<PAGE>
================================================================================
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
ANNUAL REPORT
Year Ended November 30, 1995
================================================================================
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
---------
<S> <C>
Dimensional Investment Group Inc.
Performance Chart .............................................. 1
Statement of Assets and Liabilities ............................ 2
Statement of Operations ........................................ 3
Statements of Changes in Net Assets ............................ 4
Financial Highlights ........................................... 5
Notes to Financial Statements .................................. 6
Report of Independent Accountants .............................. 7
The DFA Investment Trust Company -- The U.S. Small Cap Value Series
Performance Chart .............................................. 8
Statement of Net Assets ........................................ 9-20
Statement of Operations ........................................ 21
Statements of Changes in Net Assets ............................ 22
Financial Highlights ........................................... 23
Notes to Financial Statements .................................. 24-25
Report of Independent Accountants .............................. 26
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
==============================================================================
U.S. Small Cap Value Portfolio II
vs. Fama-French Small Cap Value Index
September 1994-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Small Cap Fama-French
Value Portfolio II Index
------------------ ----------
9408 10000 10000
9409 9961 9957
9410 9815.56 9787.73
9411 9476.93 9462.77
9412 9567.91 9541.31
9501 9666.46 9695.88
9502 10000.92 10089.54
9503 10118.93 10206.58
9504 10473.09 10527.07
9505 10757.96 10751.29
9506 11180.75 11106.09
9507 11780.04 11552.55
9508 12153.46 11923.39
9509 12290.8 12122.51
9510 11691.01 11581.84
9511 12121.24 11907.29
Annualized From
Total Return (%) One Year September 1994
- ------------------------------------------------------------------------------
27.90 16.64
* 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 have market caps of
approximately $500 million or less and
book-to-market ratios in the upper 30%
of publicly traded U.S. companies.
* This portfolio's returns in fiscal
1995 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 of
the 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, 1995
(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 (1,019,017 Shares, Cost $12,533) at Value ............................. $ 14,284
Receivable for Investment Securities Sold ...................................... 55
Receivable for Fund Shares Sold ................................................ 8
Prepaid Expenses and Other Assets .............................................. 34
-----------
Total Assets ............................................................... 14,381
-----------
LIABILITIES:
Payable for Fund Shares Redeemed ............................................... 63
Accrued Expenses ............................................................... 28
-----------
Total Liabilities .......................................................... 91
-----------
Net Assets ..................................................................... $ 14,290
===========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 1,178,027
===========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 12.13
===========
NET ASSETS CONSIST OF:
Paid-In Capital ................................................................ $ 12,546
Undistributed Net Investment Income ............................................ 1
Undistributed Net Realized Gain ................................................ (8)
Unrealized Appreciation of Investment Securities ............................... 1,751
-----------
Total Net Assets ........................................................... $ 14,290
===========
</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 YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................ $ 130
--------
Expenses
Administrative Services .............................................. 30
Accounting & Transfer Agent Fees ..................................... 12
Legal Fees ........................................................... 6
Audit Fees ........................................................... 3
Filing Fees .......................................................... 16
Shareholder Services ................................................. 25
Shareholder Reports .................................................. 8
Directors' Fees and Expenses ......................................... 5
Other ................................................................ 11
------
Total Expenses .................................................... 116
Less: Fees Waived and Expenses Reimbursed ............................ (53)
------
Net Expenses ......................................................... 63
------
Net Investment Income ................................................ 67
------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ............................. 167
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................... 2,034
--------
Net Gain on Investment Securities .................................... 2,201
------
Net Increase in Net Assets Resulting from Operations ................... $2,268
========
</TABLE>
See accompanying Notes to Financial Statements
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
Year August 3
Ended to
Nov. 30, Nov. 30,
1995 1994
---------- ----------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................ $ 67 $ 69
Net Realized Gain (Loss) on Investment Securities .................... 167 (6)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................ 2,034 (283)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations ..... 2,268 (220)
---------- ----------
Distributions From:
Net Investment Income ................................................ (67) (68)
Net Realized Gains ................................................... (169) --
---------- ----------
Total Distributions ............................................... (236) (68)
---------- ----------
Capital Share Transactions (1):
Shares Issued ........................................................ 7,811 6,515
Shares Issued in Lieu of Cash Distributions .......................... 236 68
Shares Redeemed ...................................................... (1,844) (240)
---------- ----------
Net Increase From Capital Share Transactions ...................... 6,203 6,343
---------- ----------
Total Increase .................................................... 8,235 6,055
Net Assets
Beginning of Period .................................................. 6,055 --
---------- ----------
End of Period ........................................................ $14,290 $6,055
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued ........................................................ 694 644
Shares Issued in Lieu of Cash Distributions .......................... 20 7
Shares Redeemed ...................................................... (163) (24)
---------- ----------
551 627
========== ==========
</TABLE>
See accompanying Notes to Financial Statements
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Year August 3
Ended to
Nov. 30, Nov. 30,
1995 1994
---------- -----------
<S> <C> <C>
Net Asset Value, Beginning of Period .................... $ 9.65 $10.00
---------- -----------
Income from Investment Operations
- ---------------------------------
Net Investment Income ................................. 0.06 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) ........................................ 2.63 (0.35)
---------- -----------
Total from Investment Operations ................... 2.69 (0.24)
---------- -----------
Less Distributions
- ------------------
Net Investment Income ................................. (0.06) (0.11)
Net Realized Gains .................................... (0.15) --
---------- -----------
Total Distributions ................................ (0.21) (0.11)
---------- -----------
Net Asset Value, End of Period .......................... $ 12.13 $ 9.65
========== ===========
Total Return ............................................ 27.90% (2.39)%#
Net Assets, End of Period (thousands) ................... $14,290 $6,055
Ratio of Expenses to Average Net Assets (1) ............. 0.96%(a) 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets .... 0.68%(a) 4.78%*(a)
Portfolio Turnover Rate ................................. N/A N/A
</TABLE>
- ------------
*Annualized
#Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective
pro-rata share of its Master Fund Series.
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods November 30, 1995 and 1994
would have been 1.50% and 2.33%, respectively and the ratios of net
investment income to average net assets for the periods ended November
30, 1995 and 1994 would have been 0.14% 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, 1995, Dimensional Investment Group Inc. (the "Fund")
consisted of eight portfolios, The DFA 6-10 Institutional Portfolio, U.S.
Small Cap Value Portfolio II, U.S. Large Cap Value Portfolio II, U.S. Large
Cap Value Portfolio III, DFA One-Year Fixed Income Portfolio II, The DFA
International Value Portfolio, DFA International Value Portfolio II and DFA
International Value Portfolio III (the "Portfolios"). The Fund is an open-end
management investment company registered under the Investment Company Act of
1940, whose shares are offered to institutional investors, retirement plans,
and clients of registered investment advisors. The financial statements of
U.S. Small Cap Value Portfolio II (the "Portfolio") are presented herein, the
financial statements for the other Portfolios are presented elsewhere.
The Portfolio invests all of its assets in The U.S. Small Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company.
At November 30, 1995, the Portfolio owned 2% of the outstanding shares of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements.
1. Security Valuation: The shares of the Series held by the Portfolio are
valued at its respective daily Net Asset Value.
2. Federal Income Taxes: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Expenses directly attributable to the
Portfolio or to the Series are directly charged. Common expenses are
allocated using methods determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides administrative
services to the Portfolio, including supervision of services provided by
others, providing information to the shareholders and to the Board of
Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the year ended November 30, 1995, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.30 of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and reimburse the Portfolio to
the extent necessary to keep the annual combined expenses of the Portfolio
and its respective Master Fund to not more than 0.96% of average daily net
assets.
D. INVESTMENTS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation .................... $1,751
Gross Unrealized Depreciation .................... --
------
Net .............................................. $1,751
======
6
<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., U.S. Small Cap Value Portfolio II, as of
November 30, 1995, and the related statement of operations for the year then
ended and the statements of changes in net assets for each of the two years
in the period then ended, and the financial highlights for each of the
periods presented. 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, 1995, 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 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
Dimensional Investment Group Inc., U.S. Small Cap Value Portfolio II, as of
November 30, 1995, and the results of its operations for the year then ended
and the changes in its net assets for each of the two years in the period
then ended, and its financial highlights for each of the periods presented,
in conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
7
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
==============================================================================
U.S. Small Cap Value Series
vs. Fama-French Small Cap Value Index
March 1993-November 1995
The following reflects the growth of a $10,000 investment.
U.S.
Small Cap Fama-French
Value Series Index
------------ ---------
9302 10000 10000
9303 10343 10372
9304 10123.73 10047.36
9305 10395.04 10456.28
9306 10405.44 10443.74
9307 10718.64 10588.9
9308 11073.43 10927.75
9309 11458.79 11125.54
9310 11844.95 11570.56
9311 11645.95 11386.59
9312 11880.04 11675.81
9401 12493.04 12229.24
9402 12461.81 12155.87
9403 12049.33 11652.62
9404 12133.67 11737.68
9405 12176.14 11698.95
9406 11954.53 11457.95
9407 12155.37 11740.96
9408 12578.38 12162.46
9409 12535.61 12110.16
9410 12356.35 11904.29
9411 11941.18 11509.07
9412 12064.17 11604.59
9501 12193.26 11792.58
9502 12623.68 12271.36
9503 12773.9 12413.71
9504 13226.1 12803.5
9505 13603.04 13076.22
9506 14141.72 13507.73
9507 14916.69 14050.74
9508 15389.55 14501.77
9509 15583.46 14743.95
9510 14830.78 14086.37
9511 15382.48 14482.2
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
28.82 16.95
* Dimensional's multifactor portfolios
attempt to capture return premiums
associated with high book-to-market
ratios and small market capitalization.
The U.S. Small Cap Value Series
invests on a market cap-weighted basis
in companies that have a market cap of
approximately $500 million or less and
have book-to-market ratios in the upper
30% of publicly traded U.S. companies.
* This portfolio's returns in fiscal
1995 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 of
the Fama-French and CRSP, University of
Chicago.
- ------------------------------------------------------------------------------
8
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
NOVEMBER 30, 1995
Shares Value+
--------- -------------
COMMON STOCKS -- (98.2%)
AAR Corp. ......................... 87,800 $1,613,325
*ACX Technologies, Inc. ............ 127,400 2,070,250
*AEL Industries, Inc. Class A ...... 12,700 346,075
AEP Industries, Inc. .............. 13,050 295,256
*AG Services America, Inc. ......... 2,900 24,650
*ARI Holdings Corp. ................ 7,700 6,738
*AST Research, Inc. ................ 64,906 596,324
*Accell International Corp. ........ 27,600 75,900
*Acceptance Insurance Companies,
Inc. .............................. 32,200 470,925
Aceto Corp. ....................... 19,400 329,800
*Acme Metals, Inc. ................. 45,300 699,319
*Acme United Corp. ................. 7,100 24,850
Acme-Cleveland Corp. .............. 15,300 348,075
*Adage, Inc. ....................... 22,800 101,175
*Addington Resources, Inc. ......... 3,000 45,188
*Advance Ross Corp. ................ 3,200 92,200
*#Advanced Logic Research, Inc. ..... 50,800 368,300
*Advanced Marketing Services, Inc. . 24,200 225,363
*Advanced NMR Systems, Inc. ........ 16,933 25,135
*Advanced Technology Labs, Inc. .... 100,827 2,142,574
Advantage Bancorp, Inc. ........... 11,700 406,575
*Advest Group, Inc. ................ 37,700 339,300
*Aequitron Medical, Inc. ........... 15,400 121,275
*Aeroflex, Inc. .................... 49,900 224,550
*Aerosonic Corp. DE ................ 3,200 4,800
*Aerovox, Inc. ..................... 39,100 224,825
*Affiliated Community Bancorp ...... 6,800 118,575
*Air & Water Technologies Corp.
Class A ........................... 100,000 550,000
*Air Methods Corp. ................. 29,700 115,088
#Airborne Freight Corp. ............ 73,900 2,078,438
*Airways Corp. ..................... 14,600 140,525
*Alamco, Inc. ...................... 25,900 220,150
*#Alaska Air Group, Inc. ............ 57,800 1,047,625
*Alba-Waldensian, Inc. ............. 3,800 33,963
Albank Financial Corp. ............ 40,300 1,203,963
*Aldila, Inc. ...................... 45,000 205,313
*Alexander Energy Co. .............. 6,000 24,000
Alfa Corp. ........................ 10,000 111,250
*Alkermes, Inc. .................... 78,000 468,000
*Allegiant Physician Services, Inc. 32,800 32,800
Allied Group, Inc. ................ 29,500 1,043,563
Allied Life Financial Corp. ....... 20,000 337,500
Allied Products Corp. ............. 18,400 384,100
*Allied Research Corp. ............. 21,700 86,800
*#Allied Waste Industries, Inc. ..... 57,900 416,156
*Allou Health & Beauty Care, Inc.
