<PAGE>
================================================================================
Dimensional Investment Group Inc.
U.S. Small Cap Value Portfolio II
Semi-Annual Report
Six Months Ended May 31, 1995
(Unaudited)
================================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
Page
-------
Dimensional Investment Group Inc.
Statement of Assets and Liabilities ....... 1
Statement of Operations .................. 2
Statements of Changes in Net Assets ....... 3
Financial Highlights ..................... 4
Notes to Financial Statements ............ 5-6
The DFA Investment Trust Company
The U.S. Small Cap Value Series
Statement of Net Assets .................. 7-18
Statement of Operations .................. 19
Statements of Changes in Net Assets ....... 20
Financial Highlights ..................... 21
Notes to Financial Statements ............. 22-23
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.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1995
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investment in The U.S. Small Cap Value Series of The DFA Investment Trust
Company (711,077 Shares, Cost $8,240) at Value ................................ $ 8,991
Receivable for Investment Securities Sold ...................................... 23
Other Receivable ............................................................... 8
Prepaid Expenses and Other Assets .............................................. 47
--------
Total Assets ................................................................. 9,069
--------
LIABILITIES:
Payable for Fund Shares Redeemed ............................................... 23
Accrued Expenses ............................................................... 24
--------
Total Liabilities ............................................................ 47
--------
Net Assets ..................................................................... $ 9,022
========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 824,195
========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 10.95
========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 8,288
Accumulated Net Investment Loss ................................................ (21)
Undistributed Net Realized Gain ................................................ 4
Unrealized Appreciation of Investment Securities ............................... 751
--------
Total Net Assets ............................................................. $ 9,022
========
</TABLE>
See accompanying Notes to Financial Statements
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Investment Income
<S> <C>
Dividends ............................................................ $ 10
--------
Expenses
Administrative Services .............................................. 12
Accounting & Transfer Agent Fees ..................................... 6
Legal Fees ........................................................... 4
Audit Fees ........................................................... 2
Filing Fees .......................................................... 6
Shareholder Services ................................................. 10
Shareholder Reports .................................................. 5
Directors' Fees and Expenses ......................................... 3
Other ................................................................ 4
--------
Total Expenses .................................................... 52
Less: Fees Waived and Expenses Reimbursed ............................ (27)
--------
Net Expenses ......................................................... 25
--------
Net Investment Loss .................................................. (15)
--------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ............................. 11
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................... 1,034
--------
Net Gain on Investment Securities ...................................... 1,045
--------
Net Increase in Net Assets Resulting from Operations ................... $1,030
========
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Six Months
Ended August 3 to
May 31, Nov. 30,
1995 1994
------------ -------------
(Unaudited)
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) ......................... $ (15) $ 69
Net Realized Gain (Loss) on Investment Securities .... 11 (6)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ............................. 1,034 (283)
------------ -------------
Net Increase (Decrease) in Net Assets Resulting
from Operations ................................. 1,030 (220)
------------ -------------
Distributions From:
Net Investment Income ................................ (7) (68)
Net Realized Gain .................................... (1) --
------------ -------------
Total Distributions ............................... (8) (68)
------------ -------------
Capital Share Transactions (1):
Shares Issued ........................................ 2,667 6,515
Shares Issued in Lieu of Cash Distributions .......... 8 68
Shares Redeemed ...................................... (730) (240)
------------ -------------
Net Increase From Capital Share Transactions ...... 1,945 6,343
------------ -------------
Total Increase .................................... 2,967 6,055
Net Assets
Beginning of Period .................................. 6,055 --
------------ -------------
End of Period ........................................ $9,022 $6,055
============ =============
(1) Shares Issued and Redeemed:
Shares Issued ........................................ 266 644
Shares Issued in Lieu of Cash Distributions .......... 1 7
Shares Redeemed ...................................... (70) (24)
------------ -------------
197 627
============ =============
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Six Months August 3
Ended to
May 31, Nov. 30,
1995 1994
------------- -----------
(Unaudited)
<S> <C> <C>
Net Asset Value, Beginning of Period .................... $ 9.65 $ 10.00
------------- -----------
Income from Investment Operations
Net Investment Income ................................. (0.02) 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) ........................................ 1.33 (0.35)
------------- -----------
Total from Investment Operations ................... 1.31 (0.24)
------------- -----------
Less Distributions
Net Investment Income ................................. (0.01) (0.11)
------------- -----------
Net Asset Value, End of Period .......................... $ 10.95 $ 9.65
============= ===========
Total Return ............................................ 13.51%# (2.39)%#
Net Assets, End of Period (thousands) ................... $9,022 $6,055
Ratio of Expenses to Average Net Assets (1) ............. 0.96%*(a) 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets .... (0.39)%*(a) 4.78%*(a)
Portfolio Turnover Rate ................................. N/A N/A
</TABLE>
- ------
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective
pro-rata share of its Master Fund Series.
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods ended May 31, 1995 and
November 30, 1994 would have been 1.66% and 2.33%, respectively and the
ratios of net investment income to average net assets for the periods
ended May 31, 1995 and November 30, 1994 would have been (1.09)% and
3.41%, respectively.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
At May 31, 1995, Dimensional Investment Group Inc. (the "Fund") consisted
of eight portfolios, The DFA 6-10 Institutional Portfolio, U.S. Small Cap
Value Portfolio II, U.S. Large Cap Value Portfolio II, U.S. Large Cap Value
Portfolio III, DFA One-Year Fixed Income Portfolio II, The DFA International
Value Portfolio, DFA International Value Portfolio II and DFA International
Value Portfolio III (the "Portfolios"). 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 financial statements of The U.S. Small
Cap Value Portfolio II (the "Portfolio") are presented herein, the financial
statements for the other Portfolios are presented elsewhere.
The Portfolio invests all of its assets in The U.S. Small Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company.
At May 31, 1995, the Portfolio owned 2% 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.
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. 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. (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, 1995, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.30 of 1%.
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 to
the extent necessary to keep the annual combined expenses of the Portfolio
and its respective Master Fund to not more than 0.96% of average daily net
assets.
5
<PAGE>
D. INVESTMENTS:
At May 31, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation $751
Gross Unrealized Depreciation --
-------
Net .......................... $751
=======
6
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
MAY 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (95.1%)
AAR Corp. .............................................. 81,900 $1,248,975
*AEL Industries, Inc. Class A ........................... 12,700 284,163
AEP Industries, Inc. ................................... 13,050 308,306
*AG Services America, Inc. .............................. 2,900 23,381
*ARI Holdings Corp. ..................................... 7,700 60,156
*AST Research, Inc. ..................................... 80,800 1,504,900
*Accell International Corp. ............................. 27,600 70,725
*Acceptance Insurance Companies, Inc. .................. 32,200 450,800
Aceto Corp. ............................................ 17,300 253,013
*Acme Metals, Inc. ...................................... 35,100 583,538
*Acme United Corp. ...................................... 7,100 26,625
Acme-Cleveland Corp. ................................... 15,300 357,638
*Actava Group, Inc. ..................................... 60,000 637,500
*Action Industries, Inc. ................................ 18,600 20,925
*Acx Technologies, Inc. ................................. 32,700 1,377,488
*Adage, Inc. ............................................ 19,800 101,475
*Addington Resources, Inc. .............................. 3,000 39,000
*Advance Ross Corp. ..................................... 1,600 40,400
*Advanced Logic Research, Inc. .......................... 44,400 258,075
*Advanced Marketing Services, Inc. ..................... 20,900 130,625
*Advanced Technology Labs, Inc. ......................... 93,227 1,514,939
Advantage Bancorp, Inc. ................................ 9,400 274,950
*Advest Group, Inc. ..................................... 33,200 203,350
*Aequitron Medical, Inc. ................................ 15,400 90,475
*Aeroflex, Inc. ......................................... 44,000 192,500
*Aerosonic Corp. DE ..................................... 3,200 7,000
*Aerovox, Inc. .......................................... 29,100 218,250
*Aileen, Inc. ........................................... 9,600 5,400
*Air & Water Technologies Corp. Class A ................. 100,000 600,000
*Air Methods Corp. ...................................... 26,500 69,563
Airborne Freight Corp. ................................. 60,400 1,140,050
Airtran Corp. .......................................... 14,600 127,750
*Alamco, Inc. ........................................... 25,900 200,725
*Alaska Air Group, Inc. ................................. 51,000 847,875
*Alba-Waldensian, Inc. .................................. 3,800 32,538
Albank Financial Corp. ................................. 5,500 141,281
*Alkermes, Inc. ......................................... 78,000 243,750
*Allegheny & Western Energy Corp. ....................... 26,300 312,313
*Allegiant Physician Services, Inc. ..................... 32,800 35,875
Allied Group, Inc. ..................................... 14,000 395,500
Allied Life Financial Corp. ............................ 20,000 342,500
*Allied Products Corp. .................................. 18,400 358,800
*Allied Research Corp. .................................. 20,000 67,500
*Allied Waste Industries, Inc. .......................... 57,900 354,638
*Allstate Financial Corp. ............................... 20,900 151,525
*Aloette Cosmetics, Inc. ................................ 5,300 14,244
Alpha Industries, Inc. ................................. 24,200 329,725
*Alpha Microsystems, Inc. ............................... 19,400 18,491
*Alpha Technologies Group, Inc. ......................... 3,200 19,000
*Ambar, Inc. ............................................ 20,000 93,750
*Ambers Stores, Inc. .................................... 8,400 5,906
Amcore Financial, Inc. ................................. 24,800 437,100
*America Services Group, Inc. ........................... 18,000 92,250
*America West Airlines, Inc. Class B ................... 13,800 132,825
7
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
American Bankers Insurance Group, Inc. ................. 68,700 $2,030,944
American Biltrite, Inc. ................................ 6,600 176,550
*American Consumer Products, Inc. ....................... 9,500 24,344
American Ecology Corp. ................................. 32,900 131,600
American Heritage Life Investment Corp. ................ 50,400 976,500
American Indemnity Financial Corp. ..................... 7,500 83,438
American Maize Products Co. Class A .................... 45,000 1,366,875
American Maize Products Co. Class B .................... 1,100 35,063
American Media, Inc. Class A ........................... 6,500 37,375
*American Medical Electronics, Inc. ..................... 20,800 198,900
*American Mobile Satellite Corp. ........................ 140,000 3,307,500
*American Pacific Corp. ................................. 31,600 161,950
American Recreation Centers, Inc. ...................... 17,100 121,838
*American Savings of Florida, FSB ....................... 44,300 908,150
American Software, Inc. Class A ........................ 8,600 32,788
*American Travellers Corp. .............................. 82,400 1,478,050
*American Vanguard Corp. ................................ 6,400 48,000
*American Waste Services, Inc. Class A .................. 84,700 137,638
*American White Cross, Inc. ............................. 55,200 148,350
*American Woodmark Corp. ................................ 35,010 196,931
Americana Bancorp, Inc. ................................ 8,850 134,963
*Americredit Corp. ...................................... 51,000 452,625
*Ameriwood Industries International Corp. ............... 13,600 89,250
