<PAGE>
- -------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
ANNUAL REPORT
Year Ended November 30, 1996
- -------------------------------------------------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
Page
-------
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 .............................. 6-7
Report of Independent Accountants .......................... 8
The DFA Investment Trust Company -- The U.S. Small Cap Value
Series
Performance Chart .......................................... 9
Statement of Net Assets .................................... 10-23
Statement of Operations .................................... 24
Statements of Changes in Net Assets ........................ 25
Financial Highlights ....................................... 26
Notes to Financial Statements .............................. 27-28
Report of Independent Accountants .......................... 29
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 1996
The following reflects the growth of a $10,000 investment.
U.S. Small Cap Fama-French Small Cap
Value Portfolio II Value Index
-------------------- ---------------------
8/31/94 10000 10000
9/30/94 9961 9957
10/31/94 9815.5694 9787.731
11/30/94 9476.932256 9462.778331
12/31/94 9567.910805 9541.319391
1/31/95 9666.460287 9695.888765
2/28/95 10000.91981 10089.54185
3/31/95 10118.93067 10206.58053
4/30/95 10473.09324 10527.06716
5/31/95 10757.96138 10751.29369
6/30/95 11180.74926 11106.08639
7/31/95 11780.03742 11552.55106
8/31/95 12153.4646 11923.38795
9/30/95 12290.79875 12122.50853
10/31/95 11691.00778 11581.84465
11/30/95 12121.23686 11907.29448
12/31/95 12327.29789 12094.239
1/31/96 12286.6178 12264.76777
2/29/96 12547.0941 12456.09815
3/31/96 12888.37506 12875.86866
4/30/96 13550.83754 13320.08613
5/31/96 14082.03037 13843.56551
6/30/96 13780.67492 13623.45282
7/31/96 12918.00467 12897.32279
8/31/96 13499.31488 13431.27195
9/30/96 13960.99145 13773.76938
10/31/96 14061.51059 13733.82545
11/30/96 14723.80774 14362.83466
<PAGE>
Annualized One From
Total Return(%) Year September 1994
- ----------------------------------------------------------------------------
21.47 18.76
* 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 $600 million or
less and book-to-market ratios in the upper 30% of publicly traded U.S.
companies.
* This portfolio's returns in fiscal 1996 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
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, 1996
(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 (2,452,731 Shares, Cost $34,398) at Value ....................... $ 40,657
Receivable for Fund Shares Sold ........................................... 381
Prepaid Expenses and Other Assets ......................................... 27
-----------
Total Assets ......................................................... 41,065
-----------
LIABILITIES:
Payable for Investment Securities Purchased .................................. 381
Accrued Expenses ............................................................. 47
-----------
Total Liabilities .................................................... 428
-----------
Net Assets ..................................................................... $ 40,637
===========
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000) .................... 2,769,174
===========
Net Asset Value, Offering and Redemption Price Per Share ....................... $ 14.67
===========
NET ASSETS CONSIST OF:
Paid-In Capital . . ....................................................... $ 33,975
Undistributed Net Investment Income ....................................... 178
Undistributed Net Realized Gain ........................................... 225
Unrealized Appreciation of Investment Securities .......................... 6,259
-----------
Total Net Assets ..................................................... $ 40,637
===========
</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, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Income Distributions Received ..................................... $ 326
--------
Expenses
Administrative Services ........................................... 36
Accounting & Transfer Agent Fees .................................. 17
Shareholder Services .............................................. 41
Legal Fees ........................................................ 9
Audit Fees ........................................................ 1
Filing Fees ....................................................... 15
Shareholder's Reports ............................................. 9
Directors' Fees and Expenses ...................................... 5
Organization Costs ................................................ 9
Other ............................................................. 2
--------
Total Expenses ............................................... 144
Less: Fees Waived and Expenses Reimbursed ......................... (8)
--------
Net Expenses ...................................................... 136
--------
Net Investment Income ............................................. 190
--------
Net Realized and Unrealized Gain (Loss) on Investments
Capital Gain Distributions Received .................................... 344
Net Realized Loss on Investment Securities ............................. (67)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ........................................................... 4,508
--------
Net Gain on Investment Securities ................................. 4,785
--------
Net Increase in Net Assets Resulting from Operations ................... $4,975
========
</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 Year
Ended Ended
Nov. 30, Nov. 30,
1996 1995
---------- ----------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................................. $ 190 $ 67
Capital Gain Distributions Received ............................... 344 152
Net Realized Gain (Loss) on Investment Securities ................. (67) 15
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ...................................................... 4,508 2,034
---------- ----------
Net Increase in Net Assets Resulting from Operations ......... 4,975 2,268
---------- ----------
Distributions From:
Net Investment Income ............................................. (13) (67)
Net Realized Gains ................................................ (44) (169)
---------- ----------
Total Distributions .......................................... (57) (236)
---------- ----------
Capital Share Transactions (1):
Shares Issued ..................................................... 23,865 7,811
Shares Issued in Lieu of Cash Distributions ....................... 57 236
Shares Redeemed ................................................... (2,493) (1,844)
---------- ----------
Net Increase From Capital Share Transactions ................. 21,429 6,203
---------- ----------
Total Increase ............................................... 26,347 8,235
Net Assets
Beginning of Period ............................................... 14,290 6,055
---------- ----------
End of Period ..................................................... $40,637 $14,290
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued ..................................................... 1,779 694
Shares Issued in Lieu of Cash Distributions ....................... 5 20
Shares Redeemed ................................................... (193) (163)
---------- ----------
1,591 551
========== ==========
</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 Year Aug. 3
Ended Ended to
Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994
---------- ---------- -----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period .................... $ 12.13 $ 9.65 $ 10.00
---------- ---------- -----------
Income from Investment Operations
- ---------------------------------
Net Investment Income .............................. 0.08 0.06 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) ...................................... 2.51 2.63 (0.35)
---------- ---------- -----------
Total from Investment Operations ................... 2.59 2.69 (0.24)
Less Distributions
- ------------------
Net Investment Income .............................. (0.01) (0.06) (0.11)
Net Realized Gains ................................. (0.04) (0.15) --
---------- ---------- -----------
Total Distributions ................................ (0.05) (0.21) (0.11)
---------- ---------- -----------
Net Asset Value, End of Period .......................... $ 14.67 $ 12.13 $ 9.65
========== ========== ===========
Total Return ............................................ 21.39% 27.90% (2.39)%#
Net Assets, End of Period (thousands) ................... $ 40,637 $14,290 $6,055
Ratio of Expenses to Average Net Assets (1) ............. 0.85%(a) 0.96%(a) 0.96%*(a)
Ratio of Net Investment Income to Average Net Assets .... 0.77%(a) 0.68%(a) 4.78*(a)
Portfolio Turnover Rate ................................. N/A N/A N/A
Average Commission Rate ................................. N/A N/A N/A
</TABLE>
- ------
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective
pro-rata share of its Master Fund Series.
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods ended November 30, 1996,
1995 and 1994 would have been 0.88%, 1.50% and 2.33%, respectively and
the ratios of net investment income to average net assets for the periods
ended November 30, 1996, 1995 and 1994 would have been 0.74%, 0.14% and
3.41%, respectively.
N/A Refer to the respective Master Fund Series.
5
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
At November 30, 1996, Dimensional Investment Group Inc. (the "Fund")
consisted of eleven 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, RWB/DFA U.S. High Book to Market Portfolio, The DFA
International Value Portfolio, DFA International Value Portfolio II, DFA
International Value Portfolio III, DFA One-Year Fixed Income Portfolio II,
RWB/DFA Two-Year Corporate Fixed Income Portfolio and RWB/DFA Two-Year
Government Portfolio (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, 1996, the Portfolio owned 3% of the outstanding shares of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements. The preparation of financial statements in accordance
with generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
1. Security Valuation: The shares of the Series held by the Portfolio are
valued at its respective daily Net Asset Value.
2. Federal Income Taxes: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. 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.
Certain prior period amounts have been restated to conform with current
period presentation.
6
<PAGE>
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. Effective July 1, 1996, the Portfolio s
Administrative fees were computed daily and paid monthly to the Advisor at an
effective annual rate of 0.10% of 1%. Prior to that date this rate was 0.30
of 1%.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
Effective July 1, 1996, 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
0.75% of average daily net assets. Prior to that date, the Advisor agreed to
waive its fees and reimburse the Portfolio to the extent necessary to keep
the annual combined expenses to not more than 0.96% of average daily net
assets.
In addition, pursuant to an agreement with certain Shareholder Service
Agents, the Portfolio pays to such agents a fee at the effective annual rate
of .10% of its average daily net assets.
D. INVESTMENTS:
At November 30, 1996, 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........................... $6,259
Gross Unrealized Depreciation .......................... --
--------
Net ................................................... $6,259
========
E. LINE OF CREDIT
In July, 1996, the Fund, together with other DFA-advised portfolios,
entered into a $50 million unsecured line of credit with its domestic
custodian bank. Each portfolio is permitted to borrow between 25% and 33 1/3%
of its net assets as determined by its investment policies, up to a maximum
of $50 million per portfolio. Borrowings under the line are charged interest
at the current overnight federal funds rate plus a variable rate determined
at the date of borrowing. Each portfolio is individually, and not jointly
liable for its particular advances under the line. There is no commitment fee
on the unused portion of the line of credit. There were no borrowings under
the line of credit by the Portfolio during the year ended November 30, 1996.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
We have audited the accompanying statement of assets and liabilities of the
Dimensional Investment Group Inc., U.S. Small Cap Value Portfolio II, as of
November 30, 1996, and the related statement of operations for the year then
ended, 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, 1996, 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, 1996, and the results of its operations for the year then ended,
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 17, 1997
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
U.S. Small Cap Value Series vs.
Fama-French Small Cap Value Index
April 1993-November 1996
The following reflects the growth of a $10,000 investment.
U.S. Small Cap Fama-French
Value Series Small Cap Value Index
-------------- ---------------------
3/31/93 10000 10000
4/30/93 9788 9687
5/31/93 10050.3184 10081.2609
6/30/93 10060.36872 10069.16339
7/31/93 10363.18582 10209.12476
8/31/93 10706.20727 10535.81675
9/30/93 11078.78328 10726.51503
10/31/93 11452.13828 11155.57563
11/30/93 11259.74235 10978.20198
12/31/93 11486.06318 11257.04831
1/31/94 12078.74403 11790.6324
2/28/94 12048.54717 11719.88861
3/31/94 11649.74026 11234.68522
4/30/94 11731.28845 11316.69842
5/31/94 11772.34795 11279.35332
6/30/94 11558.09122 11046.99864
7/31/94 11752.26715 11319.85951
8/31/94 12161.24605 11726.24246
9/30/94 12119.89781 11675.81962
10/31/94 11946.58328 11477.33069
11/30/94 11545.17808 11096.28331
12/31/94 11664.09341 11188.38246
1/31/95 11788.89921 11369.63425
2/28/95 12205.04735 11831.2414
3/31/95 12350.28742 11968.4838
4/30/95 12787.48759 12344.2942
5/31/95 13151.93099 12607.22766
6/30/95 13672.74746 13023.26618
7/31/95 14422.01402 13546.80148
8/31/95 14879.19186 13981.6538
9/30/95 15066.66968 14215.14742
10/31/95 14338.94953 13581.15185
11/30/95 14872.35846 13962.78221
12/31/95 15132.62473 14181.99789
1/31/96 15088.74012 14381.96406
2/29/96 15414.6569 14606.3227
3/31/96 15849.35023 15098.55578
4/30/96 16675.10137 15619.45595
5/31/96 17327.09784 16233.30057
6/30/96 16968.42691 15975.19109
7/31/96 15914.6876 15123.71341
8/31/96 16643.58029 15749.83514
9/30/96 17209.46202 16151.45594
10/31/96 17340.25394 16104.61672
11/30/96 18165.65002 16842.20816
Annualized One From
Total Return(%) Year April 1993
- ----------------------------------------------------------------------------
22.14 17.68
* 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 $600 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 1996 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
Fama-French and CRSP, University of Chicago.
9
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Shares Value+
--------- -----------
<S> <C> <C>
COMMON STOCKS - (98.7%) ...................................
