<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
U.S. 6-10 Value Portfolio II
Annual Report
Year Ended November 30, 1997
-------------------------------------
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
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<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Performance Chart................................................... 1
Statement of Assets and Liabilities................................. 2
Statement of Operations............................................. 3
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. 6-10 VALUE SERIES
Performance Chart................................................... 9
Statement of Net Assets............................................. 10-25
Statement of Operations............................................. 26
Statements of Changes in Net Assets................................. 27
Financial Highlights................................................ 28
Notes to Financial Statements....................................... 29-30
Report of Independent Accountants................................... 31
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 VALUE PORTFOLIO II VS.
FAMA-FRENCH SMALL CAP VALUE INDEX
SEPTEMBER 1994-NOVEMBER 1997
<S> <C> <C>
Growth of $10,000
U.S. 6-10 Value Fama-French Small
Portfolio II Cap Value Index
8/94 $10,000 $10,000
9/94 $9,961 $9,957
10/94 $9,816 $9,788
11/94 $9,477 $9,463
12/94 $9,568 $9,541
1/95 $9,666 $9,696
2/95 $10,001 $10,090
3/95 $10,119 $10,207
4/95 $10,473 $10,527
5/95 $10,758 $10,751
6/95 $11,181 $11,106
7/95 $11,780 $11,553
8/95 $12,153 $11,923
9/95 $12,291 $12,123
10/95 $11,691 $11,582
11/95 $12,121 $11,907
12/95 $12,327 $12,094
1/96 $12,287 $12,265
2/96 $12,547 $12,456
3/96 $12,888 $12,876
4/96 $13,551 $13,320
5/96 $14,082 $13,844
6/96 $13,781 $13,623
7/96 $12,918 $12,897
8/96 $13,499 $13,431
9/96 $13,961 $13,774
10/96 $14,062 $13,734
11/96 $14,724 $14,363
12/96 $15,046 $14,567
1/97 $15,436 $15,082
2/97 $15,425 $15,158
3/97 $15,026 $14,759
4/97 $14,954 $14,654
5/97 $16,379 $16,045
6/97 $17,404 $16,892
7/97 $18,439 $17,774
8/97 $19,096 $18,435
9/97 $20,572 $19,776
10/97 $19,844 $19,372
11/97 $19,669 $19,252
Annualized Total Return (%)
One Year 33.59
From September 1994 23.14
The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing in the U.S. 6-10 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.
The portfolio's returns in fiscal 1997 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.
</TABLE>
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. 6-10 Value Series of The DFA Investment Trust Company
(5,926,405 Shares, Cost $99,680++) at Value..................................... $ 125,060
Receivable for Fund Shares Sold.................................................. 352
Prepaid Expenses and Other Assets................................................ 22
-----------
Total Assets................................................................. 125,434
-----------
LIABILITIES:
Payable for Investment Securities Purchased...................................... 352
Accrued Expenses................................................................. 21
-----------
Total Liabilities............................................................ 373
-----------
NET ASSETS........................................................................... $ 125,061
-----------
-----------
SHARES OUTSTANDING, $.01 PAR VALUE (Authorized 100,000,000).......................... 6,514,979
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................. $ 19.20
-----------
-----------
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................. $ 98,348
Undistributed Net Investment Income.............................................. 452
Undistributed Net Realized Gain.................................................. 881
Unrealized Appreciation of Investment Securities................................. 25,380
-----------
Total Net Assets............................................................. $ 125,061
-----------
-----------
</TABLE>
++ The cost for federal income tax purposes is $100,378.
See accompanying Notes to Financial Statements.
2
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received....................................................... $ 659
---------
EXPENSES
Administrative Services............................................................. 8
Accounting & Transfer Agent Fees.................................................... 19
Shareholder Services................................................................ 80
Legal Fees.......................................................................... 3
Audit Fees.......................................................................... 1
Filing Fees......................................................................... 22
Shareholders' Reports............................................................... 7
Directors' Fees and Expenses........................................................ 2
Organization Costs.................................................................. 9
Other............................................................................... 1
---------
Total Expenses.................................................................. 152
Reimbursement to Advisor............................................................ 8
---------
Net Expenses.................................................................... 160
---------
NET INVESTMENT INCOME............................................................... 499
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received..................................................... 2,017
Net Realized Loss on Investment Securities.............................................. (602)
Change in Unrealized Appreciation (Depreciation) of Investment Securities............... 19,121
---------
NET GAIN ON INVESTMENT SECURITIES................................................... 20,536
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 21,035
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
3
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DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
NOV. 30, NOV. 30,
1997 1996
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<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................................................... $ 499 $ 190
Capital Gain Distributions Received....................................................... 2,017 344
Net Realized Loss on Investment Securities................................................ (602) (67)
Change in Unrealized Appreciation (Depreciation) of Investment Securities................. 19,121 4,508
----------- ----------
Net Increase in Net Assets Resulting from Operations.................................. 21,035 4,975
----------- ----------
Distributions From:
Net Investment Income..................................................................... (225) (13)
Net Realized Gains........................................................................ (759) (44)
----------- ----------
Total Distributions................................................................... (984) (57)
----------- ----------
Capital Share Transactions (1):
Shares Issued............................................................................. 82,657 23,865
Shares Issued in Lieu of Cash Distributions............................................... 984 57
Shares Redeemed........................................................................... (19,268) (2,493)
----------- ----------
Net Increase From Capital Share Transactions.......................................... 64,373 21,429
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Total Increase........................................................................ 84,424 26,347
NET ASSETS
Beginning of Period....................................................................... 40,637 14,290
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End of Period............................................................................. $ 125,061 $ 40,637
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(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................................................. 4,736 1,779
Shares Issued in Lieu of Cash Distributions............................................... 67 5
Shares Redeemed........................................................................... (1,057) (193)
----------- ----------
3,746 1,591
----------- ----------
----------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR
ENDED ENDED ENDED AUG. 3 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 14.67 $ 12.13 $ 9.65 $ 10.00
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.08 0.08 0.06 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 4.77 2.51 2.63 (0.35)
--------- --------- --------- ---------
Total from Investment Operations................ 4.85 2.59 2.69 (0.24)
--------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.07) (0.01) (0.06) (0.11)
Net Realized Gains.............................. (0.25) (0.04) (0.15) --
--------- --------- --------- ---------
Total Distributions............................. (0.32) (0.05) (0.21) (0.11)
--------- --------- --------- ---------
Net Asset Value, End of Period.................... $ 19.20 $ 14.67 $ 12.13 $ 9.65
--------- --------- --------- ---------
--------- --------- --------- ---------
Total Return...................................... 33.75% 21.39% 27.90% (2.39)%#
Net Assets, End of Period (thousands)............. $ 125,061 $ 40,637 $ 14,290 $ 6,055
Ratio of Expenses to Average Net Assets (1)....... 0.48% 0.85%(a) 0.96%(a) 0.96%*(a)
Ratio of Net Investment Income to Average Net
Assets.......................................... 0.62% 0.77%(a) 0.68%(a) 4.78%*(a)
Portfolio Turnover Rate........................... N/A N/A N/A N/A
Average Commission Rate........................... N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series..... 25.47% 14.91% 20.62% 8.22%(b)
Average Commission Rate of Master Fund Series
(2)............................................. $ 0.0645 $ 0.0658 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, 1997,
1996, 1995 and 1994 would have been 0.47%, 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, 1997, 1996, 1995 and 1994 would have been
0.63%, 0.74%, 0.14% and 3.41%, respectively.
(2) 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.
(b) Master Fund Series Turnover calculated for the year ended November 30, 1994.
See accompanying Notes to Financial Statements.
5
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DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers thirteen portfolios,
of which U.S. 6-10 Value Portfolio II (the "Portfolio") is presented in this
report.
Effective August 1, 1997, U.S. Small Cap Value Portfolio II changed its name
to U.S. 6-10 Value Portfolio II.
The Portfolio invests all of its assets in The U.S. 6-10 Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At
November 30, 1997, the Portfolio owned 6% 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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. Effective July 1, 1996, the Portfolio's
Administrative fees were computed daily and paid monthly to the Advisor at an
effective annual rate of 0.01 of 1% of average daily net assets. Prior to that
date this rate was 0.30 of 1% of average daily net assets.
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 on an annualized basis. 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 on an annualized basis. Annualized expenses are those expenses
incurred in any period consisting of twelve consecutive months. At November 30,
1997, there are no previously waived fees subject to future reimbursement to the
Advisor.
6
<PAGE>
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, 1997, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation........................... $ 24,682
Gross Unrealized Depreciation........................... --
---------
Net..................................................... $ 24,682
---------
---------
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the year ended November 30, 1997.
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. 6-10 Value Portfolio II, as of November
30, 1997, 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, 1997, 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. 6-10 Value Portfolio II, as of November
30, 1997, 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 16, 1998
8
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THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 VALUE SERIES VS.
<S> <C> <C>
Fama-French Small Cap Value Index
April 1993-November 1997
Growth of $10,000
U.S. 6-10 Value Series Fama-French Small Cap Value Index
03/93 $10,000 $10,000
04/93 $9,788 $9,687
05/93 $10,050 $10,081
06/93 $10,060 $10,069
07/93 $10,363 $10,209
08/93 $10,706 $10,536
09/93 $11,079 $10,727
10/93 $11,452 $11,156
11/93 $11,260 $10,978
12/93 $11,486 $11,257
01/94 $12,079 $11,791
02/94 $12,049 $11,720
03/94 $11,650 $11,235
04/94 $11,731 $11,317
05/94 $11,772 $11,279
06/94 $11,558 $11,047
07/94 $11,752 $11,320
08/94 $12,161 $11,726
09/94 $12,120 $11,676
10/94 $11,947 $11,477
11/94 $11,545 $11,096
12/94 $11,664 $11,188
01/95 $11,789 $11,370
02/95 $12,205 $11,831
03/95 $12,350 $11,968
04/95 $12,787 $12,344
05/95 $13,152 $12,607
06/95 $13,673 $13,023
07/95 $14,422 $13,547
08/95 $14,879 $13,982
09/95 $15,067 $14,215
10/95 $14,339 $13,581
11/95 $14,872 $13,963
12/95 $15,133 $14,182
01/96 $15,089 $14,382
02/96 $15,415 $14,606
03/96 $15,849 $15,099
04/96 $16,675 $15,619
05/96 $17,327 $16,233
06/96 $16,968 $15,975
07/96 $15,915 $15,124
08/96 $16,644 $15,750
09/96 $17,209 $16,151
10/96 $17,340 $16,105
11/96 $18,166 $16,842
12/96 $18,569 $17,081
01/97 $19,052 $17,686
02/97 $19,052 $17,774
03/97 $18,558 $17,307
04/97 $18,478 $17,184
05/97 $20,234 $18,815
06/97 $21,509 $19,808
07/97 $22,795 $20,842
08/97 $23,611 $21,618
09/97 $25,436 $23,189
10/97 $24,541 $22,716
11/97 $24,335 $22,575
Annualized Total Return (%)
One Year 33.96
From April 1993 20.99
The series seeks to capture return premiums associated with high
book-to-market ratios by investing 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.
The series' returns in fiscal 1997 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.