Ameron, Inc. ........................................... 14,600 507,350
Amfed Financial, Inc. .................................. 21,778 518,589
Ampco-Pittsburgh Corp. ................................. 35,900 296,175
*Amrep Corp. ............................................ 29,192 195,222
Amresco, Inc. .......................................... 15,000 112,500
*Amsco International, Inc. .............................. 102,700 1,283,750
Amvestors Financial Corp. .............................. 38,200 415,425
Amwest Insurance Group, Inc. ........................... 6,100 90,738
Analogic Corp. ......................................... 47,100 836,025
Analysis & Technology, Inc. ............................ 8,200 108,650
*Anaren Microwave, Inc. ................................. 15,600 83,850
Anchor Bancorp Wisconsin, Inc. ......................... 11,700 356,850
Andover Bancorp, Inc. DE ............................... 15,600 282,750
*Andover Togs, Inc. ..................................... 3,600 8,775
Angelica Corp. ......................................... 35,400 911,550
*Apertus Technologies, Inc. ............................. 17,700 175,894
*Applied Extrusion Technologies, Inc. ................... 22,800 319,200
*Applied Immune Sciences, Inc. .......................... 9,200 40,825
*Applied Magnetics Corp. ................................ 113,600 653,200
*Applied Signal Technologies, Inc. ...................... 45,000 185,625
Aquila Gas Pipeline Corp. .............................. 10,000 91,250
Arkansas Best Corp. .................................... 141,000 1,374,750
*Arrow Automotive Industries, Inc. ...................... 10,600 62,938
Arrow Financial Corp. .................................. 4,576 69,212
Artistic Greetings, Inc. ............................... 13,300 49,875
Arvin Industries, Inc. ................................. 52,100 1,191,788
Ashland Coal, Inc. ..................................... 65,000 1,738,700
*Astrosystems, Inc. ..................................... 27,100 137,194
8
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Astrotech International Corp. .......................... 36,400 $ 113,750
*Athey Products Corp. ................................... 7,140 41,948
Atkinson (Guy F.) of California ........................ 53,200 465,500
*Atlantic Tele-Network, Inc. ............................ 45,900 370,069
Atlantis Plastics, Inc. ................................ 24,800 173,600
*Atlas Corp. ............................................ 11,600 18,850
*Atwood Oceanics, Inc. .................................. 38,800 579,575
*Audiovox Corp. Class A ................................. 35,100 186,469
Augat, Inc. ............................................ 4,100 84,050
*Aurora Electronics, Inc. ............................... 55,000 168,438
Autoclave Engineers, Inc. .............................. 15,400 194,425
*Autoinfo, Inc. ......................................... 26,000 91,813
*Avatar Holdings, Inc. .................................. 22,400 826,000
Aviall, Inc. ........................................... 152,500 1,277,188
*Avondale Industries, Inc. .............................. 85,900 628,144
*Aydin Corp. ............................................ 19,400 293,425
*Aztar Corp. ............................................ 140,900 1,320,938
Aztec Manufacturing Co. ................................ 19,500 70,688
BEI Electronics, Inc. .................................. 22,600 155,375
*BF Enterprises, Inc. ................................... 2,300 14,519
*BI, Inc. ............................................... 25,400 166,688
BMJ Financial Corp. .................................... 6,900 89,700
BSB Bancorp, Inc. ...................................... 15,900 475,013
BT Financial Corp. ..................................... 10,395 311,850
*Bachman Information Systems, Inc. ...................... 52,100 299,575
*Back Bay Restaurant Group, Inc. ........................ 7,600 42,750
Badger Meter, Inc. ..................................... 4,300 108,306
*Badger Paper Mills, Inc. ............................... 6,600 99,825
Bairnco Corp. .......................................... 54,000 243,000
Baker (J.), Inc. ....................................... 106,818 1,415,339
*Baker (Michael) Corp. .................................. 50,000 265,625
Baldwin & Lyons, Inc. Class B .......................... 1,600 25,600
*Baldwin Piano & Organ Co. .............................. 20,000 257,500
*Baldwin Technology, Inc. Class A ....................... 72,800 423,150
*Bally Entertainment Corp. .............................. 175,400 1,819,775
*Baltek Corp. ........................................... 4,500 38,531
*BancTec, Inc. .......................................... 12,700 193,675
Bank of New Hampshire Corp. ............................ 12,200 317,200
BankAtlantic Bancorp, Inc. ............................. 500 7,688
BankNorth Group, Inc. DE ............................... 24,200 626,175
Bankers Corp. .......................................... 40,140 669,836
Bankers First Corp. .................................... 15,200 406,600
*Banner Aerospace, Inc. ................................. 132,300 595,350
*Barry (R.G.) Corp. ..................................... 10,800 182,250
*Basin Exploration, Inc. ................................ 13,600 102,000
Bassett Furniture Industries, Inc. ..................... 14,750 396,406
Bay View Capital Corp. ................................. 26,700 694,200
*Bayou Steel Corp. Class A .............................. 36,700 167,444
*Be Aerospace, Inc. ..................................... 126,100 1,056,088
Bearings, Inc. ......................................... 11,400 316,350
*Beazer Homes USA, Inc. ................................. 1,000 15,500
*Beeba's Creations, Inc. ................................ 7,500 30,469
*Bel Fuse, Inc. ......................................... 19,200 216,000
*Belden & Blake Corp. ................................... 12,800 208,000
Bell Bancorp, Inc. ..................................... 35,300 979,575
*Bell Industries, Inc. .................................. 25,278 483,436
*Ben & Jerry's Homemade, Inc. Class A ................... 12,700 180,975
*Ben Franklin Retail Stores, Inc. ....................... 27,300 134,794
*Benson Eyecare Corp. ................................... 16,761 171,800
*Berlitz International, Inc. ............................ 79,100 1,161,781
*Bertuccis, Inc. ........................................ 26,300 184,100
Bindley Western Industries, Inc. ....................... 40,400 633,775
Binks Manufacturing Co. ................................ 11,518 280,751
9
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Bird Corp. ............................................. 12,300 $ 81,488
*Bird Medical Technologies, Inc. ........................ 20,600 124,888
*Biscayne Apparel, Inc. ................................. 32,870 57,523
*Bon-Ton Stores, Inc. ................................... 38,800 400,125
*Boomtown, Inc. ......................................... 66,500 739,813
*Borland International, Inc. ............................ 36,000 447,750
*Borror Corp. ........................................... 25,000 115,625
Bowl America, Inc. Class A ............................. 10,000 77,500
Bowne & Co., Inc. ...................................... 69,216 1,228,584
Bradlees, Inc. ......................................... 62,100 302,738
*Brauns Fashions Corp. .................................. 22,200 66,600
Brenton Banks, Inc. .................................... 650 12,106
*Brite Voice Systems, Inc. .............................. 2,000 38,625
*Broadcast International, Inc. .......................... 33,400 215,013
*Broadway Stores, Inc. .................................. 274,830 1,477,211
*Brookstone, Inc. ....................................... 44,500 246,141
*Brooktree Corp. ........................................ 50,500 823,781
*Brothers Gourmet Coffees, Inc. ......................... 6,200 55,800
*Brown & Sharpe Manufacturing Co. Class A ............... 16,700 104,375
Brush Wellman, Inc. .................................... 99,900 2,172,825
*Buffton Corp. .......................................... 7,200 11,250
*Builders Transport, Inc. ............................... 14,900 165,763
*Bull Run Corp. GA ...................................... 37,900 81,722
*Burlington Coat Factory Warehouse Corp. ................ 165,000 1,773,750
*Burr Brown Corp. ....................................... 46,200 1,033,725
*Butler International, Inc. ............................. 23,200 150,800
*Buttrey Food & Drug Stores Co. ......................... 52,400 389,725
CCP Insurance, Inc. .................................... 40,900 920,250
CFX Corp. .............................................. 15,018 356,678
CPB, Inc. .............................................. 17,300 454,125
CPI Corp. .............................................. 88,100 1,574,788
CRSS, Inc. ............................................. 49,500 717,750
CSF Holdings, Inc. Class B ............................. 32,400 967,950
*CSP, Inc. .............................................. 9,300 71,494
*CSS Industries, Inc. ................................... 4,900 78,400
*CTL Credit, Inc. ....................................... 11,900 182,219
CTS Corp. .............................................. 20,200 651,450
CU Bancorp ............................................. 16,700 123,163
*Cablemaxx, Inc. ........................................ 44,600 303,838
Cadmus Communications Corp. ............................ 10,700 196,613
*Caldor Corp. ........................................... 71,100 1,333,125
California Financial Holding Corp. ..................... 17,930 298,086
Calmat Co. ............................................. 182,800 3,678,850
*Cambridge Soundworks, Inc. ............................. 20,000 125,000
*Campo Eletronics, Appliances & Computers, Inc. ......... 43,900 279,863
Cape Cod Bank & Trust Co. .............................. 5,600 170,100
Capital Guarantee Corp. ................................ 1,100 19,388
Capital Re Corp. ....................................... 90,600 2,231,025
Capitol Bancorp, Ltd. .................................. 5,600 51,100
*Capsure Holdings Corp. ................................. 95,700 1,339,800
*Care Group, Inc. ....................................... 28,200 96,938
*Careline, Inc. ......................................... 20,000 145,000
*Carlisle Plastics, Inc. Class A ........................ 61,100 297,863
*Carmike Cinemas, Inc. Class A .......................... 18,000 429,750
Carolina First Corp. ................................... 21,050 290,753
*Carolina Freight Corp. ................................. 27,400 267,150
Carpenter Technology Corp. ............................. 28,300 1,818,275
*Carr-Gottstein Foods Co. ............................... 96,100 612,638
*Carson Pirie Scott & Co. ............................... 2,600 43,550
*Carver Corp. WA ........................................ 12,900 20,963
Cash America International, Inc. ....................... 52,700 408,425
Castle (A.M.) & Co. .................................... 19,650 297,206
10
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Catherines Stores Corp. ................................ 46,000 $ 462,875
*Cell Genesys, Inc. ..................................... 25,500 119,531
Cenfed Financial Corp. ................................. 15,700 312,038
Cenit Bancorp, Inc. .................................... 3,900 140,888
Centerbank Waterbury, CT ............................... 22,500 323,438
*Centigram Communications Corp. ......................... 18,200 236,600
Central & Southern Holding Co. ......................... 14,700 107,494
Central Reserve Life Corp. ............................. 15,300 113,794
*Central Sprinkler Corp. ................................ 17,200 389,150
Centura Banks, Inc. .................................... 25,000 646,875
*Cephalon, Inc. ......................................... 83,600 830,775
*Ceradyne, Inc. ......................................... 11,100 56,194
Champion Parts, Inc. ................................... 12,100 15,881
Chaparral Steel Co. .................................... 150,400 1,428,800
*Chart House Enterprises, Inc. .......................... 42,300 327,825
Charter One Financial, Inc. ............................ 81,500 2,047,688
Charter Power Systems, Inc. ............................ 12,000 271,500
*Check Technology Corp. ................................. 7,600 46,550
*Checkers Drive-In Restaurant, Inc. ..................... 35,000 78,203
*Chemfab Corp. .......................................... 10,700 176,550
*Chempower, Inc. ........................................ 7,300 25,550
*Cherry Corp. Class A ................................... 10,000 152,500
*Cherry Corp. Class B ................................... 10,900 153,963
Chesapeake Utilities Corp. ............................. 15,900 200,738
Chester Valley Bancorp ................................. 551 11,089
*Chic by His, Inc. ...................................... 11,300 121,475
Chicago Rivet & Machine Co. ............................ 1,100 31,488
*Chips & Technologies, Inc. ............................. 5,700 54,506
Chittenden Corp. ....................................... 24,656 533,191
*Chock Full O' Nuts Corp. ............................... 39,904 259,376
*Cimco, Inc. ............................................ 10,100 47,975
Cincinnati Microwave, Inc. ............................. 22,000 279,125
*Circon Corp. ........................................... 26,500 501,844
*Circuit Systems, Inc. .................................. 2,500 8,906
*Citation Insurance Group ............................... 21,500 64,500
Citfed Bancorp, Inc. ................................... 13,100 352,063
Citizens Bancorp MD .................................... 32,300 962,944
Citizens Banking Corp. ................................. 3,000 83,250
City National Corp. .................................... 98,500 1,095,813
*Civic Bancorp .......................................... 14,900 108,025
*Clean Harbors, Inc. .................................... 35,000 183,750
*Cliffs Drilling Co. .................................... 14,700 201,206
*Clothestime, Inc. ...................................... 88,000 262,625
Co-Operative Bank of Concord, MA ....................... 20,400 308,550
*Coast Distribution System .............................. 18,600 120,900
*Coast Savings Financial, Inc. .......................... 72,700 1,499,438