Class A ........................... 4,900 29,094
*Allstate Financial Corp. .......... 20,900 118,869
*Aloette Cosmetics, Inc. ........... 5,300 11,263
Alpha Industries, Inc. ............ 24,200 356,950
*Alpha Microsystems, Inc. .......... 19,400 23,644
*Alpha Technologies Group, Inc. .... 3,200 29,400
*Ambar, Inc. ....................... 20,700 159,131
Amcast Industrial Corp. ........... 50,000 925,000
Amcore Financial, Inc. ............ 24,800 548,700
*America Services Group, Inc. ...... 18,000 158,625
*America West Airlines, Inc. Class B 24,800 443,300
9
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
American Annuity Group, Inc. ...... 500 $ 5,500
American Bankers Insurance Group,
Inc. .............................. 43,700 1,586,856
*American Banknote Corp. ........... 85,900 128,850
American Biltrite, Inc. ........... 6,600 127,050
American Eagle Group, Inc. ........ 22,500 216,563
American Ecology Corp. ............ 36,000 144,000
American Heritage Life Investment
Corp. ............................. 52,400 1,054,550
American Indemnity Financial Corp. 7,900 79,988
American Media, Inc. Class A ...... 6,500 28,438
American Medical Electronics, Inc.
(Escrow-Bonus) .................... 20,800 0
*American Mobile Satellite Corp. ... 120,000 3,300,000
*American Oilfield Divers, Inc. .... 3,900 25,594
*American Pacific Corp. ............ 62,900 361,675
American Recreation Centers, Inc. . 17,700 115,050
*American Software, Inc. Class A ... 8,600 53,750
*American Travellers Corp. ......... 82,400 2,075,450
*American Vanguard Corp. ........... 6,400 32,800
*American Waste Services, Inc.
Class A ........................... 104,800 262,000
*American White Cross, Inc. ........ 55,200 141,450
*American Woodmark Corp. ........... 35,010 157,545
Americana Bancorp, Inc. ........... 8,850 165,938
*Americredit Corp. ................. 51,000 656,625
*Ameriquest Technology, Inc. ....... 20,430 20,430
*Ameriwood Industries International
Corp. ............................. 16,400 74,825
Ameron, Inc. ...................... 17,500 636,563
Amfed Financial, Inc. ............. 22,678 738,452
Ampco-Pittsburgh Corp. ............ 41,400 388,125
*Amrep Corp. ....................... 32,892 185,018
Amresco, Inc. ..................... 15,000 180,938
*Amsco International, Inc. ......... 102,700 1,733,063
Amtech Corp. ...................... 12,000 57,375
Amvestors Financial Corp. ......... 41,100 472,650
Amwest Insurance Group, Inc. ...... 8,500 148,750
Analogic Corp. .................... 53,400 1,128,075
Analysis & Technology, Inc. ....... 9,500 131,813
*Anaren Microwave, Inc. ............ 17,200 129,000
Anchor Bancorp Wisconsin, Inc. .... 20,625 727,031
Andover Bancorp, Inc. DE .......... 18,500 412,781
*Andover Togs, Inc. ................ 3,600 5,625
*Andros, Inc. ...................... 7,600 120,650
Angelica Corp. .................... 42,200 944,225
*#Ann Taylor Stores Corp. ........... 139,400 1,777,350
*Anuhco, Inc. ...................... 9,900 75,488
*Apertus Technologies, Inc. ........ 17,700 177,000
*Applied Extrusion Technologies,
Inc. .............................. 22,800 290,700
*Applied Magnetics Corp. ........... 113,600 1,760,800
*Applied Signal Technologies, Inc. . 45,000 216,563
Aquila Gas Pipeline Corp. ......... 10,000 115,000
Arkansas Best Corp. ............... 141,000 1,154,438
*Arrow Automotive Industries, Inc. . 12,400 72,075
Arrow Financial Corp. ............. 4,759 85,067
*Artistic Greetings, Inc. .......... 24,000 72,000
Arvin Industries, Inc. ............ 104,200 1,836,525
Ashland Coal, Inc. ................ 71,900 1,563,825
10
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Astec Industries, Inc. ............ 43,600 $ 476,875
*Astoria Financial Corp. ........... 2,000 87,125
*Astrosystems, Inc. ................ 27,100 155,825
*Astrotech International Corp. ..... 39,200 164,150
*Athey Products Corp. .............. 7,140 33,915
Atkinson (Guy F.) of California ... 53,200 561,925
*Atlantic Gulf Communities Corp. ... 12,000 79,500
*Atlantic Tele-Network, Inc. ....... 53,800 581,713
Atlantis Plastics, Inc. ........... 28,200 109,275
*Atlas Corp. ....................... 11,600 18,850
*Atwood Oceanics, Inc. ............. 38,800 727,500
*Au Bon Pain, Inc. Class A ......... 12,000 109,500
*#Audiovox Corp. Class A ............ 40,000 260,000
Augat, Inc. ....................... 80,700 1,392,075
*Aurora Electronics, Inc. .......... 55,000 116,875
*Autoinfo, Inc. .................... 32,700 106,275
*Avatar Holdings, Inc. ............. 22,400 806,400
Aviall, Inc. ...................... 152,500 1,296,250
*Avondale Industries, Inc. ......... 85,900 1,283,131
*Aydin Corp. ....................... 22,300 345,650
*Aztar Corp. ....................... 171,700 1,502,375
Aztec Manufacturing Co. ........... 22,500 81,563
BEI Electronics, Inc. ............. 28,600 184,113
*BF Enterprises, Inc. .............. 2,300 12,075
*BI, Inc. .......................... 25,400 219,075
BMJ Financial Corp. ............... 6,900 100,050
*BPI Packaging Technologies, Inc. .. 1,000 2,438
BSB Bancorp, Inc. ................. 18,000 621,000
BT Financial Corp. ................ 10,395 367,723
*Bachman Information Systems, Inc. . 52,100 338,650
*Back Bay Restaurant Group, Inc. ... 22,600 121,475
Badger Meter, Inc. ................ 4,900 116,375
Badger Paper Mills, Inc. .......... 7,400 114,700
Bairnco Corp. ..................... 59,300 303,913
Baker (J.), Inc. .................. 106,818 674,289
*Baker (Michael) Corp. ............. 50,000 250,000
Baldwin & Lyons, Inc. Class B ..... 1,600 25,600
*Baldwin Piano & Organ Co. ......... 20,000 252,500
*Baldwin Technology, Inc. Class A .. 108,100 567,525
*Bally Entertainment Corp. ......... 187,000 2,267,375
*Baltek Corp. ...................... 4,500 38,813
*BancTec, Inc. ..................... 95,357 1,859,462
Bank of New Hampshire Corp. ....... 12,200 490,288
BankAtlantic Bancorp, Inc. ........ 625 11,406
BankNorth Group, Inc. DE .......... 24,200 819,775
Bankers Corp. ..................... 46,240 794,750
Bankers First Corp. ............... 15,200 414,200
*Banner Aerospace, Inc. ............ 132,300 694,575
*Barry (R.G.) Corp. ................ 14,400 320,400
*Basin Exploration, Inc. ........... 78,600 353,700
Bassett Furniture Industries, Inc. 15,650 351,147
Bay View Capital Corp. ............ 30,500 863,531
*Bayou Steel Corp. Class A ......... 45,300 198,188
*Be Aerospace, Inc. ................ 126,100 1,134,900
Bearings, Inc. .................... 11,400 437,475
*Beazer Homes USA, Inc. ............ 26,100 502,425
*Beeba's Creations, Inc. ........... 3,679 18,625
*Bel Fuse, Inc. .................... 22,500 258,750
*Belden & Blake Corp. .............. 14,200 228,975
Bell Bancorp, Inc. ................ 41,000 1,327,375
*Bell Industries, Inc. ............. 27,477 625,102
*Bellwethwer Exporation Co. ........ 59,600 305,450
*#Ben & Jerry's Homemade, Inc.
Class A .......................... 19,900 314,669
*Ben Franklin Retail Stores, Inc. .. 47,331 171,575
11
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*#Benson Eyecare Corp. .............. 16,761 $ 144,564
*Berlitz International, Inc. ....... 79,100 1,245,825
*Bertuccis, Inc. ................... 33,700 170,606
Bindley Western Industries, Inc. .. 40,400 722,150
Binks Manufacturing Co. ........... 12,518 306,691
*Bird Corp. ........................ 13,900 86,006
Birmingham Steel Corp. ............ 110,000 1,636,250
*Biscayne Apparel, Inc. ............ 32,870 32,870
*Black Hawk Gaming & Development,
Inc. .............................. 6,000 35,250
Blair Corp. ....................... 7,000 217,875
*Bon-Ton Stores, Inc. .............. 45,700 251,350
*Boomtown, Inc. .................... 66,500 407,313
*#Borland International, Inc. ....... 36,000 639,000
*Borror Corp. ...................... 25,100 89,419
Bowl America, Inc. Class A ........ 10,000 78,750
Bowne & Co., Inc. ................. 69,216 1,384,320
#Bradlees, Inc. .................... 62,100 100,913
*Brauns Fashions Corp. ............. 22,200 51,338
Brenton Banks, Inc. ............... 650 13,000
*Brite Voice Systems, Inc. ......... 2,000 32,750
*Brock Exploration Corp. ........... 8,900 28,925
*Brockway Standard Holdings Corp. .. 20,000 317,500
*Brookstone, Inc. .................. 44,500 383,813
*Brooktree Corp. ................... 50,500 647,031
*Brothers Gourmet Coffees, Inc. .... 6,200 24,025
*Brown & Sharpe Manufacturing Co.
Class A ........................... 17,900 181,238
Brown Group, Inc. ................. 26,000 364,000
Brush Wellman, Inc. ............... 99,900 1,748,250
*Buffton Corp. ..................... 12,200 24,400
*Builders Transport, Inc. .......... 18,700 158,950
*Bull Run Corp. GA ................. 37,900 111,331
*Burlington Coat Factory Warehouse
Corp. ............................. 189,200 2,175,800
*Burr Brown Corp. .................. 46,200 1,299,375
*Butler International, Inc. ........ 23,200 108,025
*Buttrey Food & Drug Stores Co. .... 52,400 373,350
CFX Corp. ......................... 24,827 391,025
CML Group, Inc. ................... 12,000 73,500
CPB, Inc. ......................... 19,600 651,700
CPI Corp. ......................... 88,100 1,839,088
*CSF Holdings, Inc. Class B ........ 40,500 1,594,688
*CSP, Inc. ......................... 11,000 99,000
*CSS Industries, Inc. .............. 17,900 374,781
*CTL Credit, Inc. .................. 14,100 200,925
CTS Corp. ......................... 22,400 809,200
CU Bancorp ........................ 18,700 178,819
*Cablemaxx, Inc. ................... 44,600 314,988
Cabot Oil & Gas Corp. Class A ..... 109,700 1,549,513
Cadmus Communications Corp. ....... 10,700 306,288
*#Caldor Corp. ...................... 111,100 458,288
California Financial Holding Corp. 20,430 427,753
Calmat Co. ........................ 182,800 3,153,300
*Calumet Bancorp, Inc. ............. 6,500 181,188
*Cambridge Soundworks, Inc. ........ 20,000 105,000
*Campo Eletronics, Appliances &
Computers, Inc. ................... 43,900 175,600
Cape Cod Bank & Trust Co. ......... 5,600 226,800
Capital Guarantee Corp. ........... 3,500 77,438
*Capital Pacific Holdings, Inc. .... 5,000 11,875
Capital Re Corp. .................. 90,600 2,718,000
Capitol American Financial Corp. .. 100,000 2,050,000
Capitol Bancorp, Ltd. ............. 10,900 114,450
*Capsure Holdings Corp. ............ 109,600 1,548,100
12
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Care Group, Inc. .................. 33,700 $ 89,516
*Carlisle Plastics, Inc. Class A ... 79,100 351,006
*Carmike Cinemas, Inc. Class A ..... 34,600 847,700
#Carolina First Corp. .............. 22,102 348,107
Carpenter Technology Corp. ........ 56,600 2,447,950
*Carr-Gottstein Foods Co. .......... 48,157 258,844
*Carson Pirie Scott & Co. .......... 2,600 51,675
Carter-Wallace, Inc. .............. 212,500 2,417,188
*Carver Corp. WA ................... 12,900 20,156
Cash America International, Inc. .. 75,600 415,800
Castle (A.M.) & Co. ............... 19,650 481,425
*Catalina Lighting, Inc. ........... 22,900 114,500
*Catherines Stores Corp. ........... 46,000 376,625
Cato Corp. Class A ................ 72,000 513,000
*Celebrity, Inc. ................... 10,000 57,500
*Cell Genesys, Inc. ................ 25,500 208,781
Cenfed Financial Corp. ............ 17,800 407,175
Cenit Bancorp, Inc. ............... 4,900 180,688
*Centennial Cellular Corp. Class A . 6,500 122,688
Center Financial Corp. ............ 27,200 489,600
*Centigram Communications Corp. .... 26,500 566,438
Central & Southern Holding Co. .... 14,700 133,219
*Central Co-Operative Bank
Somerville, MA .................... 4,500 57,375
Central Reserve Life Corp. ........ 17,700 169,256
*Central Sprinkler Corp. ........... 17,200 582,650
*#Cephalon, Inc. .................... 83,600 2,330,350
*Ceradyne, Inc. .................... 11,100 60,356
Champion Parts, Inc. .............. 12,100 6,050
Chaparral Steel Co. ............... 156,400 1,642,200
*Charming Shoppes, Inc. ............ 68,700 161,016
*Chart House Enterprises, Inc. ..... 62,300 404,950
Charter One Financial, Inc. ....... 168,920 5,384,183
Charter Power Systems, Inc. ....... 12,000 295,500
*Check Technology Corp. ............ 7,600 62,700
*Checkers Drive-In Restaurant, Inc. 76,300 106,105
*Chemfab Corp. ..................... 10,700 218,013
*Chempower, Inc. ................... 7,300 28,059
*Cherry Corp. Class A .............. 13,300 134,663
*Cherry Corp. Class B .............. 16,400 166,050
Chesapeake Utilities Corp. ........ 15,900 236,513
Chester Valley Bancorp ............ 578 11,054
*Chic by His, Inc. ................. 61,300 329,488
Chicago Rivet & Machine Co. ....... 1,100 33,138
*#Chips & Technologies, Inc. ........ 5,700 60,563
Chittenden Corp. .................. 24,656 711,942
*#Chock Full O' Nuts Corp. .......... 48,823 280,732
*Cimco, Inc. ....................... 11,000 105,188
*Cincinnati Microwave, Inc. ........ 22,000 151,250
*Circon Corp. ...................... 26,500 581,344
*Circuit Systems, Inc. ............. 8,300 47,206
*Citadel Holding Corp. ............. 1,000 2,250
*Citation Computer System, Inc. .... 8,700 34,800
*Citation Insurance Group .......... 24,300 107,831
Citfed Bancorp, Inc. .............. 16,900 578,825
Citizens Bancorp MD ............... 32,300 1,086,088
Citizens Banking Corp. ............ 3,000 94,500
City National Corp. ............... 98,500 1,354,375
*Civic Bancorp ..................... 18,700 141,419
*Clean Harbors, Inc. ............... 42,000 126,000
Cleveland Cliffs, Inc. ............ 2,000 78,250
*Cliffs Drilling Co. ............... 17,300 242,200
*Clothestime, Inc. ................. 88,000 140,250
Co-Operative Bank of Concord, MA .. 20,400 369,750
*Coast Distribution System ......... 21,200 124,550
13
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*#Coast Savings Financial, Inc. ..... 83,500 $2,494,563
Coastal Bancorp, Inc. ............. 11,600 196,475
*Cobra Electronic Corp. ............ 24,700 64,838
Coca Cola Bottling Co.