</TABLE>
9
<PAGE>
THE U.S. 6-10 VALUE SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
COMMON STOCKS -- (98.8%)
*3-D Systems Corp..................................... 129,900 $ 1,087,913
AAR Corp.............................................. 130,400 5,028,550
*ABT Building Products Corp........................... 41,000 738,000
*ACT Networks, Inc.................................... 103,000 843,313
*ACX Technologies, Inc................................ 265,200 7,110,675
*AEP Industries, Inc.................................. 37,150 1,200,409
*AG Associates, Inc................................... 10,200 61,200
*AG Services America, Inc............................. 2,900 52,381
*#APS Holding Corp. Class A........................... 167,300 645,673
*ATL Ultrasound, Inc.................................. 100,827 4,360,768
Aames Financial Corp.................................. 287,800 3,885,300
*#Aasche Transportation Services, Inc................. 43,600 134,888
Abington Bancorp, Inc................................. 20,800 756,600
Abrams Industries, Inc................................ 10,000 77,500
*Abraxas Petroleum Corp............................... 68,200 1,116,775
*Accell International Corp............................ 53,000 200,406
*Acceptance Insurance Companies, Inc.................. 168,100 4,086,931
*Access Beyond, Inc................................... 30,400 164,350
*Acclaim Entertainment, Inc........................... 77,700 316,870
Aceto Corp............................................ 54,440 1,081,995
*Acme Metals, Inc..................................... 210,400 2,616,850
*Acme United Corp..................................... 8,700 50,569
*Adage, Inc........................................... 59,254 368,486
*Adam Software, Inc................................... 3,000 8,391
*Adflex Solutions, Inc................................ 800 15,425
*Advanced Magnetics, Inc.............................. 5,000 46,563
*Advanced Marketing Services, Inc..................... 61,500 795,656
Advantage Bancorp, Inc................................ 41,925 2,636,034
Advest Group, Inc..................................... 80,200 1,824,550
*Aeroflex, Inc........................................ 46,200 395,588
*Aerovox, Inc......................................... 60,800 330,600
Affiliated Community Bancorp.......................... 20,500 585,531
*Air Methods Corp..................................... 91,700 335,278
*Airtran Holdings, Inc................................ 14,600 74,597
*Alarmguard Holdings, Inc............................. 11,200 120,400
*#Alaska Air Group, Inc............................... 173,500 6,484,563
*Alba-Waldensian, Inc................................. 4,700 25,850
Albank Financial Corp................................. 89,180 4,158,018
*Aldila, Inc.......................................... 178,100 818,147
Alfa Corp............................................. 80,200 1,313,275
Alico, Inc............................................ 27,800 681,100
*Alkermes, Inc........................................ 68,500 1,357,156
*All American Semiconductor, Inc...................... 23,600 43,144
Allen Organ Co. Class B............................... 5,000 213,125
Alliance Bancorp...................................... 68,558 1,799,648
*Alliance Entertainment Corp.......................... 67,600 5,408
*Alliance Semiconductor Corp.......................... 364,700 2,313,566
*Allied Healthcare Products, Inc...................... 81,000 640,406
*Allied Holdings, Inc................................. 61,900 1,218,656
Allied Life Financial Corp............................ 31,600 667,550
*Allied Research Corp................................. 49,500 612,563
*Allou Health & Beauty Care, Inc. Class A............. 46,900 369,338
*Allstate Financial Corp.............................. 20,900 128,013
*Aloette Cosmetics, Inc............................... 17,300 51,359
*Alpha Beta Technology, Inc........................... 12,000 35,625
*Alpha Industries, Inc................................ 62,200 1,158,475
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Alpha Microsystems, Inc.............................. 28,500 $ 33,844
*Alpha Technologies Group, Inc........................ 74,400 274,350
Alpharma, Inc. Class A................................ 131,000 2,996,625
*Alteon, Inc.......................................... 13,400 77,469
Amcast Industrial Corp................................ 112,800 2,791,800
Amcore Financial, Inc................................. 51,850 1,241,159
*America West Holdings Corp. Class B.................. 486,900 7,759,969
American Annuity Group, Inc........................... 60,850 1,266,441
American Bank of Connecticut.......................... 23,300 1,096,556
*American Banknote Corp............................... 212,500 1,142,188
American Biltrite, Inc................................ 40,100 937,338
*American Classic Voyages Co.......................... 1,100 18,975
*American Eagle Group, Inc............................ 75,600 3,478
*American Eagle Outfitters, Inc....................... 33,700 1,139,481
*American Ecology Corp................................ 51,900 76,228
*American Freightways Corp............................ 472,000 6,903,000
American Heritage Life Investment Corp................ 129,400 4,755,450
*American Homepatient, Inc............................ 119,300 2,423,281
American Indemnity Financial Corp..................... 14,200 180,163
*American Medical Electronics, Inc. (Escrow-Bonus).... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 20,800 0
*American Mobile Satellite Corp....................... 217,200 1,710,450
*American Oilfield Divers, Inc........................ 53,800 707,806
*American Pacific Corp................................ 90,400 666,700
*American Physicians Services Group, Inc.............. 42,400 307,400
*American Software, Inc. Class A...................... 122,100 1,137,056
*American Technical Ceramics Corp..................... 32,100 515,606
*American United Global, Inc.......................... 22,100 45,236
American Vanguard Corp................................ 7,040 51,040
*American Waste Services, Inc. Class A................ 200,900 301,350
American Woodmark Corp................................ 35,010 765,844
Americana Bancorp, Inc................................ 23,300 460,175
*Amerihost Properties, Inc............................ 60,600 399,581
*Ameristar Casinos, Inc............................... 54,800 288,556
*Ameriwood Industries International Corp.............. 47,200 297,950
Ameron, Inc........................................... 39,900 2,573,550
*Ames Department Stores, Inc.......................... 177,000 2,986,875
*Amistar Corp......................................... 42,300 153,338
Ampco-Pittsburgh Corp................................. 133,100 2,528,900
*Amrep Corp........................................... 76,592 421,256
*Amresco, Inc......................................... 10,000 277,500
*Amtech Corp.......................................... 157,700 734,291
*Amtran, Inc.......................................... 118,000 951,375
Amvestors Financial Corp.............................. 149,348 3,276,322
Amwest Insurance Group, Inc........................... 28,050 390,947
Analogic Corp......................................... 79,500 3,006,094
Analysis & Technology, Inc............................ 19,200 453,600
*#Anaren Microwave, Inc............................... 35,800 720,475
Anchor Bancorp Wisconsin, Inc......................... 59,850 1,874,053
Andover Bancorp, Inc. DE.............................. 57,460 2,152,954
Angelica Corp......................................... 163,400 3,513,100
*Ann Taylor Stores Corp............................... 395,900 5,641,575
</TABLE>
10
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CONTINUED
<TABLE>
<CAPTION>
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------------- ---------------
<S> <C> <C>
*Ansaldo Signal N.V................................... 69,550 $ 315,148
*Antec Corp........................................... 327,800 5,039,925
*Apertus Technologies, Inc............................ 107,400 184,594
*Apogee, Inc.......................................... 104,800 255,450
*Applied Extrusion Technologies, Inc.................. 117,700 930,566
*Applied Magnetics Corp............................... 63,000 1,063,125
*Applied Signal Technologies, Inc..................... 90,500 1,363,156
*#Arcadia Financial, Ltd.............................. 413,700 3,464,738
Arch Coal, Inc........................................ 55,000 1,447,188
*Arch Communications Group, Inc....................... 287,400 1,966,894
Arctic Cat, Inc....................................... 24,000 252,750
*#Argosy Gaming Corp.................................. 355,800 1,445,438
*Arkansas Best Corp................................... 219,000 2,422,688
*Armco, Inc........................................... 90,000 478,125
*Arrow Automotive Industries, Inc..................... 21,600 70,200
Arrow Financial Corp.................................. 5,495 180,328
*Artisoft, Inc........................................ 157,400 339,394
*Artistic Greetings, Inc.............................. 45,700 217,075
Arvin Industries, Inc................................. 156,800 5,409,600
*Asante Technologies, Inc............................. 92,500 450,938
*Ascent Entertainment Group, Inc...................... 66,696 721,151
*Aseco Corp........................................... 35,600 356,000
*Ashworth, Inc........................................ 7,400 79,781
*Astec Industries, Inc................................ 94,800 1,528,650
Astoria Financial Corp................................ 172,708 9,542,117
Astro-Med, Inc........................................ 49,675 409,819
*Astronics Corp....................................... 20,625 193,359
*Asyst Technologies, Inc.............................. 61,200 1,885,725
*Atchison Casting Corp................................ 76,200 1,314,450
*Athey Products Corp.................................. 17,140 73,381
*Atkinson (Guy F.) of California...................... 87,900 321,384
*Atlantic Gulf Communities Corp....................... 109,600 458,950
*Atlantic Tele-Network, Inc........................... 208,700 2,530,488
*Atlantis Plastics, Inc............................... 60,000 341,250
Atrion Corp........................................... 37,750 554,453
*Au Bon Pain, Inc. Class A............................ 115,500 1,046,719
*Audiovox Corp. Class A............................... 200,000 1,762,500
*Ault, Inc............................................ 9,500 65,609
*Autoimmune, Inc...................................... 123,000 357,469
*Autoinfo, Inc........................................ 71,700 42,572
*Autologic Information International, Inc............. 7,100 53,250
*Avatar Holdings, Inc................................. 23,000 652,625
*#Avatex Corp......................................... 189,340 331,345
*Aviall, Inc.......................................... 117,500 1,667,031
*Avid Technology, Inc................................. 116,500 3,422,188
*Avigen, Inc.......................................... 119,500 395,844
*Avondale Industries, Inc............................. 141,500 4,006,219
*Aydin Corp........................................... 54,300 624,450
*Aztar Corp........................................... 559,700 3,917,900
BEI Electronics, Inc.................................. 86,000 344,000
*BEI Technologies, Inc................................ 86,000 1,032,000
*BF Enterprises, Inc.................................. 2,300 19,838
*BFX Hospitality Group, Inc........................... 89,400 234,675
*BHC Communications, Inc. Class A..................... 7,100 891,050
*BI, Inc.............................................. 107,300 757,806
*BPI Packaging Technologies, Inc...................... 78,200 84,309
*BRC Holdings, Inc.................................... 55,400 2,309,488
BSB Bancorp, Inc...................................... 104,700 3,265,331
BT Financial Corp..................................... 28,912 1,340,794
*BT Office Products International, Inc................ 330,600 3,388,650
*BTU International, Inc............................... 75,800 431,113
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*BWAY Corp............................................ 76,200 $ 1,643,063
*Back Bay Restaurant Group, Inc....................... 36,200 233,038
Badger Meter, Inc..................................... 21,200 879,800
Badger Paper Mills, Inc............................... 10,400 87,750
Bairnco Corp.......................................... 88,200 870,975
Baker (J.), Inc....................................... 155,818 1,066,379
*Baker (Michael) Corp................................. 62,500 589,844
Baldwin & Lyons, Inc. Class B......................... 1,600 39,400
*Baldwin Piano & Organ Co............................. 27,000 445,500
*Baldwin Technology, Inc. Class A..................... 172,600 863,000
*Bally Total Fitness Holding Corp..................... 22,775 425,608
*Baltek Corp.......................................... 4,500 42,188
*Bancinsurance Corp................................... 51,700 248,806
Bancorp Connecticut, Inc.............................. 23,700 942,075
*Bank Plus Corp....................................... 169,000 1,869,563
*Bank United Financial Corp. Class A.................. 19,900 257,456
#BankAtlantic Bancorp, Inc. Class A................... 80,270 1,083,645
BankAtlantic Bancorp, Inc. Class B.................... 115,531 1,635,486
BankNorth Group, Inc. DE.............................. 27,200 1,640,500
*Banner Aerospace, Inc................................ 310,500 2,949,750
*Banyan System, Inc................................... 153,000 511,594
*Barry (R.G.) Corp.................................... 18,000 210,375
*Basin Exploration, Inc............................... 97,900 1,823,388
Bassett Furniture Industries, Inc..................... 135,350 3,975,906
Battle Mountain Gold Co............................... 317,700 1,598,428
#Bay View Capital Corp................................ 104,000 3,471,000
*Bayou Steel Corp. Class A............................ 121,300 439,713
*Be Aerospace, Inc.................................... 100,200 3,150,038
*Beazer Homes USA, Inc................................ 111,200 1,984,225
*Bel Fuse, Inc........................................ 57,800 1,130,713
*Bell Industries, Inc................................. 101,022 1,679,491
*Bell Microproducts, Inc.............................. 99,900 842,906
*Bell Sports Corp..................................... 158,700 1,334,072
*Bellwether Exploration Co............................ 81,600 851,700
*Ben & Jerry's Homemade, Inc. Class A................. 70,700 1,135,619
*Berlitz International, Inc........................... 79,100 2,041,769
*Bertuccis, Inc....................................... 99,100 631,763
*Best Buy Co., Inc.................................... 176,400 5,137,650
Bindley Western Industries, Inc....................... 133,100 4,092,825
Binks Sames Corp...................................... 30,918 1,329,474
*Bio Vascular, Inc.................................... 7,000 24,719
