<PAGE>
==============================================================================
Dimensional Investment Group Inc.
U.S. Small Cap Value Portfolio II
Annual Report
Period Ended November 30, 1994
==============================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
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<S> <C>
Dimensional Investment Group Inc.
Performance Chart ............ 1
Statement of Assets and
Liabilities ................ 2
Statement of Operations ...... 3
Statement of Changes in Net
Assets ..................... 4
Financial Highlights ......... 5
Notes to Financial Statements 6-7
Report of Independent
Accountants ................ 8
The DFA Investment Trust Company
Performance Chart ............ 9
Statement of Net Assets
The U.S. Small Cap Value
Series ..................... 10-21
Statement of Operations ...... 22
Statement of Changes in Net
Assets ..................... 23
Financial Highlights ......... 24
Notes to Financial Statements 25-26
Report of Independent
Accountants ................ 27
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The U.S. Small Cap Value Portfolio II
Vs. Fama-French U.S. Small Cap Value Index
September 1994-November 1994
The following reflects the growth of a $10,000 investment.
DFA Fama-French
Small Cap U.S. Small Cap
Value Portfolio II Value Index
------------------ --------------
$10000 $10000
Sep-94 10000 9985
Oct-94 9800 9785
Nov-94 9500 9485 "(The actual number is
9500, use 9485 for
plotting purposes)"
Total From
Return (%) September 1994
- ------------------------------------------------------------------------------
-5.23
* The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing in the U.S. Small Cap Value Series of the
DFA Investment Trust Company which in turn invests on a market cap weighted
basis in companies that are approximately $500 million or less in market cap
and have book-to-market ratios in the upper 30% of publicly traded companies.
* This was a new portfolio and its year-to-date returns in fiscal 1994
reflected the performance of small U.S.companies with high book-to-market
ratios.
Past performance is not predictive of future performance.
Fama-French Small Cap Value Index courtesy Fama-French and CRSP, University of
Chicago
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investment in The U.S. Small Cap Value Series of The DFA Investment Trust
Company (543,491 Shares, Cost $6,341) at Value ................................ $ 6,058
Receivable for Fund Shares Sold ................................................ 14
Other Receivable ............................................................... 14
Prepaid Expenses and Other Assets .............................................. 1
---------
Total Assets ............................................................... 6,087
---------
LIABILITIES:
Payable for Investment Securities Purchased .................................... 14
Accrued Expenses and Other Liabilities ......................................... 18
---------
Total Liabilities .......................................................... 32
---------
Net Assets ..................................................................... $ 6,055
=========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 627,433
=========
Net Asset Value, Offering and Redemption Price Per Share ...................... $ 9.65
=========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 6,343
Undistributed Net Investment Income ............................................ 1
Accumulated Net Realized Loss .................................................. (6)
Unrealized Depreciation of Investment Securities ............................... (283)
---------
Total Net Assets ........................................................... $ 6,055
=========
</TABLE>
See accompanying Notes to Financial Statements
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE PERIOD AUGUST 3, 1994
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends .............................................................. $ 78
-------
Expenses
Administrative Services ............................................... 4
Accounting & Transfer Agent Fees ...................................... 4
Legal Fees ............................................................ 4
Audit Fees ............................................................ 4
Shareholder Reports ................................................... 3
Directors' Fees and Expenses .......................................... 5
Other ................................................................. 5
-------
Total Expenses ....................................................... 29
Less: Fees Waived and Expenses Reimbursed ............................. (20)
-------
Net Expenses .......................................................... 9
-------
Net Investment Income ................................................. 69
-------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Loss on Investment Securities ............................ (6)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... (283)
-------
Net Loss on Investment Securities ..................................... (289)
-------
Net Decrease in Net Assets Resulting from Operations .................... $(220)
=======
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD AUGUST 3, 1994
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 69
Net Realized Loss on Investment Securities ............................ (6)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... (283)
---------
Net Decrease in Net Assets Resulting from Operations ............... (220)
---------
Distributions From:
Net Investment Income ................................................. (68)
---------
Capital Share Transactions (1):
Shares Issued ......................................................... 6,515
Shares Issued in Lieu of Cash Distributions ........................... 68
Shares Redeemed ....................................................... (240)
---------
Net Increase From Capital Share Transactions ....................... 6,343
---------
Total Increase ..................................................... 6,055
Net Assets
Beginning of Period ................................................... -
---------
End of Period ......................................................... $6,055
=========
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 644
Shares Issued in Lieu of Cash Distributions ........................... 7
Shares Redeemed ....................................................... (24)
---------
627
=========
</TABLE>
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
FOR THE PERIOD AUGUST 3, 1994
(COMMENCEMENT OF OPERATIONS)
TO NOVEMBER 30, 1994
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
<S> <C>
Net Asset Value, Beginning of Period ................ $10.00
-----------
Income from Investment Operations
Net Investment Income ............................. 0.11
Net Losses on Securities (Realized and Unrealized) (0.35)
-----------
Total from Investment Operations .............. (0.24)
-----------
Less Distributions
Net Investment Income ............................. (0.11)
-----------
Net Asset Value, End of Period ...................... $ 9.65
===========
Total Return ........................................ (2.39)%#
Net Assets, End of Period (thousands) ............... $6,055
Ratio of Expenses to Average Net Assets (1) ......... 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets 4.78%*(a)
Portfolio Turnover Rate ............................. 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 annualized
ratio of expenses and net investment income to average net assets would
have been 2.33% and 3.41%, respectively.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
At November 30, 1994, Dimensional Investment Group Inc. ("the Fund")
consisted of six portfolios, The DFA 6-10 Institutional Portfolio, The DFA
International Value Portfolio, The U.S. Small Cap Value Portfolio II, The
U.S. Large Cap Value Portfolio II, The DFA International Value Portfolio II
and The DFA One-Year Fixed Income Portfolio II ("the Portfolios"). The Fund
is an open-end management investment companies 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, except for The DFA One-Year Fixed Income
Portfolio II which had not yet commenced operations as of November 30, 1994.
The U.S. Small Cap Value Portfolio II 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 November 30, 1994, The U.S. Small Cap Value
Portfolio II owned 2% of the outstanding shares of The U.S. Small Cap Value
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 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 period ended November 30, 1994, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of .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 U.S. Small Cap
Value Portfolio II 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.
6
<PAGE>
D. INVESTMENTS:
At November 30, 1994, 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 ................. $ -
Gross Unrealized Depreciation ................. (283)
--------
Net ........................................... $ (283)
========
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
We have audited the accompanying statement of assets and liabilities of
the Dimensional Investment Group Inc., The U.S. Small Cap Value Portfolio II,
as of November 30, 1994, and the related statements of operations and changes
in net assets and financial highlights for the period from August 3, 1994
(commencement of operations) to November 30, 1994. These financial statements
and financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audit.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1994, by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audit provides
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
the Dimensional Investment Group Inc., The U.S. Small Cap Value Portfolio II,
as of November 30, 1994, and the results of its operations, the changes in
its net assets, and its financial highlights for the period then ended, in
conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 23, 1995
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
==============================================================================
The U.S. Small Cap Value Series
Vs. Fama-Frech Small Cap Value Inces
March 1993-November 1994
The following reflects the Growth of a $10,000 investment.
The U.S. Fama-French
Small Cap Small Cap
Value Series Value Series
------------ ------------
$10000 $10000
Mar-93 9900 10300
Apr-93 9700 10000
May-93 10000 10400
Jun-93 10000 10400
Jul-93 10300 10600
Aug-93 10600 10900
Sep-93 11000 11200
Oct-93 11400 11500
Nov-93 11200 11300
Dec-93 11400 11500
Jan-94 12000 12100
Feb-94 12000 12100
Mar-94 11600 11500
Apr-94 11600 11500
May-94 11700 11500
Jun-94 11500 11200
Jul-94 11700 11400
Aug-94 12100 11900
Sep-94 12000 11900
Oct-94 11900 11700
Nov-94 11500 11300
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
2.52 8.06
* Dimensional's multifactor portfolios attempt to capture return premiums
associated with high book to market ratios and capitalization. The small stock
high book-to-market portfolio deals with companies that are approximately $500
million or less in market cap and have book-to- market ratios in the upper 30%
of publicly traded companies, and is invested on a market cap weighted basis.
* This portfolio's returns in fiscal 1994 reflected the performance of small
cap high book-to-market U.S. companies.
Past performance is not predictive of future performance.
Fama-French Small Cap Value Index courtesy Fama-French and CRSP, University of
Chicago
9
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (98.1%) ...................................