*Cobra Electronic Corp. ................................. 21,400 38,119
Coca Cola Bottling Co. Consolidated ................... 9,700 310,400
*Code Alarm, Inc. ....................................... 8,600 58,050
Coeur d'Alene Mines Corp. ID ........................... 4,200 81,900
Coherent Communications Systems Corp. ................. 7,734 227,186
*Coherent, Inc. ......................................... 36,800 910,800
*Coho Energy, Inc. ...................................... 41,100 223,481
Collective Bancorp, Inc. ............................... 30,800 691,075
*Collins Industries, Inc. ............................... 12,500 30,469
*Columbia First Bank, A Federal Savings Bank ............ 10,800 620,325
Commerce Bancorp, Inc. ................................. 12,600 226,013
*Commercial Federal Corp. ............................... 48,200 1,418,888
Commercial Metals Co. .................................. 29,200 799,350
*Communication Cable, Inc. .............................. 14,420 114,459
11
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Community Bankshares, Inc. NH .......................... 5,900 $ 96,613
Community First Bankshares, Inc. ....................... 16,700 259,894
Community Psychiatric Centers .......................... 36,000 445,500
Computer Data Systems, Inc. ............................ 15,500 156,938
*Computer Horizons Corp. ................................ 2,250 28,406
Computer Task Group, Inc. .............................. 21,900 249,113
*Comshare, Inc. ......................................... 9,500 166,250
*Comstock Resources, Inc. ............................... 14,000 66,063
*Comtech Telecommunications Corp. ....................... 8,700 22,838
*Concord Fabrics, Inc. Class A .......................... 7,900 50,363
*Condor Services, Inc. .................................. 4,500 22,219
*Conmed Corp. ........................................... 641 12,500
*Conner Peripherals, Inc. ............................... 30,000 386,250
*Continental Can, Inc. DE ............................... 11,700 286,650
Continental Homes Holding Corp. ........................ 45,348 691,557
*Continental Medical Systems, Inc. ...................... 138,400 1,297,500
*Control Data Systems, Inc. ............................. 81,800 848,675
*Convest Energy Corp. ................................... 10,000 38,438
*Convex Computer Corp. .................................. 74,300 287,913
Core Industries, Inc. .................................. 35,700 370,388
*Cornerstone Financial Corp. ............................ 7,000 59,500
*Cortech, Inc. .......................................... 36,200 85,409
Courier Corp. .......................................... 7,200 139,500
*Craig Corp. ............................................ 16,300 159,944
*Cray Research, Inc. .................................... 37,000 846,375
*Criticare Systems, Inc. ................................ 25,100 54,122
*Crosscomm Corp. ........................................ 29,200 344,925
*Crown Books Corp. ...................................... 18,200 273,000
*Crown Central Petroleum Corp. Class A .................. 17,400 291,450
*Crown Central Petroleum Corp. Class B .................. 25,700 424,050
*Crown-Andersen, Inc. ................................... 5,300 34,450
*Cruise America, Inc. ................................... 29,100 141,863
Cubic Corp. ............................................ 31,000 720,750
*Culbro Corp. ........................................... 16,000 424,000
Cullen Frost Bankers, Inc. ............................. 16,700 661,738
Curtiss-Wright Corp. ................................... 18,300 752,588
*Customedix Corp. ....................................... 13,100 31,931
*Cycare Systems, Inc. ................................... 14,800 366,300
*Cygne Designs, Inc. .................................... 45,800 251,900
*Cytocare, Inc. ......................................... 14,500 103,313
*D&N Financial Corp. .................................... 6,900 65,981
*DBA Systems, Inc. ...................................... 14,400 105,300
*DM Management Co. ...................................... 15,000 44,063
*DS Bancor, Inc. ........................................ 9,975 260,597
DT Industries, Inc. .................................... 50,000 593,750
*DVI, Inc. .............................................. 11,800 141,600
*Dairy Mart Convenience Stores, Inc. Class A ............ 9,000 45,000
*Damark International, Inc. Class A ..................... 4,500 29,250
Daniel Industries, Inc. ................................ 73,500 1,130,063
*Danskin, Inc. .......................................... 29,600 62,900
Dart Group Corp. Class A ............................... 5,000 440,000
*Data General Corp. ..................................... 139,400 1,115,200
*Data I/O Corp. ......................................... 25,900 207,200
*Data Race, Inc. ........................................ 16,100 177,100
*Data Switch Corp. ...................................... 27,500 113,438
*Data Systems & Software, Inc. .......................... 24,900 192,975
*Data Translation, Inc. ................................. 4,500 120,938
*Dataflex Corp. ......................................... 19,800 148,500
*Datakey, Inc. .......................................... 8,200 29,725
*Dataram Corp. .......................................... 14,600 81,213
*Datron Systems, Inc. ................................... 9,200 101,775
12
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Datum, Inc. ............................................ 8,800 $ 114,950
Davis Water & Waste Industries, Inc. ................... 12,100 117,975
*Daxor Corp. ............................................ 18,600 127,875
*De Soto, Inc. .......................................... 38,500 192,500
DeKalb Genetics Corp. Class B .......................... 25,000 935,938
Deb Shops, Inc. ........................................ 75,300 301,200
Defiance, Inc. ......................................... 21,500 135,719
Del Laboratories, Inc. ................................. 4,000 195,000
Delaware Ostego Corp. .................................. 1,102 10,882
Delchamps, Inc. ........................................ 42,900 801,694
Delta Woodside Industries, Inc. ........................ 134,300 1,091,188
Deposit Guaranty Corp. ................................. 1,000 37,125
*Designatronics, Inc. ................................... 7,300 34,219
*Detection Systems, Inc. ................................ 9,400 65,213
*Detrex Corp. ........................................... 2,800 22,050
*Devcon International Corp. ............................. 15,300 116,663
Dexter Corp. CT ........................................ 12,000 283,500
*Dianon Systems, Inc. ................................... 13,900 66,025
*Digicon, Inc. .......................................... 50,000 250,000
*Digital Systems International, Inc. .................... 31,100 239,081
*Dime Bancorp, Inc. ..................................... 58,878 559,341
*Dime Financial Corp. ................................... 16,700 164,913
Dixie Yarns, Inc. ...................................... 45,200 322,050
Donegal Group, Inc. .................................... 19,400 329,800
*Dotronix, Inc. ......................................... 1,000 2,156
Douglas & Lomason Co. .................................. 14,400 226,800
Downey Financial Corp. ................................. 63,000 1,134,000
*Dress Barn, Inc. ....................................... 15,023 137,085
*Drug Emporium, Inc. .................................... 49,300 203,363
*Drypers Corp. .......................................... 5,000 30,625
*Dual Drilling Co. ...................................... 80,800 808,000
*Duplex Products, Inc. .................................. 60,900 510,038
Duty Free International, Inc. .......................... 39,700 401,963
Dyersburg Corp. ........................................ 31,000 162,750
Dynamics Corp. of America .............................. 14,300 328,900
*Dynamics Research Corp. ................................ 20,740 94,626
Dynatech Corp. ......................................... 57,800 1,025,900
*E for M Corp. .......................................... 17,300 116,775
*E-Z-Em, Inc. Class A ................................... 20,500 105,063
*E-Z-Em, Inc. Class B ................................... 775 3,536
*EA Engineering Science & Technology, Inc. ............. 10,125 58,219
*ECC International Corp. ................................ 13,200 143,550
EMC Insurance Group, Inc. .............................. 33,600 382,200
*ESCO Electronics Corp. Trust Receipts .................. 88,400 740,350
Eagle Bancshares, Inc. ................................. 4,200 115,500
Eagle Financial Corp. .................................. 15,137 298,956
*Eagle Food Centers, Inc. ............................... 62,100 139,725
*Eagle Hardware & Garden, Inc. .......................... 10,600 77,513
Eastern Bancorp, Inc. .................................. 8,300 159,775
Eastern Co. ............................................ 10,700 157,825
*Eastex Energy, Inc. .................................... 22,500 94,219
Eaton Vance Corp. ...................................... 5,023 167,015
Ecology & Environment, Inc. Class A ................... 7,200 56,700
*Ecoscience Corp. ....................................... 29,000 45,313
Edison Brothers Stores, Inc. ........................... 9,200 120,750
*Edisto Resources Corp. ................................. 102,200 785,663
Edo Corp. .............................................. 18,600 60,450
*Egghead, Inc. .......................................... 130,500 1,337,625
Ekco Group, Inc. ....................................... 71,100 426,600
*El Chico Restaurants, Inc. ............................. 3,200 26,000
Elco Industries, Inc. .................................. 17,800 338,200
13
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Eldorado Bancorp CA .................................... 10,200 $ 124,950
*Electric & Gas Technology, Inc. ........................ 3,000 7,781
*Electro Rent Corp. ..................................... 26,000 568,750
*Electro Scientific Industries, Inc. .................... 20,600 505,988
*Electromagnetic Sciences, Inc. ......................... 25,300 344,713
*Emcon .................................................. 38,000 180,500
*Emisphere Technologies, Inc. ........................... 17,000 41,438
*Employee Benefit Plans, Inc. ........................... 59,900 801,163
*Emulex Corp. ........................................... 11,750 254,094
Energen Corp. .......................................... 17,200 356,900
Engle Homes, Inc. ...................................... 22,500 205,313
Enhance Financial Services Group, Inc. ................ 141,100 2,522,163
*Ensys Environmental Products, Inc. ..................... 45,000 123,750
*Enterra Corp. DE ....................................... 11,800 225,675
*Environmental Elements Corp. ........................... 17,200 51,600
*Envirotest Systems Corp. Class A ...................... 26,600 161,263
*Equinox Systems, Inc. .................................. 10,000 81,250
*Equitrac Corp. ......................................... 5,800 27,188
*Equity Oil Co. ......................................... 97,200 437,400
Espey Manufacturing & Electronics Corp. ................ 2,900 37,338
*Esterline Technologies Corp. ........................... 23,100 407,138
*Evans & Sutherland Computer Corp. ...................... 52,100 722,888
*Evans, Inc. ............................................ 17,800 27,813
Evergreen Bancorp, Inc. DE ............................. 15,700 270,825
*Evergreen Resources, Inc. .............................. 13,500 74,250
*Exabyte Corp. .......................................... 400 5,425
Excel Industries, Inc. ................................. 72,500 996,875
*Executone Information Systems, Inc. ................... 78,600 171,938
*Express America Holdings Corp. ......................... 29,400 126,788
*Ezcorp, Inc. Class A Non-Voting ........................ 38,000 247,000
*F & M Distributors, Inc. ............................... 19,700 34,475
*FDP Corp. .............................................. 7,000 42,000
*FPA Corp. .............................................. 20,100 25,125
Fab Industries, Inc. ................................... 581 18,447
*Fabri-Centers of America, Inc. ......................... 35,700 722,925
*Failure Group, Inc. .................................... 25,700 134,925
*Fairchild Corp. Class A ................................ 72,200 198,550
Family Bancorp ......................................... 10,100 219,675
Fansteel, Inc. ......................................... 32,600 220,050
*Farah, Inc. ............................................ 46,400 324,800
Farmer Brothers Co. .................................... 84 10,668
*Farr Co. ............................................... 13,700 96,756
Fay's, Inc. ............................................ 21,400 155,150
Federal Screw Works .................................... 2,000 41,750
*Fieldcrest Cannon, Inc. ................................ 12,600 286,650
*Fifty-Off Stores, Inc. ................................. 18,900 40,163
*Figgie International, Inc. Class A ..................... 59,800 482,138
*Figgie International, Inc. Class B ..................... 17,700 131,644
*Filenes Basement Corp. ................................. 77,100 308,400
*Financial Benefit Group, Inc. Class A ................. 38,850 121,406
First American Financial Corp. ......................... 80,800 1,747,300
*First Cash, Inc. ....................................... 13,700 43,669
First Citizens Bancshares, Inc. NC ..................... 17,400 846,075
*First Citizens Financial Corp. ......................... 8,634 147,856
*First Commercial Bancorp, Inc. ......................... 15,100 15,808
First Essex Bancorp .................................... 22,400 180,600
First Federal Alabama FSB Jasper ....................... 2,500 36,563
First Federal Capital Corp. ............................ 20,840 328,230
14
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
First Financial Corp. WI ............................... 12,000 $ 198,000
First Financial Corp. of Western Maryland .............. 7,300 144,175
First Financial Holdings, Inc. ......................... 18,900 354,375
First Indiana Corp. .................................... 27,399 517,156
First Liberty Financial Corp. .......................... 10,900 173,038
First Mississippi Corp. ................................ 40,100 927,313