*Bio-Rad Laboratories, Inc. Class A................... 43,900 1,105,731
*Bird Corp............................................ 18,800 76,375
Birmingham Steel Corp................................. 401,500 6,147,969
*Biscayne Apparel, Inc................................ 2,093 1,439
*Black Hawk Gaming & Development, Inc................. 31,600 229,100
Blair Corp............................................ 127,100 2,422,844
Blessings Corp........................................ 66,700 950,475
*Bluegreen Corp....................................... 213,798 935,366
Bob Evans Farms, Inc.................................. 246,100 4,952,763
*Boca Research, Inc................................... 98,700 697,069
*Bombay Co., Inc...................................... 372,000 1,929,750
*Bon-Ton Stores, Inc.................................. 106,900 1,683,675
*Books-a-Million, Inc................................. 199,000 1,349,469
*Borland International, Inc........................... 124,100 1,248,756
*Boston Chicken, Inc.................................. 257,300 2,062,420
Bostonfed Bancorp, Inc................................ 15,000 308,438
Bowl America, Inc. Class A............................ 45,000 381,094
Bowne & Co., Inc...................................... 133,916 5,113,917
*Box Energy Corp. Class B............................. 5,200 37,538
</TABLE>
11
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
*Boyd Gaming Corp..................................... 353,000 $ 2,559,250
*Brauns Fashions Corp................................. 22,200 213,675
*Brazos Sportswear, Inc............................... 4,190 37,710
Brenton Banks, Inc.................................... 786 25,766
*Brite Voice Systems, Inc............................. 2,000 18,375
*Brock International, Inc............................. 45,700 188,513
*Brookstone, Inc...................................... 111,300 1,349,513
*Brothers Gourmet Coffees, Inc........................ 102,500 124,922
*Brown & Sharpe Manufacturing Co. Class A............. 173,600 1,779,400
Brown Group, Inc...................................... 297,200 4,810,925
Brush Wellman, Inc.................................... 156,000 3,705,000
*Buckhead America Corp................................ 15,700 129,525
*Buffets, Inc......................................... 103,000 917,344
*Builders Transport, Inc.............................. 61,600 184,800
*Building Materials Holding Corp...................... 197,000 2,228,563
*Bull Run Corp. GA.................................... 84,500 258,781
Burlington Coat Factory Warehouse Corp................ 364,500 6,811,594
*Burlington Industries, Inc........................... 14,000 203,000
*Burr Brown Corp...................................... 54,500 1,638,406
*Business Resource Group.............................. 33,400 123,163
*Butler International, Inc............................ 23,200 391,500
Butler Manufacturing Co............................... 45,500 1,541,313
*Buttrey Food & Drug Stores Co........................ 111,400 1,204,513
*C ATS Software, Inc.................................. 2,100 11,944
*C-COR Electronics, Inc............................... 12,000 187,500
*C.P. Clare Corp...................................... 52,000 698,750
CFX Corp.............................................. 151,000 4,190,250
*CMC Industries, Inc.................................. 30,700 374,156
*CML Group, Inc....................................... 326,300 1,142,050
CNA Surety Corp....................................... 135,600 1,966,200
*CNS Income........................................... 12,000 95,250
*CPAC, Inc............................................ 27,000 290,250
CPB, Inc.............................................. 107,000 2,223,594
CPI Corp.............................................. 112,400 2,093,450
*CSP, Inc............................................. 29,200 226,300
*CSS Industries, Inc.................................. 17,900 590,700
CTS Corp.............................................. 180,300 6,130,200
Cadmus Communications Corp............................ 94,100 2,011,388
*Caere Corp........................................... 33,900 297,155
*Cal-Maine Foods, Inc................................. 3,000 18,750
*Calcomp Technology, Inc.............................. 28,800 129,600
*#Caldor Corp......................................... 111,100 65,993
Calgon Carbon Corp.................................... 5,500 60,844
*California Microwave, Inc............................ 157,700 2,927,306
Calmat Co............................................. 272,500 7,136,094
*Calumet Bancorp, Inc................................. 27,000 870,750
*Cambridge Soundworks, Inc............................ 48,000 507,000
*Cameron Ashley Building Products, Inc................ 70,000 1,098,125
*Campo Eletronics, Appliances & Computers, Inc........ 43,900 43,214
*Canandaigua Wine Co., Inc. Class A................... 93,100 4,460,072
*Canisco Resources, Inc............................... 5,700 16,031
Cape Cod Bank & Trust Co.............................. 11,200 436,800
*Capital Pacific Holdings, Inc........................ 92,800 310,300
Capital Re Corp....................................... 101,400 5,684,738
Capitol Bancorp, Ltd.................................. 34,727 941,970
Capmac Holdings, Inc.................................. 106,600 3,611,075
*Capstone Pharmacy Services, Inc...................... 36,000 398,250
*Cardiotech International, Inc........................ 15,572 44,770
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Cardiovascular Dynamics, Inc......................... 105,000 $ 570,938
*Care Group, Inc...................................... 71,130 36,676
*Carlyle Industries, Inc.............................. 10,231 15,986
*Carmike Cinemas, Inc. Class A........................ 67,300 2,082,094
Carnegie Bancorp...................................... 18,195 564,045
*Carnegie Group, Inc.................................. 20,100 86,681
Carolina First Corp................................... 74,990 1,464,649
*Carr-Gottstein Foods Co.............................. 100,657 496,994
*Carson Pirie Scott & Co.............................. 180,400 9,313,150
*Carson, Inc.......................................... 8,000 65,000
Carter-Wallace, Inc................................... 270,800 4,485,125
*Carver Corp. WA...................................... 16,200 16,706
Cascade Corp.......................................... 14,600 262,800
*Casco International, Inc............................. 1,911 7,166
Cash America International, Inc....................... 239,200 2,990,000
*Casino America, Inc.................................. 323,400 929,775
*Casino Data Systems.................................. 206,300 934,797
*Casino Magic Corp.................................... 172,600 210,356
*Castle & Cooke, Inc.................................. 18,800 312,550
Castle Energy Corp.................................... 16,300 226,163
*Catalina Lighting, Inc............................... 85,700 530,269
*Catalyst Semiconductor, Inc.......................... 92,400 148,706
*Catherines Stores Corp............................... 114,400 718,575
Cato Corp. Class A.................................... 371,700 3,484,688
Cavalier Homes, Inc................................... 13,000 126,750
*Cayenne Software, Inc................................ 52,100 127,808
*Celadon Group, Inc................................... 100,000 1,512,500
*Celebrity, Inc....................................... 105,300 210,600
*Cell Genesys, Inc.................................... 35,500 303,969
*Cellpro, Inc......................................... 136,800 384,750
*Cellstar Corp........................................ 22,800 591,375
Cenfed Financial Corp................................. 58,722 2,354,385
Cenit Bancorp, Inc.................................... 18,300 1,251,263
*Centennial Cellular Corp. Class A.................... 166,800 3,184,838
*Centigram Communications Corp........................ 86,800 1,424,063
Central Co-Operative Bank Somerville, MA.............. 24,100 638,650
Central Reserve Life Corp............................. 26,600 133,000
*Central Sprinkler Corp............................... 31,900 574,200
Centris Group, Inc.................................... 72,400 1,570,175
*Cephalon, Inc........................................ 48,600 495,113
*Ceradyne, Inc........................................ 34,800 160,406
*Cerion Technologies, Inc............................. 81,500 185,922
Chaparral Steel Co.................................... 225,500 3,467,063
*Charming Shoppes, Inc................................ 1,221,500 5,973,898
*Chart House Enterprises, Inc......................... 114,300 800,100
Charter Financial, Inc................................ 46,400 1,028,050
*Check Technology Corp................................ 47,600 188,913
*#Checkers Drive-In Restaurant, Inc................... 100 111
*Checkmate Electronics, Inc........................... 62,000 457,250
*Checkpoint System, Inc............................... 306,500 4,942,313
Chemed Corp........................................... 29,500 1,154,188
*Chemfab Corp......................................... 16,050 368,147
*Cherry Corp. Class A................................. 48,700 744,197
*Cherry Corp. Class B................................. 32,500 475,313
Chesapeake Corp....................................... 1,500 51,375
#Chesapeake Energy Corp............................... 350,400 2,693,700
Chester Valley Bancorp................................ 794 21,240
*Chic by His, Inc..................................... 109,700 809,038
Chicago Rivet & Machine Co............................ 11,800 351,050
*Children's Discovery Centers of America, Inc. Class
A................................................... 76,200 619,125
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Childtime Learning Centers, Inc...................... 37,900 $ 523,494
*Chips & Technologies, Inc............................ 19,300 297,341
Chittenden Corp....................................... 17,820 786,308
*Chock Full O' Nuts Corp.............................. 125,323 900,759
*Christiana Companies, Inc............................ 60,000 2,250,000
*Chrysalis International Corp......................... 65,000 255,938
*Cidco, Inc........................................... 128,800 2,632,350
*Cinergi Pictures Entertainment, Inc.................. 73,700 172,734
*Ciprico, Inc......................................... 23,800 299,731
*Circon Corp.......................................... 26,500 405,781
*Circuit Systems, Inc................................. 53,000 235,188
*Citadel Holding Corp................................. 73,300 297,781
*Citation Computer System, Inc........................ 11,200 76,300
*Citation Corp........................................ 153,900 2,625,919
Citfed Bancorp, Inc................................... 48,400 2,450,250
Citizens Banking Corp................................. 97,050 2,838,713
*Citizens, Inc. Class A............................... 10,600 72,875
*Civic Bancorp........................................ 37,695 610,188
*Clean Harbors, Inc................................... 117,500 229,492
Cleveland Cliffs, Inc................................. 131,300 5,662,313
*Clintrials Research, Inc............................. 286,300 2,451,444
*Coast Distribution System............................ 85,100 287,213
Coastal Bancorp, Inc.................................. 51,400 1,497,025
*Coastal Physician Group, Inc......................... 197,900 222,638
*Coastcast Corp....................................... 41,800 587,813
*Cobra Electronic Corp................................ 54,700 434,181
*Code-Alarm, Inc...................................... 23,200 55,100
*Coeur d'Alene Mines Corp. ID......................... 242,800 2,094,150
*Coherent, Inc........................................ 36,800 1,382,300
*Coho Energy, Inc..................................... 270,200 2,752,663
*Cohr, Inc............................................ 16,400 202,438
Collagen Corp......................................... 107,300 2,132,588
Collins Industries, Inc............................... 12,500 83,594
*Columbia Banking System, Inc......................... 32,697 870,558
*Columbus Energy Corp................................. 22,375 192,984
*Comdial Corp......................................... 91,800 975,375
Commercial Bancshares, Inc............................ 24,045 590,605
Commercial Federal Corp............................... 2,294 110,255
Commercial Intertech Corp............................. 86,600 1,547,975
Commercial Metals Co.................................. 154,900 5,102,019
Commonwealth Bancorp, Inc............................. 12,500 252,344
Commonwealth Industries, Inc.......................... 125,800 2,107,150
*Communications Central, Inc.......................... 57,200 575,575
Community Bank System, Inc............................ 58,000 1,674,750
Community Trust Bancorp, Inc.......................... 43,370 1,322,785
*Compdent Corp........................................ 61,600 1,274,350
*#Complete Management, Inc............................ 20,000 332,500
Computer Data Systems, Inc............................ 18,700 758,519
*Computer Network Technology Corp..................... 282,000 1,136,813
*Computer Outsourcing Services, Inc................... 42,800 377,175
*Computrac, Inc....................................... 25,900 25,900
*Comshare, Inc........................................ 14,250 83,719
*Comstock Resources, Inc.............................. 5,900 77,438
*Comtech Telecommunications Corp...................... 26,900 122,311
*Concord Camera Corp.................................. 12,300 51,891
*Concord Fabrics, Inc. Class A........................ 16,400 147,088
*Cone Mills Corp. NC.................................. 262,300 2,065,613
*Congoleum Corp. Class A.............................. 3,400 34,638
*Conmed Corp.......................................... 198,561 4,691,004
*Continental Can, Inc. DE............................. 38,400 844,800
Continental Homes Holding Corp........................ 79,748 2,596,794
*Continental Materials Corp........................... 2,300 62,963
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Cooker Restaurant Corp................................ 150,000 $ 1,490,625
*Cooperative Bankshares, Inc.......................... 20,800 357,500
*Copart, Inc.......................................... 122,700 2,139,581
*Copley Pharmaceutical, Inc........................... 148,100 1,055,213
*Coram Healthcare Corp................................ 45,800 166,025
*Corcom, Inc.......................................... 900 8,831
*Core, Inc............................................ 7,400 77,469
*Cornerstone Imaging, Inc............................. 86,400 413,100
*Corrpro Companies, Inc............................... 68,300 964,738
*Cortech, Inc......................................... 71,900 44,938
*Cosmetic Centers, Inc. Class C....................... 8,646 27,019
Courier Corp.......................................... 15,600 432,900
*Cover-All Technologies, Inc.......................... 31,901 124,613
Covest Bancshares, Inc................................ 32,550 862,575