Consolidated ...................... 9,700 328,588
*Code Alarm, Inc. .................. 9,200 69,000
#Coeur d'Alene Mines Corp. ID ...... 4,200 76,125
*Coherent, Inc. .................... 36,800 1,554,800
*Coho Energy, Inc. ................. 59,600 279,375
Collective Bancorp, Inc. .......... 30,800 816,200
*Collins Industries, Inc. .......... 12,500 24,219
Commerce Bancorp, Inc. ............ 12,600 281,925
Commercial Federal Corp. .......... 52,863 1,936,107
Commercial Metals Co. ............. 81,300 1,910,550
*Communication Cable, Inc. ......... 14,420 166,731
*Communications Central, Inc. ...... 12,000 60,000
Community Bankshares, Inc. NH ..... 6,600 122,925
Community First Bankshares, Inc. .. 16,700 346,525
Community Psychiatric Centers ..... 153,500 1,707,688
Computer Data Systems, Inc. ....... 18,700 266,475
*Computer Horizons Corp. ........... 2,250 78,750
Computer Task Group, Inc. ......... 21,900 424,313
*Comshare, Inc. .................... 14,250 345,563
*Comstock Resources, Inc. .......... 14,000 67,813
*Comtech Telecommunications Corp. .. 8,700 21,750
*Concord Fabrics, Inc. Class A ..... 9,200 35,650
*Condor Services, Inc. ............. 4,500 16,875
*Conmed Corp. ...................... 641 20,031
*Continental Can, Inc. DE .......... 14,200 257,375
Continental Homes Holding Corp. ... 45,348 833,270
*Control Data Systems, Inc. ........ 81,800 1,395,713
*Convest Energy Corp. .............. 10,000 31,563
*Convex Computer Corp. ............. 74,300 352,925
*Cooperative Bankshares, Inc. ...... 3,500 75,688
*Coram Healthcare Corp. ............ 22,300 122,650
Core Industries, Inc. ............. 43,900 603,625
*Core, Inc. ........................ 7,400 69,375
*Cornerstone Financial Corp. ....... 7,000 61,031
*Corrpro Companies, Inc. ........... 3,100 17,438
*Cortech, Inc. ..................... 50,200 84,713
Courier Corp. ..................... 7,700 194,425
*Craig Corp. ....................... 18,900 177,188
*#Cray Research, Inc. ............... 45,000 1,080,000
*Criticare Systems, Inc. ........... 28,700 89,688
*Crosscomm Corp. ................... 29,200 350,400
*Crown Books Corp. ................. 20,300 253,750
*Crown Central Petroleum Corp.
Class A ........................... 19,500 275,438
*Crown Central Petroleum Corp.
Class B ........................... 25,700 346,950
Crown Crafts, Inc. ................ 20,100 246,225
*Crown-Andersen, Inc. .............. 6,200 48,438
*Cruise America, Inc. .............. 32,000 176,000
Cubic Corp. ....................... 34,000 811,750
*Culbro Corp. ...................... 18,700 939,675
Cullen Frost Bankers, Inc. ........ 16,700 841,263
Curtiss-Wright Corp. .............. 20,200 962,025
*Customedix Corp. .................. 15,000 28,125
*Cycare Systems, Inc. .............. 14,800 414,400
*Cygne Designs, Inc. ............... 53,900 77,481
*Cyrk, Inc. ........................ 39,900 399,000
*D&N Financial Corp. ............... 20,000 236,250
*DBA Systems, Inc. ................. 18,100 91,631
*DM Management Co. ................. 18,400 36,800
14
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*DS Bancor, Inc. ................... 12,101 $ 296,475
DT Industries, Inc. ............... 50,000 662,500
*DVI, Inc. ......................... 11,800 156,350
*Dairy Mart Convenience Stores, Inc.
Class A ........................... 9,000 59,063
*Damark International, Inc. Class A 31,200 208,650
Daniel Industries, Inc. ........... 95,400 1,264,050
*Danskin, Inc. ..................... 29,600 142,450
Dart Group Corp. Class A .......... 5,600 520,100
*Data Broadcasting Corp. ........... 33,870 476,297
*Data General Corp. ................ 168,200 2,039,425
*Data I/O Corp. .................... 25,900 205,581
*Data Race, Inc. ................... 17,600 80,850
*Data Systems & Software, Inc. ..... 24,900 208,538
*Data Translation, Inc. ............ 9,000 173,250
*Dataflex Corp. .................... 21,600 108,000
*Datakey, Inc. ..................... 10,900 59,950
*Dataram Corp. ..................... 15,200 108,300
*Datron Systems, Inc. .............. 10,200 196,350
*Datum, Inc. ....................... 11,200 111,300
*Dave and Busters, Inc. ............ 2,140 31,565
Davis Water & Waste Industries,
Inc. .............................. 12,100 190,575
*Dawson Geophysical Co. ............ 900 9,113
*Daxor Corp. ....................... 20,800 137,800
*De Soto, Inc. ..................... 38,500 154,000
DeKalb Genetics Corp. Class B ..... 25,000 1,121,875
Deb Shops, Inc. ................... 75,300 275,316
Decorator Industries, Inc. ........ 1,000 8,250
Defiance, Inc. .................... 27,700 206,019
Del Laboratories, Inc. ............ 8,000 157,000
*Delaware Ostego Corp. ............. 1,102 10,745
Delchamps, Inc. ................... 42,900 750,750
*Delphi Financial Group, Inc.
Class A .......................... 10,000 198,750
Delta Woodside Industries, Inc. ... 191,300 1,243,450
*Designs, Inc. ..................... 33,000 264,000
*Detection Systems, Inc. ........... 10,800 72,900
*Detrex Corp. ...................... 2,800 13,475
*Devcon International Corp. ........ 18,600 140,663
Dexter Corp. CT ................... 52,000 1,267,500
*Dianon Systems, Inc. .............. 20,000 76,250
*Digicon, Inc. ..................... 54,100 324,600
*Digital Systems International, Inc. 31,100 421,794
*Dime Financial Corp. .............. 20,400 244,800
Dixie Yarns, Inc. ................. 50,700 199,631
Donegal Group, Inc. ............... 21,500 400,438
Donnelly Corp. Class A ............ 40,000 565,000
*Dotronix, Inc. .................... 1,000 1,875
Douglas & Lomason Co. ............. 17,200 195,650
Downey Financial Corp. ............ 72,700 1,653,925
*Dress Barn, Inc. .................. 39,623 361,560
*Drug Emporium, Inc. ............... 58,500 241,313
*Drypers Corp. ..................... 5,900 10,878
*Dual Drilling Co. ................. 80,800 823,150
*Duplex Products, Inc. ............. 60,900 464,363
Duty Free International, Inc. ..... 51,700 697,950
Dyersburg Corp. ................... 63,400 301,150
Dynamics Corp. of America ......... 17,200 399,900
*Dynamics Research Corp. ........... 23,740 139,473
*Dynatech Corp. .................... 57,800 852,550
*E for M Corp. ..................... 18,500 220,844
*E-Z-Em, Inc. Class A .............. 20,500 205,000
*E-Z-Em, Inc. Class B .............. 775 7,169
15
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*EA Engineering Science &
Technology, Inc. .................. 18,525 $ 72,942
*ECC International Corp. ........... 13,200 135,300
EMC Insurance Group, Inc. ......... 33,600 428,400
*ESCO Electronics Corp. Trust
Receipts .......................... 88,400 707,200
Eagle Bancshares, Inc. ............ 4,200 149,625
Eagle Financial Corp. ............. 17,237 474,018
*Eagle Food Centers, Inc. .......... 62,100 112,556
*#Eagle Hardware & Garden, Inc. ..... 40,600 307,038
Eastern Bancorp, Inc. ............. 10,400 280,800
Eastern Co. ....................... 12,400 139,500
Eaton Vance Corp. ................. 19,323 562,782
Ecology & Environment, Inc.
Class A ........................... 14,100 109,275
*Ecoscience Corp. .................. 29,000 16,313
Edison Brothers Stores, Inc. ...... 44,500 83,438
*Edisto Resources Corp. ............ 102,200 511,000
*Edo Corp. ......................... 18,600 90,675
*Egghead, Inc. ..................... 130,500 1,027,688
Ekco Group, Inc. .................. 83,300 499,800
*El Chico Restaurants, Inc. ........ 3,200 29,200
Eldorado Bancorp CA ............... 13,310 219,615
*Electric & Gas Technology, Inc. ... 3,000 8,813
*Electro Rent Corp. ................ 39,000 794,625
*Electro Scientific Industries, Inc. 20,600 581,950
*Electromagnetic Sciences, Inc. .... 27,800 300,588
*Electronic Fab Technology, Inc. ... 9,100 36,400
*Emcon ............................. 39,600 153,450
*Emisphere Technologies, Inc. ...... 17,000 121,125
*Emulex Corp. ...................... 11,750 146,141
Energen Corp. ..................... 116,300 2,703,975
Engineered Support Systems, Inc. .. 6,900 42,694
Engle Homes, Inc. ................. 27,200 229,500
Enhance Financial Services Group,
Inc. .............................. 141,100 3,404,038
*Ensys Environmental Products, Inc. 45,000 129,375
*Environmental Elements Corp. ...... 18,200 31,850
Enviroq Corp. ..................... 2,420 0
*Envirotest Systems Corp. Class A .. 44,800 117,600
*Equinox Systems, Inc. ............. 10,000 78,125
*Equitrac Corp. .................... 13,100 74,506
*Equity Oil Co. .................... 97,200 534,600
*Ernst Home Center, Inc. ........... 94,100 258,775
Espey Manufacturing & Electronics
Corp. ............................. 2,900 38,425
*Esterline Technologies Corp. ...... 23,100 496,650
*Ethan Allen Interiors, Inc. ....... 80,000 1,760,000
*Evans & Sutherland Computer Corp. 52,100 1,263,425
*Evans Systems, Inc. ............... 6,700 24,706
*Evans, Inc. ....................... 17,800 25,588
Evergreen Bancorp, Inc. DE ........ 18,600 411,525
*Evergreen Resources, Inc. ......... 21,700 93,581
*Exabyte Corp. ..................... 400 5,000
Excel Industries, Inc. ............ 72,500 888,125
*Executone Information Systems,
Inc. .............................. 78,600 218,606
*Express America Holdings Corp. .... 29,400 150,675
*Ezcorp, Inc. Class A Non-Voting ... 40,000 175,000
*FDP Corp. ......................... 7,000 54,688
FFLC Bancorp ...................... 6,300 122,850
*FFY Financial Corp. ............... 6,000 126,375
*FNB Rochester Corp. ............... 8,400 70,350
*FPA Corp. ......................... 20,100 20,100
16
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Fab Industries, Inc. .............. 2,081 $ 61,520
*Fabri-Centers of America, Inc.