AAR Corp. .............................................. 57,600 $ 756,000
*ACX Technologies, Inc. ................................. 32,700 1,189,463
*AEL Industries, Inc. Class A ........................... 11,400 102,600
AEP Industries, Inc. ................................... 13,050 210,431
*AG Services America, Inc. .............................. 2,900 20,663
*ARI Holdings Corp. ..................................... 7,700 41,380
*AST Research, Inc. ..................................... 73,500 1,102,500
*Accell International Corp. ............................. 8,000 20,500
*Acceptance Insurance Companies, Inc. ................... 23,000 330,625
Aceto Corp. ............................................ 11,500 166,750
*Acme Metals, Inc. ...................................... 19,000 301,625
*Acme United Corp. ...................................... 7,100 20,413
Acme-Cleveland Corp. ................................... 15,300 166,380
Actava Group, Inc. ..................................... 60,000 592,500
*Action Industries, Inc. ................................ 18,600 32,550
*Adage, Inc. ............................................ 18,400 87,400
*Addington Resources, Inc. .............................. 3,000 26,250
Adia Services, Inc. .................................... 6,700 242,038
*Advance Ross Corp. (New) ............................... 1,600 33,200
*Advanced Logic Research, Inc. .......................... 41,400 194,063
*Advanced Marketing Services, Inc. ...................... 19,300 120,625
*Advanced Technology Labs, Inc. ......................... 41,627 744,083
*Advantage Bancorp, Inc. ................................ 9,400 266,725
*Advest Group, Inc. ..................................... 31,300 164,325
*Aequitron Medical, Inc. ................................ 15,400 60,638
*Aeroflex, Inc. ......................................... 43,000 166,625
*Aerosonic Corp. DE ..................................... 3,200 6,400
*Aerovox, Inc. .......................................... 29,100 203,700
*Aileen, Inc. ........................................... 9,600 16,800
*Air & Water Technologies Corp. Class A ................. 100,000 587,500
*Air Methods Corp. (New) ................................ 21,400 42,800
Airborne Freight Corp. ................................. 18,000 355,500
Airtran Corp. .......................................... 3,000 23,625
*Alamco, Inc. (New) ..................................... 25,900 161,875
*Alaska Air Group, Inc. ................................. 48,300 790,913
*Alba-Waldensian, Inc. .................................. 3,800 40,850
*Alkermes, Inc. ......................................... 3,000 10,125
*Allegheny & Western Energy Corp. ....................... 26,300 284,369
*Allegiant Physician Services, Inc. ..................... 32,800 70,725
Allied Group, Inc. ..................................... 14,000 351,750
Allied Life Financial Corp. ............................ 20,000 285,000
*Allied Products Corp. .................................. 18,400 253,000
*Allied Research Corp. .................................. 20,000 110,000
*Allied Waste Industries, Inc. .......................... 42,900 193,050
*Allstate Financial Corp. ............................... 10,900 67,103
*Aloette Cosmetics, Inc. ................................ 5,300 11,925
*Alpha Industries, Inc. ................................. 24,200 154,275
*Alpha Microsystems, Inc. ............................... 19,400 24,250
*Ambar, Inc. ............................................ 20,000 125,000
*Ambers Stores, Inc. .................................... 8,400 14,700
Amcore Financial, Inc. ................................. 14,200 243,175
*Amdura Corp. (New) ..................................... 5,200 9,100
*America Services Group, Inc. ........................... 18,000 104,625
American Bankers Insurance Group, Inc. ................. 68,700 1,356,825
10
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
American Biltrite, Inc. ................................ 6,600 $ 167,063
*American Consumer Products, Inc. ....................... 9,500 29,688
American Ecology Corp. ................................. 32,900 242,638
American Heritage Life Investment Corp. ................ 47,200 831,900
American Indemnity Financial Corp. ..................... 6,800 71,400
American Maize Products Co. Class A .................... 45,000 1,057,500
American Maize Products Co. Class B .................... 1,100 25,850
American Media, Inc. Class A ........................... 6,500 96,688
*American Medical Electronics, Inc. ..................... 15,100 97,206
*American Mobile Satellite Corp. ........................ 140,000 1,820,000
*American Pacific Corp. ................................. 29,100 261,900
American Recreation Centers, Inc. ...................... 17,100 102,600
*American Savings of Florida, FSB (New) ................. 44,300 714,338
*American Travellers Corp. .............................. 37,600 625,100
*American Vanguard Corp. ................................ 1,800 12,825
*American Waste Services, Inc. Class A .................. 84,700 158,813
*American White Cross, Inc. ............................. 55,200 179,400
*American Woodmark Corp. ................................ 10,010 50,050
Americana Bancorp, Inc. ................................ 8,850 131,644
*Americredit Corp. ...................................... 36,000 216,000
Amerifed Financial Corp. ............................... 10,000 443,750
*Ameriwood Industries International Corp. ............... 12,000 107,250
Ameron, Inc. ........................................... 14,100 458,250
Amfed Financial, Inc. .................................. 20,278 400,491
*Ampal-American Israel Corp. Class A ................... 15,400 111,650
Ampco-Pittsburgh Corp. ................................. 34,500 241,500
*Amrep Corp. (New) ...................................... 29,192 204,344
*Amsco International, Inc. .............................. 102,700 975,650
Amvestors Financial Corp. (New) ........................ 36,400 309,400
Amwest Insurance Group, Inc. ........................... 5,400 63,450
*Analogic Corp. ......................................... 43,200 826,200
Analysis & Technology, Inc. ............................ 7,200 109,800
*Anaren Microwave, Inc. ................................. 15,600 48,750
Anchor Bancorp Wisconsin, Inc. ......................... 11,200 319,200
*Anchor Bancorp, Inc. ................................... 61,400 859,600
Andover Bancorp, Inc. DE ............................... 15,100 218,006
*Andover Togs, Inc. ..................................... 3,600 9,450
Angelica Corp. ......................................... 31,500 799,313
*Apertus Technologies, Inc. ............................. 17,700 174,788
*Applied Extrusion Technologies, Inc. ................... 22,800 239,400
*Applied Immune Sciences, Inc. .......................... 9,200 50,600
*Applied Magnetics Corp. ................................ 111,300 319,988
*Applied Signal Technologies, Inc. ...................... 45,000 188,438
Aquarion Co. ........................................... 23,300 512,600
Arkansas Best Corp. .................................... 56,000 679,000
*Arrow Automotive Industries, Inc. ...................... 10,100 74,488
*Arrow Electronics, Inc. ................................ 22,050 802,069
Arrow Financial Corp. .................................. 4,576 67,496
Artistic Greetings, Inc. ............................... 6,500 26,813
11
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Ashland Coal, Inc. ..................................... 48,900 $1,418,100
*Astrosystems, Inc. ..................................... 27,100 108,400
*Astrotech International Corp. (New) .................... 35,100 92,138
*Athey Products Corp. ................................... 7,140 49,088
*Atkinson (Guy F.) of California ........................ 53,200 551,950
Atlanfed Bancorp, Inc. ................................. 5,000 74,375
*Atlantic Tele-Network, Inc. ............................ 43,500 367,031
Atlantis Plastics, Inc. ................................ 22,800 136,800
*Atlas Corp. ............................................ 11,600 27,550
*Atwood Oceanics, Inc. .................................. 38,800 506,825
*Audiovox Corp. Class A ................................. 32,500 231,563
Augat, Inc. ............................................ 4,100 70,725
*Aurora Electronics, Inc. ............................... 24,000 109,500
Autoclave Engineers, Inc. .............................. 14,300 124,231
*Autoinfo, Inc. ......................................... 26,000 72,313
*Avatar Holdings, Inc. .................................. 22,400 770,000
Aviall, Inc. (New) ..................................... 115,000 1,049,375
*Avondale Industries, Inc. .............................. 84,100 604,469
*Aydin Corp. ............................................ 17,200 193,500
*Aztar Corp. ............................................ 134,700 808,200
Aztec Manufacturing Co. ................................ 14,900 64,256
*BE Aerospace, Inc. ..................................... 26,300 207,113
BEI Electronics, Inc. .................................. 22,600 117,238
*BF Enterprises, Inc. ................................... 2,300 10,494
*BI, Inc. (New) ......................................... 25,400 122,238
*BMJ Financial Corp. .................................... 6,900 75,900
BSB Bancorp, Inc. ...................................... 14,700 396,900
BT Financial Corp. ..................................... 8,500 242,250
*Bachman Information Systems, Inc. ...................... 52,100 192,119
*Back Bay Restaurant Group, Inc. ........................ 5,700 50,588
Badger Meter, Inc. ..................................... 3,800 91,675
*Badger Paper Mills, Inc. ............................... 6,600 68,475
Bairnco Corp. .......................................... 54,000 236,250
Baker (J), Inc. ........................................ 45,200 745,800
*Baker (Michael) Corp. .................................. 50,000 200,000
*Baldwin Piano & Organ Co. .............................. 20,000 260,000
*Baldwin Technology, Inc. Class A ....................... 70,900 341,206
*Bally Entertainment Corp. .............................. 140,700 826,613
*Baltek Corp. ........................................... 4,500 33,188
Bangor Hydro-Electric Co. .............................. 18,100 185,525
Bank of New Hampshire Corp. ............................ 12,200 244,000
BankNorth Group, Inc. DE (New) ......................... 21,300 508,538
Bankers Corp. .......................................... 37,060 481,780
Bankers First Corp. .................................... 15,200 288,800
*Banner Aerospace, Inc. ................................. 87,500 350,000
*Barry (R.G.) Corp. ..................................... 10,800 197,100
Bassett Furniture Industries, Inc. ..................... 1,000 28,750
Bay State Gas Co. ...................................... 21,100 487,938
Bay View Capital Corp. ................................. 25,100 486,313
*Bayou Steel Corp. Class A .............................. 36,700 121,569
Bearings, Inc. ......................................... 11,400 379,050
Beeba's Creations, Inc. ................................ 7,500 27,188
*Bel Fuse, Inc. ......................................... 16,700 127,338
*Belden & Blake Corp. ................................... 8,200 115,825
Bell Bancorp, Inc. ..................................... 34,200 825,075
*Bell Industries, Inc. .................................. 23,209 510,598
*Ben Franklin Retail Stores, Inc. ....................... 17,300 70,281
*Benson Eyecare Corp. ................................... 16,761 113,137
Berkshire Gas Co. ...................................... 6,100 90,738
*Berlitz International, Inc. (New) ...................... 36,300 456,019
*Bettis Corp. ........................................... 18,000 52,875
Bindley Western Industries, Inc. ....................... 39,500 523,375
Binks Manufacturing Co. ................................ 11,118 215,411
12
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Bird Corp. ............................................. 12,300 $ 103,781
*Bird Medical Technologies, Inc. ........................ 20,600 74,675
*Birtcher Medical Systems, Inc. ......................... 7,700 8,903
*Biscayne Apparel, Inc. ................................. 30,505 75,309
*Bon-Ton Stores, Inc. ................................... 38,800 475,300
*Boomtown, Inc. ......................................... 25,000 312,500
Bowne & Co., Inc. ...................................... 36,000 580,500
Bradlees, Inc. ......................................... 40,700 559,625
*Brauns Fashions Corp. .................................. 22,200 70,763
*Brite Voice Systems, Inc. .............................. 2,000 37,125
*Broadcast International, Inc. .......................... 33,400 183,700
*Brooktree Corp. ........................................ 49,000 428,750
*Brothers Gourmet Coffees, Inc. ......................... 5,000 63,125
*Brown & Sharpe Manufacturing Co. Class A ............... 16,000 92,000
Brush Wellman, Inc. .................................... 69,900 1,057,238
*Buffton Corp. .......................................... 7,200 11,700
*Builders Transport, Inc. ............................... 10,600 119,250
*Bull Run Corp. GA ...................................... 35,400 58,631
*Burlington Coat Factory Warehouse Corp. ............... 83,200 956,800
*Burr Brown Corp. ....................................... 30,800 442,750
*Butler International, Inc. ............................. 23,200 145,000
*Buttrey Food & Drug Stores Co. ......................... 26,900 196,706
*CBL Medical, Inc. ...................................... 1,100 275
CCP Insurance, Inc. .................................... 24,000 354,000
CFX Corp. .............................................. 12,970 230,218
CPB, Inc. .............................................. 16,700 384,100
CPI Corp. .............................................. 88,100 1,717,950
CRSS, Inc. ............................................. 47,900 526,900
*CSF Holdings, Inc. Class B ............................. 31,600 738,650