*Craig Corp........................................... 38,600 738,225
*Criticare Systems, Inc............................... 53,900 218,969
Cross (A.T.) Co. Class A.............................. 160,300 1,718,216
*Crowley, Milner & Co................................. 18,000 184,500
*Crown Books Corp..................................... 20,300 151,616
*Crown Central Petroleum Corp. Class A................ 71,000 1,428,875
*Crown Central Petroleum Corp. Class B................ 59,400 1,128,600
Crown Crafts, Inc..................................... 80,900 1,314,625
*Crown Vantage, Inc................................... 21,020 210,200
*Crown-Andersen, Inc.................................. 20,000 135,000
*Cruise America, Inc.................................. 45,500 418,031
Cubic Corp............................................ 89,950 2,889,644
*Cuisine Solutions, Inc............................... 12,000 16,125
Culp, Inc............................................. 8,100 150,863
Curtiss-Wright Corp................................... 43,600 3,332,675
*Cyberoptics Corp..................................... 43,700 1,188,094
*Cybex International, Inc............................. 43,300 470,888
*Cyrk, Inc............................................ 193,500 2,261,531
*Cytrx Corp........................................... 86,000 357,438
D&N Financial Corp.................................... 49,700 1,208,331
*DBA Systems, Inc..................................... 45,900 324,169
*DII Group, Inc....................................... 66,400 1,489,850
*DIY Home Warehouse, Inc.............................. 84,800 339,200
*DM Management Co..................................... 32,300 575,344
*DSP Technology, Inc.................................. 13,600 146,200
DT Industries, Inc.................................... 59,300 1,651,134
*DVI, Inc............................................. 96,700 1,764,775
*Dairy Mart Convenience Stores, Inc. Class A.......... 9,000 40,500
*Dakota Mining Corp................................... 10,909 3,409
*Dakotah, Inc......................................... 5,000 10,156
*Damark International, Inc. Class A................... 80,800 999,900
Dames & Moore, Inc.................................... 178,300 2,206,463
Daniel Industries, Inc................................ 145,700 2,704,556
Dart Group Corp. Class A.............................. 5,600 653,800
*Data Broadcasting Corp............................... 119,470 843,757
*Data I/O Corp........................................ 69,400 511,825
*#Data Race, Inc...................................... 29,800 141,550
*Data Systems & Software, Inc......................... 86,800 463,838
*Data Systems Network Corp............................ 3,228 37,526
*Data Translation, Inc................................ 8,250 26,297
*Dataflex Corp........................................ 66,500 284,703
*Datakey, Inc......................................... 19,100 76,997
*Dataram Corp......................................... 31,160 268,755
*Datascope Corp....................................... 24,000 609,000
*Dataware Technologies, Inc........................... 65,700 209,419
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Datron Systems, Inc.................................. 30,000 $ 305,625
*Datum, Inc........................................... 35,800 673,488
*Davco Restaurants, Inc............................... 42,800 839,950
*Daw Technologies, Inc................................ 111,900 227,297
*Dawson Geophysical Co................................ 36,600 697,688
Daxor Corp............................................ 52,000 624,000
*DeGeorge Financial Corp.............................. 19,900 17,413
Deb Shops, Inc........................................ 142,000 816,500
*Deckers Outdoor Corp................................. 100,100 835,209
Decorator Industries, Inc............................. 16,666 152,077
Defiance, Inc......................................... 73,100 581,373
*Deflecta-Shield Corp................................. 49,600 779,650
*Del Global Technologies Corp......................... 85,877 848,035
Delta Natural Gas Co., Inc............................ 26,100 473,063
Delta Woodside Industries, Inc........................ 278,200 1,634,425
*Designer Holdings, Ltd............................... 189,000 1,771,875
*Designs, Inc......................................... 178,800 611,831
*Detection Systems, Inc............................... 30,000 442,500
*Detrex Corp.......................................... 2,800 28,875
*Detroit Diesel Corp.................................. 190,300 4,341,219
*Devcon International Corp............................ 50,800 250,825
*Devlieg-Bullard, Inc................................. 6,600 28,463
*Diamond Multimedia Systems, Inc...................... 188,400 1,866,338
*Dianon Systems, Inc.................................. 40,000 337,500
*Digi International, Inc.............................. 124,000 2,425,750
*Digital Sound Corp................................... 25,000 28,906
Dime Bancorp, Inc..................................... 92,004 2,231,097
Dime Financial Corp................................... 38,900 1,213,194
*Discount Auto Parts, Inc............................. 167,900 3,137,631
*Dixie Group, Inc..................................... 122,400 1,346,400
*Dixon Ticonderoga Co................................. 27,250 383,203
*#Dominion Bridge Corp................................ 179,500 350,586
*Dominion Homes, Inc.................................. 70,100 638,567
Donegal Group, Inc.................................... 52,833 1,096,285
Donnelly Corp. Class A................................ 78,250 1,437,844
*Donnkenny, Inc....................................... 157,300 540,719
*Dotronix, Inc........................................ 1,000 953
Downey Financial Corp................................. 282,927 7,780,493
*Dravo Corp........................................... 22,800 226,575
*Dress Barn, Inc...................................... 160,823 4,161,295
*Drug Emporium, Inc................................... 188,400 741,825
*#Drypers Corp........................................ 49,400 276,331
*Durakon Industries, Inc.............................. 107,400 976,669
Dyersburg Corp........................................ 124,200 1,540,856
*Dynamics Research Corp............................... 71,364 896,510
*E-Z-Em, Inc. Class A................................. 43,200 318,600
*E-Z-Em, Inc. Class B................................. 2,473 17,002
*EA Engineering Science & Technology, Inc............. 55,825 113,395
*EA Industries, Inc................................... 44,400 258,075
*ECC International Corp............................... 90,500 356,344
*EFTC Corp............................................ 34,700 518,331
*EIS International, Inc............................... 132,800 879,800
*ELXSI Corp........................................... 27,900 369,675
EMC Insurance Group, Inc.............................. 33,600 449,400
*ERLY Industries, Inc................................. 21,120 151,800
*ESCO Electronics Corp. Trust Receipts................ 193,400 3,166,925
Eagle Bancshares, Inc................................. 64,600 1,231,438
Eagle Financial Corp.................................. 52,039 2,680,009
*Eagle Food Centers, Inc.............................. 79,200 396,000
*Eagle Hardware & Garden, Inc......................... 165,400 2,816,969
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Eagle Point Software Corp............................ 80,000 $ 277,500
Easco, Inc............................................ 108,000 1,262,250
Eastern Co............................................ 19,600 352,800
Eaton Vance Corp...................................... 159,846 5,584,620
Ecology & Environment, Inc. Class A................... 22,300 248,088
*Edelbrock Corp....................................... 85,000 1,381,250
*#Edison Brothers Stores, Inc......................... 44,500 0
Edo Corp.............................................. 31,500 279,563
*Education Alternatives, Inc.......................... 80,100 370,463
*Educational Insights, Inc............................ 49,300 120,939
*Egghead, Inc......................................... 224,625 1,635,551
*Ekco Group, Inc...................................... 214,300 1,500,100
*El Chico Restaurants, Inc............................ 42,900 496,031
*El Paso Electric Co.................................. 306,700 2,070,225
Elcor Corp............................................ 23,550 571,088
*Electro Rent Corp.................................... 37,000 1,385,188
*Electro Scientific Industries, Inc................... 42,400 1,762,250
*Electroglas, Inc..................................... 147,500 2,774,844
*Electromagnetic Sciences, Inc........................ 70,250 1,255,719
*Elek-Tek, Inc........................................ 52,400 5,240
Ellett Brothers, Inc.................................. 14,400 81,900
*Emcon................................................ 93,200 515,513
*#Empire of Carolina, Inc............................. 87,550 175,100
*Emulex Corp.......................................... 11,750 187,266
Energen Corp.......................................... 116,700 4,434,600
Engineered Support Systems, Inc....................... 24,500 528,281
#Engle Homes, Inc..................................... 78,700 1,153,447
Enhance Financial Services Group, Inc................. 41,100 2,296,463
*Enstar, Inc.......................................... 20,866 169,536
*Environmental Elements Corp.......................... 30,300 83,325
*Envirotest Systems Corp. Class A..................... 98,100 539,550
*#Equinox Systems, Inc................................ 35,400 651,581
*Equitex, Inc......................................... 9,400 9,106
*Equitrac Corp........................................ 26,500 445,531
*Equity Oil Co........................................ 142,900 473,356
Eskimo Pie Corp....................................... 3,300 34,856
Espey Manufacturing & Electronics Corp................ 3,500 60,375
*Esterline Technologies Corp.......................... 63,600 2,249,850
*Evans & Sutherland Computer Corp..................... 93,000 2,859,750
*Evans Systems, Inc................................... 23,585 42,011
*Evans, Inc........................................... 80,800 194,425
Evergreen Bancorp, Inc. DE............................ 63,100 1,494,681
*Evergreen Resources, Inc............................. 39,000 606,938
*Exabyte Corp......................................... 225,000 2,200,781
*Exar Corp............................................ 101,500 2,543,844
Excel Industries, Inc................................. 125,200 2,433,575
*Executone Information Systems, Inc................... 190,600 413,959
#Exide Corp........................................... 250,100 5,971,138
*Ezcorp, Inc. Class A Non-Voting...................... 139,100 1,577,916
FCB Financial Corp.................................... 22,600 618,675
FDP Corp.............................................. 10,500 108,281
FFLC Bancorp.......................................... 50,833 1,156,451
FFY Financial Corp.................................... 42,300 1,263,713
*FM Properties, Inc................................... 136,200 676,744
FNB Rochester Corp.................................... 30,300 516,994
*FPA Corp............................................. 20,100 23,241
*FSI International, Inc............................... 212,900 3,253,378
*FTP Software, Inc.................................... 299,800 679,234
Fab Industries, Inc................................... 67,081 1,995,660
</TABLE>
14
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<TABLE>
<CAPTION>
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*Fabri-Centers of America, Inc. Class A............... 35,700 $ 747,469
*Fabri-Centers of America, Inc. Class B............... 35,700 718,463
*Failure Group, Inc................................... 69,500 655,906
*Fairchild Corp. Class A.............................. 143,900 3,264,731
*Fansteel, Inc........................................ 74,700 662,963
*Farah, Inc........................................... 163,600 848,675
Farmer Brothers Co.................................... 84 13,398
*Farr Co.............................................. 34,800 545,925
Farrel Corp........................................... 62,200 219,644
Federal Screw Works................................... 2,000 120,250
*Fibermark, Inc....................................... 46,550 986,278
Fidelity Bancorp, Inc. Delaware....................... 32,700 748,013
Fidelity National Financial, Inc...................... 9,000 234,000
*Fieldcrest Cannon, Inc............................... 104,600 3,523,713
*Figgie International, Inc. Class B................... 17,700 230,100
*Filenes Basement Corp................................ 246,200 1,546,444
*Filenet Corp......................................... 5,200 142,675
Financial Bancorp., Inc............................... 25,000 623,438
*Finish Line, Inc. Class A............................ 15,500 294,500
First Albany Companies, Inc........................... 28,866 427,587
*First Alert, Inc..................................... 270,400 760,500
First American Financial Corp......................... 112,500 6,890,625
First Bell Bancorp, Inc............................... 2,700 47,588
*First Cash, Inc...................................... 45,200 368,663
First Central Financial Corp.......................... 49,600 27,900
First Citizens Bancshares, Inc. NC.................... 30,400 3,351,600
First Colorado Bancorp................................ 4,200 96,075
First Commonwealth Financial Corp..................... 9,700 246,744
First Defiance Financial Corp......................... 108,600 1,676,513
First Essex Bancorp................................... 86,400 1,701,000
First Federal Capital Corp............................ 65,610 1,820,678
First Federal Savings & Loan Association of East
Hartford, CT........................................ 31,000 1,147,000
First Financial Holdings, Inc......................... 50,300 2,140,894
First Indiana Corp.................................... 76,922 2,009,587
First Liberty Financial Corp.......................... 47,850 1,312,884
*#First Merchants Acceptance Corp..................... 65,300 2,041
First Northern Capital Corp........................... 98,700 1,307,775
First Oak Brook Bancshares, Inc. Class A.............. 14,500 598,125
First Palm Beach Bancorp, Inc......................... 55,200 2,152,800
*First Republic Bank.................................. 112,703 3,113,420
First Savings Bancorp, Inc. North Carolina............ 48,000 1,152,000
First Savings Bank.................................... 77,200 1,944,475
*First Team Sports, Inc............................... 85,600 326,350
First Western Bancorp, Inc............................ 19,200 532,800
Firstbank of Illinois Co.............................. 1,800 57,206
*FirstFed Financial Corp. DE.......................... 95,700 3,493,050
*Fischer Imaging Corp................................. 100,600 578,450
Fleming Companies, Inc................................ 260,597 4,332,425