Class A ........................... 35,700 522,113
*Fabri-Centers of America, Inc.
Class B ........................... 35,700 423,938
*Failure Group, Inc. ............... 28,100 182,650
*Fairchild Corp. Class A ........... 78,900 601,613
Family Bancorp .................... 17,850 316,838
Fansteel, Inc. .................... 36,100 248,188
*Farah, Inc. ....................... 50,400 315,000
Farmer Brothers Co. ............... 84 11,550
*Farr Co. .......................... 15,700 117,750
Farrel Corp. ...................... 20,800 78,000
Fay's, Inc. ....................... 21,400 147,125
Federal Screw Works ............... 2,000 46,000
*Fidelity Bancorp, Inc. Delaware ... 6,300 97,650
*Fieldcrest Cannon, Inc. ........... 12,600 253,575
*Fifty-Off Stores, Inc. ............ 42,600 49,256
*Figgie International, Inc. Class A 59,800 702,650
*Figgie International, Inc. Class B 17,700 194,700
*Filenes Basement Corp. ............ 91,000 321,344
*Financial Benefit Group, Inc.
Class A ........................... 38,850 178,467
First Albany Companies, Inc. ...... 5,250 47,906
First American Financial Corp. .... 80,800 1,848,300
*First Cash, Inc. .................. 15,500 60,063
First Citizens Bancshares, Inc. NC 24,200 1,285,625
*First Citizens Financial Corp. .... 10,133 197,594
First Essex Bancorp ............... 26,100 305,044
First Federal Alabama FSB Jasper .. 3,300 62,700
First Federal Capital Corp. ....... 42,040 761,975
First Federal Savings & Loan
Association of East Hartford, CT .. 3,300 63,938
First Financial Corp. WI .......... 12,000 273,000
First Financial Corp. of Western
Maryland .......................... 9,300 203,438
First Financial Holdings, Inc. .... 18,900 368,550
First Indiana Corp. ............... 27,899 735,836
First Liberty Financial Corp. ..... 12,400 271,250
First Mississippi Corp. ........... 40,100 1,022,550
First Northern Savings Bank S.A.
Green Bay, WI ..................... 22,600 350,300
First Oak Brook Bancshares, Inc.
Class A ........................... 10,000 209,375
*First Republic Bancorp, Inc. ...... 32,828 369,315
*First Southeast Financial Corp. ... 9,600 182,400
First State Financial Services,
Inc. .............................. 10,300 140,981
*FirstFed Financial Corp. DE ....... 79,400 1,220,775
Firstbank of Illinois Co. ......... 1,200 36,300
Firstfed Bancshares, Inc. ......... 15,000 337,500
*#Firstmiss Gold, Inc. .............. 28,409 555,751
*Fischer Imaging Corp. ............. 21,600 234,900
Flexsteel Industries, Inc. ........ 56,700 648,506
Florida Rock Industries, Inc. ..... 52,500 1,391,250
*Foodarama Supermarkets, Inc. ...... 2,400 26,400
*Foodbrands America, Inc. .......... 88,200 1,008,788
Foothill Independent Bancorp ...... 15,700 129,525
*Forschner Group, Inc. ............. 58,000 703,250
Foster (L.B.) Co. Class A ......... 42,300 190,350
*Four Kids Entertainment, Inc. ..... 17,000 60,563
*Foxmeyer Health Corp. ............. 106,987 2,781,662
Freds, Inc. Class A ............... 63,500 484,188
#Fremont General Corp. ............. 133,060 4,590,570
*Fresh Choice, Inc. ................ 45,000 312,188
*Fretter, Inc. ..................... 19,500 5,484
17
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Freymiller Trucking, Inc. ......... 4,500 $ 446
Friedman Industries, Inc. ......... 22,655 84,956
Frisch's Restaurants, Inc. ........ 42,340 389,003
*Fuqua Enterprises, Inc. ........... 9,700 201,275
Furon Co. ......................... 9,900 176,963
*G-III Apparel Group, Ltd. ......... 26,900 64,728
GBC Bancorp ....................... 48,200 831,450
*GBC Technologies, Inc. ............ 50,400 425,250
*GNI Group, Inc. ................... 19,800 133,650
*GZA Geoenvironmental Technologies,
Inc. .............................. 15,500 50,375
*Galileo Electro-Optics Corp. ...... 28,900 303,450
Gamma Biologicals, Inc. ........... 20,300 88,813
*Gantos, Inc. ...................... 4,250 9,430
Garan, Inc. ....................... 33,000 569,250
*Garnet Resources Corp. ............ 50,600 66,413
*Gehl Co. .......................... 26,800 192,625
*General Host Corp. ................ 93,084 442,149
General Housewares Corp. .......... 17,700 177,000
*General Microwave Corp. ........... 400 3,150
General Parametrics Corp. ......... 15,900 48,197
General Physics Corp. ............. 22,900 77,288
*Genesco, Inc. ..................... 138,000 586,500
*Genicom Corp. ..................... 37,100 176,225
*Genlyte Group, Inc. ............... 75,700 496,781
*Genus, Inc. ....................... 25,800 214,463
Geodynamics Corp. ................. 9,900 110,138
George Mason Bankshares, Inc. ..... 10,000 252,500
*#Gerrity Oil and Gas Corp. ......... 102,600 436,050
Getty Petroleum Corp. ............. 700 10,413
*Giant Group, Ltd. ................. 23,100 147,263
Giant Industries, Inc. ............ 49,900 536,425
*Gibraltar Packaging Group, Inc. ... 28,400 104,725
#Gibson Greetings, Inc. ............ 120,700 1,795,413
Giddings & Lewis, Inc. ............ 50,000 784,375
*Giga-Tronics, Inc. ................ 5,300 44,388
Gilbert Associates, Inc. Class A .. 31,200 464,100
*Gish Biomedical, Inc. ............. 17,500 145,469
Gleason Corp. ..................... 17,700 590,738
*Global Industrial Technologies,
Inc. .............................. 125,320 2,224,430
Golden Poultry Co., Inc. .......... 74,950 651,128
*Good Guys, Inc. ................... 69,300 710,325
*Goodrich Petroleum Corp. .......... 26,800 25,125
*Gottschalks, Inc. ................. 50,200 332,575
*Government Technology Services,
Inc. .............................. 35,500 142,000
*Gradco Systems, Inc. .............. 60,000 150,000
*Graham Corp. ...................... 2,300 31,050
*Graham-Field Health Products, Inc. 59,100 199,463
Granite Construction, Inc. ........ 58,100 1,608,644
Granite State Bankshares, Inc. .... 8,900 146,850
*Grant Geophysical, Inc. ........... 21,600 54,675
Graphic Industries, Inc. .......... 41,000 435,625
*Great Country Bank of Ansonia, CT . 16,900 90,838
*Greater New York Savings Bank NY . 58,500 698,344
Green (A.P.) Industries, Inc. ..... 15,200 294,500
Greenbrier Companies, Inc. ........ 10,000 108,750
*Greenman Brothers, Inc. ........... 23,100 282,975
Greiner Engineering, Inc. ......... 27,200 244,800
*Greyhound Lines, Inc. ............. 53,200 222,775
*Grossmans, Inc. ................... 202,300 246,553
*Ground Round Restaurants, Inc. .... 62,400 173,550
*Groundwater Technology, Inc. ...... 30,000 423,750
Grovebank for Savings ............. 6,400 151,200
18
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Guaranty National Corp. ........... 46,900 $ 680,050
Guilford Mills, Inc. .............. 79,300 1,823,900
*Gulfmark International, Inc. ...... 11,100 255,300
*Gundle/SLT Environmental, Inc. .... 61,800 370,800
HF Financial Corp. ................ 6,400 198,400
*HMG Worldwide Corp. ............... 28,200 63,450
HMI Industries, Inc. .............. 9,000 110,250
*HMN Financial, Inc. ............... 12,000 186,000
*HPSC, Inc. ........................ 21,500 110,188
*HS Resources, Inc. ................ 66,000 882,750
*Hadco Corp. ....................... 43,900 1,338,950
Haggar Corp. ...................... 600 10,575
*Hallwood Group, Inc. .............. 2,075 20,231
*Hamburger Hamlet Restaurants, Inc... 17,800 13,350
*Hampshire Group, Ltd. ............. 7,200 90,900
*Hampton Industries, Inc. .......... 9,790 48,950
*Handex Environmental Recovery,
Inc. .............................. 49,800 249,000
Handleman Co. ..................... 197,436 1,233,975
*Hanger Orthopedic Group, Inc. ..... 37,300 102,575
*Harding Lawson Associates Group,
Inc. .............................. 20,400 142,800
Harleysville Group, Inc. .......... 50,200 1,449,525
*Harlyn Products, Inc. ............. 22,200 38,850
*Harry's Farmers Market, Inc.
Class A ........................... 9,600 39,000
*Hartmarx Corp. .................... 40,000 180,000
Harvey's Casino Resorts ........... 21,000 315,000
Hastings Manufacturing Co. ........ 850 17,584
Hathaway Corp. .................... 18,400 43,700
*Hauser Chemical Research, Inc. .... 62,700 297,825
*Haven Bancorp, Inc. ............... 1,000 24,813
Haverty Furniture Co., Inc. ....... 66,100 950,188
Hawkeye Bancorp ................... 12,000 314,250
*Hawthorne Financial Corp. ......... 10,400 50,050
Hayes Wheels International, Inc. .. 119,500 3,196,625
Health Images, Inc. ............... 50,900 394,475
*Health O Meter Products, Inc. ..... 35,900 148,088
*Health Risk Management, Inc. ...... 13,600 107,100
*Healthcare Services Group, Inc. ... 42,700 368,288
Hechinger Co. Class A ............. 118,900 535,050
Heico Corp. ....................... 9,790 179,891
*Hein-Werner Corp. ................. 10,641 48,550
*Heist (C.H.) Corp. ................ 16,800 119,700
Helene Curtis Industries, Inc. .... 12,000 346,500
*Helian Health Group, Inc. ......... 14,800 79,550
*Herley Industries, Inc. ........... 15,400 102,025
*Hexcel Corp. ...................... 11,100 105,450
*Hi-Lo Automotive, Inc. ............ 69,300 389,813
*Hi-Shear Industries, Inc. ......... 22,700 158,900
*Hitox Corp. ....................... 9,100 28,438
Hoenig Group, Inc. ................ 12,000 47,250
*Holiday RV Superstores, Inc. ...... 14,200 40,381
*Hologic, Inc. ..................... 9,800 409,150
*Holopak Technologies, Inc. ........ 8,200 47,150
*Holson Burnes Group, Inc. ......... 43,400 162,750
Home Beneficial Corp. Class B ..... 56,100 1,374,450
Home Federal Bancorp .............. 8,900 225,838
Home Federal Financial Corp. ...... 5,566 94,622
Home Financial Corp ............... 37,200 553,350
Home Port Bancorp, Inc. ........... 7,500 88,125
*Homecorp, Inc. .................... 3,200 53,600
*Homeowners Group, Inc. ............ 21,600 33,075
*Hometown Bancorp., Inc. ........... 800 10,900
19
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Hooper Holmes, Inc. ............... 38,800 $ 310,400
*Hospital Staffing Services, Inc. .. 20,200 35,350
*Hosposable Products, Inc. ......... 600 4,650
*Hovnanian Enterprises, Inc.
Class A ........................... 115,284 778,167
Howell Corp. ...................... 21,300 268,913
Howell Industries, Inc. ........... 1,600 38,800
Hudson Foods, Inc. Class A ........ 48,350 773,600
Hudson General Corp. .............. 2,500 79,063
Huffy Corp. ....................... 3,000 31,875
Hughes Supply, Inc. ............... 38,900 1,021,125
*Hurco Companies, Inc. ............. 9,700 55,775
*Hycor Biomedical, Inc. ............ 12,000 54,000
*Hyde Athletic Industries, Inc.
Class A ........................... 12,100 49,156
*Hyde Athletic Industries, Inc.