AAR Corp. ............................................... 155,400 $4,642,575
*ACX Technologies, Inc. .................................. 212,400 3,876,300
*AEP Industries, Inc. .................................... 25,150 1,273,219
*AG Services America, Inc. ............................... 2,900 39,694
*AM International, Inc. .................................. 20,000 90,000
APL, Ltd. ............................................... 21,400 513,600
*AST Research, Inc. ...................................... 353,506 1,557,636
*#Aasche Transportation Services, Inc. ................... 27,200 100,300
Abington Savings Bank MA ................................ 15,500 312,906
Abrams Industries, Inc. ................................. 10,000 48,125
*Abraxas Petroleum Corp. ................................. 55,000 426,250
*Accell International Corp. .............................. 44,500 130,719
*Acceptance Insurance Companies, Inc. ................... 98,700 2,023,350
*Access Beyond, Inc. ..................................... 30,400 243,200
Aceto Corp. ............................................. 36,740 505,175
*Acme Metals, Inc. ....................................... 77,600 1,610,200
*Acme United Corp. ....................................... 8,700 38,063
*Adage, Inc. ............................................. 38,054 143,892
*Adam Software, Inc. ..................................... 3,000 8,438
*Addington Resources, Inc. ............................... 3,000 89,250
*Adflex Solutions, Inc. .................................. 7,300 77,563
*Advanced Logic Research, Inc. ........................... 81,200 984,550
*Advanced Marketing Services, Inc. ....................... 35,500 363,875
*Advanced Technology Labs, Inc. .......................... 100,827 2,898,776
Advantage Bancorp, Inc. ................................. 25,725 826,416
*Advest Group, Inc. ...................................... 57,300 601,650
*Aequitron Medical, Inc. ................................. 15,400 151,113
*Aeroflex, Inc. .......................................... 81,200 365,400
*Aerosonic Corp. DE ...................................... 9,200 31,050
*Aerovox, Inc. ........................................... 39,100 219,938
Affiliated Community Bancorp ............................ 6,800 153,425
*Air & Water Technologies Corp. Class A ................. 1,200 7,425
*Air Methods Corp. ....................................... 53,200 114,713
Airborne Freight Corp. .................................. 199,600 4,291,400
*Airways Corp. ........................................... 14,600 54,750
*Alamco, Inc. ............................................ 31,100 357,650
*#Alaska Air Group, Inc. .................................. 95,000 2,291,875
*Alba-Waldensian, Inc. ................................... 4,700 27,025
Albank Financial Corp. .................................. 85,080 2,786,370
*Aldila, Inc. ............................................ 115,300 518,850
Alfa Corp. .............................................. 16,900 196,463
*Alkermes, Inc. .......................................... 78,000 1,111,500
*Alliance Semiconductor Corp. ............................ 85,700 685,600
Allied Group, Inc. ...................................... 33,000 1,456,125
Allied Healthcare Products, Inc. ........................ 16,800 115,500
*Allied Holdings, Inc. ................................... 44,300 359,938
Allied Life Financial Corp. ............................. 31,600 553,000
Allied Products Corp. ................................... 18,400 439,300
*Allied Research Corp. ................................... 49,500 266,063
*Allou Health & Beauty Care, Inc. Class A ............... 43,200 283,500
*Allstate Financial Corp. ................................ 20,900 138,463
*Allwaste, Inc. .......................................... 264,900 1,158,938
*Aloette Cosmetics, Inc. ................................. 17,300 50,819
*Alpha Industries, Inc. .................................. 87,200 686,700
*Alpha Microsystems, Inc. ................................ 19,400 32,434
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Alpha Technologies Group, Inc. .......................... 3,200 $ 14,800
Alpharma, Inc. Class A .................................. 35,800 456,450
Amcast Industrial Corp. ................................. 65,100 1,537,988
Amcore Financial, Inc. .................................. 37,900 852,750
*America Services Group, Inc. ............................ 18,000 194,625
*America West Airlines, Inc. Class B ..................... 167,500 2,449,688
American Annuity Group, Inc. ............................ 49,850 660,513
American Bank of Connecticut ............................ 100 2,925
*American Banknote Corp. ................................. 123,900 604,013
American Biltrite, Inc. ................................. 17,600 360,800
*American Classic Voyages Co. ............................ 1,100 10,106
American Eagle Group, Inc. .............................. 75,600 302,400
*American Ecology Corp. .................................. 51,900 53,522
*American Exploration Co. ................................ 77,700 1,252,913
*American Freightways Corp. .............................. 472,000 4,926,500
American Heritage Life Investment Corp. ................ 124,300 2,804,519
American Indemnity Financial Corp. ...................... 14,200 144,663
*American Media, Inc. Class A ............................ 106,500 612,375
American Medical Electronics, Inc. (Escrow-Bonus) ....... 20,800 0
American Medical Electronics, Inc. (Escrow-Earnings) .... 20,800 0
*American Mobile Satellite Corp. ......................... 161,000 1,982,313
*American Oilfield Divers, Inc. .......................... 41,800 538,175
*American Pacific Corp. .................................. 65,100 447,563
*American Physicians Services Group, Inc. ............... 19,500 117,000
American Recreation Centers, Inc. ....................... 32,800 166,050
*American Software, Inc. Class A ......................... 122,100 724,969
*American Technical Ceramics Corp. ...................... 23,800 142,800
*American Travellers Corp. ............................... 123,600 4,356,900
American Vanguard Corp. ................................. 7,040 49,720
*American Waste Services, Inc. Class A .................. 175,300 372,513
American Woodmark Corp. ................................. 35,010 385,110
Americana Bancorp, Inc. ................................. 23,300 366,974
*Ameriwood Industries International Corp. ............... 29,900 278,444
Ameron, Inc. ............................................ 28,200 1,360,650
*Ames Department Stores, Inc. ............................ 82,900 404,138
*Amistar Corp. ........................................... 17,200 58,050
Ampco-Pittsburgh Corp. .................................. 103,100 1,430,513
*Amrep Corp. ............................................. 74,992 365,586
*Amresco, Inc. ........................................... 10,000 216,250
*Amtech Corp. ............................................ 143,700 1,086,731
*Amtran, Inc. ............................................ 102,900 746,025
Amvestors Financial Corp. ............................... 99,848 1,435,315
Amwest Insurance Group, Inc. ............................ 28,050 352,378
Analogic Corp. .......................................... 79,500 2,186,250
Analysis & Technology, Inc. ............................. 19,200 277,200
*Anaren Microwave, Inc. .................................. 35,800 219,275
Anchor Bancorp Wisconsin, Inc. .......................... 29,925 1,054,856
Andover Bancorp, Inc. DE ................................ 35,760 958,815
Angelica Corp. .......................................... 85,200 1,640,100
*#Ann Taylor Stores Corp. ................................. 223,400 4,523,850
*Antec Corp. ............................................. 22,000 211,750
*Anuhco, Inc. ............................................ 53,700 456,450
*Apertus Technologies, Inc. .............................. 34,900 107,972
10
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Apogee, Inc. ............................................ 12,000 $ 68,250
*Applied Extrusion Technologies, Inc. ................... 67,900 636,563
*Applied Signal Technologies, Inc. ....................... 58,900 268,731
*Arbatax International, Inc. ............................. 6,000 40,500
*Arch Communications Group, Inc. ......................... 220,400 2,424,400
*Arden Industrial Products, Inc. ......................... 49,200 255,225
Arkansas Best Corp. ..................................... 219,000 1,108,688
*Armco, Inc. ............................................. 225,000 1,012,500
*Arrow Automotive Industries, Inc. ....................... 21,600 89,100
Arrow Financial Corp. ................................... 5,234 125,289
*Artistic Greetings, Inc. ................................ 40,600 190,313
Arvin Industries, Inc. .................................. 153,000 3,633,750
*Aseco Corp. ............................................. 16,500 158,813
Ashland Coal, Inc. ...................................... 93,000 2,394,750
*Astec Industries, Inc. .................................. 67,100 595,513
Astoria Financial Corp. ................................. 148,000 5,568,500
Astro-Med, Inc. ......................................... 40,675 350,822
*Astronics Corp. ......................................... 20,625 99,258
*Astrosystems, Inc. ...................................... 31,600 175,775
*Astrotech International Corp. ........................... 66,000 342,375
*Asyst Technologies, Inc. ................................ 17,200 337,550
*Athey Products Corp. .................................... 7,140 31,907
*Atkinson (Guy F.) of California ......................... 62,100 632,644
*Atlantic Gulf Communities Corp. ......................... 102,200 447,125
*Atlantic Tele-Network, Inc. ............................. 66,200 1,270,213
*Atlantis Plastics, Inc. ................................. 40,800 351,900
Atrion Corp. ............................................ 11,100 289,988
*Atwood Oceanics, Inc. ................................... 38,800 2,163,100
*Au Bon Pain, Inc. Class A ............................... 70,300 540,431
*#Audiovox Corp. Class A .................................. 60,800 319,200
Augat, Inc. ............................................. 149,300 4,217,725
*Autoinfo, Inc. .......................................... 51,100 143,719
*Autologic Information International, Inc. .............. 7,100 42,600
*Avatar Holdings, Inc. ................................... 22,400 705,600
Aviall, Inc. ............................................ 152,500 1,505,938
*Avondale Industries, Inc. ............................... 92,800 1,618,200
*Aydin Corp. ............................................. 51,200 460,800
*Aztar Corp. ............................................. 354,300 2,568,675
Aztec Manufacturing Co. ................................. 45,000 320,625
*BEC Group, Inc. ......................................... 8,380 39,805
BEI Electronics, Inc. ................................... 46,100 504,219
*BF Enterprises, Inc. .................................... 2,300 15,238
BHC Financial, Inc. ..................................... 60,800 972,800
*BI, Inc. ................................................ 21,100 145,063
*BMC West Corp. .......................................... 64,300 771,600
BMJ Financial Corp. ..................................... 6,900 170,775
*BPI Packaging Technologies, Inc. ........................ 78,200 183,281
*BRC Holdings, Inc. ...................................... 11,100 453,713
BSB Bancorp, Inc. ....................................... 69,800 1,867,150
BT Financial Corp. ...................................... 26,284 988,936
*BWAY Corp. .............................................. 50,800 917,575
*Back Bay Restaurant Group, Inc. ......................... 22,600 67,800
Badger Meter, Inc. ...................................... 10,600 414,725
Badger Paper Mills, Inc. ................................ 10,400 115,050
Bairnco Corp. ........................................... 65,500 409,375
Baker (J.), Inc. ........................................ 155,818 964,124
*Baker (Michael) Corp. ................................... 60,800 387,600
Baldwin & Lyons, Inc. Class B ........................... 1,600 28,700
*Baldwin Piano & Organ Co. ............................... 27,000 347,625
*Baldwin Technology, Inc. Class A ........................ 108,100 283,763
Ball Corp. .............................................. 12,000 294,000
*Bally Entertainment Corp. ............................... 95,400 2,778,525
*Bally Total Fitness Holding Corp. ....................... 48,175 270,984
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Baltek Corp. ............................................ 4,500 $ 34,313
*BancTec, Inc. ........................................... 70,357 1,398,345
*Bancinsurance Corp. ..................................... 11,300 44,494
Bancorp Connecticut, Inc. ............................... 10,900 247,975
*Bank United Financial Corp.
Class A ................................................. 19,900 180,344
BankAtlantic Bancorp, Inc. .............................. 77,931 1,008,232
BankAtlantic Bancorp, Inc. Class A ...................... 19,482 252,048
BankNorth Group, Inc. DE ................................ 24,200 934,725
Bankers Corp. ........................................... 87,940 1,703,838
*Banner Aerospace, Inc. .................................. 157,400 1,318,225
*Barry (R.G.) Corp. ...................................... 18,000 200,250
*Basin Exploration, Inc. ................................. 78,600 486,338
Bassett Furniture Industries, Inc. ...................... 90,250 2,047,547
*Bay Networks, Inc. ...................................... 13,631 364,629
Bay View Capital Corp. .................................. 49,000 2,033,500
*Bayou Steel Corp. Class A ............................... 76,100 214,031
*Be Aerospace, Inc. ...................................... 126,100 2,908,181
Bearings, Inc. .......................................... 17,100 472,388
*Beazer Homes USA, Inc. .................................. 76,200 1,228,725
*Bel Fuse, Inc. .......................................... 38,500 486,063
*Belden & Blake Corp. .................................... 76,300 1,936,113
*Bell Industries, Inc. ................................... 61,135 1,237,984
*Bell Microproducts, Inc. ................................ 59,300 466,988
*Bell Sports Corp. ....................................... 148,500 937,406
*Bellwethwer Exporation Co. .............................. 65,600 508,400
*Ben & Jerry's Homemade, Inc. Class A ................... 47,700 611,156
*Ben Franklin Retail Stores, Inc. ........................ 47,331 4,733
*Berlitz International, Inc. ............................. 79,100 1,522,675
*Bertuccis, Inc. ......................................... 62,100 337,669
Bindley Western Industries, Inc. ........................ 77,800 1,380,950
Binks Manufacturing Co. ................................. 30,918 865,704
*Bird Corp. .............................................. 18,800 101,050
Birmingham Steel Corp. .................................. 214,500 3,780,563
*Biscayne Apparel, Inc. .................................. 2,093 1,962
*Black Hawk Gaming &
Development, Inc. ....................................... 17,400 104,400
Blair Corp. ............................................. 77,100 1,513,088
Blessings Corp. ......................................... 20,000 196,250
*Blowout Entertainment, Inc. ............................. 7,554 28,799
*Bluegreen Corp. ......................................... 138,398 397,894
Bob Evans Farms, Inc. ................................... 81,700 1,072,313
*Bombay Co., Inc. ........................................ 359,100 1,705,725
*Bon-Ton Stores, Inc. .................................... 106,900 614,675
*Boomtown, Inc. .......................................... 68,600 450,188
*Borland International, Inc. ............................. 79,800 645,881
*Borror Corp. ............................................ 41,000 184,500
Bowl America, Inc. Class A .............................. 35,000 236,250
Bowne & Co., Inc. ....................................... 112,616 2,759,092
*#Bradlees, Inc. .......................................... 62,100 62,100
*Brauns Fashions Corp. ................................... 22,200 154,013
Brenton Banks, Inc. ..................................... 715 18,143
*Brite Voice Systems, Inc. ............................... 2,000 29,000
*Brock International, Inc. ............................... 12,700 40,481
*Brookstone, Inc. ........................................ 46,800 482,625
*Brothers Gourmet Coffees, Inc. .......................... 94,000 246,750
*Brown & Sharpe Manufacturing Co. Class A ............... 50,700 728,813
Brown Group, Inc. ....................................... 147,200 2,796,800
Brush Wellman, Inc. ..................................... 127,900 2,142,325
*Buckhead America Corp. .................................. 5,700 34,913
*Buffton Corp. ........................................... 41,800 95,356
*Builders Transport, Inc. ................................ 42,900 128,700
*Bull Run Corp. GA ....................................... 37,900 85,275
11
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Burlington Coat Factory Warehouse Corp. ................ 319,300 $3,831,600
*Burr Brown Corp. ........................................ 46,200 1,195,425
*Butler International, Inc. .............................. 23,200 226,200
*Buttrey Food & Drug Stores Co. .......................... 59,600 491,700
CFX Corp. ............................................... 50,663 759,945
CML Group, Inc. ......................................... 296,600 1,186,400
CPB, Inc. ............................................... 33,900 1,004,288
CPI Corp. ............................................... 100,800 1,713,600
*CSP, Inc. ............................................... 29,200 237,250
*CSS Industries, Inc. .................................... 17,900 431,838
CTS Corp. ............................................... 32,100 1,271,963
CU Bancorp .............................................. 46,200 522,638
Cabot Oil & Gas Corp. Class A ........................... 109,700 1,947,175
Cadmus Communications Corp. ............................. 54,000 894,375
*Calcomp Technology, Inc. ................................ 25,200 71,663
*#Caldor Corp. ............................................ 111,100 180,538
California Financial Holding Corp. ...................... 38,830 1,130,924
*California Microwave, Inc. .............................. 28,300 424,500
Calmat Co. .............................................. 182,800 3,336,100
*Calumet Bancorp, Inc. ................................... 18,000 605,250
*Cambridge Soundworks, Inc. .............................. 20,000 100,000
*Campo Eletronics, Appliances & Computers, Inc. ......... 43,900 65,850
*Canandaigua Wine Co., Inc.
Class A ................................................. 29,300 787,438
*Canisco Resources, Inc. ................................. 5,700 27,788
Cape Cod Bank & Trust Co. ............................... 11,200 263,900
*Capital Pacific Holdings, Inc. .......................... 5,000 12,500
Capital Re Corp. ........................................ 116,100 4,455,338
Capitol American Financial Corp. ........................ 113,400 4,110,750
Capitol Bancorp, Ltd. ................................... 31,570 509,066
Capsure Holdings Corp. .................................. 123,600 1,174,200
Cardinal Health, Inc. ................................... 12,062 1,008,685
*Cardinal Realty Services, Inc. .......................... 5,400 112,725
*Cardiotech International, Inc. .......................... 20,172 50,430
*Care Group, Inc. ........................................ 71,130 124,478
*Carmike Cinemas, Inc. Class A ........................... 42,400 1,155,400
Carnegie Bancorp ........................................ 5,900 116,525
Carolina First Corp. .................................... 22,102 429,608
Carpenter Technology Corp. .............................. 117,600 4,174,800
*Carr-Gottstein Foods Co. ................................ 100,657 364,882
*Carson Pirie Scott & Co. ................................ 97,900 2,533,163
Carter-Wallace, Inc. .................................... 237,800 3,715,625
*Carver Corp. WA ......................................... 12,900 41,119
Cash America International, Inc. ........................ 200,100 1,575,788
*Casino Magic Corp. ...................................... 34,600 98,394
*Catalina Lighting, Inc. ................................. 85,700 428,500
*Catherines Stores Corp. ................................. 53,600 308,200
Cato Corp. Class A ...................................... 172,700 841,913
*Cayenne Software, Inc. .................................. 52,100 229,566
*Celadon Group, Inc. ..................................... 100,000 1,006,250
*Celebrity, Inc. ......................................... 42,700 144,113
*Cell Genesys, Inc. ...................................... 35,500 241,844
*#Cellstar Corp. .......................................... 15,200 179,550
Cenfed Financial Corp. .................................. 36,520 1,104,730
Cenit Bancorp, Inc. ..................................... 13,300 525,350
*Centennial Cellular Corp. Class A ....................... 139,800 1,633,913
Center Banks, Inc. ...................................... 9,300 155,194
*Centigram Communications Corp. .......................... 44,800 632,800
Central & Southern Holding Co. .......................... 14,700 144,244
Central Co-Operative Bank
Somerville, MA .......................................... 13,200 234,300
Central Reserve Life Corp. .............................. 26,600 202,825
*Central Sprinkler Corp. ................................. 29,200 543,850
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Central Tractor Farm & Country, Inc. ................... 13,000 $ 182,000
*Cephalon, Inc. .......................................... 48,600 850,500
*Ceradyne, Inc. .......................................... 11,100 81,169
Chaparral Steel Co. ..................................... 206,400 2,657,400
*Charming Shoppes, Inc. .................................. 516,600 2,615,288
*Chart House Enterprises, Inc. ........................... 65,500 352,063
Charter Power Systems, Inc. ............................. 12,000 322,500
*Check Technology Corp. .................................. 7,600 66,500
*Checkers Drive-In Restaurant, Inc. ...................... 100 133
*Chemfab Corp. ........................................... 16,050 228,713
*Chempower, Inc. ......................................... 7,300 40,606
*Cherry Corp. Class A .................................... 48,700 541,788
*Cherry Corp. Class B .................................... 32,500 345,313
Chesapeake Corp. ........................................ 18,800 573,400
Chester Valley Bancorp .................................. 606 11,666
*Chic by His, Inc. ....................................... 73,200 347,700
Chicago Rivet & Machine Co. ............................. 5,900 184,375
*Children's Discovery Centers of America, Inc. Class A .. 55,800 313,875
*Chips & Technologies, Inc. .............................. 5,700 119,700
Chittenden Corp. ........................................ 30,820 780,131
*Chock Full O' Nuts Corp. ................................ 107,323 496,369
*Christiana Companies, Inc. .............................. 60,000 1,485,000
*#Cincinnati Microwave, Inc. .............................. 22,000 18,563
*Cinergi Pictures Entertainment, Inc. .................... 61,700 123,400
*Circon Corp. ............................................ 26,500 428,969
*Circuit Systems, Inc. ................................... 35,900 166,038
*Citadel Holding Corp. ................................... 40,200 108,038
*Citation Computer System, Inc. .......................... 11,200 111,300
*Citation Corp. .......................................... 66,000 655,875
Citfed Bancorp, Inc. .................................... 28,600 1,326,325
Citizens Bancorp MD ..................................... 99,900 5,756,738
Citizens Banking Corp. .................................. 27,100 829,938
City National Corp. ..................................... 6,600 136,950
*Civic Bancorp ........................................... 33,200 346,525
*Clean Harbors, Inc. ..................................... 66,000 148,500
Cleveland Cliffs, Inc. .................................. 131,300 5,810,025
*Cliffs Drilling Co. ..................................... 28,210 1,459,868
*Coast Distribution System ............................... 37,600 148,050
*Coast Savings Financial, Inc. ........................... 121,000 4,295,500
Coastal Bancorp, Inc. ................................... 35,200 866,800
*Coastal Physician Group, Inc. ........................... 161,000 603,750
*Cobra Electronic Corp. .................................. 42,400 132,500
Coca Cola Bottling Co.