*CSP, Inc. .............................................. 9,300 79,050
*CSS Industries, Inc. ................................... 4,900 79,625
*CTL Credit, Inc. ....................................... 11,300 103,113
CTS Corp. .............................................. 18,500 536,500
*CU Bancorp ............................................. 16,300 118,175
*Cablemaxx, Inc. ........................................ 30,000 155,625
Cadmus Communications Corp. ............................ 10,700 169,863
California Financial Holding Corp. ..................... 16,330 216,373
California Water Service Co. ........................... 4,800 148,800
Calmat Co. ............................................. 80,300 1,525,700
*Canonie Environmental Services Corp. ................... 18,300 96,075
Cape Cod Bank & Trust Co. .............................. 3,600 90,900
Capital Re Corp. ....................................... 89,000 2,002,500
Capitol Bancorp, Ltd. .................................. 800 7,100
*Capsure Holdings Corp. ................................. 54,500 728,938
*Care Group, Inc. ....................................... 28,200 111,919
*Carlisle Plastics, Inc. Class A ........................ 60,400 245,375
*Carmike Cinemas, Inc. Class A .......................... 18,000 405,000
Carolina First Corp. ................................... 21,050 284,175
*Carolina Freight Corp. ................................. 23,500 220,313
Carpenter Technology Corp. ............................. 16,500 886,875
*Carr-Gottstein Foods Co. ............................... 84,500 623,188
*Carver Corp. WA ........................................ 12,900 39,506
Cash America International, Inc. ....................... 15,000 129,375
*Castle & Cooke Homes, Inc. ............................. 102,000 1,606,500
Castle (A.M.) & Co. .................................... 19,650 255,450
*Catherines Stores Corp. ................................ 26,000 201,500
*Cell Genesys, Inc. ..................................... 24,000 220,500
Cenfed Financial Corp. ................................. 14,400 239,400
Cenit Bancorp, Inc. .................................... 3,900 88,725
*Centigram Communications Corp. ......................... 15,500 306,125
Central & Southern Holding Co. ......................... 14,700 93,713
13
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Central Hudson Gas & Electric Corp. .................... 6,200 $ 150,350
Central Reserve Life Corp. ............................. 14,300 116,188
*Central Sprinkler Corp. ................................ 17,200 172,000
Centura Banks, Inc. .................................... 25,000 537,500
*Cephalon, Inc. ......................................... 26,200 219,425
*Ceradyne, Inc. ......................................... 11,100 31,219
*Champion Parts, Inc. ................................... 12,100 43,106
Chaparral Steel Co. .................................... 149,500 1,027,813
*Chart House Enterprises, Inc. .......................... 42,300 438,863
Charter One Financial, Inc. ............................ 73,700 1,368,056
Charter Power Systems, Inc. ............................ 12,000 208,500
*Check Technology Corp. ................................. 7,600 39,900
*Checkers Drive-In Restaurant, Inc. ..................... 20,600 61,156
*Chemfab Corp. .......................................... 10,700 141,775
*Chempower, Inc. ........................................ 7,300 29,656
*Cherry Corp. Class A ................................... 10,000 142,500
*Cherry Corp. Class B ................................... 10,000 145,000
Chesapeake Utilities Corp. ............................. 10,800 136,350
Chester Valley Bancorp ................................. 551 11,158
Chicago Rivet & Machine Co. ............................ 1,100 29,150
*Chips & Technologies, Inc. ............................. 5,700 39,900
Chittenden Corp. ....................................... 19,725 401,897
*Chock Full O' Nuts Corp. ............................... 36,404 218,424
*Cimco, Inc. ............................................ 10,100 51,763
*Cincinnati Microwave, Inc. ............................. 22,000 99,000
*Circon Corp. ........................................... 26,500 318,000
*Citation Insurance Group ............................... 21,500 84,656
Citfed Bancorp, Inc. ................................... 3,900 107,738
Citizens Bancorp MD .................................... 15,100 403,925
Citizens Banking Corp. ................................. 3,000 82,125
City National Corp. .................................... 98,500 935,750
*Civic Bancorp .......................................... 14,900 87,538
*Clean Harbors, Inc. .................................... 32,100 194,606
*Cliffs Drilling Co. .................................... 14,700 174,563
*Clothestime, Inc. ...................................... 88,000 352,000
Co-Operative Bank of Concord, MA ....................... 20,400 277,950
*Coast Distribution System .............................. 17,600 140,800
*Coast Savings Financial, Inc. .......................... 66,900 928,238
*Cobra Electronic Corp. ................................. 21,400 41,463
Coca Cola Bottling Co. Consolidated .................... 9,700 236,438
*Code Alarm, Inc. ....................................... 4,500 47,813
Coeur d'Alene Mines Corp. ID ........................... 4,200 69,300
*Coherent Communications Systems Corp. .................. 7,734 116,977
*Coherent, Inc. ......................................... 36,800 533,600
*Coho Energy, Inc. ...................................... 37,500 187,500
Collective Bancorp, Inc. ............................... 16,600 291,538
*Collins Industries, Inc. ............................... 12,500 23,438
Colonial Gas Co. ....................................... 24,400 469,700
*Columbia First Bank, A Federal Savings Bank ............ 9,900 367,538
Commerce Bancorp, Inc. ................................. 12,000 213,000
*Commercial Federal Corp. ............................... 43,800 854,100
Commercial Metals Co. .................................. 17,200 430,000
Commonwealth Energy System ............................. 30,500 1,090,375
*Communication Cable, Inc. .............................. 14,000 173,250
Community Bankshares, Inc. NH .......................... 5,900 78,913
Community First Bankshares, Inc. ....................... 13,000 178,750
*Community Psychiatric Centers .......................... 12,000 120,000
*CompUSA, Inc. .......................................... 34,000 467,500
*Computer Horizons Corp. ................................ 1,500 22,313
Computer Task Group, Inc. .............................. 21,900 175,200
14
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Comshare, Inc. ......................................... 9,500 $ 115,188
*Comstock Resources, Inc. ............................... 14,000 43,313
*Comtech Telecommunications Corp. (New) ................. 8,700 28,819
*Concord Fabrics, Inc. Class A .......................... 7,400 61,975
*Condor Services, Inc. .................................. 4,500 11,250
Connecticut Energy Corp. ............................... 9,800 191,100
Connecticut Natural Gas Corp. .......................... 18,600 420,825
Connecticut Water Services, Inc. ....................... 9,700 227,950
Consumers Water Co. .................................... 27,600 448,500
*Continental Can, Inc. DE ............................... 10,400 232,700
Continental Homes Holding Corp. ........................ 27,848 379,429
*Continental Medical Systems, Inc. ...................... 131,600 937,650
*Control Data Systems, Inc. ............................. 81,800 490,800
*Convex Computer Corp. .................................. 74,300 455,088
Core Industries, Inc. .................................. 15,400 157,850
*Cornerstone Financial Corp. ............................ 7,000 43,750
*Cortech, Inc. .......................................... 18,900 57,881
Courier Corp. .......................................... 6,800 120,700
*Craig Corp. ............................................ 15,900 157,013
*Cray Computer Corp. .................................... 11,400 15,675
*Cray Research, Inc. .................................... 12,000 220,500
*Criticare Systems, Inc. ................................ 23,200 50,025
*Crosscomm Corp. ........................................ 29,200 275,575
*Crown Books Corp. ...................................... 18,200 304,850
*Crown Central Petroleum Corp. Class A .................. 14,600 219,000
*Crown Central Petroleum Corp. Class B .................. 25,700 353,375
*Crown-Andersen, Inc. ................................... 4,300 30,100
*Cruise America, Inc. ................................... 29,100 89,119
*Crystal Brands, Inc. ................................... 19,500 4,266
Cubic Corp. ............................................ 30,600 535,500
*Culbro Corp. ........................................... 15,400 213,675
Cullen Frost Bankers, Inc. ............................. 12,300 385,913
Curtiss-Wright Corp. ................................... 18,000 625,500
*Customedix Corp. (New) ................................. 11,300 31,075
*Cycare Systems, Inc. ................................... 14,800 173,900
*Cytocare, Inc. ......................................... 14,500 78,844
*DBA Systems, Inc. ...................................... 14,400 111,600
*DS Bancor, Inc. ........................................ 9,500 219,688
*DVI, Inc. .............................................. 11,800 120,950
*Dairy Mart Convenience Stores, Inc. Class A ............ 9,000 34,313
Daniel Industries, Inc. ................................ 43,500 549,188
*Danskin, Inc. .......................................... 29,600 111,000
Dart Group Corp. Class A ............................... 4,800 400,800
*Data General Corp. ..................................... 129,200 1,388,900
*Data I/O Corp. ......................................... 25,900 111,694
*Data Race, Inc. ........................................ 16,100 70,438
*Data Switch Corp. ...................................... 27,500 63,594
*Data Systems & Software, Inc. .......................... 15,300 83,194
*Data Translation, Inc. ................................. 4,500 69,188
*Dataflex Corp. ......................................... 19,800 181,913
*Datakey, Inc. .......................................... 800 2,900
*Dataram Corp. .......................................... 13,100 90,063
*Datron Systems, Inc. ................................... 9,200 104,650
*Datum, Inc. ............................................ 8,800 78,100
*Davis Water & Waste Industries, Inc. ................... 11,700 97,988
*Daxor Corp. ............................................ 17,100 100,463
*De Soto, Inc. .......................................... 16,800 65,100
DeKalb Genetics Corp. Class B .......................... 25,000 715,625
Deb Shops, Inc. ........................................ 75,300 400,031
*Defiance, Inc. ......................................... 15,600 110,175
15
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Del Laboratories, Inc. ................................. 4,000 $ 141,000
*Delaware Ostego Corp. .................................. 1,050 11,025
Delchamps, Inc. ........................................ 42,300 687,375
Delta Woodside Industries, Inc. (New) .................. 132,200 1,288,950
Deposit Guaranty Corp. ................................. 1,000 26,625
*Designatronics, Inc. ................................... 7,300 33,763
*Detection Systems, Inc. ................................ 9,400 76,375
*Detrex Corp. ........................................... 2,800 34,125
*Devcon International Corp. ............................. 15,300 128,138
Dexter Corp. CT ........................................ 12,000 247,500
*Dianon Systems, Inc. ................................... 12,400 48,825
*Digital Systems International, Inc. .................... 31,100 375,144
*Dime Bancorp, Inc. ..................................... 92,300 749,938
*Dime Financial Corp. ................................... 16,700 133,600
Dixie Yarns, Inc. ...................................... 42,000 296,625
Donegal Group, Inc. .................................... 19,400 235,225
*Doskocil Companies, Inc. ............................... 63,200 442,400
*Dotronix, Inc. ......................................... 1,000 1,313
Douglas & Lomason Co. .................................. 14,400 219,600
Downey Savings & Loan Association ...................... 57,700 894,350
*Drug Emporium, Inc. .................................... 46,400 226,200
*Dual Drilling Co. ...................................... 54,900 511,256
*Duplex Products, Inc. .................................. 26,900 235,375
Dyersburg Corp. ........................................ 19,800 118,800
Dynamics Corp. of America .............................. 13,900 253,675
*Dynamics Research Corp. ................................ 19,740 57,986
*Dynasty Classics Corp. ................................. 2,300 115
*Dynatech Corp. ......................................... 28,900 787,525
*E for M Corp. .......................................... 17,300 80,013
E'town Corp. ........................................... 21,600 548,100
*E-Z-Em, Inc. Class A ................................... 20,500 99,938
*E-Z-Em, Inc. Class B ................................... 156 683
*EA Engineering Science & Technology, Inc. ............. 10,125 75,938
*ECC International Corp. ................................ 13,200 133,650
EMC Insurance Group, Inc. .............................. 33,600 336,000
*ESCO Electronics Corp. Trust Receipts .................. 63,400 499,275
Eagle Bancshares, Inc. ................................. 4,000 80,500
Eagle Financial Corp. .................................. 9,670 188,565
*Eagle Food Centers, Inc. ............................... 62,100 124,200
Eastern Bancorp, Inc. .................................. 8,300 144,213
Eastern Co. ............................................ 9,700 128,525
*Eastex Energy, Inc. .................................... 22,500 50,625
*Ecoscience Corp. ....................................... 29,000 74,313
*Edisto Resources Corp. (New) ........................... 100,200 726,450