Class B ........................... 28,300 107,894
ICN Pharmaceuticals, Inc. ......... 8,605 174,251
*ICO, Inc. ......................... 62,300 330,969
*IFR Systems, Inc. ................. 17,000 161,500
*Image Industries, Inc. ............ 35,000 393,750
*Immulogic Pharmaceutical Corp. .... 45,900 570,881
*Imo Industries, Inc. .............. 20,900 148,913
*Imperial Bancorp .................. 56,679 1,303,617
*Imperial Credit Industries, Inc. .. 1,350 22,697
Imperial Holly Corp. .............. 43,400 282,100
*In Home Health, Inc. .............. 49,000 122,500
*Inacom Corp. ...................... 41,300 552,388
*Inco Homes Corp. .................. 27,940 25,757
*Incstar Corp. ..................... 18,200 72,800
Independence Holding Co. .......... 56,200 217,775
Independent Bank Corp. MA ......... 61,200 428,400
Independent Bank East ............. 8,400 229,950
Independent Insurance Group, Inc. . 31,600 849,250
Indiana Federal Corp. ............. 18,850 365,219
Industrial Acoustics Co., Inc. .... 700 7,438
*Information International, Inc. ... 7,100 71,888
*Information Resources, Inc. ....... 17,600 212,300
*Infrasonics, Inc. ................. 90,000 562,500
Ingles Market, Inc. Class A ....... 40,900 442,231
*Inmac Corp. ....................... 32,000 310,000
*Innoserv Technologies, Inc. ....... 13,700 34,250
Insituform East, Inc. ............. 16,900 71,825
Insteel Industries, Inc. .......... 37,600 249,100
*Insurance Auto Auctions, Inc. ..... 45,100 484,825
*Integrated Waste Services, Inc. ... 33,200 52,913
*Intellicall, Inc. ................. 46,700 163,450
Intelligent Electronics, Inc. ..... 11,505 74,783
Inter-Regional Financial Group,
Inc. .............................. 36,500 1,437,188
*Interco, Inc. ..................... 41,000 343,375
Interface Systems, Inc. ........... 16,700 108,550
Interface, Inc. Class A ........... 116,600 1,902,038
*Intergraph Corp. .................. 196,100 3,382,725
*Interlinq Software Corp. .......... 32,000 100,000
International Aluminum Corp. ...... 33,600 961,800
*International Jensen, Inc. ........ 35,000 245,000
*International Lottery & Totalizer
Systems, Inc. ..................... 18,400 29,613
International Multifoods Corp. .... 74,500 1,741,438
*International Research &
Development Corp. ................. 18,600 2,325
International Shipholding Corp. ... 29,375 565,469
*International Technology Corp. .... 207,200 543,900
*International Thoroughbred
Breeders, Inc. .................... 19,700 76,338
20
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Interphase Corp. .................. 15,200 $ 214,700
Interstate Bakeries Corp. DE ...... 119,300 2,669,338
*#Intertan, Inc. .................... 60,100 503,338
*Investors Financial Services Corp. 5,408 106,132
*Investors Financial Services Corp.
Class A ........................... 1,040 20,401
Investors Title Co. ............... 8,699 92,431
*#Iomega Corp. ...................... 64,875 2,765,297
*Isomedix, Inc. .................... 4,000 57,000
*Iwerks Entertainment, Inc. ........ 40,000 240,000
*J & J Snack Foods Corp. ........... 54,200 657,175
JSB Financial, Inc. ............... 47,600 1,529,150
Jackpot Enterprises, Inc. ......... 29,800 406,025
Jaclyn, Inc. ...................... 11,400 47,738
*Jaco Electronics, Inc. ............ 8,946 107,911
*Jacobs Jay, Inc. .................. 31,300 87,053
Jacobson Stores, Inc. ............. 24,500 220,500
*Jan Bell Marketing, Inc. .......... 182,900 480,113
*Jefferson Savings Bancorp, Inc. ... 21,600 567,000
John Alden Financial Corp. ........ 78,500 1,619,063
Johnston Industries, Inc. ......... 5,100 41,438
*Joseph A. Bank Clothiers, Inc. .... 10,000 21,875
*Just Toys, Inc. ................... 14,000 20,125
Justin Industries, Inc. ........... 94,200 1,024,425
K Swiss, Inc. Class A ............. 30,400 357,200
*K-Tron International, Inc. ........ 6,300 40,950
*KLLM Transport Services, Inc. ..... 18,700 202,194
*Kaiser Ventures, Inc. ............. 37,400 420,750
Kaman Corp. Class A ............... 65,900 749,613
*Kasler Holding Co. ................ 5,900 33,925
Katy Industries, Inc. ............. 17,100 168,863
Keithley Instruments, Inc. ........ 500 14,438
Kellwood Co. ...................... 164,918 3,195,286
Kenan Transport Co. ............... 200 4,175
*#Kenetech Corp. .................... 6,000 19,125
*Kentucky Electric Steel, Inc. ..... 14,000 129,500
*Kentucky Medical Insurance Co.
Class A ........................... 8,500 102,531
*Kerr Group, Inc. .................. 15,900 141,113
*Kevlin Corp. ...................... 700 2,997
*Kewaunee Scientific Corp. ......... 700 2,231
*Key Energy Group, Inc. ............ 40,000 220,000
*Key Production Co., Inc. .......... 40,700 218,763
*Key Tronic Corp. .................. 26,500 289,844
*Kinark Corp. ...................... 1,000 2,813
*Kinder-Care Learning Centers, Inc. 92,700 1,141,369
Kinetic Concepts, Inc. ............ 3,900 43,875
*Kinnard Investment, Inc. .......... 6,000 22,500
*Kit Manufacturing Co. ............. 10,600 119,250
Knape & Vogt Manufacturing Co. .... 14,200 257,375
*Knogo North America, Inc. ......... 17,300 112,450
*Krystal Co. ....................... 19,200 134,400
LCS Industries, Inc. .............. 13,200 209,550
*LDI Corp. ......................... 54,100 169,063
LSB Industries, Inc. .............. 11,500 44,563
LSI Industries, Inc. .............. 13,230 197,623
*LTX Corp. ......................... 30,700 381,831
*Laclede Steel Co. ................. 8,700 61,444
Ladd Furniture, Inc. .............. 38,327 510,228
Lafayette American Bank & Trust
Co. ............................... 1,050 9,450
Laidlaw, Inc. Class B Non-Voting .. 25,960 240,130
*Lamson & Sessions Co. ............. 28,300 198,100
*Lancer Corp. ...................... 7,200 99,000
*Laserscope ........................ 40,000 82,500
21
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Lawyers Title Corp. ............... 37,112 $ 635,543
*Layne, Inc. ....................... 29,600 260,850
*Lazare Kaplan International, Inc. . 11,300 74,863
*Lechters, Inc. .................... 32,000 224,000
Lennar Corp. ...................... 150,350 3,326,494
Liberty Bancorp, Inc. Delaware .... 6,300 166,950
Liberty Bancorp, Inc. Oklahoma .... 55,700 2,095,713
Life Re Corp. ..................... 43,000 919,125
*Lifeline Systems, Inc. ............ 19,500 230,344
*Ligand Pharmaceuticals, Inc.
Class B ........................... 25,497 211,944
Lillian Vernon Corp. .............. 900 13,050
*Lindal Cedar Homes, Inc. .......... 8,000 38,500
Lindberg Corp. .................... 15,600 104,325
*Littlefield, Adams & Co. .......... 12,000 27,000
*Liuski International, Inc. ........ 19,000 57,000
*Live Entertainment, Inc. .......... 6,740 24,433
*Lodgenet Entertainment Corp. ...... 31,500 338,625
*Lomas Financial Corp. ............. 89,700 2,332
*Longhorn Steaks, Inc. ............. 19,500 312,000
Loyola Capital Corp. .............. 45,700 1,719,463
Lufkin Industries, Inc. ........... 27,500 553,438
Lukens, Inc. DE ................... 25,000 765,625
*Lumex, Inc. ....................... 19,400 177,025
*Luria & Son, Inc. ................. 23,900 140,413
*Lynch Corp. ....................... 2,300 145,475
M A R C, Inc. ..................... 3,335 48,774
*M-Wave, Inc. ...................... 7,000 49,000
MAF Bancorp, Inc. ................. 22,320 562,185
#MDC Holdings, Inc. ................ 83,288 551,783
*MDT Corp. ......................... 28,900 142,694
*MFRI, Inc. ........................ 10,900 79,706
*MI Schottenstein Homes, Inc. ...... 36,700 417,463
*MK Gold Corp. ..................... 30,900 92,700
MMI Companies, Inc. ............... 1,100 25,850
*MRS Technology, Inc. .............. 12,000 40,500
*MS Carriers, Inc. ................. 22,600 426,575
*MTI Technology Corp. .............. 12,000 21,000
MTS Systems Corp. ................. 35,800 1,248,525
Magna Bancorp ..................... 900 26,325
Magna Group, Inc. ................. 18,700 455,813
Marble Financial Corp. ............ 27,100 477,638
*Marietta Corp. .................... 13,700 122,444
*Marine Drilling Companies, Inc. ... 100,000 406,250
*Mariner Health Group, Inc. ........ 126,000 1,677,375
Maritrans, Inc. ................... 53,700 281,925
*Mark VII, Inc. .................... 9,900 160,875
Marsh Supermarkets, Inc. Class A .. 16,900 232,375
Marsh Supermarkets, Inc. Class B .. 17,500 227,500
Maryland Federal Bancorp .......... 18,100 550,919
Massbank Corp. Reading, MA ........ 11,400 356,250
*#Mastec, Inc. ...................... 12,700 130,175
*Matec Corp. DE .................... 5,200 21,450
*Matlack Systems, Inc. ............. 30,300 268,913
*Matrix Service Co. ................ 73,200 315,675
*Maverick Tube Corp. ............... 44,000 280,500
*Maxco, Inc. ....................... 10,000 80,000
*Maxtor Corp. ...................... 38,600 244,869
*Maxwell Laboratories, Inc. ........ 10,030 86,509
*#Maxxam, Inc. ...................... 31,200 1,189,500
*Maxxim Medical, Inc. .............. 48,800 774,700
*Maynard Oil Co. ................... 19,400 118,825
McDonald & Co. Investment, Inc. ... 1,700 29,750
*McFarland Energy, Inc. ............ 3,200 24,000
McGrath Rent Corp. ................ 31,700 582,488
22
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
McRae Industries, Inc. Class A .... 1,000 $ 7,750
*Medalist Industries, Inc. ......... 16,500 109,313
*Medalliance, Inc. ................. 39,500 145,656
Medex, Inc. ....................... 29,900 317,688
Medford Savings Bank MA ........... 3,800 84,550
*#Media Logic, Inc. ................. 20,100 158,288
*Medical Graphics Corp. ............ 9,300 52,313
*Mediq, Inc. ....................... 5,700 23,513
*Medstone International, Inc. ...... 14,500 135,938
*Melamine Chemicals, Inc. .......... 20,000 175,000
*Mem Co., Inc. ..................... 5,300 16,894
*Mental Health Management, Inc. .... 712 1,869
Merchants Bancorp, Inc. ........... 10,000 280,000
Merchants Group, Inc. ............. 13,400 231,150
*Meridian Data, Inc. ............... 20,000 213,750
Meridian Insurance Group, Inc. .... 27,900 428,963
*Meris Laboratories, Inc. .......... 12,000 15,750
*Merisel, Inc. ..................... 127,800 583,088
Merrimac Industries, Inc. ......... 6,700 75,375
*Mesa Airlines, Inc. ............... 186,200 1,699,075
Mesaba Holdings, Inc. ............. 27,100 186,313
*Mestek, Inc. ...................... 13,500 148,500
Metrobank ......................... 7,260 206,910
*Metromedia International Group,
Inc. .............................. 60,000 1,080,000
*Michael Anthony Jewelers, Inc. .... 68,800 180,600
Michael Foods, Inc. ............... 122,000 1,418,250
*#Michaels Stores, Inc. ............. 5,800 94,975
*Microage, Inc. .................... 47,200 398,250
*Microcom, Inc. .................... 13,800 346,725
*Micron Electronics, Inc. .......... 9,500 140,125
*Micronics Computers, Inc. ......... 85,200 282,225
*Micropolis Corp. .................. 60,100 191,569
Mid America Banccorp .............. 35,933 646,786
*MidAmerican Waste System, Inc. .... 109,600 438,400
MidSouth Insurance Co. ............ 3,000 45,750
Midconn Bank Kensington, CT ....... 7,300 100,375
Middlesex Water Co. ............... 7,500 135,000
Midland Co. ....................... 5,600 277,550
*Mikohn Gaming Corp. ............... 13,000 45,500
*Miller Building Systems, Inc. ..... 7,400 24,050
*Miltope Group, Inc. ............... 24,900 79,369
Mine Safety Appliances Co. ........ 25,500 1,106,063
*Mobley Environmental Services,
Inc. Class A ...................... 10,500 11,156
Monarch Machine Tool Co. .......... 16,700 221,275
*Moog, Inc. Class A ................ 18,600 274,350
*Moog, Inc. Class B ................ 3,400 52,275
*Moore Medical Corp. ............... 2,400 27,600
*Moore Products Co. ................ 3,700 66,138
*Morgan Products, Ltd. ............. 37,400 224,400
*#Morrison Knudsen Corp. ............ 93,000 558,000
*Moviefone, Inc. Class A ........... 2,000 10,250
Mueller (Paul) Co. ................ 2,100 66,281
*Mueller Industries, Inc. .......... 64,000 1,472,000
*Multi Color Corp. ................. 7,600 22,800
*Munsingwear, Inc. ................. 8,700 63,075
*Musicland Stores Corp. ............ 145,500 927,563
*Mutual Savings Bank FSB Bay City,
MI ................................ 3,300 19,388
Myers (L.E.) Co. Group ............ 10,300 155,788
NAC RE Corp. ...................... 17,200 567,600
*NAI Technologies, Inc. ............ 26,700 41,719
NBT Bancorp ....................... 20,097 334,113
*NMR of America, Inc. .............. 11,800 42,775
23
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
NS Bancorp, Inc. .................. 30,200 $1,172,138
*NS Group, Inc. .................... 83,600 188,100
*NSA International, Inc. ........... 14,700 49,613
NSC Corp. ......................... 71,200 133,500
NYMAGIC, Inc. ..................... 60,400 1,004,150
*Nantucket Industries, Inc. ........ 6,500 19,094
*Napco Security Systems, Inc. ...... 17,900 68,244
Nash Finch Co. .................... 46,400 899,000
Nashua Corp. ...................... 27,900 439,425
*Nathans Famous, Inc. .............. 21,200 80,163
*National Auto Credit, Inc. ........ 114,746 1,936,339
*National City Bancorp ............. 22,005 415,344
*#National Convenience Stores, Inc. . 36,000 967,500
*National Education Corp. .......... 39,800 313,425
*National Home Centers, Inc. ....... 54,500 163,500
*National Home Health Care Corp. ... 8,600 46,225
*National Insurance Group .......... 8,000 44,000
*National Mercantile Bancorp. ...... 2,400 3,900
*National Patent Development Corp. . 20,875 191,789
National Presto Industries, Inc. .. 24,300 1,011,488
*National Record Mart, Inc. ........ 1,500 2,719
*National Standard Co. ............. 8,100 91,125
*National Western Life Insurance Co.
