, Inc......................................... 8,100 25,059
*Zoran Corp........................................... 7,900 313,038
*Zygo Corp............................................ 15,100 495,469
*Zymetx, Inc.......................................... 7,400 15,494
------------
TOTAL COMMON STOCKS
(Cost $717,422,339).................................. 653,219,719
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants............ 2,525 0
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 39,100 1,779
*Elan Corp. P.L.C. Contingent Payment Rights.......... 47,000 24,969
*Golden Books Family Entertainment Warrants
01/01/02............................................ 152 143
*Intercontinental Telecom Corp. Warrants 04/30/02..... 13,190 0
*Millicom, Inc. Contingent Value Rights............... 10,100 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 11,500 0
*TransTexas Gas Corp. Warrants 06/30/02............... 492 0
*Westcorp, Inc. Rights 06/15/00....................... 29,200 6,387
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Xinetix, Inc. Warrants 03/17/03...................... 332 $ 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $296,102)...................................... 33,278
------------
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holding 12% Senior Preferred... 2,800 1,414
(Cost $0).............................................
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $717,718,441)++................................ $653,254,411
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $721,218,465.
</TABLE>
See accompanying Notes to Financial Statements.
145
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THE U.S. 9-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
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<S> <C> <C>
COMMON STOCKS -- (97.0%)
*@plan, Inc........................................... 15,000 $ 90,937
*@track Communications, Inc........................... 222,700 633,303
*1-800 CONTACTS, Inc.................................. 25,800 738,525
*3-D Systems Corp..................................... 100,000 1,178,125
*3Dfx Interactive, Inc................................ 54,947 406,951
*3DO Co............................................... 222,800 1,246,287
*4Front Software International, Inc................... 78,700 1,099,341
*800-Jr Cigar, Inc.................................... 14,800 148,462
*8X8, Inc............................................. 110,400 845,250
*A Consulting Team, Inc............................... 9,100 59,719
*A.C. Moore Arts & Crafts, Inc........................ 39,000 224,859
*Aames Financial Corp................................. 580 471
*AAON, Inc............................................ 53,800 1,309,694
*Aastrom Biosciences, Inc............................. 42,300 111,698
*Abaxis, Inc.......................................... 120,300 748,116
ABC Bancorp........................................... 70,170 697,314
*ABC Rail Products Corp............................... 163,900 1,029,497
Abington Bancorp, Inc................................. 36,800 342,700
*Abiomed, Inc......................................... 41,000 1,565,687
*Able Telcom Holding Corp............................. 104,200 198,631
*Ablest, Inc.......................................... 13,500 66,656
Abrams Industries, Inc................................ 17,100 65,194
*Abraxas Petroleum Corp............................... 50,000 74,500
*Acacia Research Corp................................. 63,200 999,350
*Accelr8 Technology Corp.............................. 76,500 100,406
*Acceptance Insurance Companies, Inc.................. 110,500 566,312
*Access Worldwide Communications, Inc................. 74,000 99,437
*Acclaim Entertainment, Inc........................... 145,900 348,792
*Ace Cash Express, Inc................................ 87,100 1,257,506
*Ace Comm Corp........................................ 78,100 431,991
Aceto Corp............................................ 53,000 566,437
*Acme Electric Corp................................... 43,600 361,062
*Acme United Corp..................................... 28,707 68,179
*Acorn Products, Inc.................................. 14,600 22,812
*ACT Networks, Inc.................................... 88,900 1,036,241
*Action Performance Companies, Inc.................... 34,300 275,472
*Actionpoint, Inc..................................... 45,800 455,137
*Active Apparel Group, Inc............................ 5,600 22,925
*Active Voice Corp.................................... 59,300 398,422
*Activision, Inc...................................... 79,700 494,389
*Actrade International, Ltd........................... 66,000 998,250
*Adac Laboratories.................................... 14,700 283,434
*adam.com, Inc........................................ 42,100 152,612
Adams Resources & Energy, Inc......................... 74,150 1,228,109
*ADE Corp............................................. 84,500 1,293,906
*Adept Technology, Inc................................ 82,800 1,733,625
*Administaff, Inc..................................... 61,600 3,199,350
*Advance Lighting Technologies, Inc................... 66,300 694,078
*Advanced Aerodynamics & Structures, Inc.............. 8,300 29,180
*Advanced Digital Information Corp.................... 76,400 966,937
*Advanced Magnetics, Inc.............................. 58,000 391,500
Advanced Marketing Services, Inc...................... 88,050 1,626,173
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Advanced Neuromodulation Systems, Inc................ 98,928 $ 1,211,868
*Advanced Nutraceuticals, Inc......................... 1,900 2,939
*Advanced Photonix, Inc. Class A...................... 32,200 60,375
*Advanced Polymer Systems, Inc........................ 163,000 560,312
*Advanced Technical Products, Inc..................... 4,900 20,519
*Advanced Tissue Sciences, Inc........................ 128,900 505,530
*Advantica Restaurant Group, Inc...................... 329,000 241,609
Advest Group, Inc..................................... 73,900 1,413,337
*Aehr Test Systems.................................... 58,400 346,750
*AEP Industries, Inc.................................. 61,750 1,020,805
*Aeroflex, Inc........................................ 52,452 1,888,272
*Aerosonic Corp....................................... 34,200 333,450
*Aerovox, Inc......................................... 51,900 167,053
*Aetrium, Inc......................................... 73,600 397,900
*Affinity Technology Group, Inc....................... 2,100 1,542
*Aftermarket Technology Corp.......................... 52,900 312,441
*AG Services America, Inc............................. 45,000 734,062
*Ag-Chem Equipment Co., Inc........................... 64,800 413,100
*Agribiotech, Inc..................................... 26,100 848
*Agritope, Inc........................................ 16,500 46,922
*AHL Services, Inc.................................... 104,100 800,269
*AHT Corp............................................. 92,100 109,369
*Air Methods Corp..................................... 66,000 231,000
*Airnet Systems, Inc.................................. 56,800 253,825
*Akorn, Inc........................................... 158,300 1,268,873
*Aksys, Ltd........................................... 75,900 595,341
Alabama National Bancorporation....................... 32,300 611,681
Alamo Group, Inc...................................... 64,800 773,550
*Alaris Medical, Inc.................................. 82,600 118,737
*Alcide Corp.......................................... 18,000 245,250
*Aldila, Inc.......................................... 99,700 160,455
*Alexion Pharmaceuticals, Inc......................... 81,400 3,034,694
Alico, Inc............................................ 60,400 928,650
*Align-Rite International, Inc........................ 35,700 736,312
*All American Semiconductor, Inc...................... 24,340 252,527
*Allcity Insurance Co................................. 200 1,487
Allegiant Bancorp, Inc................................ 1,800 16,369
Allen Organ Co. Class B............................... 4,700 302,269
Alliance Bancorp...................................... 71,800 1,267,719
Alliance Bancorp of New England, Inc.................. 399 3,067
*Alliance Gaming Corp................................. 90,568 138,682
*Alliance Pharmaceuticals Corp........................ 212,600 1,827,031
*Alliance Semiconductor Corp.......................... 14,200 351,450
*Allied Healthcare Products, Inc...................... 66,800 221,275
*Allied Holdings, Inc................................. 68,635 437,548
Allied Products Corp.................................. 101,800 133,612
*Allied Research Corp................................. 41,040 318,060
*Allin Communications Corp............................ 53,300 126,587
*Allou Health & Beauty Care, Inc. Class A............. 40,500 278,437
*Allstars Systems, Inc................................ 35,000 78,750
*Alltrista Corp....................................... 58,100 1,427,081
*Almost Family, Inc................................... 11,500 29,109
*Alpha Microsystems, Inc.............................. 89,300 343,247
*Alpha Technologies Group, Inc........................ 107,200 934,650
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Alphanet Solutions, Inc.............................. 53,900 $ 249,287
*Alpine Group, Inc.................................... 124,800 826,800
*Alteon, Inc.......................................... 125,300 199,697
*Alternative Resources Corp........................... 157,300 221,203
*Alterra Healthcare Corp.............................. 189,900 367,931
*Alyn Corp............................................ 95,500 62,672
Ambanc Holding Co., Inc............................... 49,400 714,756
*Ambassadors, Inc..................................... 84,900 1,154,109
*AMBI, Inc............................................ 35,600 101,237
*AMC Entertainment, Inc............................... 69,700 331,075
Amcast Industrial Corp................................ 77,000 664,125
*Amedisys, Inc........................................ 13,700 27,828
*America Services Group, Inc.......................... 29,000 464,000
*American Aircarriers Support, Inc.................... 18,800 88,712
American Bancorporation Ohio.......................... 800 11,075
American Bank of Connecticut.......................... 27,000 529,875
American Biltrite, Inc................................ 57,850 762,897
*American Claims Evaluation, Inc...................... 3,100 6,781
*American Classic Voyages Co.......................... 14,000 266,437
*American Coin Merchandising, Inc..................... 44,300 116,287
*American Dental Partners, Inc........................ 59,200 440,300
*American Dental Technologies, Inc.................... 2,000 2,625
*American Ecology Corp................................ 82,700 284,281
*American Educational Products, Inc................... 2,760 24,495
*American Healthcorp, Inc............................. 68,700 274,800
*American Homepatient, Inc............................ 1,436 474
*American Homestar Corp............................... 133,718 131,629
*American Indemnity Financial Escrow.................. 16,700 16,700
*American Locker Group, Inc........................... 35,200 240,900
*American Medical Electronics, Inc. (Escrow-Bonus).... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 102,100 0
*American Medical Security Group, Inc................. 92,200 605,062
*American Pacific Corp................................ 73,500 438,703
*American Physicians Services Group, Inc.............. 46,800 144,056
*American Retirement Corp............................. 48,800 268,400
*American Science & Engineering, Inc.................. 75,000 375,000
*American Shared Hospital Services.................... 21,900 64,331
*American Skiing Co................................... 78,500 137,375
*American Software, Inc. Class A...................... 154,000 608,781
American States Water Company......................... 13,600 405,450
*American Superconductor Corp......................... 65,600 1,760,950
*American Technical Ceramics Corp..................... 42,400 1,452,200
*American Wagering, Inc............................... 45,000 150,469
American Woodmark Corp................................ 68,800 1,300,750
Americana Bancorp, Inc................................ 20,350 234,025
*Amerihost Properties, Inc............................ 63,600 220,612
*Ameripath, Inc....................................... 183,200 1,571,512
*Ameristar Casinos, Inc............................... 132,250 524,867
Ameron, Inc........................................... 24,500 900,375
*AMF Bowling, Inc..................................... 8,300 7,781
*Amistar Corp......................................... 28,300 63,233
*AML Communications, Inc.............................. 54,800 169,537
Ampco-Pittsburgh Corp................................. 82,500 912,656
*Ampex Corp. Class A.................................. 332,100 581,175
Amplicon, Inc......................................... 72,800 723,450
*Amrep Corp........................................... 63,610 413,465
*Amresco, Inc......................................... 116,000 67,062
*Amsurg Corp. Class A................................. 6,331 38,382
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Amsurg Corp. Class B................................. 41,100 $ 247,884
*Amtran, Inc.......................................... 91,700 1,298,128
Amwest Insurance Group, Inc........................... 56,688 276,354
*Analytical Surveys, Inc.............................. 58,700 203,616
*Anaren Microwave, Inc................................ 29,200 2,946,462
*Andersen Group, Inc.................................. 15,000 150,937
Andersons, Inc........................................ 43,000 378,937
Andover Bancorp, Inc.................................. 54,900 1,595,531
*Andrea Electronics Corp.............................. 114,500 772,875
*Anesta Corp.......................................... 98,800 1,460,387
*Angeion Corp......................................... 25,880 35,585
Angelica Corp......................................... 85,700 578,475
*Anicom, Inc.......................................... 169,900 841,536
*Anika Therapeutics, Inc.............................. 64,800 159,975
*Ansoft Corp.......................................... 100,900 873,416
*Ansys, Inc........................................... 138,600 1,520,269
*Anthony and Sylvan Pools Corp........................ 35,649 291,884
*APAC Teleservices, Inc............................... 6,300 55,716
*Aphton Corp.......................................... 55,600 1,136,325
Apogee Enterprises, Inc............................... 238,600 969,312
*Applied Analytical Industries, Inc................... 40,300 310,436
*Applied Extrusion Technologies, Inc.................. 101,300 595,137
*Applied Films Corp................................... 23,300 535,900
*Applied Graphics Technologies, Inc................... 122,800 425,962
*Applied Imaging Corp................................. 7,500 18,281
*Applied Innovation, Inc.............................. 132,300 913,697
*Applied Microsystems Corp............................ 59,200 329,300
*Applied Science & Technology, Inc.................... 5,100 103,594
Applied Signal Technologies, Inc...................... 75,000 759,375
*Applix, Inc.......................................... 96,500 572,969
*Aquila Biopharmaceuticals, Inc....................... 57,274 134,236
*Aradigm Corp......................................... 122,800 1,715,362
*Arch Capital Group, Ltd.............................. 8,600 129,806
*Arch Communications Group, Inc....................... 17,666 88,882
*Arguss Holdings, Inc................................. 29,300 488,944
*ARI Network Services, Inc............................ 52,900 163,659
*Ariad Pharmaceuticals, Inc........................... 191,500 1,570,898
*Ariel Corp........................................... 110,400 300,150
*ARIS Corp............................................ 26,600 95,594
*Ark Restaurants Corp................................. 21,400 167,856
*Arkansas Best Corp................................... 159,000 1,758,937
*Armor Holdings, Inc.................................. 58,500 639,844
*Aronex Pharmaceuticals, Inc.......................... 197,100 498,909
*Arqule, Inc.......................................... 112,900 776,187
*Arrhythmia Research Technology, Inc.................. 11,375 19,906
Arrow Financial Corp.................................. 60,750 911,250
*Artisan Components, Inc.............................. 66,300 517,969
*Artisoft, Inc........................................ 109,600 1,143,950
*Arts Way Manufacturing Co., Inc...................... 100 400
*ARV Assisted Living, Inc............................. 127,000 123,031
*Asante Technologies, Inc............................. 45,600 66,975
ASB Financial Corp.................................... 4,500 39,516
*Ascent Assurance, Inc................................ 623 1,032
*Asche Transportation Services, Inc................... 33,500 60,719
*Ashworth, Inc........................................ 121,100 518,459
*ASI Solutions, Inc................................... 10,900 69,487
*Aspect Development, Inc.............................. 1,687 98,426
*Aspeon, Inc.......................................... 77,100 430,073
*Assisted Living Concepts, Inc........................ 78,800 73,875
Associated Materials, Inc............................. 1,300 20,150
*Astea International, Inc............................. 81,700 179,995
Astro-Med, Inc........................................ 58,175 341,778
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Astronics Corp....................................... 36,181 $ 316,584
*AstroPower, Inc...................................... 40,500 558,141
*ASV, Inc............................................. 56,850 701,742
*Atchison Casting Corp................................ 43,500 307,219
*ATG, Inc............................................. 37,400 81,812
*Athey Products Corp.................................. 31,085 66,056
*Atlanta Sosnoff Capital Corp......................... 44,200 425,425
*Atlantic American Corp............................... 155,325 485,391
*Atlantic Data Services, Inc.......................... 111,300 459,112
*Atlantic Premium Brands, Ltd......................... 25,400 69,850
*Atlantis Plastics, Inc............................... 36,800 257,600
*Atrion Corp.......................................... 16,400 194,750
*Atrix Labs, Inc...................................... 98,900 723,206
*ATS Medical, Inc..................................... 154,900 1,544,159
*Audiovox Corp. Class A............................... 20,600 389,469
*Ault, Inc............................................ 37,700 220,309
*Aurora Biosciences Corp.............................. 98,600 4,674,256
*Aurora Foods, Inc.................................... 3,200 11,400
*Auspex Systems, Inc.................................. 131,900 630,647
*Autobond Acceptance Corp............................. 13,400 1,976
*Autoimmune, Inc...................................... 21,500 27,883
*Autologic Information International, Inc............. 29,300 79,659
*Autote Corp. Class A................................. 288,000 882,000
*Avalon Holding Corp. Class A......................... 15,475 60,933
*Avant Immunotherapeutics, Inc........................ 197,610 963,349
*Avatar Holdings, Inc................................. 38,000 751,687
Avert, Inc............................................ 28,000 552,125
*Avi Biopharma, Inc................................... 34,500 338,531
*Aviall, Inc.......................................... 111,100 597,162
*Aviation Sales Co.................................... 45,500 304,281
*Avigen, Inc.......................................... 64,800 1,935,900
*Avteam, Inc. Class A................................. 90,900 180,380
*Axsys Technologies, Inc.............................. 33,600 493,500
*Axys Pharmaceuticals, Inc............................ 296,815 1,150,158
Aztec Manufacturing Co................................ 55,826 893,216
Badger Meter, Inc..................................... 64,600 2,051,050
*Badger Paper Mills, Inc.............................. 200 869
Bairnco Corp.......................................... 105,400 757,562
Baker (J.), Inc....................................... 120,900 770,737
*Baker (Michael) Corp................................. 72,214 469,391
*Baker (Michael) Corp. Class B........................ 15,400 100,100
Balchem Corp.......................................... 22,600 230,237
*Baldwin Piano & Organ Co............................. 37,900 229,769
*Baldwin Technology, Inc. Class A..................... 135,000 286,875
*Ballantyne Omaha, Inc................................ 145,635 354,985
*Baltek Corp.......................................... 21,562 160,367
Bancfirst Ohio Corp................................... 44,300 688,034
*Bancinsurance Corp................................... 39,480 162,855
Bancorp Connecticut, Inc.............................. 29,980 440,331
Bangor Hydro-Electric Co.............................. 63,300 941,587
Bank of The Ozarks.................................... 3,800 63,412
*Bank Plus Corp....................................... 156,000 433,875
*Bank United Financial Corp. Class A.................. 136,000 875,500
Bank West Financial Corp.............................. 3,200 20,600
BankAtlantic Bancorp, Inc. Class A.................... 1,935 7,377
BankAtlantic Bancorp, Inc. Class B.................... 27,800 158,981
*BankFirst Corp....................................... 19,800 155,925
*Barnett, Inc......................................... 139,700 1,322,784
*Barnwell Industries, Inc............................. 11,800 160,037
*Barrett Business Services, Inc....................... 63,500 353,219
*Barringer Technologies, Inc.......................... 60,600 373,069
<CAPTION>
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<S> <C> <C>
*Barry (R.G.) Corp.................................... 178,235 $ 612,683
*Base Ten Systems, Inc................................ 12,020 13,335
*Basin Exploration, Inc............................... 25,400 422,275
Bassett Furniture Industries, Inc..................... 60,900 744,122
Bay View Capital Corp................................. 107,100 1,084,387
*Baycorp Holdings, Ltd................................ 55,800 453,375
*Bayou Steel Corp. Class A............................ 91,200 205,200
*BCT International, Inc............................... 23,700 31,106
*Be Aerospace, Inc.................................... 37,100 256,222
*Beard Co............................................. 26,533 48,091
Beauticontrol Cosmetics, Inc.......................... 54,800 196,937
*Beazer Homes USA, Inc................................ 75,700 1,390,987
*BEI Electronics, Inc................................. 42,800 56,844
BEI Technologies, Inc................................. 64,200 1,139,550
*Bel Fuse, Inc. Class A............................... 43,250 786,609
Bel Fuse, Inc. Class B................................ 94,750 1,702,539
*Belco Oil & Gas Corp................................. 36,800 287,500
Bell Industries, Inc.................................. 82,672 217,014
*Bell Microproducts, Inc.............................. 80,300 1,038,881
*Bellwether Exploration Co............................ 121,800 1,037,203
*Benihana, Inc........................................ 11,500 170,344
*Benihana, Inc. Class A............................... 1,400 20,562
*Bentley Pharmaceuticals, Inc......................... 81,150 517,331
*Benton Oil & Gas Co.................................. 222,100 610,775
Berkshire Energy Resources............................ 8,300 310,212
*Berlitz International, Inc........................... 67,400 749,825
*Bethlehem Corp....................................... 200 162
*Beyond.com Corp...................................... 77,400 120,937
BHA Group Holdings, Inc. Class A...................... 84,954 860,159
*BI, Inc.............................................. 85,900 456,344
*Big 4 Ranch, Inc..................................... 35,000 0
*Big City Radio, Inc.................................. 15,950 72,772
Big Dog Holdings, Inc................................. 400 1,800
*Billing Information Concepts Corp.................... 339,000 1,573,172
*Bio Vascular, Inc.................................... 77,200 224,362
*Bioanalytical Systems, Inc........................... 6,600 17,325
*Bio-Logic Systems Corp............................... 34,900 202,856
*Biomerica, Inc....................................... 26,100 39,966
*Bionova Holdings Corp................................ 6,300 12,600
*Bionx Implants, Inc.................................. 92,500 202,344
*Bio-Plexus, Inc...................................... 13,200 32,175
*BioReliance Corp..................................... 27,000 135,844
*Biosite Diagnostics, Inc............................. 102,600 2,318,119
*Biosource International, Inc......................... 71,000 483,687
*Biospecifics Technologies Corp....................... 38,900 105,759
*Biospherics, Inc..................................... 86,800 537,075
*BioTransplant, Inc................................... 96,600 579,600
Birmingham Steel Corp................................. 184,300 714,162
*Bitstream, Inc....................................... 44,200 227,906
*Black Hawk Gaming & Development, Inc................. 18,500 126,609
Blair Corp............................................ 70,100 1,349,425
*BLC Financial Services, Inc.......................... 5,000 9,375
Blimpie International................................. 55,300 89,862
*Blonder Tongue Laboratories, Inc..................... 58,200 400,125
*Blue Rhino Corp...................................... 30,100 258,672
*Blue Wave Systems, Inc............................... 20,700 228,347
*Bluegreen Corp....................................... 166,229 519,466
BMC Industries, Inc................................... 156,900 598,181
*Boca Research, Inc................................... 90,200 490,462
*Bogen Communications International, Inc.............. 16,700 103,853
</TABLE>
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*Bolder Technologies Corp............................. 102,400 $ 587,200
*Bolt Technology Corp................................. 46,300 208,350
*Bombay Co., Inc...................................... 298,100 950,194
*Bonded Motors, Inc................................... 14,000 2,537
*Bone Care International, Inc......................... 40,500 796,078
*Bontex, Inc.......................................... 2,200 5,294
*Bon-Ton Stores, Inc.................................. 103,200 230,587
*Books-a-Million, Inc................................. 155,400 529,331
*Boron, Lepore and Associates, Inc.................... 103,400 791,656
Boston Acoustics, Inc................................. 57,450 610,406
*Boston Beer Company, Inc. Class A.................... 128,400 1,091,400
*Boston Biomedical, Inc............................... 12,900 47,166
*Boston Communications Group, Inc..................... 143,000 1,470,219
Boston Private Financial Holdings, Inc................ 32,800 321,850
Bostonfed Bancorp, Inc................................ 38,700 507,937
*Boundless Corp....................................... 3,400 24,225
Bowl America, Inc. Class A............................ 56,160 435,240
*Bradley Pharmaceuticals, Inc. Class A................ 14,300 15,864
*Brass Eagle, Inc..................................... 61,300 298,837
*Brauns Fashions Corp................................. 50,900 1,132,525
*Breed Technologies, Inc.............................. 5,600 1,330
Brenton Banks, Inc.................................... 39,480 396,034
*Bridgestreet Accomodations, Inc...................... 27,100 74,525
Bridgford Foods Corp.................................. 93,167 986,988
*Brigham Exploration Co............................... 26,900 70,612
*BrightStar Information Technology Group, Inc......... 48,800 189,100
*Brilliant Digital Entertainment, Inc................. 112,900 649,175
*Britesmile, Inc...................................... 115,500 855,422
*Broadview Media, Inc................................. 15,800 22,959
*Brookdale Living Communities......................... 100,200 1,365,225
*Brooks Automation, Inc............................... 56,700 2,260,912
*Brookstone, Inc...................................... 70,300 997,381
*Brooktrout Technology, Inc........................... 88,450 1,995,653
*Brown & Sharpe Manufacturing Co. Class A............. 110,600 248,850
Brown Shoe Company, Inc............................... 65,300 779,519
*Brunswick Technologies, Inc.......................... 44,900 394,278
Bryn Mawr Bank Corp................................... 2,800 57,225
BSB Bancorp, Inc...................................... 136,006 2,596,865
*BTG, Inc............................................. 58,200 472,875
*BTU International, Inc............................... 56,900 492,541
*Buckhead America Corp................................ 3,500 17,719
*Budget Group, Inc.................................... 255,300 973,331
*Builders Transport, Inc.............................. 29,100 1,600
*Building Materials Holding Corp...................... 109,200 1,013,512
*Bull Run Corp. GA.................................... 207,300 592,748
*Burlington Industries, Inc........................... 408,000 1,351,500
*Burns International Services Corp.................... 15,000 174,375
Bush Industries, Inc. Class A......................... 84,100 1,434,956
*Business Resource Group.............................. 35,700 222,009
*Butler International, Inc............................ 81,700 668,923
Butler Manufacturing Co............................... 42,900 957,206
*BWAY Corp............................................ 83,550 600,516
*C.P. Clare Corp...................................... 82,500 541,406
*Cache, Inc........................................... 80,125 300,469
*Caci International, Inc. Class A..................... 89,900 1,772,716
Cadmus Communications Corp............................ 77,500 673,281
Cagle's, Inc. Class A................................. 104,900 891,650
*Caliber Learning Network, Inc........................ 107,100 291,178
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*California Amplifier, Inc............................ 42,900 $ 966,591
*California Coastal Communities, Inc.................. 57,800 330,544
*California Micro Devices Corp........................ 89,700 1,269,816
*Callon Petroleum Co.................................. 105,400 1,607,350
*Calloways Nursery, Inc............................... 1,700 2,072
Cal-Maine Foods, Inc.................................. 65,900 220,353
*Calton Inc........................................... 23,000 30,187
*Cambridge Heart, Inc................................. 114,700 283,166
Camco Financial Corp.................................. 9,371 84,339
*Cameron Ashley Building Products, Inc................ 74,900 1,352,881
Cameron Financial Corp................................ 13,200 155,512
*Candela Laser Corp................................... 95,200 966,875
*Candies, Inc......................................... 111,000 150,891
*Canisco Resources, Inc............................... 8,600 4,644
*Cannon Express, Inc. Class A......................... 9,650 18,697
*Cannondale Corp...................................... 73,200 526,125
*Cantel Industries, Inc. Class B...................... 29,900 196,219
*Canterbury Information Technology, Inc............... 39,500 104,922
*Capital Associates, Inc.............................. 26,850 15,103
*Capital Corp. of the West............................ 6,700 65,744
*Capital Crossing Bank................................ 50,700 519,675
*Capital Pacific Holdings, Inc........................ 85,000 233,750
*Capital Senior Living Corp........................... 158,300 375,962
*Capital Trust, Inc................................... 42,000 162,750
Capitol Bancorp, Ltd.................................. 39,500 444,375
Capitol Transamerica Corp............................. 65,745 739,631
*Carbide/Graphite Group, Inc.......................... 71,400 305,681
*Cardiac Pathways Corp................................ 16,120 63,472
*Cardima, Inc......................................... 19,500 23,766
*Caredata.com, Inc.................................... 55,200 220,800
*Career Blazers, Inc. Trust Units..................... 4,360 0
*CareerEngine Network, Inc............................ 15,500 28,094
*Carematrix, Inc...................................... 57,400 42,153
*Carey International, Inc............................. 37,900 351,759
*Caribiner International, Inc......................... 203,700 152,775
*Carlyle Industries, Inc.............................. 13,397 7,117
*Carmike Cinemas, Inc. Class A........................ 85,400 453,687
*Carreker-Antinori, Inc............................... 151,700 1,649,737
*Carriage Services, Inc. Class A...................... 105,000 301,875
*Carrington Laboratories, Inc......................... 76,600 169,956
*Carson, Inc.......................................... 78,400 318,500
Cascade Corp.......................................... 98,300 1,105,875
Cascade Natural Gas Corp.............................. 94,900 1,684,475
*Casella Waste Systems, Inc. Class A.................. 43,944 571,272
*Casino Data Systems.................................. 140,600 621,716
*Castle & Cooke, Inc.................................. 1,100 20,487
Castle (A.M.) & Co.................................... 58,250 724,484
*Castle Dental Centers, Inc........................... 26,000 63,375
Castle Energy Corp.................................... 41,000 247,922
*Catalina Lighting, Inc............................... 60,600 242,400
*Catalyst International, Inc.......................... 62,800 392,500
Cato Corp. Class A.................................... 24,900 308,916
Catskill Financial Corp............................... 9,300 153,450
Cavalier Homes, Inc................................... 153,500 230,250
CB Bancshares, Inc. HI................................ 2,818 70,098
*CB Richard Ellis Services, Inc....................... 33,600 338,100
*CCA Industries, Inc.................................. 34,700 35,784
CCBT Financial Companies, Inc......................... 74,000 1,089,187
*CD Warehouse, Inc.................................... 5,600 8,662
*CDNOW/N2K, Inc....................................... 6,400 19,000
</TABLE>
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<TABLE>
<CAPTION>
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*Celadon Group, Inc................................... 69,000 $ 933,656
*Celebrity, Inc....................................... 13,500 30,586
*Celeris Corporation.................................. 29,766 82,322
*Celeritek, Inc....................................... 54,200 2,606,681
*Cell Genesys, Inc.................................... 129,505 2,318,949
*Cell Pathways, Inc................................... 20,170 407,812
*Cellegy Pharmaceuticals, Inc......................... 61,300 296,922
*Cel-Sci Corp......................................... 23,700 71,100
Cenit Bancorp, Inc.................................... 27,200 302,600
*Centennial Bancorp................................... 154,986 1,331,911
*CenterSpan Communication Corp........................ 34,800 492,637
*Centigram Communications Corp........................ 52,300 982,259
Central Bancorp, Inc.................................. 10,000 162,812
*Central Garden & Pet Co.............................. 50,200 572,594
Central Vermont Public Service Corp................... 98,600 1,078,437
Century Aluminum Co................................... 107,500 1,098,516
Century Bancorp Income Class A........................ 7,600 103,550
*Ceradyne, Inc........................................ 115,100 949,575
Cerberonics, Inc. Class A............................. 3,500 16,406
*Ceres Group, Inc..................................... 57,600 342,000
*Cerprobe Corp........................................ 69,800 863,775
*CFM Technologies, Inc................................ 61,100 477,344
*Chad Therapeutics.................................... 9,300 8,137
Champion Industries, Inc.............................. 83,500 237,453
*Champps Entertainment, Inc........................... 100,200 391,406
*Charles and Colvard, Ltd............................. 55,400 342,787
*Chart House Enterprises, Inc......................... 92,400 490,875
Chart Industries, Inc................................. 88,200 385,875
*Charter Federal Savings Bank (Escrow)................ 43,340 0
Chase Corp............................................ 24,200 257,125
*Chase Industries, Inc................................ 90,750 839,437
*Chattem, Inc......................................... 81,800 976,487
*Chaus (Bernard), Inc................................. 15,260 12,399
*Check Technology Corp................................ 52,900 269,459
*Chemfab Corp......................................... 141,300 1,413,000
*Cherokee, Inc........................................ 3,200 22,900
*Cherry Corp.......................................... 40,500 815,062
*Chesapeake Biological Laboratories, Inc. Class A..... 29,800 77,294
Chesapeake Utilities Corp............................. 43,875 776,039
Chester Valley Bancorp................................ 6,201 111,424
Chicago Rivet & Machine Co............................ 20,000 445,000
*Chicos Fas, Inc...................................... 122,500 2,216,484
*Children's Comprehensive Services, Inc............... 64,250 144,562
*Childtime Learning Centers, Inc...................... 31,700 213,975
*Cholestech Corp...................................... 100,400 753,000
*Chromcraft Revington, Inc............................ 112,000 1,246,000
*Chronimed, Inc....................................... 104,300 684,469
*CHS Electronics, Inc................................. 30,000 375
*Chyron Corp.......................................... 199,400 498,500
*CIDCO, Inc........................................... 113,700 348,206
*Cima Laboratories, Inc............................... 87,600 1,289,362
*Ciprico, Inc......................................... 42,800 462,775
*Circuit City Stores, Inc. (Carmax Group)............. 207,600 557,925
*Circuit Systems, Inc................................. 30,900 29,452
*Citadel Holding Corp. Class A........................ 40,560 126,750
*Citation Computer System, Inc........................ 32,000 115,500
*Citation Holding Corp. Class B....................... 10,140 31,687
*Citizens, Inc. Class A............................... 127,109 778,543
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
City Holding Co....................................... 8,600 $ 85,462
*Civic Bancorp........................................ 43,757 613,965
CKE Restaurants, Inc.................................. 373,600 1,237,550
*Clark (Dick) Productions, Inc........................ 19,842 252,997
*Clark/Bardes Holdings, Inc........................... 23,000 337,812
*Clean Harbors, Inc................................... 82,400 151,925
*click2learn.com, Inc................................. 84,400 1,007,525
*ClickAction, Inc..................................... 62,100 809,241
*Clintrials Research, Inc............................. 154,200 498,741
*Closure Medical Corp................................. 11,100 186,966
CMI Corp. Class A..................................... 264,699 942,990
CNBT Bancshares, Inc.................................. 42,300 518,175
*CNS, Inc............................................. 117,400 469,600
CNY Financial Corp.................................... 14,300 265,891
Coachmen Industries, Inc.............................. 3,100 37,006
*Coast Dental Services, Inc........................... 58,400 119,537
*Coast Distribution System............................ 43,600 92,650
Coastal Bancorp, Inc.................................. 50,500 760,656
*Coastcast Corp....................................... 66,300 1,267,987
*Cobalt Group, Inc.................................... 14,900 96,850
*Cobra Electronic Corp................................ 125,100 688,050
*Coeur d'Alene Mines Corp. ID......................... 223,200 544,050
*Cognitronics Corp.................................... 86,175 883,294
*Cohesion Technologies, Inc........................... 64,700 683,394
*Coinmach Laundry Corp................................ 109,100 1,476,259
*Coinstar, Inc........................................ 40,400 374,331
Cold Metal Products, Inc.............................. 51,800 194,250
*Coldwater Creek, Inc................................. 59,900 1,375,828
Cole National Corp. Class A........................... 86,800 547,925
*Collagenex Pharmaceuticals, Inc...................... 65,600 658,050
Collins Industries, Inc............................... 86,325 410,044
Colorado Business Bankshares, Inc..................... 13,100 170,709
*Colorado Medtech, Inc................................ 104,600 526,269
*Columbia Banking System, Inc......................... 100,300 1,093,897
*Columbia Laboratories, Inc........................... 79,700 757,150
*Columbus Energy Corp................................. 27,656 193,592
Columbus McKinnon Corp................................ 41,600 574,600
*Comarco, Inc......................................... 47,800 1,375,744
*Comdial Corp......................................... 151,433 1,384,192
*Comforce Corp........................................ 129,766 259,532
*Command Systems, Inc................................. 35,600 65,637
Commercial Bancshares, Inc............................ 21,635 382,669
Commercial Bank of New York........................... 25,350 301,031
Commercial National Financial Corp.................... 1,600 25,900
*Commodore Applied Technologies, Inc.................. 132,074 148,583
Commonwealth Bancorp, Inc............................. 42,600 492,562
Commonwealth Industries, Inc.......................... 142,800 879,112
Communications Systems, Inc........................... 118,500 1,621,969
Community Bank System, Inc............................ 60,900 1,385,475
Community Banks, Inc.................................. 491 9,697
Community Bankshares, Inc............................. 2,730 31,736
Community Financial Corp.............................. 11,900 133,131
Community Financial Group, Inc........................ 7,200 94,500
Community First Brokerage Co.......................... 2,400 40,350
Community Savings Bankshares, Inc..................... 61,916 653,988
Community Trust Bancorp, Inc.......................... 19,800 286,481
Community West Bancshares............................. 20,900 128,012
*Competitive Technologies, Inc........................ 109,600 1,315,200
*Comptek Research, Inc................................ 60,400 1,030,575
*Compucom Systems, Inc................................ 24,500 58,953
*Computer Learning Centers, Inc....................... 159,200 154,225
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Computer Motion, Inc................................. 68,600 $ 525,219
*Computer Outsourcing Services, Inc................... 34,300 518,787
Computer Task Group, Inc.............................. 14,200 102,062
*Computrac, Inc....................................... 1,900 1,781
*Computron Software, Inc.............................. 53,800 107,600
*Comshare, Inc........................................ 82,900 316,056
*Comstock Resources, Inc.............................. 200,500 1,503,750
*Comtech Telecommunications Corp...................... 37,250 471,445
*Concentrex, Inc...................................... 41,300 187,141
*Concepts Direct, Inc................................. 3,400 34,850
*Conceptus, Inc....................................... 35,100 172,209
*Concord Camera Corp.................................. 128,100 2,173,697
*Condor Technology Solutions, Inc..................... 77,700 32,780
*Conductus, Inc....................................... 41,300 347,178
*Cone Mills Corp. NC.................................. 219,100 1,259,825
*Congoleum Corp. Class A.............................. 36,000 112,500
Connecticut Water Services, Inc....................... 63,525 1,737,012
*Connitics Corp....................................... 51,600 454,725
*Consolidated Delivery and Logistics, Inc............. 55,900 97,825
*Consolidated Freightways Corp........................ 157,100 716,769
*Consolidated Graphics, Inc........................... 22,000 228,250
Consolidated Tokoma Land Co........................... 23,800 282,625
*Consumer Portfolio Services, Inc..................... 2,000 2,094
*Continental Materials Corp........................... 19,400 335,862
*Converse, Inc........................................ 147,700 87,697
*Cooker Restaurant Corp............................... 67,300 159,837
Cooperative Bankshares, Inc........................... 5,500 53,625
*Copart, Inc.......................................... 63,100 1,114,109
*Copytele, Inc........................................ 96,900 166,547
*Coram Healthcare Corp................................ 12,400 3,286
*Cordiant Communications Group P.L.C. ADR............. 48,864 937,578
*Core Materials Corp.................................. 29,700 46,406
*Core, Inc............................................ 68,100 391,575
*Cornell Corrections, Inc............................. 82,400 597,400
*Correctional Services Corp........................... 92,441 407,318
*Corrpro Companies, Inc............................... 65,150 244,312
*Corsair Communications, Inc.......................... 89,800 2,026,112
*Corvas International, Inc............................ 134,600 849,662
*Corvel Corp.......................................... 12,400 338,675
*Cost-U-Less, Inc..................................... 13,600 22,525
*Cotelligent Group, Inc............................... 121,000 552,062
Cotton States Life Insurance Co....................... 17,200 141,900
Counsel Corp.......................................... 6,400 15,600
Courier Corp.......................................... 47,550 1,230,356
*Covenant Transport, Inc. Class A..................... 107,900 1,109,347
*Cover-All Technologies, Inc.......................... 83,445 57,368
Covest Bancshares, Inc................................ 45,000 468,281
*Covol Technologies, Inc.............................. 27,000 41,344
*Coyote Network Systems, Inc.......................... 99,598 594,476
CPAC, Inc............................................. 49,178 338,099
CPB, Inc.............................................. 27,700 650,950
*C-Phone Corp......................................... 60,300 62,184
*CPI Aerostructures, Inc.............................. 833 2,043
CPI Corp.............................................. 15,400 343,612
Craftmade International, Inc.......................... 68,250 334,852
*Craig (Jenny), Inc................................... 177,900 255,731
*Craig Corp........................................... 43,900 178,344
*Cray, Inc............................................ 164,700 573,877
*Creative Biomolecules, Inc........................... 308,900 1,578,286
*Creative Computers, Inc.............................. 74,800 345,950
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Credit Acceptance Corp............................... 13,300 $ 73,981
*Credit Management Solutions.......................... 25,300 103,572
*Creditrust Corp...................................... 42,800 22,069
*Crescent Operating, Inc.............................. 53,600 78,725
*Criticare Systems, Inc............................... 46,700 102,156
*Cross (A.T.) Co. Class A............................. 113,500 695,187
*Crossman Communities, Inc............................ 89,200 1,580,512
*Crosswalk.com, Inc................................... 43,200 105,300
*Crown Central Petroleum Corp. Class A................ 30,000 271,875
*Crown Central Petroleum Corp. Class B................ 43,000 389,687
Crown Crafts, Inc..................................... 74,000 106,375
*Crown Group, Inc..................................... 11,900 60,987
*Crown Resources Corp................................. 117,700 84,597
*Crown Vantage, Inc................................... 63,700 14,930
*Crown-Andersen, Inc.................................. 11,500 53,187
*Cryolife, Inc........................................ 110,900 1,906,094
*CSP, Inc............................................. 78,928 490,833
*CSS Industries, Inc.................................. 20,200 404,000
*CTB International Corp............................... 53,600 349,237
*CTC Communications Group, Inc........................ 6,750 167,484
Cubic Corp............................................ 54,550 1,091,000
*Cubist Pharmaceuticals, Inc.......................... 104,800 3,006,450
Culp, Inc............................................. 178,580 1,127,286
*Cunningham Graphics International, Inc............... 43,700 957,303
*Curative Health Services, Inc........................ 49,100 264,680
*Cuseeme Networks, Inc................................ 94,000 846,000
*Cutter & Buck, Inc................................... 82,450 829,653
*CVF Technologies Corp................................ 22,800 54,150
*Cyanotech Corp....................................... 3,600 4,781
*Cybercash, Inc....................................... 131,600 567,525
*Cyberian Outpost, Inc................................ 38,600 164,050
*Cyberonics, Inc...................................... 79,600 1,415,387
*Cyberoptics Corp..................................... 38,400 1,431,600
*Cybex International, Inc............................. 74,800 201,025
*Cygnus, Inc.......................................... 114,300 921,544
*Cylink Corp.......................................... 36,100 498,631
*Cyrk, Inc............................................ 135,700 780,275
*Cytrx Corp........................................... 27,700 30,297
*D & K Healthcare Resources, Inc...................... 23,800 270,725
*D A Consulting Group, Inc............................ 56,300 124,036
*Daily Journal Corp................................... 200 5,887
*Daktronics, Inc...................................... 68,300 620,036
*Damark International, Inc. Class A................... 50,600 953,494
*Dan River, Inc. (GA) Class A......................... 168,000 840,000
*Danielson Holding Corp............................... 75,053 356,502
*Daou Systems, Inc.................................... 101,000 142,031
*Darling International, Inc........................... 58,400 69,350
*Data Broadcasting Corp............................... 72,400 331,456
*Data Dimensions, Inc................................. 116,500 211,156
*Data I/O Corp........................................ 65,600 246,000
*Data Race, Inc....................................... 152,100 670,191
Data Research Association, Inc........................ 50,550 260,648
*Data Systems & Software, Inc......................... 65,100 292,950
*Datakey, Inc......................................... 11,700 49,725
*Datalink Corp........................................ 15,000 260,625
*Datamarine International, Inc........................ 200 169
*Dataram Corp......................................... 61,850 1,101,703
*Datastream Systems, Inc.............................. 102,800 1,040,850
*DataTRAK International, Inc.......................... 38,900 211,519
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Dataware Technologies, Inc........................... 88,600 $ 235,344
*Datawatch Corp....................................... 35,500 71,555
*Datron Systems, Inc.................................. 23,200 268,975
*Datum, Inc........................................... 72,600 1,129,837
*Dave and Busters, Inc................................ 111,300 765,187
*Davel Communications, Inc............................ 83,850 145,427
*Davox Corp........................................... 30,400 633,650
*Daw Technologies, Inc................................ 25,200 30,319
*Dawson Geophysical Co................................ 44,700 434,428
*Daxor Corp........................................... 46,000 563,500
*Dayton Superior Corp. Class A........................ 56,100 1,430,550
Deb Shops, Inc........................................ 88,600 1,099,194
*Deckers Outdoor Corp................................. 62,900 212,287
*Decora Industries, Inc............................... 17,600 17,325
Decorator Industries, Inc............................. 20,587 100,362
*Del Global Technologies Corp......................... 67,200 562,800
Del Laboratories, Inc................................. 168,218 1,661,153
*Delco Remy International, Inc........................ 143,700 1,086,731
*Delia's, Inc......................................... 128,100 320,250
*Delta Financial Corp................................. 118,800 207,900
Delta Natural Gas Co., Inc............................ 18,800 283,762
Delta Woodside Industries, Inc........................ 205,200 461,700
*Deltek Systems, Inc.................................. 70,200 752,456
*Denali, Inc.......................................... 33,100 69,820
*Dense-Pac Microsystems, Inc.......................... 165,700 942,419
*Department 56, Inc................................... 21,400 191,262
*DepoMed, Inc......................................... 61,800 231,750
Designs, Inc.......................................... 54,600 83,606
*Detection Systems, Inc............................... 66,186 653,587
*Detrex Corp.......................................... 10,200 49,406
*Devcon International Corp............................ 29,000 193,937
Dewolfe Companies, Inc................................ 6,000 43,500
*Dexterity Surgical, Inc.............................. 8,100 7,847
*Diacrin, Inc......................................... 48,300 329,044
*Diametrics Medical, Inc.............................. 187,500 1,353,516
*Diamond Home Services, Inc........................... 78,500 6,084
*Dianon Systems, Inc.................................. 59,300 1,241,594
*Diedrich Coffee, Inc................................. 111,020 274,081
*Digene Corp.......................................... 72,600 2,159,850
*Digi International, Inc.............................. 132,100 681,141
*Digital Biometrics, Inc.............................. 135,300 477,778
*Digital Courier Technologies, Inc.................... 50,000 220,312
*Digital Generation Systems, Inc...................... 240,300 1,096,369
*Digital Power Corp................................... 16,500 47,437
Dime Community Bancorp, Inc........................... 22,100 359,125
Dimon, Inc............................................ 133,700 300,825
*Diodes, Inc.......................................... 48,200 1,313,450
*Directrix, Inc....................................... 8,950 45,030
*Discount Auto Parts, Inc............................. 95,700 957,000
*Dispatch Management Services Corp.................... 17,000 21,250
*Display Technologies, Inc............................ 26,220 71,286
*Diversified Corporate Resources, Inc................. 18,200 50,050
*Dixie Group, Inc..................................... 91,100 324,544
*Dixon Ticonderoga Co................................. 27,450 101,222
*DocuCorp International, Inc.......................... 57,000 268,078
*Document Sciences Corp............................... 11,800 24,706
*Dominion Homes, Inc.................................. 44,100 282,516
Donegal Group, Inc.................................... 51,920 361,006
*Donna Karan International, Inc....................... 166,300 1,174,494
Donnelly Corp. Class A................................ 59,750 862,641
*Dorsey Trailers, Inc................................. 39,000 31,687
*Dot Hill Systems Corp................................ 1,040 9,100
<CAPTION>
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*Drew Industries, Inc................................. 94,700 $ 662,900
*Drexler Technology Corp.............................. 112,950 1,298,925
*Driver-Harris Co..................................... 23,498 49,933
*DRS Technologies, Inc................................ 83,500 949,812
*Drug Emporium, Inc................................... 107,500 122,617
*Drypers Corp......................................... 48,400 86,969
*DSET Corp............................................ 50,200 950,662
DT Industries, Inc.................................... 86,900 874,431
*DTM Corp............................................. 2,000 4,687
*DualStar Technologies Corp........................... 89,300 365,572
*Duckwall-Alco Stores, Inc............................ 41,200 355,350
*Ducommun, Inc........................................ 82,800 926,325
*Dunn Computer Corp................................... 78,900 151,636
*Duramed Pharmaceuticals, Inc......................... 130,700 673,922
*DVI, Inc............................................. 104,400 1,500,750
*Dwyer Group, Inc..................................... 47,700 119,250
*Dyersburg Corp....................................... 16,000 3,260
*Dynamic Healthcare Technologies, Inc................. 64,200 70,219
*Dynamic Materials Corp............................... 14,700 24,347
*Dynamics Research Corp............................... 71,258 503,260
*E Com Ventures, Inc.................................. 40,400 122,462
*E4L, Inc............................................. 203,878 191,136
Eagle Bancshares, Inc................................. 47,600 556,325
*Eagle Food Centers, Inc.............................. 90,200 93,019
*Eagle Point Software Corp............................ 41,600 192,400
East West Bancorp, Inc................................ 1,200 14,737
Eastern Co............................................ 39,000 502,125
*Eateries, Inc........................................ 25,700 94,769
*ECC International Corp............................... 139,750 419,250
*ECCS, Inc............................................ 6,900 26,845
*Eclipse Surgical Technologies, Inc................... 20,000 68,750
*Eco Soil Systems, Inc................................ 148,100 226,778
*Ecogen, Inc.......................................... 56,900 89,795
Ecology & Environment, Inc. Class A................... 13,900 81,662
*Edac Technologies Corp............................... 12,200 8,769
Edelbrock Corp........................................ 47,200 539,850
*Edge Petroleum Corp. DE.............................. 6,700 20,728
*Edison Control Corp.................................. 7,000 59,719
Edo Corp.............................................. 58,100 374,019
Educational Development Corp.......................... 15,000 40,781
*Educational Insights, Inc............................ 52,300 64,558
*EduTrek International, Inc........................... 19,100 25,666
*eFax.com, Inc........................................ 108,100 114,856
EFC Bancorp, Inc...................................... 15,800 144,175
*EFTC Corp............................................ 133,600 281,812
*Egghead.com, Inc..................................... 44,700 152,958
*eGlobe, Inc.......................................... 128,600 395,847
*Elantec Semiconductor, Inc........................... 96,000 3,663,000
*Elcom International, Inc............................. 143,600 749,412
*Elcotel, Inc......................................... 100,914 187,637
*Elder-Beerman Stores Corp............................ 36,600 166,987
*Electric Fuel Corp................................... 149,300 844,478
*Electro Rent Corp.................................... 18,250 198,469
Electro Sensors, Inc.................................. 2,300 10,925
*Electronic Processing, Inc........................... 25,000 275,000
*Electronic Retailing System International, Inc....... 16,400 10,506
*Elite Information Group, Inc......................... 78,100 497,887
Ellett Brothers, Inc.................................. 44,000 181,500
*E-Loan, Inc.......................................... 155,000 743,516
*eLOT, Inc............................................ 353,200 954,744
</TABLE>
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*Eltrax System, Inc................................... 44,825 $ 215,720
*Embrex, Inc.......................................... 124,600 2,188,287
EMC Insurance Group, Inc.............................. 88,200 711,112
*Emcee Broadcast Products, Inc........................ 30,900 97,528
*Emcor Group, Inc..................................... 78,500 1,741,719
*Emergent Information Technologies, Inc............... 30,900 90,286
*Emerging Vision, Inc................................. 130,500 299,742
*Emeritus Corp........................................ 146,800 431,225
*Emisphere Technologies, Inc.......................... 53,300 2,107,016
Empire Federal Bancorp, Inc........................... 7,600 84,075
*EMS Technologies, Inc................................ 142,199 2,297,403
*En Pointe Technologies, Inc.......................... 53,400 562,369
*Encad, Inc........................................... 101,300 354,550
*Encore Med Corp...................................... 7,700 17,445
*Encore Wire Corp..................................... 125,050 785,470
*Endocardial Solutions, Inc........................... 87,500 727,344
*Endosonics Corp...................................... 152,000 648,375
*Energy Biosystems Corp............................... 17,642 153,816
*Energy Conversion Devices, Inc....................... 92,500 1,688,125
Energynorth, Inc...................................... 32,526 1,919,034
Energysouth, Inc...................................... 51,150 991,031
Enesco Group, Inc..................................... 115,900 463,600
Engineered Support Systems, Inc....................... 60,000 757,500
*Engineering Animation, Inc........................... 48,400 463,581
*Engineering Measurements Co.......................... 35,500 219,656
Engle Homes, Inc...................................... 94,900 910,447
*Enlighten Software Solutions, Inc.................... 12,300 36,516
Ennis Business Forms, Inc............................. 140,900 1,039,137
*Enserch Exploration Corp............................. 277,600 1,422,700
*Entrade, Inc......................................... 30,200 194,412
*Envirogen, Inc....................................... 2,316 6,876
*Environmental Elements Corp.......................... 61,100 84,012
*Environmental Technologies Corp...................... 39,700 545,875
*Environmental Tectonics Corp......................... 58,900 559,550
*EP Medsystems, Inc................................... 4,800 22,200
*Epicor Software Corp................................. 356,500 1,281,172
*Epimmune, Inc........................................ 41,570 231,233
*Epitope, Inc......................................... 122,600 1,275,806
*EPIX Medical, Inc.................................... 13,900 191,559
*ePresence, Inc....................................... 42,700 357,612
*Equimed Inc Nevis.................................... 6,533 0
*Equinox Systems, Inc................................. 46,800 272,025
*Equity Marketing, Inc................................ 50,300 509,287
*Equity Oil Co........................................ 109,700 224,542
*Ergo Science Corp.................................... 72,700 89,739
ESB Financial Corp.................................... 4,006 41,815
*Esco Electronics Corp................................ 101,976 1,797,327
*eShare Communications, Inc........................... 154,900 910,037
Eskimo Pie Corp....................................... 28,600 281,531
Espey Manufacturing & Electronics Corp................ 21,000 301,875
*Esterline Technologies Corp.......................... 55,300 753,462
*European Micro Holdings, Inc......................... 100 650
*Evans & Sutherland Computer Corp..................... 80,800 638,825
*Evans Systems, Inc................................... 6,000 2,719
*Evercel, Inc......................................... 12,466 177,640
*Evergreen Resources, Inc............................. 32,100 881,747
*Evolving Systems, Inc................................ 35,200 137,500
*Exabyte Corp......................................... 181,700 766,547
*Exactech, Inc........................................ 41,000 604,750
*Excalibur Technologies Corp.......................... 68,500 1,973,656
<CAPTION>
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*Excel Legacy Corp.................................... 105,700 $ 303,887
*Excel Technology, Inc................................ 91,722 2,894,976
*eXcelon Corp......................................... 196,000 1,286,250
Exide Corp............................................ 184,200 1,565,700
*Exponent, Inc........................................ 73,000 572,594
*Extended Systems, Inc................................ 10,000 322,500
*EXX, Inc. Class A.................................... 1,900 1,544
*EXX, Inc. Class B.................................... 100 162
Ezcorp, Inc. Class A Non-Voting....................... 92,900 203,219
*E-Z-Em, Inc. Class A................................. 37,000 254,375
*E-Z-Em, Inc. Class B................................. 55,424 356,792
*Ezenia! Inc.......................................... 112,000 504,000
F & M Bancorp (MD).................................... 22,085 381,656
Fab Industries, Inc................................... 45,200 452,000
*Factual Data Corp.................................... 14,100 118,087
*Fairchild Corp. Class A.............................. 133,729 635,213
Falcon Products, Inc.................................. 74,900 739,637
*Family Golf Centers, Inc............................. 44,500 13,906
*Fansteel, Inc........................................ 73,951 295,804
*Farm Family Holdings, Inc............................ 17,600 475,200
*Faro Technologies, Inc............................... 38,900 105,759
*Faroudja, Inc........................................ 36,800 117,300
Farrel Corp........................................... 34,600 56,225
*Fatbrain.com, Inc.................................... 15,000 99,141
FCNB Corp............................................. 54,733 665,348
*Featherlite Manufacturing, Inc....................... 50,200 174,131
Fedders Corp.......................................... 81,500 494,094
Fedders Corp. Class A................................. 13,112 73,755
Federal Screw Works................................... 21,600 899,100
*FEI Co............................................... 110,600 2,001,169
*Female Health Co..................................... 44,000 27,500
FFLC Bancorp.......................................... 21,800 279,312
FFY Financial Corp.................................... 53,700 594,056
*Fibermark, Inc....................................... 65,225 680,786
*Fiberstars, Inc...................................... 25,500 200,016
Fidelity Bancorp, Inc................................. 402 4,774
Fidelity Bancorp, Inc. Delaware....................... 14,700 258,169
Fidelity Bankshares, Inc.............................. 11,600 180,525
*Fidelity Federal Bancorp............................. 21,340 41,346
Fidelity National Corp................................ 67,700 421,009
*Fieldworks, Inc...................................... 4,000 4,125
*Film Roman, Inc...................................... 7,000 7,766
*Finish Line, Inc. Class A............................ 120,600 836,662
*Finishmaster, Inc.................................... 64,800 352,350
*Finlay Enterprises, Inc.............................. 63,100 719,734
First Albany Companies, Inc........................... 6,903 128,582
*First American Health Concepts, Inc.................. 4,200 11,025
*First Aviation Services, Inc......................... 300 2,006
First Bancorp......................................... 1,950 31,687
*First Banks America, Inc............................. 5,879 102,148
First Bell Bancorp, Inc............................... 41,500 592,672
*First Cash, Inc...................................... 74,800 315,562
First Colonial Group, Inc............................. 882 13,395
First Defiance Financial Corp......................... 59,492 492,668
First Essex Bancorp................................... 65,200 1,073,762
First Federal Bancshares of Arkansas, Inc............. 22,900 346,362
First Federal Capital Corp............................ 26,900 286,653
First Federal of East Hartford........................ 26,200 756,525
First Financial Holdings, Inc......................... 114,900 1,798,903
First Franklin Corp................................... 600 5,419
First Indiana Corp.................................... 106,940 1,868,108
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First International Bancorp, Inc...................... 53,100 $ 449,691
*First Investors Financial Services Group, Inc........ 43,200 203,850
First Keystone Financial, Inc......................... 16,500 167,062
First Mariner Bank Corp............................... 15,900 102,356
First Merchants Corp.................................. 24,725 526,952
First Midwest Financial, Inc.......................... 14,400 142,650
First Mutual Bancshares, Inc.......................... 22,143 220,046
First Northern Capital Corp........................... 73,800 984,769
First Oak Brook Bancshares, Inc. Class A.............. 20,000 299,375
*First Republic Bank.................................. 78,800 1,329,750
First Savings Bancorp, Inc. North Carolina............ 26,600 478,800
First SecurityFed Financial, Inc...................... 28,500 324,187
*First Team Sports, Inc............................... 44,450 95,151
First United Corp..................................... 15,500 182,125
First Washington Bancorp, Inc......................... 96,100 1,390,447
First Years, Inc...................................... 89,000 826,031
FirstBank NW Corp..................................... 5,500 55,687
*FirstCity Financial Corp............................. 3,600 7,875
Firstfed America Bancorp, Inc......................... 20,850 242,381
Firstspartan Financial Corp........................... 10,000 175,000
*Firstwave Technologies, Inc.......................... 49,800 176,634
*Fischer Imaging Corp................................. 57,400 154,262
Flag Financial Corp................................... 32,900 173,753
Flagstar Bancorp, Inc................................. 26,600 250,206
Flamemaster Corp...................................... 247 2,231
*Flander Corp......................................... 213,900 762,019
Flanigan's Enterprises, Inc........................... 20,600 82,400
Flexsteel Industries, Inc............................. 61,800 797,606
*Flir Systems, Inc.................................... 82,300 570,956
*Flooring America, Inc................................ 123,200 338,800
*Florida Banks, Inc................................... 22,200 115,856
Florida Public Utilities Co........................... 17,100 250,087
*Florsheim Group, Inc................................. 65,100 160,716
*Flour City International, Inc........................ 3,900 11,212
*Flow International Corp.............................. 164,300 1,699,478
Flushing Financial Corp............................... 82,600 1,192,537
FMS Financial Corp.................................... 200 1,544
FNB Financial Services Corp........................... 6,600 80,850
*Focal, Inc........................................... 120,900 457,153
*Foilmark, Inc........................................ 68,300 262,528
*Foodarama Supermarkets, Inc.......................... 22,000 594,000
Foothill Independent Bancorp.......................... 33,837 327,796
*Fortel, Inc.......................................... 100,200 205,097
*Foster (L.B.) Co. Class A............................ 126,600 423,319
*Fotoball USA, Inc.................................... 10,800 44,550
*Fountain Powerboat Industries, Inc................... 38,200 91,919
*Fourth Shift Corp.................................... 91,500 393,164
*FPIC Insurance Group, Inc............................ 51,800 668,544
Frankfort First Bancorp, Inc.......................... 5,750 68,281
Franklin Bank National Associaton Southfield, MI...... 26,869 231,745
*Franklin Covey Co.................................... 138,300 1,071,825
*Franklin Electronic Publishers, Inc.................. 65,800 427,700
Freds, Inc. Class A................................... 96,350 1,649,994
*French Fragrances, Inc............................... 118,600 911,737
Frequency Electronics, Inc............................ 68,400 1,162,800
*Fresh America Corp................................... 45,000 98,437
*Fresh Choice, Inc.................................... 50,000 180,469
*Fresh Foods, Inc..................................... 50,300 147,756
<CAPTION>
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*Friede Goldman International......................... 27,822 $ 234,748
*Friedman Billings Ramsey Group, Inc. Class A......... 107,200 683,400
Friedman Industries, Inc.............................. 156,803 509,613
Friedmans, Inc. Class A............................... 112,900 680,928
*Friendly Ice Cream Corp.............................. 14,900 71,241
Frisch's Restaurants, Inc............................. 64,568 629,538
Frontier Adjusters of America, Inc.................... 2,700 10,631
*Frontier Airlines, Inc............................... 84,800 1,118,300
Frontier Insurance Group, Inc......................... 102,500 121,719
*Frontier Oil Corp.................................... 239,300 1,675,100
Frozen Food Express Industries, Inc................... 140,300 355,134
FSF Financial Corp.................................... 16,100 199,237
*FSI International, Inc............................... 80,100 1,153,941
*FTI Consulting, Inc.................................. 37,800 354,375
*FuelCell Energy, Inc................................. 37,350 1,620,056
*Funco, Inc........................................... 50,500 1,241,984
*Furr's/Bishop's, Inc................................. 24,800 71,300
*Fusion Medical Technologies, Inc..................... 57,200 731,087
*FVC.COM, Inc......................................... 26,800 150,750
*FX Energy, Inc....................................... 67,900 513,494
GA Financial, Inc..................................... 34,700 407,725
*Gadzooks, Inc........................................ 76,700 1,092,975
Gainsco, Inc.......................................... 164,705 864,701
*Galagen, Inc......................................... 17,600 34,100
*Galey & Lord, Inc.................................... 102,400 249,600
*GameTech International, Inc.......................... 38,200 243,525
Garan, Inc............................................ 39,942 818,811
*Garden Fresh Restaurant Corp......................... 46,600 506,775
*Gardenburger, Inc.................................... 69,400 377,362
*Gardner Denver Machinery, Inc........................ 29,200 511,000
*Gart Sports Co....................................... 9,305 52,922
*Gasonics International, Inc.......................... 88,200 2,403,450
*Gateway Industries, Inc.............................. 11,120 20,502
*GC Companies, Inc.................................... 3,200 84,600
*Geerling & Wade, Inc................................. 33,100 117,919
*Gehl Co.............................................. 47,900 857,709
*Geltex Pharmaceuticals, Inc.......................... 47,500 924,766
*Gencor Industries, Inc............................... 41,700 263,231
*Genelabs Technologies, Inc........................... 350,200 1,187,397
General Binding Corp.................................. 31,800 238,500
*General Chemical Group, Inc.......................... 103,100 99,878
*General Communications, Inc. Class A................. 297,000 1,429,312
*General Datacomm Industries, Inc..................... 165,600 652,050
General Employment Enterprises, Inc................... 43,700 152,950
*General Magic, Inc................................... 257,600 680,225
General Magnaplate Corp............................... 8,500 20,187
*Genesee & Wyoming, Inc............................... 11,900 217,919
Genesee Corp. Class B................................. 800 14,950
*Genesis Health Ventures, Inc......................... 223,200 83,700
Genesis Worldwide, Inc................................ 39,761 39,761
*Genlyte Group, Inc................................... 14,700 299,053
*Genome Therapeutics Corp............................. 129,500 2,011,297
*GenStar Therapeutics Corporation..................... 28,200 130,425
*Gensym Corp.......................................... 53,700 195,502
Gentek, Inc........................................... 143,800 1,941,300
*Genus, Inc........................................... 41,400 227,700
*Genzyme Transgenics Corp............................. 128,000 2,372,000
*Geoworks............................................. 110,100 1,187,016
*Gerber Childrenswear, Inc............................ 70,000 367,500
*Geron Corp........................................... 82,000 1,483,687
</TABLE>
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<TABLE>
<CAPTION>
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*Getty Petroleum Marketing, Inc....................... 119,900 $ 434,637
Getty Realty Corp. (Holding Co.)...................... 68,500 766,344
*Giant Group, Ltd..................................... 38,300 24,536
*Giant Industries, Inc................................ 87,500 771,094
*Giga Information Group, Inc.......................... 80,200 393,481
*Giga-Tronics, Inc.................................... 36,600 276,787
*G-III Apparel Group, Ltd............................. 55,070 254,699
*Gilman & Ciocia, Inc................................. 66,100 353,222
*Gish Biomedical, Inc................................. 74,750 161,180
Glacier Bancorp, Inc.................................. 23,115 295,439
*Glacier Water Services, Inc.......................... 30,600 371,025
*Gliatech, Inc........................................ 79,600 1,490,012
*Global Imaging Systems, Inc.......................... 57,200 518,375
*Global Payment Technologies, Inc..................... 42,700 266,875
*Global Sources, Ltd.................................. 6,287 173,482
*Global Sports, Inc................................... 27,200 147,900
*Global Technologies, Ltd............................. 27,050 100,592
*Global Vacation Group, Inc........................... 87,400 223,962
*Globe Business Resources, Inc........................ 41,300 527,866
*Globecomm Systems, Inc............................... 25,000 272,656
Gold Banc Corp........................................ 84,034 475,317
Golden Enterprises, Inc............................... 61,500 192,187
*Golden State Vintners, Inc........................... 20,000 96,250
*Good Guys, Inc....................................... 174,900 470,044
*Goodrich Petroleum Corp.............................. 6,100 25,925
*Goodys Family Clothing............................... 45,900 251,016
Gorman-Rupp Co........................................ 52,300 911,981
*Gottschalks, Inc..................................... 108,100 547,256
*Government Technology Services, Inc.................. 79,400 240,681
*GP Strategies Corp................................... 92,600 353,037
*Gradco Systems, Inc.................................. 154,986 288,177
*Graham Corp.......................................... 13,450 102,556
*Grand Union Co....................................... 16,400 13,837
Granite State Bankshares, Inc......................... 49,300 813,450
*Graphic Packaging International Corp................. 58,000 199,375
Gray Communications Systems, Inc...................... 39,600 447,975
Great Southern Bancorp, Inc........................... 28,900 485,881
*Green Mountain Coffee, Inc........................... 27,200 489,600
Green Mountain Power Corp............................. 45,800 363,537
*Greenbriar Corp...................................... 34,300 51,450
Greenbrier Companies, Inc............................. 122,500 934,062
*Griffin Land & Nurseries, Inc. Class A............... 23,400 315,900
*Griffon Corp......................................... 110,800 671,725
*Gristede's Sloans, Inc............................... 33,339 66,678
*Group 1 Software, Inc................................ 99,615 1,824,200
*Grow Biz International, Inc.......................... 55,800 272,025
*Grubb & Ellis Co..................................... 169,500 942,844
GS Financial Corp..................................... 6,400 76,800
*GSV, Inc............................................. 47,700 23,850
*GT Interactive Software Corp......................... 42,500 88,984
*GTS Duratek, Inc..................................... 112,800 916,500
*Guaranty Bancshares, Inc............................. 1,600 16,400
Guaranty Federal Bancshares, Inc...................... 16,100 160,497
*Guest Supply, Inc.................................... 107,100 1,880,944
Guilford Mills, Inc................................... 173,600 1,139,250
*Guilford Pharmaceuticals, Inc........................ 65,000 905,937
*Gulf Island Fabrication, Inc......................... 88,800 1,540,125
*Gulfmark Offshore, Inc............................... 69,900 1,507,219
*Gumtech International, Inc........................... 57,600 631,800
*Gundle/SLT Environmental, Inc........................ 129,600 405,000
*Gymboree Corp........................................ 176,800 494,487
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*GZA Geoenvironmental Technologies, Inc............... 17,500 $ 107,187
Haggar Corp........................................... 57,200 663,162
*Hagler Bailly, Inc................................... 35,400 64,162
*Hahn Automotive Warehouse, Inc....................... 36,341 38,612
*Hain Celestial Group, Inc............................ 69,575 2,050,288
*Halifax Corp......................................... 8,650 44,872
*Hall Kinion Associates, Inc.......................... 80,300 2,052,669
Hallmark Capital Corp................................. 15,900 135,150
*Hallwood Group, Inc.................................. 2,653 25,369
*Halsey Drug Co., Inc................................. 133,422 150,100
*Hamilton Bancorp, Inc................................ 80,000 1,375,000
*Hammons (John Q.) Hotels, Inc. Class A............... 55,700 229,762
*Hampshire Group, Ltd................................. 4,900 39,200
*Hampton Industries, Inc.............................. 47,722 89,479
Hancock Fabrics, Inc.................................. 175,100 820,781
*Hanger Orthopedic Group, Inc......................... 114,100 549,106
Harbor Federal Bancorp, Inc........................... 110 1,911
*Harding Lawson Associates Group, Inc................. 43,800 496,856
Hardinge Brothers, Inc................................ 77,500 748,359
Harmon Industries, Inc................................ 97,700 1,306,737
*Harolds Stores, Inc.................................. 40,937 102,342
*Harry's Farmers Market, Inc. Class A................. 20,200 22,725
*Hartmarx Corp........................................ 299,500 673,875
*Harvard Industries, Inc.............................. 12,000 54,375
*Harvey Entertainment Co.............................. 36,000 110,250
*Hastings Entertainment, Inc.......................... 67,000 88,984
Hastings Manufacturing Co............................. 13,700 124,584
*Hathaway Corp........................................ 34,580 123,191
*Hauppauge Digital, Inc............................... 63,400 540,881
*Hauser, Inc.......................................... 20,275 27,878
Haven Bancorp, Inc.................................... 77,600 1,391,950
Haverty Furniture Co., Inc............................ 40,000 450,000
Haverty Furniture Co., Inc. Class A................... 12,000 141,000
*Hawaiian Airlines, Inc............................... 351,400 878,500
*Hawk Corp............................................ 65,000 442,812
*Hawker Pacific Aerospace............................. 50,000 281,250
Hawkins Chemical, Inc................................. 91,300 718,987
*Hawthorne Financial Corp............................. 47,600 386,750
*HD Vest, Inc......................................... 11,600 70,687
*Headway Corporate Resources, Inc..................... 85,100 271,256
*Health Management Systems, Inc....................... 150,300 622,336
*Health Power, Inc.................................... 13,700 60,794
*Health Risk Management, Inc.......................... 38,800 225,525
*Health Systems Design Corp........................... 57,900 325,687
*HealthAxis, Inc...................................... 58,600 309,481
*Healthcare Recoveries, Inc........................... 105,000 365,859
*Healthcare Services Group, Inc....................... 118,200 531,900
*Healthcare.com Corp.................................. 233,500 598,344
*Healthcor Holdings................................... 30,000 1,050
Healthplan Services Corp.............................. 117,998 287,620
*Heartport, Inc....................................... 203,200 641,350
*Hearx, Ltd........................................... 32,800 129,150
*HeavenlyDoor.com, Inc................................ 3,063 4,882
*Hecla Mining Co...................................... 45,000 47,812
*Hector Communications Corp........................... 24,700 314,925
*HEI, Inc............................................. 23,800 288,575
Heico Corp............................................ 75,598 992,224
Heico Corp. Class A................................... 20,149 261,937
Heilig-Meyers Co...................................... 74,200 125,212
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Hello Direct, Inc.................................... 45,200 $ 562,175
*Hemasure, Inc........................................ 56,400 130,425
*Hemispherx Biopharma, Inc............................ 93,100 541,144
Heritage Financial Corp............................... 80,400 635,662
*Herley Industries, Inc............................... 39,700 642,644
*Heska Corp........................................... 110,000 223,437
*Hexcel Corp.......................................... 102,300 792,825
HF Financial Corp..................................... 27,200 235,450
*Hibbett Sporting Goods, Inc.......................... 49,600 962,550
*Hickory Tech Corp.................................... 11,800 154,875
*High Plains Corp..................................... 137,576 309,546
*Highlands Insurance Group, Inc....................... 117,200 849,700
Hilb Rogal Hamilton Co................................ 27,335 855,927
*Hines Horticulture, Inc.............................. 169,000 1,124,906
Hingham Institution for Savings MA.................... 5,350 66,206
*Hirsch International Corp. Class A................... 58,600 82,406
*Hi-Shear Technology Corp............................. 43,650 87,300
*Hi-Tech Pharmacal, Inc............................... 37,500 145,898
*HMI Industries, Inc.................................. 84,200 123,669
HMN Financial, Inc.................................... 39,900 451,369
*HMT Technology Corp.................................. 80,500 138,359
*Hoenig Group, Inc.................................... 64,900 602,353
*Holiday RV Superstores, Inc.......................... 61,600 257,950
*Hollis-Eden Pharmaceuticals, Inc..................... 29,700 265,444
Holly Corp............................................ 70,900 709,000
*Hollywood Casino Corp. Class A....................... 213,400 1,080,337
*Hologic, Inc......................................... 132,100 759,575
*Holt's Cigar Holdings, Inc........................... 3,264 18,054
Home Bancorp.......................................... 6,200 91,644
Home Federal Bancorp.................................. 40,500 665,719
Home Port Bancorp, Inc................................ 8,400 203,700
*Home Products International, Inc..................... 60,700 261,769
*Homebase, Inc........................................ 325,700 610,687
*Homegold Financial, Inc.............................. 32,600 29,544
*Homeland Holding Corp................................ 4,300 16,931
HopFed Bancorp, Inc................................... 3,700 37,809
Horizon Financial Corp................................ 51,503 481,231
*Horizon Health Corp.................................. 53,200 322,525
*Horizon Medical Products, Inc........................ 1,000 2,125
*Horizon Offshore, Inc................................ 151,300 1,706,853
*Horizon Organic Holding Corp......................... 22,500 216,562
*Horizon Pharmacies, Inc.............................. 50,600 189,750
*Hot Topic, Inc....................................... 62,700 1,600,809
*Hotelworks.com, Inc.................................. 116,700 43,762
*Hovnanian Enterprises, Inc. Class A.................. 120,900 664,950
Howell Corp........................................... 108,200 1,007,612
*Howtek, Inc.......................................... 37,500 70,898
*HPSC, Inc............................................ 74,800 705,925
*HS Resources, Inc.................................... 10,428 349,990
*HTE, Inc............................................. 143,400 145,641
*Hub Group, Inc. Class A.............................. 60,500 765,703
*Hudson Hotels Corp................................... 9,500 9,648
Hudson River Bancorp, Inc............................. 53,300 521,341
*Hudson Technologies, Inc............................. 29,600 61,975
Huffy Corp............................................ 105,800 343,850
Hunt Corp............................................. 85,300 858,331
*Huntco, Inc. Class A................................. 42,200 129,237
*Hurco Companies, Inc................................. 50,500 220,937
*Hvide Marine, Inc. Class A........................... 52,300 0
*Hycor Biomedical, Inc................................ 69,316 346,580
*HyperFeed Technologies, Inc.......................... 130,300 382,756
*Hyseq, Inc........................................... 87,800 2,033,119
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Iberiabank Corp....................................... 55,800 $ 833,512
*Ibis Technology Corp................................. 15,700 564,219
*Ico, Inc............................................. 171,518 281,397
*ICT Group, Inc....................................... 60,600 426,094
*ICU Medical, Inc..................................... 75,550 1,418,923
*Identix, Inc......................................... 42,900 552,337
*IDG Books Worldwide, Inc............................. 67,900 608,978
*IEC Electronics Corp................................. 65,200 124,287
*IFR Systems, Inc..................................... 95,102 543,865
*IGI, Inc............................................. 70,100 100,769
*Igo Corp............................................. 10,000 37,500
*II-VI, Inc........................................... 59,600 2,290,875
*Ikos Systems, Inc.................................... 68,750 585,449
*Il Fornaio (America) Corp............................ 42,200 363,975
*ilife.com, Inc....................................... 50,700 102,984
*Image Entertainment, Inc............................. 141,500 561,578
*Imatron, Inc......................................... 250,000 519,531
IMCO Recycling, Inc................................... 142,300 951,631
*Immucor, Inc......................................... 59,600 478,662
*Immune Response Corp. DE............................. 199,500 1,343,508
*Immunogen, Inc....................................... 117,400 810,794
*Immunomedics, Inc.................................... 160,200 1,987,481
*Impath, Inc.......................................... 56,300 3,063,072
*Impco Technologies, Inc.............................. 49,100 1,408,556
*Imperial Credit Industries, Inc...................... 285,000 997,500
Imperial Sugar Co..................................... 277,000 380,875
*Impreso.com, Inc..................................... 30,300 124,041
*In Home Health, Inc.................................. 8,900 18,217
*Inacom Corp.......................................... 26,900 4,573
Independence Holding Co............................... 15,619 193,285
Independent Bank Corp. MA............................. 131,800 1,643,381
Independent Bank East................................. 96,200 1,256,612
Independent Bankshares, Inc........................... 1,182 22,458
*Individual Investor Group, Inc....................... 52,400 108,894
Industrial Bancorp, Inc............................... 19,300 219,537
*Industrial Data Systems Corp......................... 11,500 12,937
*Industrial Distribution Group, Inc................... 73,800 175,275
*Industrial Holdings, Inc............................. 96,400 111,462
*Industri-Matematik International Corp................ 33,800 177,450
*Inference Corp. Class A.............................. 60,000 371,250
*Infinium Software, Inc............................... 113,600 365,650
*Infocure Corp........................................ 105,700 459,134
*Infonautics Corp. Class A............................ 47,600 194,862
*Information Architects Corp.......................... 12,100 84,322
*Information Management Associates, Inc............... 71,200 311,500
*Information Resource Engineering, Inc................ 49,100 702,744
*Information Resources, Inc........................... 74,600 370,669
*Infu-tech, Inc....................................... 14,600 30,341
*Ingenuus Corp........................................ 40,600 59,631
*Innerdyne, Inc....................................... 191,300 1,064,106
*Innodata Corp........................................ 8,349 51,659
*Innotrac Corp........................................ 120,000 592,500
*Innovative Clinical Solutions, Ltd................... 40,600 7,105
*Innovative Gaming Corp. of America................... 41,050 30,146
*Innoveda, Inc........................................ 133,000 594,344
Innovex, Inc.......................................... 89,600 770,000
*Inprise Corp......................................... 4,000 22,312
*Insignia Financial Group, Inc........................ 184,000 2,081,500
*Insite Vision, Inc................................... 167,500 659,531
*Insituform East, Inc................................. 20,200 27,144
</TABLE>
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<CAPTION>
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*Inso Corp............................................ 112,200 $ 396,206
*Inspire Insurance Solutions, Inc..................... 163,300 566,447
Insteel Industries, Inc............................... 69,644 400,453
*Insurance Auto Auctions, Inc......................... 89,700 1,740,741
*Insurance Management Solutions, Inc.................. 104,000 167,375
*Integra Lifesciences Corp............................ 101,100 714,019
*Integra, Inc......................................... 41,400 25,875
*Integral Vision, Inc................................. 105,500 184,625
*IntegraMed America, Inc.............................. 16,900 52,812
*Integrated Electrical Services, Inc.................. 5,200 25,675
*Integrated Measurement System, Inc................... 64,400 957,950
*Integrated Silicon Solution, Inc..................... 134,100 3,976,903
*INTELFILM Corp....................................... 47,500 124,687
*Intellicall, Inc..................................... 80,807 65,656
*Intellicorp, Inc..................................... 6,900 10,566
*Intellidata Technologies Corp........................ 98,200 598,406
Intelligent Systems Corp.............................. 29,200 124,100
*Intelligroup, Inc.................................... 64,500 611,742
*Inter Parfums, Inc................................... 69,000 810,750
Interchange Financial Services Corp................... 52,010 663,127
*InterDent, Inc....................................... 118,600 378,037
*Interface Systems, Inc............................... 39,800 279,844
Interface, Inc. Class A............................... 68,700 300,562
*Interferon Scientific, Inc........................... 13,680 17,314
*Interlink Electronics................................ 57,700 1,251,369
*Interlinq Software Corp.............................. 41,400 116,437
*Interlogix, Inc...................................... 70,100 1,546,581
*Interlott Technologies, Inc.......................... 20,100 118,087
*Intermagnetics General Corp.......................... 165,361 1,880,981
Intermet Corp......................................... 63,900 440,311
*International Aircraft Investors..................... 14,200 72,775
International Aluminum Corp........................... 18,500 269,406
*International FiberCom, Inc.......................... 12,400 177,862
*International Microcomputer Software, Inc............ 4,200 2,772
*International Remote Imaging Systems, Inc............ 35,350 50,816
International Shipholding Corp........................ 54,800 417,850
*International Total Services, Inc.................... 46,000 46,000
*Interneuron Pharmaceuticals, Inc..................... 83,400 129,009
*Interphase Corp...................................... 50,100 707,662
*Interplay Entertainment Corp......................... 14,500 25,828
Interpool, Inc........................................ 113,300 906,400
*Interpore International.............................. 117,500 897,773
*Interstate National Dealers Services, Inc............ 40,300 219,131
*Intervisual Books, Inc. Class A...................... 5,900 8,481
*Intevac, Inc......................................... 101,300 316,562
*Inverness Medical Technology, Inc.................... 144,200 1,117,550
Investors Title Co.................................... 24,000 264,000
*Invision Technologies, Inc........................... 95,600 385,387
*Invivo Corp.......................................... 28,300 284,769
*Iomed, Inc........................................... 21,300 117,150
*IRI International Corp............................... 28,100 251,144
*Iridex Corp.......................................... 47,100 400,350
Iroquois Bancorp...................................... 1,700 55,409
*Isco, Inc............................................ 101,341 454,451
*Isle of Capri Casinos, Inc........................... 170,700 2,331,122
*Isolyser Co., Inc.................................... 355,100 1,253,947
*I-Stat Corp.......................................... 108,100 1,584,341
*IT Group, Inc ....................................... 93,800 545,212
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*ITC Learning Corp.................................... 34,000 $ 83,937
*ITEQ, Inc............................................ 202,455 113,881
*ITLA Capital Corp.................................... 63,400 828,162