Edo Corp. .............................................. 18,600 62,775
*Egghead, Inc. .......................................... 87,100 903,663
*Ekco Group, Inc. ....................................... 65,300 432,613
Elco Industries, Inc. .................................. 17,100 290,700
Eldorado Bancorp CA .................................... 9,400 94,000
*Electric & Gas Technology, Inc. ........................ 3,000 5,906
*Electro Rent Corp. ..................................... 26,000 438,750
*Electro Scientific Industries, Inc. .................... 20,600 401,700
*Electromagnetic Sciences, Inc. ......................... 24,300 280,969
*Emcon .................................................. 38,000 171,000
*Emisphere Technologies, Inc. ........................... 17,000 48,875
Empire District Electric Co. ........................... 42,200 659,375
*Employee Benefit Plans, Inc. ........................... 23,000 230,000
*Emulex Corp. ........................................... 11,750 132,188
Energen Corp. .......................................... 14,700 294,000
Energynorth, Inc. ...................................... 10,400 171,600
Engle Homes, Inc. ...................................... 18,600 141,825
16
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Enhance Financial Services Group, Inc. ................. 64,500 $1,096,500
*Environmental Elements Corp. ........................... 17,200 60,200
*Enviroq Corp. .......................................... 12,100 37,056
*Equinox Systems, Inc. .................................. 10,000 62,500
*Equitrac Corp. ......................................... 5,800 26,463
*Equity Oil Co. ......................................... 44,200 209,950
Espey Manufacturing & Electronics Corp. ................ 2,900 38,063
Essex County Gas Co. ................................... 5,300 131,175
*Esterline Technologies Corp. ........................... 23,100 268,538
*Evans & Sutherland Computer Corp. ...................... 51,000 720,375
*Evans, Inc. ............................................ 17,100 47,025
Evergreen Bancorp, Inc. DE ............................. 15,700 223,725
*Evergreen Resources, Inc. .............................. 8,900 58,963
Excel Industries, Inc. ................................. 16,200 230,850
*Executone Information Systems, Inc. .................... 78,600 257,906
*Express America Holdings Corp. ......................... 19,400 78,813
*F & M Distributors, Inc. ............................... 19,700 33,244
*FDP Corp. .............................................. 7,000 45,500
*FPA Corp. .............................................. 20,100 25,125
*Fabri-Centers of America, Inc. ......................... 32,800 479,700
*Failure Group, Inc. .................................... 23,200 104,400
*Fairchild Corp. Class A ................................ 72,200 234,650
Family Bancorp ......................................... 9,300 159,263
Fansteel, Inc. ......................................... 29,200 189,800
*Farr Co. ............................................... 13,000 86,938
Fay's, Inc. ............................................ 18,000 112,500
Federal Screw Works .................................... 2,000 39,500
*Fieldcrest Cannon, Inc. ................................ 12,600 315,000
*Fifty-Off Stores, Inc. ................................. 7,000 30,625
Figgie International, Inc. Class A ..................... 59,800 403,650
Figgie International, Inc. Class B ..................... 17,700 112,838
*Financial Benefit Group, Inc. Class A .................. 37,000 97,125
First American Financial Corp. ......................... 66,400 1,245,000
*First Cash, Inc. ....................................... 13,700 53,088
First Citizens Bancshares, Inc. NC ..................... 16,300 717,200
*First Citizens Financial Corp. ......................... 7,849 109,886
*First Commercial Bancorp, Inc. ......................... 15,100 14,156
First Essex Bancorp .................................... 21,600 159,300
*First Federal Alabama FSB Jasper ....................... 2,500 35,156
First Federal Capital Corp. ............................ 18,280 269,630
First Financial Corp. of Western Maryland .............. 6,700 136,513
First Financial Holdings, Inc. ......................... 18,900 264,600
First Indiana Corp. .................................... 25,833 384,266
First Liberty Financial Corp. .......................... 10,300 135,188
First Mississippi Corp. ................................ 40,100 887,213
First Northern Savings Bank S.A. Green Bay, WI ......... 10,800 141,750
*First Republic Bancorp, Inc. ........................... 27,953 293,507
First State Financial Services, Inc. ................... 10,300 72,100
*FirstFed Financial Corp. DE ............................ 38,200 477,500
FirstFed Michigan Corp. ................................ 67,150 1,351,394
Firstfed Bancshares, Inc. .............................. 15,000 260,625
*Fischer Imaging Corp. .................................. 17,300 103,800
Flexsteel Industries, Inc. ............................. 16,500 187,688
Florida Public Utilities Co. ........................... 5,100 82,875
Florida Rock Industries, Inc. .......................... 49,800 1,263,675
*Foodarama Supermarkets, Inc. ........................... 2,400 27,300
Foothill Group, Inc. Class A ........................... 44,500 678,625
Foothill Independent Bancorp ........................... 11,000 93,500
17
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Forschner Group, Inc. .................................. 11,700 $ 141,131
*Forstmann & Co., Inc. .................................. 26,400 148,500
*Foster (L.B.) Co. Class A .............................. 35,400 119,475
*Foxmeyer Health Corp. .................................. 106,987 1,644,925
Freds, Inc. Class A .................................... 63,500 595,313
Fremont General Corp. .................................. 83,200 1,924,000
*Fretter, Inc. (New) .................................... 19,500 57,281
*Freymiller Trucking, Inc. .............................. 4,500 10,969
Friedman Industries, Inc. .............................. 19,672 73,770
Frisch's Restaurants, Inc. ............................. 21,112 213,759
Furon Co. .............................................. 9,900 193,050
*Future Now, Inc. ....................................... 16,700 133,600
*G-III Apparel Group, Ltd. .............................. 23,000 37,375
GBC Bancorp ............................................ 22,600 276,850
*GBC Technologies, Inc. ................................. 30,000 226,875
*GNI Group, Inc. ........................................ 19,800 89,100
*GZA Geoenvironmental Technologies, Inc. ............... 12,700 53,975
*Galileo Electro-Optics Corp. ........................... 23,200 92,800
Galveston-Houston Co. .................................. 43,000 69,875
Gamma Biologicals, Inc. ................................ 13,800 59,513
*Gantos, Inc. ........................................... 8,500 16,734
Garan, Inc. ............................................ 18,200 307,125
*Garnet Resources Corp. ................................. 50,000 187,500
*Gehl Co. ............................................... 22,100 143,650
General Host Corp. ..................................... 76,310 391,089
General Housewares Corp. ............................... 11,600 185,600
General Microwave Corp. ................................ 400 3,250
General Parametrics Corp. .............................. 12,200 19,825
General Physics Corp. .................................. 22,900 62,975
*Genesco, Inc. .......................................... 138,000 258,750
*Genetic Therapy, Inc. .................................. 15,300 112,838
*Genicom Corp. .......................................... 35,000 70,000
*Genlyte Group, Inc. .................................... 75,700 307,531
*Genus, Inc. ............................................ 25,800 169,313
Geodynamics Corp. ...................................... 7,900 60,238
*Gerrity Oil and Gas Corp. .............................. 49,800 261,450
*Giant Group, Ltd. ...................................... 18,600 139,500
*Giant Industries, Inc. ................................. 42,300 348,975
*Gibraltar Packaging Group, Inc. ........................ 28,400 205,900
Gibson Greetings, Inc. ................................. 56,500 748,625
*Giga-Tronics, Inc. ..................................... 5,300 31,138
Gilbert Associates, Inc. Class A ....................... 29,100 405,581
*Gish Biomedical, Inc. .................................. 17,500 105,000
Gleason Corp. .......................................... 17,700 258,863
*Glycomed, Inc. ......................................... 48,100 174,363
Golden Poultry Co., Inc. ............................... 69,150 427,866
*Good Guys, Inc. ........................................ 24,000 291,000
*Gottschalks, Inc. ...................................... 46,100 380,325
*Government Technology Services, Inc. ................... 500 6,438
*Gradco Systems, Inc. ................................... 60,000 221,250
*Graham Corp. ........................................... 2,300 24,869
*Graham-Field Health Products, Inc. ..................... 46,500 151,125
*Grand Casinos, Inc. .................................... 18,000 252,000
Granite Construction, Inc. ............................. 22,400 473,200
Granite State Bankshares, Inc. ......................... 7,300 84,406
*Grant Geophysical, Inc. ................................ 21,600 54,675
Graphic Industries, Inc. ............................... 34,200 342,000
Great Bay Bankshares, Inc. ............................. 8,100 152,888
*Great Country Bank of Ansonia, CT ...................... 16,900 41,194
*Great Lakes Bancorp, A Federal Savings Bank ............ 21,200 520,725
18
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Greater New York Savings Bank NY ....................... 46,900 $ 392,788
Green (A.P.) Industries, Inc. .......................... 13,700 262,013
*Greenman Brothers, Inc. ................................ 18,700 112,200
Greiner Engineering, Inc. .............................. 25,000 312,500
Grenada Sunburst Systems Corp. ......................... 20,600 594,825
*Greyhound Lines, Inc. .................................. 53,200 116,375
*Grossmans, Inc. ........................................ 92,300 245,172
*Ground Round Restaurants, Inc. ......................... 62,400 421,200
*Groundwater Technology, Inc. ........................... 24,600 332,100
Grovebank for Savings .................................. 4,400 96,250
Guaranty National Corp. (New) .......................... 37,200 581,250
*Guardian Bancorp Los Angeles, CA ....................... 11,100 6,244
Guilford Mills, Inc. ................................... 78,100 1,571,763
*Gulfmark International, Inc. ........................... 11,100 190,088
*Gundle Environmental Systems, Inc. ..................... 56,700 297,675
HF Financial Corp. ..................................... 5,100 127,500
*HPSC, Inc. ............................................. 18,500 65,906
*Hadco Corp. ............................................ 43,900 384,125
*Hallwood Group, Inc. ................................... 8,300 17,638
*Hamburger Hamlet Restaurants, Inc. ..................... 14,800 75,850
*Hampshire Group, Ltd. .................................. 5,800 39,150
*Hampton Industries, Inc. ............................... 9,790 52,621
*Handex Environmental Recovery, Inc. .................... 23,800 174,038
Handleman Co. .......................................... 193,300 2,222,950
*Hanger Orthopedic Group, Inc. .......................... 27,900 83,700
*Harding Associates, Inc. ............................... 15,500 106,563
Harleysville Group, Inc. ............................... 45,300 1,036,238
*Harlyn Products, Inc. .................................. 22,200 92,963
Hastings Manufacturing Co. ............................. 850 19,125
Hathaway Corp. ......................................... 15,200 48,450
*Hauser Chemical Research, Inc. ......................... 37,700 228,556
Haverty Furniture Company, Inc. ........................ 50,000 675,000
Hawkeye Bancorp ........................................ 12,000 214,500
*Hawthorne Financial Corp. .............................. 8,700 47,306
Health Images, Inc. .................................... 41,500 259,375
*Health O Meter Products, Inc. .......................... 19,600 75,950
*Health Risk Management, Inc. ........................... 13,600 91,800
Health-Mor, Inc. ....................................... 9,000 141,750
Heico Corp. ............................................ 8,100 77,963
*Hein-Werner Corp. ...................................... 8,135 40,675
*Heist (C.H.) Corp. ..................................... 16,800 119,700
*Herley Industries, Inc. ................................ 15,400 54,863
*Hexcel Corp. ........................................... 11,100 47,175
*Hi-Lo Automotive, Inc. ................................. 69,300 710,325
*Hi-Shear Industries, Inc. .............................. 20,100 97,988
*Hitox Corp. ............................................ 9,100 21,613
*Holiday RV Superstores, Inc. ........................... 3,600 5,738
*Hologic, Inc. .......................................... 9,800 130,463
*Holson Burnes Group, Inc. .............................. 17,000 111,563
Home Federal Bancorp ................................... 7,100 154,425
Home Federal Financial Corp. ........................... 5,566 84,882
Home Port Bancorp, Inc. ................................ 6,500 84,500
*Homecorp, Inc. ......................................... 1,900 21,138
*Homeowners Group, Inc. ................................. 19,700 11,081
*Hometown Bancorp., Inc. ................................ 800 8,200
Hooper Holmes, Inc. .................................... 35,400 221,250
*Hospital Staffing Services, Inc. ....................... 20,200 32,825
*Hosposable Products, Inc. .............................. 600 4,800
*Hovnanian Enterprises, Inc. Class A .................... 53,284 299,723
19
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Howell Corp. ........................................... 17,400 $ 226,200