Flexsteel Industries, Inc............................. 78,400 921,200
Florida Rock Industries, Inc.......................... 186,000 4,836,000
*Florsheim Group, Inc................................. 82,400 744,175
Fluke Corp............................................ 96,620 2,294,725
*Fluor Daniel/GTI, Inc................................ 15,822 147,342
Flushing Financial Corp............................... 4,500 99,000
*Foilmark, Inc........................................ 36,100 114,505
*Foodarama Supermarkets, Inc.......................... 12,400 274,350
*Foothill Independent Bancorp......................... 39,842 647,433
<CAPTION>
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Forest City Enterprises, Inc. Class A................. 38,450 $ 2,196,456
*Foster (L.B.) Co. Class A............................ 115,800 607,950
*Four Kids Entertainment, Inc......................... 17,000 61,625
Frankfort First Bancorp, Inc.......................... 1,300 12,269
Franklin Bank National Associaton Southfield, MI...... 36,460 606,148
*Franklin Electronic Publishers, Inc.................. 86,100 1,226,925
Freds, Inc. Class A................................... 97,400 2,386,300
*Fresh Choice, Inc.................................... 64,900 273,797
Friedman Industries, Inc.............................. 55,517 388,619
*Friedmans, Inc. Class A.............................. 149,300 2,174,181
Frisch's Restaurants, Inc............................. 77,405 1,025,616
Frozen Food Express Industries, Inc................... 56,300 555,963
*Funco, Inc........................................... 34,300 647,413
*Fund American Enterprises Holdings, Inc.............. 1,000 122,625
*Fuqua Enterprises, Inc............................... 44,800 1,360,800
*G-III Apparel Group, Ltd............................. 73,200 382,013
GBC Bancorp........................................... 48,200 2,641,963
*GC Companies, Inc.................................... 71,300 3,092,638
*GKN Holding Corp..................................... 8,100 33,919
*GNI Group, Inc....................................... 42,700 248,194
*GT Bicycles, Inc..................................... 93,700 635,403
*GTI Corp............................................. 113,200 672,125
*GZA Geoenvironmental Technologies, Inc............... 36,500 185,922
Gainsco, Inc.......................................... 79,000 661,625
*Galey & Lord, Inc.................................... 118,500 2,133,000
*Galileo Corp......................................... 66,100 739,494
Gamma Biologicals, Inc................................ 52,000 260,000
*Gantos, Inc.......................................... 84,350 100,166
Garan, Inc............................................ 58,000 1,435,500
*Garden Botanika, Inc................................. 67,200 302,400
*Garden Fresh Restaurant Corp......................... 45,900 651,206
*Garnet Resources Corp................................ 39,600 9,281
*Gasonics International, Inc.......................... 19,200 255,600
*Gehl Co.............................................. 68,600 1,564,938
*General Communications, Inc. Class A................. 72,900 503,466
*#General Datacomm Industries, Inc.................... 219,000 1,149,750
*General Host Corp.................................... 314,370 1,670,091
General Housewares Corp............................... 38,700 362,813
*General Microwave Corp............................... 400 3,800
*General Surgical Innovations, Inc.................... 145,000 670,625
*Genesco, Inc......................................... 27,700 360,100
*#Geneva Steel Co. Class A............................ 202,100 505,250
*Genicom Corp......................................... 90,400 1,243,000
*Genlyte Group, Inc................................... 85,500 1,480,219
Genovese Drug Stores, Inc. Class A.................... 12,650 230,863
*Gensym Corp.......................................... 71,200 384,925
*Genus, Inc........................................... 178,300 763,347
Geon Co............................................... 103,500 2,445,188
George Mason Bankshares, Inc.......................... 15,000 577,500
*Geoscience Corp...................................... 50,000 612,500
Gerber Scientific, Inc................................ 339,500 6,790,000
*Getty Petroleum Marketing, Inc....................... 198,300 1,053,469
*Giant Group, Ltd..................................... 50,600 379,500
Giant Industries, Inc................................. 154,900 2,846,288
*Gibraltar Packaging Group, Inc....................... 67,200 180,600
*Gibson Greetings, Inc................................ 185,000 4,364,844
*Giga-Tronics, Inc.................................... 19,900 200,866
*Gish Biomedical, Inc................................. 42,300 206,213
</TABLE>
15
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CONTINUED
<TABLE>
<CAPTION>
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Gleason Corp.......................................... 93,800 $ 2,432,938
*Global Industrial Technologies, Inc.................. 218,300 3,902,113
*Global Motorsport Group, Inc......................... 62,500 863,281
*Global Village Communication, Inc.................... 92,200 181,519
*Golden Books Family Entertainment, Inc............... 90,800 856,925
*Good Guys, Inc....................................... 218,300 1,800,975
Gorman-Rupp Co........................................ 15,100 283,125
*Gottschalks, Inc..................................... 107,300 918,756
*Government Technology Services, Inc.................. 68,200 362,313
*Gradco Systems, Inc.................................. 78,000 633,750
*Graham Corp.......................................... 25,950 544,950
*Graham-Field Health Products, Inc.................... 92,400 1,380,225
*Grand Casinos, Inc................................... 460,900 6,049,313
Grand Premier Financial, Inc.......................... 54,907 777,277
Granite Construction, Inc............................. 201,150 4,601,306
Granite State Bankshares, Inc......................... 22,800 508,725
Green (A.P.) Industries, Inc.......................... 95,294 1,107,793
Greenbrier Companies, Inc............................. 189,900 3,252,038
*Greyhound Lines, Inc................................. 254,000 1,000,125
*Grist Mill & Co...................................... 76,600 713,338
*Grossmans, Inc....................................... 154,000 1,386
*Group Technologies Corp.............................. 105,000 334,688
*Gryphon Holdings, Inc................................ 106,800 1,755,525
Guaranty National Corp................................ 79,305 2,845,067
*Guest Supply, Inc.................................... 58,700 807,125
Guilford Mills, Inc................................... 251,500 6,366,094
*Gulfmark Offshore, Inc............................... 22,200 746,475
*Gundle/SLT Environmental, Inc........................ 267,900 1,322,756
*HCIA, Inc............................................ 114,400 1,376,375
HF Financial Corp..................................... 29,300 747,150
*HMI Industries, Inc.................................. 9,000 50,625
*HMN Financial, Inc................................... 44,400 1,151,625
*HPSC, Inc............................................ 42,000 246,750
*HS Resources, Inc.................................... 221,300 3,526,969
*Haemonetics Corp..................................... 25,000 365,625
Haggar Corp........................................... 96,700 1,535,113
*Hahn Automotive Warehouse, Inc....................... 38,746 247,006
*Hampshire Group, Ltd................................. 19,100 362,900
*Hampton Industries, Inc.............................. 47,690 411,326
*Handleman Co......................................... 484,436 3,239,666
Handy & Harman........................................ 98,007 2,192,907
*Hanger Orthopedic Group, Inc......................... 5,600 69,300
*Harding Lawson Associates Group, Inc................. 51,700 494,381
Harleysville Group, Inc............................... 305,600 7,162,500
Harris Financial, Inc................................. 29,500 564,188
*#Harry's Farmers Market, Inc. Class A................ 46,100 96,522
*Hartmarx Corp........................................ 371,800 3,020,875
*Harvey Entertainment Co.............................. 36,600 516,975
Harvey's Casino Resorts............................... 112,100 2,220,981
Haskel International, Inc............................. 37,600 454,725
Hastings Manufacturing Co............................. 850 34,850
*Hathaway Corp........................................ 45,300 130,238
*Hauser, Inc.......................................... 116,700 780,431
Haven Bancorp, Inc.................................... 45,300 1,947,900
Haverty Furniture Co., Inc............................ 140,100 1,799,409
*Hawthorne Financial Corp............................. 30,600 640,688
*Hays Wheels International, Inc....................... 21,700 647,609
*Health Management Systems, Inc....................... 32,100 198,619
*Health Risk Management, Inc.......................... 42,800 460,100
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Healthcare Services Group, Inc....................... 92,200 $ 1,172,669
*Healthcor Holdings................................... 65,300 302,013
Healthplan Services Corp.............................. 19,453 375,686
*#Heartland Wireless Communications, Inc.............. 30,000 58,125
*Hector Communications Corp........................... 8,500 77,031
Heilig-Meyers Co...................................... 242,750 3,140,578
*Hein-Werner Corp..................................... 18,886 133,382
*Heist (C.H.) Corp.................................... 16,800 116,025
*Hello Direct, Inc.................................... 84,100 609,725
Heritage Financial Services, Inc...................... 500 12,813
*Herley Industries, Inc............................... 20,533 282,970
*Hi-Lo Automotive, Inc................................ 126,700 348,425
*Hi-Shear Industries, Inc............................. 53,500 132,092
*Hi-Tech Pharmacal, Inc............................... 48,700 246,544
*High Plains Corp..................................... 177,300 559,603
Hoenig Group, Inc..................................... 104,700 595,481
*Holiday RV Superstores, Inc.......................... 60,800 95,000
Holly Corp............................................ 88,500 2,389,500
*Hollywood Casino Corp. Class A....................... 5,900 14,566
*Hollywood Entertainment Corp......................... 67,100 577,689
*Hollywood Park, Inc.................................. 48,500 936,656
*Hologic, Inc......................................... 19,600 509,600
*Holopak Technologies, Inc............................ 27,800 97,300
Home Federal Bancorp.................................. 34,875 941,625
Home Port Bancorp, Inc................................ 14,500 342,563
*Home Products International, Inc..................... 4,900 54,819
*Home State Holdings, Inc............................. 79,500 12,402
*Homebase, Inc........................................ 104,550 875,606
*Homecorp, Inc........................................ 7,650 192,206
*Homeowners Group, Inc................................ 21,600 17,896
Horizon Financial Corp................................ 82,265 1,372,797
*Hospital Staffing Services, Inc...................... 62,200 58,313
*Housecall Medical Resources, Inc..................... 29,400 94,631
*Hovnanian Enterprises, Inc. Class A.................. 211,784 1,548,671
#Howell Corp.......................................... 34,200 664,763
Hudson Foods, Inc. Class A............................ 322,250 6,102,609
Hudson General Corp................................... 32,900 1,595,650
*Hudson Technologies, Inc............................. 33,100 154,122
Huffy Corp............................................ 128,500 1,935,531
Hughes Supply, Inc.................................... 191,000 6,255,250
*Hugoton Energy Corp.................................. 291,000 2,782,688
Hunt (J.B.) Transport Services, Inc................... 365,500 5,962,219
Huntco, Inc. Class A.................................. 84,500 1,066,813
*Hurco Companies, Inc................................. 23,500 198,281
*#Hutchinson Technology, Inc.......................... 12,000 285,750
*Hycor Biomedical, Inc................................ 77,700 165,113
*Hyde Athletic Industries, Inc. Class A............... 19,800 90,956
*Hyde Athletic Industries, Inc. Class B............... 30,000 150,000
IBS Financial Corp.................................... 4,900 84,984
*ICF Kaiser International, Inc........................ 60,300 128,138
ICO, Inc.............................................. 241,800 1,473,469
*ICU Medical, Inc..................................... 79,400 868,438
*IEC Electronics Corp................................. 118,600 1,823,475
IFR Systems, Inc...................................... 26,000 786,500
*IHOP Corp............................................ 33,900 1,158,956
*ILC Technology, Inc.................................. 12,000 174,000
*IPC Information Systems, Inc......................... 8,900 162,981
ISB Financial Corp. LA................................ 25,100 647,894
*ITC Learning Corp.................................... 49,200 218,325
*ITEQ, Inc............................................ 76,559 901,961
*ITI Technologies, Inc................................ 5,600 139,650
</TABLE>
16
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
*Ibah, Inc............................................ 243,000 $ 827,719
*Imation Corp......................................... 10,300 179,606
*Immulogic Pharmaceutical Corp........................ 180,100 410,853
#Imperial Holly Corp.................................. 172,100 1,860,831
*In Focus Systems, Inc................................ 24,000 790,500
*In Home Health, Inc.................................. 116,200 128,909
*#Inacom Corp......................................... 89,000 2,525,375
*Inco Homes Corp...................................... 156 556
*Indenet, Inc......................................... 68,000 149,813
Independence Holding Co............................... 52,600 644,350
Independent Bank Corp. MA............................. 61,200 998,325
Independent Bank East................................. 13,891 447,117
Industrial Acoustics Co., Inc......................... 700 7,788
*Inference Corp. Class A.............................. 115,000 589,375
*Information Resources, Inc........................... 77,600 1,164,000
*Information Storage Devices, Inc..................... 106,000 748,625
Ingles Market, Inc. Class A........................... 99,700 1,333,488
*Innodata Corp........................................ 11,600 9,606
*Innoserv Technologies, Inc........................... 13,700 32,966
Insituform East, Inc.................................. 31,200 83,850
*Insituform Technologies, Inc. Class A................ 256,300 2,274,663
*Inso Corp............................................ 36,000 387,000
Insteel Industries, Inc............................... 84,100 630,750
Instron Corp.......................................... 63,500 1,079,500
*Insurance Auto Auctions, Inc......................... 121,500 1,290,938