*Itron, Inc........................................... 101,100 470,747
*Ivex Packaging Corp.................................. 180,100 1,620,900
*IVI Checkmate Corp................................... 125,888 369,796
*J & J Snack Foods Corp............................... 77,500 1,155,234
*J. Alexander's Corp.................................. 120,200 465,775
*J. Jill Group, Inc................................... 85,900 528,822
*Jackpot Enterprises, Inc............................. 64,575 746,648
Jacksonville Bancorp, Inc............................. 14,500 185,781
*Jaclyn, Inc.......................................... 23,227 46,454
*Jaco Electronics, Inc................................ 31,073 505,907
*Jacobson Stores, Inc................................. 49,700 279,562
*Jan Bell Marketing, Inc.............................. 224,900 491,969
*Jason, Inc........................................... 154,100 1,550,631
Jefferson Savings Bancorp, Inc........................ 85,500 932,484
*Jennifer Convertibles, Inc........................... 41,000 84,562
*JFAX.com, Inc........................................ 305,000 467,031
*JLK Direct Distribution, Inc. Class A................ 8,500 58,969
*JLM Industries, Inc.................................. 51,300 193,978
*JMAR Industries, Inc................................. 123,800 510,675
*Johnson Outdoors, Inc................................ 64,000 566,000
*Jos. A. Bank Clothiers, Inc.......................... 58,700 265,984
*Joule, Inc........................................... 42,100 57,887
*JPM Co............................................... 63,300 326,391
*Jps Packaging Company................................ 22,450 63,141
*JWGenesis Financial Corp............................. 76,650 632,362
K Swiss, Inc. Class A................................. 51,700 680,178
*K2, Inc.............................................. 139,970 988,538
*Kaiser Group International, Inc...................... 199,000 27,984
*Kaiser Ventures, Inc................................. 92,000 1,190,250
*Kaneb Services, Inc.................................. 270,900 1,320,637
Kankakee Bancorp, Inc................................. 1,500 28,969
*Kasper A.S.L., Ltd................................... 30,800 79,406
Katy Industries, Inc.................................. 71,900 696,531
Kaye Group, Inc....................................... 45,200 305,100
*KBK Capital Corp..................................... 30,000 125,625
*KCS Energy, Inc...................................... 52,100 58,612
Keithley Instruments, Inc............................. 17,300 1,067,194
*Kellstrom Industries, Inc............................ 102,400 515,200
Kenan Transport Co.................................... 200 3,725
*Kendle International, Inc............................ 88,000 555,500
*Kennedy-Wilson, Inc.................................. 78,100 402,703
*Kensey Nash Corp..................................... 64,200 617,925
*Kent Financial Services, Inc......................... 28,556 117,794
*Kentucky Electric Steel, Inc......................... 19,800 42,075
Kentucky First Bancorp, Inc........................... 4,500 45,844
*Keravision, Inc...................................... 161,000 850,281
*Kevco, Inc........................................... 67,700 107,897
Kewaunee Scientific Corp.............................. 20,400 237,788
*Key Production Co., Inc.............................. 99,800 1,603,038
*Key Technology, Inc.................................. 40,500 350,578
*Key Tronic Corp...................................... 129,100 350,991
*Keystone Automotive Industries, Inc.................. 134,500 985,633
*Keystone Consolidated Industries, Inc................ 88,600 343,325
*KFX, Inc............................................. 114,800 200,900
*Kimmins Corp......................................... 10,833 3,399
*Kinark Corp.......................................... 57,700 75,731
*Kinnard Investment, Inc.............................. 42,000 333,375
*Kit Manufacturing Co................................. 12,000 78,000
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Kitty Hawk, Inc...................................... 97,400 $ 45,535
Klamath First Bancorp, Inc............................ 68,000 760,750
*KLLM Transport Services, Inc......................... 37,400 298,031
Knape & Vogt Manufacturing Co......................... 30,688 465,115
*Knight Transportation, Inc........................... 41,200 627,013
*Koala Corp........................................... 54,200 779,125
Kollmorgen Corp....................................... 88,600 2,026,725
*Komag, Inc........................................... 433,700 908,059
*Kos Pharmaceuticals, Inc............................. 20,500 320,953
*Koss Corp............................................ 52,000 869,375
*Krauses Furniture, Inc............................... 50,400 63,000
*Kroll-O'Gara Co...................................... 32,800 175,275
*Krug International Corp.............................. 33,465 43,923
*K-Tel International, Inc............................. 82,100 151,372
*K-Tron International, Inc............................ 63,400 1,000,531
*Kushner-Locke Co..................................... 56,300 110,841
*KVH Industries, Inc.................................. 40,400 210,838
*La Jolla Pharmceutical Co............................ 49,600 172,050
*LaBarge, Inc......................................... 221,650 387,888
LabOne, Inc........................................... 74,550 384,398
*Labtec, Inc.......................................... 6,233 38,956
*Laclede Steel Co..................................... 25,450 10,339
LaCrosse Footwear, Inc................................ 17,600 70,950
*Ladish Co., Inc...................................... 115,200 1,004,400
*Lakeland Industries, Inc............................. 22,500 143,438
*Lakes Gaming, Inc.................................... 57,000 468,469
*Lamson & Sessions Co................................. 143,800 1,150,400
*Lancer Corp.......................................... 99,225 359,691
*Landair Corp......................................... 50,100 205,097
Landauer, Inc......................................... 76,800 1,420,800
*Landec Corp.......................................... 131,100 671,888
*Landmark Systems, Inc................................ 22,400 144,200
Landrys Seafood Restaurants, Inc...................... 28,100 219,531
*Larscom, Inc......................................... 32,200 161,000
*Laser Power Corp..................................... 10,500 22,969
*Laser Vision Centers, Inc............................ 34,700 163,741
*LaserSight Corporation............................... 116,400 592,913
*Lason, Inc........................................... 90,200 233,956
*Launch Media, Inc.................................... 18,000 156,938
Lawrence Savings Bank MA.............................. 14,900 107,559
Lawson Products, Inc.................................. 4,900 117,447
*Layne Christensen Co................................. 100,500 445,969
*Lazare Kaplan International, Inc..................... 72,800 637,000
La-Z-Boy, Inc......................................... 43,906 705,240
*LBP, Inc............................................. 27,800 92,956
*LCA-Vision, Inc...................................... 89,600 249,200
*LCC International, Inc. Class A...................... 52,100 770,103
*Leapnet, Inc......................................... 128,200 410,642
*Learn2.com, Inc...................................... 240,257 461,744
*Lechters, Inc........................................ 141,800 217,131
*Lecroy Corp.......................................... 66,600 703,463
*Lectec Corp.......................................... 24,437 65,674
Lesco, Inc............................................ 87,100 1,355,494
*Level 8 Systems, Inc................................. 51,800 1,014,956
*Lexington Global Asset Managers, Inc................. 23,000 232,156
Liberty Bancorp, Inc.................................. 6,600 45,581
Liberty Homes, Inc. Class A........................... 200 1,300
*Life Financial Corp.................................. 33,600 132,300
*Lifecell Corp........................................ 32,800 193,725
*Lifecore Biomedical, Inc............................. 108,400 789,288
*Lifeline Systems, Inc................................ 34,000 414,375
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Lifemark Corporation................................. 20,133 $ 113,877
Lifetime Hoan Corp.................................... 90,102 748,973
*Lightning Rod Software, Inc.......................... 2,180 10,968
Lillian Vernon Corp................................... 77,200 752,700
*Lindal Cedar Homes, Inc.............................. 40,777 82,828
Lindberg Corp......................................... 53,200 418,950
Lindsay Manufacturer Co............................... 42,500 796,875
Liqui Box Corp........................................ 13,400 678,794
*Lithia Motors, Inc. Class A.......................... 64,000 776,000
*Littlefield, Adams & Co.............................. 16,577 4,144
*LLEX Oncology, Inc................................... 45,200 1,128,588
*LLX Resorts, Inc..................................... 15,900 32,297
*LMI Aerospace, Inc................................... 1,400 3,981
*Lodgenet Entertainment Corp.......................... 91,700 2,140,622
*Lodgian, Inc......................................... 180,000 405,000
*Loehmanns, Inc....................................... 75,000 5,438
*Loews Cineplex Entertainment Corp.................... 154,000 404,250
*Logic Devices, Inc................................... 57,100 133,828
*Logility, Inc........................................ 114,300 460,772
*Lojack Corp.......................................... 142,000 980,688
*Loronix Information Systems, Inc..................... 42,100 1,405,088
LSB Bancshares, Inc. NC............................... 34,390 492,207
*LSB Industries, Inc.................................. 109,200 88,725
LSI Industries, Inc................................... 143,403 2,460,258
Luby's Cafeterias, Inc................................ 34,500 304,031
Lufkin Industries, Inc................................ 48,600 823,163
*Lumisy, Inc.......................................... 75,500 186,391
*Lunar Corp........................................... 83,100 919,294
*Lund International Holdings, Inc..................... 15,800 71,100
*Lydall, Inc.......................................... 134,800 1,406,975
*Lynch Corp........................................... 29,600 913,900
*Lynch Interactive Corp............................... 29,600 3,108,000
*Lynx Therapeutics, Inc............................... 21,800 349,481
*M.H. Meyerson & Co., Inc............................. 55,400 206,019
*Mace Security International, Inc..................... 63,100 122,256
*Mac-Gray Corp........................................ 107,800 330,138
*Mackie Designs, Inc.................................. 107,900 738,441
*Madden (Steven), Ltd................................. 93,500 1,493,078
*Made2Manage Systems, Inc............................. 38,900 250,419
*Magainin Pharmaceuticals, Inc........................ 231,700 796,469
*Magellan Health Services, Inc........................ 182,900 388,663
*Magnetek, Inc........................................ 83,300 702,844
*Magnum Hunter Resources, Inc......................... 182,500 980,938
*MAI Systems Corp..................................... 87,207 43,604
*Mail.com, Inc........................................ 34,494 191,334
*Main Street & Main, Inc.............................. 75,325 249,514
Main Street Bancorp, Inc.............................. 28,200 237,497
Maine Public Service Co............................... 32,700 606,994
*Mallon Resources Corp................................ 59,975 458,246
*Manatron, Inc........................................ 115 783
*Manchester Equipment Co., Inc........................ 69,600 304,500
*Manhattan Associates, Inc............................ 46,300 878,253
*Manugistic Group, Inc................................ 52,000 1,511,250
*Mapics, Inc.......................................... 174,900 888,164
*Mapinfo Corp......................................... 69,000 2,029,031
*Marine Transport Corp................................ 51,000 133,875
*MarineMax, Inc....................................... 5,250 48,234
*Marisa Christina, Inc................................ 72,200 121,838
Maritrans, Inc........................................ 90,000 534,375
*Marketing Services, Inc.............................. 11,200 57,750
*MarkWest Hydrocarbon, Inc............................ 61,100 511,713
*Marlton Technologies, Inc............................ 63,000 78,750
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Marsh Supermarkets, Inc. Class A...................... 17,700 $ 287,625
Marsh Supermarkets, Inc. Class B...................... 29,800 307,313
*Martek Biosciences Corp.............................. 117,500 2,177,422
*Marten Transport, Ltd................................ 52,800 709,500
Massbank Corp. Reading, MA............................ 20,933 618,832
Matec Corp............................................ 23,800 184,450
*Material Sciences Corp............................... 135,167 1,453,045
*Mathsoft, Inc........................................ 40,100 97,744
*Matlack Systems, Inc................................. 75,800 232,138
*Matria Healthcare, Inc............................... 280,800 956,475
*Matritech, Inc....................................... 203,800 904,363
*Matrix Bancorp, Inc.................................. 16,800 131,775
*Matrix Pharmaceutical, Inc........................... 178,800 1,553,325
*Matrix Service Co.................................... 83,600 407,550
*Matthews Studio Equipment Group...................... 50,600 1,581
*Mattson Technology, Inc.............................. 86,500 2,622,031
Maui Land & Pineapple Company, Inc.................... 14,700 286,650
*Maverick Tube Corp................................... 54,700 1,923,047
*Max & Ermas Restaurants, Inc......................... 21,844 188,405
*Maxco, Inc........................................... 18,800 146,875
*Maxicare Health Plans, Inc........................... 125,800 204,425
*Maxim Pharmaceuticals, Inc........................... 59,300 2,281,197
*Maxwell Shoe Company, Inc............................ 75,600 574,088
*Maxwell Technologies, Inc............................ 83,800 1,178,438
*Maxxam, Inc.......................................... 9,500 242,250
Mayflower Co-Operative Bank Middleboro................ 300 3,188
*Maynard Oil Co....................................... 103,200 1,728,600
*Mays (J.W.), Inc..................................... 2,700 14,175
*Mazel Stores, Inc.................................... 78,600 687,750
*MB Financial, Inc.................................... 27,500 305,078
*McClain Industries, Inc.............................. 91,066 441,101
McGrath Rent Corp..................................... 70,000 1,098,125
*McMoran Exploration Co............................... 15,100 234,994
*McNaughton Apparel Group, Inc........................ 65,000 619,531
*McWhorter Technologies, Inc.......................... 86,000 1,682,375
*Meade Instruments Corp............................... 35,300 1,748,453
*Meadow Valley Corp................................... 16,400 62,525
Meadowbrook Insurance Group, Inc...................... 75,000 403,125
*Measurement Specialties, Inc......................... 29,550 753,525
MECH Financial, Inc................................... 17,700 611,203
*Mechanical Dynamics, Inc............................. 54,000 320,625
Medford Bancorp, Inc.................................. 75,800 1,132,263
*Media 100, Inc....................................... 82,600 1,460,988
*Media Arts Group, Inc................................ 111,600 432,450
*MediaBay, Inc........................................ 34,100 111,891
*Medialink Worldwide, Inc............................. 48,500 348,594
*Medical Action Industries, Inc....................... 77,000 305,594
*Medical Alliance, Inc................................ 53,800 208,475
*Medical Resources, Inc............................... 40,175 2,310
*Medicalcontrol, Inc.................................. 21,700 135,625
*Medicore, Inc........................................ 47,500 96,484
*Medplus, Inc......................................... 50,700 261,422
*Medstone International, Inc.......................... 43,700 233,522
*MEDTOX Scientific, Inc............................... 4,100 35,363
Merchants Bancshares, Inc............................. 35,300 697,175
Merchants Group, Inc.................................. 15,700 238,444
*Mercury Air Group, Inc............................... 55,600 264,100
Meridian Diagnostics, Inc............................. 129,454 873,815
Meridian Insurance Group, Inc......................... 43,207 583,295
*Meridian Medical Technology, Inc..................... 25,700 221,663
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Meridian Resource Corp............................... 433,272 $ 2,301,758
*Merisel, Inc......................................... 253,400 201,928
*MeriStar Hotels & Resorts, Inc....................... 57,300 164,738
*Merit Medical Systems, Inc........................... 57,650 284,647
*Merix Corp........................................... 55,900 1,538,997
*Merrimac Industries, Inc............................. 13,565 164,476
*Mesa Air Group, Inc.................................. 257,100 1,538,583
*Mesa Labs, Inc....................................... 29,700 132,258
*Mesaba Holdings, Inc................................. 34,050 392,639
*Messagemedia, Inc.................................... 26,000 77,188
*Mestek, Inc.......................................... 118,750 1,974,219
*Meta Group, Inc...................................... 19,400 481,969
*Metacreations Corp................................... 147,700 1,056,978
*Metal Management, Inc................................ 162,606 221,043
*Metatec Corp. Class A................................ 65,100 179,025
*Met-Coil Systems Corp................................ 27,500 193,359
Met-Pro Corp.......................................... 151,665 1,289,153
*Metro One Telecommunications, Inc.................... 99,200 988,900
*Metrocall, Inc....................................... 280,263 902,097
MetroCorp. Bancshares, Inc............................ 19,000 139,531
*Metrologic Instruments, Inc.......................... 57,300 895,313
*Metrotrans Corp...................................... 7,000 875
Metrowest Bank MA..................................... 122,900 722,038
MFB Corp.............................................. 8,400 139,125
*MFRI, Inc............................................ 30,800 121,275
*MGI Pharma, Inc...................................... 133,700 2,924,688
MI Schottenstein Homes, Inc........................... 75,200 1,278,400
*Michael Anthony Jewelers, Inc........................ 74,300 185,750
*Micro Component Technology, Inc...................... 39,300 222,291
*Micro Linear Corp.................................... 98,000 517,563
*Microage, Inc........................................ 142,300 67,593
*Microcide Pharmaceuticals, Inc....................... 75,500 563,891
MicroFinancial, Inc................................... 30,200 286,900
*Micrografx, Inc...................................... 97,800 320,906
*Micros to Mainframes, Inc............................ 31,900 189,406
*Microsemi Corp....................................... 132,875 2,877,574
*Microtest, Inc....................................... 67,000 498,313
*Micro-Therapeutics, Inc.............................. 57,500 318,047
*Microtouch Systems, Inc.............................. 71,200 629,675
*Microware Systems Corp............................... 100,000 293,750
*Microwave Power Dynamics, Inc........................ 91,900 452,320
Mid America Banccorp.................................. 52 1,216
Midcoast Energy Resources, Inc........................ 62,200 995,200
*Middleby Corp........................................ 93,600 625,950
Middlesex Water Co.................................... 24,600 721,088
Midland Co............................................ 44,100 1,113,525
*Midway Airlines Corp................................. 64,200 381,188
*Midwest Grain Products, Inc.......................... 69,900 491,484
Mikasa, Inc........................................... 49,300 474,513
*Mikohn Gaming Corp................................... 50,150 318,139
*Miller Building Systems, Inc......................... 72,800 411,775
*Miller Industries, Inc............................... 234,700 542,744
*Miltope Group, Inc................................... 44,000 88,688
*MIM Corp............................................. 111,500 205,578
*Mining Services International Corp................... 400 825
Minntech Corp......................................... 56,630 417,650
*Minolta-QMS, Inc..................................... 56,574 187,401
Minuteman International, Inc.......................... 15,400 129,938
*Miravant Medical Technologies........................ 42,200 520,906
Mississippi Chemical Corp............................. 141,300 821,306
*Mitcham Industries, Inc.............................. 73,800 434,728
*Mity-Lite, Inc....................................... 42,150 576,928
</TABLE>
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*Mobile America Corp.................................. 50,000 $ 131,250
*Mobile Mini, Inc..................................... 56,200 1,169,663
*Mobius Management Systems, Inc....................... 154,800 633,713
MOCON, Inc............................................ 84,975 481,968
*Modtech Holdings, Inc................................ 87,245 940,610
*Molecular Biosystems, Inc............................ 160,700 110,481
*Molecular Devices Corp............................... 100 5,331
*Monarch Casino and Resort, Inc....................... 82,100 389,975
*Monarch Dental Corp.................................. 89,800 259,578
*Monro Muffler Brake, Inc............................. 54,398 453,883
Monterey Bay Bancorp, Inc............................. 21,975 195,715
*Monterey Pasta Co.................................... 100,500 395,719
*Moog, Inc. Class A................................... 15,900 339,863
*Moore Handley, Inc................................... 1,500 2,484
*Moore Medical Corp................................... 26,100 228,375
*Morgan's Foods, Inc.................................. 600 1,500
*Morton Industrial Group, Inc. Class A................ 22,645 121,717
*Morton's Restaurant Group, Inc....................... 54,900 1,008,788
*Mossimo, Inc......................................... 149,750 74,875
*Mother's Work, Inc................................... 33,500 353,844
*Motor Car Parts & Accessories, Inc................... 46,500 47,314
*Motor Cargo Industries, Inc.......................... 6,900 34,500
*Motor Club of America................................ 20,500 162,719
Movado Group, Inc..................................... 81,700 782,533
*Movie Gallery, Inc................................... 110,700 370,153
*MSC Software Corp.................................... 124,600 1,074,675
MTS Systems Corp...................................... 110,447 802,466
Mueller (Paul) Co..................................... 26,700 642,469
*Multi Color Corp..................................... 13,600 107,950
*Multiple Zones International, Inc.................... 115,500 485,461
*N & F Worldwide Corp................................. 158,800 813,850
*NABI, Inc............................................ 300,086 1,739,561
*Nanometrics, Inc..................................... 59,600 1,463,925
*Nanophase Technologies Corp.......................... 47,000 353,969
*Napco Security Systems, Inc.......................... 64,100 244,381
*Napro Biotherapeutics, Inc........................... 176,000 1,001,000
Nash Finch Co......................................... 98,100 763,341
Nashua Corp........................................... 50,600 417,450
*Nastech Pharmaceutical Co., Inc...................... 54,800 214,919
*Nathans Famous, Inc.................................. 34,600 101,638
*National Beverage Corp............................... 104,300 886,550
National City Bancorp................................. 74,657 1,082,527
*National Dentex Corp................................. 37,000 583,906
*National Equipment Services, Inc..................... 101,400 576,713
*National Home Centers, Inc........................... 60,000 102,188
*National Home Health Care Corp....................... 22,283 91,917
*National Record Mart, Inc............................ 43,400 69,847
*National Research Corp............................... 52,200 285,469
*National RV Holdings, Inc............................ 84,750 958,734
National Security Group, Inc.......................... 10,500 120,750
*National Standard Co................................. 96,500 174,906
National Technical Systems, Inc....................... 71,800 224,375
*National Techteam, Inc............................... 117,300 392,222
*Natrol, Inc.......................................... 41,800 175,691
*Natural Alternatives International, Inc.............. 51,800 81,747
*Natural Microsystems Corp............................ 12,400 798,638
*Natural Wonders, Inc................................. 67,600 76,050
Natures Sunshine Products, Inc........................ 147,100 1,121,638
*Navarre Corp......................................... 146,700 263,602
*Navigant International, Inc.......................... 54,600 494,813
*Navigators Group, Inc................................ 25,920 228,420
NBT Bancorp........................................... 101,392 1,013,920
<CAPTION>
SHARES VALUE+
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*NCS Healthcare, Inc.................................. 102,600 $ 92,981
*Neff Corp. Class A................................... 138,100 526,506
Nelson (Thomas), Inc.................................. 134,600 950,613
*Neogen Corp.......................................... 44,900 272,206
*NeoMagic Corp........................................ 44,100 137,123
*Neopharm, Inc........................................ 97,800 1,387,538
*Neorx Corp........................................... 170,900 2,472,709
*Neose Technologies, Inc.............................. 77,500 2,165,156
*Neotherapeutics, Inc................................. 74,200 820,838
*Neoware Systems, Inc................................. 10,000 19,844
*Netmanage, Inc....................................... 363,800 994,766
*NetRadio Corp........................................ 85,000 225,781
*Netrix Corp.......................................... 95,700 1,049,709
*Netspeak Corp........................................ 84,200 834,106
*Network Computing Devices, Inc....................... 133,500 212,766
*Network Equipment Technologies, Inc.................. 111,300 1,189,519
*Network Peripherals, Inc............................. 4,200 74,681
*Network Six, Inc..................................... 775 2,882
*Neurobiological Technologies, Inc.................... 14,600 101,288
*Neurocrine Biosciences, Inc.......................... 62,200 1,321,750
*Neurogen Corp........................................ 92,600 2,181,888
*New American Healthcare Corp......................... 9,800 392
*New Brunswick Scientific Co., Inc.................... 49,960 262,290
*New Century Financial Corp........................... 114,600 1,056,469
*New Day Runner, Inc.................................. 20,480 33,600
New Hampshire Thrift BancShares, Inc.................. 600 7,613
*New Horizons Worldwide, Inc.......................... 82,200 1,433,363
*New Mexico & Arizona Land Co......................... 59,500 304,938
*New World Coffee - Manhattan Bagel................... 14,600 29,656
*Newcor, Inc.......................................... 86,126 183,018
*Newmark Homes Corp................................... 4,200 24,938
Newmil Bancorp, Inc................................... 44,200 447,525
*Newsedge Corp........................................ 155,800 309,166
*Nexell Therapeutics, Inc............................. 2,250 7,770
*Nexthealth, Inc...................................... 31,500 88,594
*Niagara Corp......................................... 75,100 323,869
Nitches, Inc.......................................... 10,194 54,793
*NMT Medical, Inc..................................... 93,800 356,147
NN Ball & Roller, Inc................................. 143,300 1,269,548
*Nobel Learning Communities, Inc...................... 50,900 367,434
*Nobility Homes....................................... 40,600 205,538
*Noble International, Ltd............................. 16,900 152,100
Noel Group, Inc....................................... 39,240 10,202
Noland Co............................................. 500 8,250
*Noodle Kidoodle, Inc................................. 65,300 195,900
*Norstan, Inc......................................... 94,500 466,594
*North American Scientific, Inc....................... 52,900 889,381
North Central Bancshares, Inc......................... 17,600 251,900
North Pittsburgh Systems, Inc......................... 19,800 248,119
Northeast Bancorp..................................... 12,400 99,200
Northeast Pennsylvania Financial Corp................. 2,850 28,144
Northern Technologies International................... 26,400 174,900
*Northfield Laboratories, Inc......................... 103,700 1,147,181
Northland Cranberries, Inc. Class A................... 147,900 586,978
Northrim Bank......................................... 24,763 211,259
*Northwest Pipe Co.................................... 54,600 735,394
*Novadigm, Inc........................................ 114,000 1,499,813
*Novamed Eyecare, Inc................................. 45,000 298,125
*Novametrix Medical Systems, Inc...................... 69,800 437,341
</TABLE>
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*Novavax, Inc......................................... 129,550 $ 769,203
*Noven Pharmaceuticals, Inc........................... 112,800 2,107,950
*Novitron International, Inc.......................... 4,712 14,431
*NPC International, Inc............................... 25,000 232,031
*NPS Pharmaceuticals, Inc............................. 103,800 1,313,719
*NS Group, Inc........................................ 164,000 3,003,250
*Nstor Technology..................................... 113,200 325,450
*NTN Communications, Inc.............................. 58,791 139,629
*Nu Horizons Electronics Corp......................... 79,000 1,367,688
*NuCo2, Inc........................................... 35,400 203,550
*Number Nine Visual Technology Corp................... 50,400 3,780
*Numerex Corp. Class A................................ 80,000 737,500
*Nutraceutical International Corp..................... 47,700 172,167
*Nutramax Products, Inc............................... 44,000 13,420
*NYFIX, Inc........................................... 66,300 1,771,453
Nymagic, Inc.......................................... 69,700 980,156
*O.I. Corp............................................ 25,900 100,767
Oak Hill Financial, Inc............................... 11,700 191,588
*Oak Technology, Inc.................................. 319,200 4,718,175
Oakwood Homes Corp.................................... 405,200 1,164,950
*OAO Technology Solutions, Inc........................ 99,700 303,773
*Objective Systems Integrators, Inc................... 293,537 2,160,249
OceanFirst Financial Corp............................. 12,500 213,281
*O'Charleys, Inc...................................... 125,075 1,754,959
*ODS Networks, Inc.................................... 92,300 1,344,119
*Odwalla, Inc......................................... 44,000 268,125
*Offshore Logistics, Inc.............................. 34,100 478,466
Oglebay Norton Co..................................... 50,000 1,043,750
*Ohio Art Co.......................................... 3,600 30,600
Oil-Dri Corp. of America.............................. 60,900 589,969
*Old Dominion Freight Lines, Inc...................... 71,800 655,175
Old Guard Group, Inc.................................. 3,500 39,922
*Olympic Steel, Inc................................... 94,000 408,313
*Omega Protein Corp................................... 151,200 425,250
*Omega Research, Inc.................................. 169,800 543,891
*Omega Worldwide, Inc................................. 92,400 381,150
*OMNI Energy Services Corp............................ 65,500 47,078
*Omni Nutraceuticals, Inc............................. 170,900 560,766
*Omtool, Ltd.......................................... 111,500 202,094
*On Assignment, Inc................................... 28,600 740,025
*On Technology Corp................................... 107,400 308,775
*One Price Clothing Stores, Inc....................... 90,200 214,225
*Onhealth Network Company............................. 65,000 156,406
*On-Point Technology Systems, Inc..................... 77,800 44,978
*Ontrack Data International, Inc...................... 78,700 582,872
*Onyx Acceptance Corp................................. 53,100 219,038
*Onyx Pharmacueticals, Inc............................ 81,200 563,325
*Open Plan Systems, Inc............................... 3,200 6,000
*Opinion Research Corp................................ 15,500 96,875
*Opta Food Ingredients, Inc........................... 94,400 213,875
*Opti, Inc............................................ 89,100 356,400
*Optical Sensors, Inc................................. 6,800 4,250
*Optika Imaging Systems, Inc.......................... 66,500 421,859
*Option Care, Inc..................................... 34,200 223,369
*Orbit International Corp............................. 9,333 15,166
*ORBIT/FR, Inc........................................ 10,900 30,656
Oregon Steel Mills, Inc............................... 134,900 295,094
Oregon Trail Financial Corp........................... 20,700 199,884
*Oriole Homes Corp. Class A Convertible............... 66,300 124,313
*Oriole Homes Corp. Class B........................... 23,700 38,513
<CAPTION>
SHARES VALUE+
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*Orleans Homebuilders, Inc............................ 101,400 $ 164,775
*Oroamerica, Inc...................................... 53,300 388,091
*Orphan Medical, Inc.................................. 55,535 390,480
*OrthAlliance, Inc.................................... 31,400 185,456
*Orthologic Corp...................................... 227,700 1,053,113
*Oshman's Sporting Goods, Inc......................... 50,200 156,875
*OSI Pharmaceutical, Inc.............................. 165,200 1,652,000
*OSI Systems, Inc..................................... 67,100 400,503
*Osicom Technologies, Inc............................. 17,700 748,931
*Osmonics, Inc........................................ 122,800 1,105,200
*Osteotech, Inc....................................... 57,700 516,595
*Ostex International, Inc............................. 14,900 29,334
*OTR Express, Inc..................................... 16,600 20,750
Ottawa Financial Corp................................. 52,200 990,169
*Outlook Group Corp................................... 37,900 210,819
*Outsource International, Inc......................... 55,000 65,313
*Overland Data........................................ 56,200 458,381
Owosso Corp........................................... 50,300 105,316
Oxford Industries, Inc................................ 65,700 1,014,244
*Oxigene, Inc......................................... 97,200 1,087,425
*Oxis International, Inc.............................. 6,600 10,725
*OYO Geospace Corp.................................... 3,000 48,000
*P&F Industries, Inc. Class A......................... 600 4,969
*Pacific Aerospace and Electronics, Inc............... 16,700 21,136
*Pacific Gateway Exchange, Inc........................ 32,000 102,500
*Packaged Ice, Inc.................................... 79,800 279,300
*Palatin Technologies, Inc............................ 875 4,047
*PAM Transportation Services, Inc..................... 47,350 402,475
*Pameco Corp.......................................... 46,400 121,800
Pamrapo Bancorp, Inc.................................. 18,200 360,588
*Panavision, Inc...................................... 13,000 94,250
*Pancho's Mexican Buffet, Inc......................... 15,866 57,018
*Panera Bread CO...................................... 90,800 771,800
*Panja, Inc........................................... 76,600 777,969
*Par Technology Corp.................................. 81,800 311,863
*Paracelsus Healthcare Corp........................... 3,690 346
Paragon Technologies, Inc............................. 41,625 270,563
*Parallel Petroleum Corp.............................. 98,000 266,438
*Paravant, Inc........................................ 36,800 102,925
Paris Corp............................................ 200 388
Park Electrochemical Corp............................. 5,300 132,831
*Park-Ohio Holdings Corp.............................. 141,225 1,191,586
Parkvale Financial Corp............................... 69,195 1,236,861
*Parlex Corp.......................................... 41,300 917,634
*Parlux Fragrances, Inc............................... 108,200 327,981
*Patient Infosy....................................... 4,900 3,828
Patina Oil & Gas Corp................................. 132,389 2,291,985
Patrick Industries, Inc............................... 46,050 302,203
Patriot Bank Corp..................................... 34,300 272,256
*Patriot Transportation Holding, Inc.................. 31,700 624,094
*Paul Harris Stores, Inc.............................. 93,700 251,819
Paula Financial, Inc.................................. 48,000 129,000
*Paul-Son Gaming Corp................................. 32,500 97,500
*Payless Cashways, Inc................................ 2,121 3,413
*PBOC Holdings, Inc................................... 55,700 508,263
*PC Service Source, Inc............................... 45,300 50,963
*PCD, Inc............................................. 17,500 76,563
*Peapod, Inc.......................................... 158,200 331,231
*Pediatric Services of America, Inc................... 51,200 103,200
*Pediatrix Medical Group, Inc......................... 71,500 509,438
Peerless Manufacturing Co............................. 9,250 132,391
</TABLE>
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<CAPTION>
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<S> <C> <C>
*Peerless Systems Corp................................ 92,200 $ 218,975
*Pemco Aviation Group, Inc............................ 250 3,688
Penford Corp.......................................... 48,700 875,078
Penn Engineering & Manufacturing Corp. Class A........ 33,600 861,000
Penn Engineering & Manufacturing Corp. Non-voting..... 100,800 2,916,900
*Penn National Gaming, Inc............................ 102,800 1,432,775
*Penn Traffic Company................................. 922 5,186
*Penn Treaty American Corp............................ 67,100 1,321,031
Penn Virginia Corp.................................... 74,200 1,655,588
*Pennaco Energy, Inc.................................. 29,900 455,975
Penn-America Group, Inc............................... 75,000 689,063
Pennfed Financial Services, Inc....................... 73,600 984,400
*Pentacon, Inc........................................ 97,400 179,581
*Penwest Pharmaceuticals Company...................... 87,000 1,005,938
Peoples Bancorp, Inc.................................. 400 5,675
Peoples Bancshares, Inc. Massachusetts................ 28,600 498,713
*Perceptron, Inc...................................... 65,350 259,358
*Performance Technologies, Inc........................ 93,525 949,863
*Pericom Semiconductor Corp........................... 22,700 930,700
*Perini Corp.......................................... 46,800 134,550
Permanent Bancorp, Inc................................ 2,400 45,900
*Perry Ellis International, Inc....................... 57,800 562,647
*Personnel Group of America, Inc...................... 47,100 188,400
*Pervasive Software, Inc.............................. 34,800 175,088
*Petrocorp, Inc....................................... 37,100 262,019
*Petroglyph Energy, Inc............................... 27,400 55,656
*Petroleum Development Corp........................... 126,300 674,916
PFF Bancorp, Inc...................................... 21,000 292,688
*Pharmaceutical Resources, Inc........................ 216,135 1,296,810
*Pharmacopeia, Inc.................................... 24,900 543,909
*Pharmanetics, Inc.................................... 64,500 1,007,813
*Pharmchem Laboratories, Inc.......................... 49,900 135,666
*Phar-Mor, Inc........................................ 105,200 177,525
*Pharmos Corp......................................... 88,000 294,250
*Philadelphia Consolidated Holding Corp............... 81,100 1,371,097
*Phillips (R.H.), Inc................................. 18,600 51,731
Phillips-Van Heusen Corp.............................. 135,300 1,175,419
*Phoenix Gold International, Inc...................... 13,500 30,375
*Phoenix International, Ltd........................... 72,850 140,009
*Phoenix Technologies, Ltd............................ 19,730 354,523
*Photo Control Corp................................... 1,000 3,016
*Photon Dynamics, Inc................................. 22,000 1,326,188
*PhotoWorks, Inc...................................... 173,375 522,834
*Phycor, Inc.......................................... 8,800 4,263
Piccadilly Cafeterias, Inc............................ 90,500 260,188
*Pico Holdings, Inc................................... 77,100 831,234
*Picturetel Corp...................................... 121,600 374,300
*Piercing Pagoda, Inc................................. 78,900 1,124,325
Pillowtex Corp........................................ 27,200 129,200
*Pilot Network Services, Inc.......................... 22,100 220,309
Pinnacle Bancshares, Inc.............................. 700 6,388
*Pinnacle Global Group, Inc........................... 4,950 18,253
Pitt-Des Moines, Inc.................................. 72,900 1,694,925
Pittston Brink's Group................................ 54,878 833,460
Pizza Inn, Inc........................................ 39,700 141,431
*PJ America, Inc...................................... 46,600 505,319
*Planar Systems, Inc.................................. 89,000 859,406
*Platinum Entertainment, Inc.......................... 60,300 32,977
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Plato Learning, Inc.................................. 50,700 $ 636,919
*Play By Play Toys and Novelties, Inc................. 63,300 107,808
*Pliant Systems, Inc.................................. 86,600 441,119
*PLM International, Inc............................... 55,700 414,269
*Plymouth Rubber, Inc. Class A........................ 900 4,725
*Plymouth Rubber, Inc. Class B........................ 5 19
PMR Corp.............................................. 63,400 219,919
Pocahontas Bancorp, Inc............................... 41,400 245,813
*Point West Capital Corp.............................. 15,400 57,269
*Polymedica Industries, Inc........................... 40,650 1,082,306
*Polyvision Corp...................................... 40,850 102,125
*Pomeroy Computer Resource, Inc....................... 102,400 1,500,800
Pope & Talbot, Inc.................................... 95,700 1,776,431
*Porta Systems Corp................................... 67,190 117,583
*Possis Medical, Inc.................................. 137,700 1,049,963
*Powell Industries, Inc............................... 48,100 402,086
*Powercerv Corp....................................... 115,700 157,280
*PPT Vision, Inc...................................... 46,200 213,675
*Prandium, Inc........................................ 216,111 46,464
Premier Financial Bancorp............................. 3,700 27,634
*Premier Laser Systems, Inc. Class A.................. 47,300 4,021
Premier National Bancorp.............................. 46,266 578,325
*Premiumwear, Inc..................................... 14,295 188,069
*Previo, Inc.......................................... 10,350 58,219
*Pricesmart, Inc...................................... 5,200 186,550
*Prima Energy Corp.................................... 57,300 2,392,275
*Prime Medical Services, Inc.......................... 153,000 1,200,094
Primesource Corp...................................... 24,843 130,814
*Primix Solutions, Inc................................ 54,600 281,531
*Princeton Video Image, Inc........................... 26,800 168,756
*Printrak International, Inc.......................... 101,300 731,259
*Printronix, Inc...................................... 67,050 957,558
*Printware, Inc....................................... 7,800 21,938
*Procom Technology, Inc............................... 66,500 1,664,578
Professional Bancorp, Inc............................. 17,400 60,900
*Professionals Group, Inc............................. 15,400 255,544
*Programmers Paradise, Inc............................ 44,700 152,259
Progress Financial Corp............................... 47,700 566,438
*ProMedCo Management Company.......................... 190,000 222,656
*Prophet 21, Inc...................................... 9,000 120,375
*Protection One, Inc.................................. 106,400 199,500
*Protocol Systems, Inc................................ 72,600 1,127,569
Provena Foods, Inc.................................... 200 506
Providence & Worcester Railroad Co.................... 6,500 43,469
Providence Energy Corp................................ 61,950 2,508,975
Provident Bancorp, Inc................................ 10,000 154,375
*Provident Financial Holdings, Inc.................... 32,500 477,344
*Proxymed, Inc........................................ 131,500 176,703
*PRT Group, Inc....................................... 19,400 17,278
*PRWW, Ltd............................................ 23,700 188,119
*PSC, Inc............................................. 104,900 475,328
*PSW Technologies, Inc................................ 88,200 854,438
Psychemedics Corp..................................... 183,000 869,250
*PTEK Holdings, Inc................................... 76,646 263,471
Pulaski Financial Corp................................ 15,200 176,700
*Puma Technology, Inc................................. 59,200 1,304,250
*Pure Resources, Inc.................................. 20,995 314,925
*Pure World, Inc...................................... 72,930 225,627
PXRE Group, Ltd....................................... 56,000 833,000
Pyramid Breweries, Inc................................ 36,800 71,300
*Qad, Inc............................................. 95,100 362,569
*QC Optics, Inc....................................... 4,700 6,169
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*QEP Co., Inc......................................... 12,000 $ 98,625
*Quad Systems Corp.................................... 35,700 55,223
*QuadraMed Corp....................................... 174,737 395,889
Quaker Chemical Corp.................................. 74,300 1,230,594
*Quaker City Bancorp, Inc............................. 27,956 401,868
*Quaker Fabric Corp................................... 123,050 672,930
*Quality Dining, Inc.................................. 108,300 355,359
Quality Systems, Inc.................................. 50,700 365,991
*Quest Educational Corporation........................ 68,300 645,648
*Questcor Pharmaceuticals, Inc........................ 129,800 170,363
*Quidel Corp.......................................... 211,200 1,326,600
*Quigley Corp......................................... 55,500 95,391
*Quintel Entertainment, Inc........................... 124,900 294,686
*Quipp, Inc........................................... 14,300 267,231
Quixote Corp.......................................... 68,800 980,400
*R & B, Inc........................................... 70,500 185,063
*Racing Champions Corp................................ 91,100 149,461
*Radiance Medical Systems, Inc........................ 95,288 891,836
*Radiant Systems, Inc................................. 20,750 324,867
*Radiologix, Inc...................................... 141,700 575,656
*RadiSys Corp......................................... 11,139 437,554
*Rag Shops, Inc....................................... 34,650 75,797
*Railamerica, Inc..................................... 158,999 839,713
*RailWorks Corp....................................... 40,900 380,881
*Rainbow Rentals, Inc................................. 50,900 528,088
*Rainbow Technologies, Inc............................ 72,950 2,304,764
*Rainforest Cafe, Inc................................. 128,700 382,078
*Ramsay Youth Services, Inc........................... 52,722 74,140
*Ramtron International Corp New....................... 185,100 1,462,868
Range Resources Corp.................................. 342,600 963,563
*Rare Hospitality International, Inc.................. 85,224 2,354,313
Raven Industries, Inc................................. 99,150 1,350,919
*Rawlings Sporting Goods, Inc......................... 69,200 404,388
*Raytech Corp. DE..................................... 27,795 85,122
*Raytel Med Corp...................................... 57,000 142,500
*RCM Technologies, Inc................................ 93,100 747,709
*RDO Equipment Co. Class A............................ 46,000 258,750
*Reading Entertainment, Inc........................... 40,200 208,538
*Read-Rite Corp....................................... 161,700 318,347
*Recoton Corp......................................... 100,900 835,578
*Redhook Ale Brewery, Inc............................. 66,100 114,642
Redwood Empire Bancorp................................ 21,800 415,563
*Reeds Jewelers, Inc.................................. 22,990 66,096
*Refac................................................ 45,597 145,340
*Regeneron Pharmaceuticals, Inc....................... 137,900 2,801,094
*Regent Communications, Inc........................... 90,000 500,625
*Rehabcare Group, Inc................................. 51,300 2,205,900
*Rehabilicare, Inc.................................... 74,600 193,494
*Reliability, Inc..................................... 120,000 487,500
*Reliv International, Inc............................. 68,260 129,054
*Relm Wireless Corp................................... 50,941 125,761
*RemedyTemp, Inc...................................... 12,100 224,984
*Remington Oil & Gas Corp............................. 184,800 1,206,975
*Renaissance Worldwide, Inc........................... 209,900 465,716
*Rentrak Corp......................................... 90,300 321,694
*Repligen Corp........................................ 204,700 927,547
*Reptron Electronics, Inc............................. 52,400 533,825
Republic Bancorp, Inc. Class A........................ 22,200 143,259
*Republic Bankshares, Inc............................. 74,440 730,443
*Republic First Bancorp, Inc.......................... 41,668 183,600
Republic Group, Inc................................... 112,904 1,044,362
*Research Partners International, Inc................. 74,000 113,313
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Research, Inc........................................ 25,250 $ 160,969
*ResortQuest International, Inc....................... 137,100 651,225
Resource America, Inc................................. 143,180 988,837
Resource Bancshares Mortgage Group, Inc............... 89,300 429,756
*Response Oncology, Inc............................... 18,090 17,525
*Restoration Hardware, Inc............................ 53,300 337,289
*Rex Stores Corp...................................... 57,800 1,221,025
*Rexhall Industries, Inc.............................. 18,200 102,375
*RF Monolithics, Inc.................................. 52,500 477,422
*Ribozyme Pharmaceuticals............................. 87,100 1,080,584
Richardson Electronics, Ltd........................... 89,500 1,099,172
*Richton International Corp........................... 2,000 29,000
*Riddell Sports, Inc.................................. 65,482 204,631
*Right Management Consultants, Inc.................... 52,650 539,663
*Right Start, Inc..................................... 42,100 160,506
*Rightchoice Managed Care, Inc. Class A............... 28,100 393,400
*Rimage Corp.......................................... 67,500 1,035,703
*Riverside Group, Inc................................. 1,300 4,875
Riverview Bancorp, Inc................................ 34,400 304,225
*Riviera Holdings Corporation......................... 19,700 145,288
*RMH Teleservices, Inc................................ 51,300 320,625
*RMI.Net, Inc......................................... 69,700 205,833
*Roadhouse Grill, Inc................................. 58,000 326,250
Roanoke Electric Steel Corp........................... 88,300 1,167,216
*Roberds, Inc......................................... 33,100 662
*Robertson-Ceco Corp.................................. 97,175 1,111,439
*Robinson Nugent, Inc................................. 42,100 473,625
*Robocom Systems, Inc................................. 1,100 2,286
*Robotic Vision Systems, Inc.......................... 124,845 1,478,633
*Rochester Medical Corp............................... 45,900 401,625
*Rock of Ages Co...................................... 33,400 167,000
*Rockshox, Inc........................................ 11,700 9,323
*Rocky Mountain Chocolate Factory..................... 25,000 125,000
*Rocky Shoes & Boots, Inc............................. 38,300 197,484
*Rofin-Sinar Technologies, Inc........................ 99,100 1,204,684
*Rogers Corp.......................................... 44,000 1,361,250
*Rogue Wave Software, Inc............................. 90,100 385,741
*Rohn Industries, Inc................................. 453,500 1,438,445
*Ross Systems, Inc.................................... 159,837 222,273
*Rottlund, Inc........................................ 19,250 44,516
Rouge Industries, Inc. Class A........................ 86,600 389,700
Rowe Furniture Corp................................... 126,568 553,735
*Royal Appliance Manufacturing Co..................... 197,500 1,209,688
Royal Bancshares of Pennsylvania Class A.............. 12,482 190,351
*Royal Energy, Inc.................................... 20,300 62,169
*Royal Gold, Inc...................................... 151,300 394,798
*Royal Precision, Inc................................. 8,700 24,197
RPC, Inc.............................................. 76,300 810,688
*RTI International Metals, Inc........................ 92,400 1,201,200
*RTW, Inc............................................. 93,600 377,325
*Rubio's Restaurants, Inc............................. 39,000 304,688
*Rural/Metro Corp..................................... 115,100 149,270
*Rush Enterprises, Inc................................ 56,800 394,050
*RWD Technologies, Inc................................ 72,600 306,281
*S&K Famous Brands, Inc............................... 43,700 300,438
*Safeguard Health Enterprises, Inc.................... 84,600 82,485
*Safety 1st, Inc...................................... 65,700 905,428
*Safety Components International, Inc................. 41,100 1,850
*Saga Communications, Inc. Class A.................... 24,813 511,768
</TABLE>
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<TABLE>
<CAPTION>
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*Salient 3 Communications, Inc. Class A............... 45,000 $ 514,688
*Sames Corp........................................... 61,400 1,043,800
*Samsonite Corp....................................... 30,800 147,263
*San Filippo (John B.) & Son, Inc..................... 67,400 235,900
Sanderson Farms, Inc.................................. 118,500 796,172
*Santa Cruz Operation, Inc............................ 102,700 426,847
*Satcon Technology Corp............................... 71,500 1,148,469
*Saucony, Inc. Class A................................ 56,700 607,753
*Saucony, Inc. Class B................................ 63,800 638,000
*Savoir Technology Group, Inc......................... 100,600 798,513
*SBE, Inc............................................. 19,900 372,503
*SBS Technologies, Inc................................ 41,800 1,358,500
*Scan-Optics, Inc..................................... 59,400 58,472
*ScanSoft, Inc........................................ 225,948 547,218
*ScanSource, Inc...................................... 39,300 1,088,119
*SCB Computer Technology, Inc......................... 73,200 155,550
*SCC Communications Corp.............................. 69,300 383,316
Schawk, Inc. Class A.................................. 191,500 1,520,031
*Scheid Vineyards, Inc................................ 11,800 44,988
*Scherer Healthcare, Inc.............................. 200 744
*Schick Technologies, Inc............................. 47,200 88,500
*Schieb (Earl), Inc................................... 74,400 237,150
*Schlotzskys, Inc..................................... 63,700 384,191
*Schmitt Industries, Inc.............................. 68,200 183,288
Schnitzer Steel Industries, Inc. Class A.............. 44,800 667,800
*Schuff Steel Company................................. 45,500 147,875
*Schuler Homes, Inc................................... 172,600 1,067,963
Schultz Sav-O Stores, Inc............................. 60,000 682,500
Schweitzer-Maudoit International, Inc................. 68,000 935,000
*Sciclone Pharmaceuticals, Inc........................ 142,500 1,200,117
*Scientific Games Holdings Corp....................... 80,050 1,931,206
Scientific Technologies, Inc.......................... 37,100 206,369
*Scios-Nova, Inc...................................... 276,800 1,193,700
Scope Industries, Inc................................. 18,650 860,231
*Scott's Liquid Gold, Inc............................. 84,000 91,875
*Seachange International, Inc......................... 96,000 2,478,000
Seacoast Banking Corp. Class A........................ 22,100 575,981
Seacoast Financial Services Corp...................... 78,329 687,827
Seaway Food Town, Inc................................. 50,500 771,703
*Secom General Corp................................... 1,000 8,031
Second Bancorp, Inc................................... 13,700 211,494
*Secure Computing Corp................................ 138,100 1,592,466
*Security Associates International, Inc............... 2,100 8,400
*SED International Holdings, Inc...................... 61,900 199,241
*Sedona Worldwide, Inc................................ 11,563 58
*SEEC, Inc............................................ 31,800 144,591
*Segue Software, Inc.................................. 80,300 687,569
*Seibels Bruce Group, Inc............................. 34,500 53,906
*Seitel, Inc.......................................... 105,500 896,750
Selas Corp. of America................................ 44,700 245,850
*Select Comfort Corp.................................. 155,000 588,516
SEMCO Energy, Inc..................................... 65,020 869,643
*Semitool, Inc........................................ 208,200 2,947,331
*SEMX Corp............................................ 49,100 388,197
*Seneca Foods Corp. Class A........................... 200 2,313
*Seneca Foods Corp. Class B........................... 6,800 78,200
*Sensory Science Corp................................. 119,500 313,688
*SeraCare, Inc........................................ 37,300 90,919
*Servotronics, Inc.................................... 24,804 93,015
<CAPTION>
SHARES VALUE+
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Sevenson Environmental Services, Inc.................. 13,280 $ 147,325
*SGV Bancorp, Inc..................................... 2,300 56,134
*Shared Technologies Cellular, Inc.................... 20,700 32,344
*Sharper Image Corp................................... 103,200 1,157,775
*Shaw Group, Inc...................................... 31,950 1,393,819
*Sheffield Medical Technologies, Inc.................. 176,900 729,713
*Sheldahl, Inc........................................ 101,100 475,486
*Shells Seafood Restaurants, Inc...................... 25,500 54,188
*Shiloh Industries, Inc............................... 111,500 1,142,875
*Shoe Carnival, Inc................................... 114,700 835,159
*Shoe Pavilion, Inc................................... 4,000 6,250
*Sholodge, Inc........................................ 52,300 212,469
*Shoney's, Inc........................................ 419,000 261,875
*Shop At Home, Inc.................................... 37,900 159,891
Shoreline Financial Corp.............................. 21,271 287,159
*Shuffle Master, Inc.................................. 63,100 928,753
*Sierra Health Services, Inc.......................... 197,400 826,613
*SierraCities.com, Inc................................ 93,600 375,863
Sifco Industries, Inc................................. 46,275 283,434
*Sight Resource Corp.................................. 63,500 56,555
*Sigma Designs, Inc................................... 136,900 483,428
*Sigmatron International, Inc......................... 16,200 69,356
*Signal Apparel Co., Inc. Class A..................... 73,600 13,800
*Signal Technology Corp............................... 62,000 918,375
*Signature Eyewear, Inc............................... 23,300 37,863
*Silverleaf Resorts, Inc.............................. 110,800 394,725
*Simione Central Holdings, Inc........................ 33,815 92,252
Simmons First National Corp. Class A.................. 31,650 604,317
*Simon Transportation Services, Inc................... 38,100 217,884
Simpson Industries, Inc............................... 153,700 1,354,481
*Simula, Inc.......................................... 95,400 184,838
*Sitel Corp........................................... 318,200 1,849,538
*Sizzler International, Inc........................... 241,300 708,819
SJNB Financial Corp................................... 10,500 279,563
*Skyepharma P.L.C. ADR................................ 6,915 94,650
Skyline Corp.......................................... 24,800 511,500
*SkyMall, Inc......................................... 90,500 220,594
SL Industries, Inc.................................... 96,685 827,865
*Smart & Final Food, Inc.............................. 10,800 88,425
*SMC Corp............................................. 52,200 207,169
*Smith Micro Software, Inc............................ 53,800 363,150
*Smithway Motor Express Corp. Class A................. 34,500 88,406
*Socrates Technolgies Corp............................ 42,700 48,038
*Softech, Inc......................................... 51,000 55,781
*Software Spectrum, Inc............................... 36,100 522,322
*Sola International, Inc.............................. 40,400 202,000
Somerset Group, Inc................................... 412 8,807
Sonesta International Hotels Corp. Class A............ 400 3,750
*Sonic Solutions...................................... 84,250 348,848
*Sonus Pharmaceuticals, Inc........................... 99,100 288,009
*SOS Staffing Services, Inc........................... 105,700 320,403
*Sound Advice, Inc.................................... 60,425 598,585
*Source Media, Inc.................................... 41,700 228,698
*Southern Energy Homes, Inc........................... 127,125 143,016
*Southwall Technologies, Inc.......................... 74,600 622,444
Southwest Bancorp, Inc................................ 21,900 362,719
Southwest Water Co.................................... 49,504 652,834
Southwestern Energy Co................................ 83,100 768,675
*Spacehab, Inc........................................ 88,600 393,163
</TABLE>
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<CAPTION>
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*Spacelabs Medical, Inc............................... 81,700 $ 926,784
Span-American Medical System, Inc..................... 40,500 147,445
Spartan Motors, Inc................................... 119,300 529,394
*Sparton Corp......................................... 69,200 285,450
*Spatial Technology, Inc.............................. 49,350 172,725
*Special Metals Corp.................................. 13,800 32,344
*SpectraLink Corp..................................... 115,000 1,728,594
*Spectranetics Corp................................... 192,700 897,259
*Spectra-Physics Laser, Inc........................... 6,000 236,250
*Spectrian Corp....................................... 86,700 1,311,338
*Spectrum Control, Inc................................ 94,600 940,088
*SpectRx, Inc......................................... 54,000 583,875
*Speizman Industries, Inc............................. 28,900 104,763
*Spire Corp........................................... 56,200 263,438
*Splash Technology Holdings, Inc...................... 59,000 466,469
*Sport Chalet, Inc.................................... 56,500 275,438
*Sport Supply Group, Inc.............................. 62,400 296,400
*Sport-Haley, Inc..................................... 28,500 122,461
*Sports Authority, Inc................................ 275,300 585,013
*Sports Club Co., Inc................................. 138,700 468,113
*Sportsman's Guide, Inc............................... 37,500 110,156
*SPSS, Inc............................................ 77,600 1,940,000
*SRS Labs, Inc........................................ 100,700 937,769
*SS&C Technologies, Inc............................... 16,100 73,708
*SSE Telecom, Inc..................................... 43,600 119,900
St. Francis Capital Corp.............................. 87,400 1,204,481
St. Joseph Light & Power Co........................... 71,100 1,497,544
St. Mary Land & Exploration Co........................ 18,300 659,372
*Staar Surgical Co.................................... 104,375 1,425,371
*Staff Leasing, Inc................................... 186,700 668,036
*Stage II Apparel Corp................................ 14,600 14,600
*Stage Stores, Inc.................................... 34,600 5,406
*Standard Automotive Corp............................. 19,100 109,825
Standard Commercial Corp.............................. 92,708 289,713
*Standard Management Corp............................. 63,015 214,645
*Standard Microsystems Corp........................... 130,300 1,697,972
Standard Motor Products, Inc. Class A................. 45,200 437,875
Standex International Corp............................ 2,600 43,713
*Stanley Furniture, Inc............................... 62,400 1,409,850
*Star Buffet, Inc..................................... 16,400 43,563
*Star Multi Care Services, Inc........................ 12,410 24,044
*Star Struck, Ltd..................................... 500 1,031
*Starcraft Corp....................................... 16,500 126,844
*Starmet Corp......................................... 126,100 358,597
Starrett (L.S.) Co. Class A........................... 36,700 745,469
*Startec Global Communications Corp................... 10,700 123,384
*Starter Corp......................................... 130,100 716
State Financial Services Corp. Class A................ 62,232 632,044
Steel Technologies, Inc............................... 98,400 734,925
*Stein Mart, Inc...................................... 1,000 7,781
*Steinway Musical Instruments, Inc.................... 75,500 1,311,813
*Stemcells, Inc....................................... 35,500 90,414
Stepan Co............................................. 35,200 770,000
Stephan Co............................................ 24,700 89,538
*Stericycle, Inc...................................... 45,000 915,469
*Sterile Recoveries, Inc.............................. 23,500 157,156
Sterling Bancorp...................................... 157,920 2,506,980
*Sterling Financial Corp. WA.......................... 67,619 699,434
Stewart Information Services Corp..................... 41,800 527,725
Stifel Financial Corp................................. 55,871 530,775
<CAPTION>
SHARES VALUE+
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*STM Wireless, Inc. Class A........................... 61,400 $ 272,463
Stone & Webster, Inc.................................. 21,400 20,731
*Storage Computer Corp................................ 88,892 622,244
*Stratasys, Inc....................................... 31,700 195,648
*Strategic Diagnostics, Inc........................... 123,500 737,141
*Strategic Distribution, Inc.......................... 293,548 623,790
*Strattec Security Corp............................... 40,900 1,418,719
*Stratus Properties, Inc.............................. 86,600 400,525
*Strawbridge and Clothier Liquidating Trust........... 5,200 778
*Strouds, Inc......................................... 72,800 151,288
*STV Group, Inc....................................... 35,000 230,781
*Styleclick.com, Inc.................................. 66,400 690,975
*Suburban Lodges of America, Inc...................... 119,300 671,063
*Success Bancshares, Inc.............................. 12,500 128,125
*Successories, Inc.................................... 59,600 113,613
Suffolk Bancorp....................................... 34,200 919,125
*Summa Industries, Inc................................ 23,800 259,569
Summit Bancshares, Inc................................ 32,900 565,469
*Sun Bancorp, Inc..................................... 48,800 340,075
Sun Hydraulics, Inc................................... 12,600 111,825
*Sunair Electronics, Inc.............................. 33,900 88,988
*Sunburst Hospitality Corp............................ 37,700 167,294
*Sundance Homes, Inc.................................. 50,000 16,500
*Sunquest Information Systems, Inc.................... 111,100 833,250
*Sunrise Medical, Inc................................. 191,200 848,450
*Sunrise Resources, Inc............................... 46,800 230,344
*SunSource, Inc....................................... 19,550 87,975
*Sunterra Corp........................................ 84,200 28,944
*Superconductor Technologies, Inc..................... 53,750 755,859
*Superior Consultant Holdings Corp.................... 47,600 372,619
*Superior Energy Services, Inc........................ 17,200 174,150
*Superior National Insurance Group, Inc............... 117,400 10,566
Superior Surgical Manufacturing Co., Inc.............. 90,100 777,113
*Supertex, Inc........................................ 169,800 4,823,381
*Suprema Specialties, Inc............................. 37,900 336,363
*Supreme Industries, Inc.............................. 86,485 437,830
*Surgical Laser Technologies, Inc..................... 10,900 22,481
*SurModics, Inc....................................... 9,400 222,663
*Swift Energy Corp.................................... 105,500 2,710,031
*Swisher International, Inc........................... 8,500 8,500
*Swiss Army Brands, Inc............................... 67,600 357,013
*Sybron Chemicals, Inc................................ 36,300 716,925
*Sylvan, Inc.......................................... 63,500 623,094
*Symix Systems, Inc................................... 63,500 636,984
*Symmetricom, Inc..................................... 136,600 2,049,000
*Symons International Group, Inc...................... 93,900 66,023
*Symphonix Devices, Inc............................... 39,900 144,638
*Syms Corp............................................ 137,200 471,625
Synalloy Corp. DE..................................... 89,158 668,685
*Synaptic Pharmaceutical Corp......................... 92,500 439,375
*Synbiotics Corp...................................... 80,300 180,675
*Sync Research, Inc................................... 27,860 92,286
*Syntellect, Inc...................................... 114,200 556,725
*Synthetech, Inc...................................... 118,300 384,475
*Sypris Solutions, Inc................................ 39,400 379,225
*System Software Associates, Inc...................... 1,925 92
*T&W Financial Corp................................... 16,000 0
Tab Products Co. DE................................... 41,750 200,922
*Taco Cabana, Inc..................................... 134,700 862,922
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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*Tag-It Pacific, Inc.................................. 30,700 $ 147,744
*Taitron Components, Inc.............................. 3,900 11,700
*Take Two Interactive Software........................ 98,300 887,772
*TALX Corp............................................ 17,300 260,041
*Tandy Brand Accessories, Inc......................... 55,977 369,098
*Tandy Crafts, Inc.................................... 138,200 414,600
*Targeted Genetics Corp............................... 250,600 1,769,863
*Tarrant Apparel Group................................ 15,300 124,313
Tasty Baking Co....................................... 67,200 802,200
TB Woods Corp......................................... 11,300 103,113
*TBA Entertainment Corp............................... 70,000 273,438
*TBC Corp............................................. 201,700 973,833
TCBY Enterprises, Inc................................. 180,000 900,000
*TCC Industries, Inc.................................. 23,800 2,023
*TCI International, Inc............................... 32,060 212,398
*TCSI Corp............................................ 198,200 359,238
*TEAM America Corp.................................... 10,400 39,163
*Team, Inc............................................ 55,200 134,550
Tech/Ops Sevcon, Inc.................................. 61,400 594,813
*Techdyne, Inc........................................ 23,400 58,500
Teche Holding Co...................................... 2,700 35,775
*Technical Communications Corp........................ 7,300 35,131
*Technisource, Inc.................................... 75,900 310,716
Technology Research Corp.............................. 46,900 92,334
*Tech-Sym Corp........................................ 67,300 1,472,188
*Tegal Corp........................................... 98,700 424,102
*Telcom Semiconductor, Inc............................ 100,200 2,492,475
*Telescan, Inc........................................ 24,300 173,897
*Telescape International, Inc......................... 36,100 282,031
*TeleSpectrum Worldwide, Inc.......................... 110,000 481,250
*Telular Corp......................................... 47,100 401,822
*Telxon Corp.......................................... 27,000 420,188
*Temtex Industries, Inc............................... 34,100 38,363
Terra Industries, Inc................................. 161,400 342,975
*Terremark Worldwide, Inc............................. 35,000 70,000
*TESSCO Technologies, Inc............................. 43,200 731,700
*Tesseract Group, Inc................................. 68,100 21,281
*Tetra Technologies, Inc.............................. 116,500 1,507,219
*Texas Biotechnology Corp............................. 224,400 2,173,875
TF Financial Corp..................................... 13,900 196,338
*TFC Enterprises, Inc................................. 101,000 211,469
*Thackeray Corp....................................... 74,700 228,769
*Theglobe.com, Inc.................................... 22,300 34,495
*Theragenics Corp..................................... 137,700 1,230,694
*Thermatrix, Inc...................................... 31,500 14,766
*Thermo Fibergen, Inc................................. 22,000 264,000
*Thermo Terratech, Inc................................ 100,900 756,750
*Thermolase Corp...................................... 18,700 43,244
Thermoretec Corp...................................... 77,800 544,600
*Thermotrex Corp...................................... 15,500 154,031
*Thermwood Corp....................................... 920 5,865
Thistle Group Holdings Co............................. 28,700 192,828
*Thomas Group, Inc.................................... 50,800 495,300
*Thomaston Mills, Inc................................. 13,100 12,691
*Thoratec Laboratories Corp........................... 83,300 1,020,425
*Thorn Apple Valley, Inc.............................. 49,900 4,616
*Three Rivers Bancorp, Inc............................ 36,887 296,249
*Tier Technologies, Inc. Class B...................... 73,700 370,803
*TII Industries, Inc.................................. 51,760 102,711
Timberland Bancorp, Inc............................... 38,600 358,256
Timberline Software Corp.............................. 175,921 1,357,890
*Tipperary Corp....................................... 64,200 184,575
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Titan International, Inc.............................. 33,250 $ 197,422
*Titan Pharmaceuticals, Inc........................... 29,100 738,413
Titanium Metals Corp.................................. 98,300 430,063
*TMBR/Sharp Drilling, Inc............................. 40,700 478,225
*T-Netix, Inc......................................... 91,700 452,769
*Today's Man, Inc..................................... 68,500 35,320
*Todd Shipyards Corp.................................. 83,400 594,225
*Toddhunter International, Inc........................ 48,000 393,000
*Tofutti Brands, Inc.................................. 2,700 6,244
*Tokheim Corp......................................... 108,800 149,600
*Tollgrade Communications, Inc........................ 11,100 734,681
Tompkins County Trustco, Inc.......................... 430 10,159
*Toreador Royalty Corp................................ 41,700 226,744
*Total Entertainment Restaurant Corp.................. 12,000 28,500
*Total-Telephone USA Communications, Inc.............. 20,400 133,875
*Tower Air, Inc....................................... 132,700 19,242
*Towne Services, Inc.................................. 45,700 34,989
*Toymax International, Inc............................ 45,900 114,750
*Track Data Corp...................................... 120,400 141,094
*Track 'n Trail, Inc.................................. 15,900 10,683
*Tractor Supply Co.................................... 75,400 1,145,138
*Trailer Bridge, Inc.................................. 42,500 43,164
*Trans World Airlines, Inc............................ 37,300 90,919
*Transact Technologies, Inc........................... 47,900 484,988
*Transcoastal Marine Services, Inc.................... 79,600 38,556
*Transcrypt International, Inc........................ 9,000 19,406
*Transfinancial Holdings, Inc......................... 27,800 48,650
*Transmation, Inc..................................... 42,500 102,930
*Transmedia Network, Inc.............................. 117,200 358,925
*Transmontaigne Oil Co................................ 42,500 286,875
*Transport Industries, Inc............................ 9,700 50,925
Transport Lux Corp.................................... 14,245 76,567
*Transportation Components, Inc....................... 152,100 294,694
Transpro, Inc......................................... 38,000 171,000
Transtechnology Corp.................................. 99,100 854,738
*TransTexas Gas Corp.................................. 81,000 0
*TransTexas Gas Corp. Class A......................... 395 2,074
*Transworld Healthcare, Inc........................... 146,800 224,788
*Travis Boats & Motors, Inc........................... 16,400 85,075
*TRC Companies, Inc................................... 60,400 634,200
*TREEV, Inc........................................... 18,600 121,772
*Trega Biosciences, Inc............................... 118,000 320,813
Tremont Corp. DE...................................... 28,100 467,163
*Trend-Lines, Inc. Class A............................ 50,900 64,420
Trenwick Group, Inc................................... 28,262 423,930
*Trex Medical Corp.................................... 94,400 177,000
*Triad Guaranty, Inc.................................. 5,200 96,363
Trico Bancshares...................................... 39,550 627,856
*Trico Marine Services, Inc........................... 169,400 1,646,356
*Trident Microsystems, Inc............................ 115,400 970,081
*Trident Rowan Group, Inc............................. 9,300 20,925
*Tridex Corp.......................................... 54,700 41,880
*Trimark Holdings, Inc................................ 7,100 56,911
*Trimedyne, Inc....................................... 48,800 96,075
*Trimeris, Inc........................................ 16,600 729,881
*TriPath Imaging, Inc................................. 234,153 1,152,472
*Triple S Plastics, Inc............................... 14,500 234,719
*Tripos, Inc.......................................... 24,700 395,200
*Tristar Corp......................................... 3,300 17,738
*Triumph Group........................................ 12,600 352,800
*TRM Copy Centers Corp................................ 61,100 309,319
</TABLE>
166
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Tropical Sportswear International Corp............... 68,300 $ 1,566,631
*Troy Group, Inc...................................... 7,500 69,844
*Trump Hotels & Casino Resorts, Inc................... 190,900 524,975
*TSR, Inc............................................. 106,400 603,488
*Tultex Corp.......................................... 58,900 736
*TurboChef Technologies, Inc.......................... 90,000 376,875
Tuscarora, Inc........................................ 62,500 792,969
Twin Disc, Inc........................................ 41,200 638,600
*Twinlab Corp......................................... 1,200 8,588
*Tyler Technologies, Inc.............................. 361,750 1,447,000
U.S. Bancorp, Inc..................................... 102,475 470,745
*U.S. Diagnostic, Inc................................. 142,800 111,563
*U.S. Franchise Systems, Inc.......................... 57,900 313,022
*U.S. Home & Garden, Inc.............................. 133,700 338,428
*U.S. Office Products, Co............................. 126,400 128,375
*U.S. Plastic Lumber Corp............................. 34,300 155,422
*U.S. Vision, Inc..................................... 38,514 66,196
*Ubics, Inc........................................... 55,800 141,244
UCBH Holdings, Inc.................................... 34,300 861,788
*UFP Technologies, Inc................................ 10,300 27,038
*Ugly Duckling Corp................................... 77,900 562,341
*Ultimate Electronics, Inc............................ 79,000 1,965,125
*Ultimate Software Group, Inc......................... 40,100 319,547
*Ultradata Systems, Inc............................... 13,600 39,525
*Ultrak, Inc.......................................... 100,300 670,756
*Ultralife Batteries, Inc............................. 92,800 698,900
Umpqua Holdings Corp.................................. 10,500 86,953
*Unapix Entertainment, Inc............................ 53,900 60,638
*Unicapital Corp...................................... 117,500 80,781
Unico American Corp................................... 117,600 722,138
*UniComp, Inc......................................... 63,900 171,731
*Unidigital, Inc...................................... 4,900 11,025
*Unifab International, Inc............................ 10,400 76,050
Unifirst Corp......................................... 71,500 585,406
*Unify Corp........................................... 73,000 974,094
*Unimark Group, Inc................................... 89,600 67,200
*Uni-Marts, Inc....................................... 64,600 129,200
*Union Acceptance Corp. Class A....................... 40,700 202,228
Union Community Bancorp............................... 1,700 18,434
*Unique Mobility, Inc................................. 142,500 997,500
*Uniroyal Technology Corp............................. 238,300 3,797,906
*Unit Corp............................................ 192,700 2,541,231
*United American Healthcare Corp.,.................... 53,850 33,656
*United Auto Group, Inc............................... 36,000 321,750
*United Capital Corp.................................. 50,754 664,560
United Financial Corp. MN............................. 1,600 22,300
United Guardian, Inc.................................. 41,020 179,463
United Industrial Corp................................ 106,400 937,650
United National Bancorp............................... 965 17,732
*United Natural Foods, Inc............................ 43,000 651,719
*United Retail Group, Inc............................. 114,300 910,828
*United Road Services, Inc............................ 710 2,840
*United States Energy Corp............................ 76,500 219,938
United States Lime & Minerals, Inc.................... 14,300 101,888
United Wisconsin Services, Inc........................ 68,700 395,025
*Unitel Video, Inc.................................... 23,200 464
Unitil Corp........................................... 40,500 1,053,000
Unity Bancorp, Inc.................................... 10,100 42,609
*Universal American Financial Corp.................... 26,900 100,875
*Universal Electronics, Inc........................... 110,000 2,416,563
Universal Forest Products, Inc........................ 18,700 246,022
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Universal Stainless & Alloy Products, Inc............ 51,000 $ 350,625
*Uno Restaurant Corp.................................. 254,640 3,087,510
*Urban Outfitters, Inc................................ 29,000 262,813
*Urocor, Inc.......................................... 80,700 302,625
*Urologix, Inc........................................ 98,900 417,234
*Uromed Corp. New..................................... 45,660 130,559
*URS Corp............................................. 31,900 418,688
*Ursus Telecom Corp................................... 27,600 237,188
*US Can Corp.......................................... 56,500 932,250
*US Liquids, Inc...................................... 58,700 286,163
*US Xpress Enterprises, Inc. Class A.................. 82,000 576,563
*USA Detergents, Inc.................................. 119,900 307,244
*USA Floral Products, Inc............................. 57,300 47,452
*USA Truck, Inc....................................... 40,300 264,469
*USABancShares.com, Inc............................... 12,800 41,800
*USANA, Inc........................................... 14,900 66,584
*USData Corp.......................................... 87,000 421,406
*Utah Medical, Inc.................................... 59,800 418,600
*Utilx Corp........................................... 144,800 543,000
*V.I. Technologies, Inc............................... 23,300 168,925
*Valence Technology, Inc.............................. 163,700 2,388,997
*Valentis, Inc........................................ 155,834 1,178,495
*Valley National Gases, Inc........................... 8,900 44,500
Valley Resources, Inc................................. 37,487 890,316
*Vans, Inc............................................ 112,500 1,757,813
*Vari L Co., Inc...................................... 49,800 481,659
*Variflex, Inc........................................ 51,100 295,422
*VDI Media............................................ 50,100 336,609
*Venture Catalyst, Inc................................ 400 1,538
Venturian Corp........................................ 23,100 106,838
*Veramark Technologies, Inc........................... 62,900 233,909
*Verdant Brands, Inc.................................. 26,263 36,522
*Verilink Corp........................................ 121,400 842,213
*Vermont Pure Holdings, Ltd........................... 14,400 49,500
*Versant Object Technology Corp....................... 29,800 126,650
*Versar, Inc.......................................... 54,200 115,175
*Vertel Corp.......................................... 202,700 2,369,056
Vesta Insurance Group, Inc............................ 139,700 829,469
*Vestcom International, Inc........................... 66,500 261,844
*Viasat, Inc.......................................... 12,700 491,331
*Viasoft, Inc......................................... 111,100 921,783
*Vical, Inc........................................... 49,900 937,184
*Vicon Industries, Inc................................ 46,250 147,422
*Vicorp Restaurants, Inc.............................. 67,400 1,270,069
*Vidamed, Inc......................................... 500 891
*Video Display Corp................................... 41,750 296,164
*Video Services Corp.................................. 17,700 55,313
*Videonics, Inc....................................... 32,400 28,856
*Viisage Technology, Inc.............................. 41,400 122,259
*Virbac Corp.......................................... 18,100 46,381
Virco Manufacturing Corp.............................. 125,827 1,321,184
Virginia Gas Co....................................... 19,200 51,000
*Virtualfund.Com, Inc................................. 137,800 273,447
*Vision Sciences, Inc................................. 23,250 30,516
*Vision Twenty-One, Inc............................... 10,000 4,844
*VisionAmerica, Inc................................... 66,300 43,509
*Vista Eyecare, Inc................................... 208,600 65,188
*VISTA Information Solutions, Inc..................... 136,700 299,031
*Vista Medical Technologies, Inc...................... 95,000 68,281
*Visual Data Corp..................................... 43,700 153,633
Vital Signs, Inc...................................... 94,000 1,956,375
</TABLE>
167
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Vitalcom, Inc........................................ 68,800 $ 107,500
*Vitech America, Inc.................................. 105,780 631,374
*Vivus, Inc........................................... 184,400 1,066,063
*Vlasic Foods International, Inc...................... 25,000 54,688
*Vodavi Technology, Inc............................... 22,300 53,659
*V-ONE Corp........................................... 133,000 444,719
*Voxware, Inc......................................... 13,200 61,050
VRB Bancorp........................................... 12,000 61,500
*VTEL Corp............................................ 211,400 759,719
Vulcan International Corp............................. 10,951 362,067
*Vysis, Inc........................................... 89,000 698,094
*Wackenhut Corp. Class A.............................. 31,100 414,019
*Wackenhut Corp. Class B Non-Voting................... 45,900 378,675
*Wackenhut Corrections Corp........................... 45,200 293,800
Wainwright Bank & Trust Co............................ 200 1,444
*Walker Interactive Systems, Inc...................... 124,000 393,313
*Wall Street Deli, Inc................................ 14,800 16,188
*Warrantech Corp...................................... 117,000 102,375
Warren Bancorp, Inc................................... 162,800 1,226,088
Warwick Community Bancorp, Inc........................ 20,600 226,600
Washington Banking Co................................. 11,100 91,575
*Washington Homes, Inc................................ 63,600 341,850
Washington Savings Bank FSB........................... 28,912 92,157
Washington Trust Bancorp, Inc......................... 10,900 162,819
*Waste Industries, Inc................................ 47,400 405,122
*Waterlink, Inc....................................... 158,700 436,425
Waters Instruments, Inc............................... 500 2,078
*Wavo Corp............................................ 246,000 280,594
*Waxman Industries, Inc. Class B...................... 9,750 2,633
*Webco Industries, Inc................................ 33,600 132,300
*Webhire, Inc......................................... 89,900 241,606
Weider Nutrition International, Inc................... 31,700 103,025
*Weirton Steel Corp................................... 164,000 748,250
Wellco Enterprises, Inc............................... 12,300 98,400
*Wells-Gardner Electronics Corp....................... 41,200 141,625
West Coast Bancorp.................................... 63,595 691,596
*West Marine, Inc..................................... 99,900 808,566
*Westaff, Inc......................................... 131,150 565,584
Westbank Corp......................................... 6,900 59,513
*Westcoast Hospitality Corp........................... 115,500 895,125
*Westell Technologies, Inc............................ 179,880 2,973,641
*Westerbeke Corp...................................... 20,000 57,500
Westerfed Financial Corp.............................. 35,100 502,369
Western Ohio Financial Corp........................... 8,400 125,475
*Western Power & Equipment Corp....................... 9,900 55,378
*Western Water Co..................................... 71,400 16,734
*Weston (Roy F.), Inc. Class A........................ 56,600 178,644
*Wet Seal, Inc. Class A............................... 28,500 327,750
Weyco Group, Inc...................................... 1,200 29,550
*White Electronics Designs Corp....................... 130,856 1,300,382
*Whitman Education Group, Inc......................... 118,700 163,213
*WHX Corp............................................. 124,300 730,263
*Wickes Lumber Co..................................... 70,700 380,013
*William Lyon Homes................................... 41,800 266,475
*Williams Clayton Energy, Inc......................... 78,300 2,030,906
*Williams Controls, Inc............................... 107,200 177,550
*Williams Industries, Inc............................. 3,600 10,125
*Willis Lease Finance Corp............................ 63,600 480,975
*Wilshire Financial Sevices Group, Inc................ 1,002 1,566
*Wilshire Oil Co. of Texas............................ 142,975 491,477
*Wilsons The Leather Experts, Inc..................... 45,600 712,500
*Wire One Technologies, Inc........................... 25,600 156,000
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Wireless Telecom Group, Inc.......................... 149,200 $ 354,350
*Wireless Xcessories Group............................ 12,600 16,341
*Wiser Oil Co......................................... 70,400 211,200
*WLR Foods, Inc....................................... 128,086 592,398
*WMF Group, Ltd....................................... 26,300 229,714
*Wolf (Howard B.), Inc................................ 6,000 6
Wolohan Lumber Co..................................... 49,100 549,306
*Wolverine Tube, Inc.................................. 72,900 1,202,850
Woodhead Industries, Inc.............................. 176,550 2,852,386
*Workflow Management, Inc............................. 61,100 742,747
*Workgroup Technology Corp............................ 51,800 35,613
*World Acceptance Corp................................ 174,000 897,188
World Fuel Services Corp.............................. 104,700 713,269
*Worldpages.com, Inc.................................. 104,800 733,600
*Worldtex, Inc........................................ 141,800 57,606
*WPI Group, Inc....................................... 51,850 73,724
WSFS Financial Corp................................... 12,200 145,256
*Wyant Corp........................................... 666 957
*Xeta Corp............................................ 23,700 726,553
*Xetel Corp........................................... 74,200 129,850
*Xicor, Inc........................................... 152,400 1,033,463
*Xoma, Ltd............................................ 246,200 796,303
X-Rite, Inc........................................... 141,800 1,502,194
Yardville National Bancorp............................ 54,367 572,552
Yonkers Financial Corp................................ 7,400 111,463
York Financial Corp................................... 79,278 995,930
York Group, Inc....................................... 70,500 255,563
*York Research Corp................................... 126,300 132,220
*Youthstream Media Networks, Inc...................... 19,600 108,413
*Zamba Corporation.................................... 151,600 734,313
*Zap.com Corp......................................... 650 2,031
*Zapata Corp.......................................... 79,200 297,000
*Zaring National Corp................................. 22,100 73,897
*Zemex Corp........................................... 29,972 243,523
*Zevex International, Inc............................. 13,400 64,906
Ziegler Co., Inc...................................... 4,200 77,963
*Zila, Inc............................................ 6,435 20,813
*Zoll Medical Corp.................................... 43,500 2,172,281
*Zoltek Companies, Inc................................ 78,500 522,516
*Zonagen, Inc......................................... 22,900 70,847
*Zygo Corp............................................ 47,400 1,555,313
*Zymetx, Inc.......................................... 17,600 36,850
--------------
TOTAL COMMON STOCKS
(Cost $1,404,982,000)................................ 1,382,383,800
--------------
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holdings (Senior Preferred 12%)
(Cost $0)........................................... 33,400 16,867
--------------
RIGHTS/WARRANTS -- (0.0%)
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 42,600 1,938
*Golden Books Family Entertainment Warrants
01/01/02............................................ 114 107
*Intercontinental Telecom Corp. Warrants 04/30/02..... 15,680 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 86,900 0
*TransTexas Gas Corp. Warrants 06/30/02............... 823 0
</TABLE>
168
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Xinetix, Inc. Warrants 03/17/03...................... 4,556 $ 0
*Xytronyx, Inc. Warrants 08/11/01..................... 492 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $549,211)...................................... 2,045
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (3.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $43,505,963) to be
repurchased at $42,869,084
(Cost $42,862,000).................................. $ 42,862 42,862,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$1,448,393,211)++.................................... $1,425,264,712
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $1,448,421,467.