Howell Industries, Inc. ................................ 1,600 43,800
Hudson Foods, Inc. Class A ............................. 25,000 565,625
*Hudson General Corp. ................................... 2,500 43,594
Hughes Supply, Inc. .................................... 38,200 678,050
*Hurco Companies, Inc. .................................. 9,700 38,800
*Hyde Athletic Industries, Inc. Class A ................. 9,700 50,319
*Hyde Athletic Industries, Inc. Class B ................. 13,300 68,163
ICN Pharmaceuticals, Inc. .............................. 8,077 180,723
*ICO, Inc. .............................................. 37,300 184,169
*IFR Systems, Inc. ...................................... 17,000 161,500
IWC Resources Corp. .................................... 5,400 105,300
*Immulogic Pharmaceutical Corp. ......................... 44,500 339,313
*Imo Industries, Inc. ................................... 20,900 206,388
*Imperial Bancorp ....................................... 43,115 598,221
Imperial Holly Corp. ................................... 37,200 325,500
*In Home Health, Inc. ................................... 17,200 39,775
*Inacom Corp. ........................................... 32,500 316,875
*Inco Homes Corp. ....................................... 14,140 17,675
*Incstar Corp. .......................................... 17,200 36,550
Independence Holding Co. (New) ......................... 56,200 172,113
Independent Bank Corp. MA .............................. 61,200 325,125
Independent Bank East .................................. 8,000 193,000
Independent Insurance Group, Inc. ...................... 25,000 262,500
Indiana Federal Corp. .................................. 14,650 225,244
*Indresco, Inc. ......................................... 88,100 1,112,263
Industrial Acoustics Co., Inc. ......................... 700 11,113
*Information Resources, Inc. ............................ 4,500 66,375
*Infrasonics, Inc. ...................................... 90,000 326,250
Ingles Market, Inc. Class A ............................ 15,200 153,900
*Inmac Corp. ............................................ 32,000 162,000
Insituform East, Inc. .................................. 15,000 42,188
Insteel Industries, Inc. ............................... 29,800 219,775
*Integrated Waste Services, Inc. ........................ 29,700 81,675
*Intellicall, Inc. ...................................... 26,900 104,238
Inter-Regional Financial Group, Inc. ................... 27,500 642,813
Interface Systems, Inc. ................................ 14,900 127,581
Interface, Inc. Class A ................................ 84,300 937,838
*Intergraph Corp. ....................................... 161,100 1,288,800
Intermetrics, Inc. ..................................... 14,100 70,500
International Aluminum Corp. ........................... 8,000 241,000
*International Jensen, Inc. ............................. 18,000 166,500
International Multifoods Corp. ......................... 66,900 1,070,400
*International Rectifier Corp. .......................... 25,600 556,800
International Research &
Development Corp. .................................... 18,600 38,944
International Shipholding Corp. ........................ 19,000 399,000
*International Technology Corp. ......................... 120,800 377,500
*International Thoroughbred Breeders, Inc. ............. 10,400 33,800
*International Totalizator Systems ...................... 14,800 51,800
*Interphase Corp. ....................................... 15,200 179,550
Interstate Bakeries Corp. DE (New) ..................... 114,500 1,459,875
Interstate Power Co. ................................... 15,900 345,825
*Intertan, Inc. ......................................... 34,700 273,263
Investors Title Co. .................................... 8,700 64,163
*Iomega Corp. ........................................... 64,875 216,926
*Ithaca Bancorp, Inc. ................................... 6,800 129,200
*J & J Snack Foods Corp. ................................ 49,700 599,506
*JB's Restaurants, Inc. ................................. 16,800 73,500
20
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
JSB Financial, Inc. .................................... 34,900 $ 807,063
Jackpot Enterprises, Inc. .............................. 29,500 239,688
Jaclyn, Inc. ........................................... 8,800 52,800
*Jaco Electronics, Inc. ................................. 6,100 41,175
*Jacobs Jay, Inc. ....................................... 31,300 55,753
Jacobson Stores, Inc. .................................. 20,700 260,044
*Jamesway Corp. ......................................... 19,500 7,313
*Jan Bell Marketing, Inc. ............................... 149,900 740,131
*Jefferson Savings Bancorp, Inc. ........................ 20,000 315,000
Johnston Industries, Inc. .............................. 5,100 52,275
*Just Toys, Inc. ........................................ 14,000 47,250
*K-Tron International, Inc. ............................. 6,300 70,875
*KLLM Transport Services, Inc. .......................... 15,200 237,500
*Kaiser Resources, Inc. ................................. 31,100 233,250
Kaman Corp. Class A .................................... 60,700 622,175
Keithley Instruments, Inc. ............................. 500 4,938
Kenan Transport Co. .................................... 200 3,650
*Kentucky Medical Insurance Co. Class A ................. 6,500 39,813
*Kerr Group, Inc. ....................................... 7,900 66,163
*Ketema, Inc. ........................................... 7,900 116,525
*Kevlin Corp. ........................................... 700 1,641
*Kewaunee Scientific Corp. .............................. 700 1,881
*Key Production Co., Inc. ............................... 36,800 181,700
*Key Tronic Corp. ....................................... 26,500 281,563
*Kinder-Care Learning Centers, Inc. (New) ............... 28,200 368,363
Kinetic Concepts, Inc. ................................. 3,900 22,913
*Kirschner Medical Corp. ................................ 9,500 99,156
*Kit Manufacturing Co. .................................. 2,600 29,575
*Knogo Corp. ............................................ 17,300 324,375
*Krystal Co. ............................................ 2,000 21,000
LCS Industries, Inc. ................................... 6,000 47,250
LDI Corp. .............................................. 24,100 114,475
LSI Industries, Inc. ................................... 8,820 94,815
*LTX Corp. .............................................. 30,700 134,313
*Laclede Steel Co. ...................................... 8,700 88,088
Ladd Furniture, Inc. ................................... 79,400 471,438
*Lafayette American Bank & Trust Co. .................... 1,050 6,169
Lakeland First Financial Corp. ......................... 7,249 134,107
*Lamson & Sessions Co. .................................. 28,300 159,188
*Lancer Corp. ........................................... 4,800 86,400
*Laser Precision Corp. .................................. 15,500 123,516
*Laserscope ............................................. 40,000 180,000
Lawyers Title Corp. .................................... 30,300 340,875
*Layne, Inc. ............................................ 26,300 182,456
*Lazare Kaplan International, Inc. ...................... 11,300 108,763
*Leisure Concepts, Inc. ................................. 17,000 68,000
Lennar Corp. ........................................... 73,100 1,142,188
Lexington Savings Bank MA .............................. 6,400 97,600
Liberty Bancorp, Inc. .................................. 50,100 1,496,738
*Lifeline Systems, Inc. ................................. 19,500 114,563
*Lindal Cedar Homes, Inc. ............................... 8,000 28,000
Lindberg Corp. ......................................... 13,600 91,800
*Liposome Co., Inc. ..................................... 77,700 709,013
*Littlefield, Adams & Co. ............................... 12,000 73,500
*Liuski International, Inc. ............................. 10,900 52,456
*Live Entertainment, Inc. ............................... 33,700 23,085
*Lomas Financial Corp. .................................. 29,500 106,938
*Longhorn Steaks, Inc. .................................. 19,500 170,625
Loyola Capital Corp. ................................... 45,700 822,600
Lufkin Industries, Inc. ................................ 23,900 391,363
*Lumex, Inc. ............................................ 14,800 188,700
*Luria & Son, Inc. ...................................... 18,700 135,575
21
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Lynch Corp. ............................................ 2,300 $ 67,850
*M/A-COM, Inc. .......................................... 46,800 292,500
*M/A/R/C, Inc. .......................................... 3,335 39,603
MAF Bancorp, Inc. ...................................... 17,600 327,800
MDC Holdings, Inc. ..................................... 75,788 388,414
*MDT Corp. .............................................. 23,300 147,081
*MHI Group, Inc. (New) .................................. 12,500 92,188
*MI Schottenstein Homes, Inc. ........................... 26,100 202,275
MMI Medical, Inc. ...................................... 12,200 48,800
MTS Systems Corp. ...................................... 13,200 295,350
Madison Gas & Electric Co. ............................. 6,600 213,675
Magna Group, Inc. ...................................... 18,700 341,275
Maine Public Service Co. ............................... 5,500 123,063
Marble Financial Corp. ................................. 11,100 120,019
*Marietta Corp. ......................................... 12,300 102,244
*Maritrans, Inc. ........................................ 43,300 243,563
*Mark VII, Inc. ......................................... 9,900 102,713
Marsh Supermarkets, Inc. Class A ....................... 14,100 151,575
Marsh Supermarkets, Inc. Class B ....................... 16,000 160,000
Maryland Federal Bancorp ............................... 10,700 251,450
Massbank Corp. Reading, MA ............................. 9,600 208,800
*Mastec, Inc. ........................................... 12,700 100,013
*Matec Corp. DE ......................................... 5,200 20,800
*Matlack Systems, Inc. .................................. 18,000 171,000
*Matrix Service Co. ..................................... 33,500 232,406
*Maverick Tube Corp. .................................... 22,000 202,125
*Maxtor Corp. ........................................... 38,600 154,400
*Maxwell Laboratories, Inc. ............................. 8,730 68,749
*Maxxam, Inc. ........................................... 31,200 1,033,500
*Maxxim Medical, Inc. ................................... 48,100 571,188
*Maynard Oil Co. ........................................ 17,400 88,088
McGrath Rent Corp. ..................................... 27,300 440,213
McRae Industries, Inc. Class A ......................... 1,000 7,375
*Medalist Industries, Inc. .............................. 13,700 77,063
*Medalliance, Inc. ...................................... 30,900 58,903
*Medchem Products, Inc. ................................. 47,800 262,900
Medex, Inc. ............................................ 27,500 436,563
*Media Logic, Inc. ...................................... 17,600 41,800
*Medical Diagnostics, Inc. .............................. 11,900 52,063
*Medical Graphics Corp. ................................. 3,200 18,400
Mediq, Inc. ............................................ 5,700 20,663
*Melamine Chemicals, Inc. ............................... 17,100 175,275
*Mem Co., Inc. .......................................... 5,300 23,188
*Mental Health Management, Inc. ......................... 712 2,314
Merchants Group, Inc. .................................. 11,400 161,025
Meridian Insurance Group, Inc. ......................... 24,100 253,050
*Merisel, Inc. .......................................... 23,600 200,600
Merrimac Industries, Inc. .............................. 5,700 45,956
*Mesa Airlines, Inc. .................................... 45,300 416,194
*Mestek, Inc. ........................................... 13,500 130,781
Metro Bancshares, Inc. ................................. 15,100 345,413
Metrobank .............................................. 6,600 115,500
*Michael Anthony Jewelers, Inc. ......................... 32,800 217,300
Michael Foods, Inc. .................................... 65,900 683,713
Mickelberry Communications, Inc. ....................... 20,100 64,069
*Micro Healthsystems, Inc. .............................. 17,900 63,769
*Microcom, Inc. ......................................... 13,800 138,000
*Micronics Computers, Inc. .............................. 44,200 209,950
*Micropolis Corp. ....................................... 51,300 455,288
Mid America Banccorp ................................... 22,373 399,917
*MidAmerican Waste System, Inc. ......................... 89,500 604,125
MidSouth Insurance Co. ................................. 3,000 27,375
Midconn Bank Kensington, CT ............................ 6,200 82,925
Middlesex Water Co. .................................... 13,100 235,800
Midland Co. ............................................ 5,400 211,275
22
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Miller Building Systems, Inc. .......................... 7,400 $ 25,900
*Miltope Group, Inc. .................................... 20,800 94,900
*Milwaukee Insurance Group, Inc. ........................ 13,200 122,100
Mine Safety Appliances Co. ............................. 21,200 932,800
*Mobley Environmental Services, Inc. Class A ............ 10,500 18,375
Monarch Machine Tool Co. ............................... 13,400 122,275
Money Store, Inc. ...................................... 18,750 328,125
*Moog, Inc. Class A ..................................... 14,000 119,000
*Moog, Inc. Class B ..................................... 1,800 24,975
*Moore Products Co. ..................................... 3,700 59,663
*Morgan Products, Ltd. .................................. 29,800 182,525
*Motts Holdings, Inc. ................................... 4,600 18,975