Consolidated ............................................ 9,700 447,413
*Code Alarm, Inc. ........................................ 23,200 89,900
Coeur d'Alene Mines Corp. ID ............................ 54,500 797,063
*Coherent, Inc. .......................................... 36,800 1,584,700
*Coho Energy, Inc. ....................................... 83,700 638,213
Collagen Corp. .......................................... 50,300 1,009,144
Collective Bancorp, Inc. ................................ 43,600 1,547,800
*Collins Industries, Inc. ................................ 12,500 70,703
*Columbia Banking System, Inc. ........................... 26,040 410,130
*Columbus Energy Corp. ................................... 16,700 175,350
*Comdial Corp. ........................................... 62,000 430,125
Commerce Bancorp, Inc. .................................. 13,230 383,670
Commercial Bancshares, Inc. ............................. 22,900 352,088
Commercial Federal Corp. ................................ 52,863 2,557,248
Commercial Intertech Corp. .............................. 59,500 617,313
Commercial Metals Co. ................................... 102,800 3,276,750
*Communications Central, Inc. ............................ 57,200 411,125
Community Bank System, Inc. ............................. 26,500 1,036,813
Community Bankshares, Inc. NH ........................... 20,500 410,000
Community First Bankshares, Inc. ........................ 16,700 455,075
12
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Community Psychiatric Centers ........................... 345,800 $3,112,200
Computer Data Systems, Inc. ............................. 18,700 603,075
*Computer Outsourcing Services, Inc. .................... 21,800 68,125
*Computrac, Inc. ......................................... 25,900 51,800
*Comshare, Inc. .......................................... 14,250 209,297
*Comstock Resources, Inc. ................................ 14,000 177,625
*Comtech Telecommunications Corp. ....................... 19,600 60,638
*Concord Fabrics, Inc. Class A ........................... 15,900 95,400
*Cone Mills Corp. NC ..................................... 180,000 1,507,500
*Conmed Corp. ............................................ 961 16,938
*Continental Can, Inc. DE ................................ 32,400 449,550
Continental Homes Holding Corp. ......................... 58,248 1,194,084
*Continental Materials Corp. ............................. 2,300 48,875
*Control Data Systems, Inc. .............................. 81,800 1,620,663
*Convest Energy Corp. .................................... 10,000 60,000
Cooker Restaurant Corp. ................................. 150,000 1,668,750
*Cooperative Bankshares, Inc. ............................ 10,400 211,900
*Coram Healthcare Corp. .................................. 34,300 150,063
Core Industries, Inc. ................................... 72,400 1,049,800
*Core, Inc. .............................................. 7,400 72,150
*Cornerstone Imaging, Inc. ............................... 72,000 639,000
*Corrpro Companies, Inc. ................................. 48,800 390,400
*Cortech, Inc. ........................................... 71,900 123,578
*Cosmetic Centers, Inc. Class A .......................... 18,900 115,763
*Cosmetic Centers, Inc. Class B .......................... 15,600 96,525
Courier Corp. ........................................... 15,600 212,550
*Cover-All Technologies, Inc. ............................ 50,000 60,938
*Craig Corp. ............................................. 37,300 536,188
*Criticare Systems, Inc. ................................. 49,100 121,216
*Crop Growers Corp. ...................................... 17,300 120,019
Cross (A.T.) Co. Class A ................................ 10,000 110,000
*Crosscomm Corp. ......................................... 58,500 343,688
*Crown Books Corp. ....................................... 20,300 208,075
*Crown Central Petroleum Corp. Class A .................. 32,000 456,000
*Crown Central Petroleum Corp. Class B .................. 41,400 543,375
Crown Crafts, Inc. ...................................... 78,300 724,275
*Crown Vantage, Inc. ..................................... 4,820 44,585
*Crown-Andersen, Inc. .................................... 10,800 64,800
*Cruise America, Inc. .................................... 42,100 228,919
Cubic Corp. ............................................. 74,250 1,568,531
*Culbro Corp. ............................................ 18,700 1,065,900
Culp, Inc. .............................................. 8,100 124,538
Curtiss-Wright Corp. .................................... 25,100 1,269,119
*Cyberoptics Corp. ....................................... 20,800 240,500
*Cybex International, Inc. ............................... 42,300 407,138
*Cygne Designs, Inc. ..................................... 59,100 55,406
*Cyrk, Inc. .............................................. 73,000 917,063
*Cytrx Corp. ............................................. 14,000 48,563
*D&N Financial Corp. ..................................... 49,700 767,244
*DBA Systems, Inc. ....................................... 31,700 190,200
*DII Group, Inc. ......................................... 43,400 1,068,725
*DIY Home Warehouse, Inc. ................................ 300 1,350
*DM Management Co. ....................................... 32,300 109,013
DS Bancor, Inc. ......................................... 28,801 1,224,043
*DSP Technology, Inc. .................................... 13,600 64,600
DT Industries, Inc. ..................................... 50,000 1,746,875
*DVI, Inc. ............................................... 11,800 153,400
*Dairy Mart Convenience Stores, Inc. Class A ............ 9,000 44,438
*Daka International, Inc. ................................ 31,300 293,438
*Damark International, Inc. Class A ...................... 56,800 511,200
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Dames & Moore, Inc. ..................................... 149,300 $2,034,213
Daniel Industries, Inc. ................................. 145,700 2,039,800
*Danskin, Inc. ........................................... 29,600 75,850
Dart Group Corp. Class A ................................ 5,600 544,600
*Data Broadcasting Corp. ................................. 33,870 266,726
*Data General Corp. ...................................... 189,700 2,774,363
*Data I/O Corp. .......................................... 35,100 168,919
*Data Race, Inc. ......................................... 29,800 504,738
*Data Systems & Software, Inc. ........................... 49,300 249,581
*Data Translation, Inc. .................................. 33,000 371,250
*Dataflex Corp. .......................................... 36,500 100,375
*Datakey, Inc. ........................................... 19,100 82,369
*Dataram Corp. ........................................... 26,600 206,150
*Datascope Corp. ......................................... 12,000 225,000
*Dataware Technologies, Inc. ............................. 47,000 170,375
*Datron Systems, Inc. .................................... 19,200 183,600
*Datum, Inc. ............................................. 27,000 354,375
*Davco Restaurants, Inc. ................................. 42,800 387,875
*Dave and Busters, Inc. .................................. 2,140 44,138
*Dawson Geophysical Co. .................................. 27,500 254,375
*Daxor Corp. ............................................. 32,400 437,400
*DeGeorge Financial Corp. ................................ 19,900 27,984
Deb Shops, Inc. ......................................... 86,800 396,025
*Deckers Outdoor Corp. ................................... 65,400 572,250
Decorator Industries, Inc. .............................. 13,333 138,330
Defiance, Inc. .......................................... 50,200 326,300
*Deflecta-Shield Corp. ................................... 32,000 276,000
*Del Electronics Corp. ................................... 18,231 160,661
*Delaware Ostego Corp. ................................... 1,157 11,715
Delchamps, Inc. ......................................... 55,100 1,150,213
*Delphi Financial Group, Inc.
Class A ................................................. 12,000 339,000
Delta Natural Gas Co., Inc. ............................. 6,600 124,575
Delta Woodside Industries, Inc. ......................... 201,500 1,209,000
*Designs, Inc. ........................................... 124,600 837,156
*Detection Systems, Inc. ................................. 20,000 366,250
*Detrex Corp. ............................................ 2,800 18,200
*Detroit Diesel Corp. .................................... 26,800 529,300
*Devcon International Corp. .............................. 33,600 220,500
*Devlieg-Bullard, Inc. ................................... 5,000 12,031
*Dianon Systems, Inc. .................................... 40,000 320,000
*Digital Sound Corp. ..................................... 25,000 50,781
*Digital Systems International, Inc. ..................... 31,100 472,331
Dime Financial Corp. .................................... 38,900 695,338
*#Discovery Zone, Inc. .................................... 22,400 8,400
*Dixie Yarns, Inc. ....................................... 77,900 516,088
*Dixon Ticonderoga Co. ................................... 21,750 154,969
*Dominion Bridge Corp. ................................... 45,000 116,719
Donegal Group, Inc. ..................................... 27,900 540,563
Donnelly Corp. Class A .................................. 62,600 1,345,900
*Dotronix, Inc. .......................................... 1,000 1,172
Downey Financial Corp. .................................. 142,335 4,092,131
*Dress Barn, Inc. ........................................ 160,423 2,296,054
*Drug Emporium, Inc. ..................................... 91,300 370,906
*Drypers Corp. ........................................... 49,400 228,475
*Durakon Industries, Inc. ................................ 37,900 459,538
Duty Free International, Inc. ........................... 51,700 814,275
Dyersburg Corp. ......................................... 98,200 589,200
Dynamics Corp. of America ............................... 38,300 1,091,550
*Dynamics Research Corp. ................................. 41,840 410,555
*Dynatech Corp. .......................................... 41,800 1,964,600
*E-Z-Em, Inc. Class A .................................... 24,800 274,350
*E-Z-Em, Inc. Class B .................................... 1,443 15,512
*EA Engineering Science &
Technology, Inc. ........................................ 43,825 87,650
13
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*ECC International Corp. ................................. 38,700 $ 314,438
*ELXSI Corp. ............................................. 27,900 146,475
EMC Insurance Group, Inc. ............................... 33,600 390,600
*ERO, Inc. ............................................... 8,800 58,300
*ESCO Electronics Corp. Trust Receipts .................. 92,800 904,800
Eagle Bancshares, Inc. .................................. 38,400 571,200
Eagle Financial Corp. ................................... 30,837 928,965
*Eagle Food Centers, Inc. ................................ 74,300 325,063
*Eagle Hardware & Garden, Inc. ........................... 129,400 3,137,950
Eastern Bancorp, Inc. ................................... 25,800 577,275
Eastern Co. ............................................. 19,600 264,600
Eaton Vance Corp. ....................................... 64,923 2,791,689
Ecology & Environment, Inc.
Class A ................................................. 15,000 141,563
*#Edison Brothers Stores, Inc. ............................ 44,500 61,188
*Edisto Resources Corp. .................................. 102,200 932,575
*Edo Corp. ............................................... 18,600 134,850
*Education Alternatives, Inc. ............................ 48,700 206,975
*Educational Insights, Inc. .............................. 49,300 123,250
*Egghead, Inc. ........................................... 130,500 807,469
Ekco Group, Inc. ........................................ 214,300 723,263
*El Chico Restaurants, Inc. .............................. 40,900 316,975
Elcor Corp. ............................................. 15,700 333,625
Eldorado Bancorp CA ..................................... 16,910 348,769
*Electro Rent Corp. ...................................... 39,000 916,500
*Electro Scientific Industries, Inc. ..................... 51,700 1,266,650
*Electroglas, Inc. ....................................... 147,500 2,581,250
*Electromagnetic Sciences, Inc. .......................... 66,350 1,368,469
*Electronic Fab Technology, Inc. ......................... 27,400 94,188
*#Elek-Tek, Inc. .......................................... 42,400 193,450
*Emcon ................................................... 86,700 335,963
*Emisphere Technologies, Inc. ............................ 17,000 263,500
*Empire of Carolina, Inc. ................................ 17,550 114,075
*Emulex Corp. ............................................ 11,750 196,813
Energen Corp. ........................................... 116,300 3,154,638
Engineered Support Systems, Inc. ........................ 24,500 255,719
Engle Homes, Inc. ....................................... 53,800 443,850
Enhance Financial Services Group, Inc. ................. 141,100 4,832,675
*Ensys Environmental Products, Inc. ...................... 45,000 84,375
*Environmental Elements Corp. ............................ 30,300 75,750
*Enviroq Corp. ........................................... 2,420 3,479
*Envirotest Systems Corp. Class A ........................ 98,100 223,791
*Equinox Systems, Inc. ................................... 21,000 245,438
*Equitex, Inc. ........................................... 9,400 22,325
*Equitrac Corp. .......................................... 23,700 248,850
*Equity Oil Co. .......................................... 122,000 400,313
Espey Manufacturing & Electronics Corp. ................ 3,500 59,063
*Esterline Technologies Corp. ............................ 43,400 1,101,275
Ethan Allen Interiors, Inc. ............................. 100,000 3,325,000
*Evans & Sutherland Computer Corp. ...................... 59,800 1,517,425
*Evans Systems, Inc. ..................................... 19,700 98,500
*Evans, Inc. ............................................. 20,800 40,300
Evergreen Bancorp, Inc. DE .............................. 62,800 1,008,725
*Evergreen Resources, Inc. ............................... 39,000 255,938
*Exabyte Corp. ........................................... 400 5,825
*Exar Corp. .............................................. 63,500 1,004,094
Excel Industries, Inc. .................................. 85,900 1,288,500
*Executone Information Systems, Inc. .................... 78,600 203,869
Exide Corp. ............................................. 145,000 3,697,500
*Exide Electronics Group, Inc. ........................... 146,000 1,587,750
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Express America Holdings Corp. .......................... 33,600 $ 218,400
*Ezcorp, Inc. Class A Non-Voting ......................... 51,500 395,906
FCB Financial Corp. ..................................... 16,000 304,000
FDP Corp. ............................................... 7,000 98,875
FFLC Bancorp ............................................ 18,600 369,675
FFY Financial Corp. ..................................... 35,400 909,338
*FM Properties, Inc. ..................................... 9,600 28,200
*FNB Rochester Corp. ..................................... 26,000 320,125
*FPA Corp. ............................................... 20,100 21,356
*FSI International, Inc. ................................. 87,500 1,274,219
*FTP Software, Inc. ...................................... 12,000 94,500
Fab Industries, Inc. .................................... 41,081 1,098,917
*Fabri-Centers of America, Inc.