</TABLE>
See accompanying Notes to Financial Statements.
169
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
JAPAN -- (25.3%)
COMMON STOCKS -- (24.9%)
Aichi Bank, Ltd....................................... 10,500 $ 721,616
Aisin Seiki Co., Ltd.................................. 137,000 1,679,498
Amada Co., Ltd........................................ 376,000 3,247,549
Amano Corp............................................ 115,000 966,566
*Aomori Bank, Ltd..................................... 170,000 787,833
Aoyama Trading Co., Ltd............................... 41,100 490,490
Asahi Glass Co., Ltd.................................. 140,000 1,298,908
*Ashikaga Bank, Ltd................................... 808,000 1,650,893
Autobacs Seven Co., Ltd............................... 10,300 300,367
Awa Bank, Ltd......................................... 196,600 936,668
Bank of Iwate, Ltd.................................... 18,590 671,605
Bank of Kyoto, Ltd.................................... 347,400 1,803,543
Bank of Nagoya, Ltd................................... 185,000 1,080,705
*Bank of Osaka, Ltd................................... 315,000 637,752
Bank of Yokohama, Ltd................................. 978,000 4,178,127
Best Denki Co., Ltd................................... 153,000 947,768
Canon Sales Co., Inc.................................. 124,900 1,792,156
Casio Computer Co., Ltd............................... 60,000 573,949
Chiba Bank, Ltd....................................... 941,000 4,089,973
Chiyoda Fire and Marine Insurance Co., Ltd............ 444,150 1,423,094
Chudenko Corp......................................... 84,460 1,222,875
Chugoku Bank, Ltd..................................... 199,000 1,753,897
Chuo Mitsui Trust and Banking Co., Ltd................ 309,000 1,242,600
Citizen Watch Co., Ltd................................ 318,000 2,731,831
Cosmo Oil Co., Ltd.................................... 764,000 1,064,313
Dai Nippon Pharmaceutical Co., Ltd.................... 203,000 2,158,671
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 529,000 1,719,526
Daicel Chemical Industries, Ltd....................... 485,000 1,432,365
Daido Steel Co., Ltd.................................. 126,000 265,633
Daimaru, Inc.......................................... 79,000 225,242
Daio Paper Corp....................................... 3,000 23,181
Daisan Bank, Ltd...................................... 68,000 290,504
Daishi Bank, Ltd...................................... 355,000 1,302,298
Daito Trust Construction Co., Ltd..................... 180,784 3,441,904
Daiwa Bank, Ltd....................................... 500,000 1,267,703
Daiwa House Industry Co., Ltd......................... 663,000 4,919,775
Daiwa Securities Co., Ltd............................. 1,500,000 18,249,353
Dowa Fire & Marine Insurance Co., Ltd................. 383,000 939,048
Ehime Bank, Ltd....................................... 143,000 606,928
Ezaki Glico Co., Ltd.................................. 174,600 809,151
Fuji Photo Film Co., Ltd.............................. 355,000 12,396,558
Fujikura, Ltd......................................... 108,000 513,545
Fukui Bank, Ltd....................................... 343,000 936,540
Fukuoka City Bank, Ltd................................ 264,532 1,203,813
Fukuyama Transporting Co., Ltd........................ 266,000 1,610,698
Futaba Corp........................................... 16,000 595,867
Futaba Industrial Co., Ltd............................ 85,000 1,093,336
General Sekiyu KK..................................... 111,000 226,793
Gunma Bank, Ltd....................................... 146,000 795,932
*Hachijuni Bank, Ltd.................................. 45,000 288,368
Hankyu Department Stores, Inc......................... 54,000 266,301
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Hanshin Electric Railway Co., Ltd..................... 141,000 $ 392,849
Higo Bank, Ltd........................................ 308,000 1,138,462
*Hino Motors, Ltd..................................... 404,000 1,076,833
Hiroshima Bank, Ltd................................... 593,000 2,224,954
Hitachi Construction Machinery Co., Ltd............... 64,000 275,793
Hitachi Maxell, Ltd................................... 96,000 2,344,833
Hitachi Metals, Ltd................................... 360,000 2,975,620
Hitachi, Ltd.......................................... 3,717,000 46,050,390
Hokkoku Bank, Ltd..................................... 102,000 401,653
Hokuetsu Bank......................................... 275,330 805,469
Hokuetsu Paper Mills, Ltd............................. 162,000 1,262,298
*Hokuriku Bank, Ltd................................... 891,000 2,060,449
House Foods Corp...................................... 117,000 1,737,478
Hyakugo Bank, Ltd. (105th Bank)....................... 258,000 1,130,958
Hyakujishi Bank, Ltd.................................. 314,000 1,895,518
Inax Corp............................................. 309,000 1,764,894
*Ishikawajima-Harima Heavy Industries Co., Ltd........ 380,000 585,837
*Itochu Corp.......................................... 300,000 1,211,980
Itoham Foods, Inc..................................... 288,000 1,182,224
*Iyo Bank, Ltd........................................ 60,000 366,101
Izumi Co., Ltd........................................ 19,000 239,275
Japan Airport Terminal Co., Ltd....................... 29,000 237,009
*Japan Energy Corp.................................... 320,000 297,191
Joyo Bank, Ltd........................................ 245,000 953,378
Juroku Bank, Ltd...................................... 349,000 1,552,551
Kagoshima Bank, Ltd................................... 266,000 923,928
Kajima Corp........................................... 826,000 2,055,889
Kamigumi Co., Ltd..................................... 357,000 1,707,499
Kandenko Co., Ltd..................................... 266,000 988,158
Kansai Paint Co., Ltd., Osaka......................... 108,000 267,806
Katokichi Co., Ltd.................................... 30,000 752,263
*Kawasaki Heavy Industries, Ltd....................... 407,000 532,965
Kikkoman Corp......................................... 259,000 1,816,066
Kinden Corp........................................... 77,000 418,342
Kissei Pharmaceutical Co., Ltd........................ 41,000 664,453
Koa Fire & Marine Insurance Co., Ltd.................. 45,000 122,034
*Kobe Steel, Ltd...................................... 2,632,000 1,857,738
Koito Manufacturing Co., Ltd.......................... 146,000 713,220
Kokuyo Co., Ltd....................................... 38,000 568,191
Komatsu, Ltd.......................................... 1,279,000 7,875,334
Komori Corp........................................... 74,000 1,166,268
Konica Corp........................................... 71,000 435,198
Koyo Seiko Co......................................... 198,000 1,379,150
Kubota Corp........................................... 25,000 88,228
Lion Corp............................................. 325,000 1,385,418
Makita Corp........................................... 209,000 1,985,669
*Marubeni Corp........................................ 1,942,000 5,158,224
Maruichi Steel Tube, Ltd.............................. 117,000 1,322,395
Matsushita Electric Industrial Co., Ltd............... 1,933,000 45,688,254
Matsushita Electric Works, Ltd........................ 190,000 2,175,713
Michinoku Bank, Ltd................................... 187,000 1,128,859
Mitsubishi Electric Corp.............................. 200,000 1,965,172
Mitsubishi Gas Chemical Co., Inc...................... 548,000 1,419,939
Mitsubishi Heavy Industries, Ltd...................... 611,000 2,122,256
</TABLE>
170
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THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Mitsubishi Logistics Corp............................. 3,000 $ 23,961
*Mitsubishi Materials Corp............................ 975,000 3,241,698
*Mitsubishi Motors Corp............................... 866,000 2,814,951
Mitsui Chemicals, Inc................................. 800 5,654
*Mitsui Engineering and Shipbuilding Co., Ltd......... 781,000 587,518
Mori Seiki Co., Ltd................................... 121,000 1,798,002
Musashino Bank, Ltd................................... 26,000 1,009,333
Mycal Corp............................................ 93,000 281,569
NHK Spring Co., Ltd................................... 71,000 258,481
*NKK Corp............................................. 2,612,000 1,673,814
NTN Corp.............................................. 398,000 1,301,100
Nanto Bank, Ltd....................................... 288,000 1,500,515
National House Industrial Co., Ltd.................... 95,000 544,369
Nichirei Corp......................................... 366,000 1,074,121
Nifco, Inc............................................ 45,000 500,673
Nikko Securities Co., Ltd............................. 400,000 3,707,451
*Nippon Credit Bank, Ltd.............................. 1,683,000 0
Nippon Kayaku Co., Ltd................................ 53,000 253,002
Nippon Meat Packers, Inc., Osaka...................... 4,000 54,237
Nippon Mitsubishi Oil Company......................... 1,863,050 7,630,412
Nippon Sanso Corp..................................... 367,000 1,117,956
Nippon Shinpan Co., Ltd............................... 27,000 55,417
Nippon Shokubai Co., Ltd.............................. 163,000 749,338
Nishimatsu Construction Co., Ltd...................... 364,000 1,304,889
Nishi-Nippon Bank, Ltd................................ 85,540 336,837
Nissei Sangyo Co., Ltd................................ 110,050 1,410,438
Nisshin Flour Milling Co., Ltd........................ 96,000 873,740
Nisshin Steel Co., Ltd................................ 1,318,000 1,383,180
Nisshinbo Industries, Inc............................. 305,000 1,387,972
*Nissho Iwai Corp..................................... 544,000 510,276
North Pacific Bank, Ltd............................... 45,000 229,858
Obayashi Corp......................................... 520,000 1,980,032
Ogaki Kyoritsu Bank, Ltd.............................. 50,000 271,651
Oita Bank, Ltd........................................ 145,000 700,255
Oji Paper Co., Ltd.................................... 275,000 1,772,463
Okumura Corp.......................................... 322,000 971,906
Onward Kashiyama Co., Ltd............................. 3,000 40,121
Pioneer Electronic Corp............................... 182,000 5,560,991
Q.P. Corp............................................. 168,000 1,299,688
*Rinnai Corp.......................................... 1,000 21,639
Ryosan Co., Ltd....................................... 53,000 1,100,116
Sakura Bank, Ltd...................................... 816,000 6,039,951
San In Godo Bank, Ltd................................. 222,000 1,162,832
Sanyo Electric Co., Ltd............................... 2,565,000 18,962,053
*Sanyo Shinpan Finance Co., Ltd....................... 11,000 398,421
Seino Transportation Co., Ltd......................... 197,000 900,153
Sekisui Chemical Co., Ltd............................. 557,000 1,914,000
Sekisui House, Ltd.................................... 938,000 9,129,543
Shiga Bank, Ltd....................................... 272,000 1,225,168
*Shikoku Bank, Ltd.................................... 25,000 149,756
*Shima Seiki Manufacturing Co., Ltd................... 5,000 124,449
Shimachu Co., Ltd..................................... 20,200 337,307
Shimadzu Corp......................................... 181,000 934,627
Shimizu Corp.......................................... 997,000 2,361,132
Shinwa Bank, Ltd...................................... 50,000 144,416
*Shohkoh Fund & Co., Ltd.............................. 3,000 646,389
Showa Shell Sekiyu KK................................. 110,000 451,544
Snow Brand Milk Products Co., Ltd..................... 419,000 2,101,322
Stanley Electric Co., Ltd............................. 246,000 2,101,880
Sumitomo Corp......................................... 600,000 5,572,322
Sumitomo Forestry Co., Ltd............................ 139,000 864,917
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Sumitomo Metal Industries, Ltd. Osaka................ 1,481,000 $ 1,017,822
*Sumitomo Metal Mining Co., Ltd....................... 313,000 1,322,637
Sumitomo Realty & Development Co., Ltd................ 488,000 1,812,862
Sumitomo Trust & Banking Co., Ltd..................... 21,000 151,929
*Suzuken Co., Ltd..................................... 6,000 215,092
TOC Co., Ltd.......................................... 950 5,911
Taiheiyo Cement Corp.................................. 1,209,800 1,808,941
Taisei Corp........................................... 1,325,000 1,821,220
*Takara Standard Co., Ltd............................. 175,000 723,241
Takashimaya Co., Ltd.................................. 214,000 1,927,837
Tanabe Seiyaku Co., Ltd............................... 167,000 1,127,550
Teijin, Ltd........................................... 917,000 3,823,848
Teikoku Oil Co., Ltd.................................. 346,000 1,028,279
*Toda Corp............................................ 418,000 1,630,461
Toho Bank, Ltd........................................ 240,000 913,861
Tokuyama Corp......................................... 248,000 1,402,665
Tokyo Style Co., Ltd.................................. 133,000 1,198,142
*Tokyo Tomin Bank, Ltd................................ 30,900 1,030,239
Toppan Printing Co., Ltd.............................. 100,000 1,060,599
Toray Industries, Inc................................. 25,000 95,194
Toshiba TEC Corp...................................... 345,000 1,313,675
Tostem Corp........................................... 188,000 3,099,139
Toto, Ltd............................................. 247,000 1,660,812
Toyo Seikan Kaisha, Ltd............................... 287,600 5,082,912
Toyo Suisan Kaisha, Ltd............................... 116,000 1,034,223
Toyo Trust & Banking Co., Ltd......................... 728,000 2,461,034
Toyobo Co., Ltd....................................... 468,000 760,622
Toyoda Machine Works, Ltd............................. 38,000 356,443
Toyota Auto Body Co., Ltd............................. 86,000 813,076
Toyota Tsusho Corp.................................... 314,000 1,052,742
UNY Co., Ltd.......................................... 17,000 209,668
*Victor Co. of Japan, Ltd............................. 246,000 1,446,185
Wacoal Corp........................................... 149,000 1,249,565
Yamagata Bank, Ltd.................................... 153,700 789,376
Yamaguchi Bank........................................ 133,000 878,226
Yamaha Corp........................................... 60,000 546,087
Yamatake-Honeywell Co., Ltd........................... 87,000 864,546
Yamazaki Baking Co., Ltd.............................. 64,000 591,409
*Yasuda Trust & Banking Co., Ltd...................... 1,434,000 1,771,274
Yodogawa Steel Works, Ltd............................. 296,000 742,233
Yokogawa Electric Corp................................ 337,000 2,816,809
Yokohama Rubber Co., Ltd.............................. 410,000 963,362
--------------
TOTAL COMMON STOCKS
(Cost $475,494,171).................................. 419,205,789
--------------
INVESTMENT IN CURRENCY -- (0.4%)
*Japanese Yen
(Cost $7,348,432)................................... 7,303,233
--------------
TOTAL -- JAPAN
(Cost $482,842,603).................................. 426,509,022
--------------
UNITED KINGDOM -- (18.4%)
COMMON STOCKS -- (17.8%)
*3I Group P.L.C....................................... 41,000 775,839
Abbey National P.L.C.................................. 187,800 2,496,868
Aggregate Industries P.L.C............................ 1,317,091 1,353,451
Alliance & Leicester P.L.C............................ 348,000 3,110,530
*Allied Domecq P.L.C.................................. 869,994 4,330,265
Allied Zurich P.L.C................................... 402,000 4,506,520
Anglian Water P.L.C................................... 151,281 1,257,226
</TABLE>
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<S> <C> <C>
Antofagasta Holdings P.L.C............................ 160,000 $ 797,572
Arjo Wiggins Appleton P.L.C........................... 814,500 3,070,975
Associated British Foods P.L.C........................ 766,096 5,055,544
Associated British Ports Holdings P.L.C............... 375,400 1,630,026
BAA P.L.C............................................. 1,083,993 7,906,792
*BG Group P.L.C....................................... 2,666,548 15,982,614
BOC Group P.L.C....................................... 143,513 2,016,383
BPB P.L.C............................................. 458,500 2,535,684
Barclays P.L.C........................................ 359,555 9,345,853
Barratt Developments P.L.C............................ 226,000 780,323
*Bass P.L.C........................................... 682,070 7,452,472
Beazer Group P.L.C.................................... 239,257 452,386
Berkeley Group P.L.C.................................. 122,792 1,025,973
*Blue Circle Industries P.L.C......................... 338,731 2,154,312
*Bodycote International P.L.C......................... 210,360 647,716
Britannic P.L.C....................................... 181,600 2,482,296
British Airways P.L.C................................. 935,331 5,060,902
British Land Co. P.L.C................................ 502,381 3,003,635
British Vita P.L.C.................................... 216,100 833,352
*British-Borneo Petroleum Syndicate P.L.C............. 306,485 318,382
Brixton Estate P.L.C.................................. 235,685 757,398
Burford Holdings P.L.C................................ 337,000 501,195
CGU P.L.C............................................. 1,835,450 27,873,423
*Canary Wharf Group P.L.C............................. 468,000 2,500,783
Capital Shopping Centres P.L.C........................ 395,375 2,112,707
Caradon P.L.C......................................... 312,000 739,159
Carillion P.L.C....................................... 196,758 313,210
Chelsfield P.L.C...................................... 238,165 1,142,713
*Chorion P.L.C........................................ 98,404 63,614
Cookson Group P.L.C................................... 608,692 1,876,487
*Corus Group P.L.C.................................... 2,724,027 3,990,171
DeVere Group P.L.C.................................... 106,442 499,570
*Debenhams P.L.C...................................... 302,000 1,020,163
Enterprise Oil P.L.C.................................. 354,000 2,523,921
Glynwed International P.L.C........................... 178,000 622,572
Great Portland Estates P.L.C.......................... 197,275 656,079
Great Universal Stores P.L.C.......................... 819,700 5,090,729
Halifax P.L.C......................................... 130,000 1,277,595
Hammerson P.L.C....................................... 280,000 1,724,286
Hanson P.L.C.......................................... 599,300 4,250,446
Hilton Group P.L.C.................................... 1,251,117 4,619,010
Hyder P.L.C........................................... 90,415 410,836
IMI P.L.C............................................. 24,000 97,933
Imperial Chemical Industries P.L.C.................... 300,000 2,403,478
*Independent Insurance Group P.L.C.................... 130,000 478,005
Invensys P.L.C........................................ 3,390 11,654
Johnson Matthey P.L.C................................. 178,000 2,035,333
Kelda Group P.L.C..................................... 161,510 784,579
*LaPorte P.L.C........................................ 13,000 103,956
*Laporte P.L.C. Series B.............................. 208,000 3,109
Lasmo P.L.C........................................... 989,335 1,759,723
Lex Service P.L.C..................................... 121,933 756,351
Lonmin P.L.C.......................................... 236,002 2,187,064
Marks & Spencer P.L.C................................. 1,273,167 4,738,477
Mersey Docks & Harbour Co. P.L.C...................... 53,050 381,403
Millennium and Copthorne Hotels P.L.C................. 258,000 1,521,321
*Morgan Crucible Company P.L.C........................ 16,000 51,298
*National Power P.L.C................................. 755,400 4,149,429
*Northern Foods P.L.C................................. 433,000 747,522
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Northern Rock P.L.C................................... 344,000 $ 1,671,075
Peel Holdings P.L.C................................... 45,400 342,690
Peninsular & Oriental Steam Navigation Co............. 481,909 5,049,369
Pennon Group P.L.C.................................... 46,080 385,704
Pilkington P.L.C...................................... 1,117,167 1,377,609
Pillar Property P.L.C................................. 21,250 99,099
Powergen P.L.C........................................ 530,177 3,486,804
RMC Group P.L.C....................................... 252,000 3,167,748
*Railtrack Group P.L.C................................ 352,000 4,419,529
Rank Group P.L.C...................................... 793,530 1,672,386
Rexam P.L.C........................................... 402,813 1,414,899
Rio Tinto P.L.C....................................... 638,926 9,425,877
Rolls-Royce P.L.C..................................... 903,049 3,320,477
Royal & Sun Alliance Insurance Group P.L.C............ 1,476,831 8,785,529
*Royal Bank of Scotland Group P.L.C................... 965,021 15,866,586
Safeway P.L.C......................................... 1,085,055 3,969,433
Sainsbury (J.) P.L.C.................................. 1,566,117 7,139,669
Scottish & Newcastle P.L.C............................ 507,900 4,387,934
Severn Trent P.L.C.................................... 210,597 1,910,711
Shell Transport & Trading Co., P.L.C.................. 304,390 2,517,131
Signet Group P.L.C.................................... 803,000 600,122
Slough Estates P.L.C.................................. 399,400 2,143,170
*Smith (David S.) Holdings P.L.C...................... 298,000 643,633
*Smith (W.H.) P.L.C................................... 203,000 1,168,183
Somerfield P.L.C...................................... 165,142 124,653
*Stagecoach Holdings P.L.C............................ 1,166,000 1,045,692
Tate & Lyle P.L.C..................................... 443,200 1,659,440
Taylor Woodrow P.L.C.................................. 396,277 900,319
Tesco P.L.C........................................... 4,395,931 13,272,608
Thames Water P.L.C.................................... 165,347 1,982,096
Thistle Hotels P.L.C.................................. 466,707 892,911
Trinity P.L.C......................................... 160,450 1,280,663
Unigate P.L.C......................................... 233,600 1,068,435
Unilever P.L.C........................................ 800,000 5,276,291
United Utilities P.L.C................................ 265,595 2,504,974
Whitbread P.L.C....................................... 489,242 4,100,597
Wilson Bowden P.L.C................................... 96,900 863,949
*Wimpey (George) P.L.C................................ 348,650 581,057
*Wolseley P.L.C....................................... 467,582 2,372,748
--------------
TOTAL COMMON STOCKS
(Cost $285,771,640).................................. 300,052,393
--------------
INVESTMENT IN CURRENCY -- (0.6%)
*British Pound Sterling
(Cost $10,063,210).................................. 10,050,438
--------------
TOTAL -- UNITED KINGDOM
(Cost $295,834,850).................................. 310,102,831
--------------
FRANCE -- (9.9%)
COMMON STOCKS -- (9.9%)
AGF (Assurances Generales de France SA)............... 103,514 5,231,956
*Air Liquide.......................................... 7,150 997,955
Aventis............................................... 140,000 9,049,598
Banque Nationale de Paris............................. 324,843 29,146,938
Bongrain SA........................................... 1,653 448,402
Christian Dior SA..................................... 31,100 7,066,346
Colas SA.............................................. 5,070 934,744
Credit Commercial de France........................... 6,300 888,665
*Credit Lyonnais SA................................... 15,000 640,464
</TABLE>
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SHARES VALUE+
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<S> <C> <C>
De la Rue Imperiale de Lyon........................... 500 $ 953,834
Eridania Beghin-Say SA................................ 18,900 1,723,870
Esso SA............................................... 8,476 494,829
*Euro Disney SCA...................................... 758,586 548,742
*Faurecia SA.......................................... 6,750 282,951
Fimalac SA............................................ 2,500 361,687
Fonciere Lyonnaise SA................................. 3,968 406,265
Fromageries Bel la Vache qui Rit...................... 775 493,772
GTM Entrepose......................................... 21,077 1,759,218
Generale des Establissements Michelin SA Series B..... 75,500 2,485,672
Groupe Danone......................................... 42,500 9,897,012
Hachette Filipacchi Medias............................ 6,500 446,382
Imerys................................................ 11,000 1,356,790
LaFarge SA............................................ 76,032 5,852,521
Labinal SA............................................ 6,400 784,657
Lapeyre SA............................................ 12,300 584,041
Pechiney SA Series A.................................. 55,475 2,268,843
Pernod-Ricard SA...................................... 38,900 2,038,292
Peugeot SA............................................ 37,150 7,579,664
Rallye SA............................................. 17,220 921,462
*Remy Cointreau SA.................................... 27,400 592,073
SEB SA................................................ 9,000 555,885
SILIC (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 200 28,583
Saint-Gobain.......................................... 65,436 9,072,488
*Societe des Ciments de Francais...................... 21,500 1,086,684
Societe Financiere Interbail SA....................... 11,550 279,570
Societe Generale, Paris............................... 281,728 16,159,881
Suez Lyonnaise des Eaux SA............................ 30,000 5,007,976
Thomson-CSF........................................... 87,203 3,364,288
Total SA.............................................. 200,000 31,327,670
Usinor................................................ 167,800 2,007,475
Valeo SA.............................................. 46,400 2,336,610
--------------
TOTAL COMMON STOCKS
(Cost $104,756,556).................................. 167,464,755
--------------
RIGHTS/WARRANTS -- (0.0%)
*Banque Nationale de Paris
CVG Rights 07/15/02
(Cost $226,784)..................................... 58,864 272,953
--------------
TOTAL -- FRANCE
(Cost $104,983,340).................................. 167,737,708
--------------
GERMANY -- (9.5%)
COMMON STOCKS -- (9.5%)
AGIV AG fuer Industrie & Verkehrswesen................ 57,800 1,029,195
BASF AG............................................... 640,050 26,058,348
BHW Holding AG, Berlin................................ 167,300 2,901,389
*Bankgesellschaft Berlin AG........................... 233,550 3,627,965
Bayer AG.............................................. 168,100 6,485,291
Bayerische Vereinsbank AG............................. 290,000 18,449,753
Berliner Kraft & Licht Bewag AG....................... 177,600 1,976,481
Bilfinger & Berger Bau AG, Mannheim................... 46,500 692,144
Commerzbank AG........................................ 408,050 14,966,778
Continental AG........................................ 44,100 803,655
DBV Holding AG........................................ 44,000 1,530,215
DaimlerChrysler AG, Stuttgart......................... 15,400 848,351
Degussa-Huels AG...................................... 7,800 238,714
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Deutsche Bank AG..................................... 359,305 $ 27,124,149
Deutsche Lufthansa AG................................. 305,250 7,303,715
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 46,400 4,823,831
Dresdner Bank AG...................................... 331,200 13,361,279
Dyckerhoff AG......................................... 22,750 643,502
*FPB Holding AG....................................... 5,789 869,735
Fresenius Medical Care AG............................. 37,600 3,086,026
*Gehe AG.............................................. 3,600 119,190
*Heidelberger Druckmaschinen AG....................... 4,200 273,436
Heidelberger Zement AG, Heidelberg.................... 27,170 1,592,484
Hochtief AG........................................... 91,150 2,886,794
*Hoechst AG........................................... 27,900 835,748
*Holzmann (Philipp) AG................................ 1,860 32,774
Karstadt Quelle AG.................................... 70,000 2,350,039
Linde AG.............................................. 76,000 3,094,187
MAN AG................................................ 140,000 4,777,980
Merck KGAA............................................ 58,000 1,850,354
SCA Hygiene Products AG............................... 3,550 658,456
Thyssen Krupp AG...................................... 108,750 1,916,246
Veba AG............................................... 24,000 1,202,359
Vereins & Westbank AG................................. 73,187 1,846,168
Volkswagen AG......................................... 15,550 625,876
--------------
TOTAL -- GERMANY
(Cost $125,346,445).................................. 160,882,607
--------------
NETHERLANDS -- (7.1%)
COMMON STOCKS -- (7.1%)
ABN-AMRO Holding NV................................... 1,349,245 30,656,696
Asr Verzekeringsgroep NV.............................. 41,692 2,145,923
Buhrmann NV........................................... 82,274 2,491,232
DSM NV................................................ 127,665 4,143,891
Fortis (NL)........................................... 558,051 14,594,575
Ing Groep NV.......................................... 732,972 43,579,437
KLM (Koninklijke Luchtvaart Mij) NV................... 61,019 1,355,311
Koninklijke KPN NV.................................... 21,132 1,897,075
Koninklijke Vopak NV.................................. 38,986 885,815
*NV Holdingsmij de Telegraaf.......................... 6,800 163,650
Royal Philips Electronics NV, Eindhoven............... 404,800 17,967,252
Vendex KBB NV......................................... 11,391 201,773
--------------
TOTAL COMMON STOCKS
(Cost $59,212,684)................................... 120,082,630
--------------
RIGHTS/WARRANTS -- (0.0%)
*Fortis (NL) Rights 06/19/00
(Cost $0)........................................... 558,051 0
--------------
TOTAL -- NETHERLANDS
(Cost $59,212,684)................................... 120,082,630
--------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
Ascom Holding AG, Bern................................ 1,410 4,242,503
Baloise-Holding, Basel................................ 26,676 24,897,747
Banque Cantonale Vaudois.............................. 5,795 1,801,760
Bobst SA, Prilly...................................... 513 729,403
Ciba Spezialitaetenchemie Holding AG.................. 2,100 129,160
Financiere Richemont AG............................... 8,973 22,234,113
Fischer (Georg) AG, Schaffhausen (Namen).............. 12,987 4,099,166
Helvetia Patria Holding, St. Gallen................... 4,830 3,761,438
</TABLE>
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<TABLE>
<CAPTION>
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Intershop Holding AG, Zuerich......................... 5,400 $ 3,010,637
Jelmoli Holding AG, Zuerich........................... 500 646,021
Pargesa Holding SA, Geneve............................ 1,935 4,018,431
Roche Holding AG, Basel............................... 892 10,367,259
Sairgroup, Zuerich.................................... 37,480 6,887,958
Schindler Holding AG, Hergiswil Partizipsch........... 3,469 5,341,678
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 8,066 4,520,794
Sika Finanz AG, Baar.................................. 1,280 432,710
*Sulzer AG, Winterthur................................ 8,280 5,554,227
*UBS AG............................................... 14,000 1,881,132
*Unaxis Holding AG.................................... 44,781 10,435,752
--------------
TOTAL COMMON STOCKS
(Cost $82,782,991)................................... 114,991,889
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $171,047)..................................... 175,238
--------------
RIGHTS/WARRANTS/OPTIONS -- (0.0%)
*Baloise-Holding, Basel Put Options 06/16/00
(Cost $0)........................................... 26,676 87,976
--------------
TOTAL -- SWITZERLAND
(Cost $82,954,038)................................... 115,255,103
--------------
ITALY -- (4.0%)
COMMON STOCKS -- (4.0%)
Banca Commerciale Italiana SpA........................ 741,970 3,523,098
Banca di Roma......................................... 7,168,500 7,705,134
Banca Intesa SpA, Milano.............................. 4,824,356 18,925,535
Banca Popolare di Milano.............................. 159,000 1,029,250
Banca Toscana......................................... 607,000 1,981,526
CIR SpA (Cie Industriale Riunite), Torino............. 400,000 1,276,106
Cartiere Burgo SpA.................................... 235,000 2,218,626
*Compagnia di Partecipazioni Assicurative Industriali
SpA................................................. 902,500 1,146,664
Fabbrica Italiana Magneti Marelli SpA................. 350,000 1,778,759
Fiat SpA.............................................. 399,789 10,095,944
IFIL Finanziaria Partecipazioni SpA................... 510,187 3,856,164
Italcementi Fabriche Riunite Cemento SpA, Bergamo..... 378,560 3,412,475
Milano Assicurazioni SpA.............................. 199,000 614,562
Parmalat Finanziaria SpA.............................. 900,000 1,113,440
SAI SpA (Sta Assicuratrice Industriale), Torino....... 32,000 486,107
San Paolo-IMI SpA..................................... 400,000 5,824,090
Sirti SpA............................................. 25,000 45,675
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 168,350 2,473,072
--------------
TOTAL -- ITALY
(Cost $46,205,794)................................... 67,506,227
--------------
</TABLE>
<TABLE>
SPAIN -- (2.9%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (2.9%)
Aceralia Corporacion Siderurgica SA................... 22,500 $ 235,375
Acerinox SA........................................... 154,740 5,223,630
Aumar (Autopistas del Mare Nostrum SA)................ 176,800 2,666,068
Autopistas Concesionaria Espanola SA.................. 453,789 4,292,621
Azucarera Ebro Agricolas SA........................... 111,600 1,354,791
Banco Pastor SA, La Coruna............................ 39,600 1,604,155
Cementos Portland SA.................................. 26,000 542,772
Cia Espanola de Petroleous SA......................... 449,382 4,000,878
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda......................... 36,300 506,317
Endesa SA, Madrid..................................... 190,892 3,933,691
Grupo Dragados SA, Madrid............................. 456,567 3,353,499
Hidroelectrica del Cantabrico SA...................... 299,700 6,098,062
Iberdrola SA.......................................... 535,000 6,797,399
Metrovacesa SA........................................ 94,462 1,638,201
Union Electrica Fenosa SA............................. 230,000 4,767,315
Vallehermoso SA....................................... 240,000 1,540,231
--------------
TOTAL -- SPAIN
(Cost $43,251,650)................................... 48,555,005
--------------
SWEDEN -- (2.8%)
COMMON STOCKS -- (2.6%)
Assidomaen AB......................................... 213,850 3,689,503
Gambro AB Series A.................................... 351,000 2,609,217
Gambro AB Series B.................................... 131,730 971,929
Holmen AB Series A.................................... 6,300 160,767
Holmen AB Series B.................................... 119,200 3,041,812
*Invik and Co. AB Series A............................ 32 3,391
*Invik and Co. AB Series B............................ 360 42,418
NCC AB Series A....................................... 45,400 362,674
NCC AB Series B....................................... 100,000 776,652
Perstorp AB Series B.................................. 77,800 949,512
SSAB Swedish Steel Series A........................... 129,900 1,376,388
SSAB Swedish Steel Series B........................... 48,000 495,282
Skandinaviska Enskilda Banken Series A................ 196,000 2,131,132
Skandinaviska Enskilda Banken Series C................ 9,800 97,858
Svedala Industri...................................... 28,700 366,191
Svenska Cellulosa AB Series A......................... 57,000 1,132,025
Svenska Cellulosa AB Series B......................... 266,500 5,337,067
Svenska Handelsbanken Series A........................ 240,000 3,381,763
Svenska Kullagerfabriken AB Series A.................. 68,400 1,191,472
Svenska Kullagerfabriken AB Series B.................. 89,700 1,637,143
Sydkraft AB Series C.................................. 6,600 109,841
Trelleborg AB Series B................................ 146,400 974,587
Volvo AB Series A..................................... 194,100 4,479,372
Volvo AB Series B..................................... 373,100 8,837,946
--------------
TOTAL COMMON STOCKS
(Cost $45,131,205)................................... 44,155,942
--------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swedish Krona
(Cost $2,970,935)................................... 2,976,248
--------------
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Volvo AB Series A Redemption Rights 06/30/00......... 192,600 $ 119,666
*Volvo AB Series B Redemption Rights 06/30/00......... 329,800 210,400
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 330,066
--------------
TOTAL -- SWEDEN
(Cost $48,102,140)................................... 47,462,256
--------------
AUSTRALIA -- (2.1%)
COMMON STOCKS -- (2.0%)
AMP, Ltd.............................................. 114,900 997,737
Amcor, Ltd............................................ 505,844 1,454,454
Boral, Ltd............................................ 520,213 560,913
CSR, Ltd.............................................. 842,897 1,942,713
Colonial, Ltd......................................... 245,789 1,319,346
Goodman Fielder, Ltd.................................. 951,430 673,056
*Hanson P.L.C......................................... 65,823 443,862
MIM Holdings.......................................... 1,426,238 667,204
Mayne Nickless, Ltd................................... 96,541 166,330
Normandy Mining, Ltd.................................. 1,279,840 606,019
North, Ltd............................................ 560,737 882,919
Orica, Ltd............................................ 202,068 818,481
*Origin Energy, Ltd................................... 520,213 409,556
Pacific Dunlop, Ltd................................... 756,467 720,708
*Paperlinx, Ltd....................................... 168,615 292,430
*Pasminco, Ltd........................................ 292,385 151,792
Quantas Airways, Ltd.................................. 906,085 1,674,815
Rio Tinto, Ltd........................................ 509,374 7,274,779
Santos, Ltd........................................... 369,827 949,432
Seven Network, Ltd.................................... 34,926 131,506
St. George Bank, Ltd.................................. 359,871 2,397,963
Stockland Trust Group................................. 162,426 329,882
Suncorp-Metway Limited................................ 52,500 247,306
WMC, Ltd.............................................. 844,189 3,461,307
Westpac Banking Corp.................................. 731,773 4,988,811
--------------
TOTAL COMMON STOCKS
(Cost $38,580,865)................................... 33,563,321
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $1,117,571)................................... 1,108,241
--------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $126)......................................... 92 95
--------------
RIGHTS/WARRANTS -- (0.0%)
*AMP, Ltd. Contingent Payment Rights
(Cost $0)........................................... 161,533 0
--------------
TOTAL -- AUSTRALIA
(Cost $39,698,562)................................... 34,671,657
--------------
HONG KONG -- (1.9%)
COMMON STOCKS -- (1.9%)
Amoy Properties, Ltd.................................. 4,570,500 2,712,855
*China Overseas Land & Investment, Ltd................ 868,000 70,180
Great Eagle Holdings, Ltd............................. 698,910 919,382
HKR International, Ltd................................ 1,077,384 407,891
Hang Lung Development Co., Ltd........................ 2,126,000 1,336,935
Hysan Development Co., Ltd............................ 1,683,822 1,826,013
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kerry Properties, Ltd................................. 1,261,000 $ 1,229,928
New World Development Co., Ltd........................ 2,246,105 2,248,411
*New World Infrastructure, Ltd........................ 880,800 712,146
Shangri-La Asia, Ltd.................................. 2,982,000 3,042,467
Sino Land Co., Ltd.................................... 4,976,107 1,676,371
Swire Pacific, Ltd. Series A.......................... 1,062,000 6,133,214
Tsim Sha Tsui Properties, Ltd......................... 1,352,000 850,205
Wharf Holdings, Ltd................................... 3,776,914 6,786,036
Wheelock and Co., Ltd................................. 3,243,000 2,018,551
--------------
TOTAL COMMON STOCKS
(Cost $56,667,986)................................... 31,970,585
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $136,667)..................................... 136,668
--------------
TOTAL -- HONG KONG
(Cost $56,804,653)................................... 32,107,253
--------------
FINLAND -- (1.6%)
COMMON STOCKS -- (1.6%)
Fortum Oyj............................................ 802,360 2,976,444
Huhtamaki Van Leer Oyj................................ 44,600 1,398,041
Kemira Oyj............................................ 265,300 1,402,428
Kesko Oyj............................................. 221,200 2,197,066
Metra Oyj Series B.................................... 82,300 1,488,343
Metsa-Serla Oyj Series B.............................. 403,500 3,124,629
Metso Oyj............................................. 112,709 1,463,373
Outokumpu Oyj Series A................................ 329,300 3,512,028
Rautaruukki Oy Series K............................... 237,100 1,198,385
Sanitec Oyj........................................... 16,687 162,493
Stora Enso Oyj Series A............................... 133,700 1,277,136
Stora Enso Oyj Series R............................... 408,700 3,828,199
Upm-Kymmene Oyj....................................... 128,500 3,241,459
Uponor Oyj Series A................................... 20,000 367,251
--------------
TOTAL -- FINLAND
(Cost $31,903,962)................................... 27,637,275
--------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
*Banque Bruxelles Lambert VVPR........................ 128 3
Bekaert SA............................................ 34,000 1,750,009
Cofinimmo SA.......................................... 300 26,153
Electrafina SA........................................ 8,000 1,069,110
*Fortis AG............................................ 32,270 242,112
Fortis AG VVPR........................................ 290,430 2,693
*Glaverbel SA VVPR.................................... 22 0
Groupe Bruxelles Lambert SA, Bruxelles................ 6,300 1,507,401
*Heidelberger Zement AG............................... 7,666 437,232
*Heidelberger Zement AG VVPR.......................... 7,666 71
Nationale a Portefeuille.............................. 4,029 373,651
Sofina SA............................................. 10,500 345,592
Solvay SA............................................. 101,490 6,776,793
Suez Lyonnaise des Eaux SA............................ 19,080 3,162,069
*Suez Lyonnaise des Eaux SA CVG....................... 19,080 108,293
*Suez Lyonnaise des Eaux SA VVPR...................... 19,080 177
Tessenderlo Chemie.................................... 14,400 572,912
Union Miniere SA...................................... 40,200 1,421,175
--------------
TOTAL -- BELGIUM
(Cost $15,868,924)................................... 17,795,446
--------------
</TABLE>
175
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
DENMARK -- (1.0%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (1.0%)
Carlsberg A.S. Series B............................... 38,150 $ 1,232,096
Codan A.S............................................. 2,554 166,555
Danisco A.S........................................... 52,630 1,889,330
Den Danske Bank A.S................................... 44,140 5,099,081
FLS Industries........................................ 2,740 41,863
Jyske Bank A.S........................................ 49,950 930,686
*Nordic Baltic Holding AB............................. 925,918 5,923,199
Realdanmark A.S....................................... 45,814 1,490,995
--------------
TOTAL COMMON STOCKS
(Cost $15,349,214)................................... 16,773,805
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $272,005)..................................... 270,745
--------------
TOTAL -- DENMARK
(Cost $15,621,219)................................... 17,044,550
--------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
City Developments, Ltd................................ 120,000 401,588
Fraser & Neave, Ltd................................... 769,000 2,285,099
Keppel Corp., Ltd..................................... 1,379,000 2,625,727
Keppel Land, Ltd...................................... 1,200,000 1,107,829
Keppel Tatlee Bank, Ltd............................... 1,084,000 1,901,403
Natsteel, Ltd......................................... 261,000 271,072
*Neptune Orient Lines, Ltd............................ 1,162,000 878,312
Singapore Airlines, Ltd............................... 40,000 348,504
Singapore Land, Ltd................................... 1,048,000 1,674,991
--------------
TOTAL COMMON STOCKS
(Cost $18,975,896)................................... 11,494,525
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars
(Cost $983,429)..................................... 982,793
--------------
TOTAL -- SINGAPORE
(Cost $19,959,325)................................... 12,477,318
--------------
EMU -- (0.6%)
INVESTMENT IN CURRENCY -- (0.6%)
*Euro Currency
(Cost $10,701,107).................................. 10,775,492
--------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A.............................. 105,892 2,185,947
Den Norske Bank ASA Series A.......................... 589,194 2,090,693
*Kvaerner ASA......................................... 93,451 1,074,053
Norsk Hydro ASA....................................... 31,700 1,211,503
Norske Skogindustrier ASA Series A.................... 30,000 920,577
--------------
TOTAL -- NORWAY
(Cost $10,668,009)................................... 7,482,773
--------------
</TABLE>
<TABLE>
PORTUGAL -- (0.4%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (0.4%)
Banco Espirito Santo e Comercial de Lisboa............ 49,292 $ 1,149,696
Cimpor Cimentos de Portugal SA........................ 100,653 1,533,673
Portugal Telecom SA................................... 300,000 3,255,184
--------------
TOTAL -- PORTUGAL
(Cost $5,595,196).................................... 5,938,553
--------------
IRELAND -- (0.3%)
COMMON STOCKS -- (0.3%)
*Allied Irish Banks P.L.C............................. 35,520 326,119
Independent News & Media P.L.C........................ 247,505 1,928,110
Jefferson Smurfit Group P.L.C......................... 1,432,273 2,789,418
--------------
TOTAL -- IRELAND
(Cost $4,679,359).................................... 5,043,647
--------------
AUSTRIA -- (0.2%)
COMMON STOCKS -- (0.2%)
*Bank Austria AG...................................... 47,110 2,223,818
Voest-Alpine Stahl AG................................. 23,100 638,406
--------------
TOTAL -- AUSTRIA
(Cost $3,016,013).................................... 2,862,224
--------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd............................... 1,509,500 1,213,297
Lion Nathan, Ltd...................................... 476,400 948,593
--------------
TOTAL COMMON STOCKS
(Cost $3,178,164).................................... 2,161,890
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $17,982)...................................... 16,588
--------------
TOTAL -- NEW ZEALAND
(Cost $3,196,146).................................... 2,178,478
--------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Rekapacific Berhad
(Cost $1,085,453)................................... 691,000 83,647
--------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (2.8%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $47,737,086) to be
repurchased at $47,038,773.
(Cost $47,031,000).................................. $ 47,031 47,031,000
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $1,554,562,472)++... $1,687,222,702
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $1,554,650,314.
</TABLE>
See accompanying Notes to Financial Statements.