Mueller (Paul) Co. ..................................... 2,100 65,888
*Mueller Industries, Inc. ............................... 28,300 845,463
*Multi Color Corp. ...................................... 6,100 44,988
*Munsingwear, Inc. (New) ................................ 7,200 49,500
Myers (L.E.) Co. Group ................................. 7,600 88,350
NAC RE Corp. ........................................... 17,200 438,600
*NAI Technologies, Inc. ................................. 22,600 64,975
NBB Bancorp, Inc. ...................................... 18,200 869,050
NBT Bancorp ............................................ 5,460 84,630
NFS Financial Corp. .................................... 9,800 205,800
NS Bancorp, Inc. ....................................... 25,400 661,988
*NS Group, Inc. ......................................... 49,600 241,800
*NSA International, Inc. ................................ 5,600 28,000
NSC Corp. .............................................. 11,200 36,400
NUI Corp. .............................................. 24,600 353,625
NYMAGIC, Inc. .......................................... 56,300 921,913
*Nahama Weagant Energy Co. (New) ........................ 8,000 1,250
*Namic USA Corp. ........................................ 29,000 536,500
*Nantucket Industries, Inc. ............................. 6,500 37,375
*Napco Security Systems, Inc. ........................... 14,800 44,400
Nash Finch Co. ......................................... 38,200 615,975
Nashua Corp. ........................................... 5,300 111,300
*Nathans Famous, Inc. ................................... 17,400 85,913
*National City Bancorp .................................. 20,005 300,075
*National Convenience Stores, Inc. ...................... 36,000 256,500
*National Education Corp. ............................... 36,000 148,500
*National Home Centers, Inc. ............................ 17,700 71,906
*National Home Health Care Corp. ........................ 8,600 19,888
*National Mercantile Bancorp. ........................... 2,400 7,950
*National Patent Development Corp. ...................... 5,700 11,044
National Presto Industries, Inc. ....................... 20,000 825,000
*National Standard Co. .................................. 8,100 83,025
*National Western Life Insurance Co. Class A ............ 11,500 396,750
*Natural Wonders, Inc. .................................. 16,500 78,375
*Navigators Group, Inc. ................................. 2,100 31,500
*Netrix Corp. ........................................... 7,800 52,650
*Network Computing Devices, Inc. ........................ 62,400 276,900
*Network Systems Corp. .................................. 101,400 773,175
*New Brunswick Scientific Co., Inc. ..................... 12,700 69,056
New Jersey Resources Corp. ............................. 60,900 1,393,088
*New Jersey Steel Corp. ................................. 17,800 283,688
*New Mexico & Arizona Land Co. .......................... 7,200 65,700
Newcor, Inc. ........................................... 3,500 28,656
Newmil Bancorp, Inc. ................................... 28,000 122,500
Newport Corp. .......................................... 24,900 177,413
*Nichols Research Corp. ................................. 6,800 83,300
*Noble Drilling Corp. ................................... 9,675 60,469
Noland Co. ............................................. 2,000 41,250
*Nord Resources Corp. ................................... 64,100 360,563
23
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Nortek, Inc. ........................................... 47,200 $ 507,400
North Fork Bancorporation, Inc. ........................ 46,500 651,000
North Side Savings Bank NY ............................. 16,145 300,701
*North Star Universal, Inc. ............................. 33,800 181,675
Northbay Financial Corp. ............................... 9,432 141,480
*Northeast Federal Corp. ................................ 40,100 330,825
Northwestern Public Service Co. ........................ 20,900 540,788
Norwich Financial Corp. ................................ 18,600 186,000
*Nuclear Support Services, Inc. ......................... 5,700 21,731
*Nview Corp. ............................................ 16,200 131,625
*Nycor, Inc. (New) ...................................... 9,500 22,859
*Nycor, Inc. Class A (New) .............................. 24,000 57,000
O'Sullivan Corp. ....................................... 11,900 108,588
*OEC Medical Systems, Inc. .............................. 37,000 231,250
*OMI Corp. .............................................. 155,700 953,663
Oglebay Norton Co. ..................................... 7,500 226,875
*Olympus Capital Corp. .................................. 7,600 111,150
OnbanCorp, Inc. ........................................ 47,900 1,221,450
*Oncogene Science, Inc. ................................. 53,900 144,856
Oneida, Ltd. ........................................... 35,600 462,800
*Oneita Industries, Inc. ................................ 25,000 256,250
Optical Coating Laboratory, Inc. ....................... 31,900 195,388
*Option Care, Inc. ...................................... 9,000 24,188
*Orange Co., Inc. (New) FL .............................. 35,300 185,325
*Orbit International Corp. .............................. 20,300 54,556
*Orchard Supply Hardware Stores Corp. ................... 40,000 380,000
*Oregon Metallurgical Corp. ............................. 39,500 256,750
Oregon Steel Mills, Inc. ............................... 70,800 1,026,600
Oriole Homes Corp. Class B ............................. 7,300 48,363
Orion Capital Corp. .................................... 43,200 1,382,400
*Osborn Communications Corp. ............................ 6,300 40,556
Oshkosh B'Gosh, Inc. Class A ........................... 44,600 602,100
*Oshman's Sporting Goods, Inc. .......................... 20,700 160,425
Outboard Marine Corp. .................................. 53,600 998,300
*Outlook Group Corp. .................................... 10,200 124,950
*PCI Services, Inc. ..................................... 23,100 154,481
PXRE Corp. ............................................. 21,500 564,375
*Pacific Rim Holding Corp. .............................. 32,500 79,219
Pacific Scientific Co. ................................. 9,600 370,800
Paco Pharmaceutical Services, Inc. ..................... 24,100 216,900
*Palfed, Inc. ........................................... 600 4,538
Pancho's Mexican Buffet, Inc. .......................... 14,600 116,800
*Par Technology Corp. ................................... 26,700 173,550
*Parallan Computer, Inc. ................................ 20,000 99,375
Park Electrochemical Corp. ............................. 9,700 300,700
Parkvale Financial Corp. ............................... 8,862 194,964
*Patrick Industries, Inc. ............................... 36,800 317,400
*Patrick Petroleum Co. .................................. 26,800 33,500
*Patten Corp. ........................................... 74,028 259,098
*Peer Review Analysis, Inc. ............................. 7,400 20,581
*Penn Treaty American Corp. ............................. 11,200 170,800
Pennsylvania Enterprises, Inc. ......................... 11,400 320,625
Penril Datacomm Networks, Inc. ......................... 25,500 57,375
Peoples Heritage Financial Group, Inc. ................. 56,300 682,638
Peoples Savings Financial Corp. ........................ 7,200 124,200
*Peoples Telephone Co., Inc. ............................ 52,400 212,875
*Perfumania, Inc. ....................................... 33,800 111,963
*Perini Corp. ........................................... 25,800 261,225
*Perry Drug Stores, Inc. ................................ 40,600 304,500
*Pharmchem Laboratories, Inc. ........................... 18,900 50,794
Philadelphia Suburban Corp. ............................ 45,000 810,000
*Photo Control Corp. .................................... 4,200 27,300
24
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Photronics, Inc. ....................................... 3,700 $ 98,513
Piccadilly Cafeterias, Inc. ............................ 36,700 293,600
Pilgrim Pride Corp. .................................... 87,700 877,000
Pioneer Financial Services, Inc. ....................... 24,300 236,925
Piper Jaffray Companies, Inc. .......................... 12,900 130,613
Pitt-Des Moines, Inc. .................................. 8,300 282,200
Pittway Corp. DE Class A ............................... 16,900 652,763
*Plains Resources, Inc. ................................. 31,300 172,150
Ply-Gem Industries, Inc. DE ............................ 16,100 303,888
*Polk Audio, Inc. ....................................... 4,900 50,838
*Polymedica Industries, Inc. ............................ 41,840 180,435
*Pool Energy Services Co. ............................... 49,100 352,906
Pope & Talbot, Inc. .................................... 47,900 772,388
*Porta Systems Corp. .................................... 11,300 64,975
Portsmouth Bank Shares, Inc. ........................... 19,721 236,652
*Powell Industries, Inc. ................................ 27,200 153,000
*Pre-Paid Legal Services, Inc. .......................... 8,900 17,800
Premier Financial Services, Inc. ....................... 14,800 101,750
Presidential Life Corp. ................................ 168,600 821,925
*Presley Companies Class A .............................. 74,000 185,000
*Pride Petroleum Services, Inc. ......................... 67,800 347,475
*Primark Corp. .......................................... 66,100 826,250
Prime Bancorp, Inc. .................................... 11,770 192,734
Primesource Corp. ...................................... 5,254 55,167
*Printronix, Inc. ....................................... 10,000 287,500
*Procyte Corp. .......................................... 64,000 187,000
*Progress Financial Corp. ............................... 9,800 41,650
Progressive Bank, Inc. ................................. 10,400 217,100
*Progroup, Inc. ......................................... 8,500 53,125
*Proler International Corp. ............................. 16,900 118,300
Providence Energy Corp. ................................ 16,700 256,763
Provident Bankshares Corp. ............................. 22,400 467,600
*Psicor, Inc. ........................................... 14,700 134,138
Pulaski Furniture Corp. ................................ 10,100 186,850
Pulse Bancorp, Inc. .................................... 10,700 141,775
*Pulse Engineering, Inc. ................................ 32,800 184,500
*Pyramid Technology Corp. ............................... 51,900 544,950
*QMS, Inc. .............................................. 62,600 555,575
Quaker State Corp. ..................................... 43,400 596,750
*Quality Products, Inc. ................................. 25,100 69,025
Quanex Corp. ........................................... 20,500 461,250
*Quarterdeck Office Systems, Inc. ....................... 71,900 157,281
*Quest Medical, Inc. .................................... 12,360 55,620
Quick & Reilly Group, Inc. DE .......................... 6,400 158,400
*Quiksilver, Inc. ....................................... 1,800 29,138
*R & B, Inc. ............................................ 27,000 178,875
RLI Corp. .............................................. 21,500 438,063
RS Financial Corp. ..................................... 10,500 225,750
*Radius, Inc. ........................................... 20,950 196,406
*Rag Shops, Inc. ........................................ 15,700 37,288
*Railroad Financial Corp. ............................... 7,300 67,525
*Rally's Hamburgers, Inc. ............................... 28,200 98,700
*Ramsay Health Care, Inc. (New) ......................... 28,000 206,500
*Random Access, Inc. .................................... 23,100 85,903
Raritan Bancorp, Inc. DE ............................... 1,050 18,375
*Rasterops .............................................. 31,700 95,100
Rauch Industries, Inc. ................................. 6,000 54,000
*Raymond Corp. .......................................... 3,780 66,150
Re Capital Corp. ....................................... 25,100 313,750
*Readicare, Inc. ........................................ 14,000 19,250
*Reading Co. Class A .................................... 19,836 224,395
*Recognition International, Inc. ........................ 47,700 351,788
Redwood Empire Bancorp ................................. 8,900 71,200
*Regeneron Pharmaceuticals, Inc. ........................ 47,000 193,875
*Rehability Corp. ....................................... 13,400 97,988
25
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Repligen Corp. ......................................... 23,200 $ 69,600
*Republic Automotive Parts, Inc. ........................ 10,600 151,050
Republic Bancorp, Inc. ................................. 23,760 261,360
*Republic Waste Industries, Inc. ........................ 94,900 361,806
*Resource Recycling Technologies, Inc. .................. 7,000 35,000
*Revell Monogram, Inc. .................................. 27,100 165,988
*Rexene Corp. (New) ..................................... 21,600 243,000
*Rexon, Inc. ............................................ 34,400 174,150
Richardson Electronics, Ltd. ........................... 41,400 279,450
*Riddell Sports, Inc. ................................... 28,200 66,975
*Riggs National Corp. ................................... 167,600 1,435,075
*Riser Foods, Inc. Class A .............................. 24,800 173,600
*Riverside Group, Inc. .................................. 3,200 20,400
Roanoke Electric Steel Corp. ........................... 9,200 144,900
*Robec, Inc. ............................................ 11,400 19,594
Robinson Nugent, Inc. .................................. 18,900 159,469
Rochester Community Savings Bank of New York ........... 44,500 739,813
*Rohr, Inc. ............................................. 108,000 985,500
Roosevelt Financial Group, Inc. ........................ 20,200 294,163
*Ropak Corp. ............................................ 8,800 90,200