First Northern Savings Bank S.A. Green Bay, WI ......... 20,800 286,000
*First Republic Bancorp, Inc. ........................... 28,828 378,368
First State Financial Services, Inc. ................... 10,300 111,369
*FirstFed Financial Corp. DE ............................ 39,400 659,950
FirstFed Michigan Corp. ................................ 72,850 2,117,203
Firstbank of Illinois Co. .............................. 1,200 32,550
Firstfed Bancshares, Inc. .............................. 15,000 271,875
*Fischer Imaging Corp. .................................. 18,800 99,875
Flexsteel Industries, Inc. ............................. 51,500 540,750
Florida Rock Industries, Inc. .......................... 50,800 1,454,150
*Foodarama Supermarkets, Inc. ........................... 2,400 24,750
*Foodbrands America, Inc. ............................... 88,200 970,200
Foothill Group, Inc. Class A ........................... 44,500 1,101,375
Foothill Independent Bancorp ........................... 13,900 108,594
*Forschner Group, Inc. .................................. 58,000 587,250
*Forstmann & Co., Inc. .................................. 26,400 102,300
Foster (L.B.) Co. Class A .............................. 35,400 139,388
*Foxmeyer Health Corp. .................................. 106,987 1,939,139
Freds, Inc. Class A .................................... 63,500 650,875
Fremont General Corp. .................................. 93,060 2,349,765
*Fresh Choice, Inc. ..................................... 45,000 478,125
*Fretter, Inc. .......................................... 19,500 52,406
*Freymiller Trucking, Inc. .............................. 4,500 5,625
Friedman Industries, Inc. .............................. 21,555 87,567
Frisch's Restaurants, Inc. ............................. 27,412 256,988
Furon Co. .............................................. 9,900 217,800
*Future Now, Inc. ....................................... 20,400 150,450
*G-III Apparel Group, Ltd. .............................. 23,000 35,938
GBC Bancorp ............................................ 48,200 596,475
*GBC Technologies, Inc. ................................. 50,400 359,100
*GNI Group, Inc. ........................................ 19,800 124,988
*GZA Geoenvironmental Technologies, Inc. ............... 14,000 52,500
*Galileo Electro-Optics Corp. ........................... 24,000 162,000
Gamma Biologicals, Inc. ................................ 16,200 72,900
*Gantos, Inc. ........................................... 4,250 14,609
Garan, Inc. ............................................ 33,000 569,250
*Garnet Resources Corp. ................................. 50,000 146,875
Gateway Bancorp, Inc. .................................. 1,100 12,788
*Gehl Co. ............................................... 22,900 194,650
*General Host Corp. ..................................... 84,609 581,687
General Housewares Corp. ............................... 15,100 181,200
*General Microwave Corp. ................................ 400 3,400
General Parametrics Corp. .............................. 12,200 19,825
General Physics Corp. .................................. 22,900 62,975
*Genesco, Inc. .......................................... 138,000 448,500
*Genetic Therapy, Inc. .................................. 23,800 276,675
*Genicom Corp. .......................................... 37,100 157,675
*Genlyte Group, Inc. .................................... 75,700 435,275
*Genus, Inc. ............................................ 25,800 311,213
Geodynamics Corp. ...................................... 7,900 72,088
*Gerrity Oil and Gas Corp. .............................. 102,600 416,813
*Getty Petroleum Corp. .................................. 700 8,050
*Giant Group, Ltd. ...................................... 19,300 139,925
Giant Industries, Inc. ................................. 45,300 385,050
*Gibraltar Packaging Group, Inc. ........................ 28,400 170,400
Gibson (C.R.) Co. ...................................... 1,800 13,725
15
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Gibson Greetings, Inc. ................................. 60,700 $ 644,938
*Giga-Tronics, Inc. ..................................... 5,300 36,769
Gilbert Associates, Inc. Class A ....................... 29,800 387,400
*Gish Biomedical, Inc. .................................. 17,500 118,125
Gleason Corp. .......................................... 17,700 384,975
Golden Poultry Co., Inc. ............................... 69,150 432,188
*Good Guys, Inc. ........................................ 32,200 340,113
*Gottschalks, Inc. ...................................... 46,100 316,938
*Government Technology Services, Inc. ................... 33,500 234,500
*Gradco Systems, Inc. ................................... 60,000 262,500
*Graham Corp. ........................................... 2,300 23,863
*Graham-Field Health Products, Inc. ..................... 49,100 165,713
*Grand Casinos, Inc. .................................... 43,000 1,370,625
Granite Construction, Inc. ............................. 58,100 1,238,256
Granite State Bankshares, Inc. ......................... 8,200 109,163
*Grant Geophysical, Inc. ................................ 21,600 50,625
Graphic Industries, Inc. ............................... 36,200 357,475
*Great Country Bank of Ansonia, CT ...................... 16,900 45,419
*Greater New York Savings Bank NY ...................... 51,100 463,094
Green (A.P.) Industries, Inc. .......................... 13,700 275,713
*Greenman Brothers, Inc. ................................ 20,500 139,656
Greiner Engineering, Inc. .............................. 25,000 281,250
Greyhound Lines, Inc. .................................. 53,200 179,550
*Grossmans, Inc. ........................................ 202,300 398,278
*Ground Round Restaurants, Inc. ......................... 62,400 179,400
*Groundwater Technology, Inc. ........................... 26,000 308,750
Grovebank for Savings .................................. 5,300 123,225
Guaranty National Corp. ................................ 38,000 646,000
Guilford Mills, Inc. ................................... 79,300 2,041,975
*Gulfmark International, Inc. ........................... 11,100 205,350
*Gundle Environmental Systems, Inc. ..................... 56,700 318,938
HF Financial Corp. ..................................... 12,500 328,125
*HMG Worldwide Corp. .................................... 15,000 25,313
HMI Industries, Inc. ................................... 9,000 149,625
*HPSC, Inc. ............................................. 18,500 85,563
*HS Resources, Inc. ..................................... 21,000 309,750
*Hadco Corp. ............................................ 43,900 943,850
Haggar Corp. ........................................... 600 11,025
Hallwood Group, Inc. ................................... 8,300 24,900
*Hamburger Hamlet Restaurants, Inc. ..................... 14,800 75,850
*Hampshire Group, Ltd. .................................. 5,800 50,750
*Hampton Industries, Inc. ............................... 9,790 63,635
*Handex Environmental Recovery, Inc. .................... 49,800 292,575
Handleman Co. .......................................... 197,436 2,295,194
*Hanger Orthopedic Group, Inc. .......................... 30,600 99,450
*Harding Associates, Inc. ............................... 17,000 96,688
Harleysville Group, Inc. ............................... 46,100 1,129,450
*Harlyn Products, Inc. .................................. 22,200 77,700
*Hartmarx Corp. ......................................... 40,000 195,000
Hastings Manufacturing Co. ............................. 850 15,938
Hathaway Corp. ......................................... 16,300 43,806
*Hauser Chemical Research, Inc. ......................... 38,600 195,413
Haverty Furniture Co., Inc. ............................ 66,100 681,656
Hawkeye Bancorp ........................................ 12,000 264,000
*Hawthorne Financial Corp. .............................. 9,500 23,750
Hayes Wheels International, Inc. ....................... 119,500 2,151,000
Health Images, Inc. .................................... 45,100 225,500
Health O Meter Products, Inc. .......................... 24,500 92,641
16
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Health Risk Management, Inc. ........................... 13,600 $ 130,050
Hechinger Co. Class A .................................. 85,600 647,350
Heico Corp. ............................................ 8,300 129,688
Hein-Werner Corp. ...................................... 9,141 51,989
*Heist (C.H.) Corp. ..................................... 16,800 136,500
*Helian Health Group, Inc. .............................. 5,700 18,881
*Herley Industries, Inc. ................................ 15,400 57,269
Hexcel Corp. ........................................... 11,100 61,050
*Hi-Lo Automotive, Inc. ................................. 69,300 615,038
*Hi-Shear Industries, Inc. .............................. 21,800 125,350
*Hitox Corp. ............................................ 9,100 38,675
*Holiday RV Superstores, Inc. ........................... 14,200 28,400
*Hologic, Inc. .......................................... 9,800 105,963
*Holson Burnes Group, Inc. .............................. 23,400 102,375
Home Beneficial Corp. Class B .......................... 56,100 1,171,088
Home Federal Bancorp ................................... 7,900 163,925
Home Federal Financial Corp. ........................... 5,566 77,228
Home Port Bancorp, Inc. ................................ 6,500 68,250
*Homecorp, Inc. ......................................... 1,900 28,025
*Homeowners Group, Inc. ................................. 19,700 23,086
*Hometown Bancorp., Inc. ................................ 800 9,000
Hooper Holmes, Inc. .................................... 35,400 318,600
*Hospital Staffing Services, Inc. ....................... 20,200 35,350
*Hosposable Products, Inc. .............................. 600 4,275
*Hovnanian Enterprises, Inc. Class A ................... 85,284 506,374
Howell Corp. ........................................... 18,100 248,875
Howell Industries, Inc. ................................ 1,600 43,200
Hudson Foods, Inc. Class A ............................. 44,550 612,563
Hudson General Corp. ................................... 2,500 47,500
Hughes Supply, Inc. .................................... 38,900 763,413
*Hurco Companies, Inc. .................................. 9,700 38,800
*Hyde Athletic Industries, Inc. Class A ................ 10,300 47,638
*Hyde Athletic Industries, Inc. Class B ................ 28,300 122,044
ICN Pharmaceuticals, Inc. .............................. 8,502 144,541
*ICO, Inc. .............................................. 62,300 334,863
*IFR Systems, Inc. ...................................... 17,000 191,250
Image Industries, Inc. ................................. 35,000 360,938
*Immulogic Pharmaceutical Corp. ......................... 45,900 344,967
*Imo Industries, Inc. ................................... 20,900 167,200
Imperial Bancorp ....................................... 49,959 961,711
*Imperial Credit Industries, Inc. ....................... 900 10,463
Imperial Holly Corp. ................................... 38,000 334,875
*In Home Health, Inc. ................................... 37,000 97,125
*Inacom Corp. ........................................... 38,300 397,363
*Inco Homes Corp. ....................................... 27,940 50,641
*Incstar Corp. .......................................... 18,200 52,325
Independence Holding Co. ............................... 56,200 182,650
Independent Bank Corp. MA .............................. 61,200 401,625
Independent Bank East .................................. 8,000 198,000
Independent Insurance Group, Inc. ...................... 27,000 334,125
Indiana Federal Corp. .................................. 16,650 276,806
*Indresco, Inc. ......................................... 125,320 1,707,485
Industrial Acoustics Co., Inc. ......................... 700 10,500
*Information International, Inc. ........................ 7,100 56,800
*Information Resources, Inc. ............................ 17,600 238,700
*Infrasonics, Inc. ...................................... 90,000 233,438
Ingles Market, Inc. Class A ............................ 40,900 378,325
*Inmac Corp. ............................................ 32,000 174,000
Insituform East, Inc. .................................. 15,100 63,231
17
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Insteel Industries, Inc. ............................... 32,500 $ 243,750
*Integrated Waste Services, Inc. ........................ 29,700 50,119
*Intellicall, Inc. ...................................... 46,700 204,313
Inter-Regional Financial Group, Inc. ................... 30,700 825,063
Interco, Inc. .......................................... 16,900 103,513
Interface Systems, Inc. ................................ 14,900 92,194
Interface, Inc. Class A ................................ 86,600 1,223,225
*Intergraph Corp. ....................................... 175,700 2,360,969
*Interlinq Software Corp. ............................... 30,000 116,250
Intermetrics, Inc. ..................................... 14,100 91,650
International Aluminum Corp. ........................... 8,300 282,200
*International Jensen, Inc. ............................. 18,100 160,638
*International Lottery & Totalizer Systems, Inc. ........ 18,400 36,225
International Multifoods Corp. ......................... 70,300 1,485,088
International Research & Development Corp. ............ 18,600 19,181
International Shipholding Corp. ........................ 19,900 405,463
*International Technology Corp. ........................ 133,400 400,200
*International Thoroughbred Breeders, Inc. ............. 16,800 114,450
*Interphase Corp. ....................................... 15,200 164,350
Interstate Bakeries Corp. DE ........................... 137,300 2,008,013
*Intertan, Inc. ......................................... 55,100 399,475
Investors Title Co. .................................... 8,700 71,775
Iomega Corp. ........................................... 64,875 912,305
*J & J Snack Foods Corp. ................................ 50,300 603,600
JSB Financial, Inc. .................................... 39,100 1,214,544
Jackpot Enterprises, Inc. .............................. 29,800 257,025
Jaclyn, Inc. ........................................... 9,700 49,713
Jaco Electronics, Inc. ................................. 6,710 53,680