176
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
JAPAN -- (97.0%)
COMMON STOCKS -- (96.9%)
*ASK Corp., Yokohama.................................. 64,000 $ 62,410
Achilles Corp......................................... 549,000 831,084
Aica Kogyo Co., Ltd................................... 164,000 1,163,649
*Aichi Corp........................................... 57,000 85,229
Aichi Machine Industry Co., Ltd....................... 157,000 345,568
Aichi Steel Works, Ltd................................ 292,000 886,779
Aichi Tokei Denki Co., Ltd............................ 67,000 188,539
Aida Engineering, Ltd................................. 160,000 604,783
Air Water, Inc........................................ 196,000 682,609
Airport Facilities Co., Ltd........................... 40,700 160,267
*Akai Electric Co., Ltd............................... 363,000 91,024
*Akebono Brake Industry Co., Ltd...................... 141,000 281,542
Amada Co., Ltd........................................ 89,046 769,099
Amada Sonoike Co., Ltd................................ 191,414 396,427
Ando Corp............................................. 120,000 212,863
Anest Iwata Corp...................................... 74,000 103,088
*Aoki Corp............................................ 70,000 28,605
Aoki International Co., Ltd........................... 74,200 249,458
*Arabian Oil Co., Ltd................................. 48,300 166,869
Arai-Gumi, Ltd........................................ 49,300 65,474
Araya Industrial Co., Ltd............................. 84,000 89,714
Asahi Denka Kogyo KK.................................. 169,000 1,175,583
Asahi Diamond Industrial Co., Ltd..................... 68,000 371,339
Asahi Kogyosha Co., Ltd............................... 48,000 100,302
Asahi Optical Co., Ltd................................ 102,000 241,560
Asahi Organic Chemicals Industry Co., Ltd............. 259,000 692,751
*Asahi Tec Corp....................................... 86,000 113,415
Asanuma Corp.......................................... 145,000 193,917
Ashimori Industry Co., Ltd............................ 84,000 163,046
*Asics Corp........................................... 333,000 352,561
*Atsugi Nylon Industrial Co., Ltd..................... 303,000 292,658
Azel Corp., Tokyo..................................... 89,000 252,101
Bando Chemical Industries, Ltd........................ 213,000 417,395
Bank of Okinawa, Ltd.................................. 19,300 442,730
*Bank of Osaka, Ltd................................... 185,000 374,553
Bank of the Ryukyus, Ltd.............................. 20,280 285,342
Bunka Shutter Co., Ltd................................ 134,000 263,831
CKD Corp.............................................. 113,000 746,162
*Cabin Co., Ltd....................................... 67,000 80,892
Calpis Co., Ltd....................................... 66,000 319,963
Calsonic Corp......................................... 261,000 557,511
Canon Electronics, Inc................................ 25,000 213,141
Central Finance Co., Ltd.............................. 180,000 529,928
Central Glass Co., Ltd................................ 184,000 485,312
Cesar Co.............................................. 79,000 161,412
*Chiba Kogyo Bank, Ltd................................ 38,100 399,134
Chino Corp............................................ 70,000 145,623
*Chisan Tokan Co., Ltd................................ 64,000 54,683
*Chiyoda Corp......................................... 226,000 228,781
*Chori Co., Ltd....................................... 175,000 175,528
*Chuetsu Pulp and Paper Co., Ltd...................... 172,000 354,623
Chugai Ro Co., Ltd.................................... 139,000 475,059
Chugoku Marine Paints, Ltd............................ 111,000 215,454
Chugokukogyo Co., Ltd................................. 45,000 67,286
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Chukyo Coca-Cola Bottling Co., Ltd.................... 40,000 $ 412,723
Chukyo Sogo Bank, Ltd................................. 118,000 470,137
*Chuo Paperboard Co., Ltd............................. 76,000 69,877
Chuo Spring Co., Ltd., Nagoya......................... 99,000 362,257
Cleanup Corp.......................................... 41,000 180,868
*Co-Op Chemical Co., Ltd.............................. 80,000 66,868
D'urban, Inc.......................................... 114,000 298,565
Dai Nippon Toryo, Ltd................................. 193,000 308,298
Dai-Dan Co., Ltd...................................... 80,000 309,078
*Daido Concrete Co., Ltd.............................. 33,000 0
Daido Kogyo Co., Ltd.................................. 60,000 127,049
*Daido Steel Sheet Corp............................... 84,000 152,124
Daidoh, Ltd........................................... 54,000 129,891
Daihen Corp........................................... 205,000 373,160
Daiho Corp............................................ 96,000 146,218
Daiichi Cement Co., Ltd............................... 33,000 47,198
*Daiichi Chuo Kisen Kaisha............................ 390,000 184,722
*Dai-Ichi Hotel, Ltd., Tokyo.......................... 52,000 3,381
Dai-Ichi Jitsugyo Co., Ltd............................ 80,000 135,222
*Dai-Ichi Katei Denki Co., Ltd........................ 91,000 50,708
*Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 47,000 140,989
Daiken Corp........................................... 110,000 295,240
Daiki Co., Ltd........................................ 31,000 369,956
*Daikyo, Inc.......................................... 268,000 572,463
Daimei Telecom Engineering Corp....................... 66,000 590,889
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 163,000 552,542
Daiso Co., Ltd........................................ 112,000 249,640
*Daisue Construction Co., Ltd......................... 185,000 121,987
*Daisyo Corp.......................................... 14,000 145,623
*Daito Woolen Spinning & Weaving Co., Ltd., Tokyo..... 42,000 39,396
*Daiwa Danchi Co., Ltd................................ 202,000 420,227
Daiwa Industries, Ltd................................. 42,000 122,090
Daiwa Seiko, Inc...................................... 145,000 179,104
Daiwabo Co., Ltd...................................... 262,000 243,325
*Dantani Corp......................................... 68,000 74,521
Danto Corp............................................ 42,000 130,671
Denki Kogyo Co., Ltd.................................. 59,000 525,479
*Densei-Lambda KK..................................... 3,484 62,286
Deodeo Corp........................................... 44,600 342,137
Descente, Ltd......................................... 133,000 233,452
*Dijet Industrial Co., Ltd............................ 34,000 45,470
*Dynic Corp........................................... 52,000 80,650
Eagle Industry Co., Ltd............................... 43,000 129,789
*Enshu, Ltd........................................... 69,000 89,714
Exedy Corp............................................ 23,000 177,293
*FDK Corp............................................. 94,000 688,795
*First Baking Co., Ltd................................ 67,000 177,339
France Bed Co., Ltd................................... 193,000 781,500
Fudo Construction Co., Ltd............................ 201,000 263,209
*Fuji Car Manufacturing Co., Ltd...................... 36,000 30,091
Fuji Denki Reiki Co., Ltd............................. 81,800 306,156
*Fuji Kiko Co., Ltd................................... 51,000 82,415
*Fuji Kosan Co., Ltd.................................. 130,000 83,306
Fuji Kyuko Co., Ltd................................... 107,000 337,868
*Fuji Spinning Co., Ltd., Tokyo....................... 163,000 95,370
</TABLE>
177
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Fujii & Co., Ltd..................................... 44,000 $ 27,787
*Fujiko Co., Ltd...................................... 55,000 38,310
Fujirebio, Inc........................................ 75,000 390,062
*Fujiya Co., Ltd...................................... 190,000 457,023
Fukuda Corp........................................... 65,000 158,161
Fukushima Bank, Ltd................................... 90,000 275,830
*Fukusuke Corp........................................ 95,000 146,459
*Furukawa Battery Co., Ltd............................ 45,000 116,183
*Furukawa Co., Ltd.................................... 208,000 374,757
Fuso Pharmaceutical Industries, Ltd................... 78,000 406,389
*Ga-jo-en Kanko KK.................................... 37,000 0
*Gakken Co., Ltd...................................... 158,000 275,867
Gastec Service, Inc................................... 41,000 194,195
Godo Shusei Co., Ltd.................................. 74,000 171,813
*Godo Steel, Ltd...................................... 245,000 204,783
*Goldwin, Inc......................................... 47,000 75,951
Gourmet Kineya Co., Ltd............................... 31,000 207,002
*Graphtec Corp........................................ 39,000 68,818
Gun-Ei Chemical Industry Co., Ltd..................... 164,000 274,158
*Gunze Sangyo, Inc., Tokyo............................ 90,000 121,198
Hac Kimisawa Co., Ltd................................. 25,000 218,249
*Hakone Tozan Railway Co., Ltd........................ 52,000 130,392
Hakuyosha Co., Ltd.................................... 57,000 162,517
*Hanshin Sogo Bank, Ltd............................... 189,000 393,183
*Hanwa Co., Ltd....................................... 405,000 372,370
Harima Chemicals, Inc................................. 37,000 139,856
*Hayashikane Sangyo Co., Ltd.......................... 128,000 164,049
*Hazama Corp.......................................... 19,000 8,117
Heiwado Co., Ltd...................................... 49,000 332,203
Hibiya Engineering, Ltd............................... 60,000 264,685
Hisaka Works, Ltd..................................... 48,000 195,254
Hitachi Electronics, Ltd.............................. 100,000 505,224
*Hitachi Kide......................................... 20,000 68,911
Hitachi Koki Co., Ltd................................. 111,000 381,425
Hitachi Medical Corp.................................. 28,000 308,149
Hitachi Plant Engineering & Construction Co., Ltd..... 204,000 456,596
Hitachi Powdered Metal Co., Ltd....................... 46,000 358,857
*Hitachi Seiki Co., Ltd............................... 141,000 234,400
Hochiki Corp.......................................... 42,000 113,118
*Hodogaya Chemical Co., Ltd........................... 100,000 155,096
*Hohsui Corp.......................................... 56,000 48,888
Hokkai Can Co., Ltd., Tokyo........................... 116,000 235,932
*Hokkaido Bank, Ltd................................... 100,000 134,664
Hokkaido Gas Co., Ltd................................. 87,000 157,557
Hokko Chemical Industry Co., Ltd...................... 41,000 129,464
*Hoko Fishing Co., Ltd................................ 79,000 61,630
*Hokuriku Electric Industry Co., Ltd.................. 112,000 234,037
Hokuriku Electrical Construction Co., Ltd............. 36,000 79,573
*Hokuriku Seiyaku Co., Ltd............................ 31,000 235,793
Hokushin Co., Ltd..................................... 39,900 57,437
Honen Corp............................................ 128,000 193,768
Horiba, Ltd........................................... 54,000 575,732
Hosokawa Micron Corp.................................. 40,000 231,066
*Howa Machinery, Ltd.................................. 181,000 228,614
*Ichida and Co., Ltd.................................. 78,000 54,330
Ichikawa Co., Ltd..................................... 49,000 91,015
Ichiken Co., Ltd...................................... 48,000 50,374
Ichikoh Industries, Ltd............................... 141,000 272,375
Idec Izumi Corp....................................... 60,000 885,999
Ihara Chemical Industry Co., Ltd...................... 80,000 164,941
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Iino Kaiun Kaisha, Ltd................................ 161,000 $ 227,276
*Ikegai Corp.......................................... 90,000 127,049
*Ikegami Tsushinki Co., Ltd........................... 102,000 356,183
Inaba Denki Sangyo Co., Ltd........................... 22,000 237,214
Inabata and Co., Ltd., Osaka.......................... 85,000 496,540
Inageya Co., Ltd...................................... 56,000 390,062
Intec, Inc............................................ 19,000 427,026
*Inui Steamship Co., Ltd.............................. 31,000 19,865
*Iseki & Co., Ltd..................................... 322,000 263,162
*Ishihara Sangyo Kaisha, Ltd.......................... 193,000 288,581
Ishii Iron Works Co., Ltd............................. 52,000 101,416
*Ishikawa Seisakusho, Ltd............................. 75,000 80,102
Ishizuka Glass Co., Ltd............................... 49,000 100,571
Itochu Fuel Corp...................................... 192,000 604,485
Itoki Crebio Corp..................................... 56,000 223,116
*Iwasaki Electric Co., Ltd............................ 110,000 224,750
*Iwatsu Electric Co., Ltd............................. 145,000 348,781
Izumi Co., Ltd........................................ 55,000 692,640
*Izutsuya Co., Ltd.................................... 70,000 131,971
*JGC Corp............................................. 146,000 420,339
JMS Co., Ltd.......................................... 59,000 231,233
*Janome Sewing Machine Co., Ltd....................... 224,000 205,953
Japan Aircraft Manufacturing Co., Ltd................. 70,000 135,872
*Japan Aviation Electronics Industry, Ltd............. 130,000 724,402
Japan Carlit Co., Ltd................................. 28,000 200,232
*Japan Coated Paper Manufacturing Co., Ltd............ 132,000 88,266
Japan Digital Laboratory Co., Ltd..................... 28,100 430,601
Japan Foundation Engineering Co., Ltd................. 49,200 214,300
*Japan Metals & Chemicals Co., Ltd.................... 201,000 233,341
Japan Oil Transportation Co., Ltd..................... 45,000 83,585
*Japan Paperboard Industries Co., Ltd., Tokyo......... 127,000 316,099
Japan Pulp and Paper Co., Ltd......................... 99,000 311,688
*Japan Steel Works, Ltd............................... 338,000 320,186
Japan Storage Battery Co., Ltd........................ 63,000 225,846
Japan Transcity Corp.................................. 90,000 160,483
Japan Vilene Co., Ltd................................. 101,000 204,486
Japan Wool Textile Co., Ltd........................... 86,000 290,727
Jeol, Ltd............................................. 97,000 441,421
Joban Kosan Co., Ltd.................................. 101,000 136,011
Joshin Denki Co., Ltd................................. 98,000 244,829
*Jujiya Co., Ltd...................................... 161,000 88,219
Juken Sangyo Co., Ltd................................. 86,000 534,330
Juki Corp............................................. 153,000 363,761
Kaga Electronics Co., Ltd............................. 19,000 237,334
Kagawa Bank, Ltd...................................... 68,350 348,494
Kahma Co., Ltd........................................ 46,000 231,976
*Kakuei (L.) Corp..................................... 100,000 929
Kamei Corp............................................ 59,000 263,562
Kanaden Corp.......................................... 50,000 202,925
Kanagawa Chuo Kotsu Co., Ltd.......................... 90,000 381,983
Kanamoto Co., Ltd..................................... 24,000 176,085
*Kanematsu Corp....................................... 249,500 185,373
Kanematsu Electronics, Ltd............................ 38,000 165,869
Kanematsu-NNK Corp.................................... 60,000 95,844
*Kansai Kisen Kaisha.................................. 184,000 95,695
Kanto Auto Works, Ltd., Yokosuka...................... 74,000 483,139
*Kanto Bank, Ltd...................................... 13,400 180,450
Kanto Denka Kogyo Co., Ltd............................ 83,000 400,836
</TABLE>
178
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Kanto Natural Gas Development Co., Ltd................ 104,000 $ 411,460
*Kanto Special Steel Works, Ltd....................... 84,000 57,729
Kasei (C.I.) Co., Ltd................................. 46,000 156,787
Kasumi Co., Ltd....................................... 132,000 527,142
Katakura Chikkarin Co., Ltd........................... 17,000 63,153
Katakura Industries Co., Ltd.......................... 49,000 223,441
Kato Works Co., Ltd................................... 82,000 114,994
Katsumura Construction Co., Ltd....................... 48,600 58,225
Kawada Industries, Inc................................ 76,000 140,460
Kawai Musical Instruments Manufacturing Co., Ltd...... 99,000 136,076
*Kawashima Textile Manufacturers, Ltd................. 126,000 122,870
Kawasho Corp.......................................... 222,000 220,608
Kawasho Gecoss Corp................................... 52,000 164,198
Kayaba Industry Co., Ltd.............................. 321,000 581,332
Keihin Co., Ltd....................................... 100,000 129,092
Keiyo Co., Ltd........................................ 104,900 415,021
*Key Coffee, Inc...................................... 16,000 205,656
*Kimmon Manufacturing Co., Ltd........................ 41,000 76,917
Kimura Chemical Plants Co., Ltd....................... 27,000 40,121
Kinki Nippon Tourist Co., Ltd......................... 133,000 381,676
Kinki Sharyo Co., Ltd., Nagaokakyo.................... 101,000 134,135
Kinseki, Ltd.......................................... 56,000 805,609
*Kinsho-Mataichi Corp................................. 42,000 38,616
*Kinugawa Rubber Industrial Co., Ltd.................. 83,000 61,667
Kioritz Corp.......................................... 96,000 149,784
*Kishu Paper Co., Ltd................................. 63,000 93,615
Kitagawa Iron Works Co., Ltd.......................... 124,000 166,984
Kita-Nippon Bank, Ltd................................. 6,806 344,487
Kitano Construction Corp.............................. 116,000 257,478
*Kitz Corp............................................ 234,000 428,121
Koa Corp.............................................. 35,000 1,036,916
Koa Oil Co., Ltd...................................... 132,000 343,255
Koatsu Gas Kogyo Co., Ltd............................. 78,000 215,872
*Kobe Kiito Co., Ltd.................................. 53,000 26,088
Kokune Corp........................................... 42,000 40,566
Kokusai Kogyo Co., Ltd................................ 60,000 323,752
Komai Tekko, Inc...................................... 53,000 152,589
*Komatsu Construction Co., Ltd........................ 29,000 36,629
*Komatsu Forklift Co., Ltd............................ 153,000 242,981
Komatsu Seiren Co., Ltd............................... 75,000 236,824
Komatsu Zenoah Co..................................... 73,000 167,458
Konishi Co., Ltd...................................... 16,000 163,752
*Kosei Securities Co., Ltd............................ 137,000 398,245
*Krosaki Corp......................................... 96,000 146,218
Kumiai Chemical Industry Co., Ltd., Tokyo............. 153,000 255,770
Kurabo Industries, Ltd................................ 374,000 496,698
*Kuraya Sanseido Shares............................... 56,950 438,992
Kurimoto, Ltd......................................... 116,000 259,633
Kyodo Printing Co., Ltd............................... 75,000 236,824
Kyodo Shiryo Co., Ltd................................. 145,000 164,291
Kyoei Sangyo Co., Ltd................................. 23,000 68,354
Kyoei Tanker Co., Ltd................................. 53,000 56,605
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 38,300 192,078
*Kyokuyo Co., Ltd..................................... 167,000 217,135
Kyosan Electric Manufacturing Co., Ltd................ 94,000 206,027
Kyowa Leather Cloth Co., Ltd.......................... 32,000 139,382
Kyudenko Corp......................................... 68,000 190,722
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Kyushu Bank, Ltd...................................... 146,000 $ 440,678
Life Corp............................................. 83,000 477,919
MR Max Corp........................................... 56,300 172,024
Maezawa Industries, Inc............................... 18,700 164,640
Magara Construction Co., Ltd.......................... 61,000 90,643
*Marudai Food Co., Ltd................................ 232,000 383,524
Maruei Department Store Co., Ltd...................... 72,000 177,200
Maruetsu, Inc......................................... 86,000 263,571
Maruha Corp........................................... 434,000 592,505
Marusan Securities Co., Ltd........................... 67,000 441,170
Maruwn Corp........................................... 44,000 95,621
Maruyama Manufacturing Co., Inc....................... 73,000 104,407
Maruzen Co., Ltd...................................... 179,000 249,361
Maruzen Showa Unyu Co., Ltd........................... 175,000 286,046
Maspro Denkoh Corp.................................... 16,000 178,314
Matsui Construction Co., Ltd.......................... 40,000 108,846
Matsuo Bridge Co., Ltd................................ 37,000 66,664
Matsuya Co., Ltd...................................... 74,000 283,835
Meiden Engineering Co., Ltd........................... 31,000 168,423
*Meidensha Corp....................................... 183,000 346,710
*Meiji Shipping Co., Ltd.............................. 47,000 76,387
*Meiko National Securities Letters of Guarantee....... 73,000 231,864
Meisei Industrial Co., Ltd............................ 29,000 38,245
Meito Sangyo Co., Ltd................................. 38,000 381,147
*Meiwa Trading Co., Ltd............................... 55,000 51,080
*Mimasu Semiconductor Industry Co., Ltd............... 14,000 239,238
Misawa Homes Co., Ltd................................. 108,000 342,029
*Misawa Resort Co., Ltd............................... 40,000 92,872
Mitsuba Corp.......................................... 67,000 283,120
Mitsubishi Cable Industries, Ltd...................... 270,000 559,182
Mitsubishi Chemical Corp.............................. 250 977
*Mitsubishi Kakoki Kaisha, Ltd........................ 117,000 229,273
Mitsubishi Pencil Co., Ltd............................ 61,000 441,885
*Mitsubishi Plastics, Inc............................. 310,000 466,403
*Mitsubishi Shindoh Co., Ltd.......................... 82,000 223,896
*Mitsubishi Steel Manufacturing Co., Ltd.............. 253,000 157,427
Mitsuboshi Belting, Ltd............................... 153,000 387,917
*Mitsui Construction Co., Ltd......................... 314,000 218,714
Mitsui Home Co., Ltd.................................. 55,000 193,592
Mitsui Matsushima Co., Ltd............................ 90,000 123,706
*Mitsui Mining Co., Ltd............................... 225,000 179,707
Mitsui Sugar Co., Ltd................................. 116,000 203,613
Mitsui Wood Systems, Inc.............................. 41,500 52,032
Mitsui-Soko Co., Ltd.................................. 115,000 236,034
Mitsuuroko Co., Ltd................................... 76,000 388,205
Miura Co., Ltd........................................ 31,000 371,395
Miyaji Iron Works Co. Ltd............................. 90,000 147,109
*Miyakoshi Corp....................................... 18,000 9,362
Miyoshi Oil & Fat Co., Ltd............................ 120,000 273,044
Miyuki Keori Co., Ltd................................. 50,000 193,174
Mizuno Corp........................................... 120,000 362,201
*Morinaga & Co., Ltd.................................. 220,000 463,803
Morita Corp........................................... 72,000 187,230
Morozoff, Ltd., Osaka................................. 50,000 95,194
Mory Industries, Inc.................................. 66,000 145,883
Mos Food Services, Inc................................ 29,000 283,873
*Mutoh Industries, Ltd................................ 61,000 164,857
Mutow Co., Ltd........................................ 38,000 226,218
NOF Corp.............................................. 54,000 125,377
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Nabco, Ltd............................................ 120,000 $ 189,459
Nachi-Fujikoshi Corp.................................. 188,000 323,009
Nagatanien Co., Ltd................................... 32,000 274,307
*Naigai Co., Ltd...................................... 109,000 101,231
Nakabayashi Co., Ltd.................................. 92,000 277,687
Nakamuraya Co., Ltd................................... 85,000 204,458
*Nakano Corp.......................................... 66,000 58,231
Nakayama Steel Works, Ltd............................. 206,000 275,496
Neturen Co., Ltd., Tokyo.............................. 67,000 195,384
Nichia Steel Works, Ltd............................... 64,900 245,315
Nichias Corp.......................................... 237,000 497,441
Nichiban Co., Ltd..................................... 58,000 207,922
*Nichiboshin, Ltd..................................... 119,000 4,421
Nichiha Corp.......................................... 27,000 193,081
Nichimo Co., Ltd...................................... 54,000 66,199
*Nichimo Corp......................................... 85,000 59,995
Nichireki Co., Ltd.................................... 44,000 178,166
Nichiro Corp.......................................... 289,000 448,228
*Nihon Kentetsu Co., Ltd.............................. 27,000 71,967
Nihon Kohden Corp..................................... 85,000 252,612
Nihon Matai Co., Ltd.................................. 50,000 97,516
Nihon Nohyaku Co., Ltd................................ 103,000 203,752
Nihon Nosan Kogyo KK.................................. 201,000 337,878
Nihon Parkerizing Co., Ltd............................ 92,000 289,649
*Nihon Spindle Manufacturing Co., Ltd................. 56,000 93,615
Nihon Tokushu Toryo Co., Ltd.......................... 35,000 81,913
Niigata Chuo Bank, Ltd................................ 130,000 1,207
*Niigata Engineering Co., Ltd......................... 586,000 424,499
Nikken Chemicals Co., Ltd............................. 130,000 468,446
Nikkiso Co., Ltd...................................... 61,000 324,049
Nikko Co., Ltd., Akashi............................... 65,000 137,636
Nippon Beet Sugar Manufacturing Co., Ltd.............. 265,000 334,711
*Nippon Carbide Industries Co., Inc., Tokyo........... 101,000 103,181
*Nippon Carbon Co., Ltd............................... 177,000 167,671
Nippon Chemical Industrial Co., Ltd................... 131,000 402,702
Nippon Chemi-Con Corp................................. 103,000 465,855
*Nippon Chemiphar Co., Ltd............................ 49,000 125,145
Nippon Chutetsukan KK................................. 44,000 82,545
*Nippon Columbia Co., Ltd............................. 99,000 168,256
*Nippon Concrete Industries Co., Ltd.................. 65,000 62,178
Nippon Conlux Co., Ltd................................ 63,000 310,100
*Nippon Conveyor Co., Ltd............................. 43,000 43,529
Nippon Denko Co., Ltd................................. 159,000 239,220
Nippon Densetsu Kogyo Co., Ltd........................ 118,000 335,342
Nippon Dry-Chemical Co., Ltd.......................... 40,500 114,344
Nippon Felt Co., Ltd.................................. 28,000 78,013
Nippon Fine Chemical Co., Ltd......................... 23,000 87,365
Nippon Flour Mills Co., Ltd........................... 95,000 220,571
*Nippon Formula Feed Manufacturing Co., Ltd........... 100,000 126,306
Nippon Gas Co., Ltd................................... 62,000 322,452
Nippon Hume Pipe Co., Ltd............................. 43,000 87,458
*Nippon Kasei Chemical Co., Ltd....................... 113,000 160,566
*Nippon Kinzoku Co., Ltd.............................. 93,000 92,417
Nippon Koei Co., Ltd., Tokyo.......................... 146,000 235,932
*Nippon Konpo Unyu Soko Co., Ltd...................... 59,000 363,288
*Nippon Koshuha Steel Co., Ltd........................ 151,000 106,580
*Nippon Lace Co., Ltd................................. 26,000 23,905
Nippon Light Metal Co., Ltd........................... 243,000 169,259
*Nippon Metal Industry Co., Ltd....................... 282,000 201,662
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Nippon Pipe Manufacturing Co., Ltd.................... 35,000 $ 112,793
Nippon Piston Ring Co., Ltd........................... 133,000 129,696
Nippon Road Co., Ltd.................................. 147,000 217,070
*Nippon Seisen Co., Ltd............................... 39,000 75,338
Nippon Sharyo, Ltd.................................... 122,000 227,741
Nippon Shinyaku Co., Ltd.............................. 59,000 454,246
Nippon Signal Co., Ltd................................ 109,000 467,685
*Nippon Soda Co., Ltd................................. 129,000 373,791
*Nippon Steel Chemical Co., Ltd....................... 241,000 418,546
Nippon Suisan Kaisha, Ltd............................. 246,000 397,529
Nippon Synthetic Chemical Industry Co., Ltd........... 152,000 199,043
Nippon Thompson Co., Ltd.............................. 62,000 773,308
*Nippon Valqua Industries, Ltd........................ 119,000 200,037
*Nippon Yakin Kogyo Co., Ltd.......................... 243,000 148,948
Nippon Yusoki Co., Ltd................................ 49,000 75,087
*Nissan Construction Co., Ltd......................... 128,000 128,386
*Nissan Diesel Motor Co., Ltd......................... 214,000 160,984
Nissan Shatai Co., Ltd................................ 251,000 396,285
*Nisseki House Industry Co., Ltd...................... 260,000 340,469
Nissha Printing Co., Ltd.............................. 81,000 477,687
Nisshin Oil Mills, Ltd................................ 122,000 392,031
Nissin Corp........................................... 150,000 231,251
Nissin Electric Co., Ltd.............................. 187,000 474,121
Nitsuko Corp.......................................... 75,000 351,753
Nitta Corp............................................ 24,000 224,899
Nittetsu Mining Co., Ltd.............................. 147,000 307,174
Nitto Boseki Co., Ltd................................. 225,000 254,934
Nitto Construction Co., Ltd........................... 19,000 31,762
Nitto Electric Works, Ltd............................. 67,000 433,703
Nitto Flour Milling Co., Ltd.......................... 54,000 99,800
Nitto Seiko Co., Ltd.................................. 56,000 102,977
*Nitto Seimo Co., Ltd................................. 32,000 28,233
Nittoc Construction Co., Ltd.......................... 61,000 109,905
Nohmi Bosai, Ltd...................................... 59,000 191,233
O-M, Ltd.............................................. 46,000 52,547
*OKK Corp............................................. 101,000 112,561
Obayashi Road Corp.................................... 65,000 175,064
*Odakyu Construction Co., Ltd......................... 29,000 71,911
*Odakyu Real Estate Co., Ltd.......................... 58,000 107,732
Ohki Corp............................................. 73,000 118,644
*Ohkura Electric Co., Ltd............................. 34,000 64,732
*Ohtsu Tire & Rubber Co., Ltd......................... 65,000 106,246
*Oiles Corp........................................... 18,000 282,517
Okabe Co., Ltd........................................ 39,000 115,542
Okamoto Industries, Inc............................... 127,000 273,638
Okamura Corp.......................................... 197,000 499,475
*Oki Electric Cable Co., Ltd.......................... 56,000 125,860
Okuma and Howa Machinery, Ltd......................... 69,000 131,367
*Okura and Co., Ltd................................... 128,000 0
Okura Industrial Co., Ltd............................. 96,000 312,942
*Ono Sokki Co., Ltd................................... 43,000 88,656
*Optec Dai-Ichi Denko Co., Ltd........................ 116,333 89,674
Organo Corp........................................... 101,000 357,381
Oriental Construction Co., Ltd........................ 39,000 150,313
Origin Electric Co., Ltd.............................. 54,000 491,479
Osaka Oxygen Industries, Ltd.......................... 190,000 354,678
*Osaka Steel Co., Ltd................................. 38,000 142,930
Osaki Electric Co., Ltd............................... 56,000 274,084
*Oyo Corp............................................. 29,000 331,275
P.S.C. Corp........................................... 35,000 125,795
Pacific Industrial Co., Ltd........................... 78,000 203,557
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*Pacific Metals Co., Ltd.............................. 299,000 $ 763,640
Parco Co., Ltd........................................ 82,000 241,412
*Pasco Corp........................................... 68,500 391,247
*Pigeon Corp.......................................... 18,000 202,108
Pilot Corp............................................ 32,000 118,876
Pokka Corp............................................ 48,000 193,471
*Press Kogyo Co., Ltd................................. 143,000 99,605
*Prima Meat Packers, Ltd.............................. 230,000 303,320
Raito Kogyo Co., Ltd.................................. 47,800 190,001
Rasa Industries, Ltd.................................. 119,000 310,555
Rengo Co., Ltd........................................ 800 4,094
*Renown Look, Inc..................................... 50,000 93,801
*Renown, Inc.......................................... 402,000 451,748
Rheon Automatic Machinery Co., Ltd.................... 40,000 145,995
*Rhythm Watch Co., Ltd................................ 344,000 728,414
Riken Corp............................................ 193,000 405,089
Riken Keiki Co., Ltd.................................. 33,000 112,477
Riken Vinyl Industry Co., Ltd......................... 123,000 370,114
Rohto Pharmaceutical Co., Ltd......................... 57,000 494,961
Royal Co., Ltd........................................ 31,000 296,540
*Ryobi, Ltd........................................... 238,000 260,822
Ryoden Trading Co., Ltd............................... 80,000 262,271
Ryoyo Electro Corp.................................... 45,000 775,249
S.T. Chemical Co., Ltd................................ 48,000 311,604
SMK Corp.............................................. 127,000 1,246,705
SXL Corp.............................................. 148,000 353,248
Saeki Kensetsu Kogyo Co., Ltd......................... 71,000 81,105
Sagami Chain Co., Ltd................................. 20,000 151,010
Sagami Co., Ltd....................................... 60,000 145,438
Sakai Chemical Industry Co., Ltd...................... 184,000 1,503,784
Sakai Heavy Industries, Ltd........................... 60,000 122,591
*Sakai Ovex Co., Ltd.................................. 85,000 63,153
Sakata Inx Corp....................................... 92,000 258,890
*Sakura Friend Securities Co., Ltd.................... 203,000 603,297
*Sakurada Co., Ltd.................................... 38,000 33,174
San-Ai Oil Co., Ltd................................... 118,000 326,575
Sankei Building Co., Ltd.............................. 97,000 364,848
*Sanki Engineering Co., Ltd........................... 76,000 289,389
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 54,000 52,658
*Sankyo Aluminum Industry Co., Ltd.................... 359,000 300,070
Sankyo Seiko Co., Ltd................................. 86,000 219,642
Sankyu, Inc., Tokyo................................... 302,000 255,231
*Sanoh Industrial Co., Ltd............................ 32,000 175,342
*Sanshin Electronics Co., Ltd......................... 51,000 350,499
*Sansui Electric Co., Ltd............................. 353,000 65,568
*Sanwa Electric Co., Ltd.............................. 17,000 41,839
*Sanyo Industries, Ltd., Tokyo........................ 48,000 171,628
Sanyo Shokai, Ltd..................................... 113,000 332,677
Sanyo Special Steel Co., Ltd.......................... 339,000 434,474
*Sasebo Heavy Industries Co., Ltd., Tokyo............. 257,000 179,011
Sata Construction Co., Ltd., Gumma.................... 61,000 81,012
*Sato Kogyo Co., Ltd.................................. 34,000 16,736
Sato Shoji Corp....................................... 31,000 105,085
*Sawafugji Electric Co., Ltd.......................... 31,000 87,235
Seika Corp............................................ 145,000 214,116
*Seikitokyu Kogyo Co., Ltd............................ 86,000 70,286
Seiko Corp............................................ 45,150 206,723
Seiren Co., Ltd....................................... 81,000 248,999
Seiyo Food Systems, Inc............................... 137,000 464,407
Sekisui Jushi Co., Ltd................................ 85,000 277,084
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*Sekisui Plastics Co., Ltd............................ 150,000 $ 257,720
Senko Co., Ltd........................................ 205,000 386,487
Senshukai Co., Ltd.................................... 40,000 426,840
Shibaura Engineering Works Co., Ltd................... 45,000 436,313
Shibusawa Warehouse Co., Ltd.......................... 119,000 286,241
Shibuya Kogyo Co., Ltd................................ 54,000 426,283
*Shikibo, Ltd......................................... 155,000 105,085
Shikoku Chemicals Corp................................ 89,000 266,153
Shimizu Bank, Ltd..................................... 8,900 351,288
*Shimura Kako Co., Ltd................................ 55,000 406,083
Shin Nippon Air Technologies Co., Ltd................. 37,180 123,271
Shinagawa Fuel Co., Ltd............................... 160,000 549,802
*Shinagawa Refractories Co., Ltd...................... 116,000 228,391
Shindengen Electric Manufacturing Co., Ltd............ 68,000 349,236
Shin-Etsu Polymer Co., Ltd............................ 68,000 445,228
*Shinko Electric Co., Ltd............................. 257,000 389,050
Shinko Shoji Co., Ltd................................. 41,000 341,936
Shin-Kobe Electric Machinery Co., Ltd................. 71,000 421,351
*Shinmaywa Industries, Ltd............................ 168,000 255,881
Shinsho Corp.......................................... 110,000 155,282
*Shintom Co., Ltd..................................... 178,000 133,903
*Shinwa Kaiun Kaisha, Ltd............................. 238,000 132,621
Shinyei Kaisha........................................ 54,000 66,199
Shiroki Co., Ltd...................................... 132,000 273,378
*Sho-Bond Corp........................................ 20,200 234,502
*Shochiku Co., Ltd.................................... 99,000 482,702
Shoko Co., Ltd........................................ 156,000 197,037
*Shokusan Jutaku Sogo Co., Ltd........................ 207,000 174,943
*Showa Aluminum Corp.................................. 181,000 294,172
Showa Corp............................................ 117,000 625,883
*Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 313,000 418,593
Showa Highpolymer Co., Ltd............................ 79,000 256,791
Showa Sangyo Co., Ltd................................. 160,000 252,612
*Silver Seiko, Ltd.................................... 87,000 179,373
Sintokogio, Ltd., Nagoya.............................. 108,000 234,706
Soda Nikka Co., Ltd................................... 35,000 57,859
*Sogo Co., Ltd........................................ 263,000 134,339
*Sokkisha Co., Ltd.................................... 40,000 98,816
Sotetsu Rosen Co., Ltd................................ 42,000 203,613
Star Micronics Co., Ltd............................... 84,000 1,412,026
Subaru Enterprise Co., Ltd............................ 36,000 117,019
*Suminoe Textile Co., Ltd............................. 142,000 158,254
*Sumitomo Coal Mining Co., Ltd........................ 181,000 129,436
*Sumitomo Construction Co., Ltd....................... 320,000 255,584
Sumitomo Corporation's Leasing, Ltd................... 35,000 552,589
Sumitomo Densetsu Co., Ltd............................ 50,700 256,619
*Sumitomo Light Metal Industries, Ltd................. 493,000 357,130
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 78,000 262,233
Sumitomo Seika Chemicals Co., Ltd..................... 102,000 244,402
*Sumitomo Warehouse Co., Ltd.......................... 126,000 339,354
Sun Wave Corp......................................... 88,000 155,282
Sun-S, Inc............................................ 38,300 216,977
SunTelephone Co., Ltd................................. 65,000 190,155
*Suzutan Co., Ltd..................................... 62,000 104,221
*TYK Corp............................................. 67,000 120,715
Tabai Espec Corp...................................... 34,000 251,033
Tadano, Ltd........................................... 127,000 198,152
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Taihei Dengyo Kaisha, Ltd............................. 66,000 $ 142,206
Taihei Kogyo Co., Ltd................................. 114,000 156,694
*Taiheiyo Kaiun Co., Ltd.............................. 72,000 34,771
Taiheiyo Kouhatsu, Inc................................ 90,000 93,615
Taikisha, Ltd......................................... 97,000 720,687
Taisei Fire & Marine Insurance Co., Ltd............... 118,000 244,383
*Taisei Prefab Construction Co., Ltd.................. 134,000 109,515
Taisei Rotec Corp..................................... 127,000 181,639
Taito Co., Ltd........................................ 70,000 177,478
Taiyo Toyo Sanso Co., Ltd............................. 232,000 402,916
Takada Kiko Co., Ltd.................................. 31,000 129,844
Takaoka Electric Manufacturing Co., Ltd., Tokyo....... 156,000 253,541
*Taka-Q Co., Ltd...................................... 69,500 99,401
Takara Co., Ltd....................................... 39,000 159,368
*Takarabune Corp...................................... 52,000 50,708
Takasago International Corp........................... 91,000 351,576
*Takasaki Paper Manufacturing Co., Ltd................ 157,000 119,563
*Takashima & Co., Ltd................................. 60,000 65,753
Takiron Co., Ltd...................................... 140,000 531,785
Tamura Corp........................................... 65,000 283,724
*Tamura Electric Works, Ltd........................... 74,000 201,365
Tasaki Shinju Co., Ltd................................ 53,000 215,101
*Tateho Chemical Industries Co., Ltd.................. 26,500 46,761
*Tatsuta Electric Wire & Cable Co., Ltd............... 106,000 164,402
*Tayca Corp........................................... 74,000 167,690
*Teac Corp............................................ 109,000 383,664
Teijin Seiki Co., Ltd................................. 138,000 226,849
Teikoku Hormone Manufacturing Co., Ltd................ 33,000 232,923
Teikoku Sen-I Co., Ltd................................ 39,000 72,440
Teikoku Tsushin Kogyo Co., Ltd........................ 73,000 252,203
Teisan KK............................................. 219,000 941,694
*Tekken Corp.......................................... 274,000 290,095
Ten Allied Co., Ltd................................... 37,000 139,512
Tenma Corp............................................ 29,000 308,382
*Tesac Corp........................................... 92,000 46,993
Tetra Co., Ltd., Tokyo................................ 41,000 78,059
The Daito Bank, Ltd................................... 81,000 250,504
Titan Kogyo KK........................................ 36,000 61,184
Toa Corp.............................................. 181,000 203,399
Toa Doro Kogyo Co., Ltd............................... 85,000 181,565
*Toa Wool Spinning & Weaving Co., Ltd................. 73,000 63,729
*Tobishima Corp....................................... 100,000 52,008
*Tobu Store Co., Ltd.................................. 71,000 124,625
Tochigi Bank, Ltd..................................... 60,000 328,767
Tochigi Fuji Industrial Co., Ltd...................... 51,000 97,098
Toda Kogyo Corp....................................... 88,000 431,521
Todentu Corp.......................................... 57,000 205,925
Toenec Corp........................................... 80,000 274,158
Toho Real Estate Co., Ltd............................. 98,000 337,664
Toho Zinc Co., Ltd.................................... 205,000 346,506
*Tohpe Corp........................................... 36,000 47,811
Tohto Suisan Co., Ltd................................. 54,000 170,513
Tokai Carbon Co., Ltd................................. 186,000 397,307
Tokai Corp............................................ 108,000 1,274,836
*Tokai Kanko Co., Ltd................................. 198,000 147,109
Tokai Maruman Securities Co., Ltd..................... 99,000 612,342
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Tokai Pulp Co., Ltd................................... 88,000 $ 325,275
Tokai Rika Co., Ltd................................... 61,000 603,343
*Tokai Senko KK, Nagoya............................... 47,000 58,927
Tokico, Ltd........................................... 189,000 359,833
*Tokimec, Inc......................................... 119,000 151,409
Tokin Corp............................................ 53,000 452,844
Toko Electric Corp.................................... 39,000 108,660
Toko, Inc............................................. 81,000 598,802
Tokushima Bank, Ltd................................... 61,200 426,283
Tokushu Paper Manufacturing Co., Ltd.................. 119,000 452,017
Tokyo Denki Komusho Co., Ltd.......................... 57,000 197,985
Tokyo Kikai Seisakusho, Ltd........................... 66,000 249,473
*Tokyo Nissan Auto Sales Co., Ltd..................... 63,000 105,902
Tokyo Rakutenchi Co., Ltd............................. 92,000 316,136
Tokyo Rope Manufacturing Co., Ltd..................... 286,000 326,705
Tokyo Sangyo Co., Ltd................................. 36,500 114,237
Tokyo Securities Co., Ltd............................. 193,000 688,293
Tokyo Steel Manufacturing Co., Ltd.................... 77,400 247,277
Tokyo Tatemono Co., Ltd............................... 244,000 453,215
*Tokyo Tekko Co., Ltd................................. 67,000 44,801
Tokyo Theatres Co., Inc., Tokyo....................... 116,000 182,066
Tokyotokeiba Co., Ltd................................. 261,000 322,387
*Tokyu Car Corp....................................... 213,000 162,210
*Tokyu Construction Co., Ltd.......................... 356,000 201,681
*Tokyu Department Store Co., Ltd...................... 266,000 217,395
*Tokyu Hotel Chain Co., Ltd........................... 189,000 307,174
Tokyu Store Chain Corp................................ 175,000 484,328
*Tokyu Tourist Corp................................... 38,000 43,055
Toli Corp............................................. 101,000 180,097
*Tomen Corp........................................... 433,000 237,260
Tomoe Corp............................................ 56,000 83,213
*Tomoegawa Paper Co., Ltd............................. 55,000 254,887
Tomoku Co., Ltd....................................... 185,000 328,163
Tonami Transportation Co., Ltd........................ 173,000 313,304
Topcon Corp........................................... 68,000 253,243
Topre Corp............................................ 85,000 254,191
Topy Industries, Ltd.................................. 187,000 281,347
Torigoe Co., Ltd...................................... 21,000 75,477
Torishima Pump Manufacturing Co., Ltd., Osaka......... 45,000 217,321
*Toshiba Ceramics Co., Ltd............................ 127,000 895,221
Toshiba Engineering & Construction Co., Ltd........... 101,000 205,424
*Toshiba Machine Co., Ltd............................. 294,000 633,462
Toshiba Tungaloy Co., Ltd............................. 124,000 549,319
Tosho Printing Co., Ltd............................... 94,000 192,932
*Tostem Viva Corp..................................... 119,000 431,019
Totenko Co., Ltd...................................... 35,000 286,046
Totetsu Kogyo Co., Ltd................................ 53,000 105,828
*Totoku Electric Co., Ltd., Tokyo..................... 62,000 177,348
*Towa Real Estate Development Co., Ltd................ 160,000 92,129
Toyo Chemical Co., Ltd................................ 52,000 208,145
*Toyo Communication Equipment Co., Ltd................ 79,000 1,151,158
*Toyo Construction Co., Ltd........................... 290,000 245,089
*Toyo Electric Co., Ltd............................... 67,000 96,448
*Toyo Engineering Corp................................ 247,000 227,100
Toyo Exterior Co., Ltd................................ 46,000 351,168
*Toyo Kanetsu KK...................................... 206,000 191,316
Toyo Kohan Co., Ltd................................... 140,000 479,777
</TABLE>
182
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Toyo Radiator Co., Ltd................................ 104,000 $ 376,689
*Toyo Securities Co., Ltd............................. 113,000 417,683
*Toyo Shutter Co., Ltd................................ 77,000 73,657
Toyo Sugar Refining Co., Ltd.......................... 60,000 85,814
*Toyo Tire & Rubber Co., Ltd.......................... 173,000 236,183
Toyo Umpanki Co., Ltd................................. 146,000 318,644
Toyo Wharf & Warehouse Co., Ltd....................... 118,000 154,520
Toyota Tsusho Corp.................................... 59,800 200,490
Tsubaki Nakashima Co., Ltd............................ 47,000 593,638
Tsubakimoto Machinery & Engineering Co., Ltd.......... 44,000 66,199
*Tsubasa Securities Co. Ltd........................... 155,600 838,151
*Tsudakoma Corp....................................... 101,000 124,755
*Tsugami Corp......................................... 124,000 570,048
*Tsukamoto Co., Ltd................................... 44,000 64,565
Tsukishima Kikai Co., Ltd............................. 38,000 217,748
*Tsumura & Co., Inc................................... 124,000 458,342
Tsurumi Manufacturing Co., Ltd........................ 42,000 195,031
Tsutsumi Jewelry Co., Ltd............................. 16,900 385,321
Tsutsunaka Plastic Industry Co., Ltd.................. 71,000 211,005
U-Shin, Ltd........................................... 19,000 83,111
Uchida Yoko Co., Ltd.................................. 72,000 377,135
Ueki Corp............................................. 47,000 74,205
Uniden Corp........................................... 34,000 231,771
*Unisia Jecs Corp..................................... 215,000 251,590
*Unitika, Ltd......................................... 433,000 285,516
*Utoc Corp............................................ 38,000 45,879
Wakachiku Construction Co., Ltd....................... 194,000 237,827
Wakamoto Pharmaceutical Co., Ltd...................... 48,000 214,423
Yahagi Construction Co., Ltd.......................... 59,000 208,219
Yahagi Corp........................................... 40,000 0
Yamamura Glass Co., Ltd............................... 213,000 342,224
*Yamatane Corp........................................ 131,000 144,778
*Yamato International, Inc............................ 43,000 52,315
Yamato Kogyo Co., Ltd................................. 45,000 200,604
*Yamaura Corp......................................... 19,000 64,054
Yamazen Co., Ltd...................................... 140,000 215,835
Yaoko Co., Ltd........................................ 16,000 194,808
*Yellow Hat, Ltd., Tokyo.............................. 28,000 259,262
Yokogawa Bridge Corp.................................. 70,400 239,952
*Yokohama Matsuzakaya, Ltd............................ 27,000 23,822
Yokohama Reito Co., Ltd............................... 111,000 675,226
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Yomeishu Seizo Co., Ltd............................... 46,000 $ 292,213
Yomiuri Land Co., Ltd................................. 157,000 519,080
Yondenko Corp......................................... 58,800 174,748
Yonekyu Corp.......................................... 31,500 362,758
Yorozu Corp........................................... 26,800 79,398
*Yoshihara Oil Mill, Ltd.............................. 36,000 85,257
Yoshimoto Kogyo Co., Ltd.............................. 60,000 736,661
*Yuasa Corp........................................... 161,000 354,372
Yuasa Trading Co., Ltd................................ 174,000 210,077
*Yuken Kogyo Co., Ltd................................. 60,000 62,967
Yurtec Corp........................................... 73,000 200,000
Zenchiku Co., Ltd..................................... 126,000 241,059
*Zexel Corp........................................... 214,000 282,220
------------
TOTAL COMMON STOCKS
(Cost $374,406,629).................................. 190,869,857
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Japanese Yen
(Cost $95,952)...................................... 96,491
------------
TOTAL -- JAPAN
(Cost $374,502,581).................................. 190,966,348
------------
</TABLE>
<TABLE>
TEMPORARY CASH
INVESTMENTS -- (3.0%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $6,056,251) to be
repurchased at $5,966,986.
(Cost $5,966,000)................................... $ 5,966 5,966,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $380,468,581)++................................ $196,932,348
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $380,468,581.
</TABLE>
See accompanying Notes to Financial Statements.
183
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
HONG KONG -- (34.6%)
COMMON STOCKS -- (34.5%)
ABC Communications (Holdings), Ltd.................... 930,000 $ 151,579
ALCO Holdings, Ltd.................................... 314,000 21,358
ASM Pacific Technology, Ltd........................... 874,000 3,095,791
*AWT World Transport Holdings, Ltd.................... 250,800 1,931
*Allied Group, Ltd.................................... 7,298,000 552,595
*Allied Properties (Hong Kong), Ltd................... 6,786,000 391,902
*Anex International Holdings, Ltd..................... 152,000 3,414
*Applied International Holdings, Ltd.................. 1,243,000 37,647
*Asia Commercial Holdings, Ltd........................ 72,800 3,831
Asia Financial Holdings, Ltd.......................... 1,795,112 311,011
*Asia Securities International, Ltd................... 2,386,600 114,858
Asia Standard International Group, Ltd................ 1,722,000 143,647
Asia Tele-Net & Technology Corp., Ltd................. 10,520,000 189,014
Associated International Hotels, Ltd.................. 898,000 322,690
Beauforte Investors Corp., Ltd........................ 72,000 117,813
*Beijing Development (Hong Kong), Ltd................. 166,000 19,600
*Benelux International, Ltd........................... 30,000 142
Bossini International Holdings, Ltd................... 122,000 17,536
Boto International Holdings, Ltd...................... 2,290,000 59,072
*Burlingame International Co., Ltd.................... 990,000 38,116
*Burwill Holdings, Ltd................................ 2,059,200 195,561
*CCT Telecom Holdings, Ltd............................ 1,449,700 372,100
*CIL Holdings, Ltd.................................... 2,058,000 8,188
*CNT Group, Ltd....................................... 3,078,000 98,360
Cafe de Coral Holdings, Ltd........................... 1,191,000 435,620
*Capetronic International Holdings, Ltd............... 292,490 121,996
*Capital Asia, Ltd.................................... 98,736 2,534
*Central China Enterprises, Ltd....................... 2,104,000 91,807
*Century City International Holdings, Ltd............. 542,056 19,478
Champion Technology Holdings, Ltd..................... 11,854,750 532,490
*Cheerful Holdings, Ltd............................... 818,850 48,341
Chen Hsong Holdings, Ltd.............................. 1,515,000 227,483
Cheuk Nang Technologies (Holdings), Ltd............... 7,500,080 62,565
*Cheung Tai Hong Holdings, Ltd........................ 2,018,400 64,759
Chevalier (OA) International, Ltd..................... 1,776,251 113,979
*Chevalier Construction Holdings, Ltd................. 131,203 4,883
Chevalier International Holdings, Ltd................. 2,793,991 200,800
*China Aerospace International Holdings, Ltd.......... 1,499,400 236,687
*China Development Corp., Ltd......................... 1,150,000 70,842
*China Everbright International, Ltd.................. 1,975,000 97,584
*China Everbright Technology, Ltd..................... 3,244,000 249,795
China Foods Holdings, Ltd............................. 1,544,000 257,598
China Hong-Kong Photo Products Holdings, Ltd.......... 2,338,000 246,042
*China Investments Holdings, Ltd...................... 175,000 6,064
China Motor Bus Co., Ltd.............................. 114,200 647,798
China Online (Bermuda), Ltd........................... 10,580,000 291,928
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*China Overseas Land & Investment, Ltd................ 4,558,000 $ 368,524
China Pharmaceutical Enterprise and Investment Corp.,
Ltd................................................. 2,444,000 269,743
*China Star Entertainment, Ltd........................ 1,676,400 77,452
*China Strategic Holdings, Ltd........................ 3,760,000 171,304
China Travel International Investment, Ltd............ 2,730,000 441,453
*China United (Holdings), Ltd......................... 8,199,000 10,522
*Chinese Estates Holdings, Ltd........................ 1,204,000 109,707
*Chinney Investments, Ltd............................. 1,144,000 55,791
Chow Sang Sang Holdings International, Ltd............ 1,098,400 225,544
Chuangs China Investments, Ltd........................ 1,347,000 89,892
Chuang's Consortium International, Ltd................ 1,858,884 70,376
Chun Wo Holdings, Ltd................................. 1,671,917 80,463
*Chung Hwa Devlopment Holdings, Ltd................... 3,383,425 26,921
Cig-Wh International Holdings, Ltd.................... 472,000 18,778
*Climax International Co., Ltd........................ 296,000 8,281
*Companion Building Material International Holdings,
Ltd................................................. 5,772,022 57,779
Continental Holdings, Ltd............................. 98,825 5,834
Continental Mariner Investment Co., Ltd............... 1,629,000 347,041
*Cosmos Machinery Enterprises, Ltd.................... 1,024,000 49,938
*Crocodile Garments, Ltd.............................. 1,539,000 33,972
Cross Harbour Tunnel Co., Ltd......................... 365,603 173,605
*Culturecom Holdings, Ltd............................. 2,161,000 330,030
*Cybersonic Technology, Ltd........................... 193,000 26,007
*DC Finance Holdings, Ltd............................. 27,000 2,356
*Dah Hwa International Holdings, Ltd.................. 1,122,000 38,158
*Daido Concrete (Hong Kong), Ltd...................... 223,000 3,949
Dickson Concepts International, Ltd................... 222,000 170,945
*DigitalHongKong.com.................................. 15,318 2,359
*Dong-Jun Holdings, Ltd............................... 2,484,000 7,970
*Dransfield Holdings, Ltd............................. 190,000 3,389
Dynamic Holdings, Ltd................................. 158,000 18,655
*Easyknit International Holdings, Ltd................. 707,150 22,235
*Egana International Holdings, Ltd.................... 19,766,208 563,154
Egana Jewelry & Pearls, Ltd........................... 2,823,744 88,786
Elec & Eltek International Holdings, Ltd.............. 2,565,659 309,512
*Emperor (China Concept) Investments, Ltd............. 6,435,000 41,292
*Emperor International Holdings, Ltd.................. 644,369 60,368
*Englong International, Ltd........................... 130,000 0
*Essential Enterprises Co., Ltd....................... 320,000 38,193
*Evergo China Holdings, Ltd........................... 3,720,000 45,354
FPB Bank Holding Co., Ltd............................. 2,784,520 382,371
*Fairwood Holdings, Ltd............................... 426,000 8,638
*Fairyoung Holdings, Ltd.............................. 1,446,000 36,558
Far East Consortium International, Ltd................ 1,641,378 100,058
*Far East Holdings International, Ltd................. 70,000 5,749
</TABLE>
184
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Far East Hotels & Entertainment, Ltd................. 1,853,000 $ 118,904
*First Sign International Holdings, Ltd............... 1,050,000 35,036
Fong's Industries Co., Ltd............................ 962,000 71,607
*Fortuna International Holdings, Ltd.................. 2,727,000 29,398
*Founder Holdings, Ltd................................ 590,000 257,444
Fountain Set Holdings, Ltd............................ 1,274,000 125,896
Four Seas Frozen Food Holdings, Ltd................... 347,184 22,278
Four Seas Mercantile Holdings, Ltd.................... 592,000 151,951
*Four Seas Travel International, Ltd.................. 150,000 789
Frankie Dominion International, Ltd................... 630,173 26,284
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 688,000 9,977
*G-Prop Holdings, Ltd................................. 378,200 24,754
Giordano International, Ltd........................... 1,650,000 2,583,419
Glorious Sun Enterprises, Ltd......................... 840,000 258,727
Gold Peak Industries (Holdings), Ltd.................. 1,059,250 231,099
Golden Resources Development International, Ltd....... 971,000 46,731
Gold-Face Holdings, Ltd............................... 2,003,600 236,565
Goldlion Holdings, Ltd................................ 2,052,000 136,940
*Goldtron (Bermuda) Holdings, Ltd..................... 51,111 8,593
*Golik Holdings, Ltd.................................. 1,536,500 65,072
Grand Hotel Holdings, Ltd. Series A................... 1,333,000 152,255
Grande Holdings, Ltd.................................. 420,088 280,346
Great Wall Electronic International, Ltd.............. 3,159,034 121,626
*Greaterchina Technology Group, Ltd................... 150,410 7,239
Group Sense (International), Ltd...................... 2,062,000 214,351
*Guangdong Investment, Ltd............................ 2,150,000 231,776
*Guangnan Holdings, Ltd............................... 762,000 23,470
*Guangzhou Investment Co., Ltd........................ 3,510,000 247,754
*Guoco Land, Ltd...................................... 636,000 93,865
*HKCB Bank Holding Co., Ltd........................... 1,130,000 245,085
HKR International, Ltd................................ 403,260 152,672
Hanny Holdings, Ltd................................... 3,644,224 219,813
Harbour Centre Development, Ltd....................... 784,000 508,111
Harbour Ring International Holdings, Ltd.............. 2,636,000 497,295
Henderson China Holdings, Ltd......................... 911,000 324,439
High Fashion International, Ltd....................... 178,000 29,469
*Hikari Tsushin International, Ltd.................... 2,248,000 129,825
*Hinet Holdings, Ltd.................................. 611,057 28,624
*Hon Kwok Land Investment Co., Ltd.................... 2,290,145 98,460
Hong Kong Building & Loan Agency, Ltd................. 407,000 63,724
Hong Kong Ferry (Holdings) Co., Ltd................... 671,300 415,686
*Hong Kong Parkview Group, Ltd........................ 1,130,000 406,057
*Hop Hing Holdings, Ltd............................... 660,265 38,979
*Hsin Chong Construction Group, Ltd................... 1,569,658 100,722
*Hualing Holdings, Ltd................................ 1,344,000 41,569
*Huey Tai International, Ltd.......................... 2,363,112 103,113
Hung Hing Printing Group, Ltd......................... 934,442 344,779
IDT International, Ltd................................ 4,028,486 356,732
*IMC Holdings, Ltd.................................... 604,000 50,385
*ITC Corp., Ltd....................................... 466,157 65,808
*Ideal Pacific Holdings, Ltd.......................... 838,000 93,565
*Innovative International (Holdings), Ltd............. 1,474,003 28,754
*Interform Ceramics Technologies, Ltd................. 1,104,000 15,869
International Bank of Asia, Ltd....................... 2,615,714 459,898
International Pipe, Ltd............................... 1,926,726 138,471
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Iquorom Cybernet, Ltd................................ 4,145,000 $ 36,705
*Island Dyeing & Printing Co., Ltd.................... 148,000 18,044
*Isteelasia.com, Ltd.................................. 667,286 40,250
JCG Holdings, Ltd..................................... 1,048,333 517,978
Jackin International Holdings, Ltd.................... 210,000 21,561
*Jinhui Holdings Co., Ltd............................. 370,000 10,447
*Joyce Boutique Holdings, Ltd......................... 1,360,000 25,133
*K Wah International Holdings, Ltd.................... 3,822,570 164,343
KPI Co., Ltd.......................................... 264,000 6,742
*KTP Holdings, Ltd.................................... 180,400 6,946
*Kader Holdings Co., Ltd.............................. 545,600 17,855
*Kantone Holdings, Ltd................................ 123,902 10,177
Keck Seng Investments (Hong Kong), Ltd................ 858,600 99,171
Kee-Shing Holdings Co., Ltd........................... 886,000 134,174
*King Fook Holdings, Ltd.............................. 1,000,000 44,918
Kingboard Chemical Holdings, Ltd...................... 926,000 451,591
Kingmaker Footwear Holdings, Ltd...................... 770,000 126,489
*Kong Sun Holdings, Ltd............................... 480,000 30,801
*Kong Tai International Holdings Co., Ltd............. 8,300,000 193,865
Kumagai Gumi Hong Kong, Ltd........................... 970,000 140,670
*Kwong Sang Hong International, Ltd................... 1,434,000 93,858
Kwoon Chung Bus Holdings, Ltd......................... 556,000 83,486
*Lai Sun Development Co., Ltd......................... 2,970,000 95,290
*Lai Sun Garment (International), Ltd................. 2,325,000 62,660
*Lai Sun Hotels International, Ltd.................... 3,268,000 144,695
*Lam Soon (Hong Kong), Ltd............................ 302,310 52,765
*Lam Soon Food Industries, Ltd........................ 228,000 42,136
*Lamex Holdings, Ltd.................................. 2,419,200 32,910
Le Saunda Holdings, Ltd............................... 236,000 16,355
Leefung-Asco Printers Holdings, Ltd................... 144,000 29,384
*Leung Kee Holdings, Ltd.............................. 354,000 9,586
*Lippo, Ltd........................................... 1,074,760 220,690
Liu Chong Hing Bank, Ltd.............................. 365,000 269,347
Liu Chong Hing Investment, Ltd........................ 635,200 317,926
*Logic International Holdings, Ltd.................... 812,000 69,820
*Luks Industrial Co., Ltd............................. 537,963 82,848
Lung Kee (Bermuda) Holdings, Ltd...................... 686,000 126,776
*Magnificent Estates, Ltd............................. 3,778,000 26,667
*Magnum International Holdings, Ltd................... 300,000 10,780
*Mansion Holdings, Ltd................................ 1,420,360 14,036
*Mansion House Group, Ltd............................. 698,200 51,075
*Megga (S.) International Holdings, Ltd............... 1,513,400 13,596
Melbourne Enterprises, Ltd............................ 45,500 154,742
*Melco International Development, Ltd................. 180,000 29,338
Midland Realty (Holding), Ltd......................... 496,000 33,101
*Millennium Group, Ltd................................ 928,000 39,302
*Min Xin Holdings, Ltd................................ 987,200 77,283
Mingly Corp., Ltd..................................... 4,032,600 393,323
Moulin International Holdings, Ltd.................... 3,213,226 251,549
*Mui Hong Kong, Ltd................................... 1,230,000 31,729
*Multi-Asia International Holdings, Ltd............... 2,800,500 600,210
*NPH International Holdings, Ltd...................... 108,400 11,129
Nanyang Holdings, Ltd................................. 137,500 127,053
*National Electronics Holdings, Ltd................... 2,156,000 50,912
New Island Printing Holdings, Ltd..................... 176,000 32,074
*New Rank City Development, Ltd....................... 1,664 256
*New World Cyberbase, Ltd............................. 25,220 1,910
Ngai Lik Industrial Holdings, Ltd..................... 1,556,000 569,122
</TABLE>
185
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ocean Information Holdings, Ltd....................... 122,000 $ 9,394
Onfem Holdings, Ltd................................... 1,922,000 81,399
*Online Credit International, Ltd..................... 1,050,000 18,865
*Oriental Metals Holdings Co., Ltd.................... 1,237,800 50,834
*Oriental Press Group, Ltd............................ 3,400,500 510,599
Oxford Properties & Finance, Ltd...................... 110,000 142,582
*Pacific Andes International Holdings, Ltd............ 156,000 6,006
*Pacific Concord Holding, Ltd......................... 2,065,770 249,207
*Pacific Plywood Holdings, Ltd........................ 10,210,000 159,859
*Paramount Publishing Group, Ltd...................... 620,000 82,752
Paul Y. ITC Construction Holdings, Ltd................ 612,677 40,101
*Peace Mark (Holdings), Ltd........................... 6,758,122 89,333
*Pearl Oriental Holdings, Ltd......................... 9,064,000 175,650
*Pegasus International Holdings, Ltd.................. 226,000 28,714
*Perfect Treasure Holdings, Ltd....................... 364,000 81,750
Perfectech International Holdings, Ltd................ 571,450 86,539
Pico Far East Holdings, Ltd........................... 1,190,000 108,432
Playmate Toys Holdings, Ltd........................... 1,585,000 130,185
Pokfulam Development Co., Ltd......................... 234,000 75,077
*Poly Investments Holdings, Ltd....................... 2,670,000 119,931
Prestige Properties Holdings, Ltd..................... 965,000 76,784
Prime Succession, Ltd................................. 768,000 24,345
*QPL International Holdings, Ltd...................... 1,191,000 1,681,340
*Quality Healthcare Asia, Ltd......................... 1,338,000 407,822
*RNA Holdings, Ltd.................................... 20,600 1,454
Raymond Industrial, Ltd............................... 605,400 77,695
Realty Development Corp., Ltd. Series A............... 95,000 90,830
*Regal Hotels International Holdings, Ltd............. 1,950,000 52,804
*Rivera Holdings, Ltd................................. 3,160,000 145,996
Road King Infrastructure, Ltd......................... 449,000 193,038
*Ryoden Development, Ltd.............................. 1,912,000 174,220
*S.A.S.Dragon Holdings, Ltd........................... 1,696,000 150,185
SA SA International Holdings, Ltd..................... 1,134,000 173,185
Safety Godown Co., Ltd................................ 408,000 204,209
*Same Time Holdings, Ltd.............................. 410,000 10,524
San Miguel Brewery Hong Kong, Ltd..................... 930,800 143,347
Sea Holdings, Ltd..................................... 1,068,000 349,512
*Seapower International Holdings, Ltd................. 854,000 32,332
*Seapower Resources International, Ltd................ 2,528,000 90,842
*Semi-Tech (Global) Co., Ltd.......................... 4,273,327 34,002
Shangri-La Asia, Ltd.................................. 765,220 780,737
Shaw Brothers Hong Kong, Ltd.......................... 325,000 302,393
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,255,000 194,886
*Shenyin Wanguo (Hong Kong), Ltd...................... 847,500 45,138
*Shenzhen International Holdings, Ltd................. 6,187,500 404,983
*Shougang Concord Century Holdings, Ltd............... 1,292,000 34,820
*Shougang Concord Grand (Group), Ltd.................. 1,701,000 60,033
*Shougang Concord International Enterprises Co.,
Ltd................................................. 4,166,000 112,277
*Shougang Concord Technology Holdings, Ltd............ 1,647,914 69,791
Shui On Construction & Materials, Ltd................. 218,000 267,184
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Shun Ho Construction (Holdings), Ltd................. 1,037,452 $ 54,589
*Shun Ho Resources Holdings, Ltd...................... 483,000 15,435
*Shun Shing Holdings, Ltd............................. 2,573,600 181,658
Shun Tak Holdings, Ltd................................ 3,422,000 329,376
*Silver Grant International Industries, Ltd........... 2,087,000 152,668
Sime Darby Hong Kong, Ltd............................. 1,040,000 273,614
*Simsen Metals & Holdings, Ltd........................ 1,024,000 11,827
*Sincere Co., Ltd..................................... 505,500 25,301
Sing Tao Holdings, Ltd................................ 913,000 152,323
*Singamas Container Holdings, Ltd..................... 320,000 16,222
*Sino Foundations Holdings, Ltd....................... 1,074,000 52,377
*Sinocan Holdings, Ltd................................ 350,000 7,636
*Skynet (International Group) Holdings, Ltd........... 244,240 8,463
Solartech International Holdings, Ltd................. 4,960,000 36,283
*Sound International, Ltd............................. 79,200 1,342
South China Brokerage Co., Ltd........................ 4,060,000 59,399
South China Industries, Ltd........................... 1,124,000 54,815
*South China Strategic Investments, Ltd............... 857,400 64,921
*South Sea Development Co., Ltd....................... 2,603,158 120,269
*Southeast Asia Properties & Finance, Ltd............. 175,692 47,350
Starlight International Holdings, Ltd................. 1,049,034 146,746
*Stelux Holdings International, Ltd................... 1,307,702 45,313
*Styland Holdings, Ltd................................ 2,036,160 3,658
Sun Fook Kong Holdings, Ltd........................... 1,778,000 282,947
Sun Hung Kai & Co., Ltd............................... 3,338,600 569,859
*Suncorp Technologies, Ltd............................ 158,400 1,952
Suwa International Holdings, Ltd...................... 1,062,000 50,429
*Swank International Manufacturing Co., Ltd........... 638,000 9,825
Symphony Holdings, Ltd................................ 6,950,000 93,654
*Tack Hsin Holdings, Ltd.............................. 542,000 68,863
Tai Cheung Holdings, Ltd.............................. 1,445,000 202,137
Tai Sang Land Development, Ltd........................ 627,984 112,831
*Tak Sing Alliance Holdings, Ltd...................... 2,909,865 108,298
*Tak Wing Investment Holdings, Ltd.................... 432,800 53,878
Techtronic Industries Co., Ltd........................ 1,330,000 209,946
*Tem Fat Hing Fung (Holdings), Ltd.................... 5,488,000 183,121
Termbray Industries International (Holdings), Ltd..... 2,304,900 230,727
Tern Properties Co., Ltd.............................. 61,200 11,860
Texwinca Holdings, Ltd................................ 1,074,000 119,915
*Tian An China Investments Co., Ltd................... 4,355,750 162,111
Tian Teck Land, Ltd................................... 1,098,000 163,460
*Triplenic Holdings, Ltd.............................. 2,378,000 38,453
Tristate Holdings, Ltd................................ 138,000 25,680
Truly International Holdings, Ltd..................... 1,014,000 249,856
*Tung Fong Hung Holdings, Ltd......................... 1,157,745 43,831
Tungtex (Holdings) Co., Ltd........................... 788,000 97,084
*Tysan Holdings, Ltd.................................. 1,040,773 45,414
*UDL Holdings, Ltd.................................... 23,700 821
*USI Holdings, Ltd.................................... 928,999 150,223
*Union Bank of Hong Kong, Ltd......................... 1,005,934 942,418
*United Power Investment, Ltd......................... 1,664,000 105,708
*Universal Appliances, Ltd............................ 2,770,000 59,012
Van Shung Chong Holdings, Ltd......................... 854,400 151,318
</TABLE>
186
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Vanda Systems & Communications Holdings, Ltd......... 644,000 $ 214,887
Vitasoy International Holdings, Ltd................... 546,000 114,217
Wah Ha Realty Co., Ltd................................ 278,600 32,894
*Wah Kwong Shipping Holdings, Ltd..................... 230,500 141,992
*Wah Nam Group, Ltd................................... 1,934,800 7,946
Wai Kee Holdings, Ltd................................. 1,562,738 126,351
*Winfoong International, Ltd.......................... 1,210,000 54,351
Wing Fai International, Ltd........................... 3,380,000 107,143
Wing On Co. International, Ltd........................ 565,000 228,407
Wing Shan International, Ltd.......................... 896,000 63,244
*Winsan China Investment Group, Ltd................... 384,000 25,133
Winsor Industrial Corp., Ltd.......................... 498,000 95,868
*Winsor Properties Holdings, Ltd...................... 498,000 140,606
*Wo Kee Hong (Holdings), Ltd.......................... 1,944,000 47,402
Wong's International (Holdings), Ltd.................. 1,012,000 305,210
*Wong's Kong King International (Holdings), Ltd....... 1,139,600 59,964
World Houseware (Holdings), Ltd....................... 556,984 19,300
YGM Trading, Ltd...................................... 228,000 105,339
Yangtzekiang Garment Manufacturing Co., Ltd........... 405,000 53,536
*Yaohan Hong Kong Corp., Ltd.......................... 760,000 0
Yaohan International Caterers, Ltd.................... 512,000 59,795
*Yaohan International Holdings, Ltd................... 974,000 0
*Yau Lee Holdings, Ltd................................ 2,136,000 31,525
*Yeebo International Holdings, Ltd.................... 40,800 1,990
*Yiu Wing International Holdings, Ltd................. 1,404,200 26,130
*Yoshiya International Corp., Ltd..................... 612,300 33,790
Yugang International, Ltd............................. 5,958,000 214,096
*Yunnan Enterprises Holdings, Ltd..................... 240,000 23,409
------------
TOTAL COMMON STOCKS
(Cost $78,160,704)................................... 49,813,122
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars (Cost $72,469)..................... 72,468
------------
RIGHTS/WARRANTS/OPTIONS -- (0.0%)
*Applied International Holdings, Ltd. Warrants
04/30/04............................................ 248,600 1,914
*Egana Jewelry & Pearls, Ltd. Warrants 06/30/01....... 494,155 3,868
*Gold-Face Holdings, Ltd. Warrants 09/30/01........... 182,145 6,428
*Grande Holdings, Ltd. Warrants 10/15/00.............. 84,017 5,930
*Hikari Tsushin International, Ltd. Warrants
04/27/02............................................ 449,600 12,463
*Hinet Holdings, Ltd. Warrants 02/03/03............... 122,210 3,341
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 132,053 0
*Iquorum Cybernet, Ltd. Warrants 04/30/04............. 829,000 1,489
*Kong Sun Holdings, Ltd. Warrants 04/25/02............ 96,000 1,084
*Mui Hong Kong, Ltd. Rights 06/09/00.................. 615,000 789
*Online Credit International, Ltd. Warrants
12/31/00............................................ 210,000 539
<CAPTION>
SHARES VALUE+
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*South China Information & Technology, Ltd. Warrants
03/28/02............................................ 171,480 $ 1,607
*Tak Sing Alliance Holdings, Ltd. Warrants 02/28/02... 290,986 8,216
*Yunnan Enterprises Holdings, Ltd. Warrants
09/30/02............................................ 48,000 1,232
------------
TOTAL RIGHTS/WARRANTS
(Cost $5,137)........................................ 48,900
------------
TOTAL -- HONG KONG
(Cost $78,238,310)................................... 49,934,490
------------
AUSTRALIA -- (26.6%)
COMMON STOCKS -- (26.6%)
*A.I. Engineering Corp., Ltd.......................... 129,195 14,741
A.P. Eagers, Ltd...................................... 20,486 50,255
ARB Corporation, Ltd.................................. 11,364 33,388
Abigroup, Ltd......................................... 129,710 119,878
Adelaide Bank, Ltd.................................... 111,996 291,353
*Adelaide Brighton, Ltd............................... 367,220 81,704
Adsteam Marine, Ltd................................... 160,644 201,623
Adtrans Group Limited................................. 29,000 27,464
*Airboss, Ltd......................................... 27,480 2,665
*Allstate Explorations NL............................. 49,087 14,842
Amalgamated Holdings, Ltd............................. 266,483 436,319
*Amity Oil NL......................................... 43,079 4,915
*An Feng Kingstream Steel, Ltd........................ 764,927 130,916
*Anaconda Nickel NL................................... 500,170 670,561
*Anzoil NL............................................ 123,126 3,582
*Aquarius Platinum (Australia), Ltd................... 44,452 84,955
*Ariadne Australia, Ltd............................... 270,353 69,406
*Ashanti Goldfields Co., Ltd.......................... 16,421 28,573
*Ashanti Goldfields Co., Ltd. ADR..................... 15,990 31,085
Ashton Mining, Ltd.................................... 523,700 244,990
Asia Pacific Specialty Chemicals, Ltd................. 88,182 27,166
Atkins Carlyle, Ltd................................... 66,116 115,420
*AuIron Energy, Ltd................................... 105,300 25,831
*Auridiam Consolidated NL............................. 63,097 2,520
*Aurora Gold, Ltd..................................... 226,812 21,350
Ausdoc Group, Ltd..................................... 114,255 131,016
Ausdrill, Ltd......................................... 103,961 16,607
*Australasian Technology Corp., Ltd................... 47,332 44,825
Australian Hospital Care, Ltd......................... 215,500 62,700
*Australian Kaolin, Ltd............................... 182,145 16,626
Australian Oil & Gas Corp., Ltd....................... 96,119 66,899
Australian Pharmaceutical Industries, Ltd............. 287,700 344,677
Australian Provincial Newspaper Holdings, Ltd......... 376,331 837,312
*Australian Resources, Ltd............................ 141,446 18,560
*Avatar Industries, Ltd............................... 229,505 17,021
Bank of Queensland, Ltd............................... 124,922 363,464
*Beach Petroleum NL................................... 371,700 6,998
*Beaconsfield Gold NL................................. 89,078 25,918
Bendigo Bank, Ltd..................................... 137,260 371,172
*Bendigo Mining NL.................................... 849,735 77,563
*Beyond International, Ltd............................ 61,256 28,307
*Biota Holdings, Ltd.................................. 97,808 203,667
Biotech International, Ltd............................ 149,379 28,123
*Black Range Minerals NL.............................. 169,951 24,239
Blackmores, Ltd....................................... 27,894 92,457
*Bligh Oil & Minerals NL.............................. 58,844 3,861
Boag (J.) & Son, Ltd.................................. 84,500 78,577
</TABLE>
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*Boulder Group NL..................................... 78,500 $ 8,173
Brandrill, Ltd........................................ 95,918 39,399
Bridgestone Australia, Ltd............................ 49,000 47,522
Bristile, Ltd......................................... 81,032 50,851