Class A ................................................. 35,700 553,350
*Fabri-Centers of America, Inc.
Class B ................................................. 35,700 522,113
*Failure Group, Inc. ..................................... 59,100 347,213
*Fairchild Corp. Class A ................................. 90,900 1,511,213
*#Fairfield Communities, Inc. ............................. 66,300 1,624,350
Family Bancorp .......................................... 27,550 967,694
*Fansteel, Inc. .......................................... 74,700 494,888
*Farah, Inc. ............................................. 69,000 457,125
Farmer Brothers Co. ..................................... 84 12,726
*Farr Co. ................................................ 23,200 406,000
Farrel Corp. ............................................ 40,800 117,300
Federal Screw Works ..................................... 2,000 56,500
*Fibreboard Corp. ........................................ 20,200 699,425
Fidelity Bancorp, Inc. Delaware ......................... 23,600 402,675
*Fieldcrest Cannon, Inc. ................................. 104,600 1,503,625
*Fifty-Off Stores, Inc. .................................. 42,600 7,322
*Figgie International, Inc. Class B ...................... 17,700 202,444
*Filenes Basement Corp. .................................. 196,900 966,041
First Albany Companies, Inc. ............................ 26,183 242,193
*First Alert, Inc. ....................................... 59,900 235,856
First American Financial Corp. .......................... 90,800 3,325,550
*First Cash, Inc. ........................................ 27,600 146,625
First Central Financial Corp. ........................... 49,600 189,100
First Citizens Bancshares, Inc. NC ...................... 30,400 2,416,800
*First Citizens Financial Corp. .......................... 20,716 385,836
First Defiance Financial Corp. .......................... 22,700 278,075
First Essex Bancorp ..................................... 42,800 593,850
First Federal Capital Corp. ............................. 43,740 1,027,890
First Federal Savings & Loan
Association of East Hartford, CT ........................ 17,600 404,800
First Financial Corp. WI ................................ 12,000 356,250
First Financial Corp. of Western Maryland .............. 15,000 478,125
First Financial Holdings, Inc. .......................... 42,700 1,008,788
First Indiana Corp. ..................................... 37,618 959,259
First Liberty Financial Corp. ........................... 47,850 998,869
*First Merchants Acceptance Corp. ........................ 24,000 499,500
First Mississippi Corp. ................................. 40,100 1,157,888
First Northern Capital Corp. ............................ 30,300 515,100
First Oak Brook Bancshares, Inc. Class A ............... 14,500 311,750
First Palm Beach Bancorp, Inc. .......................... 36,800 926,900
*First Republic Bancorp, Inc. ............................ 51,303 917,041
First Savings Bancorp, Inc. North Carolina ............. 27,300 505,050
First Southeast Financial Corp. ......................... 27,800 283,213
First State Financial Services, Inc. .................... 10,300 160,294
First Union Corp. ....................................... 49,979 3,817,181
First Western Bancorp, Inc. ............................. 12,800 344,000
*FirstFed Financial Corp. DE ............................. 95,700 2,284,838
Firstbank of Illinois Co. ............................... 1,200 40,950
14
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Firstfed Bancshares, Inc. ............................... 32,550 $ 549,281
*Fischer Imaging Corp. ................................... 21,600 144,450
Fleming Companies, Inc. ................................. 78,297 1,282,113
Flexsteel Industries, Inc. .............................. 56,700 730,013
Florida Rock Industries, Inc. ........................... 64,700 1,989,525
*Florsheim Shoe Co. ...................................... 30,100 142,975
Fluke Corp. ............................................. 48,310 2,083,369
*Fluor Daniel/GTI, Inc. .................................. 15,822 136,465
*Foilmark, Inc. .......................................... 23,200 58,000
*Foodarama Supermarkets, Inc. ............................ 2,400 33,600
*Foodbrands America, Inc. ................................ 88,200 1,168,650
*Foothill Independent Bancorp ............................ 30,220 324,865
Forest City Enterprises, Inc.
Class A ................................................. 31,700 1,693,969
*Foster (L.B.) Co. Class A ............................... 69,000 282,469
*Four Kids Entertainment, Inc. ........................... 17,000 23,375
*#Foxmeyer Health Corp. ................................... 189,340 426,015
Franklin Bank National Associaton Southfield, MI ....... 3,600 43,875
Freds, Inc. Class A ..................................... 88,500 802,031
Fremont General Corp. ................................... 199,590 6,212,051
*Fresh Choice, Inc. ...................................... 55,200 276,000
Friedman Industries, Inc. ............................... 46,974 281,844
Frisch's Restaurants, Inc. .............................. 48,506 654,826
*Funco, Inc. ............................................. 34,300 282,975
*Fuqua Enterprises, Inc. ................................. 35,000 844,375
Furon Co. ............................................... 9,900 201,713
*G-III Apparel Group, Ltd. ............................... 50,600 143,894
GBC Bancorp ............................................. 48,200 1,367,675
*GNI Group, Inc. ......................................... 42,700 277,550
*GTI Corp. ............................................... 25,700 138,138
*GZA Geoenvironmental
Technologies, Inc. ...................................... 36,500 114,063
*Galey & Lord, Inc. ...................................... 105,400 1,370,200
*Galileo Electro-Optics Corp. ............................ 28,900 697,213
Gamma Biologicals, Inc. ................................. 45,500 142,188
*Gantos, Inc. ............................................ 52,950 196,908
Garan, Inc. ............................................. 58,000 1,036,750
*Garnet Resources Corp. .................................. 44,600 17,422
*Gasonics International, Inc. ............................ 7,200 78,300
*Gehl Co. ................................................ 40,600 340,025
*#General Host Corp. ...................................... 153,658 537,803
General Housewares Corp. ................................ 38,700 387,000
*General Microwave Corp. ................................. 400 1,950
General Physics Corp. ................................... 22,900 94,463
*Genesco, Inc. ........................................... 138,000 1,397,250
*Genicom Corp. ........................................... 49,100 194,866
*Genlyte Group, Inc. ..................................... 85,500 769,500
Genovese Drug Stores, Inc.
Class A ................................................. 7,500 131,250
*Genus, Inc. ............................................. 99,900 686,813
George Mason Bankshares, Inc. ........................... 15,000 341,250
Gerber Scientific, Inc. ................................. 59,200 917,600
*Getchell Gold Corp. ..................................... 2,844 111,272
Getty Petroleum Corp. ................................... 1,000 16,000
*Giant Group, Ltd. ....................................... 50,600 423,775
Giant Industries, Inc. .................................. 104,200 1,589,050
*Gibraltar Packaging Group, Inc. ......................... 43,200 156,600
*Gibson Greetings, Inc. .................................. 120,700 2,293,300
Giddings & Lewis, Inc. .................................. 254,600 2,959,725
*Giga-Tronics, Inc. ...................................... 19,900 166,663
Gilbert Associates, Inc.
Class A ................................................. 72,900 984,150
*Gish Biomedical, Inc. ................................... 28,800 190,800
Gleason Corp. ........................................... 17,700 522,150
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Golden Books Family
Entertainment, Inc. ..................................... 54,000 $ 617,625
Golden Poultry Co., Inc. ................................ 74,950 768,238
*Good Guys, Inc. ......................................... 218,300 1,760,044
Gorman-Rupp Co. ......................................... 9,100 126,263
*Gottschalks, Inc. ....................................... 70,700 477,225
*#Government Technology Services, Inc. ................... 49,200 304,425
*Gradco Systems, Inc. .................................... 78,000 277,875
*Graham Corp. ............................................ 3,450 35,578
Graham-Field Health Products, Inc. ...................... 92,400 750,750
Grand Premier Financial, Inc. ........................... 54,907 583,387
Granite Construction, Inc. .............................. 87,150 1,775,681
Granite State Bankshares, Inc. .......................... 15,200 336,300
*Grant Geophysical, Inc. ................................. 21,600 4,725
Graphic Industries, Inc. ................................ 87,500 792,969
*Greater New York Savings Bank NY ....................... 87,600 1,160,700
Green (A.P.) Industries, Inc. ........................... 55,594 548,991
Greenbrier Companies, Inc. .............................. 189,900 1,827,788
*Greyhound Lines, Inc. ................................... 218,000 844,750
*Grist Mill & Co. ........................................ 50,000 296,875
*Grossmans, Inc. ......................................... 202,300 221,266
*Ground Round Restaurants, Inc. .......................... 78,700 197,980
*Group Technologies Corp. ................................ 105,000 196,875
Grovebank for Savings ................................... 11,200 550,200
Guaranty National Corp. ................................. 32,805 545,383
Guilford Mills, Inc. .................................... 93,400 2,393,375
*Gulfmark International, Inc. ............................ 11,100 610,500
*Gundle/SLT Environmental, Inc. .......................... 182,900 1,165,988
HBO & Co. ............................................... 9,698 552,180
HF Financial Corp. ...................................... 22,800 379,050
*HMG Worldwide Corp. ..................................... 50,700 71,297
HMI Industries, Inc. .................................... 9,000 48,375
*HMN Financial, Inc. ..................................... 36,200 653,863
*HPSC, Inc. .............................................. 42,000 265,125
*HS Resources, Inc. ...................................... 75,400 1,281,800
HUBCO, Inc. ............................................. 635 15,558
*Hadco Corp. ............................................. 22,500 1,044,844
Haggar Corp. ............................................ 66,400 1,182,750
*Hahn Automotive Warehouse, Inc. ......................... 37,256 316,676
*Hallwood Group, Inc. .................................... 2,075 29,569
*Hampshire Group, Ltd. ................................... 19,100 248,300
*Hampton Industries, Inc. ................................ 24,690 129,623
*Handex Environmental Recovery, Inc. .................... 49,800 591,375
Handleman Co. ........................................... 261,436 2,156,847
*Hanger Orthopedic Group, Inc. ........................... 55,600 333,600
*Harding Lawson Associates Group, Inc. .................. 31,800 210,675
Harleysville Group, Inc. ................................ 90,700 2,789,025
*Harlyn Products, Inc. ................................... 22,200 13,875
Harris Savings Bank PA .................................. 2,000 36,500
*Harry's Farmers Market, Inc.
Class A ................................................. 27,900 99,394
*Hartmarx Corp. .......................................... 349,000 1,832,250
*Harvey Entertainment Co. ................................ 6,400 45,200
Harvey's Casino Resorts ................................. 100,800 1,675,800
Haskel International, Inc. .............................. 14,600 114,063
Hastings Manufacturing Co. .............................. 850 21,675
*Hathaway Corp. .......................................... 30,400 119,700
*Hauser Chemical Research, Inc. .......................... 73,000 428,875
Haven Bancorp, Inc. ..................................... 30,800 860,475
Haverty Furniture Co., Inc. ............................. 105,100 1,379,438
*Hawthorne Financial Corp. ............................... 18,700 148,431
15
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Hays Wheels International, Inc. ......................... 11,950 $ 409,288
Health Images, Inc. ..................................... 77,800 1,215,625
*Health O Meter Products, Inc. ........................... 67,500 409,219
*Health Risk Management, Inc. ............................ 15,300 226,631
*Healthcare Services Group, Inc. ......................... 74,000 721,500
Hechinger Co. Class A ................................... 233,100 626,456
Hechinger Co. Class B ................................... 38,900 167,756
*Hector Communications Corp. ............................. 8,500 63,750
Heico Corp. ............................................. 17,768 355,360
*Hein-Werner Corp. ....................................... 17,987 113,543
*Heist (C.H.) Corp. ...................................... 16,800 138,600
*Herley Industries, Inc. ................................. 15,400 196,350
*Hexcel Corp. ............................................ 11,100 201,188
*Hi-Lo Automotive, Inc. .................................. 126,700 332,588
*Hi-Shear Industries, Inc. ............................... 53,500 146,296
*High Plains Corp. ....................................... 46,400 247,950
*Hitox Corp. ............................................. 9,100 23,319
Hoenig Group, Inc. ...................................... 64,300 281,313
*Holiday RV Superstores, Inc. ............................ 42,400 69,563
*Hologic, Inc. ........................................... 19,600 482,650
*Holopak Technologies, Inc. .............................. 27,800 90,350
Home Beneficial Corp. Class B ........................... 60,500 1,535,188
Home Federal Bancorp .................................... 15,500 538,625
Home Port Bancorp, Inc. ................................. 13,100 223,519
*Home State Holdings, Inc. ............................... 57,000 438,188
*Homecorp, Inc. .......................................... 5,100 96,263
*Homeowners Group, Inc. .................................. 21,600 37,125
Hooper Holmes, Inc. ..................................... 38,800 611,100
Horizon Financial Corp. ................................. 23,600 321,550
*Hospital Staffing Services, Inc. ........................ 40,200 90,450
*Hosposable Products, Inc. ............................... 600 3,038
*Hovnanian Enterprises, Inc.
Class A ................................................. 139,784 821,231
#Howell Corp. ............................................ 34,200 487,350
Howell Industries, Inc. ................................. 1,600 65,200
Hudson Foods, Inc. Class A .............................. 237,150 4,327,988
Hudson General Corp. .................................... 2,500 90,625
Huffy Corp. ............................................. 100,200 1,377,750
Hughes Supply, Inc. ..................................... 13,000 559,000
*Hugoton Energy Corp. .................................... 25,000 271,875
Hunt (J.B.) Transportation Services, Inc. .............. 19,100 269,788
Hunt Manufacturing Co. .................................. 25,700 452,963
Huntco, Inc. Class A .................................... 12,000 187,500
*Hurco Companies, Inc. ................................... 9,700 52,138
*Hycor Biomedical, Inc. .................................. 71,700 255,431
*Hyde Athletic Industries, Inc.
Class A ................................................. 19,800 101,475
*Hyde Athletic Industries, Inc.