*Jacobs Jay, Inc. ....................................... 31,300 37,169
Jacobson Stores, Inc. .................................. 20,700 207,000
*Jan Bell Marketing, Inc. ............................... 182,900 480,113
*Jefferson Savings Bancorp, Inc. ........................ 20,000 367,500
John Alden Financial Corp. ............................. 48,000 876,000
Johnston Industries, Inc. .............................. 5,100 48,450
*Just Toys, Inc. ........................................ 14,000 18,813
Justin Industries, Inc. ................................ 65,500 667,281
K Swiss, Inc. Class A .................................. 30,400 395,200
*K-Tron International, Inc. ............................. 6,300 38,588
*KLLM Transport Services, Inc. .......................... 16,700 231,713
*Kaiser Resources, Inc. ................................. 31,100 217,700
Kaman Corp. Class A .................................... 65,900 811,394
Katy Industries, Inc. .................................. 2,500 22,188
Keithley Instruments, Inc. ............................. 500 9,063
Kellwood Co. ........................................... 66,518 1,130,806
Kenan Transport Co. .................................... 200 4,050
*Kentucky Electric Steel, Inc. .......................... 13,000 117,000
*Kentucky Medical Insurance Co. Class A ................. 7,200 45,900
*Kerr Group, Inc. ....................................... 12,000 94,500
*Kevlin Corp. ........................................... 700 1,794
*Kewaunee Scientific Corp. .............................. 700 1,881
*Key Energy Group, Inc. ................................. 40,000 202,500
*Key Production Co., Inc. ............................... 36,800 207,000
*Key Tronic Corp. ....................................... 26,500 361,063
*Kinder-Care Learning Centers, Inc. ..................... 61,000 815,875
Kinetic Concepts, Inc. ................................. 3,900 27,300
*Kit Manufacturing Co. .................................. 2,600 27,625
Knape & Vogt Manufacturing Co. ......................... 9,800 162,925
*Knogo North America, Inc. .............................. 17,300 46,494
*Krystal Co. ............................................ 14,000 100,625
LCS Industries, Inc. ................................... 6,600 137,775
18
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CONTINUED
Shares Value+
------------------ ------------------
*LDI Corp. ................................................ 54,100 $ 185,969
LSI Industries, Inc. ..................................... 8,820 148,838
*LTX Corp. ................................................ 30,700 220,656
*Laclede Steel Co. ........................................ 8,700 97,875
Ladd Furniture, Inc. ..................................... 35,627 489,871
*Lafayette American Bank & Trust Co. ....................... 1,050 8,400
Lakeland First Financial Corp. ........................... 7,249 209,315
*Lamson & Sessions Co. .................................... 28,300 166,263
Lancer Corp. ............................................. 4,800 90,600
*Laserscope ............................................... 40,000 142,500
Lawyers Title Corp. ...................................... 31,712 445,950
*Layne, Inc. .............................................. 26,300 198,894
*Lazare Kaplan International, Inc. ........................ 11,300 84,750
*Leisure Concepts, Inc. ................................... 17,000 51,000
Lennar Corp. ............................................. 92,750 1,808,625
Lexington Savings Bank MA ................................ 6,800 99,875
Liberty Bancorp, Inc. .................................... 50,900 1,692,425
Liberty Corp. ............................................ 38,500 996,188
*Lifeline Systems, Inc. ................................... 19,500 141,375
Ligand Pharmaceuticals, Inc. Class B ...................... 25,497 149,795
*Lindal Cedar Homes, Inc. ................................. 8,000 32,500
Lindberg Corp. ........................................... 13,600 88,400
*Liposome Co., Inc. ....................................... 77,700 752,719
*Littlefield, Adams & Co. ................................. 12,000 63,000
*Liuski International, Inc. ............................... 10,900 43,600
*Live Entertainment, Inc. ................................. 6,740 29,488
*Lodgenet Entertainment Corp. ............................. 31,500 228,375
*Lomas Financial Corp. .................................... 89,700 117,731
*Longhorn Steaks, Inc. .................................... 19,500 264,469
Loyola Capital Corp. ..................................... 45,700 1,331,013
Lufkin Industries, Inc. .................................. 24,600 473,550
Lukens, Inc. DE .......................................... 20,000 675,000
*Lumex, Inc. .............................................. 16,400 202,950
*Luria & Son, Inc. ........................................ 19,900 131,838
*Lynch Corp. .............................................. 2,300 106,088
*M/A-COM, Inc. ............................................ 46,800 555,750
*M/A/R/C, Inc. ............................................ 3,335 43,355
MAF Bancorp, Inc. ........................................ 19,300 448,725
MDC Holdings, Inc. ....................................... 77,788 476,452
*MDT Corp. ................................................ 24,800 142,600
*MHI Group, Inc. .......................................... 20,000 155,000
*MI Schottenstein Homes, Inc. ............................. 31,300 273,875
MMI Companies, Inc. ...................................... 1,100 20,419
MMI Medical, Inc. ........................................ 12,200 45,750
MTS Systems Corp. ........................................ 16,000 426,000
Magna Bancorp ............................................ 900 18,225
Magna Group, Inc. ........................................ 18,700 388,025
Marble Financial Corp. ................................... 27,100 355,688
*Marietta Corp. ........................................... 12,300 132,225
*Marine Drilling Companies, Inc. .......................... 100,000 400,000
Maritrans, Inc. .......................................... 47,600 285,600
*Mark VII, Inc. ........................................... 9,900 170,775
Marsh Supermarkets, Inc. Class A ......................... 14,900 175,075
Marsh Supermarkets, Inc. Class B ......................... 16,000 171,000
Maryland Federal Bancorp ................................. 11,600 365,400
Massbank Corp. Reading, MA ............................... 10,400 271,700
*Mastec, Inc. ............................................. 12,700 158,750
*Matec Corp. DE ........................................... 5,200 20,800
Matlack Systems, Inc. .................................... 18,000 180,000
*Matrix Service Co. ....................................... 73,200 292,800
*Maverick Tube Corp. ...................................... 44,000 390,500
*Maxtor Corp. ............................................. 38,600 214,713
*Maxwell Laboratories, Inc. ............................... 8,730 62,201
19
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Maxxam, Inc. ............................................. 31,200 $1,033,500
*Maxxim Medical, Inc. ..................................... 48,800 677,100
*Maynard Oil Co. .......................................... 18,100 111,994
McGrath Rent Corp. ....................................... 27,900 463,838
McRae Industries, Inc. Class A ........................... 1,000 6,188
*Medalist Industries, Inc. ................................ 14,600 99,463
*Medalliance, Inc. ........................................ 31,200 101,400
Medex, Inc. .............................................. 27,500 297,344
*Media Logic, Inc. ........................................ 17,600 33,000
*Medical Diagnostics, Inc. ................................ 11,900 75,119
*Medical Graphics Corp. ................................... 7,600 44,175
Mediq, Inc. .............................................. 5,700 30,281
*Medquist, Inc. ........................................... 47,800 406,300
*Melamine Chemicals, Inc. ................................. 17,100 151,763
*Mem Co., Inc. ............................................ 5,300 19,213
*Mental Health Management, Inc. ........................... 712 1,869
Merchants Group, Inc. .................................... 11,800 191,750
*Meridian Data, Inc. ...................................... 20,000 72,500
Meridian Insurance Group, Inc. ........................... 24,500 278,688
*Merisel, Inc. ............................................ 96,200 619,288
Merrimac Industries, Inc. ................................ 6,000 55,500
*Mesa Airlines, Inc. ...................................... 172,300 1,119,950
*Mestek, Inc. ............................................. 13,500 136,688
Metrobank ................................................ 7,260 170,610
*Michael Anthony Jewelers, Inc. ........................... 68,800 223,600
Michael Foods, Inc. ...................................... 73,600 887,800
Mickelberry Communications, Inc. ......................... 20,100 75,375
*Micro Healthsystems, Inc. ................................ 18,400 63,250
*Microage, Inc. ........................................... 5,700 65,185
*Microcom, Inc. ........................................... 13,800 146,625
*Micron Electronics, Inc. ................................. 28,600 414,700
*Micronics Computers, Inc. ................................ 49,400 222,300
*Micropolis Corp. ......................................... 56,200 337,200
Mid America Banccorp ..................................... 23,886 406,062
*MidAmerican Waste System, Inc. ........................... 93,500 490,875
MidSouth Insurance Co. ................................... 3,000 31,500
Midconn Bank Kensington, CT .............................. 6,800 93,925
Middlesex Water Co. ...................................... 7,500 118,125
Midland Co. .............................................. 5,600 266,350
*Miles Homes, Inc. ........................................ 83,000 155,625
*Miller Building Systems, Inc. ............................ 7,400 23,125
*Miltope Group, Inc. ...................................... 20,800 68,900
*Milwaukee Insurance Group, Inc. .......................... 13,200 179,850
Mine Safety Appliances Co. ............................... 22,000 1,034,000
*Mobley Environmental Services, Inc. Class A .............. 10,500 14,766
Monarch Machine Tool Co. ................................. 13,400 130,650
Money Store, Inc. ........................................ 18,750 578,906
*Moog, Inc. Class A ....................................... 14,000 169,750
*Moog, Inc. Class B ....................................... 1,800 25,988
*Moore Products Co. ....................................... 3,700 60,125
*Morgan Products, Ltd. .................................... 32,000 212,000
Morrison Knudsen Corp. ................................... 52,100 286,550
*Motts Holdings, Inc. ..................................... 4,600 19,838
Mueller (Paul) Co. ....................................... 2,100 67,725
*Mueller Industries, Inc. ................................. 32,000 1,464,000
*Multi Color Corp. ........................................ 6,400 28,800
*Munsingwear, Inc. ........................................ 7,400 58,275
*Musicland Stores Corp. ................................... 29,600 288,600
Myers (L.E.) Co. Group ................................... 7,600 101,650
NAC RE Corp. ............................................. 17,200 505,250
*NAI Technologies, Inc. ................................... 24,700 74,100
NBT Bancorp .............................................. 6,440 103,845
NFS Financial Corp. ...................................... 9,800 315,438
NS Bancorp, Inc. ......................................... 26,300 792,288
20
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*NS Group, Inc. ........................................... 56,500 $ 233,063
*NSA International, Inc. .................................. 9,600 40,200
NSC Corp. ................................................ 71,200 195,800
NYMAGIC, Inc. ............................................ 57,000 933,375
*Nantucket Industries, Inc. ............................... 6,500 26,406
*Napco Security Systems, Inc. ............................. 16,200 41,513
Nash Finch Co. ........................................... 39,600 650,925
Nashua Corp. ............................................. 20,400 392,700
*Nathans Famous, Inc. ..................................... 17,600 80,300
*National Auto Credit, Inc. ............................... 114,746 1,204,833
National City Bancorp .................................... 22,006 343,836
*National Convenience Stores, Inc. ........................ 36,000 369,000
*National Education Corp. ................................. 39,800 154,225
*National Home Centers, Inc. .............................. 54,500 204,375
*National Home Health Care Corp. .......................... 8,600 26,875
*National Mercantile Bancorp. ............................. 2,400 9,150
*National Patent Development Corp. ........................ 21,700 46,113
National Presto Industries, Inc. ......................... 24,300 1,060,088
*National Standard Co. .................................... 8,100 112,388
*National Western Life Insurance Co. Class A .............. 11,500 477,250
*Natural Wonders, Inc. .................................... 23,100 80,850
*Navigators Group, Inc. ................................... 2,100 28,088
*Netframe Systems, Inc. ................................... 5,000 26,875
*Netrix Corp. ............................................. 7,800 56,063
*Network Computing Devices, Inc. .......................... 62,400 452,400
New Brunswick Scientific Co., Inc. ....................... 12,700 99,219
New Jersey Resources Corp. ............................... 64,912 1,476,748
*New Jersey Steel Corp. ................................... 17,800 215,825
New Mexico & Arizona Land Co. ............................ 7,920 79,200
Newcor, Inc. ............................................. 11,400 74,100
Newmil Bancorp, Inc. ..................................... 28,000 154,000
Newport Corp. ............................................ 24,900 194,531
*Nexstar Pharmaceuticals, Inc. ............................ 40,568 281,441
*Nichols Research Corp. ................................... 9,100 143,325
*Noble Drilling Corp. ..................................... 13,975 103,939
Noland Co. ............................................... 2,000 40,750