Buderim Ginger, Ltd................................... 7,889 2,655
CI Technologies Group, Ltd............................ 109,822 438,571
Caltex Australia, Ltd................................. 407,700 558,219
Campbell Brothers, Ltd................................ 57,513 152,571
*Cape Range, Ltd...................................... 430,495 82,275
Capral Aluminium, Ltd................................. 379,330 482,586
*Carrington Cotton Corp., Ltd......................... 22,200 53,320
Casinos Austria International, Ltd.................... 258,299 126,728
Cedar Woods Properties, Ltd........................... 46,065 16,819
*Centamin Egypt, Ltd.................................. 261,882 13,446
*Centaur Mining & Exploration, Ltd.................... 620,579 51,336
Central Equity, Ltd................................... 123,243 128,667
Central Norseman Gold Corp., Ltd...................... 409,800 72,475
Centro Properties, Ltd................................ 250,387 391,395
*Charter Pacific Corp., Ltd........................... 72,823 16,618
*Cinema Plus, Ltd..................................... 75,700 4,751
*Circadian Technologies, Ltd.......................... 40,370 72,547
*Cityview Energy Corp., Ltd........................... 4,945 3,103
*Clifford Corp., Ltd.................................. 161,750 0
*Climax Mining, Ltd................................... 163,017 6,975
Coal & Allied Industries, Ltd......................... 11,250 93,383
Coates Hire, Ltd...................................... 258,842 224,456
Cochlear, Ltd......................................... 57,598 824,641
*Comet Resources NL................................... 83,600 21,939
Consolidated Manufacturing Industries, Ltd............ 32,784 18,703
Consolidated Paper Industries, Ltd.................... 63,268 60,638
*Consolidated Rutile, Ltd............................. 310,652 143,553
*Coolgardie Gold NL................................... 222,685 7,622
*Coplex Resources NL.................................. 231,400 11,881
*Corporate Express Australia, Ltd..................... 176,355 447,714
Coventry Group, Ltd................................... 63,616 139,727
Crane (G.E) Holdings, Ltd............................. 83,127 365,162
*Croesus Mining NL.................................... 97,100 13,849
*Cudgen RZ, Ltd....................................... 36,650 13,591
*DC International, Ltd................................ 299,350 6,148
*DJL, Ltd............................................. 277,900 1,585
*Dalrymple Resources NL............................... 62,885 19,732
Danks Holdings, Ltd................................... 10,425 51,148
Delfin Property Group, Ltd............................ 26,361 90,233
Delta Gold NL......................................... 442,483 360,982
*Denehurst, Ltd....................................... 95,000 3,956
*Devex, Ltd........................................... 205,364 46,864
Devine, Ltd........................................... 44,183 5,167
*Diamin Resources NL.................................. 127,684 26,952
Dollar Sweets Holdings, Ltd........................... 131,499 48,013
*Dominion Mining, Ltd................................. 168,015 42,654
*Durban Roodepoort Deep, Ltd.......................... 18,619 18,058
Eastern Aluminum, Ltd................................. 148,949 135,960
*Easycall Communications (Philippines), Ltd........... 177,300 36,414
Email, Ltd............................................ 409,709 659,140
*Emporer Mines, Ltd................................... 120,600 26,145
Energy Developments, Ltd.............................. 161,602 774,424
*Energy Equity Corp., Ltd............................. 325,630 26,937
Energy Resources of Australia, Ltd. Series A.......... 231,589 237,817
*Equatorial Mining, Ltd............................... 43,214 61,634
<CAPTION>
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*Equigold NL.......................................... 99,000 $ 15,249
Evans Deakin Industries, Ltd.......................... 177,590 165,143
Finemore Holdings, Ltd................................ 75,789 55,344
Fleetwood Corp., Ltd.................................. 37,721 27,115
Flight Centre, Ltd.................................... 61,473 682,114
*ForBio, Inc.......................................... 5,480 13,756
Forest Place Group, Ltd............................... 81,135 25,458
*Formulab Neuronetics Corp., Ltd...................... 1,061 769
Forrester Parker Group, Ltd........................... 142,602 78,100
Freedom Furniture, Ltd................................ 123,400 76,735
Futuris Corp., Ltd.................................... 638,000 605,293
GUD Holdings, Ltd..................................... 83,979 79,530
GWA International, Ltd................................ 415,102 502,046
Gazal Corp., Ltd...................................... 71,177 71,061
George Weston Foods, Ltd.............................. 59,223 202,719
*Gold Mines of Australia, Ltd......................... 110,614 9,781
Golden West Refining Corp., Ltd....................... 17,330 3,559
Goldfields, Ltd....................................... 477,502 291,482
*Goldstream Mining NL................................. 90,901 20,743
Gowing Bros., Ltd..................................... 51,348 57,123
*Gradipore, Ltd....................................... 21,628 62,310
Grand Hotel Group..................................... 347,700 242,001
*Grange Resources, Ltd................................ 57,506 16,075
*Greenfields Energy Corp., Ltd........................ 193,687 10,276
Green's Foods, Ltd.................................... 66,082 18,096
Gunns, Ltd............................................ 48,287 66,114
HIH Insurance, Ltd.................................... 760,341 511,851
Hancock and Gore, Ltd................................. 48,463 37,601
Haoma Mining NL....................................... 98,816 7,329
*Hardman Resources NL................................. 314,890 35,929
Harris Scarfe Holdings, Ltd........................... 98,335 69,564
Hartley Poynton, Ltd.................................. 83,134 89,638
*Helix Resources NL................................... 25,000 3,138
Henry Walker Group, Ltd............................... 287,948 213,555
*Herald Resources, Ltd................................ 69,910 11,167
Hills Industries, Ltd................................. 206,170 270,524
Hills Motorway Group.................................. 279,349 538,662
Iama, Ltd............................................. 187,940 123,302
*Industrial & Commercial Electronic Industries,
Ltd................................................. 54,361 12,405
Institute of Drug Technology Australia, Ltd........... 42,260 74,738
*Intellect Holdings, Ltd.............................. 75,070 16,060
Ipoh, Ltd............................................. 139,966 142,932
Ipswich and West Moreton Building Society, Ltd........ 17,541 19,814
*Ixla, Ltd............................................ 82,115 30,919
*Johnson's Well Mining NL............................. 200,000 45,640
Jones (David), Ltd.................................... 593,400 389,312
Joyce Corp., Ltd...................................... 13,049 9,752
*Jubilee Gold Mines NL................................ 113,400 71,811
Jupiters, Ltd......................................... 189,523 302,742
Just Jeans Holdings, Ltd.............................. 94,342 41,981
*Keycorp, Ltd......................................... 51,992 249,154
*Kidston Gold Mines, Ltd.............................. 246,300 36,533
*Kingsgate Consolidated NL............................ 71,492 24,472
*Kolback Group, Ltd................................... 90,810 33,674
*Kresta Holdings, Ltd................................. 56,700 5,014
Lemarne Corp., Ltd.................................... 20,790 29,652
*Leo Shield Exploration, Ltd.......................... 286,300 26,133
*Lynas Gold NL........................................ 40,500 3,928
*MRI Holdings, Ltd.................................... 36,169 8,254
</TABLE>
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*MacMahon Holdings, Ltd............................... 192,179 $ 11,512
Magellan Petroleum Australia, Ltd..................... 32,760 30,838
Maryborough Sugar Factory, Ltd........................ 600 1,763
Maxi-Cube, Ltd........................................ 128,356 12,082
McConnell Dowell Corp., Ltd........................... 62,776 41,185
McGuigan (Brian) Wines, Ltd........................... 49,657 84,987
McPherson's, Ltd...................................... 61,500 37,191
*Media Entertainment Group, Ltd....................... 150,814 21,510
*Micromedical Industries, Ltd......................... 150,461 26,180
*Mikoh Corp., Ltd..................................... 39,999 3,309
*Mineral Deposits, Ltd................................ 49,458 3,386
*Mobile Computing Corp................................ 75,400 421,551
*Mogul Mining NL...................................... 240,504 21,953
Monadelphous Group, Ltd............................... 17,086 32,654
*Mosaic Oil NL........................................ 345,724 22,682
*Mount Kersey Mining NL............................... 146,152 27,515
*Murchison United NL.................................. 71,536 30,608
'Murrin Murrin Investments, Ltd. Promissory Notes
06/30/00............................................ 40,918 4,622
'Murrin Murrin Investments, Ltd. Promissory Notes
06/30/99............................................ 40,918 8,987
National Can Industries, Ltd.......................... 97,017 68,078
National Foods, Ltd................................... 423,545 693,480
Nautronix, Ltd........................................ 74,694 29,403
*New Hampton Goldfields NL............................ 178,048 20,823
*Newcrest Mining, Ltd................................. 127,708 260,828
Normandy Mt. Leyshon, Ltd............................. 133,376 132,397
Normans Wine, Ltd..................................... 35,848 23,110
*North Flinders Mines, Ltd............................ 99,807 202,135
*Novogen, Ltd......................................... 105,184 186,022
*Novus Petroleum, Ltd................................. 245,359 211,224
OPSM Protector, Ltd................................... 257,306 374,320
Oil Company of Australia, Ltd......................... 51,800 51,715
*Online Advantage, Ltd................................ 2,475 360
*Orbital Engine Corp., Ltd............................ 537,358 404,660
Oroton International, Ltd............................. 38,427 52,614
PMP Communications, Ltd............................... 381,871 389,962
Pacific BBA, Ltd...................................... 265,200 635,442
Pacific Hydro, Ltd.................................... 109,601 91,915
*Pan Pacific Petroleum NL............................. 327,800 15,335
*Payce Consolidated, Ltd.............................. 18,000 6,777
Penfold (W.C.), Ltd................................... 14,100 14,077
*Peptide Technology, Ltd.............................. 176,600 26,195
*Perilya Mines NL..................................... 263,500 34,575
Permanent Trustee Co., Ltd............................ 20,052 89,229
Perpetual Trustees Australia, Ltd..................... 47,118 672,016
Petaluma, Ltd......................................... 29,519 85,886
Peter Lehmann Wines, Ltd.............................. 35,586 44,461
*Petroz NL............................................ 308,910 46,701
*Petsec Energy, Ltd................................... 97,992 5,087
*Pima Mining NL....................................... 214,601 35,504
Pirelli Cables Australia, Ltd......................... 97,420 40,850
Plaspak Group, Ltd.................................... 72,667 22,386
*Pocketmail Group, Ltd................................ 10,933 748
*Polartechnics, Ltd................................... 37,205 76,411
*Port Douglas Reef Resorts, Ltd....................... 264,900 13,299
*Portman Mining, Ltd.................................. 241,600 95,104
*Precious Metals Australia, Ltd....................... 106,059 13,614
*Preston Resources NL................................. 64,000 9,858
Prime Television, Ltd................................. 163,689 186,768
*Progen Industries, Ltd............................... 24,788 26,727
Publishing and Broadcasting, Ltd...................... 42,823 315,152
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
QCT Resources, Ltd.................................... 1,039,400 $ 397,292
*Quantum Resources, Ltd............................... 115,007 5,249
Queensland Cotton Holdings, Ltd....................... 39,866 94,385
*Queensland Metals Corp., Ltd......................... 421,284 84,119
*Quiktrak Networks, Ltd............................... 396,495 37,323
*Raptis Group, Ltd.................................... 12,000 1,130
Rebel Sport, Ltd...................................... 77,898 30,664
*Redfire Resources NL................................. 27,900 1,910
Reece Australia, Ltd.................................. 32,100 318,645
*Reinsurance Australia Corp., Ltd..................... 399,993 19,397
*Resolute, Ltd........................................ 324,045 24,772
Ridley Corp., Ltd..................................... 575,547 183,875
Rock Building Society, Ltd............................ 11,373 15,247
Rural Press, Ltd...................................... 202,588 577,878
SPC, Ltd.............................................. 91,854 42,446
Sabre Group, Ltd...................................... 40,702 41,913
Schaffer Corp., Ltd................................... 15,180 29,444
Scientific Services, Ltd.............................. 122,237 14,645
*Scitec, Ltd.......................................... 136,800 71,800
Scott Corp., Ltd...................................... 43,000 30,664
Select Harvests....................................... 41,257 24,714
Siddons Ramset, Ltd................................... 105,522 352,169
Simeon Wines, Ltd..................................... 193,003 286,279
Simsmetal, Ltd........................................ 153,792 438,689
Singleton Group, Ltd.................................. 26,804 140,683
*Sino Securities International, Ltd................... 8,118 7,642
Skilled Engineering, Ltd.............................. 121,366 148,864
*Solution 6 Holdings, Ltd............................. 156,041 268,932
Sonic Healthcare, Ltd................................. 245,203 832,330
Sons of Gwalia, Ltd................................... 223,006 617,037
Southern Cross Broadcasting (Australia), Ltd.......... 43,783 202,322
*Southern Pacific Petroleum NL........................ 82,140 96,064
Southern Star Group, Ltd.............................. 154,982 27,409
*Spectrum Network Systems, Ltd. Series B.............. 153,959 140,533
Spicers Paper, Ltd.................................... 246,300 261,355
Spotless Group, Ltd................................... 248,659 673,830
Spotless Services, Ltd................................ 664,450 488,995
*St. Barbara Mines, Ltd............................... 375,500 22,493
*Straits Resources, Ltd............................... 56,534 7,741
*Strategic Minerals Corp. NL.......................... 13,100 448
Sydney Aquarium, Ltd.................................. 24,135 55,076
*Taipan Resources NL.................................. 300,000 10,611
Tandou, Ltd........................................... 3,100 2,476
*Tanganyika Gold NL................................... 14,760 5,473
*Tap Oil.............................................. 193,100 74,911
Tassal, Ltd........................................... 90,356 54,641
*Techniche, Ltd....................................... 35,729 64,207
Telecasters Australia, Ltd............................ 30,643 136,357
Television & Media Services, Ltd...................... 173,137 158,038
Tempo Service, Ltd.................................... 49,087 96,054
Ten Network Holdings, Ltd............................. 110,000 137,433
*Thakral Holdings Group............................... 38,110 12,175
Thakral Holdings Group................................ 1,018,492 377,680
Ticor, Ltd............................................ 347,850 228,214
Timbercorp Limited.................................... 203,237 233,051
*Titan Resources NL................................... 50,000 2,995
Toll Holdings, Ltd.................................... 92,767 433,970
*Tooth & Co., Ltd..................................... 153,000 13,966
Tourism Assets Holdings, Ltd.......................... 469,760 152,758
*Transcom International, Ltd.......................... 113,691 90,804
</TABLE>
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Triako Resources, Ltd................................. 5,400 $ 1,078
*Troy Resources NL.................................... 22,548 7,075
Union Gold Mining Co. NL.............................. 142,500 61,785
United Construction Group, Ltd........................ 81,554 46,061
*Utility Services Corp., Ltd.......................... 96,769 35,332
*Victoria Petroleum NL................................ 147,973 3,968
Villa World, Ltd...................................... 134,700 54,561
Village Roadshow, Ltd................................. 356,394 463,573
Visions Systems, Ltd.................................. 17,778 103,958
*Voicenet (Australia), Ltd............................ 97,365 138,866
*Vos Industries, Ltd.................................. 102,161 12,822
*Walhalla Mining Company NL........................... 95,388 8,707
Waterco, Ltd.......................................... 22,304 19,087
Watpac, Ltd........................................... 107,730 13,214
Wattyl, Ltd........................................... 141,996 267,327
Webster, Ltd.......................................... 33,551 13,399
Western Metals, Ltd................................... 385,787 50,621
Westralian Sands, Ltd................................. 293,919 660,490
White (Joe) Maltings, Ltd............................. 13,724 23,175
Wide Bay Capricorn Building Society, Ltd.............. 26,958 49,214
*Williams R.M. Holdings, Ltd.......................... 24,075 33,925
Yates (Arthur) and Co. Property, Ltd.................. 150,702 53,304
*Zimbabwe Platinum Mines, Ltd......................... 74,620 14,474
------------
TOTAL COMMON STOCKS
(Cost $51,030,748)................................... 38,457,083
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $22,693)..................... 22,386
------------
RIGHTS/WARRANTS/OPTIONS -- (0.0%)
*A.P. Eagers, Ltd. Options 01/31/03................... 2,204 591
*Advanced Engine Components, Ltd. Options 12/31/02.... 11,369 519
*Australasian Technology Corp., Ltd. Rights
06/19/00............................................ 7,821 2,677
*Axon Instruments, Inc. Options Open Pay Date......... 16,148 0
*Beaconsfield Gold NL Options 03/15/02................ 8,908 356
*Boulder Steel, Ltd. Options 11/30/02................. 39,250 0
*Gympie Gold, Ltd. Options 06/30/01................... 41,073 1,347
*Harris Scarfe Holdings, Ltd. Rights 06/19/00......... 12,291 0
*Mosaic Oil NL Options 06/30/02....................... 31,429 538
*New Hampton Goldfields NL Options 04/30/01........... 89,024 2,082
*Ridley Corp., Ltd. Options 04/30/02.................. 57,485 3,935
*Surfboard, Ltd. Options 12/31/01..................... 28,753 1,804
*Utility Services Corp., Ltd. Rights 06/21/00......... 9,676 1,325
------------
TOTAL RIGHTS/WARRANTS
(Cost $5,447)........................................ 15,174
------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $22,619)...................................... 11,498 11,840
------------
TOTAL -- AUSTRALIA
(Cost $51,081,507)................................... 38,506,483
------------
SINGAPORE -- (25.9%)
COMMON STOCKS -- (25.7%)
A.V. Jennings Homes, Ltd.............................. 30,800 9,063
<CAPTION>
SHARES VALUE+
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Acma, Ltd............................................. 472,600 $ 299,956
*Alliance Technology & Development, Ltd............... 156,000 20,703
Amtek Engineering, Ltd................................ 540,625 162,208
Apollo Enterprises, Ltd............................... 193,000 74,054
*Armstrong Industrial Corp............................ 730,000 84,241
Avimo Group, Ltd...................................... 317,250 585,764
Benjamin (F.J.) Holdings, Ltd......................... 611,000 130,441
*Bonvests Holdings, Ltd............................... 750,000 248,829
*Broadway Industrial Group, Ltd....................... 352,000 36,558
Bukit Sembawang Estates, Ltd.......................... 71,334 535,071
*CK Tang, Ltd......................................... 307,000 53,141
CWT Distribution, Ltd................................. 461,500 214,358
Carnaudmetalbox Asia, Ltd............................. 213,000 251,945
Causeway Investment, Ltd.............................. 248,000 36,489
Central Properties, Ltd............................... 66,000 555,992
Chemical Industries (Far East), Ltd................... 105,910 89,220
Chevalier Singapore Holdings, Ltd..................... 220,000 35,543
Chuan Hup Holdings, Ltd............................... 3,050,000 598,343
Chuan Soon Huat Industrial Group, Ltd................. 614,000 106,282
Comfort Group, Ltd.................................... 1,646,000 631,572
Compact Metal Industries.............................. 643,000 96,462
Cosco Investment, Ltd................................. 1,222,000 119,865
Courts Singapore, Ltd................................. 495,000 168,511
Dovechem Terminals Holdings, Ltd...................... 339,000 160,393
Econ International, Ltd............................... 1,242,000 164,824
Eltech Electronics, Ltd............................... 704,000 117,799
Eng Wah Organisation, Ltd............................. 265,000 48,929
First Capital Corp., Ltd.............................. 1,215,000 946,415
Focal Finance, Ltd.................................... 336,200 366,632
*Freight Links Express Holdings, Ltd.................. 1,648,000 209,195
Fu Yu Manufacturing, Ltd.............................. 1,291,000 204,847
Fuji Offset Plates Manufacturing, Ltd................. 33,750 9,347
GB Holdings, Ltd...................................... 200,000 73,278
GK Goh Holdings, Ltd.................................. 1,120,000 626,846
*General Magnetics, Ltd............................... 308,000 50,649
*Goldtron, Ltd........................................ 473,000 60,042
Great Eastern Holdings, Ltd........................... 80,000 249,261
Guthrie GTS, Ltd...................................... 1,174,400 196,510
*HTP Holdings, Ltd.................................... 479,000 87,060
Hai Sun Hup Group, Ltd................................ 2,604,000 450,748
Haw Par Brothers International, Ltd................... 565,200 652,234
Hind Hotels International, Ltd........................ 171,000 245,678
Hitachi Zosen (Singapore), Ltd........................ 962,000 327,490
Hong Kok Corp., Ltd................................... 449,000 250,003
Hotel Grand Central, Ltd.............................. 437,640 127,520
Hotel Plaza, Ltd...................................... 1,189,000 295,000
Hotel Properties, Ltd................................. 1,393,000 1,277,967
Hotel Royal, Ltd...................................... 144,333 119,089
Hour Glass, Ltd....................................... 298,000 61,900
Hup Seng Huat, Ltd.................................... 900,200 111,673
Hwa Hong Corp., Ltd................................... 1,996,000 437,639
Hwa Tat Lee, Ltd...................................... 455,000 74,822
*IPC Corp., Ltd....................................... 1,936,000 273,680
Inchcape Motors, Ltd.................................. 491,000 334,299
*Inno-Pacific Holdings, Ltd........................... 962,500 130,509
International Factors (Singapore), Ltd................ 290,000 79,481
Intraco, Ltd.......................................... 292,500 210,964
Isetan (Singapore), Ltd............................... 98,000 110,829
*Jack Chia-MPH, Ltd................................... 638,000 241,120
Jaya Holdings, Ltd.................................... 2,127,000 190,226
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Jurong Cement, Ltd.................................... 132,500 $ 110,091
Jurong Engineering, Ltd............................... 112,000 122,784
Kay Hian Holdings, Ltd. (Foreign)..................... 1,352,000 663,082
*Keppel Fels Energy and Infrastructure, Ltd........... 1,526,500 916,013
Keppel Marine Industries, Ltd......................... 568,500 446,109
Keppel Tatlee Finance, Ltd............................ 319,750 193,719
Keppel Telecommunications and Transportation, Ltd..... 1,376,000 1,587,888
Khong Guan Flour Milling, Ltd......................... 19,000 19,733
Kian Ann Engineering, Ltd............................. 868,000 212,853
Kian Ho Bearings, Ltd................................. 277,000 33,564
Kim Eng Holdings, Ltd................................. 1,775,200 686,268
Koh Brothers, Ltd..................................... 747,000 144,390
*L & M Group Investments, Ltd......................... 337,100 136,153
*LC Development, Ltd.................................. 1,191,767 151,281
*Labroy Marine, Ltd................................... 2,600,000 517,564
Lee Kim Tah Holdings, Ltd............................. 795,000 91,742
Liang Court Holdings, Ltd............................. 1,425,000 345,331
Liang Huat Aluminum, Ltd.............................. 1,477,000 178,966
*Lim Kah Ngam, Ltd.................................... 350,999 50,631
*Low Keng Huat Singapore, Ltd......................... 372,000 72,978
Lum Chang Holdings, Ltd............................... 1,134,030 307,534
Marco Polo Developments, Ltd.......................... 377,000 332,816
Metalock (Singapore), Ltd............................. 60,000 10,905
Metro Holdings, Ltd................................... 1,575,800 300,045
*Neptune Orient Lines, Ltd............................ 372,000 281,181
*Nippecraft, Ltd...................................... 1,013,000 99,364
Orchard Parade Holdings, Ltd.......................... 1,084,022 372,157
*Osprey Maritime, Ltd................................. 966,000 225,737
Ossia International, Ltd.............................. 708,000 261,448
Overseas Union Enterprise, Ltd........................ 542,000 1,263,432
Overseas Union Trust (Foreign)........................ 163,800 203,673
PCI, Ltd.............................................. 530,000 270,639
*Pacific Can Investment Holdings, Ltd................. 101,000 10,781
Pacific Carriers, Ltd................................. 900,000 415,436
Pan Pacific Public Co., Ltd........................... 69,750 15,092
Pan-United Corp., Ltd................................. 1,624,000 299,852
Pentex-Schweizer Circuits, Ltd........................ 916,000 126,846
Pertama Holdings, Ltd................................. 278,750 38,601
*Pokka Corp. (Singapore), Ltd......................... 159,000 25,688
Prima, Ltd............................................ 106,000 234,860
Provisions Suppliers Corp............................. 3,373,000 350,316
Republic Hotels and Resorts, Ltd...................... 881,000 391,416
Robinson & Co., Ltd................................... 237,360 512,213
Rotary Engineering, Ltd............................... 1,231,000 241,495
SMB United............................................ 1,254,000 198,976
SNP Corp., Ltd........................................ 175,500 111,389
*SPP, Ltd............................................. 454,000 47,152
*ST Capital, Ltd...................................... 940,553 341,897
San Teh, Ltd.......................................... 838,406 154,802
*Scotts Holdings, Ltd................................. 482,000 108,463
Sea View Hotel, Ltd................................... 66,000 289,420
Sime Singapore, Ltd................................... 1,617,000 466,500
Sin Soon Huat, Ltd.................................... 929,000 107,206
*Sing Investments & Finance, Ltd. (Foreign)........... 94,500 52,890
Singapore Finance, Ltd................................ 598,000 469,258
Singapore Reinsurance Corp., Ltd...................... 254,700 202,805
Singapura Building Society, Ltd....................... 139,250 81,150
*Singatronics, Ltd.................................... 748,000 157,531
Ssangyong Cement (Singapore), Ltd..................... 236,000 197,447
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Stamford Tyres Corp., Ltd............................. 62,000 $ 14,309
Straits Trading Co., Ltd.............................. 931,000 821,888
Sunright, Ltd......................................... 378,000 126,500
Superbowl Holdings, Ltd............................... 490,000 72,095
Superior Metal Printing, Ltd.......................... 490,500 73,584
*TIBS Holdings, Ltd. Series A......................... 141,000 87,051
Tibs Holdings, Ltd.................................... 282,000 177,356
Tiger Medicals, Ltd................................... 224,000 165,436
Times Publishing, Ltd................................. 365,000 918,228
*Transmarco, Ltd...................................... 106,500 62,064
*Tuan Sing Holdings, Ltd.............................. 3,362,000 417,069
United Engineers, Ltd................................. 474,500 465,432
United Overseas Insurance, Ltd........................ 125,500 161,480
United Overseas Land, Ltd............................. 1,104,000 732,552
United Pulp & Paper Co., Ltd.......................... 354,000 112,341
*Uraco Holdings, Ltd.................................. 1,803,600 239,353
*Van der Horst, Ltd................................... 309,100 79,365
Vickers Ballas Holdings, Ltd.......................... 1,314,000 720,262
WBL Corp., Ltd........................................ 510,000 694,470
Wearnes International (1994), Ltd..................... 33,000 13,709
------------
TOTAL COMMON STOCKS
(Cost $52,657,718)................................... 37,133,606
------------
PREFERRED STOCKS -- (0.1%)
First Capital Corp., Ltd. 7% Non-Redeemable
Convertible (Cost $102,710)......................... 172,500 147,307
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars (Cost $73,492)..................... 73,476
------------
TOTAL -- SINGAPORE
(Cost $52,833,920)................................... 37,354,389
------------
NEW ZEALAND -- (10.2%)
COMMON STOCKS -- (10.1%)
*AFFCO Holdings, Ltd.................................. 503,188 87,324
*Advantage Group, Ltd................................. 101,600 131,775
Baycorp Holdings, Ltd................................. 200,614 838,308
CDL Hotels NZ, Ltd.................................... 657,244 60,031
CDL Investments NZ, Ltd............................... 240,073 21,928
Cavalier Corp., Ltd................................... 88,507 137,429
Ceramco Corp., Ltd.................................... 102,827 80,771
Colonial Motor Co., Ltd............................... 47,895 65,620
Corporate Investments, Ltd............................ 503,564 487,542
*Cue Energy Resources NL.............................. 452,354 13,015
DB Group, Ltd......................................... 264,177 324,540
Ebos Group, Ltd....................................... 57,108 95,194
*Evergreen Forests, Ltd............................... 323,301 64,965
Fernz Corp., Ltd...................................... 391,902 672,956
Fisher & Paykel Industries, Ltd....................... 307,890 913,967
Force Corp., Ltd...................................... 380,914 78,282
Hallenstein Glassons Holdings, Ltd.................... 142,638 128,328
Hellaby Holdings, Ltd................................. 118,179 90,132
Horizon Energy Distribution, Ltd...................... 8,084 23,480
Independent Newspapers, Ltd. (Auckland)............... 1,014,000 1,829,180
*Kingsgate International Corp., Ltd................... 479,679 27,602
Met Lifecare, Ltd..................................... 144,900 115,805
Michael Hill International, Ltd....................... 90,546 117,852
Natural Gas Corp. Holdings, Ltd....................... 1,859,760 1,121,121
*New Zealand Oil & Gas, Ltd........................... 402,731 47,820
New Zealand Refining Co., Ltd......................... 62,819 292,626
</TABLE>
191
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Northland Port Corp. (New Zealand), Ltd............... 108,571 $ 71,896
Nuplex Industries, Ltd................................ 183,268 235,188
*Otter Gold Mines, Ltd................................ 89,321 25,291
Owens Group, Ltd...................................... 138,522 63,262
PDL Holdings, Ltd..................................... 33,381 70,126
*Pacific Retail Group, Ltd............................ 123,160 95,056
Port of Tauranga, Ltd................................. 200,316 480,282
Ports of Auckland..................................... 347,158 634,174
Radio Pacific, Ltd.................................... 5,200 18,523
Reid Farmers, Ltd..................................... 146,734 45,568
Restaurant Brand New Zealand, Ltd..................... 226,417 118,913
*Richina Pacific, Ltd................................. 137,322 26,340
Sanford, Ltd.......................................... 250,512 486,227
Scott Technology, Ltd................................. 48,074 53,790
*Seafresh Fisheries................................... 80,520 4,045
Shotover Jet, Ltd..................................... 106,500 21,887
Sky City, Ltd......................................... 250,100 699,015
South Eastern Utilities, Ltd.......................... 147,679 61,374
South Port New Zealand, Ltd........................... 39,528 16,247
St. Lukes Group, Ltd.................................. 474,097 350,755
Steel & Tube Holdings, Ltd............................ 151,610 91,395
*Summit Gold, Ltd..................................... 107,419 4,906
Tasman Agriculture, Ltd............................... 327,200 127,015
Taylors Group, Ltd.................................... 29,646 14,622
Tourism Holdings, Ltd................................. 222,252 252,736
*Trans Tasman Properties, Ltd......................... 891,408 73,277
Tranz Rail Holdings, Ltd.............................. 316,409 455,178
Trustpower, Ltd....................................... 458,529 628,217
Warehouse Group, Ltd.................................. 503,486 988,729
Waste Management NZ, Ltd.............................. 254,272 400,626
Williams & Kettle, Ltd................................ 38,372 35,924
Wrightson, Ltd........................................ 317,720 62,393
------------
TOTAL COMMON STOCKS
(Cost $19,188,315)................................... 14,580,570
------------
</TABLE>
<TABLE>
BONDS -- (0.1%)
<CAPTION>
FACE
AMOUNT@
-------
(000)
<S> <C> <C>
Capital Properties New Zealand, Ltd. Notes
8.500%, 04/15/05 (Cost $210,196)................... 201 83,329
------------
TOTAL -- NEW ZEALAND
(Cost $19,398,511)................................... 14,663,899
------------
<CAPTION>
SHARES
------------
MALAYSIA -- (0.3%)
<S> <C> <C>
COMMON STOCKS -- (0.3%)
*Aokam Perdana Berhad................................. 7,100 10,650
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Arensi Holdings (Malaysia) Berhad.................... 33,000 $ 3,561
*Autoways Holdings Berhad............................. 10,000 3,395
*Instangreen Corp. Berhad............................. 15,000 3,789
*Kuala Lumpur Industries Holdings Berhad.............. 138,000 17,976
*MBF Holdings Berhad.................................. 2,228,250 120,208
*Mun Loong Berhad..................................... 40,000 6,158
*Perdana Industrial Holdings Berhad................... 46,000 3,753
*Promet Berhad........................................ 1,143,000 87,229
*Rahman Hydraulic Tin Berhad.......................... 111,000 19,425
*Red Box (Malaysia) Berhad............................ 41,000 4,370
*Rekapacific Berhad................................... 473,000 57,258
*SCK Group Berhad..................................... 22,000 0
*Tai Wah Garments Manufacturing Berhad (Foreign)...... 60,000 6,947
*Taiping Consolidated Berhad.......................... 232,000 12,821
*Westmont Industries Berhad........................... 223,520 52,351
*Wing Tiek Holdings Berhad............................ 95,800 22,437
------------
TOTAL -- MALAYSIA
(Cost $3,085,047).................................... 432,328
------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*DF China Technology, Inc............................. 158 317
*Exergy, Inc.......................................... 7,260 0
------------
TOTAL -- UNITED STATES
(Cost $4,334)........................................ 317
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (2.4%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $3,581,079) to be
repurchased at $3,527,583. (Cost $3,527,000)........ $ 3,527 3,527,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $208,168,629)++.... $144,418,906
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
@ Denominated in local currency.
++ The cost for federal income tax purposes is $208,269,436.
</TABLE>
See accompanying Notes to Financial Statements.
192
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
UNITED KINGDOM -- (97.1%)
COMMON STOCKS -- (95.9%)
*10 Group P.L.C....................................... 56,000 $ 2,145
600 Group P.L.C....................................... 100,910 67,874
*AEA Technology P.L.C................................. 8,800 46,037
AIM Group P.L.C....................................... 32,063 73,085
*AIT Group P.L.C...................................... 2,000 23,093
API Group P.L.C....................................... 51,500 215,536
ASDA Property Holdings P.L.C.......................... 94,000 251,498
*ASW Holdings P.L.C................................... 949,314 156,083
Abacus Polar P.L.C.................................... 75,000 440,002
Abbeycrest P.L.C...................................... 42,590 71,617
Abbot Group P.L.C..................................... 92,595 131,482
Aberdeen Asset Management P.L.C....................... 38,500 258,957
Acal P.L.C............................................ 13,671 78,160
*Acatos & Hutcheson P.L.C............................. 79,000 64,945
Action Computer Supplies Holdings, Ltd................ 88,000 118,380
Adam & Harvey Group P.L.C............................. 10,500 16,793
*Advanced Medical Solutions P.L.C..................... 24,258 4,714
*African Lakes Corp. P.L.C............................ 7,760 5,277
Airflow Streamlines P.L.C............................. 20,500 38,608
Airsprung Furniture Group P.L.C....................... 58,000 99,263
Alba P.L.C............................................ 105,025 863,395
Alexanders Holdings P.L.C............................. 71,000 30,245
Alexandra Workwear P.L.C.............................. 86,243 195,939
*Alexon Group P.L.C................................... 106,500 122,573
*Alldays P.L.C........................................ 101,504 62,204
Allders P.L.C......................................... 16,000 22,241
Allen P.L.C........................................... 25,000 81,648
Allied Leisure P.L.C.................................. 53,033 97,897
Allied Textile Companies P.L.C........................ 128,033 260,264
Alpha Airports Group P.L.C............................ 331,241 242,602
Alphameric P.L.C...................................... 12,688 57,558
Alumasc Group P.L.C................................... 100,245 166,318
Alvis P.L.C........................................... 150,000 207,390
Amey P.L.C............................................ 77,000 1,096,250
Amstrad P.L.C......................................... 149,652 413,817
Andrew Sykes Group P.L.C.............................. 203,650 220,687
*Anglesey Mining P.L.C................................ 55,000 3,288
Anglian Group P.L.C................................... 126,280 282,182
Anglo Eastern Plantations P.L.C....................... 57,166 38,023
*Anite Group P.L.C.................................... 250,000 605,353
Aquarius Group P.L.C.................................. 8,000 14,947
*Arena Leisure P.L.C.................................. 37,500 97,529
Armitage Brothers P.L.C............................... 4,000 10,911
*Armour Trust P.L.C................................... 198,500 48,955
Ascot P.L.C........................................... 53,435 241,605
Ash & Lacy P.L.C...................................... 78,098 162,843
Ashtenne Holdings P.L.C............................... 50,000 137,886
*Associated British Engineering P.L.C................. 2,672 9,386
Aukett Associates P.L.C............................... 144,174 40,944
Austin Reed Group P.L.C............................... 68,999 101,586
Avesco P.L.C.......................................... 29,998 390,091
Avon Rubber P.L.C..................................... 60,364 191,279
*Axis-Shield P.L.C.................................... 5,384 51,705
*Azlan Group P.L.C.................................... 185,000 382,979
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
BNB Resources P.L.C................................... 49,000 $ 98,874
BPP Holdings P.L.C.................................... 53,250 555,160
*BS P.L.C............................................. 7,000 11,195
BSS Group P.L.C....................................... 47,905 209,441
*BTG P.L.C............................................ 40,166 493,797
*BWA Group P.L.C...................................... 6,300 400
Babcock International Group P.L.C..................... 372,557 567,998
Baggeridge Brick P.L.C................................ 98,000 135,495
Bailey (Ben) Construction P.L.C....................... 26,000 12,825
Bailey (C.H.) P.L.C................................... 109,500 11,866
Bailey (C.H.) P.L.C. Class B.......................... 10,000 3,288
Barlows P.L.C......................................... 50,000 39,236
Barr (A.G.) P.L.C..................................... 43,000 250,661
Baynes (Charles) P.L.C................................ 341,378 216,860
Beattie (James) P.L.C................................. 132,247 324,178
*Beauford P.L.C....................................... 1,312 59
Bellway P.L.C......................................... 93,000 352,383
Bemrose Corp. P.L.C................................... 50,375 290,641
Benchmark Group P.L.C................................. 26,892 90,440
Bentalls P.L.C........................................ 91,617 82,849
Bespak P.L.C.......................................... 55,918 387,396
Bett Brothers P.L.C................................... 33,108 100,458
*Beverley Group P.L.C................................. 86,820 0
*Biocompatibles International P.L.C................... 27,750 118,834
*Biotrace International P.L.C......................... 50,000 30,641
Birse Group P.L.C..................................... 421,901 70,944
Black (A & C) P.L.C................................... 2,250 31,949
Black (Peter) Holdings P.L.C.......................... 111,495 441,627
Black Arrow Group P.L.C............................... 56,500 56,160
Blacks Leisure Group P.L.C............................ 60,959 276,535
Blagden Industries P.L.C.............................. 131,092 149,897
Blick P.L.C........................................... 68,555 251,049
Body Shop International P.L.C......................... 194,000 363,915
*Bolton Group (International), Ltd.................... 23,000 3,524
Boosey & Hawkes P.L.C................................. 35,500 180,410
Boot (Henry) & Sons P.L.C............................. 47,000 139,799
Booth Industries Group P.L.C.......................... 5,000 2,578
Bostrom P.L.C......................................... 36,000 110,309
Bourne End Properties P.L.C........................... 141,021 112,769
Bradstock Group P.L.C................................. 130,000 36,919
Brammer (H.) P.L.C.................................... 86,623 517,902
Breedon P.L.C......................................... 65,428 171,142
*Bridgend Group P.L.C................................. 325,500 27,975
Bristol Water Holdings P.L.C.......................... 12,000 143,491
Britax International P.L.C............................ 59,597 104,223
*British Biotech P.L.C................................ 198,000 66,589
British Mohair Holdings P.L.C......................... 31,500 53,439
British Polythene Industries P.L.C.................... 56,740 143,328
*British-Borneo Petroleum Syndicate P.L.C............. 38,414 39,905
*Britt Allcroft Co. P.L.C............................. 25,000 200,850
Brockhampton Holdings P.L.C........................... 12,000 36,411
Brockhampton Holdings P.L.C. Series A Non-Voting...... 48,000 61,342
Brooke Industrial Holdings P.L.C...................... 15,574 14,083
Brooks Service Group P.L.C............................ 25,500 51,074
Brown & Jackson P.L.C................................. 296,819 689,884
</TABLE>
193
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Brunel Holdings P.L.C................................ 276,000 $ 14,439
Bryant Group P.L.C.................................... 22,177 38,783
Budgens P.L.C......................................... 306,137 295,141
Bulgin (A.F.) & Co. P.L.C............................. 36,000 8,609
Bullough P.L.C........................................ 256,000 172,189
Bulmer (H.P.) Holdings P.L.C.......................... 60,500 406,932
*Burn Stewart Distillers P.L.C........................ 142,500 36,209
*Burnden Leisure P.L.C................................ 33,000 4,686
Burndene Investments P.L.C............................ 175,001 88,935
Burtonwood Brewery P.L.C.............................. 38,000 92,298
Business Post Group P.L.C............................. 25,000 128,918
*CLS Holdings P.L.C................................... 102,907 252,257
Cadcentre Group P.L.C................................. 10,000 53,361
Caffyns P.L.C......................................... 6,000 27,577
*Cairn Energy P.L.C................................... 43,306 104,862
*Calluna P.L.C........................................ 77,140 9,801
Camellia P.L.C........................................ 2,950 112,439
*Cammell Laird Group P.L.C............................ 25,000 37,367
Cannons Group P.L.C................................... 188,000 341,419
*Cantab Pharmaceuticals P.L.C......................... 80,000 490,262
Cape P.L.C............................................ 119,518 90,215
Capital Bars P.L.C.................................... 70,000 31,912
Carbo P.L.C........................................... 310,557 74,270
Carclo Engineering Group P.L.C........................ 100,463 197,463
*Carlisle Holdings, Ltd............................... 8,709 55,324
Carpetright P.L.C..................................... 95,000 653,184
Carr's Milling Industries P.L.C....................... 19,000 29,819
Castings P.L.C........................................ 79,000 172,989
*Cathay International P.L.C........................... 439,600 34,496
Caverdale Group P.L.C................................. 95,886 31,172
Chamberlin & Hill P.L.C............................... 18,000 49,774
Chapelthorpe P.L.C.................................... 467,426 162,439
Chemring Group P.L.C.................................. 49,000 162,227
Chloride Group P.L.C.................................. 485,500 1,077,630
Christie Group P.L.C.................................. 52,725 122,152
*Chrysalis Group P.L.C................................ 331,680 1,152,647
*Churchill China P.L.C................................ 30,000 51,567
City Centre Restaurants P.L.C......................... 433,500 330,456
Clarkson (Horace) P.L.C............................... 44,733 65,191
*Clinical Computing P.L.C............................. 40,000 30,193
Clinton Cards P.L.C................................... 124,460 223,236
Close Brothers Group P.L.C............................ 5,000 61,470
*Clubhaus P.L.C....................................... 31,694 30,319
*Cohen (A.) & Co. P.L.C............................... 2,100 3,610
Colefax & Fowler Group P.L.C.......................... 60,000 61,432
Community Hospitals Group P.L.C....................... 63,833 534,303
*Consolidated Coal P.L.C.............................. 92 168
Cornwell Parker P.L.C................................. 78,333 49,761
Cosalt P.L.C.......................................... 30,700 96,593
Countryside Property P.L.C............................ 138,259 235,588
Countrywide Assured Group P.L.C....................... 101,746 225,078
Courts P.L.C.......................................... 110,722 463,389
Cradley Group Holdings P.L.C.......................... 80,000 50,820
Crest Nicholson P.L.C................................. 267,250 501,321
Creston Land & Estates P.L.C.......................... 5,000 8,408
Cropper (James) P.L.C................................. 22,000 55,409
*Culver Holdings P.L.C................................ 338 897
DCS Group P.L.C....................................... 10,000 119,202
*DFS Furniture Co. P.L.C.............................. 10,300 51,421
DTZ Holdings P.L.C.................................... 89,500 209,359
Daejan Holdings P.L.C................................. 23,000 293,073
*Dairy Crest Group P.L.C.............................. 5,000 12,854
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Danka Business Systems P.L.C......................... 15,000 $ 17,600
Dart Group P.L.C...................................... 74,000 285,921
Dawson Group P.L.C.................................... 100,674 146,715
Dawson International P.L.C............................ 204,384 197,807
*Delancey Estates P.L.C............................... 53,758 74,326
*Delaney Group P.L.C.................................. 270,000 0
*Delta P.L.C.......................................... 150,000 273,530
Delyn Group P.L.C. ................................... 22,500 95,511
Dencora P.L.C......................................... 23,000 90,414
Denmans Electrical P.L.C.............................. 53,568 112,496
Densitron International P.L.C......................... 42,386 126,709
Derwent Valley Holdings P.L.C......................... 90,000 809,156
Development Securities P.L.C.......................... 50,000 184,595
Dewhirst Group P.L.C.................................. 275,760 255,551
Dewhurst P.L.C........................................ 9,000 15,537
Dewhurst P.L.C. Class A Non-Voting.................... 15,500 15,407
*Diagonal P.L.C....................................... 8,300 54,897
*Dialog Corp. P.L.C................................... 115,000 128,058
Dicom Group P.L.C..................................... 30,000 270,167
Diploma P.L.C......................................... 48,000 127,348
Dixon Motors P.L.C.................................... 55,408 135,408
Dolphin Packaging P.L.C............................... 49,110 168,831
Domino Printing Sciences P.L.C........................ 335,935 921,394
Domnick Hunter Group P.L.C............................ 30,000 130,487
Dowding & Mills P.L.C................................. 336,440 153,377
Druck Holdings P.L.C.................................. 8,000 20,986
*Drummond Group P.L.C................................. 26,250 4,316
EBC Group P.L.C....................................... 30,000 31,389
*ERA Group P.L.C...................................... 400,000 19,431
*Eadie Holdings P.L.C................................. 118,000 10,142
East Surrey Holdings P.L.C............................ 36,800 93,508
Edinburgh Fund Managers Group P.L.C................... 61,000 511,501
*Elbief P.L.C......................................... 23,500 7,201
Eldridge Pope & Co. P.L.C............................. 25,000 73,801
Eleco Holdings P.L.C.................................. 104,685 37,553
Electronic Data Processing P.L.C...................... 55,200 117,573
Electronics Boutique P.L.C............................ 150,000 76,230
Ellis & Everard P.L.C................................. 183,661 457,073
Emess P.L.C........................................... 288,250 149,719
*Energy Technique P.L.C............................... 77,856 9,892
Ennstone P.L.C........................................ 135,323 59,163
Eurocopy P.L.C........................................ 131,000 43,567
Eurodis Electron P.L.C................................ 70,000 149,096
Euromoney Publications P.L.C.......................... 20,000 605,353
European Colour P.L.C................................. 82,090 73,620
European Motor Holdings P.L.C......................... 118,325 86,662
Europower P.L.C....................................... 232,092 19,080
Expamet International P.L.C........................... 139,749 205,750
Expro International Group P.L.C....................... 50,000 275,772
*FII Group P.L.C...................................... 41,166 62,146
Fairey Group P.L.C.................................... 28,226 178,672
*Fairey Group P.L.C. Issue 2000....................... 4,704 29,777
Falcon Holdings P.L.C................................. 5,500 20,963
*Fastrack Group P.L.C................................. 25,000 4,204
Fenner P.L.C.......................................... 215,276 296,031
Ferguson International Holdings P.L.C................. 89,105 46,615
Fine Art Developments P.L.C........................... 108,000 443,119
Finlay (James) P.L.C.................................. 200,370 292,006
First Choice Holidays P.L.C........................... 40,000 84,899
First Technology P.L.C................................ 117,111 757,948
</TABLE>
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*Firth (G.M.) Holdings P.L.C.......................... 163,080 $ 43,876
Firth Rixson P.L.C.................................... 416,888 243,018
*Fisher (Albert) Group P.L.C.......................... 26,000 29,341
*Flare Group P.L.C.................................... 20,600 924
Fletcher King P.L.C................................... 17,500 12,425
Folkes Group P.L.C.................................... 28,000 35,783
Folkes Group P.L.C. Non-Voting........................ 65,500 63,147
Forminster P.L.C...................................... 43,333 22,669
Forth Ports P.L.C..................................... 126,000 1,026,410
Fortress Holdings P.L.C............................... 120,728 63,158
*Fortune Oil P.L.C.................................... 609,000 25,032
*Foster (John) & Son P.L.C............................ 27,500 5,446
Frederick Cooper P.L.C................................ 5,796 2,339
French Connection Group P.L.C......................... 25,000 290,532
*French P.L.C......................................... 32,000 22,241
Friendly Hotels P.L.C................................. 51,533 65,472
Friends, Ivory & Sime P.L.C........................... 78,125 314,121
Frogmore Estates P.L.C................................ 51,000 359,804
*Fuller, Smith & Turner P.L.C. Series A............... 20,000 128,544
Fulmar P.L.C.......................................... 32,500 32,304
*GBE International P.L.C.............................. 149,628 0
*GEI International P.L.C.............................. 90,895 10,869
GWR Group P.L.C....................................... 11,698 117,849
Galliford P.L.C....................................... 239,500 90,390
Games Workshop Group P.L.C............................ 8,000 17,637
Gardner Group P.L.C................................... 26,923 101,007
Garton Engineering P.L.C.............................. 10,248 12,101
Gaskell P.L.C......................................... 36,000 48,966
*Gearhouse Group P.L.C................................ 25,000 29,894
Geest P.L.C........................................... 86,082 646,550
Gibbs & Dandy P.L.C................................... 4,500 18,665
Gleeson (M.J.) Group P.L.C............................ 22,471 199,005
Glenchewton P.L.C..................................... 50,000 53,809
Glenmorangie P.L.C.................................... 20,000 114,345
Go-Ahead Group P.L.C.................................. 9,000 59,190
Gowrings P.L.C........................................ 5,000 7,810
Grainger Trust, Ltd................................... 22,000 132,356
Grampian Holdings P.L.C............................... 200,324 251,516
Grantchester Holdings P.L.C........................... 100,000 241,394
Greene King P.L.C..................................... 23,039 158,924
*Greenwich Resources P.L.C............................ 219,332 20,490
Greggs P.L.C.......................................... 26,000 888,973
Guiness Peat Group P.L.C.............................. 111,183 73,121
Haden Maclellan Holdings P.L.C........................ 206,224 114,050
Halstead (James) Group P.L.C.......................... 71,883 185,340
Hamley's P.L.C........................................ 47,500 88,038
Hampson Industries P.L.C.............................. 293,740 180,012
*Hampton Trust P.L.C.................................. 232,050 57,229
*Hanover International P.L.C.......................... 10,000 16,965
Hardys & Hansons P.L.C................................ 48,000 154,612
Hartstone Group P.L.C................................. 800,263 65,788
Harvey Nash Group..................................... 125,000 1,335,888
Harvey's Furnishing P.L.C............................. 226,750 399,929
Havelock Europa P.L.C................................. 64,250 45,136
*Hawtal Whiting Holdings P.L.C........................ 22,588 18,400
Hawtin P.L.C.......................................... 196,500 45,525
Hay (Norman) P.L.C.................................... 48,000 25,111
Haynes Publishing Group P.L.C......................... 14,703 35,163
Headlam Group P.L.C................................... 188,861 904,741
Heath (Samuel) & Sons P.L.C........................... 7,500 19,506
Helical Bar P.L.C..................................... 35,000 306,040
<CAPTION>
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*Helphire Group....................................... 8,600 $ 13,754
Henlys Group P.L.C.................................... 8,303 48,401
Heywood Williams Group P.L.C.......................... 50,400 164,602
*Hi-Tech Sports P.L.C................................. 135,599 53,710
Hickson International P.L.C........................... 387,128 150,446
Highbury House Communications P.L.C................... 283,333 255,157
*Highbury House Communications P.L.C. Issue 2000...... 155,833 140,919
High-Point P.L.C...................................... 57,510 49,427
Hill & Smith Holdings P.L.C........................... 86,850 68,153
Hitachi Credit (UK) P.L.C............................. 7,000 34,528
Hogg Robinson P.L.C................................... 186,000 779,830
Holidaybreak P.L.C.................................... 92,974 422,463
*Horace Small Apparel P.L.C........................... 110,000 319,791
*Howard Holdings P.L.C................................ 57,730 32,790
*Hunters Leisure P.L.C................................ 17 10
Hunting P.L.C......................................... 223,174 465,342
*Huntingdon Life Sciences Group P.L.C................. 394,550 73,717
*Huntsworth P.L.C..................................... 54,000 20,178
IAF Group P.L.C....................................... 30,000 28,698
IMS Group P.L.C....................................... 75,000 147,415
*ISA International P.L.C.............................. 95,214 36,291
*Imagination Technologies Group P.L.C................. 225,366 714,132
*Incepta Group P.L.C.................................. 176,000 278,851
Industrial Control Services Group P.L.C............... 551,666 55,659
Informa Group P.L.C................................... 47,104 458,697
Intelek P.L.C......................................... 79,904 33,441
Interx P.L.C.......................................... 20,000 343,781
Isotron P.L.C......................................... 30,500 162,978
Ite Group P.L.C....................................... 120,000 118,380
J.& J. Dyson P.L.C.................................... 28,500 38,978
*JKX Oil and Gas P.L.C................................ 20,533 4,757
Jacobs (John I.) P.L.C................................ 116,000 91,027
Jardine Lloyd Thompson Group P.L.C.................... 329,105 1,357,681
Jarvis Hotels P.L.C................................... 300,000 443,926
Jarvis P.L.C.......................................... 300,000 712,972
Jarvis Porter Group P.L.C............................. 99,894 53,752
John David Sports P.L.C............................... 114,500 225,909
*John Mansfield Group P.L.C........................... 5,928,351 531,666
Johnson Group Cleaners P.L.C.......................... 110,535 386,607
Johnston Group P.L.C.................................. 26,000 174,491
Joseph (Leopold) Holdings P.L.C....................... 14,000 132,879
Jourdan (Thomas) P.L.C................................ 40,000 28,997
*Kalamazoo Computer Group P.L.C....................... 56,120 31,037
Keller Group P.L.C.................................... 110,000 328,012
*Kenwood Appliances P.L.C............................. 100,892 103,300
Kewill Systems P.L.C.................................. 5,000 95,287
Kier Group P.L.C...................................... 7,336 24,946
Kleeneze P.L.C........................................ 84,300 289,807
Kunick P.L.C.......................................... 420,000 191,471
Laing (John) P.L.C.................................... 103,977 343,467
Laird Group P.L.C..................................... 6,000 19,596
Lambert Howarth Group P.L.C........................... 25,200 91,906
*Lamont Holdings P.L.C................................ 72,231 19,973
*Laura Ashley Holdings P.L.C.......................... 249,150 64,240
Lavendon Group P.L.C.................................. 4,800 26,295
Leeds Group P.L.C..................................... 86,938 58,476
</TABLE>
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Leicester City P.L.C.................................. 100,000 $ 57,546
*Liberty P.L.C........................................ 40,775 178,268
*Lilleshall P.L.C..................................... 51,564 38,922
Limelight Group P.L.C................................. 42,000 26,680
Lincat Group P.L.C.................................... 4,000 14,798
Linden P.L.C.......................................... 45,535 162,326
Linton Park P.L.C..................................... 39,000 173,423
Linx Printing Technologies P.L.C...................... 27,000 120,465
*Lionheart P.L.C...................................... 25,196 3,201
Litho Supplies P.L.C.................................. 100,000 125,555
Locker (Thomas) Holdings P.L.C........................ 176,168 42,131
London Clubs International P.L.C...................... 125,000 180,298
*London Forfeiting Co................................. 12,000 3,049
London Scottish Bank P.L.C............................ 263,000 330,209
Lookers P.L.C......................................... 53,160 58,402
*Lorien P.L.C......................................... 60,000 82,956
Low & Bonar P.L.C..................................... 65,000 131,160
*Lowe (Robert H.) & Co. P.L.C......................... 251,985 26,365
*Luminar P.L.C........................................ 28,518 262,149
*Lupus Capital P.L.C.................................. 18,759 2,594
Lynx Holdings P.L.C................................... 100,000 284,740
MDIS Group P.L.C...................................... 238,000 139,627
MFI Furniture Group P.L.C............................. 450,000 406,932
MMT Computing P.L.C................................... 3,000 24,775
MS International P.L.C................................ 71,500 23,779
MSB International P.L.C............................... 16,000 28,937
MacDonald Hotels P.L.C................................ 15,500 41,123
MacFarlane Group Clansman P.L.C....................... 228,287 218,381
Macro 4 P.L.C......................................... 42,500 451,026
Mallett P.L.C......................................... 24,837 55,686
Manganese Bronze Holdings P.L.C....................... 32,184 98,376
Marshalls P.L.C....................................... 225,800 793,133
Martin International Holdings P.L.C................... 135,800 26,387
Marylebone Warwick Balfour Group P.L.C................ 54,503 122,606
Matthews (Bernard) P.L.C.............................. 223,742 501,641
McAlpine (Alfred) P.L.C............................... 171,111 487,222
McBride P.L.C......................................... 10,000 12,032
McCarthy & Stone P.L.C................................ 194,968 789,745
McKay Securities P.L.C................................ 68,500 142,318
McLeod Russel Holdings P.L.C.......................... 149,524 94,985
Meggitt P.L.C......................................... 184,652 470,579
Mentmore Abbey P.L.C.................................. 262,423 721,728
*Menzies (John) P.L.C................................. 5,000 25,896
*Merant P.L.C......................................... 172,500 360,970
Merchant Retail Group P.L.C........................... 185,666 174,834
*Merrydown P.L.C...................................... 59,927 27,320
Metal Bulletin P.L.C.................................. 95,500 471,055
Metalrax Group P.L.C.................................. 358,740 305,639
*Metaltech International P.L.C........................ 401,163 5,097
Mice Group P.L.C...................................... 15,909 32,102
Microgen Holdings P.L.C............................... 88,000 529,423
Mitie Group P.L.C..................................... 250,000 1,178,945
Molins P.L.C.......................................... 68,000 142,295
Moorfield Estates P.L.C............................... 333,333 146,979
Morrison Construction Group P.L.C..................... 5,000 16,554
Moss Brothers Group P.L.C............................. 163,400 86,703
Mowlem (John) & Co. P.L.C............................. 309,656 511,441
Mucklow (A & J) Group P.L.C........................... 175,000 457,752
*NXT P.L.C............................................ 39,000 495,493
Nestor Healthcare Group P.L.C......................... 180,200 1,187,811
*Network Technology P.L.C............................. 15,000 4,708
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Newcastle United P.L.C................................ 48,923 $ 41,316
Nichols (J.N.) (Vimto) P.L.C.......................... 66,550 115,885
Nightfreight P.L.C.................................... 125,000 92,017
Nord Anglia Education P.L.C........................... 5,000 8,856
Northamber P.L.C...................................... 75,888 136,683
Northern Leisure P.L.C................................ 22,814 53,026
*Northgate Information Solutions P.L.C................ 47,600 34,329
Northgate P.L.C....................................... 118,200 627,191
Novara P.L.C.......................................... 88,591 39,725
*OEM P.L.C............................................ 12,000 5,740
Oasis Stores.......................................... 13,000 17,488
Ocean Wilson Holdings, Ltd............................ 84,250 97,595
Ockham Holdings P.L.C................................. 122,000 109,412
Old English Pub Company P.L.C......................... 65,000 109,300
*Oliver Group P.L.C................................... 68,000 9,656
*Orb Estates P.L.C.................................... 40,000 27,801
*Orbis P.L.C.......................................... 142,859 59,789
Oriental Restaurants P.L.C............................ 20,000 19,132
Osborne & Little P.L.C................................ 11,200 78,262
*Osprey Communications P.L.C.......................... 23,524 4,923
Owen (H.R.) P.L.C..................................... 30,000 44,617
Oxford Instruments P.L.C.............................. 99,838 258,910
*Oxford Molecular Group P.L.C......................... 41,440 15,795
*PGA European Tour Courses P.L.C...................... 80,000 47,830
PSD Group............................................. 43,500 552,665
PWS Holdings P.L.C.................................... 134,428 40,186
Pace Micro Technology P.L.C........................... 14,000 190,425
*Paladin Resources P.L.C.............................. 74,000 27,652
Paragon Group of Companies P.L.C...................... 47,000 108,889
Parity Group P.L.C.................................... 128,750 577,328
Park Food Group P.L.C................................. 291,600 58,840
*Partners Holdings P.L.C.............................. 40,000 12,555
Partridge Fine Arts P.L.C............................. 58,000 55,050
Paterson Zochonis P.L.C............................... 22,000 120,024
Paterson Zochonis P.L.C. Non-Voting................... 27,000 140,038
Pendragon P.L.C....................................... 95,750 188,915
*Peptide Therapeutics Group P.L.C..................... 35,000 43,683
Perkins Foods P.L.C................................... 280,000 451,997
Perry Group P.L.C..................................... 47,666 60,559
Peterhouse Group P.L.C................................ 85,427 414,985
*Pex P.L.C............................................ 85,517 1,598
*Photobition Group P.L.C.............................. 9,500 47,427
Photo-Me International P.L.C.......................... 175,000 529,684
Pifco Holdings P.L.C.................................. 32,666 77,145
Pittards P.L.C........................................ 60,985 45,121
Planit Holdings P.L.C................................. 35,000 50,483
*Plantation & General Investment P.L.C................ 70,623 33,779
*Plasmon P.L.C........................................ 100,000 377,412
Portmeirion Potteries (Holdings) P.L.C................ 22,856 54,661
Porvair P.L.C......................................... 35,000 92,858
*Powderject Pharmaceuticals P.L.C..................... 7,600 42,485
Precoat International P.L.C........................... 25,000 39,423
*Premier Consolidated Oilfields P.L.C................. 152,488 26,781
Pressac Holdings P.L.C................................ 176,166 654,339
*Princedale Group P.L.C............................... 250,000 28,026
*Probus Estates P.L.C................................. 83,333 6,851
*Property Partnerships P.L.C.......................... 10,000 11,958
Proudfoot P.L.C....................................... 236,420 141,351
*Provalis P.L.C....................................... 104,615 29,710
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Prowting P.L.C........................................ 157,630 $ 243,856
QS Holdings P.L.C..................................... 95,775 49,388
*Quadrant Group P.L.C................................. 5,662 6,559
*Quality Software Products Holdings P.L.C............. 6,250 74,034
Queensborough Holdings P.L.C.......................... 53,000 13,863
Quick Group P.L.C..................................... 78,429 53,925
Quintain Estates & Development P.L.C.................. 108,350 243,736
RCO Holdings P.L.C.................................... 27,000 111,183
RJB Mining P.L.C...................................... 16,000 9,088
*RMS Communications P.L.C............................. 15,000 0
Radamec Group P.L.C................................... 35,000 19,880
Raglan Property P.L.C................................. 104,631 51,218
Ransom (William) & Son P.L.C.......................... 30,000 23,317
*Recognition Systems Group P.L.C...................... 9,000 24,887
*Reece P.L.C.......................................... 283,750 10,603
Reed Executive P.L.C.................................. 116,500 413,565
Reg Vardy P.L.C....................................... 103,597 407,246
Regal Hotel Group P.L.C............................... 700,000 230,184
Regent Inns P.L.C..................................... 85,911 157,304
Reliance Security Group P.L.C......................... 9,000 76,342
Relyon Group P.L.C.................................... 40,777 135,003
Renishaw P.L.C........................................ 146,806 1,064,240
Renold P.L.C.......................................... 144,000 234,608
Ricardo Group P.L.C................................... 84,709 572,931
*Richards P.L.C....................................... 61,500 10,112
*Richmond Oil & Gas P.L.C............................. 220,000 0
Ring P.L.C............................................ 327,496 171,328
*Rodime P.L.C......................................... 261,000 64,369
Rolfe & Nolan P.L.C................................... 24,000 113,896
Roseby's P.L.C........................................ 33,500 195,283
*Ross Group P.L.C..................................... 5,016 581
Rotork P.L.C.......................................... 156,569 530,064
Rowe Evans Investments P.L.C.......................... 86,917 87,693
Roxboro Group P.L.C................................... 5,000 17,301
Roxspur P.L.C......................................... 167,464 73,841
*Royal Doulton P.L.C.................................. 60,000 76,678
Russell (Alexander) P.L.C............................. 47,500 85,198
Rutland Trust P.L.C................................... 544,800 370,512
S & U P.L.C........................................... 21,140 84,683
*SEP Industrial Holdings P.L.C........................ 200,000 40,357
SGB Group P.L.C....................................... 9,000 34,438
SIG P.L.C............................................. 103,200 350,926
Safeland P.L.C........................................ 25,000 14,947
Salvesen (Christian) P.L.C............................ 100,000 181,606
Sanderson Bramall Motor Group P.L.C................... 68,166 125,322
*Save Group P.L.C..................................... 175,080 133,463
Saville (J.) Gordon Group P.L.C....................... 379,926 428,746
Savills P.L.C......................................... 104,000 314,007
Scapa Group P.L.C..................................... 30,000 60,984
*Scotia Holdings P.L.C................................ 6,000 10,313
Scottish Metropolitan Property P.L.C.................. 262,499 451,211
*Scottish Radio Holdings.............................. 3,200 63,136
Secure Trust Group P.L.C.............................. 27,118 147,946
Seet P.L.C............................................ 7,000 2,720
Semple Cochrane P.L.C................................. 42,000 48,652
*Senior Engineering Group P.L.C....................... 30,000 32,286
Severfield-Rowan P.L.C................................ 20,000 65,019
Shaftesbury P.L.C..................................... 137,500 488,113
Shani Group P.L.C..................................... 30,000 15,694
<CAPTION>
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*Sheffield United P.L.C............................... 3,000 $ 605
*Sherwood Group P.L.C................................. 270,000 50,446
Shiloh P.L.C.......................................... 14,500 30,884
*ShopRite Group P.L.C................................. 204,780 42,852
Silentnight Holdings P.L.C............................ 84,300 286,657
Simon Engineering P.L.C............................... 348,089 286,159
Sinclair (William) Holdings P.L.C..................... 53,000 78,427
Sindall (William) P.L.C............................... 66,000 257,477
Singapore Para Rubber Estates P.L.C................... 26,000 50,521
Singer & Friedlander Group P.L.C...................... 364,000 1,109,904
Sirdar P.L.C.......................................... 120,545 106,305
Skillsgroup P.L.C..................................... 177,250 438,468
Slug and Lettuce Group P.L.C.......................... 25,000 55,117
Smart (J.) & Co. (Contractors) P.L.C.................. 22,500 84,918
*Soco International P.L.C............................. 9,000 10,829
*Solvera P.L.C........................................ 173,158 12,294
South Staff Water Holdings P.L.C...................... 108,000 536,747
Southampton Leisure Holdings P.L.C.................... 19,615 10,994
Southnews P.L.C....................................... 5,000 58,293
Spring Group P.L.C.................................... 94,495 162,428
*Springwood P.L.C..................................... 37,500 83,236
St. Modwen Properties P.L.C........................... 50,000 79,406
Stadium Group P.L.C................................... 5,903 6,088
Stanley (Charles) Group P.L.C......................... 76,800 548,136
Stanley Leisure Organisation P.L.C.................... 221,258 646,547
Stat-Plus Group P.L.C................................. 58,000 60,251
*Staveley Industries P.L.C............................ 209,500 148,741
Stirling Group P.L.C.................................. 193,011 63,469
*Stoddard Sekers International P.L.C.................. 179,100 12,716
Stoves Group P.L.C.................................... 10,000 4,185
Stratagem Group P.L.C................................. 70,315 37,310
Stylo P.L.C........................................... 127,367 45,690
Swallowfield P.L.C.................................... 15,000 18,497
Swan (John) and Sons P.L.C............................ 1,000 5,276
Swan Hill Group P.L.C................................. 109,500 137,482
Syltone P.L.C......................................... 50,400 71,943
T & S Stores P.L.C.................................... 138,335 769,182
TGI Group P.L.C....................................... 59,560 40,951
*Tadpole Technology P.L.C............................. 100,000 60,162
*Talbex Group P.L.C................................... 38,500 8,344
*Tamaris P.L.C........................................ 5,161 2,160
*Tandem Group P.L.C................................... 327,365 24,466
*Tay Homes P.L.C...................................... 52,629 53,099
*Teamtalk.com Group P.L.C............................. 375,000 257,836
Telemetrix P.L.C...................................... 165,708 761,628
*Telme.com P.L.C...................................... 250,000 151,338
Telspec P.L.C......................................... 25,000 38,302
Tex Holdings P.L.C.................................... 14,000 25,634
Thorntons P.L.C....................................... 158,000 249,152
Thorpe (F.W.) P.L.C................................... 24,000 41,074
Tibbett & Britten Group P.L.C......................... 86,123 859,260
Tilbury Douglas P.L.C................................. 186,419 957,130
Time Products P.L.C................................... 90,242 120,722
Tinsley (Eliza) Group P.L.C........................... 19,844 22,246
Topps Tiles P.L.C..................................... 12,000 48,159
Tops Estates P.L.C.................................... 10,088 21,562
*Torday & Carlisle P.L.C.............................. 190,175 45,481
Torex P.L.C........................................... 50,000 312,019
*Tottenham Hotspur P.L.C.............................. 150,000 156,944
Town Centre Securities (New) P.L.C.................... 142,137 181,647
*Trace Computers P.L.C................................ 33,552 33,099
</TABLE>
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*Trafficmaster P.L.C.................................. 6,666 $ 49,918
Transport Development Group P.L.C..................... 19,782 53,371
Transtec P.L.C........................................ 601,525 58,441
Trifast P.L.C......................................... 1,997 31,342
Try Group P.L.C....................................... 152,247 64,856
Ulster Television, Ltd................................ 115,602 457,894
*Ultima Networks P.L.C................................ 100,000 9,716
*Union P.L.C.......................................... 94,000 26,695
United Industries P.L.C............................... 109,008 52,954
*United Overseas Group P.L.C.......................... 64,209 19,435
*Vanguard Medica Group P.L.C.......................... 8,000 26,008
Vega Group P.L.C...................................... 10,000 77,351
*Vert (Jacques) P.L.C................................. 45,000 11,434
Vibroplant P.L.C...................................... 83,100 68,315
Victoria Carpet Holdings P.L.C........................ 12,000 23,048
Viglen Technology P.L.C............................... 13,791 21,335
Vitec Group P.L.C..................................... 4,500 32,790
Volex Group P.L.C..................................... 58,801 933,830
Vosper Thornycroft Holdings P.L.C..................... 20,000 357,981
WF Electrical P.L.C................................... 32,935 143,992
WSP Group P.L.C....................................... 50,000 199,169
WT Foods P.L.C........................................ 145,194 86,266
Wagon Industrial Holdings P.L.C....................... 80,000 212,845
Walker Greenbank P.L.C................................ 144,462 72,336
Ward Holdings P.L.C................................... 130,000 80,639
Warner Estate Holdings P.L.C.......................... 70,000 260,526
*Water Hall Group P.L.C............................... 11,772 3,519
Waterman Partnership Holdings P.L.C................... 45,000 56,836
Wates City of London Properties P.L.C................. 230,000 281,900
*Waverly Mining Finance P.L.C......................... 42,500 2,700
Wellington Holdings P.L.C............................. 9,000 8,408
Wembley P.L.C......................................... 6,053 42,070
Wescol Group P.L.C.................................... 125,000 36,433
Westbury P.L.C........................................ 202,522 718,935
Whatman P.L.C......................................... 241,935 904,051
*Whitecroft P.L.C..................................... 105,000 26,680
*Whittard of Chelsea P.L.C............................ 30,000 24,887
Widney P.L.C.......................................... 39,528 23,338
*Wiggins Group P.L.C.................................. 1,148,266 609,291
Wilshaw P.L.C......................................... 198,409 142,350
Wilson (Connolly) Holdings P.L.C...................... 51,000 98,717
Windsor P.L.C......................................... 83,441 19,643
Wintrust P.L.C........................................ 22,500 163,109
Wolstenholme Rink P.L.C............................... 15,500 88,038
Wolverhampton & Dudley Breweries P.L.C................ 93,071 483,418
*Worthington Group P.L.C.............................. 102,653 28,386
Wyevale Garden Centres P.L.C.......................... 8,900 62,723
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wyndeham Press Group P.L.C............................ 63,066 $ 238,961
*YJL P.L.C............................................ 70,932 16,964
Yates Brothers Wine Lodges P.L.C...................... 3,038 10,240
Yorklyde P.L.C........................................ 25,555 27,884
Yorkshire Group P.L.C................................. 82,504 75,224
Young & Co's Brewery P.L.C............................ 10,000 59,788
Young & Co's Brewery P.L.C. Class A .................. 5,234 46,940
Young (H.) Holdings P.L.C............................. 49,542 55,168
Yule Catto & Co. P.L.C................................ 7,154 24,273
Zetters Group P.L.C................................... 14,500 40,312
Zotefoams P.L.C....................................... 12,000 17,218
------------
TOTAL COMMON STOCKS
(Cost $101,619,009).................................. 109,575,901
------------
INVESTMENT IN CURRENCY -- (1.2%)
*British Pound Sterling
(Cost $1,335,768)................................... 1,322,920
------------
RIGHTS/WARRANTS -- (0.0%)
*Evans of Leeds Contingent Units...................... 80,000 0
*Quintain Estates Letters of Entitlement.............. 25,000 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- UNITED KINGDOM
(Cost $102,954,688).................................. 110,898,743
------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*Lason, Inc.
(Cost $360,633)..................................... 6,620 17,171
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (2.9%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $3,339,323) to be
repurchased at $3,289,544.
(Cost $3,289,000)................................... $ 3,289 3,289,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $106,604,410)++.... $114,204,992
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $106,604,410.
</TABLE>
See accompanying Notes to Financial Statements.