*Integrated Silicon Solution, Inc..................... 106,200 1,048,725
*Intellicall, Inc..................................... 29,500 162,250
*Intelligent Electronics, Inc......................... 334,639 1,725,482
*Intelligent Systems Corp............................. 52,375 274,969
Intercargo Corp....................................... 30,100 406,350
*Interface Systems, Inc............................... 49,600 148,800
Interface, Inc. Class A............................... 144,600 4,297,331
*Intergraph Corp...................................... 464,900 4,866,922
*Interlinq Software Corp.............................. 62,200 264,350
*International Alliance Services, Inc................. 17,560 253,523
International Aluminum Corp........................... 48,900 1,515,900
*International Lottery & Totalizer Systems, Inc....... 9,600 14,850
International Multifoods Corp......................... 241,400 6,487,625
*International Rectifier Corp......................... 548,400 7,746,150
*International Remote Imaging Systems, Inc............ 3,000 12,000
International Shipholding Corp........................ 70,475 1,264,145
*International Technology Corp........................ 111,725 921,731
*International Thoroughbred Breeders, Inc............. 110,000 385,000
*Interphase Corp...................................... 65,100 421,116
Interpool, Inc........................................ 125,400 1,747,763
Interra Financial, Inc................................ 37,250 2,055,734
Interstate Johnson Lane, Inc.......................... 40,100 1,037,588
*Intertan, Inc........................................ 131,400 747,338
*Intervisual Books, Inc. Class A...................... 9,900 25,369
Interwest Bancorp..................................... 17,600 683,100
Invacare Corp......................................... 12,100 281,325
Investors Financial Services Corp..................... 1,039 43,898
Investors Title Co.................................... 18,200 398,125
Isco, Inc............................................. 21,900 201,206
*Isolyser Co., Inc.................................... 507,600 1,522,800
*Iwerks Entertainment, Inc............................ 191,700 706,894
*J & J Snack Foods Corp............................... 100,100 1,626,625
J & L Specialty Steel, Inc............................ 365,800 3,566,550
*J. Alexander's Corp.................................. 63,500 345,281
<CAPTION>
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<S> <C> <C>
*JPE, Inc............................................. 63,300 $ 363,975
JSB Financial, Inc.................................... 105,400 4,914,275
*Jackpot Enterprises, Inc............................. 100,600 1,219,775
*Jaclyn, Inc.......................................... 26,900 117,688
*Jaco Electronics, Inc................................ 45,446 306,761
*Jacobson Stores, Inc................................. 62,650 689,150
*Jan Bell Marketing, Inc.............................. 262,500 738,281
*Jason, Inc........................................... 197,500 1,518,281
*Jean Philippe Fragrances, Inc........................ 103,200 799,800
Jefferson Savings Bancorp, Inc........................ 30,000 1,286,250
John Alden Financial Corp............................. 351,200 9,460,450
*Johnson Worldwide Associates, Inc. Class A........... 122,100 2,045,175
Johnston Industries, Inc.............................. 113,925 590,986
*Johnstown American Industries, Inc................... 117,900 1,245,319
*Jones Intercable, Inc................................ 48,900 641,813
*Jones Intercable, Inc. Class A....................... 335,100 4,691,400
*Jos. A. Bank Clothiers, Inc.......................... 117,300 821,100
*Jumbosports, Inc..................................... 335,000 984,063
Juno Lighting, Inc.................................... 12,000 229,500
*Just Toys, Inc....................................... 14,000 15,313
Justin Industries, Inc................................ 339,800 4,990,813
K Swiss, Inc. Class A................................. 37,000 612,813
*K-Tron International, Inc............................ 6,300 111,038
*KBK Capital Corp..................................... 5,000 49,375
*KLLM Transport Services, Inc......................... 52,099 661,006
*Kaiser Aluminum Corp................................. 168,100 1,744,038
*Kaiser Ventures, Inc................................. 102,900 1,389,150
Kaman Corp. Class A................................... 245,800 4,501,213
Katy Industries, Inc.................................. 135,800 2,376,500
Kaye Group, Inc....................................... 40,000 270,000
Keithley Instruments, Inc............................. 1,000 10,625
Kellwood Co........................................... 175,518 6,022,461
Kenan Transport Co.................................... 200 4,975
*Kentucky Electric Steel, Inc......................... 32,600 232,275
Kewaunee Scientific Corp.............................. 22,200 262,238
*Key Production Co., Inc.............................. 83,762 895,206
*Key Tronic Corp...................................... 108,600 604,088
*Keystone Consolidated Industries, Inc................ 100,586 1,282,472
Kimball International, Inc. Class B................... 59,900 2,405,359
*Kimmins Corp......................................... 44,000 209,000
*Kinark Corp.......................................... 70,900 230,425
*Kinnard Investment, Inc.............................. 71,100 419,934
*Kirby Corp........................................... 6,500 120,656
*Kit Manufacturing Co................................. 11,100 97,125
Klamath First Bancorp, Inc............................ 101,100 2,179,969
Knape & Vogt Manufacturing Co......................... 46,531 918,987
*Koss Corp............................................ 32,100 441,375
*Krug International Corp.............................. 65,400 412,838
LCS Industries, Inc................................... 13,200 234,300
LNR Property Corp..................................... 15,750 366,188
LSB Industries, Inc................................... 99,500 435,313
LSI Industries, Inc................................... 13,230 229,044
*LTX Corp............................................. 343,400 1,910,163
La-Z-Boy, Inc......................................... 12,900 554,700
Lab Holdings, Inc..................................... 61,300 1,446,297
*#Laboratory Corp. of America Holdings, Inc........... 360,700 743,944
*Laclede Steel Co..................................... 39,600 185,625
*Ladd Furniture, Inc.................................. 87,327 1,337,195
*Laidlaw Environmental Services, Inc.................. 648,134 2,916,603
</TABLE>
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<TABLE>
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<S> <C> <C>
*Lamson & Sessions Co................................. 154,700 $ 1,005,550
*Landair Services, Inc................................ 16,200 447,525
*Lasermaster Technologies, Inc........................ 27,800 120,756
*Laserscope........................................... 61,000 324,063
*#LaserSight Corporation.............................. 26,400 90,750
Lawyers Title Corp.................................... 112,112 3,559,556
*Layne Christensen Co................................. 29,600 516,150
*Lazare Kaplan International, Inc..................... 500 7,156
*Learning Co., Inc.................................... 465,000 8,428,125
*Leasing Solutions, Inc............................... 9,600 229,800
*Lechters, Inc........................................ 226,400 1,287,650
Lennar Corp........................................... 78,250 1,633,469
*Lexford, Inc......................................... 28,500 874,594
*Liberty Technologies, Inc............................ 62,300 175,219
Life Bancorp, Inc..................................... 12,000 372,000
*Life USA Holdings, Inc............................... 221,700 3,713,475
*Lifeline Systems, Inc................................ 19,500 436,313
Lifetime Hoan Corp.................................... 15,200 154,850
*Ligand Pharmaceuticals, Inc. Class B................. 7,599 98,312
Lillian Vernon Corp................................... 97,400 1,357,513
*Lindal Cedar Homes, Inc.............................. 8,000 32,500
Lindberg Corp......................................... 64,800 939,600
*Liuski International, Inc............................ 30,700 28,781
*Lodgenet Entertainment Corp.......................... 134,000 1,691,750
*#Logic Devices, Inc.................................. 68,900 193,781
*Lone Star Steakhouse Saloon.......................... 63,500 1,186,656
*Loronix Information Systems, Inc..................... 52,800 108,900
*Louis Dreyfus Natural Gas Corp....................... 256,656 5,309,571
Lufkin Industries, Inc................................ 66,600 2,364,300
Lukens, Inc. DE....................................... 243,600 4,080,300
*Lumisy, Inc.......................................... 14,800 91,575
*Luria (L.) & Son, Inc................................ 75,800 1,099
*Lynch Corp........................................... 2,300 197,800
*M-Wave, Inc.......................................... 24,800 103,850
*M.H. Meyerson & Co., Inc............................. 43,100 231,663
M/A/R/C, Inc.......................................... 5,002 95,663
MAF Bancorp, Inc...................................... 73,861 2,409,715
#MDC Holdings, Inc.................................... 274,288 3,034,311
*MEMC Electronic Materials, Inc....................... 118,700 2,144,019
MFB Corp.............................................. 19,200 439,200
*MFRI, Inc............................................ 53,900 525,525
*MHM Services, Inc.................................... 712 801
*MI Schottenstein Homes, Inc.......................... 93,800 1,389,413
*MK Gold Corp......................................... 140,100 207,961
MMI Companies, Inc.................................... 131,200 3,165,200
*MRS Technology, Inc.................................. 67,600 69,713
*MS Carriers, Inc..................................... 134,000 3,232,750
*MTI Technology Corp.................................. 32,700 447,581
MTS Systems Corp...................................... 71,600 2,734,225
MYR Group, Inc........................................ 30,966 690,929
*Macheezmo Mouse Restaurants, Inc..................... 25,000 9,775
*Main Street & Main, Inc.............................. 24,000 69,750
*Manhattan Bagel Co., Inc............................. 4,100 5,573
*Mapinfo Corp......................................... 88,600 1,196,100
Marcus Corp........................................... 137,500 3,884,375
*Marine Drilling Companies, Inc....................... 30,300 690,272
*Mariner Health Group, Inc............................ 307,300 4,465,453
*Marisa Christina, Inc................................ 94,000 446,500
Maritrans, Inc........................................ 143,700 1,293,300
*Mark VII, Inc........................................ 19,800 356,400
*Marker International................................. 115,000 539,063
*Marlton Technologies, Inc............................ 28,000 185,500
<CAPTION>
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Marsh Supermarkets, Inc. Class A...................... 37,900 $ 582,713
Marsh Supermarkets, Inc. Class B...................... 50,400 759,150
*Marshall Industries.................................. 70,800 2,442,600
Maryland Federal Bancorp.............................. 79,130 2,064,798
Massbank Corp. Reading, MA............................ 40,266 1,804,420
*Matec Corp. DE....................................... 6,900 28,463
*Material Sciences Corp............................... 241,200 3,542,625
*Matlack Systems, Inc................................. 94,642 822,202
*Matria Healthcare, Inc............................... 58,800 308,700
*Matrix Pharmaceutical, Inc........................... 304,900 1,076,678
*Matrix Service Co.................................... 106,900 855,200
*Mattson Technology, Inc.............................. 3,900 38,147
*Maverick Tube Corp................................... 72,500 2,073,047
*Max & Ermas Restaurants, Inc......................... 20,400 124,950
*Maxco, Inc........................................... 38,500 445,156
*Maxim Group, Inc..................................... 35,000 538,125
*Maxwell Technologies, Inc............................ 32,190 854,041
*Maxxam, Inc.......................................... 93,300 4,344,281
*Maxxim Medical, Inc.................................. 125,900 2,754,063
*Maynard Oil Co....................................... 49,600 607,600
McDonald & Co. Investment, Inc........................ 58,000 1,562,375
McGrath Rent Corp..................................... 80,000 1,762,500
McRae Industries, Inc. Class A........................ 1,000 9,000
*Medalliance, Inc. Liquidating Trust Escrow........... 39,500 0
*Medaphis Corp........................................ 1,099,800 5,533,369
*#Medcath, Inc........................................ 13,400 226,125
Medford Savings Bank MA............................... 51,800 1,923,075
*Media 100, Inc....................................... 92,000 428,375
*Media Logic, Inc..................................... 20,100 27,638
*Medical Action Industries, Inc....................... 19,000 68,281
*Medical Assurance, Inc............................... 27,000 767,813
*Medical Graphics Corp................................ 27,800 116,413
*Medical Resources, Inc............................... 41,356 373,496
*Medicore, Inc........................................ 58,600 135,513
*Mediq, Inc........................................... 5,200 52,975
*Medstone International, Inc.......................... 14,500 144,094
Merchants Bancorp, Inc................................ 39,400 952,988
Merchants Group, Inc.................................. 25,600 499,200
#Mercury Air Group, Inc............................... 15,300 88,453
*Meridian Data, Inc................................... 105,900 446,766
Meridian Insurance Group, Inc......................... 47,000 866,563
*Merisel, Inc......................................... 335,800 1,584,556
*Merix Corp........................................... 77,100 1,151,681
Merrimac Industries, Inc.............................. 10,700 151,138
*Mesa Air Group, Inc.................................. 430,100 2,392,431
*Mesaba Holdings, Inc................................. 23,600 519,200
*Mestek, Inc.......................................... 13,500 240,469
*Metal Management, Inc................................ 7,300 152,844
*Metatec Corp. Class A................................ 100,600 503,000
*Metra Biosystems, Inc................................ 140,600 531,644
*Metrocall, Inc....................................... 295,700 1,561,666
*Michael Anthony Jewelers, Inc........................ 81,500 224,125
Michael Foods, Inc.................................... 173,981 3,833,019
*Michaels Stores, Inc................................. 329,900 10,628,966
*Micro Linear Corp.................................... 68,100 521,391
*Micro Warehouse, Inc................................. 411,600 6,045,375
*Microage, Inc........................................ 153,300 3,094,744