*Nord Resources Corp. ..................................... 64,100 224,350
*Nortek, Inc. ............................................. 48,800 469,700
North American Watch Corp. ............................... 13,500 180,563
North Fork Bancorporation, Inc. .......................... 71,339 1,266,267
North Side Savings Bank NY ............................... 18,822 447,023
*North Star Universal, Inc. ............................... 36,600 189,863
Northbay Financial Corp. ................................. 9,632 139,664
*Northeast Federal Corp. .................................. 40,100 476,188
Norwich Financial Corp. .................................. 19,900 225,119
*Novacare, Inc. ........................................... 8,500 63,750
*Nuclear Support Services, Inc. ........................... 5,700 12,113
*Nuevo Energy Co. ......................................... 86,100 1,840,388
*Nview Corp. .............................................. 16,200 109,350
*Nycor, Inc. .............................................. 9,500 25,531
*Nycor, Inc. Class A ...................................... 24,000 61,500
O'Sullivan Corp. ......................................... 21,900 249,113
*OEC Medical Systems, Inc. ................................ 37,000 259,000
*OMI Corp. ................................................ 234,300 1,259,363
Oglebay Norton Co. ....................................... 8,800 287,100
*Old America Stores, Inc. ................................. 20,000 247,500
OnbanCorp, Inc. .......................................... 52,800 1,415,700
*Oncogene Science, Inc. ................................... 56,300 232,238
*One Price Clothing Stores, Inc. .......................... 4,400 21,175
Oneida, Ltd. ............................................. 42,400 636,000
*Oneita Industries, Inc. .................................. 26,100 280,575
Optical Coating Laboratory, Inc. ......................... 31,900 307,038
*Option Care, Inc. ........................................ 16,200 56,700
21
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Orange Co., Inc. ......................................... 57,100 $ 378,288
*Orbit International Corp. ................................ 20,300 38,063
*Orchard Supply Hardware Stores Corp. ..................... 55,000 625,625
*Oregon Metallurgical Corp. ............................... 40,300 347,588
Oregon Steel Mills, Inc. ................................. 75,661 1,210,576
Oriole Homes Corp. Class B ............................... 7,300 53,381
Orion Capital Corp. ...................................... 48,300 1,871,625
Osborn Communications Corp. .............................. 6,300 42,525
Oshkosh B'Gosh, Inc. Class A ............................. 46,300 732,119
Oshkosh Truck Corp. Class B .............................. 900 11,194
*Oshman's Sporting Goods, Inc. ............................ 20,700 137,138
Outboard Marine Corp. .................................... 141,700 2,851,713
*Outlook Group Corp. ...................................... 10,800 99,900
Oxford Industries, Inc. .................................. 15,300 279,225
*PCI Services, Inc. ....................................... 35,100 250,088
PXRE Corp. ............................................... 35,700 774,244
*Pacific Rim Holding Corp. ................................ 36,700 98,631
Pacific Scientific Co. ................................... 19,200 336,000
*Palfed, Inc. ............................................. 600 6,300
Pancho's Mexican Buffet, Inc. ............................ 27,100 120,256
*Par Technology Corp. ..................................... 26,700 250,313
*Paragon Trade Brands, Inc. ............................... 1,200 16,500
Park Electrochemical Corp. ............................... 9,700 337,075
*Parker Drilling Co. ...................................... 56,000 308,000
Parkvale Financial Corp. ................................. 8,862 217,119
Patrick Industries, Inc. ................................. 36,800 377,200
*Patrick Petroleum Co. .................................... 26,800 21,775
Patten Corp. ............................................. 77,729 281,768
*Payless Cashways, Inc. ................................... 12,200 89,213
*Peer Review Analysis, Inc. ............................... 7,400 22,431
*Penn Treaty American Corp. ............................... 17,400 204,450
Penn Virginia Corp. ...................................... 7,100 232,525
*Penril Datacomm Networks, Inc. ........................... 27,500 106,563
Peoples Bank of Connecticut .............................. 20,000 302,500
Peoples Heritage Financial Group, Inc. ................... 65,200 945,400
Peoples Savings Financial Corp. .......................... 7,600 138,700
*Peoples Telephone Co., Inc. .............................. 58,000 257,375
*Perfumania, Inc. ......................................... 33,800 118,300
*Perini Corp. ............................................. 25,800 270,900
*Peters (J.M.) Co., Inc. .................................. 1,000 2,500
*Petrocorp, Inc. .......................................... 29,000 242,875
*Pharmchem Laboratories, Inc. ............................. 21,200 94,075
Philadelphia Suburban Corp. .............................. 45,882 831,611
*Photo Control Corp. ...................................... 4,200 20,738
Photronics, Inc. ......................................... 5,550 130,425
Piccadilly Cafeterias, Inc. .............................. 38,500 346,500
Pilgrim Pride Corp. ...................................... 101,800 788,950
*Pinkertons, Inc. ......................................... 600 9,450
Pioneer Financial Services, Inc. ......................... 24,300 315,900
Piper Jaffray Companies, Inc. ............................ 17,996 263,192
Pitt-Des Moines, Inc. .................................... 8,900 302,600
Pittway Corp. DE Class A ................................. 16,900 756,275
*Plains Resources, Inc. ................................... 51,300 468,113
Ply-Gem Industries, Inc. DE .............................. 17,600 279,400
*Polk Audio, Inc. ......................................... 4,900 49,000
*Polymedica Industries, Inc. .............................. 41,840 245,810
*Pool Energy Services Co. ................................. 50,858 422,757
Pope & Talbot, Inc. ...................................... 52,121 833,936
*Porta Systems Corp. ...................................... 25,500 89,250
Portsmouth Bank Shares, Inc. ............................. 20,115 237,608
Poughkeepsie Savings Bank FSB NY .......................... 5,600 27,475
*Powell Industries, Inc. .................................. 44,900 277,819
22
<PAGE>
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CONTINUED
Shares Value+
------------------ ------------------
Pre-Paid Legal Services, Inc. ............................ 8,900 $ 55,625
*Premier Bancorp, Inc. .................................... 40,000 685,000
Premier Financial Services, Inc. ......................... 14,800 114,700
Presidential Life Corp. .................................. 171,500 1,254,094
*Presley Companies Class A ................................ 74,000 166,500
*Pride Petroleum Services, Inc. ........................... 69,900 550,463
*Primark Corp. ............................................ 72,800 1,183,000
Prime Bancorp, Inc. ...................................... 11,770 207,446
Primesource Corp. ........................................ 5,254 44,659
Printronix, Inc. ......................................... 15,000 343,125
*Procyte Corp. ............................................ 64,000 147,000
*Proffitts, Inc. .......................................... 36,500 898,813
*Progress Financial Corp. ................................. 9,800 58,800
Progressive Bank, Inc. ................................... 10,600 278,250
*Progroup, Inc. ........................................... 9,200 51,750
*Proler International Corp. ............................... 17,900 140,963
Provident Bankshares Corp. ............................... 27,220 680,500
*Psicor, Inc. ............................................. 14,700 157,106
Pulaski Furniture Corp. .................................. 11,000 203,500
Pulse Bancorp, Inc. ...................................... 13,200 196,350
*Pulse Engineering, Inc. .................................. 32,800 254,200
*QMS, Inc. ................................................ 62,600 352,125
*Quaker Fabric Corp. ...................................... 40,000 357,500
Quaker State Corp. ....................................... 43,400 591,325
Quality Products, Inc. ................................... 6,300 20,081
Quanex Corp. ............................................. 20,500 489,438
*Quarterdeck Office Systems, Inc. ......................... 71,900 523,522
*Quest Medical, Inc. ...................................... 12,360 120,510
Quick & Reilly Group, Inc. DE ............................ 6,400 300,800
*Quiksilver, Inc. ......................................... 1,800 40,613
*R & B, Inc. .............................................. 27,000 189,000
RLI Corp. ................................................ 21,900 563,925
*RPC Energy Services, Inc. ................................ 12,000 104,250
RS Financial Corp. ....................................... 10,500 398,344
*Radius, Inc. ............................................. 20,950 218,666
*Rag Shops, Inc. .......................................... 17,000 55,250
*Railroad Financial Corp. ................................. 7,300 127,750
*Rally's Hamburgers, Inc. ................................. 32,500 107,656
Ramsay Health Care, Inc. ................................. 31,700 128,781
*Ramsay Managed Care, Inc. ................................ 7,306 18,229
*Random Access, Inc. ...................................... 26,100 79,931
Raritan Bancorp, Inc. DE ................................. 1,050 22,444
*Rasterops ................................................ 31,700 132,744
Rauch Industries, Inc. ................................... 11,700 104,934
Raymond Corp. ............................................ 3,969 82,357
*Readicare, Inc. .......................................... 14,000 31,500
*Reading & Bates Corp. .................................... 112,000 980,000
*Reading Co. Class A ...................................... 19,836 215,717
*Recognition International, Inc. .......................... 58,700 506,288
Redwood Empire Bancorp ................................... 9,800 82,075
Refac Technology Development Corp. ....................... 3,300 20,625
*Regeneron Pharmaceuticals, Inc. .......................... 47,000 282,000
*Rehability Corp. ......................................... 14,200 160,638
*Repligen Corp. ........................................... 30,200 67,950
Republic Automotive Parts, Inc. .......................... 10,600 159,000
Republic Bancorp, Inc. ................................... 23,760 273,240
*Republic Environmental Systems, Inc. ..................... 18,980 59,313
Republic Waste Industries, Inc. .......................... 94,900 1,245,563
*Rexel, Inc. .............................................. 74,500 623,938
*Rexon, Inc. .............................................. 34,400 144,050
*Rhodes, Inc. ............................................. 22,000 189,750
Richardson Electronics, Ltd. ............................. 41,400 320,850
*Riddell Sports, Inc. ..................................... 29,200 62,050
23
<PAGE>
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CONTINUED
Shares Value+
------------------ ------------------
*Riggs National Corp. ..................................... 170,100 $1,615,950
*Riser Foods, Inc. Class A ................................ 30,600 309,825
*Riverside Group, Inc. .................................... 3,200 19,200
Roanoke Electric Steel Corp. ............................. 14,700 178,238
*Robec, Inc. .............................................. 11,400 18,169
Robinson Nugent, Inc. .................................... 20,200 159,075
Rochester Community Savings Bank of New York ............. 54,000 1,107,000
*Rocky Shoes & Boots, Inc. ................................ 10,000 84,375
*Rohr, Inc. ............................................... 110,300 1,364,963
*Rollins Environmental Services, Inc. ..................... 12,834 55,347
Roosevelt Financial Group, Inc. .......................... 20,200 345,925
Ross Stores, Inc. ........................................ 60,092 645,989
Rouge Steel Co. Class A .................................. 15,000 346,875
*Rowan Companies, Inc. .................................... 35,000 262,500
*Royal Appliance Manufacturing Co. ........................ 5,000 14,063
Russ Berrie & Co., Inc. .................................. 169,300 2,433,688
*Ryans Family Steak Houses, Inc. .......................... 23,300 161,644
Rykoff-Sexton, Inc. ...................................... 100,875 1,828,359
Ryland Group, Inc. ....................................... 63,664 1,010,666
*Rymer Foods, Inc. ........................................ 10,000 18,125
*S&K Famous Brands, Inc. .................................. 14,800 125,800
*SBE, Inc. ................................................ 7,400 79,550
SCOR U.S. Corp. .......................................... 114,500 1,030,500
SFFED Corp. .............................................. 29,200 584,000
SJW Corp. ................................................ 400 13,800
SKI, Ltd. ................................................ 16,700 254,675
*SLM International, Inc. .................................. 44,000 44,000
SPS Technologies, Inc. ................................... 42,300 1,427,625
SPX Corp. ................................................ 101,700 1,334,813
Safeguard Scientifics, Inc. .............................. 27,000 918,000
Saint Ives Laboratories Corp. ............................ 15,500 121,094
Saint Paul Bancorp, Inc. ................................. 74,100 1,648,725
Salem Corp. .............................................. 6,600 165,000
San Filippo (John B.) & Son, Inc. ........................ 33,500 309,875
Sands Regent Casino Hotel ................................ 16,000 88,000
*Santa Monica Bank CA ..................................... 34,600 294,100
Savannah Foods & Industries, Inc. ........................ 3,278 36,878
*Savoy Pictures Entertainment, Inc. ....................... 78,000 653,250
*Schieb (Earl), Inc. ...................................... 15,400 96,250
*Schuler Homes, Inc. ...................................... 800 9,250
Schultz Sav-O Stores, Inc. ............................... 5,100 112,200