198
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
FRANCE -- (21.0%)
COMMON STOCKS -- (21.0%)
Agricole de la Crau................................... 449 $ 28,128
Apem SA............................................... 1,000 53,789
Assurance Banque Populaire............................ 34 3,591
Assystem SA........................................... 2,657 134,540
Aurea................................................. 600 3,951
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 2,367 280,981
Bains de Mer et du Cercle des Etrangers a Monaco...... 4,615 599,195
Banque Transatlantique................................ 3,030 146,122
*Bazar de l'Hotel de Ville SA......................... 9,950 1,273,417
Berger Levrault SA.................................... 476 64,053
Boiron SA............................................. 3,800 205,809
Brioche Pasquier SA................................... 2,600 218,218
Burelle SA............................................ 4,030 291,520
CEGID SA.............................................. 4,500 696,943
*COFIGEO (Cie Financiere Geo)......................... 400 41,511
COM 1 SA.............................................. 450 12,228
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 255 15,372
*Caisse Regionale de Credit Agricole Mutuel de la Brie
Em 00............................................... 7 408
Cambodge.............................................. 1,605 1,114,873
Carbone Lorraine...................................... 33,245 1,563,158
Cegedim SA............................................ 6,400 575,435
*Centrest (Societe Developpement Regional du
Centre-Est)......................................... 1,705 126
Change de la Bourse SA................................ 614 14,674
Christian Dalloz SA................................... 2,022 128,639
*Cie Francaise des Ferrailles......................... 10,576 493,844
Compagnie Financiere Saint-Honore..................... 1,188 102,904
Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA........................................... 2,992 1,173,736
Consortium International de Diffusion et de
Representation Sante Cider Sante.................... 600 15,803
Continentale d'Entreprises SA......................... 20,087 773,093
Costimex SA........................................... 700 14,282
Courtois SA........................................... 100 7,517
Credit Foncier et Communal d'Alsace et de Lorraine.... 840 143,885
*Cristalleries de Baccarat............................ 1,567 174,389
Damart SA............................................. 22,900 1,451,585
De Dietrich & Co...................................... 20,775 1,224,405
Deveaux SA............................................ 1,040 72,337
Didot-Bottin.......................................... 1,620 90,669
Distriborg Groupe SA.................................. 1,050 41,872
Docks des Petroles d'Ambes............................ 100 8,643
Docks Lyonnais........................................ 1,147 23,402
Dynaction SA.......................................... 10,660 250,020
*EMI France SA........................................ 300 0
Electricite de Strasbourg............................. 7,928 969,053
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Emprunt Conjoint de Banque du Batiment et des Travaux
Publics et de Financiere de Gestion et
d'Investissement SA................................. 29,814 $ 0
Exacompta Clairefontaine SA........................... 1,600 123,159
Expand SA............................................. 2,060 182,448
Explosifs et de Produits Chimiques.................... 524 77,753
Faienceries Sarreguemines Digoin et Vitry-le-Francois
SA.................................................. 330 12,548
Fimalac SA............................................ 20,820 3,012,130
Financiere et Immobiliere de l'Etang de Berre et de la
Mediterranee SA..................................... 4,000 13,392
Fininfo SA............................................ 9,760 271,544
Fives-Lille........................................... 6,526 452,102
Fonciere Lyonnaise SA................................. 724 74,127
Fonderies Franco Belge................................ 492 36,069
Francaise des Magasins Uniprix........................ 1,314 273,577
France-Africaine de Recherches Petrolieres
(Francarep)......................................... 3,864 170,395
*France-Africaine de Recherches Petrolieres
(Francarep) Em 00................................... 389 17,398
*Fromagerie F. Paul Renard............................ 200 29,677
*GCI (Groupe Chatellier Industrie SA)................. 7,258 135
GFI Industries SA..................................... 6,845 136,484
Gantois Series A...................................... 647 68,703
Gascogne SA........................................... 6,472 458,864
Gaumont............................................... 14,500 981,656
*Generale de Geophysique SA........................... 22,068 1,360,984
Gevelot............................................... 3,584 139,600
*Gifrer Barbezat SA................................... 550 19,638
Grands Moulins de Strasbourg.......................... 110 17,955
Groupe Guillin SA..................................... 1,200 30,604
*Groupe Norbert Dentressangle SA...................... 6,320 107,729
Groupe Zannier SA..................................... 4,100 235,556
*Guerbet SA........................................... 1,990 38,848
Guitel-Etienne-Mobilor SA............................. 240 15,803
Guyenne et Gascogne SA................................ 5,200 2,015,803
Hoteliere Lutetia Concorde............................ 2,505 185,852
*Hotels et Casinos de Deauville....................... 2,055 284,919
*ICBT Groupe SA....................................... 1,200 28,935
IMS International Metal Service SA.................... 12,630 97,921
Immobanque............................................ 1,098 121,074
Immobiliere Marseillaise.............................. 656 1,216,753
Industrie des Transports.............................. 600 31,717
Industrielle et Financiere d'Entreprise SA............ 300 15,024
Industrielle et Financiere d'Ingenierie SA............ 28,100 2,658,122
Informatique et Realite SA............................ 2,643 85,544
Jet Multimedia SA..................................... 5,050 313,318
Lacroix SA, Saint Herbalin............................ 593 11,054
*Lectra Systemes SA................................... 19,192 293,501
Legris Industries SA.................................. 29,350 1,200,370
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 1,600 176,429
</TABLE>
199
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*MRM.................................................. 1,424 $ 54,806
Manitou SA............................................ 11,092 956,668
*Marie Brizard & Roger International SA............... 306 18,418
Matussiere et Forest SA............................... 13,600 88,036
*Metaleurop SA........................................ 58,400 395,370
*Montupet SA.......................................... 32,450 799,303
*Moulinex SA.......................................... 97,800 580,480
*NAF NAF SA........................................... 4,200 58,621
Nord-Est SA........................................... 2,707 67,708
*Nordon & Cie......................................... 800 38,877
*Olipar............................................... 250 1,878
PSB Industries SA..................................... 1,240 85,098
*Parc Asterix SA...................................... 822 19,828
Parisienne de Chauffage Urbain........................ 200 11,333
*Paul Predault SA..................................... 2,199 22,229
*Pier Import Europe SA................................ 12,100 78,551
Plastic Omnium........................................ 11,036 1,197,474
Radiall SA............................................ 1,340 160,932
Robertet SA........................................... 269 52,389
*Rocamat.............................................. 5,579 8,537
Rochefortaise Communication SA........................ 11,366 3,641,868
*Rochette............................................. 84,470 502,145
Rougier SA............................................ 2,040 116,257
*Rouleau-Guichard SA.................................. 300 10,606
SAMSE SA.............................................. 1,100 304,003
*SDR de Bretagne SA................................... 714 5,291
SILIC (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,064 437,885
SOGEPAG (Societe Exploitation de Parces et Gauges).... 379 12,653
Sabate SA............................................. 600 85,636
Sabeton............................................... 1,350 174,027
Sechilienne........................................... 220 59,168
Securidev SA.......................................... 1,500 14,287
*Selectibanque SA..................................... 7,100 111,938
Sidergie SA........................................... 800 161,591
Signaux et d'Equipements Electroniques SA............. 23,983 1,301,151
Skis Rossignol SA..................................... 41,668 575,008
Smoby SA.............................................. 500 16,772
*Societe des Immeubles de France...................... 105,056 1,772,238
Societe Financiere Interbail SA....................... 17,550 424,802
Societe Francais des Papiers Peints................... 400 16,767
Soie SA............................................... 390 9,586
Solitaire Produits d'Entretien Francais Prodef........ 300 27,822
Sommer-Allibert SA.................................... 12,900 394,795
*Sopra SA............................................. 6,900 508,727
Sucriere de Pithiviers-le-Vieil....................... 1,825 524,678
Sylea SA.............................................. 4,159 203,268
Taittinger SA......................................... 2,540 1,425,140
Tanneries de France................................... 158 6,227
Teisseire France SA................................... 700 12,140
Touax (Touage Investissement SA)...................... 8,649 263,975
*Trouvay et Cauvin SA................................. 1,500 15,302
Unilog SA............................................. 6,320 653,522
Union Generale du Nord SA............................. 994 57,085
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 31,700 $ 1,146,548
Vermandoise de Sucreries.............................. 323 182,427
Via Banque............................................ 20,692 594,884
Viel et Cie........................................... 42,228 218,526
Vilmorin et Cie SA.................................... 2,349 157,285
Virax................................................. 954 61,047
Virbac SA............................................. 1,713 104,294
Vulcanic SA........................................... 400 11,314
------------
TOTAL COMMON STOCKS
(Cost $40,439,065)................................... 52,612,555
------------
RIGHTS/WARRANTS -- (0.0%)
*Continental d'Enterprises SA Warrants 10/31/01
(Cost $3,178)....................................... 2,707 3,766
------------
TOTAL -- FRANCE
(Cost $40,442,243)................................... 52,616,321
------------
GERMANY -- (17.9%)
COMMON STOCKS -- (17.9%)
Aachener Strassenbahn und Energieversorguns AG........ 161 31,356
*Agrob AG............................................. 290 101,662
*Aigner (Etienne) AG.................................. 600 91,813
*Alexanderwerk AG..................................... 60 2,114
Alsen AG, Hamburg..................................... 16,400 327,002
Alte Leipziger Versicherungs AG Series C.............. 1,043 493,313
Amira Verwaltungs AG.................................. 200 84,394
Andreae-Noris Zahn AG, Anzag.......................... 27,200 471,714
Anterra Vermoegensverwaltungs AG...................... 1,350 95,152
Apoca Parking AG...................................... 1,650 126,549
*Augsburger Kammgarn Spinnerei AG..................... 660 5,576
Balcke-Duerr AG....................................... 32,910 381,816
*Barmag AG............................................ 13,000 177,830
Bayerische Handelsbank AG............................. 25,050 638,865
Berliner Elektro Holding AG........................... 11,061 140,535
Berliner Kindl-Brauerei AG............................ 790 133,342
Binding-Brauerei AG................................... 2,925 515,675
Biotest AG............................................ 8,060 122,588
Blaue Quellen Mineral und Heilbrunnen AG.............. 267 111,427
*Bochum-Gelsenkirchener Strassenbahnen AG............. 201 26,097
Boewe Systec AG....................................... 3,000 72,059
*Brau und Brunnen AG.................................. 4,995 204,983
*Bremer Woll-Kaemmerei AG............................. 19,960 66,639
Brillant AG........................................... 1,310 155,507
Buckau (Walther) AG................................... 780 73,784
Ceag Industrie-Aktien und Anlagen AG.................. 2,067 262,621
*Concordia Bau and Boden AG Em 99..................... 29,314 176,708
*Concordia Bau und Boden AG........................... 73,288 441,789
*Data Modul AG........................................ 2,400 63,434
*Deutsche Babcock AG, Oberhausen...................... 2,900 111,613
Deutsche Steinzeug Cremer & Breuer AG................. 87,200 323,478
Deutsche Verkehrs-Bank AG............................. 5,343 510,872
*Dierig Holding AG.................................... 10,500 111,984
</TABLE>
200
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Doag-Holding AG....................................... 7,500 $ 33,387
*Dortmunder Actien-Brauerei AG........................ 1,650 50,650
Duerkopp Adler AG..................................... 4,000 18,548
Duerr Beteiligungs AG................................. 31,750 683,125
Dyckerhoff AG......................................... 9,750 275,786
Dyckerhoff and Widmann AG............................. 49,190 264,590
Eichbaum-Brauereien AG, Mannheim...................... 6,720 62,384
Erlus Baustoffwerke AG................................ 297 66,932
*Erste Kulmbacher Actien Brauerei AG.................. 432 11,778
Escada AG............................................. 2,052 208,382
*Flender (A. Friedrich) AG............................ 9,000 104,333
Forst Ebnath AG....................................... 460 8,332
Fraenkisches Ueberlandwerk AG, Nuernberg.............. 658 96,722
Fuchs Petrolub AG..................................... 2,231 151,040
*GAM World Multi-Fund, Inc. - Deutsche Mark Class..... 1,781 163,519
Gerresheimer Glas AG.................................. 23,800 336,601
Gilde Brauerei AG..................................... 1,200 362,800
Gildemeister AG....................................... 14,000 114,256
Goldschmidt (T.H.) AG................................. 83,200 2,075,602
Hagen Batterie AG..................................... 870 79,151
Hamborner AG.......................................... 21,000 506,362
Hamburger Hochbahn AG Series A........................ 1,800 81,797
Harpener AG........................................... 7,100 1,224,728
Hasen-Braeu AG........................................ 1,000 57,128
Heilit & Woerner Bau AG............................... 17,010 63,101
Heinrich Industrie & Handels AG, Essen................ 3,500 58,426
*Herlitz AG........................................... 3,462 37,083
Holsten-Brauerei AG................................... 30,770 497,956
Horten AG............................................. 33,800 379,603
*Hucke AG............................................. 8,300 26,710
ICN (Immobilien Consult Nuernberg AG)................. 707 826,149
IFA Hotel & Touristik AG.............................. 7,000 99,844
Iwka AG............................................... 62,240 963,373
Jacobsen (W.) AG, Kiel................................ 37 42,892
K & S Aktiengesellschaft AG........................... 129,500 1,911,971
KSB AG................................................ 2,387 225,799
KWS Kleinwanzlebener Saatzucht AG..................... 1,650 772,758
Kampa-Haus AG......................................... 12,375 161,820
*Kaufring AG.......................................... 2,203 18,183
Kempinski AG, Berlin.................................. 686 165,412
Keramag Keramische Werke AG........................... 13,000 699,262
Kiekert AG............................................ 12,950 345,884
*Kloeckner Humboldt-Deutz AG.......................... 16,750 76,427
Kloeckner-Werke AG.................................... 119,000 2,240,327
*Kolb und Schuele AG.................................. 10,000 6,585
Kolbenschmidt Pierburg AG, Duesseldorf................ 37,500 497,320
Kraftuebertragungswerke Rheinfelden AG................ 4,684 1,251,059
Kraftwerk Altwuerttemberg AG.......................... 125 46,138
Kromschroeder (G.) AG................................. 26,520 147,568
Kupferberg (Christian Adalbert) & Cie KG A.A.......... 151 85,423
Lehnkering AG......................................... 15,300 145,440
Leifheit AG........................................... 12,500 382,554
Leoni AG.............................................. 25,000 663,093
MG Vermoegensverwaltungs AG........................... 3,734 188,729
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*MLF Holding fuer Umwelttechnologie AG................ 165 $ 0
*MLF Holding fuer Umwelttechnologie AG Em 95.......... 33 0
*Maihak (H.) AG....................................... 143 15,808
Main Kraftwerke AG.................................... 1,172 586,935
Mannheimer Aktiengesellschaft Holding AG.............. 27,580 1,624,189
Markt und Kuehlhallen AG.............................. 14,000 208,387
*Maternus-Kliniken AG, Bad Oyenhausen................. 2,400 15,358
*Mauser Waldeck AG.................................... 1,667 100,489
*Moenus Textilmaschinen AG............................ 5,250 8,813
*Moksel (A.) AG....................................... 15,800 51,285
Mueller-Weingarten AG................................. 11,580 182,569
*Neue Baumwoll-Spinnerei und Weberei Hof AG........... 12,170 104,964
*Niedermayr Papierwarenfabrik AG...................... 60 9,905
Norddeutsche Steingutfabrik AG........................ 5,960 65,775
Nuernberger Hypothekenbank AG......................... 32,825 898,039
Otavi Minen AG........................................ 600 45,072
*Otto Reichelt AG..................................... 11,950 72,036
*Parkbrauerei AG...................................... 3,000 7,651
*Pfaff (G.M.) AG...................................... 80,000 44,515
Pfleiderer AG......................................... 8,300 63,119
Phoenix AG, Hamburg................................... 37,500 403,420
Plettac AG............................................ 5,554 75,717
Progress-Werk Oberkirch AG............................ 5,000 77,438
*Reichelt (F.) AG..................................... 1,290 61,732
Reiter Ingolstadt Spinnereimaschinen AG............... 1,200 91,268
Renk AG............................................... 19,400 264,117
Rheinboden Hypothekenbank AG.......................... 26,500 589,828
Rheinmetall Berlin AG................................. 45,000 655,210
Rhoen Klinikum AG..................................... 19,800 800,608
*Rothenberger AG...................................... 3,000 16,415
Salamander AG......................................... 51,720 666,717
Schmalbach-Lubeca AG.................................. 26,000 137,682
*Schneider Rundfunkwerke AG........................... 10,274 560,254
Scor Deutschland Rueckversicherungs AG................ 1,872 211,804
Sektkellerei Schloss Wachenheim AG.................... 15,120 136,718
Sinalco AG............................................ 110 80,591
Sinn AG............................................... 2,789 278,052
Sinner AG, Karlsruhe.................................. 4,160 45,524
Sloman Neptune AG..................................... 700 3,895
Stern-Brauerei Carl Funke AG.......................... 1,100 62,229
*Stoehr & Co. AG...................................... 16,000 71,225
Stollwerck AG......................................... 1,018 604,222
*Strabag AG........................................... 3,332 117,733
*Stumpf (Otto) AG..................................... 2,275 11,815
Stuttgarter Hofbraeu AG............................... 18,000 333,865
Sued-Chemie AG........................................ 29,146 1,716,410
Sueddeutsche Bodencreditbank AG....................... 38,582 1,180,775
*Terrex Handels AG.................................... 1,250 156,499
*Triton-Belco AG, Hamburg............................. 1,186 14,409
Tucher Braeu AG....................................... 750 32,691
VBH (Vereinigter Baubeschlag-Handel) AG............... 9,415 128,353
VGT AG................................................ 586 57,063
VK Muehlen AG......................................... 1,312 64,488
</TABLE>
201
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Varta AG.............................................. 55,000 $ 489,669
Vereinigte Deutsche Nickel-Werke AG................... 13,800 275,032
Vossloh AG............................................ 15,900 313,346
Walter AG............................................. 13,500 269,179
*Wanderer-Werke AG.................................... 1,437 108,613
Westag and Getalit AG, Rheda-Wiedenbrueck............. 7,000 90,885
*Wickrather Bauelemente AG............................ 1,550 410,494
Wuerttembergische Hypotheken Bank AG.................. 19,714 941,565
Wuerttembergische Lebensversicherung AG............... 4,430 131,469
Wuerttembergische Metallwarenfabrik AG................ 30,330 469,740
*Wuerttembergische und Badische Versicherungs AG...... 2,240 167,437
Wuerzburger Hofbraeu AG............................... 133 58,095
*Zanders Feinpapiere AG............................... 4,450 249,680
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn
AG.................................................. 2,091 639,936
------------
TOTAL COMMON STOCKS
(Cost $44,922,204)................................... 44,747,929
------------
PREFERRED STOCKS -- (0.0%)
Fuchs Petrolub AG 7.29% Non-Voting.................... 55 3,331
Westag and Getalit AG................................. 2,600 30,743
------------
TOTAL PREFERRED STOCKS
(Cost $43,174)....................................... 34,074
------------
RIGHTS/WARRANTS -- (0.0%)
*Sueddeutsche Bodencreditbank AG Rights 06/06/00
(Cost $0)........................................... 2 0
------------
TOTAL -- GERMANY
(Cost $44,965,378)................................... 44,782,003
------------
SWITZERLAND -- (13.8%)
COMMON STOCKS -- (13.8%)
AFG Arbonia Foster Holding AG, Arbon.................. 522 294,416
*Accumulatoren-Fabrik Oerlikon, Zuerich............... 30 19,027
Afipa SA, Vevey....................................... 20 6,106
Afipa SA, Vevey Series A.............................. 80 26,431
Aletsch AG, Moerel.................................... 50 100,296
Ascom Holding AG, Bern................................ 907 2,729,043
Attisholz Holding AG, Attisholz....................... 1,079 592,021
BHB Beteiligungs und Finanzgesellschaft............... 150 8,850
BKW FMB Energie AG, Bern.............................. 600 831,863
*BKW FMB Energie AG, Bern Em 99....................... 60 97,346
BVZ (Brig Visp Zermatt) Holding AG.................... 370 72,036
Bank Sarasin & Cie Series B, Basel.................... 274 648,228
Banque Cantonale de Geneve............................ 840 123,647
*Banque Cantonale du Jura............................. 450 50,443
Banque Privee Edmond de Rothschild SA, Geneve......... 120 548,322
Basellandschaftliche Kantonalbank..................... 600 206,019
Basler Kantonalbank................................... 1,000 176,992
Bobst SA, Prilly...................................... 100 142,184
Bobst SA, Prilly (Namen).............................. 90 64,248
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Bon Appetit Holding AG................................ 275 $ 181,712
Bossard Holding AG, Zug............................... 635 284,721
Bucher Holding AG, Niederweningen..................... 671 557,784
CKW (Centralschweizerische Kraftwerke), Luzern........ 670 491,336
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating)..................................... 1,500 97,567
Calida Holding AG..................................... 396 70,089
Canon (Schweiz) AG, Dietlikon......................... 3,706 176,227
*Carlo Gavazzi Holding AG, Baar Series B.............. 91 91,269
Cie Financiere Tradition.............................. 1,250 154,868
Coop Bank, Basel...................................... 941 571,820
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen).................................. 330 46,726
Daetwyler Holding AG, Atldorf......................... 348 451,684
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.......................................... 8,390 955,327
Edipresse SA, Lausanne................................ 694 282,515
Eichhof Holding AG.................................... 188 189,665
Energie Electrique du Simplon SA...................... 350 34,071
Escor AG, Duedingen................................... 496 17,850
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 1,602 623,791
Financiere Michelin, Granges-Paccot................... 637 226,240
Forbo Holding AG, Eglisau............................. 1,100 427,023
Fuchs Petrolub AG Non-Voting.......................... 2,001 134,581
Galenica Holding AG, Bern Series B.................... 405 287,922
Generale d'Affichage, Geneve.......................... 290 142,007
Generali (Switzerland) Holdings, Adliswil............. 1,670 488,687
Golay-Buchel Holding SA, Lausanne..................... 40 59,233
Gornergrat Monte Rasa-Bahnen Zermatt.................. 70 46,460
Gurit-Heberlein AG.................................... 1,125 763,279
*HPI Holding SA, Yverdon-les-Bains.................... 200 153,393
Hero AG............................................... 3,040 339,872
Industrieholding Cham AG, Cham........................ 432 295,648
Jelmoli Holding AG, Zuerich........................... 1,521 1,965,197
Jelmoli Holding AG, Zuerich (Namen)................... 2,835 811,199
Kardex AG, Zuerich.................................... 693 280,064
Kardex AG, Zuerich (Participating).................... 610 215,930
Kraftwerk Laufenburg, Laufenburg...................... 8,265 1,223,910
Kuehne & Nagel International AG....................... 324 154,642
Lem Holdings AG, Lyss................................. 270 40,142
Loeb Holding AG, Bern (Participating)................. 620 91,446
*Logitech International SA, Apples.................... 4,805 2,792,303
Maag Holding AG, Zuerich.............................. 820 124,815
Mikron Holding AG, Biel............................... 1,326 992,746
Moevenpick-Holding, Zuerich........................... 1,320 599,650
*Netstal-Maschinen AG, Nafaels........................ 2 1,805
*Nextrom Holding SA................................... 277 31,050
*Omnium Geneve SA, Geneve............................. 110 71
*Orell Fuessli Graphische Betriebe AG, Zuerich........ 240 630,092
Oz Holding, Zuerich................................... 440 490,622
*Parco Industriale e Immobiliare SA................... 600 1,239
Phoenix Mecano AG, Stein am Rhein..................... 2,749 1,419,109
Phonak Holding AG Series B............................ 230 542,776
Sarna Kunststoff Holding AG, Sarnen................... 176 181,193
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Schweizerhall Holding AG, Basel....................... 140 $ 163,128
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 132 220,235
Siegfried AG, Zofingen................................ 856 757,527
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 320 179,352
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich..... 10 3,392
Sika Finanz AG, Baar.................................. 800 270,444
Sika Finanz AG, Baar (Namen).......................... 750 43,363
Sopracenerina......................................... 2,409 154,916
Swisslog Holding AG................................... 2,500 1,157,824
*Tege SA.............................................. 1,800 10,885
UMS Schweizerische Metallwerke Holding AG, Bern....... 2,560 175,954
Unigestion Holding, Geneve............................ 2,891 182,501
Vaudoise Assurances Holding, Lausanne................. 45 86,284
Villars Holding SA, Fribourg.......................... 150 26,549
*Von Moos Holding AG, Luzern.......................... 7,000 53,688
*Von Roll Holding AG, Gerlafingen..................... 32,024 401,483
WMH Walter Meier Holding AG, Staefa................... 50 47,788
Zehnder Holding AG.................................... 193 120,583
Zellweger Luwa AG, Uster.............................. 804 429,277
*Zschokke Holding SA, Geneve.......................... 230 83,995
*Zueblin Holding AG................................... 93 524
Zuercher Ziegeleien Holding, Zuerich.................. 1,415 1,227,175
Zuger Kantonalbank.................................... 545 675,225
------------
TOTAL COMMON STOCKS
(Cost $20,943,120)................................... 34,442,978
------------
PREFERRED STOCKS -- (0.0%)
Fuchs Petrolub AG 7.29% Non-Voting
(Cost $266,229)..................................... 2,001 122,776
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $44,064)...................................... 44,544
------------
RIGHTS/WARRANTS -- (0.0%)
*Maag Holding AG Options 09/26/00
(Cost $0)........................................... 820 1,935
------------
TOTAL -- SWITZERLAND
(Cost $21,253,413)................................... 34,612,233
------------
ITALY -- (11.2%)
COMMON STOCKS -- (11.2%)
Allianz Subalpina SpA................................. 55,125 486,692
*Ansaldo Trasporti SpA................................ 169,533 163,672
*Auschem SpA (In Liquidation)......................... 82,000 0
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 120,000 318,285
Bassetti SpA.......................................... 61,500 296,583
*Bastogi SpA.......................................... 1,183,000 247,949
*Binda SpA............................................ 1,299,375 22,414
Boero (Bartolomeo) SpA................................ 8,925 81,943
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma................................................ 8,600 79,278
*Brioschi Finanziaria SpA, Milano..................... 175,000 51,285
Buzzi Unicem SpA...................................... 24,500 215,171
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
CALP (Cristalleria Artistica la Piana SpA)............ 48,000 $ 134,881
CAMFIN (Cam Finanziaria).............................. 28,700 66,541
CEMENTIR (Cementarie del Tirreno SpA), Roma........... 480,219 650,220
*CMI SpA.............................................. 51,603 76,571
Caltagirone SpA....................................... 343,085 1,148,623
Cartiere Burgo SpA.................................... 42,500 401,241
Cementeria di Augusta SpA............................. 105,000 164,568
Cia Assicuratrice Unipol SpA.......................... 199,333 735,751
*Compart SpA.......................................... 301,626 379,033
Condotta Acque Potabili SpA, Torino................... 28,000 183,069
Cucirini SpA.......................................... 30,000 29,213
*Dalmine SpA.......................................... 1,976,700 491,297
Danieli & C.Officine Meccaniche SpA................... 66,500 326,246
*Dataconsyst C.G.S. SpA, Monza........................ 220 0
*Del Favero SpA....................................... 86,000 0
*FMC (Fabbrica Milanese Condutorri SpA)............... 25,000 0
*FONSPA (Credito Fondiaro e Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine SpA).......... 171,500 119,287
Fabbrica Italiana Magneti Marelli SpA................. 143,833 730,983
Falck (Acciaierie & Ferriere Lombarde)................ 160,800 1,112,483
*Finarte Casa d'Aste SpA (Milano)..................... 56,266 323,002
*Finarte Partecipazioni Pro Arte SpA.................. 162,693 301,009
*Finrex Finanziaria Immobiliaria SpA (In
Liquidation)........................................ 36,000 0
*Firs-Italiana de Assicurazioni Compagnia di
Assicurazioni Eriassicurazioni (In Liquidation)..... 90,000 0
*Fochi (Filippo) SpA.................................. 216,000 0
*Fornara Societa Finanziaria e di Partecipazioni
SpA................................................. 310,000 0
Gabetti Holding SpA................................... 55,000 96,403
*Gerolimich SpA (In Liquidation)...................... 297,400 0
Gewiss SpA............................................ 221,700 1,494,750
*Gottardo Ruffoni SpA................................. 279,832 0
*Grassetto SpA........................................ 279,125 0
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA)......... 34,500 209,250
Immobiliare Metanopoli SpA............................ 1,062,500 2,522,536
Impregilo SpA......................................... 532,000 301,454
Industria Macchine Automatique SpA.................... 23,000 167,443
Industrie Zignago S. Margherita SpA................... 52,000 525,652
Ipi SpA............................................... 70,700 250,467
Linificio and Canapificio Nazionale SpA............... 22,000 25,504
Maffei SpA............................................ 52,500 60,374
*Mandelli SpA......................................... 41,000 0
Manifattura Lane Gaetano Marzotto & Figli SpA......... 138,000 1,137,756
Marangoni SpA, Rovereto............................... 34,303 101,482
Merloni Elettrodomestici SpA.......................... 155,000 675,613
Milano Assicurazioni SpA.............................. 264,057 815,474
Monrif SpA............................................ 210,000 426,513
*Montefibre SpA, Milano............................... 275,267 158,276
*Necchi SpA........................................... 164,250 49,049
*Perlier SpA.......................................... 100,700 27,270
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Pininfarina SpA....................................... 62,570 $ 999,815
Poligrafici Editoriale SpA............................ 226,000 823,701
*Premafin Finanziaria SpA............................. 716,000 355,251
*Premaimm SpA......................................... 179,000 46,813
*Ratti SpA............................................ 66,768 106,504
Recordati Industria Chimica E Farmaceutica SpA........ 24,000 271,098
Reno de Medici SpA, Milano............................ 100,500 209,709
*Rodriquez SpA........................................ 41,250 0
SAES Getters SpA...................................... 14,750 235,829
SAFILO SpA (Sta Azionaria Fabbrica Italiana
Lavorazione Occhiali)............................... 175,500 1,676,420
SAIAG SpA (Industrie Articoli Gomma).................. 30,000 142,449
SISA (Societa Imballaggi Speciali Asti SpA)........... 65,000 39,786
SMI STA Metallurgica Italiana SpA..................... 565,280 348,097
*SNIA SpA............................................. 65,600 62,359
*SNIA SpA Em 00....................................... 1,109,493 989,847
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 85,000 66,295
*Schiapparelli 1824 SpA, Milano....................... 15,000 2,379
Simint SpA............................................ 79,988 400,578
Sogefi SpA............................................ 182,500 416,358
Sondel Nordelettrica SpA.............................. 191,992 607,164
*Stefanel SpA......................................... 180,800 271,633
Terme Demaniali di Acqui SpA.......................... 39,900 30,343
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste.................................. 113,898 0
*Unione Manifatture SpA (In Liquidation).............. 156,000 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation)........................................ 539,000 0
Vianini Industria SpA................................. 101,000 148,932
Vianini Lavori SpA.................................... 347,600 863,939
Vittoria Assicurazioni SpA............................ 51,500 205,851
Zucchi (Vincenzo) SpA................................. 89,000 437,456
------------
TOTAL -- ITALY
(Cost $27,431,254)................................... 28,141,162
------------
SPAIN -- (7.6%)
COMMON STOCKS -- (7.6%)
Ahorro Familiar SA.................................... 6,051 99,608
Amper SA.............................................. 56,800 426,680
*Asturiana del Zinc SA................................ 33,100 342,272
Azkoyen SA............................................ 52,500 415,314
BAMI SA (Inmobiliara de Construcciones y Terrenos).... 28,360 78,640
Banco de Credito Balear SA............................ 35,424 489,828
Banco de Galicia SA................................... 75,500 903,944
Banco de Valencia SA.................................. 154,050 1,258,653
*Banco de Valencia SA Issue 2000...................... 15,405 124,765
Banco de Vasconia SA.................................. 89,000 742,850
Banco Guipuzcoano SA.................................. 21,194 299,941
Banco Zaragozano SA................................... 112,794 1,547,115
Bodegas y Bebedas SA.................................. 39,504 410,325
CAF (Construcciones y Auxiliar de Ferrocarriles SA)... 7,500 142,588
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*CAI (Corporacion Alimentaria Iberica SA)............. 11,200 $ 0
CARTEMAR (Cartera de Valores del Mar SA).............. 4,016 13,036
*CINSA (Compania de Inversiones SA)................... 1,400 5,713
Campofrio Alimentacion SA............................. 69,600 706,792
*El Aguila SA......................................... 39,200 274,838
Elecnor SA............................................ 6,100 237,601
Empresa Nacional de Celulosa SA....................... 8,200 150,573
Energia e Industrias Aragonesas SA.................... 12,340 60,196
*Ercros SA............................................ 48,518 26,097
*Erpo SA.............................................. 3,289 1,265
*Espanola del Zinc SA................................. 9,750 42,589
*Estacionamientos Urbanos SA.......................... 4,200 0
*Europistas Concesionaria Espanola SA................. 119,698 671,600
*Europistas Concesionaria Espanola SA Em 99........... 55,242 308,414
*Filo SA.............................................. 82,733 113,556
*Grupo Picking Pack SA................................ 62,475 307,659
Hullas del Coto Cortes................................ 8,666 74,743
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas.......................................... 135,210 798,761
Inbesos SA............................................ 8,050 24,263
Indo Internacional SA................................. 33,600 124,643
Inmobiliaria del Sur SA............................... 1,380 63,991
*Inmobiliaria Urbis SA................................ 74,582 327,163
Inmobiliaria Zabalburu SA............................. 18,054 204,436
Koipe SA, San Sebastian............................... 16,800 290,262
*LSB (La Seda de Barcelona SA) Series B............... 25,200 74,786
Lingotes Especiales SA................................ 22,080 84,365
Marco Iberica Distribucion de Ediciones Midesa........ 5,600 148,013
Nicolas Correa SA..................................... 15,750 55,067
*Nueva Montana Quijano SA Series B.................... 80,500 35,088
*Obrascon Huarte Lain SA.............................. 53,992 313,453
Papelera de Navarra SA................................ 6,000 84,023
*Pascual Hermanos SA.................................. 7,610 2,400
Pescanova SA.......................................... 20,315 227,589
Portland Valderrivas SA............................... 18,225 368,462
Prim SA............................................... 3,100 29,899
Prosegur Cia de Seguridad SA.......................... 7,000 88,613
*Radiotronica SA...................................... 10,575 156,917
Reno de Medici SpA.................................... 147,140 292,020
*Tableros de Fibras SA Series B....................... 8,560 80,180
Tavex Algodonera SA................................... 26,400 61,209
Uniland Cementera SA.................................. 5,750 223,968
Unipapel SA........................................... 20,968 211,959
Uralita SA............................................ 101,725 702,833
Vidrala SA, Alava..................................... 47,040 270,475
Viscofan Industria Navarra de Envolturas Celulosicas
S.A................................................. 97,492 631,996
*Zeltia SA............................................ 58,624 2,873,352
------------
TOTAL COMMON STOCKS
(Cost $13,985,872)................................... 19,127,381
------------
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*El Aguila SA Rights 06/14/00
(Cost $0)........................................... 39,200 $ 1,818
------------
TOTAL -- SPAIN
(Cost $13,985,872)................................... 19,129,199
------------
NETHERLANDS -- (7.5%)
COMMON STOCKS -- (7.5%)
A.I.R. Holdings NV.................................... 1,119 31,963
ACF Holding NV........................................ 12,757 176,872
Aalberts Industries NV................................ 24,593 472,118
Accell Group NV....................................... 4,864 40,823
*Atag Group NV........................................ 4,630 44,227
Athlon Groep NV....................................... 34,250 570,156
Batenburg Beheer NV................................... 1,000 74,192
Beers NV.............................................. 16,625 531,153
Begemann Groep NV..................................... 11,909 88,355
*Begemann Groep NV Series B........................... 13,451 28,691
Boskalis Westminster NV............................... 47,991 821,154
*Creyf's SA........................................... 18,064 435,568
*Creyf's SA Strip VVPR................................ 18,064 167
*Delft Instruments NV................................. 13,064 120,550
Econosto NV........................................... 16,811 116,929
Eriks Holdings NV..................................... 4,000 161,554
GTI Holding........................................... 18,535 377,308
Gamma Holding NV...................................... 15,705 605,898
Gemeenschappeljk Bezit Crown van Gelder NV............ 12,000 152,465
Geveke NV............................................. 8,840 370,970
Grolsche NV........................................... 32,100 579,019
Hoek's (W.A.) Machine & Zuurstoffafabriek NV.......... 15,130 1,151,995
Hollandsche Beton Groep NV............................ 58,032 756,158
Internatio-Mueller NV................................. 28,645 524,668
Kas-Associatie NV..................................... 41,842 537,441
Kempen & Co. NV....................................... 22,081 937,892
Koninklijke Ahrend NV................................. 32,911 402,887
Koninklijke Bam Groep NV.............................. 5,573 278,061
Koninklijke Frans Maas Groep NV....................... 11,663 243,367
Koninklijke Ten Cate NV............................... 10,203 328,341
Koninklijke Ubbink NV................................. 1,500 50,080
Krasnapolsky Hotels & Restaurants NV.................. 3,278 224,962
MacIntosh NV.......................................... 15,590 419,288
NBM-Amstelland NV..................................... 58,192 774,433
Nagron Nationaal Grondbezit NV........................ 15,316 321,013
Nederlandsche Apparatenfabriek........................ 14,000 292,132
Nedlloyd Groep NV, Rotterdam.......................... 23,472 533,316
Polynorm NV........................................... 3,545 207,121
Reesink NV............................................ 2,050 96,960
Roto Smeets de Boer NV................................ 1,040 28,453
Rubber Cultuur Maatschappij Amsterdam NV.............. 40,800 67,730
Samas-Groep NV, Zaandam............................... 23,033 327,889
Schuitema NV, Amersfoort.............................. 300 653,819
Schuttersveld NV...................................... 20,596 299,882
Smit International NV................................. 18,582 437,718
*Textielgroep Twenthe NV.............................. 1,000 69,370
Twentsche Kabel Holding NV............................ 16,853 664,255
Unique International NV............................... 10,768 273,125
Van der Mollen Holding NV............................. 18,481 890,388
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Van Dorp Groep NV..................................... 3,327 $ 39,648
*Van Heek-Tweka NV.................................... 3,880 9,356
Vredestein NV......................................... 15,514 143,877
Wegener Arcade NV .................................... 70,830 1,018,163
------------
TOTAL COMMON STOCKS
(Cost $11,291,100)................................... 18,803,920
------------
RIGHTS/WARRANTS -- (0.0%)
*Aalberts Industries NV Rights 07/14/00............... 24,593 0
*Koninklijke Bam Groep NV Rights 06/13/00............. 5,573 0
*Koninklijke Frans Maas Groep NV Rights 06/15/00...... 11,663 0
*Nagron Nationaal Grondbezit NV Rights 06/07/00....... 15,316 0
*Twentsche Kabel Holding Rights 06/07/00.............. 16,853 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $11,291,100)................................... 18,803,920
------------
SWEDEN -- (6.8%)
COMMON STOCKS -- (6.8%)
*Active I Malmoe AB Series A.......................... 4,160 47,540
*Active I Malmoe AB Series B.......................... 4,160 50,078
Allgon AB Series B.................................... 65,400 1,360,527
Alma Industri & Handel AB Series B.................... 5,200 98,080
Anders Dioes AB....................................... 28,800 166,159
Angpannefoereningen AB Series B....................... 10,800 180,938
Arkivator AB.......................................... 3,600 89,870
*Avesta Sheffield AB.................................. 47,400 173,022
Axfood AB............................................. 6,300 46,133
B & N Bylock & Nordsjoefrakt AB Series B.............. 41,800 51,015
BT Industrie AB....................................... 8,400 246,043
*Beiger Electronics................................... 11,700 0
Beijer AB Series B.................................... 11,700 178,491
Berg (C.F.) & Co. AB Series B......................... 6,200 10,387
Bergman & Beving AB Series B.......................... 8,000 94,086
*Biacore International AB............................. 2,900 98,457
*Biora AB............................................. 6,200 25,108
Bong Ljungdahl AB..................................... 6,000 89,204
Boras Waefveri AB Series B............................ 8,600 47,709
Capona AB............................................. 19,000 92,754
Carbo AB.............................................. 11,100 193,353
*Castellum AB......................................... 15,000 139,797
Catena AB Series A.................................... 66,700 518,027
*Cloetta AB Series B.................................. 1,400 17,708
*Concordia Maritime AB Series B....................... 37,300 66,215
*Diligentia AB........................................ 18,800 187,728
Doro AB............................................... 2,900 25,419
Enea Data AB Class B.................................. 8,000 1,338,504
*Enea Data AB Series B................................ 800 133,850
Entra Data AB Series A................................ 3,800 123,110
Esselte AB Series A................................... 40,100 244,701
Esselte AB Series B................................... 34,500 208,614
Fagerhult AB.......................................... 2,900 21,236
*Fagerlid Industrier AB............................... 8,600 15,553
Fastighets AB Tornet.................................. 10,800 143,791
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Fastighits AB Celtica................................ 5,800 $ 32,819
Finnveden AB.......................................... 18,100 190,779
*Firefly AB........................................... 8,400 4,660
*Frontec AB Series B.................................. 18,200 245,344
Garphyttan Industrier AB.............................. 39,000 406,744
Getinge Industrier AB Series B........................ 39,736 365,924
Geveko AB Series B.................................... 8,300 148,263
Gorthon Lines AB Series B............................. 41,800 74,203
Graenges AB........................................... 10,900 191,078
Gunnebo AB............................................ 5,900 68,079
HL Display AB Series B................................ 2,000 19,305
Hexagon AB Series B................................... 3,572 53,106
Hoeganges AB Series B................................. 11,100 174,880
*Industrifoervaltnings AB Skandigen................... 13,300 90,752
*Information Highway AB............................... 12,500 112,337
*Intelligent Microsystems Data AB..................... 6,800 26,029
*Intentia International AB Series B................... 6,600 140,230
Iro AB................................................ 11,800 108,665
Jacobson and Widmark AB............................... 13,400 163,541
Karlshamns AB......................................... 6,300 38,444
*Kjessler & Mannerstrale AB New Shares................ 8,500 21,691
*Klippans Finpappersbruk AB........................... 5,800 11,197
Lifco AB.............................................. 7,947 29,979
Lindex AB............................................. 16,100 389,413
Ljungberg Gruppen AB Series B......................... 1,900 25,929
Mandator AB........................................... 11,400 115,732
*Matteus AB........................................... 19,800 70,298
*Meda AB Series A..................................... 2,100 15,844
Modul 1 Data AB....................................... 5,300 47,631
Munksjo AB............................................ 13,000 87,984
NCC AB Series B....................................... 10,300 79,995
NH Nordiska Holding AB................................ 17,000 53,755
Nibe Industrier AB Series B........................... 1,100 14,645
Nobelpharma AB........................................ 45,460 968,409
Nolato AB Series B.................................... 30,600 930,251
Norrporten Fastighets AB.............................. 2,000 23,300
OEM International AB Series B......................... 7,100 93,742
PEAB AB Series B...................................... 17,800 44,436
Pandox Hotelfastigheter AB............................ 4,500 39,443
Platzer Bygg AB Series B.............................. 36,000 32,752
Rottneros Bruk AB..................................... 366,600 374,204
Sardus AB............................................. 3,000 19,305
Scandiaconsult AB..................................... 57,200 215,776
Scandic Hotels AB..................................... 15,300 159,569
Scribona AB Series A.................................. 40,100 102,329
Scribona AB Series B.................................. 31,700 86,169
*Segerstroem & Svensson AB............................ 15,200 119,737
Semcon AB............................................. 5,200 84,233
Sifo Group AB......................................... 64,160 783,042
Sifo Group AB Em 00................................... 50,720 647,151
Sigma AB Series B..................................... 7,600 215,022
Spendrups Bryggeri AB Series B........................ 19,900 77,498
*Stena Line AB Series B............................... 128,000 88,050
Svedala Industri...................................... 60,000 765,557
Sweco AB Series B..................................... 23,450 156,107
TV 4 AB Series A...................................... 5,800 186,618
*Ticket Travel Group AB............................... 3,000 16,543
*Tivox AB Series B.................................... 7,200 11,983
Wallenstam Byggnads AB Series B....................... 16,700 75,968
Westergyllen AB Series B.............................. 4,300 70,132
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Wihlborgs Fastigheter AB Series B..................... 83,500 $ 105,613
Wilh Sonesson AB Series A............................. 4,160 18,462
Wilh Sonesson AB Series B............................. 4,160 19,154
Zeteco AB Series B.................................... 10,400 229,623
------------
TOTAL COMMON STOCKS
(Cost $12,764,100)................................... 16,902,660
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $29,083)...................................... 29,481
------------
RIGHTS/WARRANTS -- (0.0%)
*Castellum AB Rights 07/05/00
(Cost $0)........................................... 15,000 3,804
------------
TOTAL -- SWEDEN
(Cost $12,793,183)................................... 16,935,945
------------
BELGIUM -- (3.2%)
COMMON STOCKS -- (3.2%)
*Abfin SA............................................. 2,560 0
Afrifina.............................................. 3,480 338,873
BMT NV................................................ 2,040 174,528
Banque Belgo-Zairoise Belgolaise SA................... 1,155 205,661
Banque Nationale de Belgique.......................... 710 734,178
Belge des Betons...................................... 425 177,366
Belgo Katanga NPV..................................... 408 200,163
Belgo Katanga NPV VVPR................................ 136 66,090
CFE (Compagnie Francois d'Entreprises)................ 2,080 370,368
CMB (Cie Martime Belge)............................... 500 27,103
Carrieres Unies Porphyre.............................. 20 16,934
Chimique et Metallurgique Campine, Beerse............. 370 30,934
City Hotels SA........................................ 1,290 78,361
Cofinimmo SA.......................................... 4,763 415,219
Cokeries & Houilleres d'Anderlues..................... 100 4,401
Commerciale de Brasserie SA COBRHA.................... 115 39,312
*Creyf's SA........................................... 20,087 484,347
*Creyf's SA Interim Strip VVPR........................ 8,087 75
Deceuninck Plastics Industries SA..................... 6,370 1,231,726
*Electrorail SA (Reunies d'Electricite & de
Transports)......................................... 11,416 3,600
Engrais Rosier SA..................................... 655 51,633
*Finspa............................................... 325 0
Floridienne NV........................................ 2,033 150,833
Ford Motor Co. SA Belgium............................. 1,110 163,677
Glaces de Charleroi................................... 70 170,086
Ibel (Nouvelle)....................................... 2,655 162,509
Immobel (Cie Immobiliere de Belgique SA).............. 10,600 433,524
*Intercomfina SA...................................... 11,000 102
Mecaniver SA, Bruxelles............................... 128 32,882
*Metiers Automatiques Picanol......................... 403 145,760
*Monceau-Zolder SA.................................... 435 59,706
*PCB SA Bruxelles..................................... 6,504 21,715
*Papeteries de Catala SA.............................. 315 40,898
Plantations Nord-Sumatra SA........................... 650 75,713
*Recticel SA.......................................... 8,450 75,309
*SA Holding Franki NV en Liquidation.................. 5,875 1,351
SABCA (Sa Belge de Constructions Aeronautiques)....... 4,280 111,140
</TABLE>
206
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*SCF SA............................................... 380 $ 2,122
*SCF VVPR Shares...................................... 2,470 14,889
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 1,545 118,639
*Sait Radioholland.................................... 6,088 146,797
Sapec SA.............................................. 3,635 130,799
*Sapec SA VVPR........................................ 75 76
Sidro................................................. 4,040 288,496
*Spector Photo Group SA............................... 3,688 116,665
Surongo SA............................................ 20 4,554
Telinfo SA............................................ 3,448 355,263
Telinfo SA VVPR....................................... 1,158 11
*Ter Beke NV.......................................... 2,212 111,802
UNIBRA................................................ 1,600 112,772
Uco Textiles NV....................................... 2,124 197,965
------------
TOTAL -- BELGIUM
(Cost $7,635,965).................................... 7,896,927
------------
NORWAY -- (3.1%)
COMMON STOCKS -- (3.1%)
*Agresso Group ASA.................................... 31,260 64,879
*Aker Maritim ASA..................................... 34,030 229,732
Arendals Fosse Kompani ASA............................ 100 5,579
*Ask Proxima.......................................... 28,920 279,138
*Avantor Financial Corp............................... 13,270 81,440
*Awilco ASA Series A.................................. 50,950 85,279
*Blom ASA............................................. 7,970 20,899
*Braathens S.A.F.E. ASA............................... 19,320 60,363
*C. Tybring-Gjedde ASA................................ 14,880 27,396
*Choice Hotel Scandinavia ASA......................... 27,740 79,860
*Den Norske Oljeselkapet.............................. 19,320 51,093
*Det. Sondenfjelds-Norske Dampskibsselskab ASA
Series A............................................ 33,930 179,838
*Dyno Industrier ASA.................................. 19,324 407,534
EDB Elektronisk Data Behandling ASA................... 54,917 716,964
Ekornes ASA........................................... 23,390 194,443
Elkem ASA............................................. 9,850 163,767
Farstad Shipping ASA.................................. 27,190 96,481
Ganger Rolf ASA....................................... 5,490 121,295
*Gresvig ASA.......................................... 4,590 30,218
Hafslund ASA.......................................... 47,800 218,684
Hydralift AS.......................................... 15,540 65,026
Kongsberg Gruppen ASA................................. 21,000 227,298
Kverneland ASA........................................ 6,800 103,952
*Leif Hoegh & Co. ASA................................. 25,375 237,843
*Merkantildata ASA.................................... 10,701 68,062
Moelven Industrier ASA................................ 55,578 44,032
Narvesen Asa.......................................... 7,000 149,970
*Navia ASA............................................ 12,400 51,887
*Nera ASA............................................. 84,453 334,540
*Nordic Vlsi.......................................... 800 10,444
Nordlandsbanken ASA................................... 3,830 87,611
*Ocean Rig ASA........................................ 7,266 34,053
Odfjell ASA Series A.................................. 10,410 128,937
Olav Thon Eiendomsselskap ASA......................... 8,320 159,682
*Petrolia Drilling ASA................................ 26,706 29,800
*Prosafe ASA.......................................... 18,030 277,638
Rieber and Son ASA Series A........................... 23,584 123,686
Scana Industrier ASA.................................. 14,880 21,253
Schibsted ASA......................................... 28,800 559,173
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Selmer ASA............................................ 15,570 $ 185,899
*Sensonor ASA......................................... 19,234 17,170
Smedvig ASA Series A.................................. 28,840 489,152
Spcs-Gruppen ASA...................................... 33,620 46,893
Steen and Stroem ASA.................................. 19,512 235,142
*Stento ASA........................................... 11,640 32,731
*Tandberg ASA Series A................................ 16,220 292,300
*Tandberg Data ASA.................................... 23,250 35,543
*Tandberg Television ASA.............................. 22,530 153,354
Ugland Nordic Shipping ASA............................ 6,550 54,085
*Unitor ASA........................................... 11,720 82,390
Veidekke ASA.......................................... 15,936 112,027
*Visual Management Applications ASA................... 8,770 48,930
Wilhelmsen (Wilhelm), Ltd. ASA........................ 6,400 124,975
------------
TOTAL COMMON STOCKS
(Cost $7,421,245).................................... 7,740,360
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $65,491)...................................... 66,187
------------
TOTAL -- NORWAY
(Cost $7,486,736).................................... 7,806,547
------------
DENMARK -- (2.2%)
COMMON STOCKS -- (2.1%)
Aalborg Portland Holding A.S. Series A................ 4,000 108,813
Aalborg Portland Holding A.S. Series B................ 3,680 100,565
Aarhus Oliefabrik A.S. Aeries A....................... 1,600 32,793
Alm Brand A.S. Series B............................... 6,540 90,173
Amagerbanken A.S...................................... 580 24,419
Amtssparekassen Fyn A.S............................... 968 36,914
Bang & Olufsen Holding A.S. Series B.................. 4,877 175,682
Brodrene Hartmann A.S. Series B....................... 605 10,746
Carli Gry International A.S........................... 3,510 34,008
Christian Hansen Holding A.S. Series B................ 4,600 185,702
Codan A.S............................................. 1,600 104,341
Coloplast A.S. Series B............................... 4,374 195,052
D'Hooge Schouw NV..................................... 1,490 55,524
DFDS A.S., Copenhagen................................. 4,000 119,247
*Dampskibsselsk et Torm A.S........................... 920 50,282
Dampskibsselskabet Norden A.S......................... 200 20,371
*Dansk Data Elektronik A.S............................ 280 16,347
Danske Traelastko..................................... 1,956 179,795
*East Asiatic Co., Ltd................................ 10,703 146,243
Edb Gruppen A.S....................................... 1,810 49,463
Ejendamsselskabet Norden A.S.......................... 3,217 106,694
Fluegger A.S. Series B................................ 1,638 24,416
Foras Holding A.S. Series A........................... 832 4,806
Forstaedernes Bank.................................... 1,250 20,961
*Glunz & Jensen A.S................................... 860 18,694
HLJ Industri A.S...................................... 160 24,446
Henriksen Og Henriksen Holding A.S. Series B.......... 310 25,222
Hoejgaard Holding A.S. Series B....................... 630 11,895
*Incentive A.S........................................ 2,705 60,481
Jamo A.S.............................................. 1,000 32,296
*Junckers (F.) Industrier A.S......................... 860 11,430
</TABLE>
207
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Kjobenhavns Sommer Tivoli A.S........................ 190 $ 46,022
*Koebenhavns Lufthavne................................ 1,270 85,976
Korn-Og Foderstof Kompagnet A.S....................... 6,068 124,367
Lauritzen (J.) Holding Series B....................... 963 73,900
*Midtbank A.S......................................... 500 15,341
*Mols-Linien.......................................... 840 7,513
*Neg Micon A.S........................................ 11,348 465,168
*Neurosearch A.S...................................... 3,180 233,449
Nordiske Kabel og Traadfabrikker Holding A.S.......... 2,603 410,634
Nordvestbank.......................................... 250 20,651
Per Aarsleff A.S. Series B............................ 425 17,421
Radiometer A.S. Series B.............................. 4,033 129,248
Ringkjoebing Landbobank............................... 80 17,589
Rockwool, Ltd......................................... 3,820 83,513
Sanistal A.S. Series B................................ 936 28,020
Sas Danmark A.S....................................... 23,500 210,173
Sophus Berendsen A.S.................................. 9,950 185,392
Spar Nord Holding..................................... 2,593 103,069
Sparkasse Regensburg.................................. 7,250 189,118
Sydbank A.S........................................... 1,742 57,558
TK Development........................................ 6,585 156,230
*Topdanmark A.S....................................... 19,740 343,283
VT Holdings Shares A.................................. 44 2,186
VT Holdings Shares B.................................. 2,206 105,498
Vest-Wood A.S......................................... 2,062 70,437
Wessel & Vett Magasin du Nord A.S. Series C........... 1,502 97,950
------------
TOTAL COMMON STOCKS
(Cost $5,501,400).................................... 5,357,527
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Danish Krone
(Cost $163,914)..................................... 165,357
------------
TOTAL -- DENMARK
(Cost $5,665,314).................................... 5,522,884
------------
FINLAND -- (1.9%)
COMMON STOCKS -- (1.9%)
Alandsbanken AB Series B.............................. 1,700 24,043
Amer-Yhtymae Oyj Series A............................. 17,020 456,169
Finnair Oyj........................................... 59,310 220,017
Finnlines Oy.......................................... 13,980 259,302
Finvest Oyj........................................... 37,510 65,399
Fiskars Oy AB Series A................................ 8,550 79,293
HK Ruokatalo Oy Series A.............................. 11,400 24,317
KCI Konecranes International Oyj...................... 10,500 309,660
Kemira Oyj............................................ 21,000 111,010
Kone Corp............................................. 4,980 300,247
Kyro Oyj AB Series P.................................. 27,770 280,718
Laennen Tehtaat Oy.................................... 3,930 41,914
Lasslla and Tikanoja Oyj.............................. 11,070 228,837
Lemminkainen Oy....................................... 6,100 65,057
Martela Oy............................................ 530 12,288
Metsaemarkka Oyj Series B............................. 700 3,804
Nokian Renkaat Oyj.................................... 7,300 223,411
Nordic Aluminium Oy................................... 1,900 19,207
Novo Group Oyj........................................ 22,900 133,797
Okobank Class A....................................... 13,240 131,383
Olvi Oyj Series A..................................... 410 7,225
PK Cables Oyj......................................... 3,160 60,370
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Partek Oyj............................................ 34,170 $ 402,772
*Polar Real Estate Corp. Series K..................... 126,010 32,721
Ponsse Oyj............................................ 4,900 62,938
Rakentajain Koneuvokrammo Oy.......................... 1,900 18,678
Santasalo-Jot Oy...................................... 3,400 11,068
*Silja Oy AB Series A................................. 44,020 67,768
Talentum Oyj.......................................... 11,900 86,633
Tamro Oyj............................................. 84,220 215,572
Uponor Oyj Series A................................... 27,100 497,626
Vaisala Oy Series A................................... 200 3,821
Viking Line AB........................................ 3,240 78,425
Yit-Yhtymae Oyj....................................... 20,540 213,347
------------
TOTAL -- FINLAND
(Cost $4,875,269).................................... 4,748,837
------------
AUSTRIA -- (1.4%)
COMMON STOCKS -- (1.4%)
Allgemeine Sparkasse Baugesellschaft.................. 670 52,816
Auricon Beteiligungs AG............................... 1,430 35,807
*Austria Mikro Systeme International AG............... 1,500 125,199
BBAG Oesterreichische Brau-Beteiligungs............... 5,180 201,766
*BWT AG............................................... 990 302,064
Bank Fuer Kaernten und Steiermark AG.................. 520 42,462
Bau Holding AG........................................ 4,980 210,140
Bohler Uddeholm AG.................................... 6,600 256,464
Brau Union Goess-Reinighaus AG........................ 6,000 245,669
*Ca Immobilien Invest AG.............................. 670 9,830
*Die Erste Immobilien AG.............................. 910 131,654
Flughafen Wien AG..................................... 9,310 310,397
Graf van der Elst Vermoegensverwaltung AG............. 1,260 37,393
*Immofinanz Immobilien Anlagen AG..................... 44,743 200,005
*Jenbacher AG......................................... 1,000 68,628
Leipnik-Lundenburger Industrie AG..................... 300 13,146
Lenzing AG............................................ 2,200 116,296
*Manner (Josef) & Co. AG.............................. 870 24,205
Mayr-Melnhof Karton AG................................ 7,200 340,542
Oberbank AG........................................... 3,234 204,247
Readymix Kies-Union AG................................ 500 37,096
Rhi AG, Wien.......................................... 8,350 191,117
Rhi AG, Wien Em 99.................................... 3,576 81,683
Rosenbauer International AG........................... 850 23,531
*Teerag-Asdag AG...................................... 100 3,524
*Ubm Realitaetenentwicklung AG........................ 360 22,035
Vogel and Noot Waermetechnik AG....................... 1,700 17,342
Wolford AG............................................ 3,000 91,396
------------
TOTAL -- AUSTRIA
(Cost $3,581,240).................................... 3,396,454
------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Abbey P.L.C........................................... 19,319 46,583
Adare Printing Group P.L.C............................ 6,916 51,632
Anglo Irish Bank Corp. P.L.C.......................... 138,087 307,349
*Arcon International Resources P.L.C.................. 143,750 30,662
Ardagh P.L.C.......................................... 13,676 20,293
Arnotts P.L.C......................................... 8,811 54,748
</TABLE>
208
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Barlo Group P.L.C..................................... 85,047 $ 63,098
*Dragon Oil P.L.C..................................... 104,167 22,944
*Dunloe Ewart P.L.C................................... 235,918 76,577
Glanbia P.L.C......................................... 146,256 93,590
Golden Vale P.L.C..................................... 47,353 44,794
Green Property Co..................................... 55,567 284,720
Greencore Group P.L.C................................. 98,169 264,022
Heiton Holdings P.L.C................................. 23,610 70,724
IAWS Group P.L.C...................................... 34,340 199,044
IWP International P.L.C............................... 39,611 60,613
Irish Continental Group P.L.C......................... 13,121 110,733
Jurys Hotel Group P.L.C............................... 29,590 177,000
Kingspan Group P.L.C.................................. 83,838 225,480
Ryan Hotels P.L.C..................................... 22,791 21,982
*Tullow Oil P.L.C..................................... 123,723 96,383
United Drug P.L.C..................................... 13,777 95,826
Waterford Wedgwood P.L.C.............................. 220,752 217,010
------------
TOTAL -- IRELAND
(Cost $3,147,110).................................... 2,635,807
------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
*Euro Currency
(Cost $283,067)..................................... 288,553
------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*National Oilwell, Inc.
(Cost $57,188)...................................... 4,318 112,268
------------
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*National Oilwell, Inc. Warrants 03/15/01
(Cost $0)........................................... 480 $ 0
------------
TOTAL -- UNITED STATES
(Cost $57,188)....................................... 112,268
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (1.2%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $3,038,928) to be
repurchased at $2,993,495.
(Cost $2,993,000)................................... $ 2,993 2,993,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $207,887,332)++.... $250,422,060
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $207,887,332.
</TABLE>
See accompanying Notes to Financial Statements.
209
<PAGE>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
TURKEY -- (12.6%)
COMMON STOCKS -- (12.6%)
Akbank................................................ 194,495,001 $ 2,996,744
Akcansa Cimento Sanayi ve Ticaret A.S................. 29,601,300 504,101
Aksigorta A.S......................................... 42,705,000 917,724
Alarko Holding........................................ 16,351,888 981,267
Arcelik A.S........................................... 25,206,732 1,635,287
Aygaz................................................. 17,315,840 870,608
*Cukurova Elektrik A.S................................ 389,000 318,609
*Dogan Sirketler Grubu Holdings A.S................... 51,738,680 1,195,770
EGE Biracilik ve Malt Sanayi A.S...................... 9,187,224 722,676
Enka Holding.......................................... 3,842,819 825,816
*Erciyas Biracilik.................................... 11,332,640 588,164
*Eregli Demir ve Celik Fabrikalari Turk A.S........... 34,503,000 1,594,848
*Guney Biracilik...................................... 3,516,240 165,384
*Hurriyet Gazette..................................... 25,601,550 467,129
Koc Holding A.S....................................... 49,867,992 4,205,743
Migros Turk A.S....................................... 2,202,675 1,339,674
Netas Northern Electric Telekomunikasyon A.S.......... 8,759,000 1,193,305
*Otosan Otomobil A.S.................................. 21,546,000 1,205,600
*Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret
A.S................................................. 1,068,000 186,208
Tat Konserve.......................................... 5 0
*Tofas Turk Otomobil Fabrikasi A.S.................... 72,073,889 1,204,017
Trakya Cam Sanayii A.S................................ 49,411,149 649,124
*Turk Sise Cam........................................ 42,665,421 532,825
*Turkiye Garanti Bankasi A.S.......................... 187,202,870 2,398,596
Turkiye Is Bankasi A.S. Series C...................... 441,903,000 12,184,099
*Vestel Elektronik Sanayi Ticaret A.S................. 3,112,000 971,601
*Yapi ve Kredi Bankasi A.S............................ 390,209,892 4,809,826
------------
TOTAL -- TURKEY
(Cost $11,401,131)................................... 44,664,745
------------
ISRAEL -- (9.8%)
COMMON STOCKS -- (9.8%)
*Africa-Israel Investments, Ltd....................... 2,840 298,495
*Africa-Israel Investments, Ltd....................... 155 156,973
Agis Industries (1983), Ltd........................... 21,736 177,715
American Israeli Paper Mills, Ltd..................... 3,291 207,223
Bank Hapoalim B.M..................................... 1,196,240 3,436,796
Bank Leumi Le-Israel.................................. 1,373,369 2,992,147
Bezek, Ltd............................................ 701,438 3,946,493
Blue Square Chain Stores Properties Investment........ 29,303 404,802
CLAL Electronics Industries, Ltd...................... 3,579 766,044
CLAL Industries, Ltd.................................. 135,350 1,454,986
CLAL Insurance, Ltd................................... 38,684 602,930
Clal Israel, Ltd...................................... 29,607 1,196,534
Delek Israel Fuel Corp., Ltd. Series C................ 4,584 323,758
*Elbit Medical Imaging................................ 17,319 165,485
Elbit Systems, Ltd.................................... 17,319 236,348
*Elbit, Ltd........................................... 17,320 173,249
Elite Industries, Ltd................................. 5,700 292,177
Elron Electronic Industries, Ltd...................... 19,701 646,677
First International Bank of Israel.................... 48,660 341,345
First International Bank of Israel, Ltd............... 347,200 500,415
IDB Bankholding Corp., Ltd............................ 36,578 1,334,639
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
IDB Development Corp., Ltd. Series A.................. 43,928 $ 1,851,008
Industrial Building Corp., Ltd........................ 277,150 395,472
Israel Chemicals, Ltd................................. 1,165,326 1,473,111
Israel Corp. Series A................................. 5,500 937,555
Koor Industries, Ltd.................................. 16,466 1,612,768
*M.A.Industries, Ltd.................................. 162,937 351,478
Matav Cable Israel.................................... 19,027 370,352
Migdal Insurance Holdings............................. 279,107 318,077
Osem Investment, Ltd.................................. 77,343 503,668
Property and Building Corp., Ltd...................... 3,973 330,067
Super-Sol, Ltd. Series B.............................. 210,226 737,358
Tambour............................................... 26,898 47,784
Teva Pharmaceutical Industries, Ltd................... 120,820 6,051,385
------------
TOTAL -- ISRAEL
(Cost $19,342,313)................................... 34,635,314
------------
MALAYSIA -- (9.5%)
COMMON STOCKS -- (9.5%)
AMMB Holdings Berhad.................................. 181 748
Amsteel Corp. Berhad.................................. 264,000 53,495
*Aokam Perdana Berhad................................. 333 499
*Avenue Assets Berhad................................. 27,000 15,845
Bandar Raya Developments Berhad....................... 23,000 13,376
Batu Kawan Berhad..................................... 151,000 167,689
Berjaya Group Berhad.................................. 94,000 17,068
Berjaya Land Berhad................................... 91,000 34,005
Berjaya Sports Toto Berhad............................ 79,000 181,908
British American Tobacco Berhad....................... 148,000 1,285,263
Carlsberg Brewery Malaysia Berhad..................... 79,000 270,263
Commerce Asset Holding Berhad......................... 230,000 659,737
Country Heights Holdings Berhad....................... 40,000 47,368
DCB Sakura Merchant New Shares........................ 4,100 3,345
Genting Berhad........................................ 259,000 967,842
Golden Hope Plantations Berhad........................ 521,000 545,679
Guiness Anchor Berhad................................. 105,000 109,974
Highlands and Lowlands Berhad......................... 314,000 262,768
Hong Leong Bank Berhad................................ 213,125 370,164
Hong Leong Credit Berhad.............................. 232,300 415,695
IOI Corp. Berhad...................................... 439,000 341,958
Jaya Tiasa Holdings Berhad............................ 96,000 159,158
Kuala Lumpur Kepong Berhad............................ 293,500 397,770
*Land - General Berhad................................ 35,000 12,434
*Leisure Management Berhad............................ 35,000 68,618
Lion Land Berhad...................................... 1,000 225
*MBF Holdings Berhad.................................. 141,000 7,607
Magnum Corp. Berhad................................... 779,500 551,804
Malakoff Berhad....................................... 103,000 269,697
Malayan Banking Berhad................................ 846,000 3,606,632
*Malayan United Industries Berhad..................... 70,000 15,750
Malaysian Airlines System............................. 298,000 279,179
Malaysian International Shipping Corp. (Foreign)...... 85,666 144,280
Malaysian Oxygen Berhad............................... 22,000 68,316
Malaysian Pacific Industries.......................... 28,000 315,000
*Multi-Purpose Holdings Berhad........................ 86,000 37,568
Nestle (Malaysia) Berhad.............................. 121,000 605,000
Oriental Holdings Berhad.............................. 167,880 377,730
Oyl Industries Berhad................................. 47,000 155,842
Perlis Plantations Berhad............................. 190,500 240,632
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Perusahaan Otomobil Nasional Berhad................... 282,000 $ 397,026
Petronas Dagangan Berhad.............................. 147,000 167,116
Petronas Gas Berhad................................... 943,000 1,488,947
Public Bank Berhad (Foreign).......................... 1,107,799 1,559,664
RHB Capital Berhad.................................... 867,000 1,131,663
RJ Reynolds Berhad.................................... 135,000 182,961
Ramatex Berhad........................................ 222,000 210,316
*Rashid Hussain Berhad................................ 50,000 52,632
*Renong Berhad........................................ 460,000 285,684
Resorts World Berhad.................................. 567,000 1,775,605
Sarawak Enterprise Corp. Berhad....................... 412,000 263,463
Shell Refining Co. Federation of Malaysia Berhad...... 156,000 185,558
*Silverstone Berhad................................... 9,240 0
Sime Darby Berhad (Malaysia).......................... 1,208,800 1,565,078
*Southern Bank Berhad................................. 48,440 42,831
Southern Bank Berhad (Foreign)........................ 143,437 114,750
Technology Resources (Industries) Berhad.............. 264,000 316,800
Telekom Malaysia Berhad............................... 1,305,000 4,773,553
Tenaga Nasional Berhad................................ 1,146,000 4,191,947
*Time Engineering Berhad.............................. 276,000 265,832
Tractors Malaysia Holdings Berhad..................... 22,000 13,895
*United Engineering (Malaysia) Berhad................. 165,198 439,079
YTL Corp. Berhad...................................... 749,100 1,192,646
------------
TOTAL COMMON STOCKS
(Cost $35,214,175)................................... 33,694,977
------------
RIGHTS/WARRANTS -- (0.0%)
*YTL Corp. Berhad Warrants 06/26/09
(Cost $395)......................................... 4,000 1,884
------------
TOTAL -- MALAYSIA
(Cost $35,214,570)................................... 33,696,861
------------
SOUTH KOREA -- (8.9%)
COMMON STOCKS -- (8.9%)
*Daewoo Securities Co., Ltd........................... 56,445 232,376
*Good Morning Securities Co........................... 52,660 157,584
*Hyundai Engineering & Construction Co., Ltd.......... 119,254 362,671
Hyundai Motor Co., Ltd................................ 95,919 1,027,552
Hyundai Securities Co., Ltd........................... 49,011 364,925
Kookmin Bank.......................................... 205,128 2,197,475
Korea Electric Power Corp............................. 118,650 3,182,908
Korea Mobile Telecommunications Corp.................. 1,670 569,234
LG Chemical, Ltd...................................... 68,329 1,330,888
LG Electronics, Inc................................... 75,132 2,082,011
LG Information & Communications, Ltd.................. 21,211 1,235,665
*LG Insurance Co., Ltd................................ 3,410 8,906
Pohang Iron & Steel Co., Ltd.......................... 2,580 194,157
*S-Oil Corp........................................... 32,080 532,536
*S1 Corporation....................................... 20,238 270,557
SK Corp., Ltd......................................... 78,203 1,253,186
Samsung Display Devices, Ltd.......................... 32,478 1,236,435
*Samsung Electro-Mechanics Co., Ltd................... 51,654 3,246,953
Samsung Electronics Co., Ltd.......................... 37,688 10,277,027
Samsung Fire and Marine Insurance, Ltd................ 32,751 745,198
Shinhan Bank Co., Ltd................................. 158,242 1,183,838
------------
TOTAL -- SOUTH KOREA
(Cost $15,129,968)................................... 31,692,082
------------
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BRAZIL -- (8.8%)
PREFERRED STOCKS -- (6.4%)
Aracruz Celulose SA Series B.......................... 311,999 $ 521,274
Banco Bradesco SA..................................... 197,621,010 1,332,615
Banco do Brasil SA.................................... 126,670,000 548,863
Banco do Estado de Sao Paulo SA....................... 2,500,000 73,965
Banco Itau SA......................................... 35,500,000 2,673,896
*Brasileira de Distribuicao Pao de Acucar............. 8,330,000 250,970
Brasiliero de Petroleo Ipiranga....................... 12,300,000 128,018
Centrais Electricas de Santa Catarin Celesc Series
B................................................... 180,000 53,245
Cervejaria Brahma..................................... 2,490,767 1,794,206
Cimento Portland Itau................................. 860,000 103,642
Copene-Petroquimica do Nordeste SA Series A........... 624,000 205,099
Coteminas Cia Tecidos Norte de Minas.................. 910,000 60,811
Duratex SA............................................ 2,900,000 72,281
Electropaulo Electrecidade Metropolitana.............. 8,395,000 471,366
*Embratel Participacoes SA............................ 38,582,922 805,044
Ericsson Telecomunicacoes SA.......................... 15,480,000 195,035
IKPC SA (Industrias Klabin de Papel e Celulose)....... 176,875 150,180
*Inepar Energia SA.................................... 9,561 3
*Inepar SA Industria e Construcoes.................... 19,760,001 38,535
*Inepar-Fem Equipamentos e Montagem SA................ 11,856 552
Investimentos Itau SA................................. 1,345,118 1,097,893
Lojas Americanas SA................................... 2,166,794 4,724
Lojas Renner SA....................................... 800,000 9,181
*Mahle Cofap Aneis SA................................. 5,100 11,664
*Paranapanema SA...................................... 2,120,000 3,856
Sadia Oeste SA Inclusttia e Comercio Soes............. 100,000 49,301
Sao Carlos Empreendimentos e Participacoes SA......... 2,166,794 4,392
Serrana SA............................................ 2,450 1,275
Siderurgica Belgo-Mineira............................. 970,000 83,417
Siderurgica de Tubarao Sid Tubarao.................... 15,120,000 194,806
*Siderurgica Paulista Pfd............................. 65,000 10,682
Suzano de Papel e Celulose............................ 54,000 113,885
Tele Celular Sul Participacoes SA..................... 137,922 461
Tele Centro Oeste Celular Participacoes SA............ 137,922 466
Tele Centro-Sul Participacoes......................... 45,137,922 546,446
Tele Leste Celular Participacoes SA................... 176,996 143
Tele Norte Celular Participacoes SA................... 137,922 127
Tele Norte Leste Participacoes SA..................... 96,740,604 1,897,165
*Telemig Celular Participacoes SA..................... 137,922 402
Telenordeste Celular Participacoes SA................. 137,922 365
Telesp Celular Participacoes.......................... 176,941,089 2,709,093
Telesp Participacoes SA............................... 61,927,922 1,560,478
Telesudeste Celular Participacoes SA.................. 82,837,922 708,800
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 52,039 228,051
Unibanco-Uniao de Bancos Brasileiros SA............... 12,963,000 639,089
Usinas Siderurgicas de Minas Gerais................... 325 1,362
*Vale do Rio Doce Series B............................ 81,160 0
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Vale do Rio Doce Series A............................. 121,160 $ 3,006,567
Votorantim Celulose e Papel SA........................ 9,467,325 300,794
------------
TOTAL PREFERRED STOCKS
(Cost $18,144,996)................................... 22,664,485
------------
COMMON STOCKS -- (2.4%)
*Acos Especiais Itabira-Acesita Aces.................. 25,963,524 13,654
Ambev Cia de Bebidas das Americas..................... 252,000 126,999
Ceval Alimentos SA.................................... 11,610,114 19,398
Embraco SA............................................ 130,000 58,038
Embraer Empresa Brasileira de Aeronautica............. 157,000 713,824
*Embratel Participacoes............................... 57,550,000 942,605
*Empresa Nasional de Comercio Redito e Participacoes
SAncorpar........................................... 480,000 1,236
Gerdau SA............................................. 36,040,000 409,456
Inversiones Luz SA.................................... 3,140,000 125,564
Lojas Americanas SA................................... 14,042,476 29,231
*Mannesmann SA........................................ 149,000 9,794
Petroquimica do Sul Copesul........................... 8,276,000 358,147
*Santista Alimentos SA................................ 43,777 6,715
Sao Carlos Empreendimentos e Participacoes SA......... 14,042,476 30,692
*Seara Alimentos SA................................... 11,610,114 4,833
Serrana SA............................................ 2,054 1,046
Siderurgica Nacional Sid Nacional..................... 26,651,000 875,948
Souza Cruz Industria e Comercio....................... 101,000 556,033
Tele Celular Sul Participacoes........................ 57,550,000 147,853
Tele Centro Oeste Celular Participacoes............... 57,550,000 174,965
*Tele Centro Sul Participacoes SA..................... 57,550,000 517,645
Tele Leste Celular Participacoes...................... 73,854,224 60,685
Tele Norte Celular Participacoes...................... 57,550,000 47,603
Tele Norte Leste Participacoes........................ 57,550,710 904,786
Tele Sudeste Celular Participacoes.................... 57,550,000 245,897
*Telemig Celular Participacoes........................ 57,550,000 138,711
Telenordeste Celular Participacoes.................... 57,550,000 131,776
Telesp Celular Participacoes SA....................... 57,553,818 937,939
Telesp Participacoes SA............................... 57,550,000 870,097
Unibanco Unias de Bancos Brasileiros SA............... 1,500,000 36,154
VSMA (Cia Vidraria Santa Marina)...................... 54,000 65,373
------------
TOTAL COMMON STOCKS
(Cost $6,054,628).................................... 8,562,697
------------
RIGHTS/WARRANTS -- (0.0%)
*Serrana SA Preferred Rights 06/17/00................. 1,866 0
*Serrana SA Rights 06/17/00........................... 1,564 0
*Siderurgica Belgo-Mineira Rights 06/23/00............ 7 0
*Tele Norte Leste Participacoes SA Preferred Rights
06/06/00............................................ 122,307 348
*Tele Norte Leste Participacoes SA Rights 06/06/00.... 73,181 180
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 528
------------
TOTAL -- BRAZIL
(Cost $24,199,624)................................... 31,227,710
------------
THAILAND -- (7.2%)
COMMON STOCKS -- (7.2%)
*Advance Agro Public Co., Ltd. (Foreign).............. 1,030,130 420,407
<CAPTION>
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<S> <C> <C>
*Advanced Info Service Public Co., Ltd. (Foreign)..... 593,100 $ 6,807,667
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 2,449
BEC World Public Co., Ltd. (Foreign).................. 132,700 812,344
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 2,333,000 577,224
*Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 1 0
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 1,713
*Bank of Asia Public Co., Ltd. (Foreign).............. 21,450 7,933
*Bank of Ayudhya Public Co., Ltd. (Foreign)........... 1,576,500 289,524
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 349,156 2,368,967
*Five Stars Property Public Co., Ltd. (Foreign)....... 8,360 704
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 11,270 5,390
*International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 296
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 6,693
*Krung Thai Bank Public Co., Ltd. (Foreign)........... 9,972,670 3,116,057
*MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 336
Mutual Fund Public Co., Ltd. (Foreign)................ 500 498
*National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 630,150 99,654
*Sammakorn Public Co., Ltd. (Foreign)................. 7,500 1,779
*Sanyo Universal Electric Public Co., Ltd.