Class A ........................... 12,400 674,250
*Natural Wonders, Inc. ............. 31,100 89,413
*Navigators Group, Inc. ............ 2,100 39,900
*Netframe Systems, Inc. ............ 15,000 87,188
*Netrix Corp. ...................... 73,800 369,000
*Network Computing Devices, Inc. ... 63,400 534,938
New Brunswick Scientific Co., Inc. 16,100 107,669
*New Image Industries, Inc. ........ 11,200 20,300
New Jersey Resources Corp. ........ 79,212 2,208,035
*New Jersey Steel Corp. ............ 20,700 204,413
*New Mexico & Arizona Land Co. ..... 7,920 93,060
Newcor, Inc. ...................... 13,800 110,400
Newmil Bancorp, Inc. .............. 28,000 189,000
Newport Corp. ..................... 28,100 224,800
*Nexstar Pharmaceuticals, Inc. ..... 40,568 476,674
*Nexthealth, Inc. .................. 35,300 145,613
*Nichols Research Corp. ............ 9,100 208,163
*Noble Drilling Corp. .............. 13,975 103,066
*Noel Group, Inc. .................. 6,200 37,975
Noland Co. ........................ 2,000 37,000
*Nord Resources Corp. .............. 71,900 152,788
*Nortek, Inc. ...................... 57,100 542,450
North American Watch Corp. ........ 16,300 306,644
North Fork Bancorporation, Inc. ... 71,339 1,658,632
North Side Savings Bank NY ........ 21,537 632,649
*North Star Universal, Inc. ........ 40,300 239,281
Northbay Financial Corp. .......... 11,432 172,195
Norwich Financial Corp. ........... 22,500 295,313
*Novacare, Inc. .................... 216,100 1,269,588
*Nuclear Support Services, Inc. .... 5,700 8,194
*Nuevo Energy Co. .................. 86,100 1,915,725
*Nview Corp. ....................... 19,600 82,075
*Nycor, Inc. ....................... 11,700 57,769
*Nycor, Inc. Class A ............... 24,000 117,000
O'Sullivan Corp. .................. 21,900 229,950
*O.I. Corp. ........................ 16,100 46,288
*OEC Medical Systems, Inc. ......... 37,000 370,000
*OMI Corp. ......................... 234,300 1,435,088
*OTR Express, Inc. ................. 15,000 67,500
*Offshore Logistics, Inc. .......... 12,000 146,250
Oglebay Norton Co. ................ 9,600 351,600
Oil-Dri Corp. of America .......... 29,300 439,500
24
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Old America Stores, Inc. .......... 36,000 $ 294,750
*Old Dominion Freight Lines, Inc. .. 61,000 648,125
*Olympic Steel, Inc. ............... 65,000 580,938
OnbanCorp, Inc. ................... 63,200 2,097,450
*Oncogene Science, Inc. ............ 56,300 376,506
*One Price Clothing Stores, Inc. ... 65,400 269,775
Oneida, Ltd. ...................... 44,600 774,925
*Oneita Industries, Inc. ........... 30,800 219,450
Optical Coating Laboratory, Inc. .. 31,900 422,675
*Option Care, Inc. ................. 43,500 182,156
*Orange Co., Inc. .................. 57,100 456,800
*Orbit International Corp. ......... 22,300 20,906
*Orchard Supply Hardware Stores
Corp. ............................. 55,000 1,189,375
*Oregon Metallurgical Corp. ........ 40,300 430,706
Oregon Steel Mills, Inc. .......... 152,661 2,099,089
Oriole Homes Corp. Class B ........ 17,400 93,525
Orion Capital Corp. ............... 48,300 2,016,525
*Oroamerica, Inc. .................. 40,000 167,500
*Osborn Communications Corp. ....... 6,300 50,400
Oshkosh B'Gosh, Inc. Class A ...... 46,300 717,650
Oshkosh Truck Corp. Class B ....... 11,200 162,400
*Oshman's Sporting Goods, Inc. ..... 23,300 314,550
#Outboard Marine Corp. ............. 141,700 2,904,850
*Outlook Group Corp. ............... 28,100 210,750
Oxford Industries, Inc. ........... 26,000 487,500
*PCI Services, Inc. ................ 35,100 353,194
*PLM International, Inc. ........... 9,900 37,125
PXRE Corp. ........................ 60,700 1,494,738
*Pacific Rim Holding Corp. ......... 42,200 112,094
Pacific Scientific Co. ............ 19,200 487,200
*Pacific Sunwear of California, Inc. 21,000 208,688
*Pages, Inc. ....................... 11,800 28,025
*Palfed, Inc. ...................... 17,000 213,563
Pamrapo Bancorp, Inc. ............. 4,700 109,863
Pancho's Mexican Buffet, Inc. ..... 27,100 77,913
*Par Technology Corp. .............. 29,000 261,000
*Paragon Trade Brands, Inc. ........ 1,200 25,050
Park Electrochemical Corp. ........ 19,400 589,275
*Park-Ohio Industries, Inc. ........ 6,000 77,625
*Parker Drilling Co. ............... 56,000 287,000
Parkvale Financial Corp. .......... 11,077 288,002
Patrick Industries, Inc. .......... 36,800 487,600
*Patten Corp. ...................... 85,994 408,472
*Payless Cashways, Inc. ............ 239,900 1,019,575
*Penn Treaty American Corp. ........ 26,300 414,225
Penn Virginia Corp. ............... 14,100 458,250
*Penril Datacomm Networks, Inc. .... 30,400 286,900
#Peoples Heritage Financial Group,
Inc. .............................. 76,000 1,596,000
Peoples Savings Financial Corp. ... 8,700 167,475
*Peoples Telephone Co., Inc. ....... 68,300 192,094
*Perfumania, Inc. .................. 36,000 193,500
*Perini Corp. ...................... 28,000 259,000
*Petrocorp, Inc. ................... 33,700 248,538
*Pharmchem Laboratories, Inc. ...... 22,200 106,838
Philadelphia Suburban Corp. ....... 48,882 940,979
Phillips-Van Heusen Corp. ......... 73,000 757,375
*Photo Control Corp. ............... 4,200 15,488
*Photronics, Inc. .................. 5,550 174,825
Piccadilly Cafeterias, Inc. ....... 46,400 481,400
Pilgrim Pride Corp. ............... 113,500 766,125
*Pinkertons, Inc. .................. 600 12,000
Pioneer Financial Services, Inc. .. 27,800 462,175
Piper Jaffray Companies, Inc. ..... 17,996 229,449
25
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Pitt-Des Moines, Inc. ............. 10,200 $ 390,150
*Plains Resources, Inc. ............ 51,300 381,544
Ply-Gem Industries, Inc. DE ....... 17,600 321,200
*Polk Audio, Inc. .................. 4,900 47,163
*Polymedica Industries, Inc. ....... 41,840 292,880
*Pool Energy Services Co. .......... 58,658 531,588
Pope & Talbot, Inc. ............... 105,500 1,556,125
*#Porta Systems Corp. ............... 25,500 28,688
Portsmouth Bank Shares, Inc. ...... 23,737 347,154
Poughkeepsie Savings Bank FSB NY .. 23,000 109,250
*Powell Industries, Inc. ........... 49,000 361,375
Pre-Paid Legal Services, Inc. ..... 8,900 75,650
Premier Bancorp, Inc. ............. 40,000 940,000
Premier Financial Services, Inc. .. 18,400 163,300
*President Casinos, Inc. ........... 37,000 89,031
Presidential Life Corp. ........... 181,700 1,782,931
*Presley Companies Class A ......... 83,300 114,538
*Pride Petroleum Services, Inc. .... 69,900 694,631
*Primark Corp. ..................... 75,500 2,085,688
Prime Bancorp, Inc. ............... 14,370 289,196
Primesource Corp. ................. 5,254 33,494
*Printronix, Inc. .................. 15,000 270,000
*Procyte Corp. ..................... 69,100 166,272
*#Proffitts, Inc. ................... 68,500 1,840,938
*Progress Financial Corp. .......... 12,400 70,525
Progressive Bank, Inc. ............ 11,900 345,100
*Progroup, Inc. .................... 9,900 39,600
*Proler International Corp. ........ 21,300 159,750
Providence & Worcester Railroad
Co. ............................... 4,800 33,600
Provident Bankshares Corp. ........ 28,585 864,696
*Psicor, Inc. ...................... 16,300 283,213
Pulaski Furniture Corp. ........... 11,700 200,363
Pulse Bancorp, Inc. ............... 15,500 261,563
*QMS, Inc. ......................... 62,600 273,875
*Quad Systems Corp. ................ 9,800 80,850
Quaker Chemical Corp. ............. 10,500 170,625
*Quaker Fabric Corp. ............... 43,000 397,750
Quaker State Corp. ................ 43,400 585,900
Quanex Corp. ...................... 20,500 402,313
*#Quarterdeck Office Systems, Inc. .. 71,900 2,300,800
*Quest Medical, Inc. ............... 12,360 135,960
*Quiksilver, Inc. .................. 1,800 56,925
Quixote Corp. ..................... 12,000 96,000
*R & B, Inc. ....................... 30,100 199,413
RCSB Financial, Inc. .............. 61,600 1,478,400
RLI Corp. ......................... 31,650 759,600
*RPC Energy Services, Inc. ......... 18,100 144,800
RS Financial Corp. ................ 10,500 413,438
*Radius, Inc. ...................... 32,950 68,989
*Rag Shops, Inc. ................... 32,800 68,675
*#Rally's Hamburgers, Inc. .......... 55,100 89,538
*Ramsay Health Care, Inc. .......... 46,000 158,125
*Ramsay Managed Care, Inc. ......... 7,306 16,891
Raritan Bancorp, Inc. DE .......... 1,050 23,100
Rauch Industries, Inc. ............ 13,600 133,450
*#Raymond Corp. ..................... 3,969 81,365
*Readicare, Inc. ................... 14,000 41,125
*Reading Co. Class A ............... 22,336 203,816
*Redwood Empire Bancorp ............ 11,700 99,450
Refac Technology Development Corp. . 10,200 71,400
*Regeneron Pharmaceuticals, Inc. ... 47,000 528,750
*Repligen Corp. .................... 30,200 38,694
26
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Republic Automotive Parts, Inc. ... 13,500 $ 172,125
Republic Bancorp, Inc. ............ 26,136 302,198
*Republic Environmental Systems,
Inc. .............................. 18,980 71,175
Republic Savings Financial Corp. .. 2,300 12,938
*Rexel, Inc. ....................... 74,500 1,005,750
*Rexene Corp. ...................... 45,300 441,675
*Rexhall Industries, Inc. .......... 4,500 22,500
*Rexon, Inc. ....................... 34,400 3,763
*Rhodes, Inc. ...................... 28,200 289,050
Richardson Electronics, Ltd. ...... 41,400 377,775
*Riddell Sports, Inc. .............. 35,000 111,563
*Riggs National Corp. .............. 170,100 2,381,400
Riser Foods, Inc. Class A ......... 36,900 553,500
*Riverside Group, Inc. ............. 3,200 14,800
*#Roadmaster Industries, Inc. ....... 41,200 118,450
Roanoke Electric Steel Corp. ...... 14,700 218,663
Robinson Nugent, Inc. ............. 21,200 157,675
*Rocky Shoes & Boots, Inc. ......... 20,000 135,000
*Rodman & Renshaw Capital Group,
Inc. .............................. 17,300 30,275
*#Rohr, Inc. ........................ 110,300 1,613,138
*Rollins Environmental Services,
Inc. .............................. 178,634 535,902
Rollins Truck Leasing Corp. ....... 115,000 1,150,000
Ross Stores, Inc. ................. 60,092 1,153,015
Rouge Steel Co. Class A ........... 17,000 369,750
*Royal Appliance Manufacturing Co. . 17,000 53,125
*Royal Grip, Inc. .................. 6,400 27,200
Russ Berrie & Co., Inc. ........... 169,300 2,306,713
*Ryans Family Steak Houses, Inc. ... 29,300 217,919
Rykoff-Sexton, Inc. ............... 100,875 1,929,234
Ryland Group, Inc. ................ 72,064 891,792
*Rymer Foods, Inc. ................. 15,300 11,475
*#S&K Famous Brands, Inc. ........... 19,600 147,000
*SBE, Inc. ......................... 7,400 97,125
SCOR U.S. Corp. ................... 114,500 1,746,125