*Scientific Software-Intercomp, Inc. ...................... 22,200 76,313
*Scios-Nova, Inc. ......................................... 24,800 88,350
Scope Industries, Inc. ................................... 2,400 57,150
*Score Board, Inc. ........................................ 32,500 158,438
Seaboard Corp. ........................................... 100 25,850
*Seacor Holdings, Inc. .................................... 35,000 809,375
Seafield Capital Corp. ................................... 9,700 358,900
*Secom General Corp. ...................................... 5,800 13,413
Security Connecticut Corp. ............................... 21,000 496,125
Selas Corp. of America ................................... 13,300 119,700
Selective Insurance Group, Inc. .......................... 76,700 2,262,608
*Selfix, Inc. ............................................. 4,900 23,275
*Sequa Corp. Class A ...................................... 27,500 825,000
*Serv-Tech, Inc. .......................................... 34,400 266,600
*Shaman Pharmaceuticals ................................... 22,200 81,863
*Sharper Image Corp. ...................................... 21,500 138,406
Shelby Williams Industries, Inc. ......................... 8,000 81,000
*Shiloh Industries, Inc. .................................. 12,000 103,500
*Shoe Carnival, Inc. ...................................... 95,000 647,188
Shopko Stores, Inc. ...................................... 258,800 2,782,100
*Show Biz Pizza Time, Inc. ................................ 94,400 1,044,300
Showboat, Inc. ........................................... 46,300 775,525
24
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Sierra Tucson Companies, Inc. ............................ 31,200 $ 135,525
*Sifco Industries, Inc. ................................... 18,900 85,050
*Sigma Designs, Inc. ...................................... 11,300 53,675
*Signal Technology Corp. .................................. 25,400 90,488
*Silicon Valley Bancshares ................................ 26,700 450,563
*Silicon Valley Group, Inc. ............................... 30,700 961,294
Sizzler International, Inc. .............................. 151,700 872,275
Skyline Corp. ............................................ 43,100 786,575
Skywest, Inc. ............................................ 56,000 861,000
Smith (A.O.) Corp. ....................................... 95,000 2,232,500
*Smith Environmental Technologies Corp. ................... 18,300 99,506
*Softech, Inc. ............................................ 15,000 59,063
*Software Publishing Corp. ................................ 86,000 311,750
*Software Spectrum, Inc. .................................. 15,500 275,125
*Solo Serve Corp. ......................................... 9,200 7,188
*Sound Advice, Inc. ....................................... 14,100 46,706
South Jersey Industries, Inc. ............................ 40,377 792,399
*Southdown, Inc. .......................................... 102,200 1,852,375
*Southwall Technologies, Inc. ............................. 22,100 69,063
Southwest Bancshares, Inc. DE ............................ 7,700 198,275
Southwestern Energy Co. .................................. 12,600 192,150
*Southwestern Life Corp. .................................. 1,400 963
*Spacelabs Medical, Inc. .................................. 23,500 569,875
*Spaghetti Warehouse, Inc. ................................ 44,800 257,600
Span-American Medical System, Inc. ....................... 12,400 58,900
*Sparton Corp. ............................................ 29,200 124,100
*Spec's Music, Inc. ....................................... 20,200 70,700
*Specialty Chemical Resources, Inc. ....................... 23,000 96,313
*Spectran Corp. ........................................... 30,000 172,500
*Speizman Industries, Inc. ................................ 26,500 129,188
*Sport Chalet, Inc. ....................................... 42,100 121,038
Sports & Recreation, Inc. ................................ 100,000 1,150,000
*Sportstown, Inc. ......................................... 8,100 1,266
*Stacey's Buffet, Inc. .................................... 10,700 17,053
Stage II Apparel Corp. ................................... 16,000 48,000
Standard Commercial Corp. ................................ 32,351 465,050
Standard Motor Products, Inc. Class A .................... 50,200 991,450
Standard Pacific Corp. DE ................................ 125,772 880,404
Standard Products Co. .................................... 21,900 473,588
*Stanford Telecommunications, Inc. ........................ 17,500 266,875
*Stanley Furniture, Inc. .................................. 18,100 135,750
Stant Corp. .............................................. 120,600 1,311,525
*Staodyn, Inc. ............................................ 2,100 3,806
Starret Housing Corp. .................................... 17,900 170,050
Starrett (L.S.) Co. Class A .............................. 25,100 577,300
*Steel of West Virginia, Inc. ............................. 44,000 495,000
Stepan Co. ............................................... 82,100 1,534,244
Sterling Bancorp ......................................... 24,000 204,000
Sterling Financial Corp. WA .............................. 11,600 156,600
*Stevens Graphics Corp. Class A ........................... 8,000 54,000
Stewart Information Services Corp. ....................... 24,000 444,000
*Stokely USA, Inc. ........................................ 23,500 127,781
Stone & Webster, Inc. .................................... 55,700 1,712,775
Strawbridge & Clothier Class A ........................... 36,381 713,977
*Stuart Entertainment, Inc. ............................... 12,400 48,050
*Sulcus Computer Corp. .................................... 45,400 150,388
Sumitomo Bank of California .............................. 2,200 53,625
*Summagraphics Corp. ...................................... 16,300 48,900
Summit Bancorp, Inc. WA .................................. 11,182 232,027
Summit Family Restaurants, Inc. .......................... 16,800 67,200
25
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Sun Sportswear, Inc. ..................................... 21,300 $ 85,200
Sun Television and Appliances, Inc. ...................... 62,200 489,825
*Sunbelt Nursery Group, Inc. .............................. 22,700 36,888
*Suncoast Savings & Loan Association FSA ................... 15,200 85,263
*Sunrise Bancorp CA ....................................... 23,980 62,948
*Sunrise Leasing Corp. .................................... 15,900 83,475
Super Food Services, Inc. ................................ 60,000 637,500
Susquehanna Bancshares, Inc. ............................. 11,910 279,885
Swift Energy Corp. ....................................... 25,970 246,715
*Symix Systems, Inc. ...................................... 4,300 34,400
Syms Corp. ............................................... 63,800 454,575
*Syncor International Corp. DE ............................ 33,100 293,763
*Syntellect, Inc. ......................................... 49,700 251,606
*Syquest Technology, Inc. ................................. 40,200 444,713
TCBY Enterprises, Inc. ................................... 96,266 481,330
*TCC Industries, Inc. ..................................... 6,500 13,000
*TCI International, Inc. .................................. 11,700 66,544
*TIE/Communications, Inc. ................................. 12,000 57,000
TJ International, Inc. ................................... 28,800 482,400
*TPI Enterprises, Inc. .................................... 81,100 370,019
*TRC Companies, Inc. ...................................... 21,200 159,000
*TRM Copy Centers Corp. ................................... 38,000 266,000
*TSF Communications Corp. ................................. 2,000 15,750
Tab Products Co. DE ...................................... 18,200 116,594
*Tandy Crafts, Inc. ....................................... 12,000 96,000
*Tanknology Environmental, Inc. ........................... 55,000 110,000
*Team, Inc. ............................................... 18,900 33,075
*Tech-Sym Corp. ........................................... 22,600 581,950
Technitrol, Inc. ......................................... 3,000 43,125
*Technology Solutions Corp. ............................... 34,400 326,800
Tekelec .................................................. 17,600 360,800
*Telco Systems, Inc. ...................................... 16,700 161,781
Telxon Corp. ............................................. 22,500 403,594
*Tetra Technologies, Inc. ................................. 37,900 450,063
Texas Industries, Inc. ................................... 73,681 2,772,248
*Texfi Industries, Inc. ................................... 29,100 87,300
Thiokol Corp. ............................................ 61,800 1,938,975
Thomas Industries, Inc. .................................. 70,500 1,136,813
Thomaston Mills, Inc. .................................... 700 9,188
Thorn Apple Valley, Inc. ................................. 19,215 393,908
*Tipperary Corp. .......................................... 40,000 270,000
Titan Holdings, Inc. ..................................... 23,835 256,226
Toastmaster, Inc. ........................................ 26,100 143,550
*Todd Shipyards Corp. ..................................... 48,200 283,175
Todd-AO Corp. Class A .................................... 3,400 18,275
*Tokos Medical Corp. ...................................... 22,800 129,675
Tower Air, Inc. .......................................... 110,000 797,500
*Town & Country Corp. Class A ............................. 50,000 31,250
*Tracor, Inc. ............................................. 29,700 395,381
*Trak Auto Corp. .......................................... 18,200 311,675
*Trans World Entertainment Corp. .......................... 50,000 190,625
Transport Leasing International, Inc. .................... 16,400 54,838
Transtechnology Corp. .................................... 19,300 221,950
Treadco, Inc. ............................................ 40,000 550,000
*Tremont Corp. DE ......................................... 27,133 393,429
Trenwick Group, Inc. ..................................... 20,000 877,500
*Tricare, Inc. ............................................ 20,100 55,903
*Tricord Systems, Inc. .................................... 76,800 340,800
*Trimark Holdings, Inc. ................................... 13,900 104,250
*Tripos, Inc. ............................................. 16,166 111,141
*Tuboscope Vetco International, Inc. ...................... 111,400 675,363
*Tucker Drilling Co., Inc. ................................ 6,200 46,888
*Tuesday Morning Corp. .................................... 47,500 296,875
26
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Tultex Corp. ............................................. 111,407 $ 612,739
*Turner Corp. ............................................. 20,532 202,754
Twin Disc, Inc. .......................................... 10,700 251,450
*Tyco Toys, Inc. .......................................... 159,800 1,078,650
*Tyler Corp. .............................................. 99,500 360,688
U.S. Bancorp, Inc. ....................................... 16,600 367,275
*UNC, Inc. ................................................ 108,600 556,575
UNR Industries, Inc. ..................................... 83,800 544,700
*URS Corp. ................................................ 23,400 134,550
USF&G Corp. .............................................. 9,340 161,115
*UST Corp. ................................................ 25,500 313,969
Uni-Marts, Inc. .......................................... 25,000 140,625
Unico American Corp. ..................................... 22,100 107,738
*Union Corp. DE ........................................... 35,200 492,800
Union Planters Corp. ..................................... 64,831 1,718,022
*Uniroyal Technology Corp. ................................ 45,300 150,056
*Unit Corp. ............................................... 74,900 252,788
United Carolina Bancshares Corp. ......................... 34,600 1,063,950
United Financial Corp. ................................... 11,800 235,263
United Fire Casualty Co. ................................. 300 8,438
United Industrial Corp. .................................. 43,200 286,200
*United Retail Group, Inc. ................................ 30,200 218,950
*United States Banknote Corp. ............................. 71,600 152,150
*United States Energy Corp. ............................... 15,700 80,463
United States Facilities Corp. ........................... 14,500 216,594
*United States Home Corp. ................................. 44,100 964,688
*United States Homecare Corp. ............................. 30,400 73,150
*United States Intec, Inc. ................................ 6,100 46,131
United Stationers, Inc. .................................. 2,328 41,613
*Unitel Video, Inc. ....................................... 9,500 60,563
*Universal Health Services, Inc. Class B .................. 48,100 1,328,763
*Universal International, Inc. ............................ 16,600 51,875
*Uranuim Resources, Inc. .................................. 27,200 102,000
*Utilx Corp. .............................................. 26,400 92,400
*V Band Systems, Inc. ..................................... 20,500 41,000
*Valence Technology, Inc. ................................. 120,000 292,500
*Vallen Corp. ............................................. 55,800 948,600
Valley Forge Corp. ....................................... 6,400 110,400
Vallicorp Holdings, Inc. ................................. 7,200 118,800
*Value City Department Stores, Inc. ....................... 77,000 616,000
*Vans, Inc. ............................................... 70,900 323,481
*Varco International, Inc. ................................ 152,300 1,370,700
*Varitronic Systems, Inc. ................................. 8,600 97,825
Varlen Corp. ............................................. 1,800 47,250
*Ventura County National Bancorp .......................... 23,700 59,250
Venture Stores, Inc. ..................................... 135,679 1,356,790
Vermont Financial Services Corp. ......................... 7,300 177,025
*Versar, Inc. ............................................. 1,300 4,306
*Vertex Communications Corp. .............................. 25,000 350,000
*Vicorp Restaurants, Inc. ................................. 61,000 846,375