(Foreign)........................................... 6,500 1,094
*Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 581,000 2,904,625
*Siam Cement Public Co., Ltd. (Foreign)............... 27,000 498,609
*Siam City Cement Public Co., Ltd. (Foreign).......... 354,813 995,520
*Siam Commercial Bank Public Co., Ltd. (Foreign)...... 958,166 604,887
Siam Makro Public Co., Ltd. (Foreign)................. 727,100 806,754
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 777
*Srithai Superware Public Co., Ltd. (Foreign)......... 16,400 3,974
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 4,574,500 4,550,573
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 201,800 41,178
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 1,996
*Thai Military Bank Public Co., Ltd. (Foreign)........ 1,935,500 315,959
*Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 374,326
------------
TOTAL COMMON STOCKS
(Cost $32,945,406)................................... 25,619,907
------------
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RIGHTS/WARRANTS -- (0.0%)
*Telecomasia Corp. Public Co., Ltd. (Foreign) Rights
2000-2008........................................... 1,444,578 $ 0
*Thai Danu Bank Public Co., Ltd. (Foreign) Rights
06/12/00............................................ 201,800 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- THAILAND
(Cost $32,945,406)................................... 25,619,907
------------
GREECE -- (7.2%)
COMMON STOCKS -- (7.2%)
Alpha Credit Bank..................................... 33,603 1,413,884
*Alpha Finance S.A.................................... 12,820 706,870
Altec Information & Communication Systems S.A......... 80,805 1,273,456
*Aspis Pronia General Insurance S.A................... 18,180 206,187
Athens Medical Center S.A............................. 73,335 1,079,020
*Attica Enterprises S.A. Holdings..................... 111,701 1,362,169
Bank of Attica S.A.................................... 51,135 668,624
Bank of Macedonia and Thrace S.A...................... 60,750 1,132,990
Bank of Piraeus S.A................................... 60,280 1,148,285
Delta Informatics S.A................................. 46,800 686,663
*Ergo Bank S.A........................................ 11,490 234,374
Ethniki General Insurance Co.......................... 43,944 1,397,783
General Hellenic Bank................................. 33,012 856,947
Halkor S.A............................................ 119,280 689,537
Hellenic Bottling Co., S.A............................ 62,590 988,979
*Hellenic Sugar Industry S.A.......................... 11,760 198,444
Hellenic Technodomiki S.A............................. 26,590 640,467
*Heracles General Cement Co........................... 39,060 956,420
*Inform P. Lykos S.A.................................. 13,790 484,759
Intracom S.A.......................................... 54,906 2,266,400
Intrasoft S.A......................................... 53,739 1,304,014
Maillis (M.J.) S.A.................................... 73,880 1,022,976
Mytilineos Holdings S.A............................... 125,240 1,322,144
National Investment Bank for Industrial Development... 26,800 700,487
Silver & Baryte Ores Mining Co. S.A................... 15,260 475,103
*Tiletipos S.A........................................ 23,910 393,596
Titan Cement Co....................................... 29,690 1,215,322
Xiosbank S.A.......................................... 30,480 573,068
------------
TOTAL -- GREECE
(Cost $23,563,234)................................... 25,398,968
------------
MEXICO -- (7.0%)
COMMON STOCKS -- (7.0%)
*Altos Hornos de Mexico S.A........................... 97,000 28,108
Apasco S.A. de C.V.................................... 69,000 391,900
*Carso Global Telecom S.A. de C.V. Telecom Series
A1.................................................. 768,000 1,740,767
Cementos de Mexico S.A. de C.V. Series B.............. 241,722 1,024,598
Controladora Comercial Mexicana S.A. de C.V. Series
B................................................... 175,000 152,774
Desc S.A. de C.V. Series B............................ 295,000 176,860
Desc S.A. de C.V. Series C............................ 6,905 4,038
El Puerto de Liverpool S.A. Series C1................. 339,500 642,754
*Empresas ICA Sociedad Controladora S.A. de C.V....... 207,900 62,977
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 638,652
*Fomento Economico Mexicano Series B & D.............. 270,000 1,022,347
<CAPTION>
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*Gruma S.A. de C.V. Series B.......................... 90,406 $ 105,739
*Grupo Carso S.A. de C.V. Series A-1.................. 203,000 619,193
*Grupo Celanese S.A. Series B2........................ 140,000 0
*Grupo Financiero Banamex Accival S.A. de C.V. Series
L................................................... 13,187 37,449
*Grupo Financiero Banamex Accival S.A. de C.V. Series
O................................................... 377,000 1,231,219
*Grupo Financiero Bancomer S.A. de C.V. Series L...... 7,792 3,852
*Grupo Financiero Bancomer S.A. de C.V. Series O...... 1,246,380 639,739
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 30,000 0
*Grupo Financiero Inbursa Series O.................... 239,699 787,859
*Grupo Financiero Serfin S.A. de C.V. Series B........ 249,102 12,838
*Grupo Gigante S.A. de C.V. Series A.................. 113,799 173,557
Grupo Industrial Alfa S.A. Series A................... 150,290 410,204
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 392,000 552,488
Grupo Industrial Maseca S.A. de C.V. Series B......... 229,000 108,388
*Grupo Mexico S.A. de C.V. Series B................... 172,000 586,146
Grupo Modelo S.A. de C.V. Series C.................... 312,000 689,138
*Grupo Televisa S.A. (Certificate Representing Series
A, Series D & Series L)............................. 700,000 1,965,810
*Hylsamex S.A. de C.V. Series B....................... 60,000 110,565
Industrias Penoles S.A. de C.V........................ 103,000 228,045
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 698,131
*Organizacion Soriana S.A. de C.V. Series B........... 150,000 506,441
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 236,560
Telefonos de Mexico S.A. Series A..................... 100,000 244,543
Telefonos de Mexico S.A. Series L..................... 3,042,000 7,423,000
Tubos de Acero de Mexico S.A.......................... 17,000 225,295
Vitro S.A............................................. 121,600 142,735
*Walmart de Mexico S.A. de C.V. Series C.............. 417,000 807,901
*Walmart de Mexico S.A. de C.V. Series V.............. 137,180 282,511
------------
TOTAL -- MEXICO
(Cost $16,639,601)................................... 24,715,121
------------
CHILE -- (6.8%)
COMMON STOCKS -- (6.8%)
BBV Banco BHIF ADR.................................... 30,000 448,125
Banco de Santiago SA ADR.............................. 84,800 1,526,400
*Banco Edwards SA ADR................................. 55,248 780,378
*Banco Santander Chile Sponsored ADR.................. 102,500 1,524,687
Chilgener SA ADR...................................... 92,600 1,279,037
Cia Telecom de Chile ADR.............................. 207,000 4,081,781
Compania Cervecerias Uni ADR.......................... 66,400 1,477,400
Cristalerias de Chile SA ADR.......................... 14,500 248,312
Distribucion y Servicio D&S SA ADR.................... 100,500 1,852,969
Embotelladora Andina SA Andina ADR.................... 81,300 1,001,006
Embotelladora Andina SA Andina Series B ADR........... 57,700 605,850
*Empresa Nacional de Elec ADR......................... 273,818 3,234,475
*Empresas Telex - Chile SA ADR........................ 7,880 27,580
*Enersis SA ADR....................................... 139,503 3,003,674
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Laboratorio Chile SA Labchile ADR..................... 30,000 $ 584,063
Lan Chile SA ADR...................................... 86,400 685,800
*Madeco SA ADR........................................ 44,500 349,047
Masisa SA ADR......................................... 16,500 210,375
Santa Isabel SA ADR................................... 15,500 133,688
Sociedad Quimica y Minera Chile ADR................... 29,502 668,405
Vina Concha y Toro SA Conchatoro ADR.................. 14,600 534,725
------------
TOTAL -- CHILE
(Cost $24,799,606)................................... 24,257,777
------------
ARGENTINA -- (6.2%)
COMMON STOCKS -- (6.2%)
*Acindar Industria Argentina de Aceros SA Series B.... 449,000 388,412
*Alpargatas SA Industrial y Comercial................. 1,078 8,697
*Alto Palermo SA Series A............................. 5,000 34,002
*Astra Cia Argentina de Petroleos SA.................. 719,690 1,878,522
Banco de Galicia y Buenos Aires SA Series A........... 576,044 2,148,794
*Banco del Sud Sociedad Anonima Series B.............. 29,000 42,053
Banco Frances del Rio de la Plata SA.................. 258,209 1,665,565
Banco Rio de la Plata SA.............................. 191,500 1,260,158
*Buenos Aires Embotelladora SA Series B............... 100 492
*Capex SA Series A.................................... 41,102 228,132
*Celulosa Argentina SA Series B....................... 37,500 5,513
Central Costanera SA Series B......................... 59,100 111,116
*Central Puerto SA Series B........................... 16,000 24,482
*Garovaglio y Zorraquin SA............................ 28,000 22,682
Gas Natural SA, Buenos Aires.......................... 25,000 46,253
IRSA Inversiones y Representaciones SA................ 237,574 584,473
*Indupa SA Industrial y Comercial..................... 335,366 223,034
*Juan Minetti SA...................................... 209,983 272,997
*Ledesma SA........................................... 135,378 75,817
Metrogas SA Series B.................................. 403,115 346,703
*Molinos Rio de la Plata SA Series B.................. 311,287 532,338
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 72,800
PC Holdings SA Series B, Buenos Aires................. 1,964,901 3,104,761
*Renault Argentina SA................................. 176,559 113,006
Siderar SAIC Series A................................. 219,876 565,121
Siderca SA Series A................................... 714,907 1,329,820
*Sociedad Comercial del Plata......................... 187,740 32,857
Telecom Argentina Stet-France SA Series B............. 472,000 2,331,843
Telefonica de Argentina SA Series B................... 1,058,000 3,491,644
Transportadora de Gas del Sur SA Series B............. 636,000 985,869
------------
TOTAL -- ARGENTINA
(Cost $23,611,268)................................... 21,927,956
------------
PHILIPPINES -- (5.8%)
COMMON STOCKS -- (5.8%)
Aboitiz Equity Ventures, Inc.......................... 7,014,400 296,035
Ayala Corp............................................ 11,578,000 1,845,964
Ayala Land, Inc....................................... 18,687,576 2,146,989
*Bank of the Philippine Island........................ 1,472,341 2,813,498
*Belle Corp........................................... 4,916,000 133,706
Equitable PCI Bank, Inc............................... 875,000 1,087,338
<CAPTION>
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<S> <C> <C>
*Filinvest Development Corp........................... 4,664,500 $ 153,114
*Filinvest Land, Inc.................................. 9,822,000 331,622
*International Container Terminal Services, Inc....... 1,525,837 45,078
La Tondena Distillers, Inc............................ 693,200 487,596
*Metro Pacific Corp................................... 17,813,860 246,428
Metropolitan Bank & Trust Co.......................... 595,389 2,903,654
*Petron Corp.......................................... 19,893,000 643,665
Philippine Long Distance Telephone Co................. 174,940 3,137,843
*Philippine National Bank............................. 259,975 411,449
SM Prime Holdings, Inc................................ 22,614,000 2,757,156
*Security Bank Corp................................... 320,842 173,021
*Southeast Asia Cement Holdings, Inc.................. 30,190 269
*Union Bank of the Philippines........................ 812,300 495,188
Universal Robina Corp................................. 2,871,000 343,308
------------
TOTAL -- PHILIPPINES
(Cost $42,232,927)................................... 20,452,921
------------
INDONESIA -- (3.4%)
COMMON STOCKS -- (3.4%)
*Bank Lippo Tbk....................................... 557,000 8,105
PT Asahimas Flat Glass Co., Ltd....................... 75,000 7,203
*PT Astra Agro Lestari Tbk............................ 856,000 154,459
*PT Astra International Tbk........................... 1,949,000 567,229
*PT Bakrie & Brothers Tbk............................. 1,259,000 14,657
*PT Bank International Indonesia...................... 2,227,191 25,928
*PT Barito Pacific Timber............................. 910,000 29,133
*PT Bimantara Citra................................... 589,000 68,568
*PT Charoen Pokphand Tbk.............................. 95,000 29,307
*PT Ciputra Development Tbk........................... 262,000 11,438
*PT Citra Marga Nusaphala Persada..................... 960,000 50,291
*PT Dankos Laboratories............................... 105,000 9,168
*PT Duta Pertiwi...................................... 200,000 13,970
*PT Gajah Tunggal Tbk................................. 2,977,000 155,954
*PT Gt Kabel Indonesia Tbk............................ 212,000 3,085
*PT GT Petrochem Industries Tbk....................... 70,000 2,037
*PT Hanjaya Mandala Sampoerna Tbk..................... 871,500 1,116,006
*PT Hero Supermarket Tbk.............................. 78,000 11,804
*PT Indah Kiat Pulp & Paper Corp...................... 4,143,601 675,325
*PT Indocement Tunggal Prakarsa....................... 2,150,000 825,960
*PT Indofood Sukses Makmur............................ 1,564,280 783,050
*PT Indorama Synthetics Tbk........................... 365,580 34,047
PT Indosat Tbk........................................ 972,500 1,058,541
*PT Jakarta International Hotel and Development Tbk... 362,500 22,155
*PT Jaya Real Property................................ 305,000 19,528
*PT Kalbe Farma Tbk................................... 750,000 50,204
*PT Kawasan Industry Jababeka Tbk..................... 407,333 16,597
*PT Lippo Land Development Tbk........................ 174,000 6,077
*PT Makindo Tbk....................................... 886,000 314,586
*PT Matahari Putra Prima Tbk.......................... 2,543,000 199,828
*PT Mayorah Indah..................................... 288,720 14,285
*PT Medco Energi International Tbk.................... 385,000 190,483
*PT Modern Photo Tbk.................................. 154,000 25,099
*PT Mulia Industrindo................................. 850,680 32,185
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 765,821 109,212
*PT Pakuwon Jati Tbk.................................. 312,000 6,356
*PT Panasia Indosyntec Tbk............................ 103,600 5,879
PT Perusahaan Rokok Tjap Gudang Garam................. 1,593,500 2,077,671
*PT Polysindo Eka Perkasa Tbk......................... 481,000 13,999
*PT Ramayana Lestari Sentosa Tbk...................... 544,500 283,660
*PT Sari Husada Tbk................................... 13,440 7,041
*PT Semen Cibinong Tbk................................ 231,000 7,395
</TABLE>
214
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
PT Semen Gresik....................................... 557,002 $ 479,838
*PT Summarecon Agung.................................. 87,838 2,301
PT Telekomunikasi Indonesia (Persero) Tbk............. 6,223,820 2,046,831
PT Tempo Scan Pacific................................. 19,500 8,740
PT Tigaraksa Satria Tbk............................... 25,200 8,948
PT Timah Tbk.......................................... 327,000 91,362
*PT Unggul Indah Corp. Tbk............................ 128,700 28,092
*PT Unilever Indonesia Tbk............................ 14,000 143,830
*PT United Tractors................................... 15,000 9,910
------------
TOTAL -- INDONESIA
(Cost $33,040,560)................................... 11,877,357
------------
PORTUGAL -- (1.7%)
COMMON STOCKS -- (1.7%)
Banco Comercial Portugues SA.......................... 332,485 1,624,991
Banco Espirito Santo e Comercial de Lisboa............ 23,900 557,448
*Companhia de Seguros Mundial Confianca SA............ 16,920 909,959
Companhia de Seguros Tranquilidade SA................. 8,560 258,242
Investimentos Participacoes e Gestao SA Inapa......... 29,267 169,368
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 9,865 154,707
Modelo Continente SGPS SA............................. 55,800 740,012
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 16,640 101,388
*Sociedad Construcoes Soares da Costa SA.............. 17,514 48,890
Sociedade de Investimento e Gestao SGPS SA............ 10,120 170,813
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 13,587 81,904
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 24,059 1,046,451
------------
TOTAL -- PORTUGAL
(Cost $2,333,058).................................... 5,864,173
------------
POLAND -- (0.7%)
COMMON STOCKS -- (0.3%)
*Agora SA............................................. 8,851 229,321
*Bank Handlowy W. Warszawie SA........................ 13,983 212,287
*Bank Polska Kasa Opieki - Grupa Pekao SA............. 2,641 33,432
*Bank Przemyslowo-Handlowy SA......................... 359 17,134
*Bank Slaski SA....................................... 1,702 91,289
*Big Bank Gdanski SA.................................. 31,418 64,264
*Elektrim SA.......................................... 15,491 202,791
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Polish Telecom TPSA.................................. 31,432 $ 220,738
*Powszechny Bank Kredytowy SA......................... 4,192 85,745
*Prokom Software SA................................... 2,540 111,991
------------
TOTAL COMMON STOCKS
(Cost $1,266,928).................................... 1,268,992
------------
INVESTMENT IN CURRENCY -- (0.4%)
*Poland Zloty
(Cost $1,273,247)................................... 1,270,302
------------
TOTAL -- POLAND
(Cost $2,540,175).................................... 2,539,294
------------
HUNGARY -- (0.4%)
COMMON STOCKS -- (0.4%)
*Borsodchem RT........................................ 5,306 174,552
*Budapesti Elektromos Muvek RT........................ 185 10,419
*Delmagyarorszagi Aramszolgaltato Demasz RT........... 1,925 111,166
*Egis RT.............................................. 4,048 173,697
*Gedeon Richter, Ltd.................................. 4,014 233,884
*Hungarian Telecommunications Co...................... 32,447 223,344
*Magyar Olay-Es Gazipari RT........................... 12,616 219,695
*OTP Bank, Ltd........................................ 5,014 268,844
*Tiszai Vegyi Kombinat RT............................. 12,601 186,541
------------
TOTAL -- HUNGARY
(Cost $1,614,267).................................... 1,602,142
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $1,456)....................................... 1,410
------------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (4.0%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, Chase Manhattan Bank N.A. 6.00%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 11/15/04, valued at $14,280,044) to be
repurchased at $14,002,333.
(Cost $14,000,000).................................. $ 14,000 14,000,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $322,609,164)++................................ $354,173,738
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $323,332,402.
</TABLE>
See accompanying Notes to Financial Statements.
215
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
TURKEY -- (14.7%)
COMMON STOCKS -- (14.7%)
Adana Cimento Sanayi Ticaret A.S...................... 21,560,580 $ 103,157
*Akal Tekstil A.S..................................... 926,625 32,312
Aksa.................................................. 6,203,750 221,358
*Aksu Iplik Dokuma ve Boya Apre Fab A.S............... 2,132,236 21,787
Aktas Elektrik Ticaret A.S............................ 370,000 102,016
Alarko Sanayii ve Ticaret A.S......................... 841,499 87,348
*Altinyildiz Mensucat ve Konfeksiyan Fabrikalari
A.S................................................. 1,464,000 51,644
*Anadolu Anonim Turk Sigorta Sirketi.................. 12,540,000 96,607
*Anadolu Gida Sanayi A.S.............................. 3,900,000 82,229
*Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S.
Series C............................................ 1,600,000 163,485
Bagfas Bandirma Gubre Fabrik.......................... 2,300,000 111,909
Bandirma Vitaminli Yem Sanayii Ticaret A.S............ 3,460,000 138,889
Bati Cimento A.S...................................... 2,995,996 69,243
*Bekoteknik Sanayi A.S................................ 5,135,109 133,256
*Bolu Cimento Sanayi A.S.............................. 7,936,446 51,488
Borusan............................................... 2,695,000 68,843
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 9,020,000 72,415
Bursa Cimento Fabrikasi A.S........................... 2,200,000 83,851
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 7,200,000 145,969
*Carsi Buyuk Magazacilik.............................. 1,767,000 61,616
Cimentas A.S.......................................... 2,290,000 94,709
*Deva Holding A.S..................................... 10,869,332 33,495
*Doktas............................................... 2,200,000 65,118
*Eczacibasi Ilac...................................... 6,188,000 153,052
*Eczacibasi Yapi Gere................................. 750,000 24,632
*Ege Seramik Co., Inc................................. 1,582,680 18,995
*Egeplast............................................. 386,000 8,765
*Es Kisehir Bankasi Esbank............................ 9,343,710 26,141
*Finansbank........................................... 62,775,023 203,627
Goltas Cimento........................................ 1,330,000 26,424
*Good Year Lastikleri A.S............................. 5,956,750 188,392
Gubre Fabrikalari Ticaret A.S......................... 937,440 24,707
*Gunes Sigorta A.S.................................... 6,570,000 47,951
*Guney Biracilik...................................... 2,220,400 104,435
*Hektas Ticaret A.S................................... 6,053,487 35,836
*Ihlas Holding........................................ 7,871,114 252,128
*Isiklar Amba......................................... 895,000 17,056
*Izmir Demir Celik.................................... 9,942,500 55,633
Karsu Tekstil......................................... 1,136,000 15,661
Kartonsan............................................. 1,698,750 110,206
Kav Orman Sanayii A.S................................. 3,003,000 42,860
*Kent Gida Maddeleri Sanayii ve Ticaret A.S........... 4,352,000 82,936
*Kepez Elektrik Ticaret A.S........................... 91,000 82,651
*Kerevitas Gida Sanayi ve Ticaret A.S................. 2,532,000 29,567
*Konya Cimento........................................ 1,110,000 26,104
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 5,150,000 179,582
Mardin Cimento........................................ 3,450,000 53,717
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Marshall Boya ve Vernik Sanayii A.S................... 951,000 $ 101,799
*Medya Holdings A.S. Series C......................... 15,849,000 228,775
Merko Gida Sanayi ve Ticaret A.S. Series A............ 1,058,000 32,174
*Milliyet Gazetecilik A.S............................. 13,721,400 95,694
*Milpa Ticari ve Sinai Urunler Pazarlama.............. 3,366,000 61,416
*Mudurnu Tavukculuk A.S............................... 1,740,000 20,883
*Mutlu Aku............................................ 1,527,000 30,958
*Nergis Holding A.S................................... 892,000 5,353
*Nergis Holding A.S. Issue 99......................... 892,000 0
*Net Holding A.S...................................... 6,147,540 54,838
*Net Turizm........................................... 3,366,000 53,500
Otobus Karoseri Sanayi A.S............................ 780,000 78,434
Peg Profilo A.S....................................... 7,713,580 375,314
Pinar Su Sanayi ve Ticaret A.S........................ 4,047,750 65,649
*Raks Elektroniks A.S................................. 2,730,000 22,360
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 2,627,865 80,979
T. Tuborg Bira ve Malt Sanayi A.S..................... 3,131,250 41,136
Tat Konserve.......................................... 3,476,666 64,845
*Tekstil Bankasi A.S.................................. 10,588,206 55,811
*Teletas Telekomunikasyon Endustri Ticaret A.S........ 1,354,000 334,893
*Turk Demir Dokum..................................... 5,039,996 76,020
*Turk Dis Ticaret Bankasi A.S......................... 31,685,144 87,362
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 622,500 84,808
*USAS (Ucak Servisi A.S.)............................. 60,000 64,226
*Uzel Makina Sanayi A.S............................... 7,772,000 126,052
*Vakif Finansal Kiralama A.S.......................... 1,994,623 14,719
*Yasarbank A.S........................................ 6,205,102 19,625
Yunsa Yunlu Sanayi ve Ticaret A.S..................... 619,000 18,573
-----------
TOTAL -- TURKEY
(Cost $3,582,723).................................... 6,199,998
-----------
ISRAEL -- (11.0%)
COMMON STOCKS -- (11.0%)
Agis Industries (1983), Ltd........................... 27,000 220,754
American Israeli Paper Mills, Ltd..................... 800 50,373
Azorim Investment Development & Construction Co.,
Ltd................................................. 15,422 149,759
Baran................................................. 9,500 273,617
*Beit Shemesh Motor................................... 3,351 10,101
Delek Automotive Systems, Ltd......................... 2,588 11,866
Delta Galil Industries, Ltd........................... 3,000 62,847
*Discount Mortgage Bank, Ltd.......................... 1,320 104,290
*Elbit Medical Imaging................................ 4,500 42,998
*Elbit, Ltd........................................... 4,500 45,013
Elco Industries (1975)................................ 6,000 49,243
Electra Consumer...................................... 20,300 264,392
Electra Israel, Ltd................................... 3,000 229,624
*Electric Wire & Cable Co. of Israel, Ltd............. 12,800 51,116
Feuchtwanger Industries............................... 224 28,370
*Formula Systems...................................... 6,570 337,087
*Israel General Bank, Ltd............................. 3,222 126,510
Israel Land Development Co., Ltd...................... 26,000 267,107
</TABLE>
216
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Israel Petrochemical Enterprises, Ltd................. 32,500 $ 175,073
*Israel Salt Industries............................... 38,139 366,157
*J.O.E.L. Jerusalem Oil Exploration, Ltd.............. 6,178 28,474
*Knafaim-Arkia Holdings, Ltd.......................... 1,200 17,382
Maman Cargo Terminals & Handling, Ltd................. 33,600 93,315
Mehadrin, Ltd......................................... 3,887 123,678
*Middle East Tube Co.................................. 19,000 17,741
Miloumor.............................................. 12,658 112,130
*Mishkan Hapoalim Mortgage Bank, Ltd. Series B........ 1,440 285,806
*Mul-t-lock, Ltd...................................... 20,500 111,609
*Naphta Israel Petroleum Corp......................... 105,630 19,119
*Nice Systems, Ltd.................................... 5,785 346,949
*Ormat Industries..................................... 54,000 155,142
Rapac Electronics, Ltd................................ 6,000 54,731
Tambour............................................... 64,000 113,694
Tefahot Israel Mortgage Bank, Ltd..................... 330 200,758
Ytong Industries, Ltd................................. 52,500 88,740
-----------
TOTAL -- ISRAEL
(Cost $2,793,907).................................... 4,635,565
-----------
BRAZIL -- (11.0%)
PREFERRED STOCKS -- (8.9%)
*Acesita SA........................................... 226,265,315 146,256
*Acos Villares SA..................................... 120,000 1,709
*Alpargatas-Santista Textil SA........................ 300,000 21,347
Banco Mercantil do Brasil SA.......................... 130,000 17,090
Bombril SA............................................ 5,900,000 36,198
Brasiliero de Petroleo Ipiranga....................... 16,800,000 174,854
Caemi Mineracao e Metalurgia SA....................... 500,000 43,001
*Cambuci SA........................................... 4,000 151
Cimento Portland Itau................................. 1,670,000 201,258
Confab Industrial SA.................................. 27,000 14,938
Coteminas Cia Tecidos Norte de Minas.................. 733,426 49,011
Distribuidora de Produtos Petreleo Ipirangi SA........ 3,900,000 48,068
Duratex SA............................................ 3,000,000 74,773
*ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B............................................ 13,156,000 58,735
Energetica do Ceara Coelce............................ 22,000,000 56,039
*Forca Luz Cataguazes Leopoldina Series A............. 23,400,000 24,867
Francisco Stedile SA Series A......................... 20,200,000 12,172
Globex Utilidades SA.................................. 18,000 135,578
*Gradiente Eletronica SA.............................. 2,600 31,334
IKPC SA (Industrias Klabin de Papel e Celulose)....... 220,000 186,796
*Industria de Bebidas Antarctica Minas Gerais
Antarctic........................................... 171,000 21,545
*Industria de Bebidas Antarctica Polar SA............. 23,000 30,238
*Industrias Villares SA............................... 58,000 112
*Inepar Energia SA.................................... 1,016 0
*Inepar SA Industria e Construcoes.................... 9,900,001 19,306
*Inepar-Fem Equipamentos e Montagem SA................ 1,260 59
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Lojas Americanas SA................................... 10,690,369 $ 23,307
*Mahle Cofap Aneis SA................................. 6,000 13,722
*Manah SA............................................. 900,000 10,748
*Marcopolo SA......................................... 20,000 31,005
*Marisol SA Industria do Vestuario.................... 36,000 26,623
Metal Leve SA......................................... 2,500,000 38,674
Metalurgica Barbara................................... 25,300,000 24,946
Metalurgica Gerdau SA................................. 5,725,694 122,322
Mineracao da Trinidade Samitri........................ 6,058,800 195,818
Oxiteno SA Industria e Comercio....................... 12,160 55,487
*Paranapanema SA...................................... 6,200,000 11,276
Perdigao SA NPV....................................... 55,000,000 56,641
Pirelli Pneus SA...................................... 33,000 90,566
*Randon Participacoes SA.............................. 51,000,000 12,292
*Rasip Agro Pastoril SA............................... 51,000,000 1,956
Real Consorcio Participacoes SA....................... 19,000 34,659
Refinaria de Petroleo Ipiranga SA..................... 3,600,000 42,419
*Renner Herrmann SA................................... 28,000 10,583
Sadia Oeste SA Inclusttia e Comercio Soes............. 155,000 76,417
Sao Carlos Empreendimentos e Participacoes SA......... 10,690,369 21,667
Serrana SA............................................ 55,000 28,622
*Sharp SA Equipamentos Eletronicos.................... 30,200,000 1,323
Siderurgica Belgo-Mineira............................. 2,650,000 227,893
Siderurgica de Tubarao Sid Tubarao.................... 17,400,000 224,182
*Siderurgica Paulista Pfd............................. 107,000 17,584
*Tam Transportes Aereos Regionais SA.................. 1,150,000 17,639
Tele Celular Sul Participacoes SA..................... 35,100,000 117,287
Tele Leste Celular Participacoes SA................... 104,589,388 84,794
Tele Norte Celular Participacoes SA................... 81,400,000 74,911
*Telemig Celular Participacoes SA..................... 81,400,000 237,219
Telenordeste Celular Participacoes SA................. 112,800,000 298,449
Usinas Siderurgicas de Minas Gerais................... 535 2,242
*Varig SA Viacao Aerea Riograndense................... 16,000 24,103
Weg SA................................................ 165,000 84,962
-----------
TOTAL PREFERRED STOCKS
(Cost $2,895,240).................................... 3,747,773
-----------
COMMON STOCKS -- (2.1%)
*Acos Especiais Itabira-Acesita Aces.................. 42,900,000 22,560
*Avipal SA Avicultura e Agropecua..................... 15,900,000 19,162
Copene-Petroquimica do Nordeste SA Series A........... 620,000 203,784
Embraco SA............................................ 230,000 102,683
Eternit SA............................................ 120,000 22,350
*Mannesmann SA........................................ 215,000 14,132
Metalurgica Gerdau.................................... 323,038 5,663
*Rhodia Ster SA....................................... 640,780 38,611
Sao Paulo Alpargatas SA............................... 510,000 33,525
Tele Centro Oeste Celular Participacoes SA............ 121,208,993 409,669
-----------
TOTAL COMMON STOCKS
(Cost $595,256)...................................... 872,139
-----------
</TABLE>
217
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Manah SA Rights 06/17/00............................. 1,000,938 $ 104
*Serrana SA Preferred Rights 06/17/00................. 41,905 0
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 104
-----------
TOTAL -- BRAZIL
(Cost $3,490,496).................................... 4,620,016
-----------
GREECE -- (10.9%)
COMMON STOCKS -- (10.8%)
Aegek................................................. 13,700 128,413
Aktor S.A............................................. 17,901 181,833
Alcatel Cables Hellas S.A............................. 2,730 60,121
*Alfa-Beta Vassilopoulos S.A.......................... 5,250 103,838
*Alpha Leasing........................................ 2,190 37,468
Alte Technological Company............................ 12,000 168,800
Aluminum of Attica S.A................................ 49,200 393,443
*Aspis Pronia General Insurance S.A................... 11,610 131,674
Atti-Kat S.A.......................................... 5,940 62,953
Chipita S.A........................................... 19,050 190,358
Delta Dairy S.A....................................... 13,855 233,796
Edrassi C. Psallidas S.A.............................. 7,670 98,812
Elais Oleaginous Production S.A....................... 7,080 171,119
*Etba Leasing S.A..................................... 8,910 128,890
Fourlis S.A........................................... 2,180 43,568
Goody's S.A........................................... 8,710 211,714
Halkor S.A............................................ 9,200 53,184
Hellas Can Packaging Manufacturers S.A................ 4,340 139,183
Hellenic Biscuits Co. S.A............................. 9,540 69,068
Hellenic Cables S.A................................... 3,950 56,651
Klonatex S.A.......................................... 3,630 52,911
Lavipharm S.A......................................... 20,710 149,936
Light Metals Industry................................. 6,700 78,293
*M.Travlos Br. Com. & Constr. Co. S.A................. 1,990 12,435
*Michaniki S.A........................................ 3,990 38,497
*Petzetakis S.A....................................... 12,925 122,927
Sarantis S.A.......................................... 9,410 174,720
Selected Textile Industry Assoc. S.A.................. 21,870 139,671
*Shelman.............................................. 18,635 168,514
Silver & Baryte Ores Mining Co. S.A................... 5,208 162,145
Spyroy Agricultural House S.A......................... 14,788 130,673
Strintzis Shipping Lines S.A.......................... 19,820 164,225
TEB S.A. (Volos Technical Co.)........................ 9,780 119,130
Themeliodomi.......................................... 15,140 184,004
*Tiletipos S.A........................................ 10,800 177,785
-----------
TOTAL COMMON STOCKS
(Cost $3,672,166).................................... 4,540,752
-----------
RIGHTS/WARRANTS -- (0.1%)
*Aktor S.A. Rights 06/30/00
(Cost $0)........................................... 13,770 42,189
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Greek Drachmas
(Cost $3,036)....................................... 3,085
-----------
TOTAL -- GREECE
(Cost $3,675,202).................................... 4,586,026
-----------
</TABLE>
<TABLE>
MALAYSIA -- (9.6%)
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (9.6%)
AMMB Holdings Berhad.................................. 86,000 $ 355,316
Affin Holdings Berhad................................. 113,000 73,747
Amalgamated Industrial Steel Berhad................... 10,000 4,579
*Anson Perdana Berhad................................. 10,000 2,947
Antah Holding Berhad.................................. 23,000 9,442
*Aokam Perdana Berhad................................. 733 1,100
Arab Malaysian Development Berhad..................... 58,000 10,837
*Asas Dunia Berhad.................................... 16,000 7,579
*Asia Pacific Land Berhad............................. 70,000 13,447
Asiatic Development Berhad............................ 118,000 40,058
Austral Enterprises Berhad............................ 31,000 29,695
*Avenue Assets Berhad................................. 12,000 7,042
Ayer Hitam Planting Syndicate Berhad.................. 6,000 8,053
Bimb Holdings Berhad.................................. 134,600 78,635
Bolton Properties Berhad.............................. 18,000 10,942
CCM Bioscience........................................ 833 986
Cahya Mata Sarawak Berhad............................. 66,000 61,137
Cement Industries of Malaysia Berhad.................. 13,000 10,776
Chemical Co. of Malaysia Berhad....................... 51,000 89,250
Chin Teck Plantations Berhad.......................... 10,000 18,684
Cycle & Carriage Bintang Berhad....................... 15,000 27,632
DMIB Berhad........................................... 30,000 8,842
DNP Holdings Berhad................................... 34,000 11,184
*Damansara Realty Berhad.............................. 65,000 6,243
*Datuk Keramik Holdings Berhad........................ 24,000 10,232
Diperdana Corp. Berhad................................ 3,000 4,263
Edaran Otomobil Nasional Berhad....................... 18,000 71,053
Esso Malaysia Berhad.................................. 43,000 28,855
FCW Holdings Berhad................................... 16,000 6,737
*Faber Group Berhad................................... 32,000 4,632
Federal Flour Mills Berhad............................ 20,000 26,842
Fraser & Neave Holdings Berhad........................ 40,500 33,466
*Gadek (Malaysia) Berhad.............................. 11,000 7,613
Gamuda Berhad......................................... 120,000 164,211
*Golden Plus Holdings Berhad.......................... 16,000 12,884
*Gopeng Berhad........................................ 17,000 7,739
Guthrie Ropel Berhad.................................. 11,000 11,868
HLG Capital Berhad.................................... 12,000 8,874
Hap Seng Consolidated Berhad.......................... 67,000 49,368
Hock Hua Bank Berhad (Foreign)........................ 21,000 42,829
Hong Leong Industries Berhad.......................... 47,000 159,553
Hong Leong Properties Berhad.......................... 112,000 48,632
Hume Industries (Malaysia) Berhad..................... 52,000 69,790
IGB Corp. Berhad...................................... 90,500 38,820
IJM Corp. Berhad...................................... 56,000 54,821
*Idris Hydraulic (Malaysia) Berhad.................... 89,000 16,746
*Insas Berhad......................................... 56,000 13,116
Island & Peninsular Berhad............................ 57,000 49,500
*Johan Holdings Berhad................................ 30,000 7,421
KFC Holdings (Malaysia) Berhad........................ 29,000 45,026
*Kamunting Corp. Berhad............................... 40,000 10,316
Keck Seng (Malaysia) Berhad........................... 23,000 12,771
Kelang Container Terminal Berhad...................... 12,000 12,000
Kian Joo Can Factory Berhad........................... 29,000 45,789
*Kretam Holdings Berhad............................... 30,000 14,921
Kuala Sidim Berhad.................................... 31,000 46,092
Kulim Malaysia Berhad................................. 53,000 42,121
Ladang Perbadanan-Fima Berhad......................... 11,000 9,697
</TABLE>
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THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Landmarks Berhad...................................... 78,000 $ 23,811
*Larut Consolidated Berhad............................ 18,000 5,637
*Leader Universal Holdings Berhad..................... 69,000 26,329
Lingkaran Trans Kota Holdings Berhad.................. 130,500 105,774
Lion Corp. Berhad..................................... 15,600 11,248
*MAA Holdings Berhad.................................. 20,800 56,926
*MBF Holdings Berhad.................................. 106,000 5,718
*MBF Land Berhad...................................... 65,000 8,553
MUI Properties Berhad................................. 75,200 14,051
Malayan Cement Berhad................................. 65,750 24,224
Malayawata Steel Berhad............................... 21,000 9,671
Malaysia Building Society Berhad...................... 35,000 13,447
*Malaysia Industrial Development Finance Berhad....... 133,000 47,250
Malaysia Mining Corp. Berhad.......................... 181,000 95,263
Malaysian Airlines System............................. 167,000 156,453
*Malaysian Helicopter Services Berhad................. 110,000 38,789
Malaysian Mosaics Berhad.............................. 27,000 22,026
*Malaysian Plantations Berhad......................... 28,000 17,684
Malaysian Tobacco Co. Berhad.......................... 20,000 19,895
Malex Industries Berhad............................... 58,000 77,842
*Mancon Berhad........................................ 12,000 2,747
Maruichi Malaysia Steel Tube Berhad................... 8,000 12,737
Matsushita Electric Co. (Malaysia) Berhad............. 3,520 16,674
*Mulpha International Berhad.......................... 133,750 24,462
*Nam Fatt Berhad...................................... 9,000 5,116
Negara Properties (Malaysia) Berhad................... 5,000 10,461
Nylex (Malaysia) Berhad............................... 12,000 8,905
OSK Holdings.......................................... 37,333 29,473
*Olympia Industries Berhad............................ 104,000 11,768
Pan Pacific Asia Berhad............................... 12,000 4,484
*Panglobal Berhad..................................... 14,000 6,963
*Parit Perak Holdings Berhad.......................... 13,000 2,395
Peladang Kimia Berhad................................. 14,000 9,247
Pelangi Berhad........................................ 106,000 35,984
Pernas International Holdings Berhad.................. 71,000 23,729
Petaling Garden Berhad................................ 47,000 27,953
*Phileo Allied Berhad................................. 54,000 45,474
Pilecon Engineering Berhad............................ 42,000 11,495
Prime Utilities Berhad................................ 3,000 2,226
*Promet Berhad........................................ 52,000 3,968
*Rashid Hussain Berhad................................ 47,000 49,474
*Rekapacific Berhad................................... 55,000 6,658
SP Settia Berhad...................................... 7,000 15,013
Samanda Holdings Berhad............................... 23,000 76,263
*Selangor Properties Berhad........................... 89,000 60,895
Sime UEP Properties Berhad............................ 84,000 111,632
Southern Bank Berhad (Foreign)........................ 188,750 151,000
*Southern Steel Berhad................................ 45,000 21,789
*Sriwani Holdings Berhad.............................. 12,000 4,168
*Sungei Way Holdings Berhad........................... 63,000 34,153
Ta Enterprise Berhad.................................. 107,000 42,800
Talam Corp. Berhad.................................... 14,000 4,789
Tan & Tan Developments Berhad......................... 77,000 34,853
Tasek Cement Berhad................................... 37,000 23,855
*Tongkah Holdings Berhad.............................. 14,000 9,211
Tradewinds (Malaysia) Berhad.......................... 49,000 35,976
UMW Holdings Berhad................................... 54,800 113,926
United Malacca Rubber Estates Berhad.................. 9,000 13,026
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
United Malayan Land Berhad............................ 13,000 $ 12,179
United Plantations Berhad............................. 33,000 35,605
*Westmont Industries Berhad........................... 23,000 5,387
*Westmont Land (Asia) Berhad.......................... 20,000 3,711
*Wing Tiek Holdings Berhad............................ 8,000 1,874
*Worldwide Holdings Berhad............................ 16,000 10,821
-----------
TOTAL COMMON STOCKS
(Cost $4,140,202).................................... 4,032,661
-----------
RIGHTS/WARRANTS -- (0.0%)
*Affin Holdings Berhad Rights 06/05/00................ 56,500 11,449
*Fraser and Neave Holdings Berhad Warrants 02/20/01... 5,400 0
*IGB Corp. Berhad Warrants 12/29/04................... 500 76
*IJM Corporation Berhad Warrants 08/28/04............. 11,200 3,537
*Mulpha International Berhad Rights 06/27/00.......... 44,583 1,173
-----------
TOTAL RIGHTS/WARRANTS
(Cost $893).......................................... 16,235
-----------
TOTAL -- MALAYSIA
(Cost $4,141,095).................................... 4,048,896
-----------
MEXICO -- (9.0%)
COMMON STOCKS -- (9.0%)
*Abaco Grupo Financiero S.A. de C.V. Series B......... 108,000 0
*Altos Hornos de Mexico S.A........................... 33,000 9,562
*Biper S.A. de C.V. Series B.......................... 134,864 17,164
*Bufete Industrial S.A. (Certificates representing 3
shares Series L & 1 share Series B)................. 24,000 13,884
*Cintra S.A. de C.V................................... 137,000 70,607
*Consorcio Ara S.A.................................... 145,000 183,013
*Corporacion Geo S.A. de C.V. Series B................ 45,000 78,001
*Corporacion Interamericana de Entramiento S.A. de
C.V. Series B....................................... 84,000 340,151
Embotelladoras Argos S.A. de C.V...................... 98,000 116,064
*Embotelladores del Valle Anahuac S.A. de C.V.
Series B............................................ 39,000 20,469
*Empaques Ponderosa S.A. de C.V. Series B............. 206,000 90,893
*Empresas ICA Sociedad Controladora S.A. de C.V....... 282,450 85,559
Farmacias Benavides S.A. de C.V. Series B............. 54,000 51,061
*Gruma S.A. de C.V. Series B.......................... 138,000 161,405
*Grupo Casa Autrey S.A. de C.V........................ 104,000 88,603
Grupo Cementos de Chihuahua S.A. de C.V. Series B..... 152,000 93,686
Grupo Continental S.A................................. 130,000 131,264
Grupo Corvi S.A. de C.V. Series L..................... 100,000 27,347
Grupo Elecktra S.A. de C.V............................ 451,000 365,258
*Grupo Fernandez Editores S.A. de C.V. Series B....... 103,000 6,067
*Grupo Financiero BBV Probursa S.A. de C.V.
Series B............................................ 1,318,644 131,760
*Grupo Financiero del Norte S.A. Series C............. 207,000 280,862
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Grupo Financiero GBM Atlantico S.A. de C.V.
Series L............................................ 124,000 $ 0
*Grupo Financiero Serfin S.A. de C.V. Series B........ 723,000 37,262
Grupo Herdez S.A. de C.V. Series B.................... 107,000 36,014
Grupo Industrial Maseca S.A. de C.V. Series B......... 386,000 182,697
*Grupo Posadas S.A. de C.V. Series L.................. 199,000 100,468
*Grupo Tribasa S.A. de C.V............................ 64,000 6,395
*Hylsamex S.A. de C.V. Series B....................... 42,000 77,395
*Industrias S.A. de C.V. Series B..................... 33,000 85,732
*Jugos del Valle S.A. de C.V. Series B................ 20,000 8,940
Nadro S.A. de C.V. Series B........................... 217,967 164,836
*Pepsi-Gemex S.A. de C.V.............................. 115,000 91,927
*Sanluis Corporacion S.A. de C.V.(Certificates
representing 1 share Series B, 1 share Series C & 1
share Series D)..................................... 67,000 104,719
Sigma Alimentos S.A. de C.V........................... 61,000 125,432
*Sistema Argos S.A. de C.V. Series B.................. 50,000 14,725
*Transportacion Maritima Mexicana S.A. de C.V.
Series L............................................ 24,000 113,594
Tubos de Acero de Mexico S.A.......................... 10,000 132,527
Vitro S.A............................................. 129,000 151,431
-----------
TOTAL -- MEXICO
(Cost $5,108,113).................................... 3,796,774
-----------
THAILAND -- (7.9%)
COMMON STOCKS -- (7.7%)
Adkinson Securities Public Co., Ltd. (Foreign)........ 92,100 32,301
*Amarin Plaza Public Co., Ltd. (Foreign).............. 8,880 1,155
*Aromatics (Thailand) Public Co., Ltd. (Foreign)...... 284,000 38,393
*Bangkok Land Public Co., Ltd. (Foreign).............. 65,200 5,322
Banpu Public Co., Ltd. (Foreign)...................... 133,600 57,931
Berli Jucker Public Co., Ltd. (Foreign)............... 79,100 66,581
*Big C Supercenter Public Co., Ltd. (Foreign)......... 87,000 33,287
*Capetronic International (Thailand) Public Co., Ltd.
(Foreign)........................................... 110,933 5,376
Capital Nomura Securities Public Co., Ltd.
(Foreign)........................................... 46,000 25,520
*Central Paper Industry Public Co., Ltd. (Foreign).... 19,800 8,333
Central Plaza Hotel Public Co., Ltd. (Foreign)........ 39,500 14,609
*Ch Karnchang Public Co., Ltd. (Foreign).............. 62,800 23,627
Charoen Pokphand Feedmill Public Co., Ltd.
(Foreign)........................................... 59,350 87,802
Compass East Industry (Thailand) Public Co., Ltd.
(Foreign)........................................... 12,200 37,342
Eastern Water Resources Development & Management
Public Co., Ltd. (Foreign).......................... 31,100 20,625
*GSS Array Technology Public Co., Ltd. (Foreign)...... 3,200 12,815
*Golden Land Property Development Public Co., Ltd.
(Foreign)........................................... 68,800 9,652
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Grammy Entertainment Public Co., Ltd. (Foreign)....... 30,000 $ 76,521
Hana Microelectronics Public Co., Ltd. (Foreign)...... 54,000 413,212
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 46,500 16,605
International Cosmetics Public Co., Ltd. (Foreign).... 15,500 25,896
*Jalaprathan Cement Public Co., Ltd. (Foreign)........ 85,200 32,055
*Jasmine International Public Co., Ltd. (Foreign)..... 200,000 54,840
*K.R. Precision Public Co., Ltd. (Foreign)............ 21,866 12,270
*KCE Electronics Public Co., Ltd. (Foreign)........... 20,400 59,319
Kang Yong Electric Public Co., Ltd. (Foreign)......... 7,200 11,386
*LPN Development Public Co., Ltd. (Foreign)........... 15,100 1,001
Laguna Resorts & Hotels Public Co., Ltd. (Foreign).... 32,200 11,704
*Land and House Public Co., Ltd. (Foreign)............ 213,031 107,317
Lanna Lignite Public Co., Ltd. (Foreign).............. 11,500 6,013
*Loxley Public Co., Ltd. (Foreign).................... 12,500 14,109
*Media of Medias Public Co., Ltd. (Foreign)........... 9,100 952
Muramoto Electronic (Thailand) Public Co., Ltd.
(Foreign)........................................... 9,900 18,939
*Nakornthon Bank Public Co., Ltd. (Foreign)........... 54 4,545
*Nation Multimedia Group Public Co., Ltd. (Foreign)... 36,259 17,110
National Petrochemical Public Co., Ltd. (Foreign)..... 447,300 330,868
*New Imperial Hotel Public Co., Ltd. (Foreign)........ 30,000 15,974
*Pacific Assets Public Co., Ltd. (Foreign)............ 141,000 28,052
*Padaeng Industry Public Co., Ltd (Foreign)........... 73,800 17,130
Patum Rice Mill & Granary Public Co., Ltd.
(Foreign)........................................... 5,500 2,367
Pizza Public Co., Ltd. (Foreign)...................... 21,000 31,067
*Prasit Development Public Co., Ltd. (Foreign)........ 29,700 2,576
*Quality Houses Public Co., Ltd. (Foreign)............ 195,000 15,916
Regional Container Lines Public Co., Ltd. (Foreign)... 10,500 9,909
*Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 1,638
Saha Pathana Inter-Holding Public Co., Ltd.
(Foreign)........................................... 35,000 41,289
Saha-Union Public Co., Ltd. (Foreign)................. 159,500 44,752
*Sahaviriya Steel Industries Public Co., Ltd.
(Foreign)........................................... 362,100 38,791
*Samart Corp. Public Co., Ltd. (Foreign).............. 32,600 20,372
</TABLE>
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<TABLE>
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SHARES VALUE+
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*Securities One Public Co., Ltd. (Foreign)............ 383,146 $ 40,069
Serm Suk Public Co., Ltd. (Foreign)................... 1,000 3,520
*Shinawatra Satellite Public Co., Ltd. (Foreign)...... 415,625 267,683
Siam Food Products Public Co., Ltd. (Foreign)......... 9,000 12,396
*Siam Pulp & Paper Co., Ltd. (Foreign)................ 75,900 183,918
*Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign)........................................... 160,374 23,726
*Sri Trang Agro Industry Public Co., Ltd. (Foreign)... 20,331 7,130
*Srithai Superware Public Co., Ltd. (Foreign)......... 6,000 1,454
*Sun Tech Group Public Co., Ltd. (Foreign)............ 27,200 1,943
*Supalai Public Co., Ltd. (Foreign)................... 17,300 1,456
*TCJ Motor Public Co., Ltd. (Foreign)................. 7,300 503
*TPI Polene Public Co., Ltd. (Foreign)................ 258,476 60,655
*Tanayong Public Co., Ltd. (Foreign).................. 261,000 19,972
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 82,400 16,814
*Thai Pineapple Public Co., Ltd. (Foreign)............ 12,200 2,816
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 40,500 98,396
Thai Reinsurance Public Co., Ltd. (Foreign)........... 28,950 25,106
Thai Rung Union Carbide Public Co., Ltd. (Foreign).... 13,200 10,269
*Thai Stanley Electric (Thailand) Public Co., Ltd.
(Foreign)........................................... 16,000 13,672
*Thai Telephone & Telecommunication Public Co., Ltd.
(Foreign)........................................... 450,000 74,608
Thai Union Frozen Products Public Co., Ltd.
(Foreign)........................................... 36,852 78,488
Thai Vegetable Oil Public Co., Ltd. (Foreign)......... 8,800 18,406
*Tipco Asphalt Public Co., Ltd. (Foreign)............. 95,200 41,280
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 126,728 25,860
*United Communication Industry Public Co., Ltd.
(Foreign)........................................... 135,100 105,964
*Vanachai Group Public Co., Ltd. (Foreign)............ 22,100 2,424
*Vinythai Public Co., Ltd. (Foreign).................. 550,604 129,207
-----------
TOTAL COMMON STOCKS
(Cost $4,207,563).................................... 3,232,901
-----------
RIGHTS/WARRANTS -- (0.2%)
*Central Paper Industial Public Co., Ltd. Rights
(Foreign) Open Pay Date............................. 39,600 0
*Charoen Pokphand Foods Public Co., Ltd. Rights
(Foreign) Open Pay Date............................. 59,350 72,664
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Quality Houses Public Co., Ltd. (Foreign) Warrants
04/19/03............................................ 27,000 $ 698
*Thai Danu Bank Public Co., Ltd. (Foreign) Rights
06/12/00............................................ 82,400 0
-----------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 73,362
-----------
TOTAL -- THAILAND
(Cost $4,207,563).................................... 3,306,263
-----------
PHILIPPINES -- (7.6%)
COMMON STOCKS -- (7.6%)
*Alaska Milk Corp..................................... 1,404,000 71,764
*Alsons Cement Corp................................... 391,000 4,813
*Alsons Consolidated Resources, Inc................... 2,058,000 26,539
*Anglo Philippine Holdings Corp....................... 546,000 6,529
*Bacnotan Consolidated Industries, Inc................ 122,234 31,526
*Bankard, Inc......................................... 412,000 35,018
*Belle Corp........................................... 7,007,000 190,577
*C & P Homes, Inc..................................... 6,477,000 26,576
*Cebu Holdings, Inc................................... 1,925,000 28,886
*Centennial City, Inc................................. 8,160,000 114,795
Cosmos Bottling Corp.................................. 4,006,000 234,818
*DMCI Holdings, Inc................................... 4,372,000 45,616
*Digital Telecommunications (Philippines), Inc........ 5,473,000 102,659
*EEI Corporation...................................... 1,108,000 9,612
*East Asia Power Resources Corp....................... 1,185,250 27,790
*Fil-Estate Land, Inc................................. 2,710,000 44,478
*Global Equities, Inc................................. 886,462 8,314
*Guoco Holdings (Philippines), Inc.................... 2,920,000 38,340
*House of Investments, Inc............................ 732,000 17,249
*Ionics Circuits, Inc................................. 769,825 167,863
*Kepphil Shipyard, Inc................................ 610,000 10,727
*Kuok Philippine Properties, Inc...................... 2,830,500 19,910
La Tondena Distillers, Inc............................ 310,000 218,054
*Lepanto Consolidated Mining Co. Series B............. 1,540,000 11,735
MUI Resources (Philippines), Inc...................... 1,121,000 47,311
*Mabuhay Holdings Corp................................ 516,000 6,352
Macroasia Corp........................................ 2,237,500 146,893
*Manila Jockey Club, Inc.............................. 18,800 3,747
*Megaworld Properties & Holdings, Inc................. 9,289,000 191,660
*Mondragon International Philippines, Inc............. 626,880 8,231
*Music Corporation.................................... 635,000 75,932
*Negros Navigation Co., Inc........................... 311,000 1,604
*PDCP Development Bank................................ 77,000 7,222
*Philex Mining Corp. Series B......................... 150,000 703
*Philippine Bank of Communications.................... 14,726 49,202
*Philippine National Construction Corp................ 173,000 37,520
*Philippine Realty & Holdings Corp.................... 4,499,000 26,372
*Philippine Savings Bank.............................. 317,212 215,689
*Picop Resources, Inc................................. 1,125,000 5,539
*Pilipino Telephone Corp.............................. 1,692,000 35,704
*Pryce Properties Corp................................ 2,732,900 77,213
RFM Corp.............................................. 1,453,934 68,180
Republic Glass Holding Corp........................... 507,500 8,627
*Robinson's Land Corp. Series B....................... 3,402,000 175,484
SM Development Corp................................... 3,525,000 70,252
*Solid Group, Inc..................................... 3,526,000 122,356
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Solidbank Corp....................................... 3,040 $ 15,681
*Soriano (A.) Corp.................................... 3,430,211 36,996
*Southeast Asia Cement Holdings, Inc.................. 10,305,440 91,819
*Steniel Manufacturing Corp........................... 250,000 2,227
*Union Cement Corp.................................... 1,426,624 26,760
*United Paragon Mining Corp........................... 322,500 1,928
*Universal Rightfield Property Holdings, Inc.......... 1,062,000 3,112
*Uniwide Holdings, Inc................................ 3,110,000 29,168
*Urban Bank, Inc...................................... 5,658 9,552
*Vantage Equities Inc................................. 516,000 25,407
*Victorias Milling Co., Inc........................... 139,680 979
*Vitarich Corp........................................ 176,000 1,857
*William, Gothong & Aboitiz, Inc...................... 1,390,000 57,034
-----------
TOTAL COMMON STOCKS
(Cost $6,222,222).................................... 3,178,501
-----------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $10,474)...................................... 58,879 8,559
-----------
TOTAL -- PHILIPPINES
(Cost $6,232,696).................................... 3,187,060
-----------
SOUTH KOREA -- (7.4%)
COMMON STOCKS -- (7.4%)
*A-Nam Industrial Co., Ltd............................ 10,973 134,552
*Aluminium of Korea................................... 15,220 35,507
*Bank of Pusan........................................ 8,550 12,528
Bing Grae Co., Ltd.................................... 1,210 12,427
Bu Kwang Pharmaceutical Co., Ltd...................... 6,237 27,057
*Central Banking Corporation.......................... 6,780 9,004
*Cheil Communications, Inc............................ 707 83,876
Cheil Industrial, Inc................................. 6,500 36,658
Choong Wae Pharmaceutical............................. 1,686 11,762
Chosun Brewery Co., Ltd............................... 1,580 51,058
*Chungho Comnet Co., Ltd.............................. 4,800 8,499
*Comtec Systems Co., Ltd.............................. 2,000 11,332
*Dae Ho Construction Co., Ltd......................... 1,630 8,514
Daeduck Electronics Co., Ltd.......................... 21,150 162,908
Daeduck Industries Co., Ltd........................... 7,095 43,971
*Daegu Bank Co., Ltd.................................. 15,650 29,582
Daehan City Gas Co., Ltd.............................. 2,621 27,382
Daehan Flour Mills Co., Ltd........................... 360 12,813
*Daelim Industrial Co., Ltd........................... 6,100 26,031
*Daesung Industrial Co., Ltd.......................... 1,690 20,798
*Daewoo Electronics Co., Ltd.......................... 13,010 6,393
*Daewoo Telecom Co., Ltd.............................. 3,322 5,220
*Daewoong Pharmaceutical Co., Ltd..................... 1,711 14,542
*Daeyu Regent Securities Co., Ltd..................... 5,600 17,650
Daishin Securities Co., Ltd........................... 10,593 78,310
Dong Ah Tire Industrial Co., Ltd...................... 730 12,991
*Dong Bu Insurance Co., Ltd........................... 19,230 33,880
*Dong-A Pharmaceutical Co., Ltd....................... 1,540 22,019
*Dong-Ah Construction Industrial Co., Ltd............. 4,790 6,997
*Dong-Ah Securities Co., Ltd.......................... 4,840 15,383
Dongkuk Steel Mill Co., Ltd........................... 6,907 15,655
*Doosan Construction & Engineering Co., Ltd........... 8,410 17,051
*Global Enterprise Co., Ltd........................... 5,900 9,977
Hae In Co., Ltd....................................... 5,964 6,838
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Han Il Cement Manufacturing Co., Ltd.................. 1,010 $ 12,787
Han Kuk Carbon Co., Ltd............................... 7,490 19,297
*Han Wha Energy Co., Ltd.............................. 5,600 11,155
*Hanil Securities Co., Ltd............................ 4,290 13,182
*Hanjin Investment & Securities Co., Ltd.............. 2,940 9,943
Hanjin Shipping Co., Ltd.............................. 4,964 15,294
Hanjin Transportation Co., Ltd........................ 1,041 9,124
*Hankook Synthetics, Inc.............................. 7,000 5,578
Hankook Tire Manufacturing Co., Ltd................... 26,040 50,604
Hankuk Glass Industries, Inc.......................... 5,120 45,103
Hanmi Pharmaceutical Co., Ltd......................... 2,378 19,811
*Hansol Electronics Inc............................... 5,600 8,577
Hansol Paper Co., Ltd................................. 7,730 36,272
*Hansung Enterprise Co., Ltd.......................... 620 10,731
*Hanwha Securities Co., Ltd........................... 2,260 8,284
*Hotel Shilla, Ltd.................................... 11,548 51,120
Hung Chang Co., Ltd................................... 5,540 16,186
Hyundai Corp.......................................... 13,398 29,655
*Hyundai Department Store Co., Ltd.................... 3,065 18,181
*Hyundai Fire & Marine Insurance Co., Ltd............. 1,430 11,015
*Hyundai Merchant Marine Co., Ltd..................... 13,000 56,397
*Hyundai Mipo Dockyard Co., Ltd....................... 3,572 15,496
*Hyundai Pipe Co., Ltd................................ 11,310 27,536
*Hyundai Precision Industry Co., Ltd.................. 10,250 34,212
ISU Chemical Co., Ltd................................. 1,530 9,767
Il Shin Spinning...................................... 380 14,130
*Kohap Co., Ltd....................................... 6,320 8,953
Kolon Industries, Inc................................. 2,260 10,104
Kolon International Corp.............................. 4,590 11,378
Korea Chemical Co., Ltd............................... 720 40,606
Korea Circuit Co...................................... 7,800 39,432
Korea Electronics Co., Ltd............................ 1,375 15,339
Korea Fine Chemical Co., Ltd.......................... 1,388 20,891
Korea Green Cross Co., Ltd............................ 1,825 68,993
*Korea Iron & Steel Works Co., Ltd.................... 362 38,139
Korea Merchant Banking Co............................. 3,010 7,328
*Korea Steel Chemical Co., Ltd........................ 1,780 7,801
Korea Zinc Co., Ltd................................... 2,580 25,355
*Korean Air........................................... 11,270 70,943
*Korean Reinsurance Co., Ltd.......................... 3,410 22,975
*Kumho Electronics Co., Ltd........................... 670 6,555
Kumho Tire Co., Ltd................................... 4,530 8,422
*Kwangju Bank......................................... 7,740 9,525
*Kyong Nam Bank....................................... 7,900 10,282
*LG Cable & Machinery, Ltd............................ 4,180 56,251
LG Construction, Ltd.................................. 8,459 41,190
*LG Insurance Co., Ltd................................ 10,800 28,207
LG International Corp................................. 18,358 52,010
Lotte Confectionary Co., Ltd.......................... 680 84,285
Namhae Chemical Corporation........................... 18,720 51,876
Namyang Dairy Products Co., Ltd....................... 340 82,780
Nong Shim Co., Ltd.................................... 2,640 85,429
Oriental Chemical Industries Co., Ltd................. 1,790 13,471
*Oriental Fire & Marine Insurance Co., Ltd............ 1,370 7,338
*Orion Electric Co., Ltd.............................. 12,155 23,137
Pacific Chemical Co., Ltd............................. 1,360 24,683
Poong San Corp........................................ 3,070 13,726
*S1 Corporation....................................... 2,950 39,438
</TABLE>
222
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Sam Yang Corp......................................... 1,780 $ 15,365
Samsung Fine Chemicals................................ 4,960 59,722
*Samyang Genex Co., Ltd............................... 220 5,230
Seondo Electric Co., Ltd.............................. 4,400 9,817
Seoul City Gas Co., Ltd............................... 2,750 34,573
*Seoul Securities Co., Ltd............................ 3,920 22,212
*Shin Han Securities Co., Ltd......................... 3,806 14,456
Shin Young Securities Co., Ltd........................ 2,620 21,108
*Shinmoorim Paper Manufacturing Co., Ltd.............. 2,858 8,097
*Ssangyong Cement Industry Co., Ltd................... 13,530 17,908
Suheung Capsule Co., Ltd.............................. 1,900 17,074
Sungmi Telecom Electronics Co......................... 3,570 33,029
Sunkyong Industries, Ltd.............................. 1,534 9,711
Sunkyong, Ltd......................................... 5,344 63,399
*Tae Kwang Industrial Co., Ltd........................ 200 36,122
Tae Young Corp........................................ 804 17,867
Tai Han Electric Wire Co.............................. 2,553 20,410
*Tong Yang Merchant Bank.............................. 4,650 7,328
*Tong Yang Securities Co., Ltd........................ 5,673 16,625
*Tongyang Confectionery Co............................ 660 15,543
Young Poong Mining & Construction Corp................ 1,580 5,945
*Youngone Corporation................................. 11,400 14,635
*Yuhan Corp........................................... 1,132 29,866
-----------
TOTAL -- SOUTH KOREA
(Cost $4,339,622).................................... 3,111,486
-----------
ARGENTINA -- (3.6%)
COMMON STOCKS -- (3.6%)
*Acindar Industria Argentina de Aceros SA Series B.... 50,000 43,253
*Alpargatas SA Industrial y Comercial................. 1,007 8,124
*Atanor Cia Nacional para la Industria Quimica SA
Series D............................................ 37,747 20,951
*Banco del Sud Sociedad Anonima Series B.............. 29,000 42,053
Banco Suquia SA....................................... 76,789 92,921
CINBA SA (Cia de Bebidao y Alimentos)................. 15,000 7,801
*Capex SA Series A.................................... 22,486 124,806
*Celulosa Argentina SA Series B....................... 12,750 1,874
*Central Puerto SA Series B........................... 43,000 65,795
Cresud SA Comercial Industrial Financiera y
Agropecuaria........................................ 84,401 73,434
DYCASA SA (Dragados y Construcciones Argentina)
Series B............................................ 23,052 30,661
*Ferrum SA de Ceramica y Metalurgica Series B......... 25,200 18,901
*Fiplasto SA Comercial y Industrial Series B.......... 6,000 1,800
*Garovaglio y Zorraquin SA............................ 14,160 11,470
Importadora y Exportadora de la Patagonia Series B.... 11,500 104,657
*Indupa SA Industrial y Comercial..................... 196,000 130,349
Introductora de Buenos Aires SA Series A.............. 18,104 16,295
*Juan Minetti SA...................................... 34,135 44,379
*Ledesma SA........................................... 75,000 42,003
Massalin Particulares SA Series B..................... 41,000 278,820
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 22,000 62,704
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Polledo SA Industrial y Constructora y Financiera.... 88,891 $ 53,338
*Quimica Estrella SA Series B......................... 27,200 26,386
*Renault Argentina SA................................. 136,000 87,046
*Sociedad Comercial del Plata......................... 650,000 113,758
*Sol Petroleo SA...................................... 50,662 16,213
-----------
TOTAL COMMON STOCKS
(Cost $2,297,781).................................... 1,519,792
-----------
PREFERRED STOCKS -- (0.0%)
Quimica Estrella SA 10% Cumulative Convertible
Series B
(Cost $3,163)....................................... 3,260 3,032
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Argentine Peso
(Cost $1,395)....................................... 1,395
-----------
TOTAL -- ARGENTINA
(Cost $2,302,339).................................... 1,524,219
-----------
INDONESIA -- (2.7%)
COMMON STOCKS -- (2.5%)
*PT Apac Centretex Corporation Tbk.................... 122,000 5,326
*PT Argha Karya Prima Industry Tbk.................... 90,666 2,111
PT Asahimas Flat Glass Co., Ltd....................... 65,000 6,243
*PT Astra Graphia Tbk................................. 535,000 37,369
*PT Asuransi Lippo Life Insurance Tbk................. 1,121,250 32,632
*PT Bakrie Sumatra Plantations Tbk.................... 58,800 2,396
*PT Bank International Indonesia...................... 93,994 1,094
*PT Batu Buana........................................ 77,715 3,053
*PT Bdni Capital Corp. Tbk............................ 364,000 5,297
*PT Berlian Laju Tanker Tbk........................... 36,400 3,708
*PT Bhakti Investama Tbk.............................. 877,000 68,914
*PT Bimantara Citra................................... 416,000 48,428
*PT Branta Mulia Tbk.................................. 66,000 6,531
*PT Budi Acid Jaya Tbk................................ 330,000 16,327
*PT Charoen Pokphand Tbk.............................. 95,000 29,307
*PT Ciputra Development Tbk........................... 75,000 3,274
*PT Citra Marga Nusaphala Persada..................... 820,000 42,957
*PT Dankos Laboratories............................... 261,000 22,788
*PT Davomas Adabi..................................... 40,000 1,746
*PT Daya Guna Samudera Tbk............................ 198,000 14,983
*PT Dharmal Sakti Sejahtera Tbk....................... 258,666 3,764
*PT Dharmala Intiland................................. 277,400 4,037
*PT Duta Anggada Realty Tbk........................... 132,000 1,537
*PT Duta Pertiwi...................................... 132,000 9,220
*PT Eterindo Wahanatama Tbk........................... 343,500 18,995
*PT Ever Shine Textile................................ 75,000 7,858
*PT Gajah Tunggal Tbk................................. 236,000 12,363
*PT Great River International......................... 93,000 5,413
*PT GT Petrochem Industries Tbk....................... 861,000 25,058
*PT Hero Supermarket Tbk.............................. 33,000 4,994
PT Indal Aluminium Industry........................... 47,000 2,531
*PT Indorama Synthetics Tbk........................... 268,000 24,959
*PT Jakarta International Hotel and Development Tbk... 395,000 24,141
*PT Kalbe Farma Tbk................................... 885,000 59,240
*PT Karwell Indonesia................................. 138,000 8,836
*PT Kawasan Industry Jababeka Tbk..................... 47,000 1,915
*PT Keramika Indonesia Assosiasi Tbk.................. 100,000 1,892
*PT Komatsu Indonesia Tbk............................. 113,000 17,101
*PT Lautan Luas Tbk................................... 319,000 15,783
*PT Lippo Securities Tbk.............................. 659,600 11,518
</TABLE>
223
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*PT Matahari Putra Prima Tbk.......................... 66,000 $ 5,186
*PT Mayorah Indah..................................... 114,000 5,640
*PT Medco Energi International Tbk.................... 48,000 23,749
*PT Modern Photo Tbk.................................. 40,000 6,519
*PT Mulia Industrindo................................. 542,000 20,506
*PT Mutlipolar Corporation Tbk........................ 730,000 38,242
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 90,000 12,835
*PT Pakuwon Jati Tbk.................................. 63,000 1,284
*PT Panasia Indosyntec Tbk............................ 79,000 4,483
PT Plaza Indonesia Realty Tbk......................... 20,000 4,191
*PT Prasidha Aneka Niaga Tbk.......................... 84,000 2,811
*PT Pudjiadi Prestige, Ltd. Tbk....................... 45,500 1,059
*PT Putra Sejahtera Pioneerindo....................... 29,000 760
*PT Semen Cibinong Tbk................................ 471,000 15,079
*PT Sinar Mas Agro Resources and Technology
Corporation Tbk..................................... 74,400 31,180
*PT Sunson Textile Manufacturer Tbk................... 72,500 4,010
*PT Surabaya Agung Industri Pulp & Paper.............. 64,500 3,097
*PT Surya Dumai Industri Tbk.......................... 271,500 10,272
*PT Suryamas Dutamakmur............................... 125,000 2,001
PT Tempo Scan Pacific................................. 184,000 82,468
*PT Texmaco Jaya Tbk.................................. 93,000 32,480
PT Timah Tbk.......................................... 206,000 57,555
*PT Tunas Ridean Tbk.................................. 114,000 25,547
*PT Ultrajaya Milk Industry & Trading Co.............. 52,000 5,146
*PT Unggul Indah Corp. Tbk............................ 44,460 9,705
*PT United Tractors................................... 56,000 36,997
*PT Wicaksana Overseas International.................. 28,560 4,239
-----------
TOTAL COMMON STOCKS
(Cost $3,340,556).................................... 1,062,680
-----------
</TABLE>
<TABLE>
INVESTMENT IN CURRENCY -- (0.2%)
<CAPTION>
VALUE+
------
<S> <C> <C>
*Indonesia Rupiah
(Cost $58,437)...................................... $ 57,246
-----------
TOTAL -- INDONESIA
(Cost $3,398,993).................................... 1,119,926
-----------
</TABLE>
<TABLE>
TEMPORARY CASH INVESTMENTS -- (4.6%)
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
Repurchase Agreement, Chase Manhattan Bank N.A. 6.00%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 11/15/04, valued at $1,962,106) to be
repurchased at $1,920,320.
(Cost $1,920,000)................................... $1,920 1,920,000
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $45,192,749)++................................. $42,056,229
===========
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $45,192,749.
</TABLE>
See accompanying Notes to Financial Statements.
224
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
BONDS -- (52.2%)
American International Group, Inc.
6.340%, 08/16/01................................... $18,750 $ 18,562,500
American International Group, Inc. Medium Term Notes
5.375%, 03/26/01................................... 6,464 6,358,960
Ameritech Capital Funding Corp. Medium Term Notes
5.650%, 01/15/01................................... 10,000 9,900,000
Asian Development Bank Corporate Bonds
8.500%, 05/02/01................................... 15,600 15,756,000
Associates Corp. of North America Corporate Bonds
5.600%, 01/15/01................................... 10,000 9,887,500
5.850%, 01/15/01................................... 10,000 9,912,500
6.625%, 05/15/01................................... 6,000 5,947,500
Bank of America Medium Term Notes
6.050%, 07/19/01................................... 27,000 26,561,250
Citigroup, Inc. Corporate Bonds
9.500%, 03/01/02................................... 7,600 7,837,500
Elf Aquitane Corporate Bonds
8.000%, 10/15/01................................... 9,220 9,289,150
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 15,000 14,737,500
First USA Bank Medium Term Notes
6.125%, 06/25/01................................... 13,000 12,805,000
Ford Motor Credit Corp. Corporate Bonds
5.750%, 01/25/01................................... 2,950 2,920,500
6.600%, 03/15/01................................... 20,000 19,850,000
General Electric Capital Corp. Medium Term Notes
5.945%, 07/23/01................................... 24,000 23,640,000
IBM Corp. Corporate Bonds
5.950%, 06/04/01................................... 27,000 26,595,000
Interamerican Development Bank Corporate Bonds
5.125%, 02/22/01................................... 14,468 14,287,150
8.500%, 05/01/01................................... 4,700 4,758,750
6.750%, 03/06/02................................... 24,000 23,820,000
National Rural Utilities Cooperative Finance Corp.