Class B ................................................. 30,000 142,500
ICO, Inc. ............................................... 90,700 595,219
*IEC Electronics Corp. ................................... 45,900 355,725
*IFR Systems, Inc. ....................................... 26,000 394,875
*Imo Industries, Inc. .................................... 20,900 70,538
*Imperial Bancorp ........................................ 91,819 2,060,189
*Imperial Holly Corp. .................................... 70,900 1,098,950
*In Focus Systems, Inc. .................................. 24,000 504,000
*In Home Health, Inc. .................................... 104,100 201,694
*Inacom Corp. ............................................ 68,000 2,112,250
*Inco Homes Corp. ........................................ 940 397
*Incstar Corp. ........................................... 18,200 77,350
Independence Holding Co. ................................ 52,600 443,813
Independent Bank Corp. MA ............................... 61,200 577,575
Independent Bank East ................................... 8,820 300,983
Indiana Federal Corp. ................................... 31,950 702,900
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Industrial Acoustics Co., Inc. .......................... 700 $ 7,088
*Industrial Training Corp. ............................... 16,400 73,800
*Information Resources, Inc. ............................. 65,600 750,300
#Ingles Market, Inc. Class A ............................. 40,900 593,050
*Innodata Corp. .......................................... 11,600 16,675
*Innoserv Technologies, Inc. ............................. 13,700 40,244
Insituform East, Inc. ................................... 29,200 83,950
Insteel Industries, Inc. ................................ 56,300 450,400
Instron Corp. ........................................... 12,000 156,000
*Insurance Auto Auctions, Inc. ........................... 78,200 733,125
Integrated Health Services, Inc. ........................ 76,500 1,683,000
*Integrated Waste Services, Inc. ......................... 47,400 53,325
*Intellicall, Inc. ....................................... 49,500 241,313
Intelligent Electronics, Inc. ........................... 121,639 912,293
*Intelligent Systems Corp. ............................... 8,075 23,216
Inter-Regional Financial Group, Inc. .................... 85,650 3,008,456
*Interface Systems, Inc. ................................. 28,700 161,438
Interface, Inc. Class A ................................. 132,600 2,635,425
*Intergraph Corp. ........................................ 56,400 511,125
*Interlinq Software Corp. ................................ 40,800 195,075
*International Alliance Services, Inc. ................... 37,960 348,758
International Aluminum Corp. ............................ 33,600 865,200
*International Lottery & Totalizer
Systems, Inc. ........................................... 18,400 19,550
International Multifoods Corp. .......................... 212,500 3,346,875
International Shipholding Corp. ......................... 49,475 871,997
*#International Technology Corp. .......................... 69,025 698,878
*International Thoroughbred
Breeders, Inc. .......................................... 74,900 257,469
*Interphase Corp. ........................................ 15,200 170,050
Interpool, Inc. ......................................... 57,400 1,377,600
Interstate Johnson Lane, Inc. ........................... 9,100 119,438
*#Intertan, Inc. .......................................... 89,800 516,350
*Intervisual Books, Inc. Class A ......................... 9,900 15,778
Interwest Bancorp, Inc. ................................. 17,600 578,600
Investors Financial Services Corp. ...................... 5,408 148,044
Investors Financial Services Corp. Class A ............. 1,039 28,443
Investors Title Co. ..................................... 18,200 284,375
Isco, Inc. .............................................. 15,800 156,025
*Isolyser Co., Inc. ...................................... 22,000 178,750
*Isomedix, Inc. .......................................... 59,700 820,875
*Iwerks Entertainment, Inc. .............................. 97,300 626,369
*J & J Snack Foods Corp. ................................. 74,500 814,844
J & L Specialty Steel, Inc. ............................. 186,000 2,255,250
*JPE, Inc. ............................................... 20,100 153,263
JSB Financial, Inc. ..................................... 80,800 2,939,100
Jackpot Enterprises, Inc. ............................... 29,800 298,000
*Jaclyn, Inc. ............................................ 26,900 142,906
*Jaco Electronics, Inc. .................................. 30,446 268,305
Jacobson Stores, Inc. ................................... 58,650 564,506
*Jan Bell Marketing, Inc. ................................ 193,900 448,394
*Jason, Inc. ............................................. 30,000 213,750
*Jean Philippe Fragrances, Inc. .......................... 19,300 135,100
Jefferson Savings Bancorp, Inc. ......................... 30,000 708,750
John Alden Financial Corp. .............................. 169,500 2,987,438
*Johnson Worldwide Associates, Inc. Class A ............. 48,100 559,163
Johnston Industries, Inc. ............................... 67,925 534,909
*Johnstown American Industries, Inc. .................... 117,900 486,338
*Jones Intercable, Inc. Class A .......................... 71,000 763,250
*Joseph A. Bank Clothiers, Inc. .......................... 65,300 281,606
*Just Toys, Inc. ......................................... 14,000 22,750
Justin Industries, Inc. ................................. 174,300 1,841,044
16
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
K Swiss, Inc. Class A ................................... 30,400 $ 336,300
*K-Tron International, Inc. .............................. 6,300 67,331
*KBK Capital Corp. ....................................... 5,000 23,125
*KLLM Transport Services, Inc. ........................... 31,999 359,989
*Kaiser Ventures, Inc. ................................... 47,400 468,075
Kaman Corp. Class A ..................................... 120,300 1,503,750
Katy Industries, Inc. ................................... 58,500 811,688
Kaye Group, Inc. ........................................ 30,000 170,625
Keithley Instruments, Inc. .............................. 1,000 10,375
Kellwood Co. ............................................ 164,918 2,968,524
Kenan Transport Co. ..................................... 200 4,025
*Kentucky Electric Steel, Inc. ........................... 32,600 230,238
*Kerr Group, Inc. ........................................ 33,000 90,750
*Kewaunee Scientific Corp. ............................... 700 4,156
*#Key Energy Group, Inc. .................................. 40,000 485,000
*Key Production Co., Inc. ................................ 63,962 807,520
*Key Tronic Corp. ........................................ 58,100 504,744
*Keystone Consolidated Industries, Inc. ................. 68,286 503,609
*Kinark Corp. ............................................ 21,600 64,800
*Kinder-Care Learning Centers, Inc. ...................... 136,600 2,714,925
Kinetic Concepts, Inc. .................................. 3,900 48,263
*Kinnard Investment, Inc. ................................ 42,700 242,856
*Kit Manufacturing Co. ................................... 11,100 122,794
Knape & Vogt Manufacturing Co. .......................... 42,631 682,096
*Knogo North America, Inc. ............................... 20,200 117,413
*Koss Corp. .............................................. 17,000 107,313
*Krug International Corp. ................................ 35,400 163,725
*Krystal Co. ............................................. 24,000 142,500
*Kulicke & Soffa Industries, Inc. ........................ 32,500 662,188
LCS Industries, Inc. .................................... 13,200 171,600
LSB Industries, Inc. .................................... 99,500 460,188
LSI Industries, Inc. .................................... 13,230 155,453
*LTX Corp. ............................................... 128,500 754,938
*Laclede Steel Co. ....................................... 8,700 28,819
Ladd Furniture, Inc. .................................... 73,227 983,988
*Lamson & Sessions Co. ................................... 28,300 212,250
*Lancer Corp. ............................................ 10,800 160,650
*Laserscope .............................................. 61,000 335,500
Lawyers Title Corp. ..................................... 66,212 1,258,028
*Layne, Inc. ............................................. 29,600 410,700
*Lazare Kaplan International, Inc. ....................... 11,300 218,938
*Lechters, Inc. .......................................... 151,900 721,525
Lennar Corp. ............................................ 190,350 4,949,100
Liberty Bancorp, Inc. Delaware .......................... 18,000 436,500
Liberty Bancorp, Inc. Oklahoma .......................... 67,700 2,775,700
*Liberty Technologies, Inc. .............................. 39,000 112,125
Life Re Corp. ........................................... 72,800 2,684,500
*Life USA Holdings, Inc. ................................. 132,800 1,328,000
*Lifeline Systems, Inc. .................................. 19,500 330,281
*#Ligand Pharmaceuticals, Inc.
Class B ................................................. 25,497 307,558
Lillian Vernon Corp. .................................... 85,300 1,023,600
*Lindal Cedar Homes, Inc. ................................ 8,000 30,000
Lindberg Corp. .......................................... 33,100 326,863
*Littlefield, Adams & Co. ................................ 12,000 39,000
*Liuski International, Inc. .............................. 30,700 74,831
*#Live Entertainment, Inc. ................................ 6,740 26,118
*Living Centers of America, Inc. ......................... 92,000 2,334,500
*Lodgenet Entertainment Corp. ............................ 31,500 468,563
*#Logic Devices, Inc. ..................................... 31,400 101,069
*Longhorn Steaks, Inc. ................................... 19,500 387,563
*Loronix Information Systems, Inc. ....................... 13,800 62,963
*Louis Dreyfus Natural Gas Corp. ......................... 187,100 3,204,088
Lufkin Industries, Inc. ................................. 45,900 969,638
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Lukens, Inc. DE ......................................... 143,300 $2,633,138
*Luria & Son, Inc. ....................................... 35,400 101,775
*Lynch Corp. ............................................. 2,300 152,950
M A R C, Inc. ........................................... 3,335 72,536
*M-Wave, Inc. ............................................ 21,900 71,175
MAF Bancorp, Inc. ....................................... 61,077 2,091,887
#MDC Holdings, Inc. ...................................... 139,588 1,046,910
*MFRI, Inc. .............................................. 36,300 288,131
*MHM Services, Inc. ...................................... 712 356
*MI Schottenstein Homes, Inc. ............................ 61,800 610,275
*MK Gold Corp. ........................................... 140,100 210,150
*#MK Rail Corp. ........................................... 41,500 306,063
MMI Companies, Inc. ..................................... 9,100 280,963
*MRS Technology, Inc. .................................... 67,600 160,550
*MS Carriers, Inc. ....................................... 90,200 1,691,250
*MTI Technology Corp. .................................... 87,000 214,781
MTS Systems Corp. ....................................... 71,600 1,458,850
MYR Group, Inc. ......................................... 30,966 329,014
*Macheezmo Mouse Restaurants, Inc. ...................... 25,000 46,094
Magna Bancorp ........................................... 1,800 32,400
Magna Group, Inc. ....................................... 18,700 568,013
*Magnetek, Inc. .......................................... 156,000 1,950,000
*Mapinfo Corp. ........................................... 17,400 191,400
Marcus Corp. ............................................ 92,500 2,139,063
*Marine Drilling Companies, Inc. ......................... 83,300 1,332,800
*Mariner Health Group, Inc. .............................. 152,000 1,121,000
*Marisa Christina, Inc. .................................. 92,000 672,750
Maritrans, Inc. ......................................... 86,300 528,588
*Mark VII, Inc. .......................................... 9,900 279,675
*Marlton Technologies, Inc. .............................. 3,000 11,813
Marsh Supermarkets, Inc. Class A ........................ 25,200 302,400
Marsh Supermarkets, Inc. Class B ........................ 31,400 353,250
Maryland Federal Bancorp ................................ 28,665 947,737
Massbank Corp. Reading, MA .............................. 20,300 771,400
*Matec Corp. DE .......................................... 6,900 20,700
*Matlack Systems, Inc. ................................... 61,642 431,494
*Matria Healthcare, Inc. ................................. 22,800 141,075
*Matrix Pharmaceutical, Inc. ............................. 107,000 922,875
*Matrix Service Co. ...................................... 94,900 545,675
*Maverick Tube Corp. ..................................... 44,000 693,000
*Maxco, Inc. ............................................. 28,300 226,400
*Maxim Group, Inc. ....................................... 35,000 562,188
*Maxwell Technologies, Inc. .............................. 19,145 859,132
*Maxxam, Inc. ............................................ 66,100 3,048,863
*Maxxim Medical, Inc. .................................... 91,900 1,171,725
*Maynard Oil Co. ......................................... 34,500 511,031
McDonald & Co. Investment, Inc. ......................... 29,000 884,500
*McFarland Energy, Inc. .................................. 52,300 585,106
McGrath Rent Corp. ...................................... 40,000 1,020,000
McRae Industries, Inc. Class A .......................... 1,000 8,500
Medex, Inc. ............................................. 42,600 993,113
Medford Savings Bank MA ................................. 33,000 882,750
*Media Logic, Inc. ....................................... 20,100 87,938
*Medical Action Industries, Inc. ......................... 6,000 9,750
*Medical Graphics Corp. .................................. 15,800 79,000
*Medical Resources, Inc. ................................. 29,356 256,865
*Mediq, Inc. ............................................. 5,700 33,131
*Medstone International, Inc. ............................ 14,500 102,406
*Melamine Chemicals, Inc. ................................ 38,000 289,750
*Mem Co., Inc. ........................................... 5,300 38,756
*Mercer International, Inc. .............................. 55,100 657,756
Merchants Bancorp, Inc. ................................. 19,700 605,775
Merchants Group, Inc. ................................... 22,000 396,000
*Meridian Data, Inc. ..................................... 20,000 150,000
17
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Meridian Insurance Group, Inc. .......................... 47,000 $ 675,625
*Merisel, Inc. ........................................... 335,800 629,625
Merrimac Industries, Inc. ............................... 10,700 110,344
*Mesa Air Group, Inc. .................................... 287,100 2,853,056
*Mesaba Holdings, Inc. ................................... 27,100 359,075
*Mestek, Inc. ............................................ 13,500 219,375
*Metal Management, Inc. .................................. 15,900 63,600
*Metatec Corp. Class A ................................... 12,400 81,375
*Metrocall, Inc. ......................................... 165,000 897,188
*Metromedia International Group, Inc. ................... 60,000 727,500
*Meyerson (M.H.) & Co., Inc. ............................. 18,200 51,188
*Michael Anthony Jewelers, Inc. .......................... 68,800 215,000
Michael Foods, Inc. ..................................... 135,800 1,561,700
*#Michaels Stores, Inc. ................................... 154,700 1,551,834
*Microage, Inc. .......................................... 153,300 3,449,250
*Microcom, Inc. .......................................... 40,100 456,138
*Micronics Computers, Inc. ............................... 100,700 280,072
*Microwave Power Dynamics, Inc. .......................... 15,000 45,000
Mid America Banccorp .................................... 64,923 1,217,306
Midconn Bank Kensington, CT ............................. 13,500 273,375
Middlesex Water Co. ..................................... 7,500 132,188
*Midisoft Corp. .......................................... 35,000 113,750
Midland Co. ............................................. 5,600 206,500
*Midwest Grain Products, Inc. ............................ 67,200 1,092,000
*Mikasa, Inc. ............................................ 119,400 1,253,700
*Mikohn Gaming Corp. ..................................... 63,600 437,250
*Miller Building Systems, Inc. ........................... 27,300 201,338
*Miltope Group, Inc. ..................................... 57,100 164,163
Mine Safety Appliances Co. .............................. 37,600 1,924,650
Minuteman International, Inc. ........................... 9,000 79,875
*Mobilemedia Corp. Class A ............................... 149,400 172,744
*Molecular Dynamics, Inc. ................................ 40,000 382,500
*Monaco Coach Corp. ...................................... 12,800 200,000
*Monarch Casino and Resort, Inc. ......................... 5,200 15,275
Monarch Machine Tool Co. ................................ 34,900 292,288
*Moog, Inc. Class A ...................................... 50,500 1,212,000
*Moog, Inc. Class B ...................................... 10,700 258,806
*Moore Handley, Inc. ..................................... 2,000 7,250
*Moore Medical Corp. ..................................... 20,000 210,000
*Moore Products Co. ...................................... 7,300 138,700
*Morgan Products, Ltd. ................................... 74,200 519,400
*Morrison Knudsen Corp. .................................. 20,200 181,800
*Motor Club of America ................................... 5,600 47,600
*Mountasia Entertainment
International, Inc. ..................................... 57,000 181,688
Movado Group, Inc. ...................................... 34,400 877,200
*#Movie Gallery, Inc. ..................................... 110,000 1,512,500
*Moviefone, Inc. Class A ................................. 29,500 130,906
Mueller (Paul) Co. ...................................... 3,900 152,100
*Mueller Industries, Inc. ................................ 64,000 2,504,000
*Multi Color Corp. ....................................... 7,600 45,600
*Musicland Stores Corp. .................................. 263,000 394,500