*Microdyne Corp....................................... 8,100 58,472
*Micronics Computers, Inc............................. 157,900 335,538
*Microtest, Inc....................................... 93,700 560,736
*Microwave Power Dynamics, Inc........................ 117,900 884,250
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Mid America Banccorp.................................. 83,246 $ 2,518,211
Middlesex Water Co.................................... 7,500 142,031
*#Midisoft Corp....................................... 35,000 42,665
Midland Co............................................ 5,600 338,450
*Midwest Grain Products, Inc.......................... 100,900 1,412,600
Mikasa, Inc........................................... 175,400 2,335,013
*Mikohn Gaming Corp................................... 120,100 994,578
*Miller Building Systems, Inc......................... 27,300 230,344
*Miltope Group, Inc................................... 68,100 234,094
Mine Safety Appliances Co............................. 37,600 2,566,200
Minuteman International, Inc.......................... 9,000 96,750
#Mississippi Chemical Corp............................ 76,900 1,499,550
*Molecular Dynamics, Inc.............................. 4,500 91,406
*#Molten Metal Technology, Inc........................ 43,500 13,594
*Monaco Coach Corp.................................... 12,800 323,200
*Monarch Casino and Resort, Inc....................... 5,200 27,300
Monarch Machine Tool Co............................... 42,400 355,100
*Monro Muffler Brake, Inc............................. 24,300 350,831
Monterey Bay Bancorp, Inc............................. 13,200 255,750
*Moog, Inc. Class A................................... 54,000 1,964,250
*Moog, Inc. Class B................................... 12,800 470,400
*Moore Handley, Inc................................... 2,000 5,500
*Moore Medical Corp................................... 42,100 468,363
*Moore Products Co.................................... 40,400 1,459,450
*Moovies, Inc......................................... 205,700 257,125
*Morgan Products, Ltd................................. 115,100 704,988
*#Morrow Snowboards, Inc.............................. 22,500 60,469
*Mosaix, Inc.......................................... 43,100 393,288
*Mother's Work, Inc................................... 67,000 603,000
*Motivepower Industries, Inc.......................... 100,700 2,668,550
*Motor Club of America................................ 5,600 76,300
Movado Group, Inc..................................... 64,500 1,161,000
*Movie Gallery, Inc................................... 210,500 690,703
*Moviefone, Inc. Class A.............................. 29,500 197,281
Mueller (Paul) Co..................................... 3,900 151,125
*Multi Color Corp..................................... 7,600 49,400
*Multigraphics, Inc................................... 8,000 21,000
*Musicland Stores Corp................................ 263,000 1,430,063
*Mutual Savings Bank FSB Bay City, MI................. 50,900 655,338
Myers Industries, Inc................................. 500 8,625
*N & F Worldwide Corp................................. 31,000 297,406
*NAI Technologies, Inc................................ 26,700 60,075
NBT Bancorp........................................... 68,944 1,779,618
NCH Corp.............................................. 43,900 2,993,431
*NCS Healthcare, Inc.................................. 82,900 2,191,669
*NPS Pharmaceuticals, Inc............................. 105,500 975,875
*NS Group, Inc........................................ 122,000 2,287,500
*NSA International, Inc............................... 51,800 89,031
NSC Corp.............................................. 79,900 187,266
NYMAGIC, Inc.......................................... 132,700 3,383,850
Nacco Industries, Inc. Class A........................ 72,383 7,880,699
*Nantucket Industries, Inc............................ 6,500 2,844
*Napco Security Systems, Inc.......................... 49,600 306,900
Nash Finch Co......................................... 125,900 2,360,625
*Nashua Corp.......................................... 89,800 1,173,013
*Nathans Famous, Inc.................................. 58,400 222,650
*National Auto Credit, Inc............................ 428,690 2,840,071
*National City Bancorp................................ 74,559 2,087,652
*National Energy Group, Inc........................... 53,510 229,090
National Gas & Oil Co................................. 38,306 442,914
*National Home Centers, Inc........................... 54,500 63,016
<CAPTION>
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*National Home Health Care Corp....................... 58,211 $ 309,248
National Insurance Group.............................. 24,400 257,725
*National Media Corp.................................. 259,800 1,071,675
*National Patent Development Corp..................... 97,315 1,313,753
National Presto Industries, Inc....................... 78,900 3,091,894
*National Processing, Inc............................. 5,500 57,063
*National Record Mart, Inc............................ 31,400 118,731
*National Standard Co................................. 8,100 47,588
*National Steel Corp. Class B......................... 213,100 3,196,500
National Technical Systems, Inc....................... 58,000 494,813
*National Techteam, Inc............................... 164,500 1,788,938
*National Western Life Insurance Co. Class A.......... 24,300 2,314,575
*Natural Wonders, Inc................................. 89,100 673,819
*Navigators Group, Inc................................ 2,100 39,769
Nelson (Thomas), Inc.................................. 57,000 650,156
*#Netmanage, Inc...................................... 167,000 474,906
*Netrix Corp.......................................... 111,500 149,828
*Network Computing Devices, Inc....................... 162,300 1,338,975
*Network Equipment Technologies, Inc.................. 198,900 2,896,481
*Network Peripherals, Inc............................. 100,400 527,100
*New Brunswick Scientific Co., Inc.................... 42,088 326,182
*New Horizons Worldwide, Inc.......................... 55,100 854,050
New Jersey Resources Corp............................. 137,312 4,780,174
*New Jersey Steel Corp................................ 55,800 1,257,244
*New Mexico & Arizona Land Co......................... 34,816 522,240
Newcor, Inc........................................... 50,142 432,475
Newmil Bancorp, Inc................................... 41,100 575,400
#Newport Corp......................................... 74,700 1,260,563
*Nextel Communications Corp. Class A.................. 38,120 963,723
*Nexthealth, Inc...................................... 62,800 69,669
*Nichols Research Corp................................ 13,650 315,656
*Nitches, Inc......................................... 3,679 22,074
*Nobel Education Dynamics, Inc........................ 14,500 86,547
*Noel Group, Inc...................................... 95,400 339,863
Noland Co............................................. 2,000 47,750
*Noodle Kidoodle, Inc................................. 86,000 247,250
*Nord Resources Corp.................................. 250,500 438,375
*Norland Medical System, Inc.......................... 23,000 173,219
*Nortek, Inc.......................................... 99,300 2,420,438
Northrim Bank......................................... 300 4,163
*Northwestern Steel & Wire Co......................... 312,200 1,170,750
*Norton McNaughton, Inc............................... 105,000 636,563
Norwich Financial Corp................................ 56,100 1,672,481
*Norwood Promotional Products, Inc.................... 9,500 144,281
*Novacare, Inc........................................ 448,900 5,555,138
*Nu Horizons Electronics Corp......................... 88,100 622,206
*Nu-Kote Holding, Inc. Class A........................ 207,800 113,641
*Nview Corp........................................... 49,000 59,719
O'Sullivan Corp....................................... 173,600 1,725,150
*O'Sullivan Industries Holdings, Inc.................. 219,000 2,792,250
*O.I. Corp............................................ 48,200 210,875
*OHM Corp............................................. 201,500 1,712,750
*OMI Corp............................................. 497,700 5,101,425
*OSI Pharmaceutical, Inc.............................. 61,500 440,109
*OTR Express, Inc..................................... 15,000 89,063
*Oak Technology, Inc.................................. 620,500 5,138,516
*Offshore Logistics, Inc.............................. 351,700 8,067,119
Oglebay Norton Co..................................... 32,000 980,000
Oil-Dri Corp. of America.............................. 50,800 850,900
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*Old America Stores, Inc.............................. 39,300 $ 11,063
*Old Dominion Freight Lines, Inc...................... 133,400 2,109,388
*Olympic Steel, Inc................................... 186,000 2,609,813
*Omega Environmental, Inc............................. 37,000 2,313
OnbanCorp, Inc........................................ 73,800 4,976,888
*One Price Clothing Stores, Inc....................... 114,500 236,156
Oneida, Ltd........................................... 93,600 3,515,850
*Oneita Industries, Inc............................... 54,200 18,631
*Onyx Acceptance Corp................................. 10,000 77,500
*Opinion Research Corp................................ 43,900 219,500
*Opta Food Ingredients, Inc........................... 171,600 879,450
*Opti, Inc............................................ 149,200 923,175
Optical Coating Laboratory, Inc....................... 115,200 1,771,200
*Option Care, Inc..................................... 86,200 371,738
Orange Co., Inc....................................... 103,000 824,000
*Oravax, Inc.......................................... 30,000 88,125
*Orbital Sciences Corp................................ 268,100 6,886,819
*Oregon Metallurgical Corp............................ 100,300 3,234,675
Oregon Steel Mills, Inc............................... 248,061 4,868,197
*Oriole Homes Corp. Class A Convertible............... 20,500 97,375
*Oriole Homes Corp. Class B........................... 29,400 139,650
*Oroamerica, Inc...................................... 70,400 391,600
*Orthologic Corp...................................... 235,900 1,216,359
Oshkosh B'Gosh, Inc. Class A.......................... 46,300 1,504,750
Oshkosh Truck Corp. Class B........................... 86,400 1,522,800
*Oshman's Sporting Goods, Inc......................... 65,700 377,775
*Ostex International, Inc............................. 38,700 122,147
*Outlook Group Corp................................... 45,500 304,281
Overseas Shipholding Group, Inc....................... 167,600 4,095,725
Owosso Corp........................................... 57,000 443,531
Oxford Industries, Inc................................ 107,400 3,772,425
*PAM Transportation Services, Inc..................... 43,500 428,203
*PC Service Source, Inc............................... 37,400 210,375
*PICO Holdings, Inc................................... 96,900 590,484
PLM International, Inc................................ 90,500 509,063
*PPT Vision, Inc...................................... 89,000 700,875
PS Group Holdings, Inc................................ 31,500 448,875
*PST Vans, Inc........................................ 44,900 204,856
PXRE Corp............................................. 147,583 4,362,922
Pacific Scientific Co................................. 156,000 2,476,500
*Pacific Sunwear of California, Inc................... 29,750 972,453
*Pages, Inc........................................... 11,800 22,863
Palfed, Inc........................................... 55,800 1,489,163
*Palmer (Arnold) Golf Co.............................. 9,900 26,916
Pamrapo Bancorp, Inc.................................. 32,300 789,331
Pancho's Mexican Buffet, Inc.......................... 43,800 97,181
*Par Technology Corp.................................. 135,500 1,448,156
*Paragon Trade Brands, Inc............................ 142,500 3,206,250
*Park-Ohio Industries, Inc............................ 127,300 2,283,444
Parkvale Financial Corp............................... 39,940 1,170,741
*Parlux Fragrances, Inc............................... 189,800 432,981
*Patina Oil & Gas Corp................................ 49,126 399,149
Patrick Industries, Inc............................... 68,800 989,000
*Patterson Energy, Inc................................ 12 438
*Paxson Communications Corp........................... 252,000 2,142,000
*Payless Cashways, Inc................................ 415,300 21,180
*Paymentech, Inc...................................... 276,800 4,290,400
Peerless Manufacturing Co............................. 16,000 188,000
*#Penn Traffic Co..................................... 116,000 1,015,000
*Penn Treaty American Corp............................ 87,600 2,830,575
Penn Virginia Corp.................................... 147,000 3,978,188
<CAPTION>
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Pennfed Financial Services, Inc....................... 56,100 $ 1,853,053
*Pentech International, Inc........................... 45,600 132,525
Penwest, Ltd.......................................... 50,500 1,871,656
Peoples Bancshares, Inc. Massachusetts................ 32,400 641,925
*Peoples Choice TV Corp............................... 212,000 483,625
Peoples Heritage Financial Group, Inc................. 90,013 3,836,804
*Peoples Telephone Co., Inc........................... 91,000 329,875
*Perfumania, Inc...................................... 87,200 290,213
*Perini Corp.......................................... 59,300 522,581
*Periphonics Corp..................................... 27,200 264,350
*Pete's Brewing Co.................................... 14,900 74,034
*Petrocorp, Inc....................................... 95,200 862,750
*Petroleum Development Corp........................... 14,300 87,588
*Phar-Mor, Inc........................................ 3,800 32,181
*Pharmaceutical Marketing Services, Inc............... 10,400 106,600
*Pharmaceutical Resources, Inc........................ 201,400 314,688
*Pharmchem Laboratories, Inc.......................... 64,900 194,700
*Philip Services Corp................................. 109,581 1,732,750
Phillips-Van Heusen Corp.............................. 376,100 5,171,375
Phoenix Duff & Phelps Corp............................ 434,800 3,261,000
*Photo Control Corp................................... 4,200 11,813
*Physician Reliance Network, Inc...................... 513,300 5,068,838
*Physicians Health Services, Inc. Class A............. 45,900 1,267,988
*Physicians Resource Group, Inc....................... 204,500 1,163,094
*Physiometrix, Inc.................................... 67,500 172,969
Piccadilly Cafeterias, Inc............................ 99,000 1,243,688
*Picturetel Corp...................................... 341,000 2,978,422
*Pilgrim America Capital Corp......................... 42,900 823,144