Medium Term Notes
5.280%, 02/04/02................................... 13,000 12,577,500
Norwest Financial, Inc. Corporate Bonds
5.500%, 03/19/01................................... 26,000 25,610,000
Paccar Financial Corp. Medium Term Notes
5.870%, 12/15/00................................... 7,000 6,947,500
6.070%, 06/15/01................................... 2,000 1,972,500
5.970%, 07/12/01................................... 17,000 16,723,750
Shell Canada, Ltd. Medium Term Notes
8.875%, 01/14/01................................... 5,400 5,454,000
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
Toyota Motor Credit Corp. Corporate Bonds
5.500%, 09/17/01................................... $24,000 $ 23,460,000
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 28,000 27,580,000
Wal-Mart Stores, Inc. Corporate Bonds
6.150%, 08/10/01................................... 26,000 25,740,000
------------
TOTAL BONDS
(Cost $413,738,419).................................. 409,492,010
------------
</TABLE>
<TABLE>
AGENCY OBLIGATIONS -- (22.8%)
Federal Farm Credit Bank
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
5.125%, 04/02/01................................... 28,000 27,569,528
Federal Home Loan Bank
5.625%, 03/19/01................................... 11,100 10,988,722
5.125%, 04/17/01................................... 23,000 22,623,513
6.000%, 11/15/01................................... 22,000 21,633,964
6.750%, 02/01/02................................... 19,400 19,254,500
Federal Home Loan Mortgage Corporation
5.750%, 06/15/01................................... 12,000 11,834,304
Federal National Mortgage Association
5.310%, 05/18/01................................... 27,000 26,547,966
5.440%, 05/21/01................................... 28,000 27,559,700
6.625%, 01/15/02................................... 11,500 11,395,925
------------
TOTAL AGENCY OBLIGATIONS
(Cost $181,432,212).................................. 179,408,122
------------
</TABLE>
<TABLE>
COMMERCIAL PAPER -- (13.1%)
Aegon NV C.P.
<CAPTION>
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
6.170%, 07/07/00................................... 3,000 2,980,440
Barton Capital Corp. C.P.
6.050%, 06/05/00................................... 9,000 8,993,470
6.100%, 06/08/00................................... 1,397 1,395,226
6.590%, 07/10/00................................... 4,000 3,971,746
British Telecommunications, Inc. C.P.
6.290%, 10/12/00................................... 6,000 5,850,818
6.830%, 02/12/01................................... 18,000 17,235,000
Commerzbank U.S. Finance, Inc. C.P.
6.270%, 01/05/01................................... 12,000 11,505,867
DuPont (E.I.) de Nemours & Co., Inc. C.P.
6.770%, 01/26/01................................... 8,000 7,638,844
France Telecom C.P.
6.330%, 07/31/00................................... 5,000 4,945,333
Govco, Inc. C.P.
6.620%, 08/02/00................................... 3,000 2,965,331
6.580%, 08/11/00................................... 7,000 6,907,364
St. Michael Finance, Ltd. C.P.
6.600%, 07/28/00................................... 7,000 6,927,293
Toronto Dominion Holdings, Inc. C.P.
6.600%, 01/29/01................................... 7,000 6,678,140
UBS Finance, Inc. C.P.
6.270%, 12/19/00................................... 13,600 13,086,690
</TABLE>
225
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------ ------
(000)
<S> <C> <C>
Windmill Funding Corp. C.P.
6.380%, 07/07/00...................................... $ 2,000 $ 1,986,820
------------
TOTAL COMMERCIAL PAPER
(Cost $103,063,003).................................. 103,068,382
------------
CERTIFICATES OF DEPOSIT -- (8.3%)
Bayerische Landesbank
6.060%, 06/18/01................................... 29,000 28,601,250
Canadian Imperial Bank Corp.
7.090%, 05/04/01................................... 23,700 23,628,900
Commerzbank AG
7.360%, 05/25/01................................... 13,000 12,996,100
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $65,700,000)................................... 65,226,250
------------
VARIABLE RATE OBLIGATIONS -- (3.3%)
Chase Manhattan Corp.
***6.430%, 06/12/00................................ 6,000 6,020,400
***6.360%, 08/24/00................................ 20,000 20,040,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $26,020,488)................................... 26,060,400
------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $2,626,399) to be
repurchased at $2,587,428.
(Cost $2,587,000) 2,587 2,587,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $792,541,122)++................................ $785,842,164
============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
*** Rates shown are the rates as of May 31, 2000, and maturities shown are the
next interest readjustment date.
++ The cost for federal income tax purposes is $792,541,122.
</TABLE>
See accompanying Notes to Financial Statements.
226
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
UNITED STATES -- (41.1%)
BONDS -- (28.5%)
Abbey National Treasury Services P.L.C.
5.750%, 03/06/01................................... 9,000 $ 8,876,790
African Development Bank Medium Term Notes
8.625%, 05/01/01................................... 800 807,000
American International Group Medium Term Notes
6.375%, 10/12/01................................... 15,000 14,823,000
Bank Nederlandse Gemeenten NV
6.125%, 03/27/01................................... 7,000 6,913,340
Bank of America Medium Term Notes
6.050%, 07/19/01................................... 12,000 11,805,000
Belgium (Kingdom of)
5.375%, 02/28/01................................... 5,000 4,933,850
Caisse d'Amortissement et de Dette Sociale
6.500%, 03/11/02................................... 9,400 9,249,600
Export-Import Bank of Japan
8.375%, 02/26/01................................... 10,000 10,070,000
FCC National Bank Medium Term Notes
5.380%, 04/26/01................................... 10,000 9,825,000
General Electric Capital Corp.
3.000%, 02/08/01................................... 11,400 10,437,066
Japanese Development Bank Medium Term Notes
8.375%, 02/15/01................................... 4,000 4,029,600
KFW International Finance, Inc. Medium Term Notes
5.000%, 01/22/02................................... 7,390 7,092,922
Nederlandse Waterschapsbank NV Medium Term Notes
5.500%, 02/20/01................................... 12,700 12,537,059
Oesterreichische Kontrollbank AG
8.500%, 03/06/01................................... 8,000 8,075,200
Rabobank Nederland
6.000%, 03/12/01................................... 4,500 4,450,095
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01................................... 13,000 12,805,000
Wal-Mart Stores, Inc. Corporate Bonds
6.150%, 08/10/01................................... 9,000 8,910,000
------------
TOTAL BONDS
(Cost $149,095,081).................................. 145,640,522
------------
CERTIFICATES OF DEPOSIT -- (5.8%)
Bayerische Landesbank
6.060%, 06/18/01................................... 12,000 11,835,000
Canadian Imperial Bank Corp.
7.090%, 05/04/01................................... 14,000 13,958,000
Commerzbank AG
7.360%, 05/25/01................................... 4,000 3,998,800
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $30,000,000)................................... 29,791,800
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (5.8%)
BASF Corp. C.P.
6.550%, 08/02/00................................... 3,000 $ 2,965,693
Ciesco L.P. C.P.
6.530%, 07/06/00................................... 4,000 3,974,644
Enterprise Funding Corp. C.P.
6.060%, 06/07/00................................... 6,000 5,993,440
Govco, Inc. C.P.
6.580%, 08/11/00................................... 12,000 11,841,196
St. Michael Finance, Ltd. C.P.
5.000%, 08/14/00................................... 5,000 4,931,755
------------
TOTAL COMMERCIAL PAPER
(Cost $29,711,658)................................... 29,706,728
------------
AGENCY OBLIGATIONS -- (1.0%)
Federal National Mortgage Association
5.440%, 05/21/01
(Cost $4,995,932)................................ 5,000 4,921,375
------------
TOTAL -- UNITED STATES
(Cost $213,802,671).................................. 210,060,425
------------
GERMANY -- (18.4%)
BONDS -- (18.4%)
Allgemeine Hypotheken Bank AG
4.250%, 06/25/01................................... 8,000 7,359,128
BFG Hypothekenbank AG
2.750%, 11/20/01................................... 14,000 12,557,907
BP America, Inc.
8.125%, 02/04/02................................... 11,661 5,747,194
Depfa Pfandbriefbank
3.875%, 01/03/02................................... 25,000 11,611,325
Deutsche Genossen Hypobank International SA
3.500%, 10/26/01................................... 11,700 10,609,730
Germany (Republic of)
8.000%, 01/21/02................................... 14,000 13,571,800
Hypothekenbank AG, Essen
4.250%, 01/28/02................................... 13,000 11,872,983
Westfalische Hypotheken Bank
3.250%, 08/15/01................................... 11,750 10,665,968
World Bank (International Bank for Reconstruction and
Development)
4.625%, 12/18/01................................... 22,800 10,703,370
------------
TOTAL -- GERMANY
(Cost $101,920,068).................................. 94,699,405
------------
FRANCE -- (11.3%)
BONDS -- (11.3%)
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 6,022 5,611,488
Caisse Nationale d'Autoroutes
5.500%, 02/14/02................................... 76,000 10,768,645
Charbonnages de France
9.200%, 05/06/01................................... 5,300 5,094,642
Credit Locale de France SA Eurobond
6.000%, 09/24/01................................... 7,700 7,204,557
</TABLE>
227
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
France (Government of) BTAN
4.750%, 03/12/02................................... 15,000 $ 13,847,053
Societe Nationale de Chemins de Fer Francais
9.800%, 02/19/02................................... 6,360 6,317,650
7.750%, 03/01/02................................... 61,400 9,013,050
------------
TOTAL -- FRANCE
(Cost $62,357,597)................................... 57,857,085
------------
CANADA -- (7.6%)
BONDS -- (7.6%)
Alberta (Province of)
10.250%, 08/22/01.................................. 20,000 13,958,830
Canada (Government of)
9.750%, 06/01/01................................... 2,650 1,828,135
7.000%, 09/01/01................................... 17,000 11,445,025
Canada Mortgage and Housing Corp.
7.250%, 09/01/01................................... 17,650 11,886,165
------------
TOTAL BONDS
(Cost $40,107,712)................................... 39,118,155
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $851)......................................... 826
------------
TOTAL -- CANADA
(Cost $40,108,563)................................... 39,118,981
------------
AUSTRALIA -- (4.7%)
BONDS -- (4.7%)
New South Wales Treasury Corp.
8.000%, 12/01/01................................... 21,000 12,254,772
Queensland Treasury Corp.
8.000%, 08/14/01................................... 20,500 11,922,410
------------
TOTAL BONDS
(Cost $28,042,163)................................... 24,177,182
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $2,182)....................................... 2,051
------------
TOTAL -- AUSTRALIA
(Cost $28,044,345)................................... 24,179,233
------------
NETHERLANDS -- (3.9%)
BONDS -- (3.9%)
ABN-AMRO Bank NV
6.500%, 05/22/01................................... 5,224 5,171,760
Netherlands (Government of)
8.750%, 09/15/01................................... 15,000 14,528,694
------------
TOTAL -- NETHERLANDS
(Cost $21,110,426)................................... 19,700,454
------------
SWEDEN -- (3.7%)
BONDS -- (3.7%)
Nordic Investment Bank, Helsinki
7.500%, 02/28/01................................... 39,000 4,412,302
Sweden (Kingdom of)
5.500%, 04/12/02................................... 130,000 14,550,458
------------
TOTAL BONDS
(Cost $19,741,085)................................... 18,962,760
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $567)......................................... $ 551
------------
TOTAL -- SWEDEN
(Cost $19,741,652)................................... 18,963,311
------------
DENMARK -- (2.7%)
BONDS -- (2.7%)
Denmark (Kingdom of)
8.000%, 11/15/01
(Cost $15,754,676)............................... 107,000 13,685,164
------------
UNITED KINGDOM -- (2.7%)
BONDS -- (2.7%)
United Kingdom of Great Britain and Northern
Ireland/United Kingdom
10.000%, 02/26/01
(Cost $14,554,301)............................... 8,850 13,579,962
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $1,684)....................................... 1,578
------------
TOTAL -- UNITED KINGDOM
(Cost $14,555,985)................................... 13,581,540
------------
JAPAN -- (1.9%)
BONDS -- (1.9%)
Japan Finance Corp.
8.700%, 07/30/01
(Cost $9,726,996)................................ 9,500 9,639,650
------------
EMU -- (1.0%)
BONDS -- (1.0%)
European Economic Community
7.250%, 08/17/01
(Cost $5,776,953)................................ 5,210 4,945,800
------------
</TABLE>
<TABLE>
TOTAL -- EMU
(Cost $5,776,953).................................... 4,945,800
<CAPTION>
AMOUNT@ VALUE+
------- ------
(000)
<S> <C> <C>
------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
7.75%, 02/15/01, valued at $5,109,801) to be
repurchased at $5,033,832.
(Cost $5,033,000)................................... 5,033 5,033,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $537,932,932)++.... $511,464,048
============
</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 $537,932,932.
</TABLE>
See accompanying Notes to Financial Statements.
228
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP 4-10
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
----------- -------------- ------------- ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................... $3,202,688 $ 99,810 $ 1,809,020 $ 690,077
Collateral for Securities Loaned................... 10,472 -- 18,002 6,137
Receivables
Dividends and Interest........................... 4,169 1,692 5,597 1,457
Investment Securities Sold....................... 23 -- 1,195 3,175
Fund Shares Sold................................. 4,790 121 30 --
Prepaid Expenses and Other Assets.................. 66 8 4 --
---------- ---------- ------------ -----------
Total Assets................................... 3,222,208 101,631 1,833,848 700,846
---------- ---------- ------------ -----------
LIABILITIES:
Payable for Collateral on Securities Loaned........ 10,472 -- 18,002 6,137
Payable for Investment Securities Purchased........ 1,797 -- 116 598
Payable for Fund Shares Redeemed................... -- -- 910 --
Unrealized Loss on Forward Currency Contracts...... -- 677 -- --
Unrealized Loss on Swap Contract................... -- 16 -- --
Payable for Futures Margin Variation............... -- 295 -- --
Loan Payable....................................... 910 -- -- --
Accrued Expenses and Other Liabilities............. 224 30 331 82
---------- ---------- ------------ -----------
Total Liabilities.............................. 13,403 1,018 19,359 6,817
---------- ---------- ------------ -----------
NET ASSETS......................................... $3,208,805 $ 100,613 $ 1,814,489 $ 694,029
========== ========== ============ ===========
SHARES OUTSTANDING $.01 PAR VALUE.................. N/A 8,744,771 123,720,123 77,218,627
========== ========== ============ ===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE............................................ N/A $ 11.51 $ 14.67 $ 8.99
========== ========== ============ ===========
Investments at Cost................................ $2,217,384 $ 104,266 $ 1,791,647 $ 737,725
========== ========== ============ ===========
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S.
THE U.S. 6-10 9-10
6-10 SMALL SMALL THE DFA
VALUE COMPANY COMPANY INTERNATIONAL
SERIES SERIES SERIES VALUE SERIES
------------- ------------ ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.............................. $ 2,747,420 $ 653,254 $ 1,425,265 $ 1,687,223
Collateral for Securities Loaned.................. 52,165 29,558 40,311 362,373
Receivables
Dividends, Interest and Tax Reclaims............ 2,402 508 758 8,674
Investment Securities Sold...................... 12,848 8,315 5,258 203
Fund Shares Sold................................ -- 1,355 107 --
Prepaid Expenses and Other Assets................. 1 3 20 15
------------ ----------- ------------ ------------
Total Assets.................................. 2,814,836 692,993 1,471,719 2,058,488
------------ ----------- ------------ ------------
LIABILITIES:
Payable for Collateral on Securities Loaned....... 52,165 29,558 40,311 362,373
Payable for Investment Securities Purchased....... 7,829 630 1,037 53,802
Payable for Fund Shares Redeemed.................. 1,516 359 -- 2,863
Loan Payable...................................... -- 3,182 -- --
Accrued Expenses and Other Liabilities............ 708 84 263 460
------------ ----------- ------------ ------------
Total Liabilities............................. 62,218 33,813 41,611 419,498
------------ ----------- ------------ ------------
NET ASSETS........................................ $ 2,752,618 $ 659,180 $ 1,430,108 $ 1,638,990
============ =========== ============ ============
SHARES OUTSTANDING $.01 PAR VALUE................. 167,051,019 55,441,614 168,793,807 134,076,977
============ =========== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................... $ 16.48 $ 11.89 $ 8.47 $ 12.22
============ =========== ============ ============
Investments at Cost............................... $ 2,859,470 $ 717,718 $ 1,448,393 $ 1,554,562
============ =========== ============ ============
</TABLE>
See accompanying Notes to Financial Statements.
229
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE THE THE UNITED THE
JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
---------- ----------- ----------- -----------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value...................................... $196,932 $144,419 $114,205 $250,422
Collateral for Securities Loaned.......................... 29,682 20,673 75 31,816
Receivables
Dividends, Interest and Tax Reclaims.................... 1,463 462 527 1,612
Investment Securities Sold.............................. -- 171 58 141
Prepaid Expenses and Other Assets......................... 18 51 16 17
-------- -------- -------- --------
Total Assets.......................................... 228,095 165,776 114,881 284,008
-------- -------- -------- --------
LIABILITIES:
Payable for Collateral on Securities Loaned............... 29,682 20,673 75 31,816
Payable for Investment Securities Purchased............... -- -- 1,979 254
Payable for Fund Shares Redeemed.......................... 58 112 21 70
Accrued Expenses and Other Liabilities.................... 60 -- 30 63
-------- -------- -------- --------
Total Liabilities..................................... 29,800 20,785 2,105 32,203
-------- -------- -------- --------
NET ASSETS................................................ $198,295 $144,991 $112,776 $251,805
======== ======== ======== ========
SHARES OUTSTANDING $.01 PAR VALUE......................... N/A N/A N/A N/A
======== ======== ======== ========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................... N/A N/A N/A N/A
======== ======== ======== ========
Investments at Cost....................................... $380,469 $208,169 $106,604 $207,887
======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
THE THE EMERGING THE DFA THE DFA
EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME FIXED INCOME
SERIES SERIES SERIES SERIES
---------- -------------- ------------- ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................ $354,174 $42,056 $ 785,842 $ 511,464
Cash............................................ 799 -- -- --
Receivables
Dividends, Interest and Tax Reclaims.......... 816 162 9,794 10,664
Investment Securities Sold.................... 190 8 -- --
Fund Shares Sold.............................. 718 41 271 778
Prepaid Expenses and Other Assets............... -- 15 -- 17
-------- ------- ----------- -----------
Total Assets................................ 356,697 42,282 795,907 522,923
-------- ------- ----------- -----------
LIABILITIES:
Payable for Investment Securities Purchased..... 6,675 573 -- 41
Payable for Fund Shares Redeemed................ 131 -- -- 79
Unrealized Loss on Forward Currency Contracts... -- -- -- 4,419
Accrued Expenses and Other Liabilities.......... 203 61 126 --
-------- ------- ----------- -----------
Total Liabilities........................... 7,009 634 126 4,539
-------- ------- ----------- -----------
NET ASSETS...................................... $349,688 $41,648 $ 795,781 $ 518,384
======== ======= =========== ===========
SHARES OUTSTANDING $.01 PAR VALUE............... N/A N/A 80,120,136 52,056,185
======== ======= =========== ===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE..................................... N/A N/A $ 9.93 $ 9.96
======== ======= =========== ===========
Investments at Cost............................. $322,609 $45,193 $ 792,541 $ 537,933
======== ======= =========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
230
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP 4-10 6-10
COMPANY COMPANY VALUE VALUE VALUE
SERIES SERIES SERIES SERIES SERIES
-------- ------------ --------- -------- ----------
(AMOUNTS IN THOUSANDS)
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends.................................... $ 18,585 -- $ 19,086 $ 4,936 $ 13,543
Interest..................................... 184 $ 2,619 377 428 1,122
Income from Securities Lending............... 28 -- 145 51 719
-------- ------- -------- -------- ---------
Total Investment Income.................. 18,797 2,619 19,608 5,415 15,384
-------- ------- -------- -------- ---------
EXPENSES
Investment Advisory Services................. 387 25 859 274 2,866
Accounting & Transfer Agent Fees............. 232 52 324 44 540
Custodian's Fees............................. 98 9 95 29 157
Legal Fees................................... 17 -- 15 2 18
Audit Fees................................... 15 -- 14 2 17
Shareholders' Reports........................ 28 1 20 4 26
Trustees' Fees and Expenses.................. 6 -- -- 1 8
Other........................................ 94 5 37 4 20
-------- ------- -------- -------- ---------
Total Expenses........................... 877 92 1,364 360 3,652
-------- ------- -------- -------- ---------
NET INVESTMENT INCOME........................ 17,920 2,527 18,244 5,055 11,732
-------- ------- -------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold............................ (14,186) (132) 54,233 34,446 299,686
Net Realized Gain on Foreign Currency
Transactions............................... -- 4,471 -- -- --
Net Realized Gain on Futures................. -- 1,496 -- -- --
Net Realized Loss on Swap Contracts.......... -- (537) -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................... 73,822 (5,187) (51,788) (18,038) (135,456)
Translation of Foreign Currency
Denominated Amounts.................... -- 944 -- -- --
Futures.................................. -- (1,803) -- -- --
Swap Contracts........................... -- 482 -- -- --
-------- ------- -------- -------- ---------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY........................... 59,636 (266) 2,445 16,408 164,230
-------- ------- -------- -------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.................................... $ 77,556 $ 2,261 $ 20,689 $ 21,463 $ 175,962
======== ======= ======== ======== =========
</TABLE>
See accompanying Notes to Financial Statements.
231
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA THE JAPANESE THE PACIFIC
6-10 SMALL 9-10 SMALL INTERNATIONAL SMALL RIM SMALL
COMPANY COMPANY VALUE COMPANY COMPANY
SERIES SERIES SERIES SERIES SERIES
---------- ---------- ------------- ------------ -----------
(AMOUNTS IN THOUSANDS)
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$0, $0, $2,298, $278 and $192,
respectively)............................ $ 2,451 $ 4,675 $ 21,406 $ 1,580 $ 3,695
Interest................................... 439 690 754 101 97
Income from Securities Lending............. 538 1,115 722 243 119
-------- -------- -------- -------- --------
Total Investment Income................ 3,428 6,480 22,882 1,924 3,911
-------- -------- -------- -------- --------
EXPENSES
Investment Advisory Services............... 101 794 1,611 94 89
Accounting & Transfer Agent Fees........... 126 299 406 116 109
Custodian's Fees........................... 37 86 219 29 40
Legal Fees................................. 4 11 15 1 46
Audit Fees................................. 3 9 14 1 1
Shareholders' Reports...................... 6 15 21 2 2
Trustees' Fees and Expenses................ 1 3 4 1 --
Other...................................... 21 16 37 5 4
-------- -------- -------- -------- --------
Total Expenses......................... 299 1,233 2,327 249 291
-------- -------- -------- -------- --------
NET INVESTMENT INCOME...................... 3,129 5,247 20,555 1,675 3,620
-------- -------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities
Sold..................................... 102,797 204,032 57,413 856 8,529
Net Realized Gain (Loss) on Foreign
Currency Transactions.................... -- -- (781) 20 (51)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (78,500) (83,332) (94,253) (14,205) (31,806)
Translation of Foreign Currency
Denominated Amounts.................. -- -- (39) (48) --
-------- -------- -------- -------- --------
NET GAIN (LOSS) ON INVESTMENT SECURITIES
AND FOREIGN CURRENCY..................... 24,297 120,700 (37,660) (13,377) (23,328)
-------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................... $ 27,426 $125,947 $(17,105) $(11,702) $(19,708)
======== ======== ======== ======== ========
</TABLE>
See accompanying Notes to Financial Statements.
232
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
THE
THE UNITED THE EMERGING THE DFA
KINGDOM CONTINENTAL THE MARKETS THE DFA TWO-YEAR
SMALL SMALL EMERGING SMALL ONE-YEAR GLOBAL
COMPANY COMPANY MARKETS CAP FIXED INCOME FIXED INCOME
SERIES SERIES SERIES SERIES SERIES SERIES
---------- ----------- -------- -------- ------------ ------------
(AMOUNTS IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $235, $478, $507,
$75, $0 and $0,
respectively).................. $ 2,164 $ 3,900 $ 3,722 $ 585 -- --
Interest......................... 61 111 272 68 $24,012 $ 12,846
Income from Securities Lending... 1 109 -- -- -- --
-------- ------- -------- ------- ------- --------
Total Investment Income...... 2,226 4,120 3,994 653 24,012 12,846
-------- ------- -------- ------- ------- --------
EXPENSES
Investment Advisory Services..... 65 128 189 44 201 129
Accounting & Transfer Agent
Fees........................... 81 158 208 27 103 220
Custodian's Fees................. 12 38 403 60 35 29
Legal Fees....................... 1 1 2 -- 7 2
Audit Fees....................... 1 1 2 -- 6 3
Shareholders' Reports............ 1 3 4 -- 10 5
Trustees' Fees and Expenses...... -- 1 1 -- 2 1
Other............................ 3 6 8 4 6 4
-------- ------- -------- ------- ------- --------
Total Expenses............... 164 336 817 135 370 393
-------- ------- -------- ------- ------- --------
NET INVESTMENT INCOME............ 2,062 3,784 3,177 518 23,642 12,453
-------- ------- -------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on
Investment Securities Sold..... 6,273 5,228 12,806 2,394 (496) (1,305)
Net Realized Gain (Loss) on
Foreign Currency
Transactions................... (50) 52 (117) (37) -- 22,793
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........... (16,865) 9,345 (22,618) (3,629) (2,493) (12,244)
Translation of Foreign
Currency Denominated
Amounts.................... (8) (3) 14 2 -- (9,031)
-------- ------- -------- ------- ------- --------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN
CURRENCY....................... (10,650) 14,622 (9,915) (1,270) (2,989) 213
-------- ------- -------- ------- ------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS.. $ (8,588) $18,406 $ (6,738) $ (752) $20,653 $ 12,666
======== ======= ======== ======= ======= ========
</TABLE>
See accompanying Notes to Financial Statements.
233
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE ENHANCED U.S.
THE U.S. LARGE LARGE THE U.S. LARGE CAP THE U.S. 4-10
COMPANY SERIES COMPANY SERIES VALUE SERIES VALUE SERIES
----------------------- --------------------- ----------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment
Income............... $ 17,920 $ 28,330 $ 2,527 $ 3,600 $ 18,244 $ 33,022 $ 5,055 $ 3,875
Net Realized Gain
(Loss) on Investment
Securities Sold...... (14,186) 8,219 (132) 94 54,233 310,039 34,446 9,608
Net Realized Gain on
Foreign Currency
Transactions......... -- -- 4,471 3,424 -- -- -- --
Net Realized Gain on
Futures.............. -- -- 1,496 12,772 -- -- -- --
Net Realized Gain
(Loss) on Swap
Contracts............ -- -- (537) 1,448 -- -- -- --
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign
Currency........... 73,822 351,120 (5,187) (3,919) (51,788) (262,465) (18,038) (12,179)
Translation of
Foreign Currency
Denominated
Amounts............ -- -- 944 840 -- -- -- --
Futures.............. -- -- (1,803) (3,672) -- -- -- --
Swap Contracts....... -- -- 482 (343) -- -- -- --
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Net Increase in Net
Assets Resulting from
Operations........... 77,556 387,669 2,261 14,244 20,689 80,596 21,463 1,304
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Distributions From:
Net Investment
Income............... -- -- (3,482) (6,484) (10,459) (32,738) (912) (3,680)
Net Realized Gains..... -- -- (10,644) (6,206) (310,296) (135,996) (9,818) (979)
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Total
Distributions.... -- -- (14,126) (12,690) (320,755) (168,734) (10,730) (4,659)
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Capital Share
Transactions (1):
Shares Issued.......... -- -- 11,339 33,330 248,408 240,602 312,234 179,790
Shares Issued in Lieu
of Cash
Distributions........ -- -- 14,126 12,690 317,842 166,280 10,730 4,659
Shares Redeemed........ -- -- (15,158) (6,925) (239,777) (286,569) (4) --
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Net Increase from
Capital Share
Transactions....... -- -- 10,307 39,095 326,473 120,313 322,960 184,449
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Transactions in Interest
Contributions.......... 513,192 1,037,766 -- -- -- -- -- --
Withdrawals............ (157,005) (207,547) -- -- -- -- -- --
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Net Increase from
Transactions in
Interest........... 356,187 830,219 -- -- -- -- -- --
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
Total Increase
(Decrease)....... 433,743 1,217,888 (1,558) 40,649 26,407 32,175 333,693 181,094
NET ASSETS
Beginning of Period.... 2,775,062 1,557,174 102,171 61,522 1,788,082 1,755,907 360,336 179,242
---------- ---------- ---------- -------- ---------- ---------- ---------- --------
End of Period.......... $3,208,805 $2,775,062 $ 100,613 $102,171 $1,814,489 $1,788,082 $ 694,029 $360,336
========== ========== ========== ======== ========== ========== ========== ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued......... N/A N/A 969 2,607 16,944 12,917 36,065 18,595
Shares Issued in Lieu
of Cash
Distributions....... 1,224 1,028 22,378 9,595 1,255 521
Shares Redeemed....... (1,291) (543) (16,090) (15,459) -- --
---------- -------- ---------- ---------- ---------- --------
902 3,092 23,232 7,053 37,320 19,116
========== ======== ========== ========== ========== ========
</TABLE>
See accompanying Notes to Financial Statements.
234
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. 6-10 THE U.S. 6-10 SMALL THE U.S. 9-10 SMALL THE DFA INTERNATIONAL
VALUE SERIES COMPANY SERIES COMPANY SERIES VALUE SERIES
----------------------- ------------------- ---------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEAR SIX YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED MONTHS ENDED ENDED ENDED ENDED ENDED
ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment
Income............... $ 11,732 $ 21,710 $ 3,129 $ 4,945 $ 5,247 $ 10,291 $ 20,555 $ 37,751
Net Realized Gain on
Investment Securities
Sold................. 299,686 258,801 102,797 56,608 204,032 250,160 57,413 100,874
Net Realized Loss on
Foreign Currency
Transactions......... -- -- -- -- -- -- (781) (341)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign
Currency........... (135,456) (43,040) (78,500) 31,371 (83,332) (14,253) (94,253) 81,414
Translation of
Foreign Currency
Denominated
Amounts............ -- -- -- -- -- -- (39) (368)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations........... 175,962 237,471 27,426 92,924 125,947 246,198 (17,105) 219,330
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment
Income............... (3,272) (20,939) (721) (4,995) (1,653) (10,142) (4,940) (42,454)
Net Realized Gains..... (258,822) (205,075) (58,823) (49,223) (250,174) (124,444) (100,340) (3,807)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Total
Distributions...... (262,094) (226,014) (59,544) (54,218) (251,827) (134,586) (105,280) (46,261)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Capital Share
Transactions (1):
Shares Issued.......... 131,672 340,725 219,165 98,295 98,159 73,568 212,057 145,300
Shares Issued in Lieu
of Cash
Distributions........ 257,339 220,532 58,704 53,051 246,996 133,746 105,280 46,261
Shares Redeemed........ (242,734) (315,975) (172,657) (150,769) (112,190) (335,527) (216,339) (424,502)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Net Increase
(Decrease) from
Capital Share
Transactions....... 146,277 245,282 105,212 577 232,965 (128,213) 100,998 (232,941)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
Total Increase
(Decrease)......... 60,145 256,739 73,094 39,283 107,085 (16,601) (21,387) (59,872)
NET ASSETS
Beginning of Period.... 2,692,473 2,435,734 586,086 546,803 1,323,023 1,339,624 1,660,377 1,720,249
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
End of Period.......... $2,752,618 $2,692,473 $659,180 $586,086 $1,430,108 $1,323,023 $1,638,990 $1,660,377
========== ========== ======== ======== ========== ========== ========== ==========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued......... 7,704 20,729 16,521 8,767 10,622 8,549 17,261 11,508
Shares Issued in Lieu
of Cash
Distributions....... 16,645 14,152 5,154 5,082 30,456 16,823 8,355 3,655
Shares Redeemed....... (14,218) (19,083) (14,099) (13,717) (10,856) (37,978) (17,514) (33,103)
---------- ---------- -------- -------- ---------- ---------- ---------- ----------
10,131 15,798 7,576 132 30,222 (12,606) 8,102 (17,940)
========== ========== ======== ======== ========== ========== ========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
235
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE PACIFIC RIM THE UNITED KINGDOM
THE JAPANESE SMALL SMALL COMPANY SMALL COMPANY THE CONTINENTAL SMALL
COMPANY SERIES SERIES SERIES COMPANY SERIES
--------------------- --------------------- ---------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- -------- ---------- -------- ---------- -------- ---------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment
Income............... $ 1,675 $ 2,212 $ 3,620 $ 4,774 $ 2,062 $ 4,809 $ 3,784 $ 5,173
Net Realized Gain
(Loss) on Investment
Securities Sold...... 856 (3,116) 8,529 (11,610) 6,273 10,395 5,228 26,397
Net Realized Gain
(Loss) on Foreign
Currency
Transactions......... 20 143 (51) 2,522 (50) (47) 52 (286)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign
Currency........... (14,205) 42,419 (31,806) 75,981 (16,865) 27,562 9,345 (49,186)
Translation of
Foreign Currency
Denominated
Amounts............ (48) (39) -- 4 (8) (8) (3) (77)
---------- -------- ---------- -------- ---------- -------- ---------- --------
Net Increase
(Decrease) in Net
Assets Resulting
from Operations.... (11,702) 41,619 (19,708) 71,671 (8,588) 42,711 18,406 (17,979)
---------- -------- ---------- -------- ---------- -------- ---------- --------
Transactions in Interest
Contributions.......... 25,761 25,283 1,689 13,505 4,879 20,680 15,990 53,967
Withdrawals............ (18,440) (54,230) (20,749) (41,298) (15,642) (58,750) (34,959) (88,022)
---------- -------- ---------- -------- ---------- -------- ---------- --------
Net Increase
(Decrease) from
Transactions in
Interest........... 7,321 (28,947) (19,060) (27,793) (10,763) (38,070) (18,969) (34,055)
---------- -------- ---------- -------- ---------- -------- ---------- --------
Total Increase
(Decrease)....... (4,381) 12,672 (38,768) 43,878 (19,351) 4,641 (563) (52,034)
NET ASSETS
Beginning of Period.... 202,676 190,004 183,759 139,881 132,127 127,486 252,368 304,402
---------- -------- ---------- -------- ---------- -------- ---------- --------
End of Period.......... $ 198,295 $202,676 $ 144,991 $183,759 $ 112,776 $132,127 $ 251,805 $252,368
========== ======== ========== ======== ========== ======== ========== ========
</TABLE>
See accompanying Notes to Financial Statements.
236
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE EMERGING THE DFA TWO-YEAR
THE EMERGING MARKETS SMALL CAP THE DFA ONE-YEAR GLOBAL FIXED INCOME
MARKETS SERIES SERIES FIXED INCOME SERIES SERIES
--------------------- --------------------- ---------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2000 1999 2000 1999 2000 1999 2000 1999
---------- -------- ---------- ------- ---------- --------- ---------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment
Income............... $ 3,177 $ 3,816 $ 518 $ 568 $ 23,642 $ 46,162 $ 12,453 $ 21,142
Net Realized Gain
(Loss) on Investment
Securities Sold...... 12,806 (3,653) 2,394 4,798 (496) (409) (1,305) (183)
Net Realized Gain
(Loss) on Foreign
Currency
Transactions......... (117) (223) (37) (91) -- -- 22,793 14,811
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign
Currency........... (22,618) 121,183 (3,629) 11,687 (2,493) (4,327) (12,244) (17,007)
Translation of
Foreign Currency
Denominated
Amounts............ 14 2 2 -- -- -- (9,031) 3,650
---------- -------- ---------- ------- ---------- --------- ---------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations........... (6,738) 121,125 (752) 16,962 20,653 41,426 12,666 22,413
---------- -------- ---------- ------- ---------- --------- ---------- --------
Distributions From:
Net Investment
Income............... -- -- -- -- (23,429) (46,108) (20,048) (27,143)
Net Realized Gains..... -- -- -- -- -- -- -- (603)
---------- -------- ---------- ------- ---------- --------- ---------- --------
Total
Distributions...... -- -- -- -- (23,429) (46,108) (20,048) (27,746)
---------- -------- ---------- ------- ---------- --------- ---------- --------
Capital Share
Transactions (1):
Shares Issued.......... -- -- -- -- 74,822 255,707 45,662 122,290
Shares Issued in Lieu
of Cash
Distributions........ -- -- -- -- 21,840 42,116 20,048 27,714
Shares Redeemed........ -- -- -- -- (119,653) (341,586) (71,458) (53,999)
---------- -------- ---------- ------- ---------- --------- ---------- --------
Net Increase
(Decrease) from
Capital Share
Transactions....... -- -- -- -- (22,991) (43,763) (5,748) 96,005
---------- -------- ---------- ------- ---------- --------- ---------- --------
Transactions in Interest
Contributions.......... 32,642 33,845 5,133 4,993 -- -- -- --
Withdrawals............ (20,391) (42,427) (2,581) (3,506) -- -- -- --
---------- -------- ---------- ------- ---------- --------- ---------- --------
Net Increase
(Decrease) from
Transactions in
Interest........... 12,251 (8,582) 2,552 1,487 -- -- -- --
---------- -------- ---------- ------- ---------- --------- ---------- --------
Total Increase
(Decrease)....... 5,513 112,543 1,800 18,449 (25,767) (48,445) (13,130) 90,672
NET ASSETS
Beginning of Period.... 344,175 231,632 39,848 21,399 821,548 869,993 531,514 440,842
---------- -------- ---------- ------- ---------- --------- ---------- --------
End of Period.......... $ 349,688 $344,175 $ 41,648 $39,848 $ 795,781 $ 821,548 $ 518,384 $531,514
========== ======== ========== ======= ========== ========= ========== ========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued......... N/A N/A N/A N/A 7,535 25,564 4,628 11,937
Shares Issued in Lieu
of Cash
Distributions....... 2,206 4,261 2,042 2,728
Shares Redeemed....... (12,049) (34,214) (7,187) (5,275)
---------- --------- ---------- --------
(2,308) (4,389) (517) 9,390
========== ========= ========== ========
</TABLE>
See accompanying Notes to Financial Statements.
237
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY SERIES
-----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period (1)....................... N/A N/A N/A N/A $ 13.48 $ 10.11
---------- ---------- ---------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
(1)
Net Investment Income............ -- -- -- -- 0.15 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized)...... -- -- -- -- 1.41 3.36
---------- ---------- ---------- -------- -------- --------
Total From Investment
Operations................... -- -- -- -- 1.56 3.66
------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income............ -- -- -- -- (0.16) (0.29)
Net Realized Gains............... -- -- -- -- (0.08) --
---------- ---------- ---------- -------- -------- --------
Total Distributions............ -- -- -- -- (0.24) (0.29)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period (1)....................... N/A N/A N/A N/A $ 14.80 $ 13.48
============================================================================================================
Total Return (1)................... N/A N/A N/A N/A 11.60%# 36.77%
------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $3,208,805 $2,775,062 $1,557,174 $822,493 $466,441 $ 97,118
Ratio of Expenses to Average Net
Assets........................... 0.06%* 0.06% 0.06% 0.07% 0.12% 0.02%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses).......... 0.06%* 0.06% 0.06% 0.07% 0.12% 0.18%
Ratio of Net Investment Income to
Average Net Assets............... 1.16%* 1.27% 1.47% 1.75% 2.12% 2.61%
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers and Assumption of
Expenses)........................ 1.16%* 1.27% 1.47% 1.75% 2.12% 2.45%
Portfolio Turnover Rate............ 5%* 4% 9% 4% 14% 2%
------------------------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY SERIES
---------------------------------------------------
SIX MONTHS YEAR YEAR YEAR JULY 3
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
----------------------------------- ---------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period (1)....................... $ 13.03 $ 12.95 $ 12.56 $ 11.76 $ 10.00
-------- -------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
(1)
Net Investment Income............ 0.83 1.06 0.29 0.51 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.54) 1.34 2.13 2.25 1.74
-------- -------- ------- ------- -------
Total From Investment
Operations................... 0.29 2.40 2.42 2.76 1.90
----------------------------------- ---------------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income............ (0.44) (1.02) (0.45) (0.54) (0.14)
Net Realized Gains............... (1.37) (1.30) (1.58) (1.42) --
-------- -------- ------- ------- -------
Total Distributions............ (1.81) (2.32) (2.03) (1.96) (0.14)
----------------------------------- ---------------------------------------------------
Net Asset Value, End of
Period (1)....................... $ 11.51 $ 13.03 $ 12.95 $ 12.56 $ 11.76
=================================== ===================================================
Total Return (1)................... 2.26%# 20.55% 24.00% 27.63% 18.95%#
----------------------------------- ---------------------------------------------------
Net Assets, End of Period
(thousands)...................... $100,613 $102,171 $61,522 $47,616 $29,213
Ratio of Expenses to Average Net
Assets........................... 0.18%* 0.19% 0.21% 0.25% 0.29%*
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses).......... 0.18%* 0.19% 0.21% 0.25% 0.29%*
Ratio of Net Investment Income to
Average Net Assets............... 5.03%* 4.55% 4.42% 4.59% 4.60%*
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers and Assumption of
Expenses)........................ 5.03%* 4.55% 4.42% 4.59% 4.60%*
Portfolio Turnover Rate............ 61%* 82% 87% 194% 211%*
----------------------------------- ---------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) For the U.S. Large Company Series, items are calculated for
the period December 1, 1995 through May 31, 1996. Effective
June 1, 1996, this Series was reorganized as a partnership,
and these items are no longer applicable.
</TABLE>
See accompanying Notes to Financial Statements.
238
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE SERIES
----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. $ 17.79 $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... 0.16 0.34 0.31 0.32 0.31 0.32
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.06) 0.46 1.71 3.38 2.57 3.53
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations...................... 0.10 0.80 2.02 3.70 2.88 3.85
-------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... (0.09) (0.34) (0.32) (0.31) (0.31) (0.31)
Net Realized Gains.................. (3.13) (1.46) (1.00) (0.82) (0.34) (0.17)
---------- ---------- ---------- ---------- -------- --------
Total Distributions............... (3.22) (1.80) (1.32) (1.13) (0.65) (0.48)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........ $ 14.67 $ 17.79 $ 18.79 $ 18.09 $ 15.52 $ 13.29
=========================================================================================================================
Total Return.......................... 1.25%# 4.64% 11.93% 25.31% 22.48% 39.26%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $1,814,489 $1,788,082 $1,755,907 $1,489,996 $987,942 $423,027
Ratio of Expenses to Average Net
Assets.............................. 0.16%* 0.16% 0.16% 0.18% 0.19% 0.21%
Ratio of Net Investment Income to
Average Net Assets.................. 2.12%* 1.80% 1.67% 1.96% 2.37% 2.84%
Portfolio Turnover Rate............... 22%* 43% 25% 18% 20% 29%
-------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 4-10 VALUE SERIES
----------------------------------------
SIX MONTHS YEAR FEB. 6
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
2000 1999 1998
<S> <C> <C> <C>
-------------------------------------- ----------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. $ 9.03 $ 8.62 $ 10.00
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... 0.07 0.10 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.14 0.45 (1.39)
-------- -------- --------
Total From Investment
Operations...................... 0.21 0.55 (1.32)
-------------------------------------- ----------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... (0.02) (0.10) (0.06)
Net Realized Gains.................. (0.23) (0.04) --
-------- -------- --------
Total Distributions............... (0.25) (0.14) (0.06)
-------------------------------------- ----------------------------------------
Net Asset Value, End of Period........ $ 8.99 $ 9.03 $ 8.62
====================================== ========================================
Total Return.......................... 2.43%# 6.39% (13.26)%#
-------------------------------------- ----------------------------------------
Net Assets, End of Period
(thousands)......................... $694,029 $360,336 $179,242
Ratio of Expenses to Average Net
Assets.............................. 0.13%* 0.14% 0.17%*
Ratio of Net Investment Income to
Average Net Assets.................. 1.84%* 1.33% 1.95%*
Portfolio Turnover Rate............... 32%* 35% 10%*
-------------------------------------- ----------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
239
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE SERIES
------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... $ 17.16 $ 17.26 $ 21.10 $ 16.58 $ 14.02 $ 11.15
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.07 0.14 0.14 0.15 0.15 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.93 1.38 (1.92) 5.23 2.88 3.06
---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations................... 1.00 1.52 (1.78) 5.38 3.03 3.20
-------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.02) (0.14) (0.16) (0.12) (0.15) (0.14)
Net Realized Gains............... (1.66) (1.48) (1.90) (0.74) (0.32) (0.19)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions............ (1.68) (1.62) (2.06) (0.86) (0.47) (0.33)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 16.48 $ 17.16 $ 17.26 $ 21.10 $ 16.58 $ 14.02
=============================================================================================================
Total Return....................... 6.49%# 9.78% (9.05)% 33.93% 22.14% 28.81%
-------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $2,752,618 $2,692,473 $2,435,734 $2,224,268 $1,248,213 $624,343
Ratio of Expenses to Average Net
Assets........................... 0.25%* 0.26% 0.26% 0.28% 0.29% 0.32%
Ratio of Net Investment Income to
Average Net Assets............... 0.82%* 0.83% 0.78% 0.86% 1.11% 1.22%
Portfolio Turnover Rate............ 30%* 29% 23% 25% 15% 21%
-------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY SERIES
-------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
----------------------------------- -------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... $ 12.24 $ 11.46 $ 13.82 $ 12.56 $ 11.26 $ 9.54
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.06 0.10 0.10 0.11 0.13 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.83 1.83 (1.28) 2.81 1.92 2.50
-------- -------- -------- -------- -------- --------
Total From Investment
Operations................... 0.89 1.93 (1.18) 2.92 2.05 2.62
----------------------------------- -------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.02) (0.11) (0.10) (0.10) (0.13) (0.12)
Net Realized Gains............... (1.22) (1.04) (1.08) (1.56) (0.62) (0.78)
-------- -------- -------- -------- -------- --------
Total Distributions............ (1.24) (1.15) (1.18) (1.66) (0.75) (0.90)
----------------------------------- -------------------------------------------------------------
Net Asset Value, End of Period..... $ 11.89 $ 12.24 $ 11.46 $ 13.82 $ 12.56 $ 11.26
=================================== =============================================================
Total Return....................... 7.71%# 18.62% (8.98)% 26.47% 19.17% 29.19%
----------------------------------- -------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $659,180 $586,086 $546,803 $432,833 $268,401 $221,984
Ratio of Expenses to Average Net
Assets........................... 0.09%* 0.09% 0.09% 0.11% 0.13% 0.15%
Ratio of Net Investment Income to
Average Net Assets............... 0.93%* 0.89% 0.88% 0.96% 1.05% 1.18%
Portfolio Turnover Rate............ 57%* 29% 29% 30% 32% 21%
----------------------------------- -------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
240
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL COMPANY
SERIES
------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2000 1999 1998
<S> <C> <C> <C>
---------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. $ 9.55 $ 8.86 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... 0.03 0.07 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.72 1.52 (1.14)
---------- ---------- ----------
Total From Investment
Operations...................... 0.75 1.59 (1.08)
---------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... (0.01) (0.07) (0.06)
Net Realized Gains.................. (1.82) (0.83) --
---------- ---------- ----------
Total Distributions............... (1.83) (0.90) (0.06)
---------------------------------------------------------------------------------
Net Asset Value, End of Period........ $ 8.47 $ 9.55 $ 8.86
=================================================================================
Total Return.......................... 8.68%# 20.06% (10.81)%
---------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $1,430,108 $1,323,023 $1,339,624
Ratio of Expenses to Average Net
Assets.............................. 0.16%* 0.16% 0.16%
Ratio of Net Investment Income to
Average Net Assets.................. 0.66%* 0.76% 0.63%
Portfolio Turnover Rate............... 37%* 23% 26%
---------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERNATIONAL VALUE SERIES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------- ---------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. $ 13.18 $ 11.95 $ 10.90 $ 11.79 $ 10.55 $ 10.06
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... 0.16 0.28 0.22 0.24 0.23 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)......... (0.27) 1.29 1.13 (0.67) 1.32 0.52
---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations...................... (0.11) 1.57 1.35 (0.43) 1.55 0.72
-------------------------------------- ---------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... (0.04) (0.31) (0.27) (0.22) (0.23) (0.21)
Net Realized Gains.................. (0.81) (0.03) (0.03) (0.24) (0.08) (0.02)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions............... (0.85) (0.34) (0.30) (0.46) (0.31) (0.23)
-------------------------------------- ---------------------------------------------------------------------------------
Net Asset Value, End of Period........ $ 12.22 $ 13.18 $ 11.95 $ 10.90 $ 11.79 $ 10.55
====================================== =================================================================================
Total Return.......................... (1.06)%# 13.27% 12.50% (3.84)% 14.85% 7.20%
-------------------------------------- ---------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $1,638,990 $1,660,377 $1,720,249 $1,582,086 $1,356,852 $609,386
Ratio of Expenses to Average Net
Assets.............................. 0.29%* 0.29% 0.29% 0.32% 0.36% 0.42%
Ratio of Net Investment Income to
Average Net Assets.................. 2.55%* 2.17% 1.90% 2.09% 2.23% 2.14%
Portfolio Turnover Rate............... 17%* 6% 15% 23% 12% 10%
-------------------------------------- ---------------------------------------------------------------------------------
<CAPTION>
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
-------------------------------------- ----------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. N/A+ N/A+ N/A+ N/A+ N/A+
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)......... -- -- -- -- --
-------- -------- -------- -------- --------
Total From Investment
Operations...................... -- -- -- -- --
-------------------------------------- ----------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... -- -- -- -- --
Net Realized Gains.................. -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............... -- -- -- -- --
-------------------------------------- ----------------------------------------------------------------
Net Asset Value, End of Period........ N/A+ N/A+ N/A+ N/A+ N/A+
====================================== ================================================================
Total Return.......................... N/A+ N/A+ N/A+ N/A+ N/A+
-------------------------------------- ----------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $198,295 $202,676 $190,004 $175,342 $329,682
Ratio of Expenses to Average Net
Assets.............................. 0.26%* 0.28% 0.28% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets.................. 1.78%* 1.10% 1.29% 0.93% 0.76%
Portfolio Turnover Rate............... 4%* 6% 8% 13% 2%*
-------------------------------------- ----------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The Japanese Small Company Series is
organized as a Partnership.
</TABLE>
See accompanying Notes to Financial Statements.
241
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM SMALL COMPANY SERIES
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. N/A+ N/A+ N/A+ N/A+ N/A+
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)......... -- -- -- -- --
-------- -------- -------- -------- --------
Total From Investment
Operations...................... -- -- -- -- --
------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... -- -- -- -- --
Net Realized Gains.................. -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............... -- -- -- -- --
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........ N/A+ N/A+ N/A+ N/A+ N/A+
============================================================================================================
Total Return.......................... N/A+ N/A+ N/A+ N/A+ N/A+
------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $144,991 $183,759 $139,881 $147,795 $231,481
Ratio of Expenses to Average Net
Assets.............................. 0.33%* 0.48% 0.38% 0.40% 0.45%*
Ratio of Net Investment Income to
Average Net Assets.................. 4.08%* 2.95% 4.01% 2.45% 2.50%*
Portfolio Turnover Rate............... 2%* 34% 26% 24% 8%*
------------------------------------------------------------------------------------------------------------
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY SERIES
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
-------------------------------------- ----------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. N/A+ N/A+ N/A+ N/A+ N/A+
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)......... -- -- -- -- --
-------- -------- -------- -------- --------
Total From Investment
Operations...................... -- -- -- -- --
-------------------------------------- ----------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... -- -- -- -- --
Net Realized Gains.................. -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............... -- -- -- -- --
-------------------------------------- ----------------------------------------------------------------
Net Asset Value, End of Period........ N/A+ N/A+ N/A+ N/A+ N/A+
====================================== ================================================================
Total Return.......................... N/A+ N/A+ N/A+ N/A+ N/A+
-------------------------------------- ----------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $112,776 $132,127 $127,485 $171,851 $182,625
Ratio of Expenses to Average Net
Assets.............................. 0.25%* 0.26% 0.26% 0.25% 0.29%*
Ratio of Net Investment Income to
Average Net Assets.................. 3.15%* 3.55% 3.66% 2.86% 2.94%*
Portfolio Turnover Rate............... 6%* 5% 11% 4% 5%*
-------------------------------------- ----------------------------------------------------------------
<CAPTION>
THE CONTINENTAL SMALL COMPANY SERIES
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR AUG. 9
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
-------------------------------------- ----------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period.............................. N/A+ N/A+ N/A+ N/A+ N/A+
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............... -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)......... -- -- -- -- --
-------- -------- -------- -------- --------
Total From Investment
Operations...................... -- -- -- -- --
-------------------------------------- ----------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............... -- -- -- -- --
Net Realized Gains.................. -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............... -- -- -- -- --
-------------------------------------- ----------------------------------------------------------------
Net Asset Value, End of Period........ N/A+ N/A+ N/A+ N/A+ N/A+
====================================== ================================================================
Total Return.......................... N/A+ N/A+ N/A+ N/A+ N/A+
-------------------------------------- ----------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $251,805 $252,368 $304,402 323,610 335,882
Ratio of Expenses to Average Net
Assets.............................. 0.26%* 0.27% 0.27% 0.29% 0.31%*
Ratio of Net Investment Income to
Average Net Assets.................. 2.95%* 1.92% 1.76% 1.84% 0.27%*
Portfolio Turnover Rate............... 2%* 11% 1% 3% 7%*
-------------------------------------- ----------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Pacific Rim Small Company Series, The
United Kingdom Small Company Series and The Continental
Small Company Series are organized as Partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
242
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING MARKETS SERIES
------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)...... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total From Investment
Operations................... -- -- -- -- -- --
-------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ -- -- -- -- -- --
Net Realized Gains............... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions............ -- -- -- -- -- --
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
=======================================================================================================
Total Return....................... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $349,688 $344,175 $231,632 $220,941 $162,075 $ 49,351
Ratio of Expenses to Average Net
Assets........................... 0.43%* 0.46% 0.53% 0.54% 0.66% 0.87%
Ratio of Net Investment Income to
Average Net Assets............... 1.68%* 1.34% 1.66% 1.63% 1.63% 1.70%
Portfolio Turnover Rate............ 13%* 16% 10% 1% 0% 8%
-------------------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING MARKETS
SMALL CAP SERIES
---------------------------------------------
SIX MONTHS YEAR YEAR DEC. 2, 1996
ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997
<S> <C> <C> <C> <C>
----------------------------------- ---------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... N/A+ N/A+ N/A+ N/A+
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)...... -- -- -- --
------- ------- ------- -------
Total From Investment
Operations................... -- -- -- --
----------------------------------- ---------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ -- -- -- --
Net Realized Gains............... -- -- -- --
------- ------- ------- -------
Total Distributions............ -- -- -- --
----------------------------------- ---------------------------------------------
Net Asset Value, End of Period..... N/A+ N/A+ N/A+ N/A+
=================================== =============================================
Total Return....................... N/A+ N/A+ N/A+ N/A+
----------------------------------- ---------------------------------------------
Net Assets, End of Period
(thousands)...................... $41,648 $39,848 $21,399 $19,449
Ratio of Expenses to Average Net
Assets........................... 0.61%* 0.68% 0.88% 0.90%*
Ratio of Net Investment Income to
Average Net Assets............... 2.34%* 1.82% 2.32% 1.90%*
Portfolio Turnover Rate............ 17%* 24% 13% 3%*
----------------------------------- ---------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Emerging Markets Series and The
Emerging Markets Small Cap Series are organized as a
partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
243
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME SERIES (1)
------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... $ 9.97 $ 10.02 $ 10.01 $ 10.03 $ 10.00 $ 9.84
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.29 0.52 0.56 0.59 0.56 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.04) (0.05) 0.02 (0.02) 0.03 0.16
-------- -------- -------- -------- -------- --------
Total From Investment
Operations................... 0.25 0.47 0.58 0.57 0.59 0.76
-------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.29) (0.52) (0.57) (0.59) (0.56) (0.60)
Net Realized Gains............... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions............ (0.29) (0.52) (0.57) (0.59) (0.56) (0.60)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 9.93 $ 9.97 $ 10.02 $ 10.01 $ 10.03 $ 10.00
=======================================================================================================
Total Return....................... 2.55%# 4.83% 5.92% 5.83% 6.10% 7.91%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $795,781 $821,548 $869,993 $782,236 $859,293 $705,554
Ratio of Expenses to Average Net
Assets........................... 0.09%* 0.09% 0.09% 0.10% 0.09% 0.10%
Ratio of Net Investment Income to
Average Net Assets............... 5.89%* 5.19% 5.61% 5.85% 5.62% 6.04%
Portfolio Turnover Rate............ 10%* 58% 24% 83% 96% 81%
-------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
---------------------------------------------------
SIX MONTHS YEAR YEAR YEAR FEB 9
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
----------------------------------- ---------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... $ 10.11 $ 10.21 $ 10.22 $ 10.34 $ 10.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.46 0.45 0.44 0.48 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)...... (0.29) 0.03 0.19 0.12 0.25
-------- -------- -------- -------- --------
Total From Investment
Operations................... 0.17 0.48 0.63 0.60 0.59
----------------------------------- ---------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.32) (0.57) (0.62) (0.71) (0.25)
Net Realized Gains............... -- (0.01) (0.02) (0.01) --
-------- -------- -------- -------- --------
Total Distributions............ (0.32) (0.58) (0.64) (0.72) (0.25)
----------------------------------- ---------------------------------------------------
Net Asset Value, End of Period..... $ 9.96 $ 10.11 $ 10.21 $ 10.22 $ 10.34
=================================== ===================================================
Total Return....................... 2.50%# 4.84% 6.48% 5.96% 6.01%#
----------------------------------- ---------------------------------------------------
Net Assets, End of Period
(thousands)...................... $518,384 $531,514 $440,842 $418,907 $319,272
Ratio of Expenses to Average Net
Assets........................... 0.15%* 0.15% 0.16% 0.18% 0.20%*
Ratio of Net Investment Income to
Average Net Assets............... 4.83%* 4.45% 4.28% 4.64% 4.51%*
Portfolio Turnover Rate............ 72%* 78% 113% 119% 87%*
----------------------------------- ---------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) Restated to reflect a 900% stock dividend as of January 2,
1996.
</TABLE>
See accompanying Notes to Financial Statements.
244
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
May 31, 2000, the Trust consisted of twenty-one investment portfolios, of which
sixteen are included in this report, (collectively, the "Series") (two are
presented in separate reports, and three have not yet commenced operations):
<TABLE>
<S> <C>
The U.S. Large Company Series The DFA International Value Series
The Enhanced U.S. Large Company Series The Japanese Small Company Series
The U.S. Large Cap Value Series The Pacific Rim Small Company Series
The U.S. 4-10 Value Series The United Kingdom Small Company Series
The U.S. 6-10 Value Series The Continental Small Company Series
The U.S. 6-10 Small Company Series The Emerging Markets Series
The U.S. 9-10 Small Company Series The Emerging Markets Small Cap Series
(the "Domestic Equity Portfolios") (the "International Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
</TABLE>
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Trustees.
Fixed income instruments held by The Enhanced U.S. Large Company Series and
The Fixed Income Portfolios are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Enhanced U.S. Large Company Series, the International Equity Portfolios
and The DFA Two-Year Global Fixed Income Series whose values are initially
expressed in foreign currencies are translated to U.S. dollars at the mean price
of such currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement. The Enhanced U.S. Large Company Series and The DFA Two-Year
Global
245
<PAGE>
Fixed Income Series also enter into forward foreign currency contracts solely
for the purpose of hedging against fluctuations in currency exchange rates.
These contracts are also marked to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. FEDERAL INCOME TAXES: It is the intention of The Enhanced U.S. Large
Company Series, The U.S. Large Cap Value Series, The U.S. 4-10 Value Series, The
U.S. 6-10 Value Series, The U.S. 6-10 Small Company Series, The U.S. 9-10 Small
Company Series, The DFA International Value Series, The DFA One-Year Fixed
Income Series and The DFA Two-Year Global Fixed Income Series to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for federal taxes is required in the financial
statements.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes. Any interest, dividends and gains or losses of these Series will be
deemed to have been "passed through" to their Feeder Funds.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of Trustees.
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.
246
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Trust. For the six months ended May 31, 2000, the
Series' advisory fees were accrued daily and paid monthly to the Advisor based
on the following effective annual rates:
<TABLE>
<S> <C>
The U.S. Large Company Series............................... .025 of 1%
The Enhanced U.S. Large Company Series...................... .05 of 1%
The U.S. Large Cap Value Series............................. .10 of 1%
The U.S. 4-10 Value Series.................................. .10 of 1%
The U.S. 6-10 Value Series.................................. .20 of 1%
The U.S. 6-10 Small Company Series.......................... .03 of 1%
The U.S. 9-10 Small Company Series.......................... .10 of 1%
The DFA International Value Series.......................... .20 of 1%
The Japanese Small Company Series........................... .10 of 1%
The Pacific Rim Small Company Series........................ .10 of 1%
The United Kingdom Small Company Series..................... .10 of 1%
The Continental Small Company Series........................ .10 of 1%
The Emerging Markets Series................................. .10 of 1%
The Emerging Markets Small Cap Series....................... .20 of 1%
The DFA One-Year Fixed Income Series........................ .05 of 1%
The DFA Two-Year Global Fixed Income Series................. .05 of 1%
</TABLE>
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 2000, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
--------------------- ---------------------
PURCHASES SALES PURCHASES SALES
(000) (000) (000) (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
The U.S. Large Company Series............................ -- -- $452,363 $ 82,302
The Enhanced U.S. Large Company Series................... -- -- 38,646 21,987
The U.S. Large Cap Value Series.......................... -- -- 201,854 188,705
The U.S. 4-10 Value Series............................... -- -- 394,099 85,740
The U.S. 6-10 Value Series............................... -- -- 416,402 540,938
The U.S. 6-10 Small Company Series....................... -- -- 238,948 186,310
The U.S. 9-10 Small Company Series....................... -- -- 283,338 331,824
The DFA International Value Series....................... -- -- 133,422 130,739
The Japanese Small Company Series........................ -- -- 9,110 3,241
The Pacific Rim Small Company Series..................... -- -- 1,541 15,430
The United Kingdom Small Company Series.................. -- -- 3,551 12,668
The Continental Small Company Series..................... -- -- 2,461 16,857
The Emerging Markets Series.............................. -- -- 30,740 23,040
The Emerging Markets Small Cap Series.................... -- -- 5,785 3,603
The DFA One-Year Fixed Income Series..................... $ 89,924 $ 5,086 101,012 28,723
The DFA Two-Year Global Fixed Income Series.............. -- -- 238,245 198,287
</TABLE>
247
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, gross unrealized appreciation and depreciation for federal
income tax purposes of futures, swap contracts, investment securities and
foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Series.............................. $1,065,786 $(105,195) $ 960,591
The Enhanced U.S. Large Company Series..................... -- (4,492) (4,492)
The U.S. Large Cap Value Series............................ 322,366 (305,163) 17,203
The U.S. 4-10 Value Series................................. 65,733 (113,583) (47,850)
The U.S. 6-10 Value Series................................. 621,502 (733,739) (112,237)
The U.S. 6-10 Small Company Series......................... 111,302 (179,266) (67,964)
The U.S. 9-10 Small Company Series......................... 381,295 (404,452) (23,157)
The DFA International Value Series......................... 372,387 (239,815) 132,572
The Japanese Small Company Series.......................... 14,517 (198,053) (183,536)
The Pacific Rim Small Company Series....................... 18,618 (82,469) (63,851)
The United Kingdom Small Company Series.................... 40,702 (33,101) 7,601
The Continental Small Company Series....................... 84,620 (42,085) 42,535
The Emerging Markets Series................................ 105,581 (74,740) 30,841
The Emerging Markets Small Cap Series...................... 11,443 (14,580) (3,137)
The DFA One-Year Fixed Income Series....................... 172 (6,871) (6,699)
The DFA Two-Year Global Fixed Income Series................ -- (26,469) (26,469)
</TABLE>
At May 31, 2000, The DFA One-Year Fixed Income Series had a capital loss
carryforward for federal income tax purposes of approximately $733,000 of which
$23,000, $301,000 and $409,000 expire on November 30, 2002, 2004, and 2007,
respectively.
Also, The Two-Year Global Fixed Income Series had a capital loss
carryforward for federal income tax purposes of approximately $183,000 which
expires on November 30, 2007.
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 2000 NET ASSETS CONSIST OF:
----------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
UNDISTRIBUTED FUTURES, SWAP,
NET REALIZED CONTRACTS, UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN NET INVESTMENT NET REALIZED EXCHANGE SECURITIES AND EXCHANGE
CAPITAL INCOME (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS)
----------- -------------- ------------- ------------- ----------------- -----------
<S> <C> <C> <C> <C> <C> <C>
The Enhanced U.S. Large Company
Series............................ $ 101,698 $(4,783) $ 266 $ 7,895 $ (6,137) $ 1,674
The U.S. Large Cap Value Series.... 1,734,107 9,040 53,969 -- 17,373 --
The U.S. 4-10 Value Series......... 702,888 4,561 34,228 -- (47,648) --
The U.S. 6-10 Value Series......... 2,554,975 10,276 299,417 -- (112,050) --
The U.S. 6-10 Small Company
Series............................ 621,714 2,629 99,301 -- (64,464) --
The U.S. 9-10 Small Company
Series............................ 1,245,164 4,078 203,994 -- (23,128) --
The DFA International Value
Series............................ 1,434,430 17,346 55,601 (781) 132,661 (267)
The DFA One-Year Fixed Income
Series............................ 799,683 4,034 (1,237) -- (6,699) --
The DFA Two-Year Global Fixed
Income Series..................... 525,808 2,500 (1,519) 22,793 (26,469) (4,729)
<CAPTION>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
----------- ----------
<S> <C> <C>
The Enhanced U.S. Large Company
Series............................ $ 100,613 Unlimited
The U.S. Large Cap Value Series.... 1,814,489 Unlimited
The U.S. 4-10 Value Series......... 694,029 Unlimited
The U.S. 6-10 Value Series......... 2,752,618 Unlimited
The U.S. 6-10 Small Company
Series............................ 659,180 Unlimited
The U.S. 9-10 Small Company
Series............................ 1,430,108 Unlimited
The DFA International Value
Series............................ 1,638,990 Unlimited
The DFA One-Year Fixed Income
Series............................ 795,781 Unlimited
The DFA Two-Year Global Fixed
Income Series..................... 518,384 Unlimited
</TABLE>
248
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk and concentrations of credit risk. These instruments and their significant
corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2000.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies. At May 31, 2000, The Enhanced U.S. Large
Company Series and The DFA Two-Year Global Fixed Income Series had entered into
the following contracts and the related net unrealized foreign exchange loss is
reflected in the accompanying financial statements:
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT MAY 31, 2000 GAIN (LOSS)
---------- ------------------------------------ ----------- ------------- -----------
<C> <C> <S> <C> <C> <C>
06/05/00 29,866,326 European Currency Unit $27,075,978 $27,707,111 $(631,133)
06/05/00 31,500,874 Swedish Krona 3,551,751 3,496,542 55,209
06/19/00 2,117,037 British Pound 3,155,126 3,165,224 (10,098)
06/22/00 5,111,001 Australian Dollar 2,929,073 2,916,655 12,418
06/22/00 24,827,861 Danish Krone 2,975,010 3,088,177 (113,167)
06/23/00 12,671,198 Canadian Dollar 8,475,557 8,465,412 10,145
----------- ----------- ---------
$48,162,495 $48,839,121 $(676,626)
=========== =========== =========
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT MAY 31, 2000 GAIN (LOSS)
---------- ------------------------------------- ------------ ------------- -----------
<C> <C> <S> <C> <C> <C>
06/05/00 201,659,622 European Currency Unit $182,776,949 $187,079,790 $(4,302,841)
06/05/00 172,678,769 Swedish Krona 19,469,683 19,167,043 302,640
06/19/00 9,367,890 British Pound 13,961,435 14,006,120 (44,685)
06/22/00 42,882,587 Australian Dollar 24,575,658 24,471,474 104,184
06/22/00 115,503,528 Danish Krone 13,840,265 14,366,736 (526,471)
06/23/00 60,625,355 Canadian Dollar 40,551,306 40,502,769 48,537
------------ ------------ -----------
$295,175,296 $299,593,932 $(4,418,636)
============ ============ ===========
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed
Income Series will enter into forward contracts only for hedging purposes.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
249
<PAGE>
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
4. FUTURES CONTRACTS. During the six months ended May 31, 2000, The
Enhanced U.S. Large Company Series ("ENHANCED ") entered into futures contracts
in accordance with its investment objectives. Upon entering into a futures
contract, Enhanced deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Enhanced as unrealized gains or losses until the contracts are
closed. When the contracts are closed, Enhanced records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
At May 31, 2000, Enhanced had outstanding 236 long futures contracts on the
S & P 500 Index, all of which expire on June 16, 2000. The value of such
contracts on May 31, 2000 was $83,909,800, which resulted in an unrealized gain
of $746,678.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
5. EQUITY INDEX SWAPS - Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the contract is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the counter
party, the accumulated net unrealized gain or loss, which will then be recorded
as realized.
At May 31, 2000, Enhanced had an outstanding equity index swap with Morgan
Stanley dated February 15, 2000 (which represents approximately 12% of the net
assets of Enhanced), terminating on August 15, 2000. The notional value of the
swap was $16,300,233, and Enhanced had recorded net unrealized depreciation of
$16,436, all of which Enhanced owed to Morgan. Payments made by Enhanced are
based on the London Interbank Offered Rate (LIBOR) plus 0.15% per annum
calculated on the original notional amount plus accumulated interest added on
the monthly LIBOR reset date. Payments received by Enhanced are based on the
daily value of the S & P 500 Index plus accumulated dividends as expressed in
Index points calculated on the original notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the six months ended May 31, 2000 borrowings
under the line were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
<S> <C> <C> <C> <C> <C>
The U.S. Large Company Series........... 6.35% $ 6,573,258 31 $35,937 $22,594,000
The U.S. Large Cap Value Series......... 5.99% 10,511,067 15 26,249 29,999,000
The U.S. 6-10 Small Company Series...... 6.70% 5,012,789 19 17,734 10,221,000
The U.S. 9-10 Small Company Series...... 6.34% 4,736,000 5 4,169 13,673,000
The DFA International Value Series...... 6.44% 110,000 1 20 110,000
</TABLE>
250
<PAGE>
The U.S. Large Company Series and The U.S. 6-10 Small Company Series had
outstanding borrowings of $910,000 and $3,182,000 respectively, plus accrued
interest under the line of credit at May 31, 2000. The remaining Series had no
outstanding borrowings under the line of credit at May 31, 2000.
I. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Series or, at the option of the
lending agent, replace the loaned securities. Such cash collateral for May 31,
2000 was reinvested into overnight repurchase agreements with Salomon Brothers
and Fuji Securities which was in turn collateralized by U.S. Government Treasury
Securities. The market value of securities on loan to brokers, the related
collateral cash received by each Series and value of collateral on overnight
repurchase agreements at May 31, 2000, was as follows:
<TABLE>
<CAPTION>
MARKET VALUE OF VALUE OF COLLATERAL COLLATERAL ON REPURCHASE
SECURITIES ON LOAN AND IDEMNIFICATION AGREEMENTS
------------------ ------------------- ------------------------
<S> <C> <C> <C>
Domestic Equity Portfolios
------------------------------------------------
The U.S. Large Company Series................... $ 10,172,735 $ 10,471,700 $ 10,742,078
The U.S. Large Cap Value Series................. 16,795,541 18,001,575 18,466,374
The U.S. 4-10 Value Series...................... 4,173,027 6,136,818 6,295,270
The U.S. 6-10 Value Series...................... 28,213,638 52,165,141 53,512,040
The U.S. 6-10 Small Company Series.............. 24,587,227 29,558,331 30,321,524
The U.S. 9-10 Small Company Series.............. 28,510,598 40,311,398 41,352,235
International Equity Portfolios
------------------------------------------------
The DFA International Value Series.............. 352,895,402 362,373,046 382,311,835
The Japanese Small Company Series............... 27,058,414 29,682,497 29,985,123
The Pacific Rim Small Company Series............ 12,462,699 20,672,595 21,457,384
The United Kingdom Small Company Series......... 59,414 75,000 77,254
The Continental Small Company Series............ 30,762,747 31,816,281 32,358,113
</TABLE>
251