*Mutual Savings Bank FSB
Bay City, MI ............................................ 29,300 168,475
NAC RE Corp. ............................................ 17,200 627,800
*NAI Technologies, Inc. .................................. 26,700 80,934
NBT Bancorp ............................................. 64,362 1,214,830
NCH Corp. ............................................... 10,200 581,400
*NS Group, Inc. .......................................... 122,000 419,375
*NSA International, Inc. ................................. 51,800 87,413
NSC Corp. ............................................... 71,200 137,950
NYMAGIC, Inc. ........................................... 75,800 1,364,400
Nacco Industries, Inc. Class A .......................... 184,000 8,786,000
*Nantucket Industries, Inc. .............................. 6,500 21,938
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Napco Security Systems, Inc. ............................ 30,300 $ 109,838
Nash Finch Co. .......................................... 77,200 1,476,450
*Nashua Corp. ............................................ 54,300 862,013
*Nathans Famous, Inc. .................................... 31,500 120,094
*National Auto Credit, Inc. .............................. 246,790 2,529,598
*National City Bancorp ................................... 49,145 1,001,329
*National Energy Group, Inc. ............................. 24,310 87,364
National Gas & Oil Co. .................................. 37,556 347,392
*National Home Centers, Inc. ............................. 54,500 115,813
*National Home Health Care Corp. ......................... 9,116 58,684
*National Insurance Group ................................ 24,400 128,100
*National Mercantile Bancorp. ............................ 2,400 2,625
*National Patent Development Corp. ....................... 59,175 502,988
National Presto Industries, Inc. ........................ 57,300 2,112,938
*National Record Mart, Inc. .............................. 4,000 5,500
*National Standard Co. ................................... 8,100 55,688
*National Steel Corp. Class B ............................ 75,000 703,125
*National Western Life Insurance Co. Class A ............ 24,300 2,071,575
*Natural Wonders, Inc. ................................... 56,200 305,588
*Navigators Group, Inc. .................................. 2,100 41,213
*Netframe Systems, Inc. .................................. 100,700 308,394
*Netrix Corp. ............................................ 73,800 378,225
*Network Computing Devices, Inc. ......................... 162,300 1,359,263
*Network Equipment Technologies, Inc. ................... 137,600 2,115,600
*New Brunswick Scientific Co., Inc. ...................... 27,735 190,678
*New Image Industries, Inc. .............................. 28,900 36,577
New Jersey Resources Corp. .............................. 79,212 2,346,656
*New Jersey Steel Corp. .................................. 37,400 156,613
*New Mexico & Arizona Land Co. ........................... 26,015 312,180
Newcor, Inc. ............................................ 19,836 172,325
Newmil Bancorp, Inc. .................................... 41,100 375,038
Newport Corp. ........................................... 67,800 593,250
*Nexthealth, Inc. ........................................ 62,700 186,141
*Nichols Research Corp. .................................. 13,650 336,131
Nitches, Inc. ........................................... 3,679 20,464
*Noel Group, Inc. ........................................ 95,400 620,100
Noland Co. .............................................. 2,000 44,250
*Noodle Kidoodle, Inc. ................................... 43,200 245,700
*Nord Resources Corp. .................................... 137,700 585,225
*Nortek, Inc. ............................................ 99,300 1,526,738
North American Mortgage Co. ............................. 31,000 713,000
North Side Savings Bank NY .............................. 34,337 1,798,400
*North Star Universal, Inc. .............................. 62,600 504,713
*Northstar Health Services, Inc. ......................... 31,000 54,250
*Norton McNaughton, Inc. ................................. 20,900 175,038
Norwich Financial Corp. ................................. 40,900 800,106
*Novacare, Inc. .......................................... 415,000 3,527,500
*Nview Corp. ............................................. 33,000 125,813
O'Sullivan Corp. ........................................ 123,100 1,323,325
*O'Sullivan Industries Holdings, Inc. .................... 126,500 1,407,313
*O.I. Corp. .............................................. 32,000 108,000
*OEC Medical Systems, Inc. ............................... 37,000 518,000
*OHM Corp. ............................................... 39,300 334,050
*OMI Corp. ............................................... 372,800 2,842,600
*OTR Express, Inc. ....................................... 15,000 67,500
*Oak Technology, Inc. .................................... 271,000 2,693,063
*Offshore Logistics, Inc. ................................ 127,600 2,567,950
Oglebay Norton Co. ...................................... 16,000 702,000
Oil-Dri Corp. of America ................................ 48,000 684,000
*Old America Stores, Inc. ................................ 36,000 171,000
*Old Dominion Freight Lines, Inc. ........................ 61,400 560,275
*Olympic Financial, Ltd. ................................. 42,500 589,688
*Olympic Steel, Inc. ..................................... 71,000 1,726,188
18
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*#Omega Environmental, Inc. ............................... 37,000 $ 88,453
OnbanCorp, Inc. ......................................... 96,000 3,696,000
*Oncogene Science, Inc. .................................. 56,300 394,100
*One Price Clothing Stores, Inc. ......................... 75,800 210,819
One Valley Bancorp of West
Virginia ................................................ 11,600 430,650
Oneida, Ltd. ............................................ 86,800 1,475,600
*Oneita Industries, Inc. ................................. 48,200 180,750
*Onyx Acceptance Corp. ................................... 10,000 78,750
*Opal, Inc. .............................................. 70,000 1,281,875
*Opinion Research Corp. .................................. 21,400 89,613
*Opti, Inc. .............................................. 17,800 94,006
Optical Coating Laboratory, Inc. ........................ 31,900 358,875
*Option Care, Inc. ....................................... 65,500 323,406
Orange Co., Inc. ........................................ 69,700 531,463
*Oregon Metallurgical Corp. .............................. 40,300 1,440,725
Oregon Steel Mills, Inc. ................................ 205,661 3,521,945
*Oriole Homes Corp. Class A
Convertible ............................................. 1,000 7,500
*Oriole Homes Corp. Class B .............................. 21,400 157,825
Orion Capital Corp. ..................................... 48,300 3,012,713
*Oroamerica, Inc. ........................................ 41,600 213,200
*Osborn Communications Corp. ............................. 6,300 94,106
Oshkosh B'Gosh, Inc. Class A ............................ 46,300 700,288
Oshkosh Truck Corp. Class B ............................. 80,900 950,575
*Oshman's Sporting Goods, Inc. ........................... 40,900 224,950
Outboard Marine Corp. ................................... 179,200 2,912,000
*Outlook Group Corp. ..................................... 34,100 159,844
Overseas Shipholding Group, Inc. ........................ 135,000 2,160,000
Oxford Industries, Inc. ................................. 107,400 1,960,050
*PAM Transportation Services, Inc. ....................... 28,500 147,844
*PLM International, Inc. ................................. 48,200 156,650
*PST Vans, Inc. .......................................... 12,000 31,500
PXRE Corp. .............................................. 60,700 1,464,388
*Pacific Rehabilitation & Sports Medicine, Inc. ......... 33,900 213,994
*Pacific Rim Holding Corp. ............................... 67,500 199,336
Pacific Scientific Co. .................................. 74,200 853,300
*Pacific Sunwear of California, Inc. ..................... 46,500 1,249,688
*Pages, Inc. ............................................. 11,800 28,763
Palfed, Inc. ............................................ 37,200 534,750
*Palmer (Arnold) Golf Co. ................................ 9,900 52,594
Pamrapo Bancorp, Inc. ................................... 24,700 475,475
Pancho's Mexican Buffet, Inc. ........................... 43,800 88,969
*Par Technology Corp. .................................... 47,000 634,500
*Paragon Trade Brands, Inc. .............................. 130,000 3,607,500
*Park-Ohio Industries, Inc. .............................. 88,100 1,282,956
*Parker Drilling Co. ..................................... 56,000 525,000
Parkvale Financial Corp. ................................ 31,252 804,739
*Patina Oil & Gas Corp. .................................. 49,126 442,134
Patrick Industries, Inc. ................................ 38,700 580,500
*Patterson Energy, Inc. .................................. 13,616 374,440
*Payless Cashways, Inc. .................................. 415,300 726,775
Peerless Manufacturing Co. .............................. 10,000 127,500
*Penn Traffic Co. ........................................ 116,000 594,500
*Penn Treaty American Corp. .............................. 55,200 1,352,400
Penn Virginia Corp. ..................................... 43,000 1,736,125
Penney (J.C.) Co., Inc. ................................. 23,079 1,240,496
Pennfed Financial Services, Inc. ........................ 28,900 596,063
*Pentech International, Inc. ............................. 45,600 33,488
Peoples Bancshares, Inc.
Massachusetts ........................................... 19,800 201,713
*Peoples Choice TV Corp. ................................. 84,000 551,250
Peoples Heritage Financial Group, Inc. ................. 85,300 2,393,731
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Peoples Savings Financial Corp. ......................... 14,700 $ 404,250
*Peoples Telephone Co., Inc. ............................. 91,000 335,563
*Perfumania, Inc. ........................................ 46,900 149,494
*Perini Corp. ............................................ 35,500 319,500
*Petrocorp, Inc. ......................................... 58,000 569,125
*#Petroleum Development Corp. ............................. 8,200 42,538
*Pharmaceutical Marketing Services, Inc. ................ 5,200 49,725
*Pharmaceutical Resources, Inc. .......................... 54,000 310,500
*Pharmchem Laboratories, Inc. ............................ 64,900 256,558
Phillips-Van Heusen Corp. ............................... 256,600 3,303,725
*Photo Control Corp. ..................................... 4,200 15,488
*Photronics, Inc. ........................................ 5,550 173,438
Piccadilly Cafeterias, Inc. ............................. 89,100 801,900
*Pico Holdings, Inc. ..................................... 45,300 171,291
Pikeville National Corp. ................................ 26,700 597,413
Pilgrim Pride Corp. ..................................... 181,500 1,588,125
Pillowtex Corp. ......................................... 18,900 328,388
*Pinkertons, Inc. ........................................ 23,000 569,250
Pinnacle Bank Jasper, AL ................................ 4,900 86,363
*Pinnacle Systems, Inc. .................................. 43,100 447,163
Pioneer Financial Services, Inc. ........................ 69,600 1,287,600
Piper Jaffray Companies, Inc. ........................... 100,496 1,469,754
Pitt-Des Moines, Inc. ................................... 18,900 784,350
*Pittencrieff Communications, Inc. ....................... 170,400 697,575
Pittston Burlington Group ............................... 130,000 2,551,250
*Plains Resources, Inc. .................................. 51,300 833,625
*Planar Systems, Inc. .................................... 12,000 125,250
*Plasti-Line, Inc. ....................................... 10,000 102,500
*Players International, Inc. ............................. 209,500 1,335,563
Ply-Gem Industries, Inc. DE ............................. 148,300 1,946,438
*Polk Audio, Inc. ........................................ 4,900 52,063
*Pollo Tropical, Inc. .................................... 22,300 61,325
*Polymedica Industries, Inc. ............................. 53,840 232,185
*Pool Energy Services Co. ................................ 113,058 1,674,672
Pope & Talbot, Inc. ..................................... 160,500 2,547,938
*#Porta Systems Corp. ..................................... 5,100 11,794
*Portec, Inc. ............................................ 26,306 266,348
Portsmouth Bank Shares, Inc. ............................ 47,287 694,528
Poughkeepsie Savings Bank FSB NY ....................... 84,900 451,031
*Powell Industries, Inc. ................................. 49,000 490,000
*Premiumwear, Inc. ....................................... 14,800 131,350
*President Casinos, Inc. ................................. 128,000 104,000
Presidential Life Corp. ................................. 222,800 2,659,675
*Presley Companies Class A ............................... 83,300 85,903
*Price Communications Corp. .............................. 60,400 494,525
Price Enterprises, Inc. ................................. 18,800 325,475
*Primark Corp. ........................................... 26,500 695,625
Prime Bancorp, Inc. ..................................... 26,447 528,940
Primesource Corp. ....................................... 5,254 40,062
*Printronix, Inc. ........................................ 22,500 319,219
*Procyte Corp. ........................................... 89,300 195,344
*Proffitts, Inc. ......................................... 98,772 3,987,920
Progress Financial Corp. ................................ 26,000 222,625
*Progress Software Corp. ................................. 76,000 1,524,750
Progressive Bank, Inc. .................................. 19,200 662,400
Proler International Corp. .............................. 34,300 308,700
*Proteon, Inc. ........................................... 35,900 137,991
Providence & Worcester Railroad Co. .................... 15,800 116,525
Provident Bankshares Corp. .............................. 44,504 1,716,186
*Proxima Corp. ........................................... 34,300 473,769
Pulaski Furniture Corp. ................................. 20,600 347,625
*Pure World, Inc. ........................................ 48,400 101,338
19
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*QMS, Inc. ............................................... 91,700 $ 538,738
*Quad Systems Corp. ...................................... 34,500 357,938
Quaker Chemical Corp. ................................... 37,800 637,875
*Quaker City Bancorp, Inc. ............................... 3,600 61,875
*Quaker Fabric Corp. ..................................... 64,000 664,000
Quaker State Corp. ...................................... 215,000 3,681,875
*Quality Semiconductor, Inc. ............................. 43,900 334,738
Quanex Corp. ............................................ 205,000 5,483,750
*Quarterdeck Office Systems, Inc. ........................ 71,900 471,844
Queens County Bancorp ................................... 49,133 2,296,968
Quest Medical, Inc. ..................................... 12,360 88,838
*Quiksilver, Inc. ........................................ 1,800 35,888
Quixote Corp. ........................................... 78,600 717,225
*R & B, Inc. ............................................. 62,900 514,994
RCSB Financial, Inc. .................................... 99,800 3,000,238
RLI Corp. ............................................... 51,550 1,636,713
*RPC Energy Services, Inc. ............................... 54,000 837,000
*Radius, Inc. ............................................ 83,150 67,559
*Rag Shops, Inc. ......................................... 32,800 67,650
*Rally's Hamburgers, Inc. ................................ 60,300 254,391
*Ramsay Health Care, Inc. ................................ 65,000 174,688
*Ramsay Managed Care, Inc. ............................... 6 4
Raritan Bancorp, Inc. DE ................................ 1,050 24,413
#Raymond Corp. ........................................... 44,432 788,668
*Read-Rite Corp. ......................................... 12,000 266,250
*Readicare, Inc. ......................................... 14,000 127,750
*Reading Entertainment, Inc. ............................. 33,736 331,035
*Recoton Corp. ........................................... 9,600 142,800
*Redwood Empire Bancorp .................................. 20,200 217,150
Refac Technology Development Corp. ..................... 41,385 271,589
*Regeneron Pharmaceuticals, Inc. ......................... 2,000 38,000
Regis Corp. ............................................. 28,800 712,800
*Reliability, Inc. ....................................... 21,400 147,125
Reliance Steel and Aluminum Co. ......................... 44,200 1,657,500
*Rentrak Corp. ........................................... 63,000 240,188
*Repligen Corp. .......................................... 30,200 34,919
*Republic Automotive Parts, Inc. ......................... 34,800 556,800
Republic Bancorp, Inc. .................................. 31,610 379,315
*Republic Engineered Steels, Inc. ........................ 340,000 765,000
Republic Savings Financial Corp. ........................ 44,100 253,575
*Rex Stores Corp. ........................................ 87,100 849,225
*Rexel, Inc. ............................................. 74,500 1,033,688
Rexene Corp. ............................................ 137,500 1,821,875
*Rexhall Industries, Inc. ................................ 12,180 94,395
*Rhodes, Inc. ............................................ 80,100 560,700
Richardson Electronics, Ltd. ............................ 41,400 393,300
*Riddell Sports, Inc. .................................... 49,300 226,472
Riggs National Corp. .................................... 253,800 4,393,913
*Rightchoice Managed Care, Inc. Class A ................. 38,200 348,575
*Rimage Corp. ............................................ 3,300 13,613
Riser Foods, Inc. Class A ............................... 36,900 1,125,450
*River Oaks Furniture, Inc. .............................. 47,600 151,725
Riverside Group, Inc. ................................... 3,200 8,800
*Roadmaster Industries, Inc. ............................. 118,500 133,313
Roanoke Electric Steel Corp. ............................ 32,700 453,713
*Roberds, Inc. ........................................... 2,300 23,000
*#Roberts Pharmaceutical Corp. ............................ 18,900 210,263
*Roberts Pharmaceutical Corp.