SFFED Corp. ....................... 34,700 1,084,375
SJW Corp. ......................... 400 13,900
SKI, Ltd. ......................... 19,900 273,625
*#SLM International, Inc. ........... 44,000 66,000
*SPS Technologies, Inc. ............ 42,300 1,919,363
SPX Corp. ......................... 101,700 1,639,913
*Safeguard Scientifics, Inc. ....... 10,500 519,750
Saint Ives Laboratories Corp. ..... 20,700 305,325
Saint Paul Bancorp, Inc. .......... 85,700 2,142,500
Salem Corp. ....................... 6,600 136,125
*San Filippo (John B.) & Son, Inc. . 38,700 348,300
Sanderson Farms, Inc. ............. 10,500 114,188
Sands Regent Casino Hotel ......... 36,000 207,000
*Santa Monica Bank CA .............. 37,000 462,500
Savannah Foods & Industries, Inc. . 3,278 40,360
*Savoy Pictures Entertainment, Inc. 98,200 589,200
*Schieb (Earl), Inc. ............... 17,500 122,500
*Schuler Homes, Inc. ............... 800 7,200
Schultz Sav-O Stores, Inc. ........ 10,200 154,275
*Scientific Software-Intercomp, Inc. 22,200 58,275
*Scios-Nova, Inc. .................. 203,000 786,625
Scope Industries, Inc. ............ 2,400 76,650
*Score Board, Inc. ................. 32,500 166,563
Seaboard Corp. .................... 100 24,869
*Seacor Holdings, Inc. ............. 35,000 800,625
Seafield Capital Corp. ............ 18,400 660,100
*Secom General Corp. ............... 14,400 38,700
Security Connecticut Corp. ........ 22,200 566,100
27
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Seda Specialty Packaging Corp. .... 9,600 $ 123,000
Selas Corp. of America ............ 15,000 123,750
Selective Insurance Group, Inc. ... 82,100 3,099,275
*Selfix, Inc. ...................... 4,900 26,338
*Sequa Corp. Class A ............... 39,500 1,150,438
*Serv-Tech, Inc. ................... 36,900 242,156
*Shaman Pharmaceuticals ............ 35,800 248,363
*Sharper Image Corp. ............... 21,500 134,375
Shelby Williams Industries, Inc. .. 8,000 101,000
*Shiloh Industries, Inc. ........... 17,200 193,500
*Shoe Carnival, Inc. ............... 97,000 394,063
*Sholodge, Inc. .................... 6,100 56,425
Shopko Stores, Inc. ............... 258,800 2,943,850
*Show Biz Pizza Time, Inc. ......... 94,400 1,203,600
Showboat, Inc. .................... 46,300 1,250,100
*Sifco Industries, Inc. ............ 22,600 100,288
*Sigma Designs, Inc. ............... 11,300 67,800
*Signal Technology Corp. ........... 28,400 159,750
*Silicon Valley Bancshares ......... 26,700 594,075
*Simmons Outdoor Corp. ............. 5,000 51,563
Sizzler International, Inc. ....... 212,700 824,213
Skyline Corp. ..................... 49,700 931,875
Skywest, Inc. ..................... 56,000 773,500
Smith (A.O.) Corp. ................ 118,500 2,814,375
*Smith Environmental Technologies
Corp. ............................. 18,300 78,919
*Softech, Inc. ..................... 17,000 64,813
*Software Publishing Corp. ......... 86,000 290,250
*Software Spectrum, Inc. ........... 15,500 307,094
*Solo Serve Corp. .................. 4,600 3,306
*Sound Advice, Inc. ................ 16,600 33,200
South Jersey Industries, Inc. ..... 47,077 1,006,271
*#Southdown, Inc. ................... 102,200 1,929,025
*Southwall Technologies, Inc. ...... 25,900 106,838
Southwest Bancshares, Inc. DE ..... 8,200 224,475
Southwestern Energy Co. ........... 34,900 453,700
*Southwestern Life Corp. ........... 1,400 55
*Spacelabs Medical, Inc. ........... 25,400 673,100
*Spaghetti Warehouse, Inc. ......... 44,800 218,400
Span-American Medical System, Inc. . 13,200 76,725
*Sparton Corp. ..................... 33,300 137,363
*Spec's Music, Inc. ................ 22,100 49,725
*Specialty Chemical Resources, Inc. 23,000 60,375
*Spectran Corp. .................... 30,000 161,250
*Speizman Industries, Inc. ......... 26,500 77,844
*Sport Chalet, Inc. ................ 42,100 110,513
Sport Supply Group, Inc. .......... 12,000 87,000
*Sports & Recreation, Inc. ......... 147,000 1,029,000
*Stacey's Buffet, Inc. ............. 10,700 6,353
Stage II Apparel Corp. ............ 18,500 55,500
*Standard Commercial Corp. ......... 39,562 459,905
*Standard Microsystems Corp. ....... 32,300 666,188
Standard Motor Products, Inc.
Class A ........................... 54,600 819,000
Standard Pacific Corp. DE ......... 141,172 811,739
Standard Products Co. ............. 131,900 2,126,888
*Stanford Telecommunications, Inc. . 17,500 325,938
*Stanley Furniture, Inc. ........... 18,100 149,325
Stant Corp. ....................... 120,600 1,085,400
*Staodyn, Inc. ..................... 19,700 33,244
Starret Housing Corp. ............. 17,900 135,369
Starrett (L.S.) Co. Class A ....... 28,800 673,200
Steel Technologies, Inc. .......... 13,000 113,750
*Steel of West Virginia, Inc. ...... 44,000 440,000
28
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
Stepan Co. ........................ 82,100 $1,272,550
Sterling Bancorp .................. 28,100 309,100
*Sterling Financial Corp. WA ....... 22,080 298,080
*Stevens Graphics Corp. Class A .... 53,000 367,688
Stewart Information Services Corp. 27,800 618,550
Stifel Financial Corp. ............ 3,100 18,213
*Stokely USA, Inc. ................. 30,700 172,688
Stone & Webster, Inc. ............. 64,300 2,379,100
Strawbridge & Clothier Class A .... 42,881 954,102
Stride Rite Corp. ................. 5,700 49,875
*Stuart Entertainment, Inc. ........ 14,300 96,525
*Sulcus Computer Corp. ............. 45,400 93,638
Sullivan Dental Products, Inc. .... 38,000 349,125
Sumitomo Bank of California ....... 11,800 283,200
*Summagraphics Corp. ............... 18,900 36,028
Summit Bancorp, Inc. WA ........... 6,182 178,892
Summit Family Restaurants, Inc. ... 19,200 99,600
*Sun Sportswear, Inc. .............. 24,900 87,150
Sun Television and Appliances, Inc. 77,400 435,375
*Sunbelt Nursery Group, Inc. ....... 22,700 69,519
*Suncoast Savings & Loan
Association FSA ................... 15,200 96,663
*Sunrise Bancorp CA ................ 23,980 61,449
*Sunrise Leasing Corp. ............. 17,900 55,938
Super Food Services, Inc. ......... 65,500 835,125
Susquehanna Bancshares, Inc. ...... 70,510 2,053,604
*Swift Energy Corp. ................ 30,170 328,099
*Symix Systems, Inc. ............... 4,300 47,838
*Syms Corp. ........................ 74,300 566,538
*Syncor International Corp. DE ..... 40,400 287,850
*Syntellect, Inc. .................. 49,700 167,738
*Syquest Technology, Inc. .......... 40,200 429,638
TCBY Enterprises, Inc. ............ 111,666 474,581
*TCC Industries, Inc. .............. 6,500 16,250
*TCI International, Inc. ........... 14,000 129,500
#TJ International, Inc. ............ 100,800 1,776,600
*TPI Enterprises, Inc. ............. 98,400 338,250
*TRC Companies, Inc. ............... 26,600 156,275
*TRM Copy Centers Corp. ............ 38,000 368,125
*TSF Communications Corp. .......... 2,000 25,250
Tab Products Co. DE ............... 21,400 144,450
*Taco Cabana Inc. .................. 67,600 371,800
*Tandy Crafts, Inc. ................ 27,700 207,750
*Tanknology Environmental, Inc. .... 61,600 138,600
*Team, Inc. ........................ 20,500 48,688
*Tech-Sym Corp. .................... 23,300 696,088
Technitrol, Inc. .................. 3,000 58,500
*Technology Solutions Corp. ........ 34,400 584,800
*Tekelec ........................... 17,600 283,800
*Telco Systems, Inc. ............... 16,700 161,781
Telxon Corp. ...................... 22,500 528,750
*Tetra Technologies, Inc. .......... 37,900 625,350
Texas Industries, Inc. ............ 73,681 3,776,151
*Texfi Industries, Inc. ............ 29,100 83,663
Thiokol Corp. ..................... 61,800 2,093,475
Thomas Industries, Inc. ........... 70,500 1,436,438
Thomaston Mills, Inc. ............. 11,600 152,250
Thorn Apple Valley, Inc. .......... 22,815 376,448
*Tipperary Corp. ................... 40,000 170,000
Titan Holdings, Inc. .............. 26,460 360,518
Toastmaster, Inc. ................. 38,400 168,000
*Todd Shipyards Corp. .............. 51,800 310,800
Todd-AO Corp. Class A ............. 3,740 29,453
*#Tokos Medical Corp. ............... 22,800 185,250
Tower Air, Inc. ................... 110,000 763,125
29
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Tracor, Inc. ...................... 29,700 $ 445,500
*Trak Auto Corp. ................... 40,200 633,150
*Trans World Entertainment Corp. ... 54,900 144,113
*Transcend Services, Inc. .......... 20,100 97,988
Transport Leasing International,
Inc. .............................. 17,900 66,006
Transtechnology Corp. ............. 20,700 248,400
Treadco, Inc. ..................... 40,000 235,000
*Tremont Corp. DE .................. 31,733 527,561
#Trenwick Group, Inc. .............. 20,000 1,027,500
*Triangle Pacific Corp. ............ 30,000 478,125
*Tricord Systems, Inc. ............. 76,800 235,200
*Trimark Holdings, Inc. ............ 18,500 134,125
*Tripos, Inc. ...................... 16,166 125,287
*Trism, Inc. ....................... 36,000 279,000
*Truevision, Inc. .................. 31,700 231,806
*Tuboscope Vetco International, Inc. 111,400 654,475
*Tucker Drilling Co., Inc. ......... 6,600 50,738
*Tuesday Morning Corp. ............. 47,500 267,188
*Tultex Corp. ...................... 128,707 611,358
*Turner Corp. ...................... 20,532 189,921
Twin Disc, Inc. ................... 11,700 267,638
*Tyco Toys, Inc. ................... 208,200 1,145,100
*Tyler Corp. ....................... 107,300 375,550
U.S. Bancorp, Inc. ................ 20,500 643,188
*UNC, Inc. ......................... 108,600 610,875
UNR Industries, Inc. .............. 83,800 748,963
*URS Corp. ......................... 30,400 209,000
*US Servis, Inc. ................... 18,400 80,500
*USData Corp. ...................... 6,750 126,563
*USMX, Inc. ........................ 12,000 22,500
*UST Corp. ......................... 25,500 379,313
USX-Delhi Group ................... 50,000 512,500
Uni-Marts, Inc. ................... 25,700 234,513
Unico American Corp. .............. 25,800 156,413
*Union Corp. DE .................... 35,200 598,400
*Uniroyal Technology Corp. ......... 52,200 169,650
*Unit Corp. ........................ 80,900 313,488
Unit Instruments, Inc. ............ 15,400 215,600
United Carolina Bancshares Corp. .. 34,600 1,293,175
United Fire Casualty Co. .......... 300 10,800
United Industrial Corp. ........... 48,200 228,950
*United Retail Group, Inc. ......... 33,700 160,075
*United States Energy Corp. ........ 15,700 62,309
United States Facilities Corp. .... 14,500 317,188
*United States Home Corp. .......... 51,000 1,326,000
*United States Homecare Corp. ...... 32,800 82,000
United Stationers, Inc. ........... 4,656 104,178
*Unitel Video, Inc. ................ 10,000 51,875
*Universal Health Services, Inc.