Russ Berrie & Co., Inc. ................................ 60,600 855,975
*Ryans Family Steak Houses, Inc. ........................ 18,700 132,069
*Rykoff-Sexton, Inc. .................................... 35,400 730,125
Ryland Group, Inc. ..................................... 61,664 855,588
*Rymer Foods, Inc. ...................................... 10,000 35,000
*S&K Famous Brands, Inc. ................................ 14,300 116,188
*SBE, Inc. .............................................. 6,900 69,863
SCOR U.S. Corp. ........................................ 64,500 572,438
SFFED Corp. ............................................ 28,200 377,175
SKI, Ltd. .............................................. 16,700 267,200
*SLM International, Inc. ................................ 36,000 139,500
*SPS Technologies, Inc. ................................. 18,300 416,325
SPX Corp. .............................................. 45,600 706,800
*Safeguard Scientifics, Inc. ............................ 27,000 462,375
Saint Ives Laboratories Corp. .......................... 12,500 107,031
Saint Joseph Light & Power Co. ......................... 11,700 311,513
Saint Paul Bancorp, Inc. ............................... 69,900 1,249,463
Salem Corp. ............................................ 6,600 101,475
*Salick Health Care, Inc. ............................... 15,000 375,000
Sands Regent Casino Hotel .............................. 16,000 114,000
*Santa Monica Bank CA ................................... 25,500 210,375
*Sarnia Corp. ........................................... 1,300 442
*Schieb (Earl), Inc. .................................... 15,400 88,550
Schultz Sav-O Stores, Inc. ............................. 5,100 101,363
*Scientific Software-Intercomp, Inc. .................... 22,200 124,875
*Scios-Nova, Inc. ....................................... 10,000 60,625
Scope Industries, Inc. ................................. 2,400 57,900
*Score Board, Inc. ...................................... 30,400 127,300
*Seacor Holdings, Inc. .................................. 35,000 748,125
Seafield Capital Corp. ................................. 8,100 278,438
*Secom General Corp. .................................... 5,800 16,675
Selas Corp. of America ................................. 12,300 119,925
Selective Insurance Group, Inc. ........................ 74,900 1,816,325
*Selfix, Inc. ........................................... 4,900 23,888
*Sequa Corp. Class A .................................... 18,500 393,125
*Serv-Tech, Inc. ........................................ 34,400 232,200
*Sharper Image Corp. .................................... 21,500 145,125
*Shiloh Industries, Inc. ................................ 11,400 82,650
*Shoe Carnival, Inc. .................................... 30,000 157,500
Shopko Stores, Inc. .................................... 191,600 1,916,000
*Show Biz Pizza Time, Inc. .............................. 29,400 222,338
Showboat, Inc. ......................................... 31,900 390,775
*Sierra Tucson Companies, Inc. .......................... 29,400 88,200
26
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*Sifco Industries, Inc. ................................. 17,800 $ 57,850
*Sigma Designs, Inc. .................................... 11,300 76,981
*Signal Technology Corp. ................................ 24,800 80,600
*Silicon Valley Bancshares .............................. 26,700 327,075
*Silicon Valley Group, Inc. ............................. 30,700 614,000
Sizzler International, Inc. ............................ 148,700 836,438
Skyline Corp. .......................................... 37,000 684,500
*Softech, Inc. .......................................... 12,600 81,900
*Software Publishing Corp. .............................. 56,000 308,000
*Software Spectrum, Inc. ................................ 15,100 247,263
*Solo Serve Corp. ....................................... 9,200 9,200
*Sound Advice, Inc. ..................................... 13,100 77,781
South Jersey Industries, Inc. .......................... 37,500 632,813
*Southdown, Inc. ........................................ 100,000 1,712,500
Southern California Water Co. .......................... 26,200 415,925
*Southern Union Co. ..................................... 26,897 480,784
*Southwall Technologies, Inc. ........................... 20,700 60,806
Southwest Bancshares, Inc. DE .......................... 7,700 163,625
Southwest Gas Corp. .................................... 106,000 1,616,500
Southwest Water Co. .................................... 8,200 76,875
*Spacelabs Medical, Inc. ................................ 5,000 112,500
*Spaghetti Warehouse, Inc. .............................. 19,800 111,375
Span-American Medical System, Inc. ..................... 11,100 55,500
*Sparton Corp. .......................................... 27,600 138,000
*Spec's Music, Inc. ..................................... 18,000 101,250
*Specialty Chemical Resources, Inc. ..................... 23,000 74,750
*Spectran Corp. ......................................... 30,000 163,125
*Sport Chalet, Inc. ..................................... 9,100 35,263
*Sportstown, Inc. ....................................... 8,100 9,619
*Stacey's Buffet, Inc. .................................. 10,700 13,375
Stage II Apparel Corp. ................................. 14,800 59,200
Standard Commercial Corp. .............................. 31,108 447,178
Standard Motor Products, Inc. Class A .................. 42,700 779,275
Standard Pacific Corp. DE .............................. 122,472 734,832
*Stanford Telecommunications, Inc. ...................... 8,700 154,425
*Stanley Furniture, Inc. ................................ 18,100 183,263
Stant Corp. ............................................ 80,000 1,120,000
*Staodyn, Inc. .......................................... 2,100 3,150
Starret Housing Corp. .................................. 17,900 124,181
Starrett (L.S.) Co. Class A ............................ 23,700 494,738
Statesman Group, Inc. (Escrow) ......................... 37,500 0
Stepan Co. ............................................. 15,400 485,100
Sterling Bancorp ....................................... 22,800 153,900
*Sterling Financial Corp. WA ............................ 10,100 106,050
*Stevens Graphics Corp. Class A ......................... 8,000 54,000
Stewart Information Services Corp. ..................... 21,650 319,338
*Stokely USA, Inc. ...................................... 14,900 134,100
Stone & Webster, Inc. .................................. 42,300 1,406,475
Strawbridge & Clothier Class A ......................... 33,381 755,245
*Stuart Entertainment, Inc. ............................. 11,300 51,556
*Sulcus Computer Corp. .................................. 45,400 119,175
*Summagraphics Corp. .................................... 11,500 97,750
Summit Bancorp, Inc. WA ................................ 11,183 215,265
*Sun Sportswear, Inc. ................................... 20,400 91,800
Sun Television and Appliances, Inc. .................... 53,800 480,838
*Sunbelt Nursery Group, Inc. ............................ 22,700 52,494
*Suncoast Savings & Loan Association FSA ............... 1,200 6,900
*Sunrise Bancorp CA ..................................... 23,980 38,968
*Sunrise Leasing Corp. .................................. 13,900 66,025
27
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
Super Food Services, Inc. .............................. 58,600 $ 651,925
Susquehanna Bancshares, Inc. ........................... 6,500 143,000
*Swift Energy Corp. ..................................... 23,470 234,700
*Symix Systems, Inc. .................................... 4,300 34,400
Syms Corp. ............................................. 62,900 432,438
*Syncor International Corp. DE .......................... 32,200 271,688
*Synercom Technology, Inc. .............................. 3,200 16,400
*Synergen, Inc. ......................................... 151,800 1,378,059
*Syntellect, Inc. ....................................... 49,700 323,050
*Syquest Technology, Inc. ............................... 34,800 556,800
TCBY Enterprises, Inc. ................................. 54,800 315,100
*TCC Industries, Inc. ................................... 6,500 13,000
TCF Financial Corp. .................................... 30,600 1,128,375
*TCI International, Inc. ................................ 11,700 48,263
*TIE/Communications, Inc. (New) ......................... 9,500 53,438
TJ International, Inc. ................................. 11,300 187,863
*TPI Enterprises, Inc. .................................. 79,400 332,488
*TRM Copy Centers Corp. ................................. 38,000 182,875
*TSF Communications Corp. ............................... 2,000 11,500
Tab Products Co. DE .................................... 17,300 142,725
*Tanknology Environmental, Inc. ......................... 50,100 129,947
*Team, Inc. ............................................. 17,800 51,175
*Tech-Sym Corp. ......................................... 20,800 455,000
Technitrol, Inc. ....................................... 3,000 43,875
*Technology Solutions Corp. ............................. 34,400 270,900
*Tekelec ................................................ 8,800 213,400
*Telco Systems, Inc. .................................... 16,700 279,725
Telxon Corp. ........................................... 22,500 272,813
*Tetra Technologies, Inc. ............................... 37,900 357,681
Texas Industries, Inc. ................................. 38,400 1,272,000
*Texfi Industries, Inc. ................................. 28,500 74,813
Thiokol Corp. .......................................... 61,800 1,645,425
Thomas Industries, Inc. ................................ 69,200 925,550
Thorn Apple Valley, Inc. ............................... 13,000 367,250
*Tipperary Corp. ........................................ 39,900 109,725
Titan Holdings, Inc. ................................... 19,600 188,650
Toastmaster, Inc. ...................................... 25,100 175,700
*Todd Shipyards Corp. ................................... 38,200 176,675
Todd-AO Corp. Class A .................................. 3,400 17,425
*Tokos Medical Corp. .................................... 22,800 151,050
*Town & Country Corp. Class A ........................... 50,000 46,875
*Tracor, Inc. ........................................... 25,800 322,500
*Trak Auto Corp. ........................................ 18,200 293,475
*Transport Leasing International, Inc. .................. 15,700 54,459
Transtechnology Corp. .................................. 18,700 215,050
Treadco, Inc. .......................................... 10,000 158,750
Tredegar Industries, Inc. .............................. 36,200 651,600
*Tremont Corp. DE ....................................... 25,600 278,400
Trenwick Group, Inc. ................................... 19,400 717,800
*Tricare, Inc. .......................................... 20,100 40,200
*Trico Products Corp. ................................... 2,000 168,000
*Tricord Systems, Inc. .................................. 34,100 206,731
*Trimark Holdings, Inc. ................................. 13,900 104,250
*Tripos, Inc. ........................................... 16,166 73,757
*Tuboscope Vetco International, Inc. .................... 109,900 789,906
*Tucker Drilling Co., Inc. .............................. 6,200 37,200
*Tuesday Morning Corp. .................................. 47,500 326,563
Tultex Corp. ........................................... 106,200 584,100
*Turner Corp. ........................................... 20,532 164,256
Twin Disc, Inc. ........................................ 10,000 202,500
*Tyco Toys, Inc. ........................................ 155,500 933,000
*Tyler Corp. ............................................ 72,500 262,813
U.S. Bancorp, Inc. ..................................... 16,600 356,900
28
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
------------------ ------------------
*UNC, Inc. .............................................. 106,400 $532,000
UNR Industries, Inc. ................................... 83,800 513,275
*URS Corp. (New) ........................................ 13,800 70,725
USILICO Corp. .......................................... 35,800 716,000
*UST Corp. .............................................. 25,500 269,344
Uni-Marts, Inc. ........................................ 24,300 130,613
Unico American Corp. ................................... 20,200 84,588
*Union Corp. DE ......................................... 35,200 492,800
Union Planters Corp. ................................... 34,900 719,813
*Unit Corp. ............................................. 65,800 205,625
United Carolina Bancshares Corp. ....................... 34,600 830,400
United Financial Corp. ................................. 11,800 153,400
United Industrial Corp. ................................ 42,900 209,138
*United Inns, Inc. ...................................... 4,800 117,000
*United Retail Group, Inc. .............................. 14,000 96,250
*United States Banknote Corp. ........................... 68,700 154,575
*United States Energy Corp. ............................. 15,700 63,781
*United States Facilities Corp. ......................... 14,500 145,000
*United States Home Corp. ............................... 40,800 642,600
*United States Homecare Corp. ........................... 29,400 66,150
*United States Intec, Inc. .............................. 6,100 34,313
United Stationers, Inc. ................................ 73,400 752,350
United Water Resources, Inc. ........................... 71,184 925,392
*Unitel Video, Inc. ..................................... 9,100 53,463
Unitil Corp. ........................................... 5,500 99,000
*Universal Health Services, Inc. Class B ................ 31,000 775,000
*Universal International, Inc. .......................... 13,000 29,250
Upper Peninsula Energy Corp. ........................... 8,100 125,550
*Uranuim Resources, Inc. (New) .......................... 21,300 115,819