(Private Placement) ..................................... 203,700 2,039,546
Robinson Nugent, Inc. ................................... 53,900 262,763
*Rocky Shoes & Boots, Inc. ............................... 24,600 222,938
*Rodman & Renshaw Capital Group, Inc. ................... 19,700 29,550
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Rohr, Inc. .............................................. 70,300 $1,230,250
*Rollins Environmental Services, Inc. ................... 648,134 1,296,268
Rollins Truck Leasing Corp. ............................. 324,700 3,896,400
Ross Stores, Inc. ....................................... 52,692 2,683,999
Rouge Steel Co. Class A ................................. 123,700 2,675,013
*Royal Appliance Manufacturing Co. ....................... 44,900 353,588
*Royal Grip, Inc. ........................................ 16,300 40,750
Russ Berrie & Co., Inc. ................................. 169,300 2,983,913
*Ryans Family Steak Houses, Inc. ......................... 335,900 2,319,809
Rykoff-Sexton, Inc. ..................................... 112,875 1,636,688
Ryland Group, Inc. ...................................... 137,064 1,901,763
*S&K Famous Brands, Inc. ................................. 48,700 447,431
*#SBE, Inc. ............................................... 14,100 61,688
*SPS Technologies, Inc. .................................. 25,200 1,581,300
SPX Corp. ............................................... 101,700 3,228,975
*STM Wireless, Inc. Class A .............................. 3,300 23,719
*Safety 1st, Inc. ........................................ 23,400 264,713
Saint Francis Capital Corp. ............................. 37,600 1,010,500
Saint Paul Bancorp, Inc. ................................ 136,500 3,847,594
*Salant Corp. DE ......................................... 107,200 375,200
*San Filippo (John B.) & Son, Inc. ....................... 67,400 349,638
Sanderson Farms, Inc. ................................... 68,000 1,083,750
Sands Regent Casino Hotel ............................... 43,282 132,551
Santa Monica Bank CA .................................... 43,900 707,888
Savannah Foods & Industries, Inc. ....................... 3,278 46,712
*Savoy Pictures Entertainment, Inc. ...................... 105,900 344,175
*Scan-Optics, Inc. ....................................... 43,400 162,750
*Schieb (Earl), Inc. ..................................... 20,500 140,938
*Schuler Homes, Inc. ..................................... 155,500 913,563
Schultz Sav-O Stores, Inc. .............................. 10,200 147,900
*Scientific Software-Intercomp, Inc. ..................... 700 277
*Scios-Nova, Inc. ........................................ 209,300 1,190,394
Scope Industries, Inc. .................................. 4,200 208,950
*Score Board, Inc. ....................................... 32,500 86,328
Seaboard Corp. .......................................... 100 22,400
*Seacor Holdings, Inc. ................................... 17,700 1,119,525
Seafield Capital Corp. .................................. 43,300 1,504,675
Sealright Co., Inc. ..................................... 73,100 840,650
*Secom General Corp. ..................................... 32,000 88,000
Security Capital Corp. W.I. ............................. 12,700 906,463
Security Connecticut Corp. .............................. 68,000 2,346,000
*Seda Specialty Packaging Corp. .......................... 9,600 181,800
Selas Corp. of America .................................. 30,000 487,500
Selective Insurance Group, Inc. ......................... 98,000 3,344,250
*Selfix, Inc. ............................................ 4,900 28,788
*Seneca Foods Corp. ...................................... 10,500 171,938
*Sequa Corp. ............................................. 4,800 244,800
*Sequa Corp. Class A ..................................... 45,700 1,828,000
*Sequent Computer Systems, Inc. .......................... 390,000 6,605,625
*Sequoia Systems, Inc. ................................... 55,400 122,053
*Serv-Tech, Inc. ......................................... 47,755 140,280
*Service Merchandise Co., Inc. ........................... 834,000 4,587,000
*Servico, Inc. ........................................... 30,400 471,200
*Shaman Pharmaceuticals .................................. 35,800 214,800
*Sharper Image Corp. ..................................... 56,500 194,219
Shelby Williams Industries, Inc. ........................ 8,000 103,500
*Shiloh Industries, Inc. ................................. 156,300 2,618,025
*Shoe Carnival, Inc. ..................................... 97,000 521,375
*Sholodge, Inc. .......................................... 46,900 627,288
*Shoney's, Inc. .......................................... 32,304 266,508
Shopko Stores, Inc. ..................................... 258,800 4,011,400
*Show Biz Pizza Time, Inc. ............................... 141,600 2,301,000
Showboat, Inc. .......................................... 53,300 992,713
Sifco Industries, Inc. .................................. 35,600 382,700
20
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Sigma Circuits, Inc. .................................... 20,600 $ 135,188
*Sigma Designs, Inc. ..................................... 11,300 105,231
*Signal Technology Corp. ................................. 41,000 302,375
*Silicon Valley Bancshares ............................... 26,700 801,000
*Silicon Valley Group, Inc. .............................. 113,600 2,399,800
Simmons First National Corp.
Class A ................................................. 27,400 1,096,000
Simpson Industries, Inc. ................................ 134,000 1,390,250
*Sizzler International, Inc. ............................. 212,700 611,513
Skyline Corp. ........................................... 61,100 1,588,600
Skywest, Inc. ........................................... 123,900 1,757,831
Smith (A.O.) Corp. ...................................... 138,500 4,103,063
Smith (A.O.) Corp. Convertible Class A ................. 32,800 951,200
*Smith Environmental Technologies Corp. ................. 54,200 44,038
*Smiths Food & Drug Centers, Inc. Class B ............... 7,600 229,900
Snyder Oil Corp. ........................................ 223,500 3,855,375
*Softech, Inc. ........................................... 31,300 86,075
*#Software Publishing Corp. ............................... 86,000 120,938
*Software Spectrum, Inc. ................................. 27,900 861,413
*Sound Advice, Inc. ...................................... 16,600 28,531
South Jersey Industries, Inc. ........................... 71,977 1,736,445
Southdown, Inc. ......................................... 135,200 4,410,900
*Southern Electronics Corp. .............................. 51,200 531,200
*Southwall Technologies, Inc. ............................ 40,800 272,850
Southwest Bancshares, Inc. DE ........................... 19,500 358,313
Southwest Securities Group, Inc ......................... 35,300 452,281
Southwestern Energy Co. ................................. 289,900 4,638,400
*Spacelabs Medical, Inc. ................................. 116,900 2,352,613
*Spaghetti Warehouse, Inc. ............................... 44,800 224,000
Span-American Medical System, Inc. ..................... 25,300 107,525
*Sparton Corp. ........................................... 100,600 804,800
*Spec's Music, Inc. ...................................... 36,900 41,513
*Specialty Chemical Resources, Inc. ...................... 23,000 40,250
*Specialty Paperboard, Inc. .............................. 27,700 498,600
*Spectran Corp. .......................................... 53,500 939,594
*Speizman Industries, Inc. ............................... 26,500 146,578
*Sport Chalet, Inc. ...................................... 42,300 142,763
*Sport Supply Group, Inc. ................................ 46,600 273,775
*#Sportmart, Inc. ......................................... 38,700 128,194
*Sportmart, Inc. Class A ................................. 43,500 127,781
*Sports & Recreation, Inc. ............................... 195,000 1,681,875
*Sports Club Co., Inc. ................................... 17,000 44,625
*Stacey's Buffet, Inc. ................................... 2,140 1,404
*Staff Builders, Inc. Class A ............................ 157,900 384,881
*Stage II Apparel Corp. .................................. 31,600 79,000
*Standard Commercial Corp. ............................... 89,582 1,209,356
*Standard Management Corp. ............................... 22,900 107,344
*Standard Microsystems Corp. ............................. 89,900 988,900
Standard Motor Products, Inc.
Class A ................................................. 94,000 1,292,500
Standard Pacific Corp. DE ............................... 205,872 1,209,498
Standard Products Co. ................................... 265,900 6,082,463
*Stanford Telecommunications, Inc. ....................... 17,500 492,188
*Stanley Furniture, Inc. ................................. 32,600 533,825
Stant Corp. ............................................. 195,500 2,443,750
*Staodyn, Inc. ........................................... 19,700 26,472
*Starcraft Corp. ......................................... 12,800 48,800
Starret Housing Corp. ................................... 62,600 696,425
Starrett (L.S.) Co. Class A ............................. 48,700 1,351,425
*Station Casinos, Inc. ................................... 41,000 435,625
Steel Technologies, Inc. ................................ 66,100 834,513
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Steel of West Virginia, Inc. ............................ 68,000 $ 382,500
Stepan Co. .............................................. 82,100 1,559,900
Sterling Bancorp ........................................ 63,500 944,563
*Sterling Financial Corp. WA ............................. 42,180 572,066
*Stevens Graphics Corp. Class A .......................... 53,000 72,875
Stewart Information Services Corp. ...................... 48,200 1,015,213
Stifel Financial Corp. .................................. 32,000 264,000
*Stokely USA, Inc. ....................................... 84,000 157,500
Stone & Webster, Inc. ................................... 104,300 3,402,788
*Stratus Computer, Inc. .................................. 154,000 3,965,500
Strawbridge & Clothier Class A .......................... 71,881 1,195,022
*Streamlogic Corp. ....................................... 136,100 204,150
Stride Rite Corp. ....................................... 113,700 1,137,000
*Strouds, Inc. ........................................... 98,000 392,000
*Stuart Entertainment, Inc. .............................. 43,700 245,813
*Sulcus Computer Corp. ................................... 92,000 195,500
Sullivan Dental Products, Inc. .......................... 39,300 520,725
Sumitomo Bank of California ............................. 39,600 1,014,750
*Summit Care Corp. ....................................... 57,000 840,750
*Summit Technology, Inc. ................................. 12,000 62,625
*Sun Coast Plastics, Inc. ................................ 2,300 7,906
*Sun Healthcare Group, Inc. .............................. 178,000 2,225,000
*Sun Sportswear, Inc. .................................... 41,900 86,419
Sun Television and Appliances, Inc. ..................... 206,300 541,538
*Sunbelt Nursery Group, Inc. ............................. 22,700 34,050
*Sunrise Medical, Inc. ................................... 98,800 1,420,250
*Sunrise Resources, Inc. ................................. 47,700 205,706
Superior Surgical Manufacturing Co., Inc. .............. 60,700 781,513
*Surety Capital Corp. .................................... 3,000 12,938
Susquehanna Bancshares, Inc. ............................ 94,810 3,353,904
*Swift Energy Corp. ...................................... 30,170 954,126
*Swiss Army Brands, Inc. ................................. 79,000 1,106,000
*Sybron Chemicals, Inc. .................................. 1,600 25,600
*Symix Systems, Inc. ..................................... 8,600 66,113
*Syms Corp. .............................................. 128,700 1,126,125
*Syncor International Corp. DE ........................... 69,600 700,350
*Syntellect, Inc. ........................................ 52,400 258,725
*Syquest Technology, Inc. ................................ 75,900 374,756
*Syratech Corp. .......................................... 18,900 585,900
*TBC Corp. ............................................... 24,000 175,500
TCBY Enterprises, Inc. .................................. 167,866 713,431
*TCC Industries, Inc. .................................... 6,500 10,563
*TCI International, Inc. ................................. 24,600 178,350
TJ International, Inc. .................................. 105,800 2,301,150
TR Financial Corp. ...................................... 59,800 1,752,888
*TRC Companies, Inc. ..................................... 49,550 247,750
*TRM Copy Centers Corp. .................................. 38,000 401,375
*TSF Communications Corp. ................................ 2,000 50,750
Tab Products Co. DE ..................................... 34,800 269,700
*Taco Cabana Inc. ........................................ 187,900 1,256,581
*Tandy Brand Accessories, Inc. ........................... 500 3,188
*Tandy Crafts, Inc. ...................................... 91,400 605,525
*Tanknology Environmental, Inc. .......................... 101,300 208,931
Tasty Baking Co. ........................................ 2,400 35,100
*Team, Inc. .............................................. 56,500 88,281
*Tech-Sym Corp. .......................................... 41,700 1,214,513
*Technical Communications Corp. .......................... 3,900 37,538
Technitrol, Inc. ........................................ 3,000 108,000
*Tekelec ................................................. 17,600 239,800
*Telco Systems, Inc. ..................................... 43,500 766,688
Telxon Corp. ............................................ 51,300 618,806
*Temtex Industries, Inc. ................................. 29,700 87,244
*Tesoro Petroleum Corp. .................................. 133,500 1,935,750
*Tetra Technologies, Inc. ................................ 37,900 964,081
21
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Texas Industries, Inc. .................................. 71,981 $4,093,919
*Texfi Industries, Inc. .................................. 29,100 72,750
*Theratx, Inc. ........................................... 108,700 1,141,350
Thiokol Corp. ........................................... 14,400 662,400
Thomas Industries, Inc. ................................. 83,700 1,694,925
Thomaston Mills, Inc. ................................... 34,800 395,850
Thor Industries, Inc. ................................... 1,600 38,200
*Thorn Apple Valley, Inc. ................................ 46,915 598,166
*Timberland Co. Class A .................................. 9,800 379,750
*Tipperary Corp. ......................................... 40,000 200,000
Titan Holdings, Inc. .................................... 76,008 1,140,120
#Titan Wheel International, Inc. ......................... 103,500 1,371,375
Toastmaster, Inc. ....................................... 50,800 152,400
*#Todays Man, Inc. ........................................ 86,000 150,500
*Todd Shipyards Corp. .................................... 71,300 490,188
Todd-AO Corp. Class A ................................... 3,740 39,738
Tower Air, Inc. ......................................... 149,300 452,566
*Tracor, Inc. ............................................ 23,700 519,919
*Trak Auto Corp. ......................................... 40,200 668,325
*#Trans World Airlines, Inc. .............................. 208,000 1,612,000
*Trans World Entertainment Corp. ......................... 82,600 660,800
*TransNet Corp. .......................................... 3,000 9,281
*Transcend Services, Inc. ................................ 20,100 118,088
Transnational RE Corp. Class A .......................... 8,400 210,525
Transport Leasing International, Inc. .................. 26,500 127,531
Transport Lux Corp. ..................................... 2,546 31,189
Transtechnology Corp. ................................... 39,200 759,500
*#Travel Ports of America, Inc. ........................... 45,300 118,913
Treadco, Inc. ........................................... 40,000 387,500
*Tremont Corp. DE ........................................ 35,833 1,303,425
*Trend-Lines, Inc. Class A ............................... 70,900 345,638
Trenwick Group, Inc. .................................... 32,000 1,572,000
*Triangle Pacific Corp. .................................. 30,000 654,375
*Tricord Systems, Inc. ................................... 89,500 183,195
*Trimark Holdings, Inc. .................................. 30,300 155,288
*Triple S Plastics, Inc. ................................. 25,500 208,781
*Tripos, Inc. ............................................ 16,166 256,635
*Trism, Inc. ............................................. 36,000 137,250
*Truevision, Inc. ........................................ 82,200 218,344
*Tuesday Morning Corp. ................................... 54,700 1,189,725
*Tultex Corp. ............................................ 201,107 1,432,887
*Turner Corp. ............................................ 21,932 189,164
Twin Disc, Inc. ......................................... 19,900 430,338
*Tyco Toys, Inc. ......................................... 300,600 3,532,050
*Tyler Corp. ............................................. 151,700 246,513
U.S. Bancorp, Inc. ...................................... 35,900 1,453,950
*UNC, Inc. ............................................... 125,600 1,161,800
UNR Industries, Inc. .................................... 83,800 565,650
*URS Corp. ............................................... 59,402 497,492
*US Servis, Inc. ......................................... 18,400 50,025
*US Xpress Enterprises, Inc.