Victoria Bankshares, Inc. ................................ 20,700 535,613
*Video Display Corp. ...................................... 14,100 32,606
*Video Lottery Technologies, Inc. ......................... 37,300 300,731
Virco Manufacturing Corp. ................................ 10,406 87,150
Virginia Beach Federal Financial Corp. ................... 18,700 150,769
*Vista Resources, Inc. .................................... 7,100 143,775
*Volt Information Sciences, Inc. .......................... 6,300 196,875
*WHX Corp. ................................................ 96,300 1,047,263
WICOR, Inc. .............................................. 25,000 703,125
WSMP, Inc. ............................................... 2,000 9,500
Walbro Corp. ............................................. 42,352 841,746
*Walker Interactive Systems, Inc. ......................... 41,300 242,638
Walshire Assurance Co. ................................... 10,395 144,880
27
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Warner Insurance Services, Inc. .......................... 50,000 $ 50,000
Warren Bancorp, Inc. ..................................... 11,800 96,613
Washington Homes, Inc. ................................... 41,800 198,550
Washington National Corp. ................................ 74,500 1,471,375
Washington Savings Bank FSB Waldorf, MD .................. 14,100 49,350
Watkins-Johnson Co. ...................................... 11,900 532,525
Watsco, Inc. Class A ..................................... 10,950 146,456
Watts Industries, Inc. Class A ........................... 30,100 639,625
Webb (Del) Corp. ......................................... 58,788 1,278,639
Webster Financial Corp. .................................. 16,380 396,191
*Weirton Steel Corp. ...................................... 56,400 408,900
*Weitek Corp. ............................................. 12,000 57,750
Wellco Enterprises, Inc. ................................. 1,600 24,000
*Wells-Gardner Electronics Corp. .......................... 13,800 50,025
Westco Bancorp, Inc. ..................................... 6,100 144,113
Westcorp, Inc. ........................................... 44,625 580,125
*Western Beef, Inc. ....................................... 16,100 97,606
*Western Micro Technology, Inc. ........................... 9,100 25,025
*Western Waste Industries ................................. 21,000 404,250
*Westmoreland Coal Co. .................................... 20,600 97,850
*Weston (Roy F.), Inc. Class A ............................ 26,400 133,650
*Wet Seal, Inc. Class A ................................... 12,700 50,006
Weyco Group, Inc. ........................................ 800 28,800
*Whitehall Corp. .......................................... 700 19,425
Whitney Holdings Corp. ................................... 50,671 1,317,446
*Whittaker Corp. .......................................... 17,800 393,825
Wilshire Oil Co. of Texas ................................ 7,500 46,875
Windmere Corp. ........................................... 63,000 543,375
Wiser Oil Co. ............................................ 32,975 453,406
Wolohan Lumber Co. ....................................... 26,978 374,320
*Worldtex, Inc. ........................................... 91,100 523,825
Worthington Foods, Inc. .................................. 10,600 174,900
Wyle Laboratories, Inc. .................................. 33,200 871,500
*Wyman-Gordon Co. ......................................... 50,800 533,400
Wynns International, Inc. ................................ 28,000 644,000
*Xicor, Inc. .............................................. 55,100 299,606
Yankee Energy Systems, Inc. .............................. 39,300 800,738
Yellow Corp. ............................................. 10,600 200,738
*Yes Clothing Co. ......................................... 3,400 17,000
York Financial Corp. ..................................... 10,000 177,500
*Younkers, Inc. ........................................... 52,900 978,650
*Zale Corp. ............................................... 35,800 413,938
*Zaring Homes, Inc. ....................................... 13,000 95,875
Zemex Corp. .............................................. 13,500 126,563
*Zenith Electronics Corp. ................................. 29,900 231,725
Zenith National Insurance Corp. .......................... 78,200 1,681,300
Ziegler Co., Inc. ........................................ 1,700 25,713
*Zitel Corp. .............................................. 37,000 386,188
Zurn Industries, Inc. .................................... 76,900 1,547,613
*Zygo Corp. ............................................... 8,400 205,275
*Zynaxis, Inc. ............................................ 31,000 36,813
------------------
TOTAL COMMON STOCKS
(Cost $426,861,876) ..................................... 471,397,258
------------------
RIGHTS/WARRANTS - (0.0%)
*BJ Services Co. Warrants 01/15/15 ........................ 1,800 9,900
*Fleet Financial Group, Inc. Warrants 01/26/01 ............. 5,096 26,117
*Jamesway Corp. Warrants 01/28/10 ......................... 1,009 1,293
*Ventura County National Bancorp Rights 06/21/95 .......... 6,908 1,727
------------------
TOTAL RIGHTS/WARRANTS (Cost $34,605) ...................... 39,037
------------------
28
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Face
Amount Value+
-------- --------
(000)
TEMPORARY CASH INVESTMENTS - (6.9%)
Repurchase Agreement, PNC Securities Corp. 5.85%,
06/01/95
(Collateralized by U.S. Treasury Notes 7.50%, 12/31/96)
(Cost $34,357,000) ................................... $34,357 $ 34,357,000
-------------
TOTAL INVESTMENTS - (102.0%) (Cost $461,253,481) .......... 505,793,295
-------------
OTHER ASSETS AND LIABILITIES - (-2.0%)
Other Assets ............................................ 2,568,635
Payable for Investment Securities Purchased ............. (12,364,304)
Other Liabilities ....................................... (162,274)
-------------
(9,957,943)
-------------
NET ASSETS - (100.0%) Applicable to 39,212,477 Outstanding
$.01 Par Value Shares (Unlimited Number of Shares
Authorized) ............................................. $495,835,352
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .. $ 12.64
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
29
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1995
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 3,059
Interest .............................................................. 374
---------
Total Investment Income ............................................ 3,433
---------
Expenses
Investment Advisory Services .......................................... 403
Accounting & Transfer Agent Fees ...................................... 168
Custodian's Fee ....................................................... 37
Legal Fees ............................................................ 5
Audit Fees ............................................................ 5
Shareholders' Reports ................................................. 5
Trustees' Fees and Expenses ........................................... 2
Other ................................................................. 10
---------
Total Expenses ..................................................... 635
---------
Net Investment Income ................................................. 2,798
---------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities .............................. 3,944
Change in Unrealized Appreciation (Depreciation) of Investment Securities 47,341
---------
Net Gain on Investment Securities ...................................... 51,285
---------
Net Increase in Net Assets Resulting from Operations .................... $54,083
=========
</TABLE>
See accompanying Notes to Financial Statements
30
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
May 31, Nov. 30
1995 1994
------------ ------------
(Unaudited)
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 2,798 $ 3,442
Net Realized Gain on Investment Securities ............................ 3,944 2,206
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 47,341 (10,764)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations .... 54,083 (5,116)
------------ ------------
Distributions From:
Net Investment Income ................................................. (546) (3,415)
Net Realized Gain ..................................................... (1,189) (1,292)
------------ ------------
Total Distributions ................................................ (1,735) (4,707)
------------ ------------
Capital Share Transactions (1):
Shares Issued ......................................................... 96,833 264,190
Shares Issued in Lieu of Cash Distributions ........................... 1,627 3,765
Shares Redeemed ....................................................... (5,250) (3,536)
------------ ------------
Net Increase From Capital Share Transactions ....................... 93,210 264,419
------------ ------------
Total Increase ..................................................... 145,558 254,596
Net Assets
Beginning of Period ................................................... 350,277 95,681
------------ ------------
End of Period ......................................................... $495,835 $350,277
============ ============
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 8,101 22,720
Shares Issued in Lieu of Cash Distributions ........................... 147 340
Shares Redeemed ....................................................... (460) (304)
------------ ------------
7,788 22,756
============ ============
</TABLE>
See accompanying Notes to Financial Statements
31
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Six Months
Ended Year Ended March 2 to
May 31, Nov. 30 Nov. 30
1995 1994 1993
------------ ------------ ------------
(Unaudited)
<S> <C> <C> <C>
Net Asset Value, Beginning of Period ..................... $ 11.15 $ 11.04 $ 10.00
------------ ------------ ------------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................................. 0.07 0.12 0.08
Net Gains (Losses) on Securities (Realized and
Unrealized) ......................................... 1.48 0.16 1.09
------------ ------------ ------------
Total from Investment Operations .................... 1.55 0.28 1.17
------------ ------------ ------------
Less Distributions
- ------------------
Net Investment Income .................................. (0.02) (0.12) (0.07)
Net Realized Gains ..................................... (0.04) (0.05) (0.06)
------------ ------------ ------------
Total Distributions ................................. (0.06) (0.17) (0.13)
------------ ------------ ------------
Net Asset Value, End of Period ........................... $ 12.64 $ 11.15 $ 11.04
============ ============ ============
Total Return ............................................. 13.92%# 2.52% 11.69%#
Net Assets, End of Period (thousands). ................... $495,835 $350,277 $95,681
Ratio of Expenses to Average Net Assets .................. 0.32%* 0.32% 0.33%*
Ratio of Net Investment Income to Average Net Assets ..... 1.39%* 1.50% 1.35%*
Portfolio Turnover Rate. ................................. 29.37%* 8.22% 1.07%*
</TABLE>
- ------
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
32
<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, 1995, The Trust consisted of seven investment portfolios: The U.S.
6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small Cap
Value Series, The U.S. Large Cap Value Series, The DFA One-Year Fixed Income
Series The DFA International Value Series and The Emerging Markets Series.
These financial statements relate solely to The U.S. Small Cap Value Series
(the "Series").
The U.S. Small Cap Value Portfolio II invests only in the Series. The
Series also issues its shares to other investors.
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.
1. Security Valuation: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such
reported sale, at the mean between the most recent bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. The value of
securities for which no quotations are readily available are determined in
good faith at fair value using methods determined by the Board of Directors.
2. Federal Income Taxes: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the
financial statements.
3. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book-entry system or
with the Fund's custodian or a third party sub-custodian. All repurchase
agreements were entered into on May 31, 1995.
4. Reclassifications: As of December 1, 1993, the Series implemented AICPA
Statement of Position 93-2 -- Determination, Disclosure and Financial
Statement Presentation of Income, Capital Gain, and Return of Capital
Distributions by Investment Companies. Adoption of this standard results in
the reclassification to paid-in capital of permanent differences between tax
and financial reporting of net investment income and net realized
gain/(loss). The change has had no material effect on paid-in capital or
other components of net assets at December 1, 1993. Distributions to
shareholders and net asset values were not affected by this change.
5. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Discount and premium on securities purchased are amortized over the
lives of the respective securities. Expenses directly attribute to a Series
are directly charged. Common expenses are allocated using methods determined
by the Board of Directors.
33
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Series. For the period ended May 31, 1995, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.20 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1995, the Series made the following
purchases and sales of investment securities other than U.S. Government
securities (amounts in thousands):
Purchases ........................... $108,918
Sales ............................... 57,522
E. INVESTMENT TRANSACTIONS:
At May 31, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation ......... $ 71,012
Gross Unrealized Depreciation ......... (26,472)
--------
Net ................................... $ 44,540
========
F. COMPONENTS OF NET ASSETS:
At May 31, 1995, net assets consisted of (amounts in thousands):
Paid-In Capital ................................ $445,259
Undistributed Net Investment Income ............ 2,319
Undistributed Net Realized Gain ................ 3,717
Unrealized Appreciation of Investment Securities 44,540
----------
$495,835
==========
34