*Utilx Corp. ............................................ 24,500 87,281
*V Band Systems, Inc. ................................... 18,400 75,900
*Valence Technology, Inc. ............................... 120,000 333,750
*Vallen Corp. ........................................... 47,800 558,663
Valley Forge Corp. ..................................... 5,800 103,675
Vallicorp Holdings, Inc. ............................... 7,200 100,800
*Vans, Inc. ............................................. 35,900 217,644
*Varco International, Inc. .............................. 91,800 585,225
*Varitronic Systems, Inc. ............................... 8,600 76,325
Varlen Corp. ........................................... 1,800 42,975
*Ventura County National Bancorp ........................ 21,900 49,275
Venture Stores, Inc. ................................... 103,400 1,305,425
Vermont Financial Services Corp. ....................... 7,300 147,825
*Versar, Inc. ........................................... 1,300 3,819
*Vertex Communications Corp. ............................ 25,000 337,500
*Vestar, Inc. ........................................... 46,100 210,331
*Vicorp Restaurants, Inc. ............................... 7,700 130,900
Victoria Bankshares, Inc. .............................. 18,200 425,425
*Victoria Financial Corp. ............................... 10,200 72,675
*Video Display Corp. .................................... 14,100 37,013
*Video Lottery Technologies, Inc. ....................... 33,400 313,125
Virco Manufacturing Corp. .............................. 10,406 97,556
Virginia Beach Federal Financial Corp. ................. 17,500 111,563
*Vista Resources, Inc. .................................. 5,900 124,638
*Volt Information Sciences, Inc. ........................ 6,300 174,038
*WHX Corp. .............................................. 59,700 850,725
WICOR, Inc. ............................................ 21,700 604,888
*WSMP, Inc. ............................................. 1,600 11,000
Walbro Corp. ........................................... 8,900 151,300
*Walker Interactive Systems, Inc. ....................... 41,300 258,125
Walshire Assurance Co. ................................. 10,395 104,600
Warner Insurance Services, Inc. ........................ 50,000 137,500
*Warren Bancorp, Inc. ................................... 11,800 94,400
Washington Homes, Inc. (New) ........................... 41,800 161,975
29
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
</TABLE>
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Washington National Corp. ................................ 73,400 $ 1,468,000
Washington Savings Bank FSB Waldorf, MD .................. 14,100 54,638
Watkins-Johnson Co. ...................................... 11,900 392,700
Watsco, Inc. Class A ..................................... 2,300 37,375
Watts Industries, Inc. Class A ........................... 18,600 378,975
Webb (Del) Corp. ......................................... 58,788 970,002
Webster Financial Corp. .................................. 12,880 241,500
*Weirton Steel Corp. ...................................... 39,800 333,325
*Weitek Corp. ............................................. 12,000 38,250
Wellco Enterprises, Inc. ................................. 1,600 26,900
*Wells-Gardner Electronics Corp. .......................... 13,800 41,400
Westco Bancorp, Inc. ..................................... 6,100 107,513
Westcorp DE .............................................. 40,500 349,313
*Western Beef, Inc. ....................................... 9,200 67,275
*Western Co. North America (New) .......................... 9,000 153,000
*Western Micro Technology, Inc. ........................... 6,600 53,625
*Western Waste Industries ................................. 21,000 320,250
*Westmoreland Coal Co. .................................... 20,600 108,150
*Weston (Roy F.), Inc. Class A ............................ 26,400 150,150
Weyco Group, Inc. ........................................ 800 28,600
*Whitehall Corp. .......................................... 700 13,125
Whitney Holdings Corp. ................................... 41,000 917,375
*Whittaker Corp. .......................................... 17,800 289,250
*Willcox & Gibbs, Inc. .................................... 60,600 386,325
Wilshire Oil Co. of Texas ................................ 400 2,750
Windmere Corp. ........................................... 57,000 555,750
Wolohan Lumber Co. ....................................... 24,600 375,150
Wolverine World Wide, Inc. ............................... 15,300 340,425
*Worldtex, Inc. ........................................... 91,100 398,563
*Worthington Foods, Inc. .................................. 7,900 68,631
Wyle Laboratories, Inc. .................................. 33,200 618,350
*Wyman-Gordon Co. ......................................... 50,800 285,750
Wynns International, Inc. ................................ 18,100 429,875
*Xicor, Inc. .............................................. 54,800 131,863
Yankee Energy Systems, Inc. .............................. 37,100 802,288
*Yes Clothing Co. ......................................... 3,400 6,163
*Younkers, Inc. ........................................... 52,900 919,030
*Zaring Homes, Inc. ....................................... 13,000 74,750
*Zenith Electronics Corp. ................................. 29,900 366,275
Zenith National Insurance Corp. .......................... 39,900 862,830
*Zeos International, Ltd. ................................. 28,600 203,775
Ziegler Co., Inc. ........................................ 1,700 27,413
*Zitel Corp. .............................................. 37,000 291,375
Zurn Industries, Inc. .................................... 27,200 476,000
*Zygo Corp. ............................................... 8,400 63,000
*Zynaxis, Inc. ............................................ 31,000 38,750
------------------
TOTAL COMMON STOCKS (Cost $346,312,288) ................... 343,511,190
------------------
RIGHTS/WARRANTS - (0.0%)
*SPS Technologies, Inc. Rights 12/16/94 (Cost $0) ......... 1,830 100
------------------
</TABLE>
30
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
--------- --------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (4.2%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury
Bills 5.55%, 02/09/95) (Cost $14,792,000) ..................................................... $14,792 $ 14,792,000
--------------
TOTAL INVESTMENTS - (102.3%) (Cost $361,104,288) ............................................... 358,303,290
--------------
OTHER ASSETS AND LIABILITIES -- (-2.3%)
Other Assets ................................................................................. 2,668,278
Liabilities .................................................................................. (10,714,918)
--------------
(8,026,640)
--------------
NET ASSETS -- (100.0%) Applicable to 31,423,970
Outstanding $.01 Par Value Shares (Unlimited Number of Shares Authorized) ..................... $350,276,650
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ....................................... $ 11.15
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
31
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED
NOVEMBER 30, 1994
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 3,763
Interest .............................................................. 412
----------
Total Investment Income .............................................. 4,175
----------
Expenses
Investment Advisory Services .......................................... 459
Accounting & Transfer Agent Fees ...................................... 197
Custodian's Fee ....................................................... 43
Legal Fees ............................................................ 7
Audit Fees ............................................................ 7
Shareholders' Reports ................................................. 6
Trustees' Fees and Expenses ........................................... 4
Other ................................................................. 10
----------
Total Expenses ....................................................... 733
----------
Net Investment Income ................................................ 3,442
----------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ............................ 2,206
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... (10,764)
----------
Net Loss on Investment Securities ..................................... (8,558)
----------
Net Decrease in Net Assets Resulting from Operations .................... $ (5,116)
==========
</TABLE>
See accompanying Notes to Financial Statements
32
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Year Ended March 2 to
Nov. 30, Nov. 30,
1994 1993
------------ ------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 3,442 $ 632
Net Realized Gain on Investment Securities ............................ 2,206 555
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... (10,764) 7,963
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations .... (5,116) 9,150
------------ ------------
Distributions From:
Net Investment Income ................................................. (3,415) (592)
Net Realized Gain ..................................................... (1,292) (507)
------------ ------------
Total Distributions .................................................. (4,707) (1,099)
------------ ------------
Capital Share Transactions (1):
Shares Issued ......................................................... 264,190 87,302
Shares Issued in Lieu of Cash Distributions ........................... 3,765 673
Shares Redeemed ....................................................... (3,536) (345)
------------ ------------
Net Increase From Capital Share Transactions ....................... 264,419 87,630
------------ ------------
Total Increase ..................................................... 254,596 95,681
Net Assets
Beginning of Period ................................................... 95,681 -
------------ ------------
End of Period ......................................................... $350,277 $95,681
============ ============
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 22,720 8,640
Shares Issued in Lieu of Cash Distributions ........................... 340 99
Shares Redeemed ....................................................... (304) (71)
------------ ------------
22,756 8,668
============ ============
</TABLE>
See accompanying Notes to Financial Statements
33
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Year Ended March 2 to
Nov. 30, Nov. 30,
1994 1993
------------ ------------
<S> <C> <C>
Net Asset Value, Beginning of Period ................ $ 11.04 $ 10.00
------------ ------------
Income from Investment Operations
- ---------------------------------
Net Investment Income ............................. 0.12 0.08
Net Gains on Securities (Realized and Unrealized) . 0.16 1.09
------------ ------------
Total from Investment Operations ................. 0.28 1.17
------------ ------------
Less Distributions
- ------------------
Net Investment Income ............................. (0.12) (0.07)
Net Realized Gains ................................ (0.05) (0.06)
------------ ------------
Total Distributions ............................... (0.17) (0.13)
------------ ------------
Net Asset Value, End of Period ...................... $ 11.15 $ 11.04
============ ============
Total Return ........................................ 2.52% 11.69%#
Net Assets, End of Period (thousands) ............... $350,277 $95,681
Ratio of Expenses to Average Net Assets ............. 0.32% 0.33%*
Ratio of Net Investment Income to Average Net Assets.. 1.50% 1.35%*
Portfolio Turnover Rate ............................. 8.22% 1.07%*
</TABLE>
- ------
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
34
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
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
November 30, 1994, 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 solely 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 U.S. Small Cap Value 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 November 30, 1994.
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 attributable to a
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 investment
advisory services to the Series. For the period ended November 30, 1994, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.20 of 1%.
35
<PAGE>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year (or period) ended November 30, 1994, the Series made the
following purchases and sales of investment securities (amounts in
thousands):
Purchases....................... $284,491
Sales ......................... 25,862
E. INVESTMENT TRANSACTIONS:
At November 30, 1994, 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 .................. $ 27,422
Gross Unrealized Depreciation .................. (30,223)
----------
Net ........................................... $ (2,801)
==========
F. COMPONENTS OF NET ASSETS:
At November 30, 1994, net assets consisted of (amounts in thousands):
Paid-In Capital ................................. $352,049
Undistributed Net Investment Income ............. 67
Undistributed Net Realized Gain ................. 962
Unrealized Depreciation of Investment Securities (2,801)
----------
$350,277
==========
36
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statement of net assets of The DFA
Investment Trust Company, The U.S. Small Cap Value Series as of November 30,
1994, and the related statement of operations for the year then ended and the
statements of changes in net assets and financial highlights for each of the
two years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1994, by correspondence with the
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
The DFA Investment Trust Company, The U.S. Small Cap Value Series, as of
November 30, 1994, and the results of its operations for the year then ended
and the changes in its net assets and its financial highlights for each of
the two years in the period then ended, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 23, 1995
37