Class A ................................................. 26,100 234,900
*USData Corp. ............................................ 6,750 45,984
*USMX, Inc. .............................................. 12,000 18,000
UST Corp. ............................................... 37,500 698,438
*Ultimate Electronics, Inc. .............................. 52,700 158,100
*Ultra Pacific, Inc. ..................................... 31,700 128,781
*Ultradata Corp. ......................................... 25,000 121,875
Uni-Marts, Inc. ......................................... 26,100 166,388
Unico American Corp. .................................... 44,700 416,269
*Union Corp. DE .......................................... 35,200 787,600
*Union Switch & Signal, Inc. ............................. 69,550 517,278
*Uniroyal Technology Corp. ............................... 86,800 249,550
*Unit Corp. .............................................. 80,900 677,538
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
*Unit Instruments, Inc. .................................. 29,400 $ 295,838
*United American Healthcare Corp. ........................ 5,000 31,875
United Carolina Bancshares Corp. ........................ 51,900 2,079,244
United Fire Casualty Co. ................................ 450 14,513
United Industrial Corp. ................................. 85,200 500,550
United National Bancorp ................................. 3,710 131,241
*United Retail Group, Inc. ............................... 91,700 275,100
*United States Energy Corp. .............................. 15,700 214,894
United States Facilities Corp. .......................... 44,900 869,938
*United States Home Corp. ................................ 85,000 2,103,750
*United States Homecare Corp. ............................ 63,900 45,928
United Wisconsin Services, Inc. ......................... 47,600 1,231,650
*Unitel Video, Inc. ...................................... 19,200 158,400
*Universal Electronics, Inc. ............................. 49,400 280,963
*Universal Health Services, Inc. Class B ................ 96,200 2,717,650
*Universal Hospital Services, Inc. ....................... 58,900 552,188
*Universal International, Inc. ........................... 34,600 80,013
*Universal Standard Medical Labs, Inc. .................. 46,600 183,488
*Uno Restaurant Corp. .................................... 30,800 211,750
*Uranuim Resources, Inc. ................................. 57,000 527,250
*Utilx Corp. ............................................. 50,400 184,275
*V Band Systems, Inc. .................................... 44,700 89,400
*VLSI Technology, Inc. ................................... 273,400 6,288,200
*Valence Technology, Inc. ................................ 120,000 521,250
*Vallen Corp. ............................................ 55,800 941,625
Valley Forge Corp. ...................................... 15,000 194,063
Vallicorp Holdings, Inc. ................................ 29,900 603,606
*Value City Department Stores, Inc. ...................... 213,600 2,723,400
*Valuevision International, Inc.
Class A ................................................. 107,000 591,844
*Varco International, Inc. ............................... 49,400 1,130,025
*Variflex, Inc. .......................................... 43,300 221,913
#Varlen Corp. ............................................ 46,838 942,615
*Vectra Technologies, Inc. ............................... 56,100 119,213
*Ventura County National Bancorp ......................... 62,209 303,269
*Venture Stores, Inc. .................................... 210,679 684,707
*Veritas DGC, Inc. ....................................... 68,200 1,457,775
Vermont Financial Services Corp. ........................ 34,600 1,219,650
*Versar, Inc. ............................................ 1,300 3,981
*Vertex Communications Corp. ............................. 29,200 503,700
*Vicorp Restaurants, Inc. ................................ 76,600 1,072,400
*Video Display Corp. ..................................... 26,400 100,650
*Video Lottery Technologies, Inc. ........................ 94,200 418,013
*Vie de France Corp. ..................................... 12,000 24,750
Virco Manufacturing Corp. ............................... 68,264 1,126,356
Virginia Beach Federal Financial Corp. ................. 40,050 367,959
*Volunteer Capital Corp. ................................. 17,000 142,375
Vulcan International Corp. .............................. 12,200 363,713
*WHX Corp. ............................................... 305,500 2,864,063
WICOR, Inc. ............................................. 25,000 909,375
WLR Foods, Inc. ......................................... 125,500 1,600,125
*WPI Group, Inc. ......................................... 9,200 74,175
*WSMP, Inc. .............................................. 2,000 14,875
Walbro Corp. ............................................ 56,052 1,114,034
Walden Bancorp, Inc. .................................... 35,600 1,230,425
*Walker Interactive Systems, Inc. ........................ 47,600 734,825
*Wall Data, Inc. ......................................... 15,000 226,875
*Wall Street Deli, Inc. .................................. 24,700 134,306
Walshire Assurance Co. .................................. 45,934 640,205
Warren Bancorp, Inc. .................................... 36,000 540,000
*Washington Homes, Inc. .................................. 60,900 274,050
Washington National Corp. ............................... 108,800 3,032,800
22
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- -----------
Washington Savings Bank FSB Waldorf, MD ................ 23,500 $ 111,625
Watkins-Johnson Co. ..................................... 62,400 1,622,400
Watts Industries, Inc. Class A .......................... 210,900 4,613,438
Webb (Del) Corp. ........................................ 115,188 1,943,798
#Webster Financial Corp. ................................. 51,280 1,923,000
*Weirton Steel Corp. ..................................... 275,800 723,975
*Welcome Home, Inc. ...................................... 14,000 12,250
Wellco Enterprises, Inc. ................................ 1,600 68,800
*Wells-Gardner Electronics Corp. ......................... 21,700 86,800
Werner Enterprises, Inc. ................................ 199,500 3,216,938
Wesbanco, Inc. .......................................... 5,200 156,650
West, Inc. .............................................. 29,000 830,125
Westco Bancorp, Inc. .................................... 11,400 247,950
Westcorp, Inc. .......................................... 46,856 1,106,973
Westerfed Financial Corp. ............................... 34,600 640,100
*Western Beef, Inc. ...................................... 46,800 491,400
*Western Micro Technology, Inc. .......................... 12,300 127,613
*Westmoreland Coal Co. ................................... 20,600 51,500
*Weston (Roy F.), Inc. Class A ........................... 49,100 184,125
Weyco Group, Inc. ....................................... 800 33,200
*Whitehall Corp. ......................................... 700 27,563
Whitney Holdings Corp. .................................. 90,171 3,178,528
*Whittaker Corp. ......................................... 131,900 1,846,600
*Wickes Lumber Co. ....................................... 38,800 138,225
*Williams Clayton Energy, Inc. ........................... 49,500 807,469
Wilshire Oil Co. of Texas ............................... 65,454 351,815
Windmere Corp. .......................................... 126,200 1,814,125
Wiser Oil Co. ........................................... 72,475 1,259,253
Wolf (Howard B.), Inc. .................................. 5,000 31,250
Wolohan Lumber Co. ...................................... 55,578 705,146
*Wonderware Corp. ........................................ 117,000 1,104,188
*Worldcorp, Inc. ......................................... 25,000 118,750
*Worldtex, Inc. .......................................... 106,600 879,450
Worthington Foods, Inc. ................................. 13,250 341,188
Wyle Laboratories, Inc. ................................. 33,200 1,195,200
*Wyman-Gordon Co. ........................................ 48,800 1,043,100
Wynns International, Inc. ............................... 42,700 1,243,638
*Xicor, Inc. ............................................. 55,100 526,894
Yankee Energy Systems, Inc. ............................. 71,600 1,575,200
*Yellow Corp. ............................................ 196,100 2,966,013
York Financial Corp. .................................... 54,109 906,326
*Zale Corp. .............................................. 154,500 3,070,688
*Zaring Homes, Inc. ...................................... 31,100 338,213
*Zemex Corp. ............................................. 62,940 542,859
*Zenith Electronics Corp. ................................ 29,900 396,173
Zenith National Insurance Corp. ......................... 104,100 2,862,750
#Ziegler Co., Inc. ....................................... 1,700 31,238
*Zilog, Inc. ............................................. 139,400 3,119,075
*Zitel Corp. ............................................. 74,000 1,669,625
Zurn Industries, Inc. ................................... 99,900 2,859,638
*Zygo Corp. .............................................. 12,600 494,550
-----------
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- --------
TOTAL COMMON STOCKS (Cost $1,011,280,355) ................. $1,231,805,985
--------------
PREFERRED STOCKS -- (0.0%)
Fedders Corp. Convertible (Cost $207,212) ............... 53,000 311,375
--------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A 04/02/02 ..... 3,620 18,100
*CSF Holdings, Inc. Litigation Rights 12/30/99 ........... 40,500 0
*Morrison Knudsen Corp. Warrants 03/11/03 ................ 6,975 33,131
*National Mercantile Bancorp
Warrants 06/02/99 ........................................ 165 0
*Statesman Group, Inc. Contingent Payment Rights ......... 37,500 0
--------------
TOTAL RIGHTS/WARRANTS (Cost $39,234) ...................... 51,231
--------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Securities Corp. 5.45%,
12/02/96 (Collateralized by U.S. Treasury Bills 4.93%,
01/16/97) (Cost $14,906,000) ........................... $14,906 14,906,000
--------------
TOTAL INVESTMENTS -- (99.9%) (Cost $1,026,432,801) ........ 1,247,074,591
--------------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets ............................................ 2,314,866
Payable for Investment Securities Purchased ............. (773,250)
Other Liabilities ....................................... (403,659)
--------------
1,137,957
--------------
NET ASSETS -- (100.0%) Applicable to 75,301,072 Outstanding
$.01 Par Value Shares (Unlimited Number of Shares
Authorized) ............................................. $1,248,212,548
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .. $ 16.58
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
23
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends ......................................................... $ 12,048
Interest .......................................................... 1,278
Income from Securities Lending .................................... 242
----------
Total Investment Income ...................................... 13,568
----------
Expenses
Investment Advisory Services ...................................... 1,933
Accounting & Transfer Agent Fees .................................. 625
Custodian's Fee ................................................... 174
Legal Fees ........................................................ 14
Audit Fees ........................................................ 27
Shareholders' Reports ............................................. 23
Trustees' Fees and Expenses ....................................... 9
Other ............................................................. 36
----------
Total Expenses ............................................... 2,841
----------
Net Investment Income ........................................ 10,727
----------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain on Investment Securities ........................ 57,358
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ...................................................... 131,332
----------
Net Gain on Investment Securities ................................. 188,690
----------
Net Increase in Net Assets Resulting from Operations ................... $199,417
==========
</TABLE>
See accompanying Notes to Financial Statements
24
<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 Year
Ended Ended
Nov. 30, Nov. 30,
1996 1995
------------ ----------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................................. $ 10,727 $ 5,958
Net Realized Gain on Investment Securities ........................ 57,358 22,264
Change in Unrealized Appreciation (Depreciation) of Investment
Securities ...................................................... 131,332 92,111
------------ ----------
Net Increase in Net Assets Resulting from Operations ......... 199,417 120,333
------------ ----------
Distributions From:
Net Investment Income ............................................. (10,581) (5,753)
Net Realized Gains ................................................ (15,728) (7,740)
------------ ----------
Total Distributions .......................................... (26,309) (13,493)
------------ ----------
Capital Share Transactions (1):
Shares Issued ..................................................... 470,306 172,434
Shares Issued in Lieu of Cash Distributions ....................... 25,751 10,353
Shares Redeemed ................................................... (45,295) (15,561)
------------ ----------
Net Increase From Capital Share Transactions ................. 450,762 167,226
------------ ----------
Total Increase ............................................... 623,870 274,066
Net Assets
Beginning of Period ............................................... 624,343 350,277
------------ ----------
End of Period ..................................................... $1,248,213 $624,343
============ ==========
(1) Shares Issued and Redeemed:
Shares Issued ..................................................... 32,133 13,765
Shares Issued in Lieu of Cash Distributions ....................... 1,749 774
Shares Redeemed ................................................... (3,121) (1,423)
------------ ----------
30,761 13,116
============ ==========
</TABLE>
See accompanying Notes to Financial Statements
25
<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 Year Year March 2
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
------------ ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 14.02 $ 11.15 $ 11.04 $ 10.00
------------ ---------- ---------- ----------
Income from Investment Operations
- ---------------------------------
Net Investment Income .................. 0.15 0.14 0.12 0.08
Net Gains (Losses) on Securities
(Realized and Unrealized) ............ 2.88 3.06 0.16 1.09
------------ ---------- ---------- ----------
Total from Investment Operations ....... 3.03 3.20 0.28 1.17
------------ ---------- ---------- ----------
Less Distributions
- ------------------
Net Investment Income .................. (0.15) (0.14) (0.12) (0.07)
Net Realized Gains ..................... (0.32) (0.19) (0.05) (0.06)
------------ ---------- ---------- ----------
Total Distributions .................... (0.47) (0.33) (0.17) (0.13)
------------ ---------- ---------- ----------
Net Asset Value, End of Period .............. $ 16.58 $ 14.02 $ 11.15 $ 11.04
============ ========== ========== ==========
Total Return ................................ 22.14% 28.81% 2.52% 11.69%#
Net Assets, End of Period (thousands) ....... $ 1,248,213 $ 624,343 $350,277 $95,681
Ratio of Expenses to Average Net Assets ..... 0.29% 0.32% 0.32% 0.33%*
Ratio of Net Investment Income to Average Net
Assets .................................... 1.11% 1.22% 1.50% 1.35%*
Portfolio Turnover Rate ..................... 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate (1) ................. $ 0.0658 N/A N/A N/A
</TABLE>
- ------
* Annualized
# Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
26
<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, 1996, The Trust consisted of fifteen investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The Enhanced
U.S. Large Company Series, The U.S. Small Cap Value Series, The U.S. Large
Cap Value Series, The Japanese Small Company Series, The Pacific Rim Small
Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The DFA International Value Series, The Emerging
Markets Series, The DFA One-Year Fixed Income Series , The DFA Two-Year
Corporate Fixed Income Series, The DFA Two-Year Government Series and The DFA
Two-Year Global Fixed Income Series. These financial statements relate solely
to The U.S. Small Cap Value Series (the "Series").
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
1. Security Valuation: Securities held by the 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 Trust's custodian or a third party sub-custodian. All open
repurchase agreements were entered into on November 29, 1996.
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 attributable to a
Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
27
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Series. For the year ended November 30, 1996, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on an effective annual rate of 0.20 of 1%.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1996, the Series made the following
purchases and sales of investment securities (amounts in thousands):
Purchases ........................................ $569,123
Sales ........................................... 139,425
E. INVESTMENT TRANSACTIONS:
At November 30, 1996, 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 ................... $294,999
Gross Unrealized Depreciation ................... 74,357
---------
Net ............................................ $220,642
=========
F. LINE OF CREDIT
In July, 1996, the Trust, together with other DFA advised portfolios,
entered into a $50 million unsecured line of credit with its domestic
custodian bank. Each portfolio is permitted to borrow between 25% and 331/3%
of its net assets as determined by its investment policies, up to a maximum
of $50 million per portfolio. Borrowings under the line are charged interest
at the current overnight federal funds rate plus a variable rate determined
at the date of borrowing. Each portfolio is individually, and not jointly
liable for its particular advances under the line. There is no commitment fee
on the unused portion of the line of credit. There were no borrowings under
the line of credit by the Series during the year ended November 30, 1996.
G. COMPONENTS OF NET ASSETS:
At November 30, 1996, net assets consisted of (amounts in thousands):
Paid-In Capital ................................ $ 970,037
Undistributed Net Investment Income ............ 418
Undistributed Net Realized Gain ................ 57,116
Unrealized Appreciation of Investment Securities 220,642
-----------
$1,248,213
============
H. 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. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities, and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, replace the loaned securities. The market value
of securities on loan to brokers from the Series is $23,091,321 and the
related collateral cash received is $23,553,147 at November 30, 1996.
28
<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,
1996, and the related statement of operations for the year then ended, 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 Trust'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, 1996, 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, 1996, and the results of its operations for the year then ended, 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 17, 1997
29