Class B ........................... 48,100 1,984,125
*Universal International, Inc. ..... 21,000 105,000
*Universal Standard Medical Labs,
Inc. .............................. 2,000 9,625
*Uranuim Resources, Inc. ........... 57,000 313,500
*Utilx Corp. ....................... 31,400 66,725
*V Band Systems, Inc. .............. 24,100 35,397
*Valence Technology, Inc. .......... 120,000 540,000
*Vallen Corp. ...................... 55,800 1,220,625
Valley Forge Corp. ................ 6,900 124,200
Valley National Bancorp ........... 0 0
Vallicorp Holdings, Inc. .......... 7,200 97,200
*Value City Department Stores, Inc. 105,000 708,750
*Vans, Inc. ........................ 70,900 516,241
*Varco International, Inc. ......... 152,300 1,389,738
30
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Varitronic Systems, Inc. .......... 9,300 $ 90,675
#Varlen Corp. ...................... 1,980 51,728
*Ventura County National Bancorp ... 33,109 124,159
Venture Stores, Inc. .............. 135,679 491,836
Vermont Financial Services Corp. .. 7,300 231,775
*Versar, Inc. ...................... 1,300 4,631
*Vertex Communications Corp. ....... 25,000 387,500
*Vicorp Restaurants, Inc. .......... 61,000 697,688
Victoria Bankshares, Inc. ......... 21,200 694,300
*Video Display Corp. ............... 15,300 58,331
*Video Lottery Technologies, Inc. .. 46,900 187,600
Virco Manufacturing Corp. ......... 11,446 115,891
Virginia Beach Federal Financial
Corp. ............................. 22,000 174,625
*Volt Information Sciences, Inc. ... 12,600 330,750
*#WHX Corp. ......................... 122,300 1,345,300
WICOR, Inc. ....................... 25,000 768,750
WLR Foods, Inc. ................... 115,000 1,868,750
*WSMP, Inc. ........................ 2,000 9,625
Walbro Corp. ...................... 42,352 836,452
*Walker Interactive Systems, Inc. .. 47,600 357,000
Walshire Assurance Co. ............ 10,395 172,167
*Warner Insurance Services, Inc. ... 50,000 68,750
Warren Bancorp, Inc. .............. 14,000 149,625
*Washington Homes, Inc. ............ 44,900 224,500
Washington National Corp. ......... 74,500 1,843,875
Washington Savings Bank FSB
Waldorf, MD ....................... 17,700 97,350
Watkins-Johnson Co. ............... 11,900 539,963
Watsco, Inc. Class A .............. 11,450 188,925
Watts Industries, Inc. Class A .... 46,500 953,250
Webb (Del) Corp. .................. 61,788 1,251,207
Webster Financial Corp. ........... 21,280 550,620
*Wedco Technology, Inc. ............ 10,000 113,750
*Weirton Steel Corp. ............... 175,000 765,625
*Weitek Corp. ...................... 12,000 41,250
*Welcome Home, Inc. ................ 14,000 34,563
Wellco Enterprises, Inc. .......... 1,600 25,700
*Wells-Gardner Electronics Corp. ... 13,800 51,750
Westco Bancorp, Inc. .............. 6,600 180,675
Westcorp, Inc. .................... 44,625 870,188
*Western Beef, Inc. ................ 19,700 115,738
*Western Micro Technology, Inc. .... 12,300 69,956
*Western Waste Industries .......... 21,000 385,875
*Westmoreland Coal Co. ............. 20,600 51,500
*Weston (Roy F.), Inc. Class A ..... 31,700 178,313
*Wet Seal, Inc. Class A ............ 15,700 134,431
Weyco Group, Inc. ................. 800 31,400
*Whitehall Corp. ................... 700 24,588
Whitney Holdings Corp. ............ 50,671 1,564,467
*Whittaker Corp. ................... 17,800 315,950
*Williams Clayton Energy, Inc. ..... 12,000 28,500
Wilshire Oil Co. of Texas ......... 11,400 68,400
#Windmere Corp. .................... 126,200 757,200
Wiser Oil Co. ..................... 39,575 494,688
Wolohan Lumber Co. ................ 30,378 271,503
*Worldtex, Inc. .................... 91,100 512,438
Worthington Foods, Inc. ........... 10,600 169,600
Wyle Laboratories, Inc. ........... 33,200 1,307,250
*Wyman-Gordon Co. .................. 50,800 752,475
Wynns International, Inc. ......... 28,000 805,000
31
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -------------
*Xicor, Inc. ....................... 55,100 $ 421,859
Yankee Energy Systems, Inc. ....... 46,500 1,075,313
*Yellow Corp. ...................... 97,900 1,168,681
*Yes Clothing Co. .................. 3,400 7,225
York Financial Corp. .............. 22,990 382,209
*Younkers, Inc. .................... 52,900 1,335,725
*Zale Corp. ........................ 76,200 1,266,825
*Zaring Homes, Inc. ................ 13,000 121,875
*Zemex Corp. ....................... 46,206 398,527
*#Zenith Electronics Corp. .......... 29,900 231,725
Zenith National Insurance Corp. ... 87,700 1,940,363
Ziegler Co., Inc. ................. 1,700 28,263
*#Zitel Corp. ....................... 37,000 409,313
Zurn Industries, Inc. ............. 99,900 2,447,550
*Zygo Corp. ........................ 12,600 362,250
*Zynaxis, Inc. ..................... 31,000 31,000
-------------
TOTAL COMMON STOCKS (Cost
$523,638,191) ...................... 612,949,233
-------------
RIGHTS/WARRANTS -- (0.0%) ...........
*Advanced NMR Systems, Inc.
Warrants 08/30/00 ................. 5,920 0
*BJ Services Co. Warrants 01/15/15 . 1,800 8,775
*Jamesway Corp. Warrants 01/28/10 . 1,009 101
*Statesman Group, Inc. Contingent
Payment Rights .................... 37,500 0
-------------
TOTAL RIGHTS/WARRANTS (Cost $10,081) 8,876
-------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS --
(1.6%)
Repurchase Agreement, PNC
Securities Corp. 5.65%, 12/01/95
(Collateralized by U.S. Treasury
Notes 6.125%, 05/31/97)
(Cost $9,789,000) .............. $9,789 9,789,000
--------------
TOTAL INVESTMENTS -- (99.8%)
(Cost $533,437,272) .............. 622,747,109
--------------
OTHER ASSETS AND LIABILITIES --
(0.2%)
Other Assets ..................... 3,217,798
Liabilities ...................... (1,622,109)
--------------
1,595,689
--------------
NET ASSETS -- (100.0%) Applicable
to 44,539,600 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ............... $624,342,798
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ....... $ 14.02
==============
- ------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
32
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1995
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ............................................................. $ 6,717
Interest .............................................................. 762
Income from Securities Lending ........................................ 19
---------
Total Investment Income ............................................ 7,498
---------
Expenses
Investment Advisory Services .......................................... 976
Accounting & Transfer Agent Fees ...................................... 382
Custodian's Fee ....................................................... 91
Legal Fees ............................................................ 18
Audit Fees ............................................................ 23
Shareholders' Reports ................................................. 17
Trustees' Fees and Expenses. .......................................... 6
Other ................................................................. 27
---------
Total Expenses ..................................................... 1,540
---------
Net Investment Income .............................................. 5,958
---------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ............................ 22,264
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 92,111
---------
Net Gain on Investment Securities ..................................... 114,375
---------
Net Increase in Net Assets Resulting from Operations .................... $120,333
=========
</TABLE>
See accompanying Notes to Financial Statements
33
<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 Year Ended
Nov. 30, Nov. 30,
1995 1994
------------ ------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................................................. $ 5,958 $ 3,442
Net Realized Gain on Investment Securities ............................ 22,264 2,206
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ......................................................... 92,111 (10,764)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations .... 120,333 (5,116)
------------ ------------
Distributions From:
Net Investment Income ................................................. (5,753) (3,415)
Net Realized Gains .................................................... (7,740) (1,292)
------------ ------------
Total Distributions ................................................ (13,493) (4,707)
------------ ------------
Capital Share Transactions (1):
Shares Issued. ........................................................ 172,434 264,190
Shares Issued in Lieu of Cash Distributions ........................... 10,353 3,765
Shares Redeemed ....................................................... (15,561) (3,536)
------------ ------------
Net Increase From Capital Share Transactions ....................... 167,226 264,419
------------ ------------
Total Increase ..................................................... 274,066 254,596
Net Assets
Beginning of Period ................................................... 350,277 95,681
------------ ------------
End of Period. ........................................................ $624,343 $350,277
============ ============
(1) Shares Issued and Redeemed:
Shares Issued ......................................................... 13,765 22,720
Shares Issued in Lieu of Cash Distributions ........................... 774 340
Shares Redeemed ....................................................... (1,423) (304)
------------ ------------
13,116 22,756
============ ============
</TABLE>
See accompanying Notes to Financial Statements
34
<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 Year Ended March 2 to
Nov. 30, Nov. 30, Nov. 30,
1995 1994 1993
------------ ------------ ------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period .................... $ 11.15 $ 11.04 $ 10.00
------------ ------------ ------------
Income from Investment Operations
- ---------------------------------
Net Investment Income ................................. 0.14 0.12 0.08
Net Gains (Losses) on Securities (Realized and
Unrealized) ........................................ 3.06 0.16 1.09
------------ ------------ ------------
Total from Investment Operations ................... 3.20 0.28 1.17
------------ ------------ ------------
Less Distributions
- ------------------
Net Investment Income ................................. (0.14) (0.12) (0.07)
Net Realized Gains .................................... (0.19) (0.05) (0.06)
------------ ------------ ------------
Total Distributions ................................ (0.33) (0.17) (0.13)
------------ ------------ ------------
Net Asset Value, End of Period .......................... $ 14.02 $ 11.15 $ 11.04
============ ============ ============
Total Return ............................................ 28.81% 2.52% 11.69%#
Net Assets, End of Period (thousands) ................... $624,343 $350,277 $95,681
Ratio of Expenses to Average Net Assets ................. 0.32% 0.32% 0.33%*
Ratio of Net Investment Income to Average Net Assets .... 1.22% 1.50% 1.35%*
Portfolio Turnover Rate ................................. 20.62% 8.22% 1.07%*
</TABLE>
- ------------
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
35
<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, 1995, The Trust consisted of seven investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small
Cap Value Series, The U.S. Large Cap Value Series, The DFA One-Year Fixed
Income Series The DFA International Value Series and The Emerging Markets
Series. These financial statements relate solely to The U.S. Small Cap Value
Series (the "Series").
The U.S. Small Cap Value Portfolio II invests only in the Series. The
Series also issues its shares to other investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in preparation of its
financial statements.
1. Security Valuation: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such
reported sale, at the mean between the most recent bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. The value of
securities for which no quotations are readily available are determined in
good faith at fair value using methods determined by the Board of Directors.
2. Federal Income Taxes: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the
financial statements.
3. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book-entry system or
with the Fund's custodian or a third party sub-custodian. All repurchase
agreements were entered into on November 30, 1995.
4. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Discount and premium on securities purchased are amortized over the
lives of the respective securities. Expenses directly attribute 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 year ended November 30, 1995, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.20 of 1%.
36
<PAGE>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended November 30, 1995, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Purchases ....................................... $199,653
Sales ........................................... 97,788
E. INVESTMENT TRANSACTIONS:
At November 30, 1995, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
was as follows (amounts in thousands):
Gross Unrealized Appreciation ................... $ 133,927
Gross Unrealized Depreciation ................... (44,617)
---------
Net .................................................. $ 89,310
=========
F. COMPONENTS OF NET ASSETS:
At November 30, 1995, net assets consisted of (amounts in thousands):
Paid-In Capital ................................. $519,275
Undistributed Net Investment Income ............. 272
Undistributed Net Realized Gain ................. 15,486
Unrealized Appreciation of Investment
Securities ................................. 89,310
--------
$624,343
========
G. SECURITIES LENDING
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. However, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject
to legal proceedings. The market value of securities on loan to brokers from
the Series is $40,853,779 and the related collateral cash indemnification
received is $41,862,513 at November 30, 1995.
37
<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,
1995, and the related statement of operations for the year then ended and the
statements of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the periods presented.
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, 1995, 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, 1995, and the results of its operations for the year then ended and the
changes in its net assets for each of the two years in the period then ended,
and its financial highlights for each of the periods presented, in conformity
with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 19, 1996
38