Pilgrim Pride Corp.................................... 271,200 4,339,200
#Pillowtex Corp....................................... 18,900 500,850
*Pinkertons, Inc...................................... 34,500 789,188
Pinnacle Bancshares, Inc.............................. 9,800 160,475
Pinnacle Financial Services, Inc...................... 23,950 999,913
*Pinnacle Systems, Inc................................ 60,300 1,462,275
Pioneer Natural Resouces Co........................... 17,871 569,638
Piper Jaffray Companies, Inc.......................... 100,496 2,782,483
Pitt-Des Moines, Inc.................................. 34,650 1,199,756
Pittston Co. Burlington Group......................... 218,900 6,033,431
*Planar Systems, Inc.................................. 141,100 1,666,744
Plasti-Line, Inc...................................... 10,000 136,875
*Players International, Inc........................... 448,900 1,444,897
*Polk Audio, Inc...................................... 5,500 49,844
*Pollo Tropical, Inc.................................. 74,800 495,550
*Polymedica Industries, Inc........................... 78,140 722,795
*Polymer Group, Inc................................... 492,500 4,863,438
*Pool Energy Services Co.............................. 164,358 4,242,491
Pope & Talbot, Inc.................................... 160,500 2,648,250
*Porta Systems Corp................................... 5,100 17,213
Portec, Inc........................................... 48,106 667,471
Poughkeepsie Financial Corp........................... 143,900 1,430,006
*Powell Industries, Inc............................... 49,000 686,000
*Powercerv Corp....................................... 191,000 561,063
*Powertel, Inc........................................ 247,600 4,797,250
*Premenos Technology Corp............................. 119,100 1,570,631
Premiumwear, Inc...................................... 20,100 94,219
*President Casinos, Inc............................... 17,683 68,522
Presidential Life Corp................................ 325,700 6,544,534
*Presley Companies Class A............................ 83,300 72,888
</TABLE>
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<TABLE>
<CAPTION>
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*Price Communications Corp............................ 81,600 $ 897,600
Price Enterprises, Inc................................ 205,400 3,684,363
*Pricesmart, Inc...................................... 36,850 603,419
*Primark Corp......................................... 71,100 2,408,513
Prime Bancorp, Inc.................................... 30,847 1,043,014
Primesource Corp...................................... 67,254 815,455
*Printronix, Inc...................................... 22,500 402,188
*Procyte Corp......................................... 110,500 120,859
Progress Financial Corp............................... 27,300 414,619
*Progress Software Corp............................... 98,500 2,043,875
Progressive Bank, Inc................................. 38,500 1,313,813
*Pronet, Inc.......................................... 120,900 536,494
*Proteon, Inc......................................... 152,200 247,325
*Protocol Systems, Inc................................ 99,500 1,026,094
Providence & Worcester Railroad Co.................... 19,300 299,150
*Provident American Corp.............................. 4,900 13,169
Provident Bankshares Corp............................. 52,400 3,098,150
*Proxim, Inc.......................................... 33,600 399,000
*Proxima Corp......................................... 114,900 847,388
Pulaski Furniture Corp................................ 33,200 639,100
Pulte Corp............................................ 7,400 300,163
*Pure World, Inc...................................... 72,000 468,000
*Pyramid Breweries, Inc............................... 17,800 47,838
*QMS, Inc............................................. 119,200 379,950
*Quad Systems Corp.................................... 68,000 435,625
Quaker Chemical Corp.................................. 71,600 1,346,975
*Quaker City Bancorp, Inc............................. 50,850 1,036,069
*Quaker Fabric Corp................................... 78,400 1,553,300
Quaker State Corp..................................... 388,500 5,973,188
*#Quality Dining, Inc................................. 198,500 825,016
*Quality Semiconductor, Inc........................... 77,400 447,469
*Quality Systems, Inc................................. 78,500 578,938
Quanex Corp........................................... 205,000 6,098,750
*Quarterdeck Office Systems, Inc...................... 71,900 151,664
Queens County Bancorp................................. 109,148 3,809,947
*Quest Medical, Inc................................... 25,060 174,637
*Quiksilver, Inc...................................... 1,800 47,475
Quixote Corp.......................................... 80,600 700,213
*R & B, Inc........................................... 87,100 838,338
*RDM Sports Group, Inc................................ 118,500 948
RLI Corp.............................................. 88,650 3,872,897
RPC, Inc.............................................. 54,000 1,444,500
*RTW, Inc............................................. 36,500 242,953
*Rag Shops, Inc....................................... 53,100 165,108
*Ragan (Brad), Inc.................................... 21,000 714,000
*Railtex, Inc......................................... 105,400 1,561,238
*Rainbow Technologies, Inc............................ 19,100 460,788
*#Rally's Hamburgers, Inc............................. 60,300 207,281
*Ramsay Health Care, Inc.............................. 123,800 537,756
*Rare Hospitality International, Inc.................. 133,500 1,435,125
Raritan Bancorp, Inc. DE.............................. 1,575 42,919
*Reading Entertainment, Inc........................... 33,736 425,917
*Recoton Corp......................................... 143,300 1,952,463
*Redwood Empire Bancorp............................... 28,200 442,388
Refac Technology Development Corp..................... 41,685 578,379
*Regeneron Pharmaceuticals, Inc....................... 73,200 718,275
*Reliability, Inc..................................... 48,500 1,035,172
Reliance Steel and Aluminum Co........................ 62,250 1,746,891
*Rentrak Corp......................................... 63,000 313,031
*Repligen Corp........................................ 30,200 30,672
*Republic Automotive Parts, Inc....................... 39,800 597,000
Republic Bancorp, Inc................................. 34,769 599,781
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Republic Engineered Steels, Inc...................... 340,000 $ 499,375
Republic Security Financial Corp...................... 47,100 479,831
Resource Bancshares Mortgage Group, Inc............... 24,700 342,713
*Response Oncology, Inc............................... 183,889 1,792,918
*Rex Stores Corp...................................... 96,100 1,093,138
*Rexhall Industries, Inc.............................. 12,789 63,146
Richardson Electronics, Ltd........................... 41,400 481,275
*Riddell Sports, Inc.................................. 94,900 382,566
*Ride, Inc............................................ 131,800 337,738
Riggs National Corp................................... 298,400 7,282,825
*Right Management Consultants, Inc.................... 78,300 866,194
*Rightchoice Managed Care, Inc. Class A............... 38,200 413,038
*Rimage Corp.......................................... 3,300 21,038
*Rio Hotel & Casino, Inc.............................. 151,300 3,158,388
Rival Co.............................................. 72,600 1,075,388
*River Oaks Furniture, Inc............................ 47,600 83,300
*Riverside Group, Inc................................. 3,200 4,400
Roanoke Electric Steel Corp........................... 87,400 1,944,650
*Roberds, Inc......................................... 79,700 313,819
*Roberts Pharmaceutical Corp.......................... 251,100 2,605,163
Robinson Nugent, Inc.................................. 53,900 289,713
*Rock Bottom Restaurants, Inc......................... 94,400 1,014,800
Rock-Tenn Co. Class A................................. 261,300 5,291,325
*Rocky Shoes & Boots, Inc............................. 33,500 571,594
*Rodman & Renshaw Capital Group, Inc.................. 19,700 7,388
*Rohr, Inc............................................ 93,100 2,851,188
Rollins Truck Leasing Corp............................ 549,600 9,308,850
*Rottlund, Inc........................................ 37,800 151,200
Rouge Industries, Inc. Class A........................ 220,200 3,358,050
*Royal Precision, Inc................................. 14,150 119,833
*Ruby Tuesday, Inc.................................... 68,000 1,785,000
Russ Berrie & Co., Inc................................ 169,300 5,057,838
*Ryans Family Steak Houses, Inc....................... 549,400 4,910,263
Rykoff-Sexton, Inc.................................... 289,975 6,506,314
Ryland Group, Inc..................................... 213,664 4,660,546
*S&K Famous Brands, Inc............................... 57,700 782,556
*S3, Inc.............................................. 421,000 2,703,609
*SBE, Inc............................................. 2,900 41,778
*SBS Technologies, Inc................................ 40,000 1,162,500
*SED International Holdings, Inc...................... 57,400 733,644
*SLH Corp............................................. 34,575 1,849,763
*SSE Telecom, Inc..................................... 68,100 336,244
*STM Wireless, Inc. Class A........................... 64,000 940,000
*SYNC Research, Inc................................... 29,500 118,922
*Safety 1st, Inc...................................... 65,400 449,625
*Salant Corp. DE...................................... 153,800 297,988
Salient 3 Communications, Inc. Class A................ 72,900 934,031
*San Filippo (John B.) & Son, Inc..................... 74,800 591,388
Sanderson Farms, Inc.................................. 108,600 1,309,988
*Sands Regent Casino Hotel............................ 43,282 91,298
Sandwich Bancorp, Inc................................. 19,400 822,075
*Santa Cruz Operation, Inc............................ 119,100 699,713
Santa Monica Bank CA.................................. 43,900 1,212,738
*Savoir Technology Group, Inc......................... 12,300 126,844
*Scan-Optics, Inc..................................... 62,200 553,969
*Schein (Henry), Inc.................................. 28,885 1,019,099
*Schieb (Earl), Inc................................... 70,500 616,875
*Scholastic Corp...................................... 63,900 2,444,175
</TABLE>
21
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Schuler Homes, Inc................................... 281,500 $ 1,988,094
Schultz Sav-O Stores, Inc............................. 15,300 242,888
*Scios-Nova, Inc...................................... 145,300 1,103,372
Scope Industries, Inc................................. 4,200 258,300
Seaboard Corp......................................... 100 36,200
*Sealright Co., Inc................................... 111,100 1,381,806
*Secom General Corp................................... 57,500 129,375
*Segue Software, Inc.................................. 69,200 752,550
Selas Corp. of America................................ 61,500 638,063
Selective Insurance Group, Inc........................ 131,900 6,685,681
*Semiconductor Packaging Materials Co., Inc........... 9,100 82,469
*Seneca Foods Corp. Class B........................... 10,500 177,188
*Sentry Technology Corp............................... 16,802 35,704
*Sequa Corp. Class A.................................. 68,600 3,927,350
*Sequa Corp. Class B.................................. 31,400 2,095,950
*Sequent Computer Systems, Inc........................ 390,000 9,079,688
*Service Merchandise Co., Inc......................... 1,081,800 3,651,075
*Servico, Inc......................................... 57,900 1,002,394
*Shaman Pharmaceuticals............................... 35,800 176,763
*Sharper Image Corp................................... 93,400 385,275
Shelby Williams Industries, Inc....................... 8,000 129,500
Shelter Components, Inc............................... 80,600 1,400,425
*Sherwood Group, Inc.................................. 2,400 29,700
*Shiloh Industries, Inc............................... 156,300 2,950,163
*Shoe Carnival, Inc................................... 127,300 1,169,569
*Sholodge, Inc........................................ 75,000 1,214,063
*Shoney's, Inc........................................ 530,304 2,320,080
*Shopko Stores, Inc................................... 246,200 5,170,200
*Show Biz Pizza Time, Inc............................. 86,600 1,878,138
Showboat, Inc......................................... 262,000 5,027,125
Sifco Industries, Inc................................. 41,600 852,800
*Sight Resource Corp.................................. 96,800 441,650
*Sigma Circuits, Inc.................................. 36,200 281,681
*Sigma Designs, Inc................................... 11,300 57,206
*Signal Technology Corp............................... 79,400 416,850
*Signature Brands USA, Inc............................ 108,500 508,594
*Silicon Valley Bancshares............................ 22,300 1,174,931
*#Silicon Valley Group, Inc........................... 163,200 3,891,300
Simmons First National Corp. Class A.................. 41,600 1,470,300
Simpson Industries, Inc............................... 204,500 2,364,531
*Sizzler International, Inc........................... 212,700 624,806
Skaneateles Bancorp, Inc.............................. 9,300 252,844
Skyline Corp.......................................... 101,600 2,755,900
Skywest, Inc.......................................... 123,900 3,020,063
*Smartflex Systems, Inc............................... 20,800 206,700
Smith (A.O.) Corp..................................... 138,500 5,894,906
Smith (A.O.) Corp. Convertible Class A................ 37,900 1,610,750
Snyder Oil Corp....................................... 45,100 896,363
*Sodak Gaming, Inc.................................... 112,000 987,000
*#Softech, Inc........................................ 31,300 73,359
*#Software Spectrum, Inc.............................. 51,900 697,406
*Sound Advice, Inc.................................... 16,600 26,975
South Jersey Industries, Inc.......................... 110,377 2,773,222
*Southern Energy Homes, Inc........................... 100 941
*Southwall Technologies, Inc.......................... 83,600 663,575
Southwest Bancshares, Inc. DE......................... 19,500 496,031
Southwest Securities Group, Inc....................... 66,000 1,559,250
Southwestern Energy Co................................ 357,900 4,182,956
Sovereign Bancorp, Inc................................ 108,454 2,057,237
*Spacelabs Medical, Inc............................... 138,400 3,010,200
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Spaghetti Warehouse, Inc............................. 96,100 $ 654,681
Span-American Medical System, Inc..................... 25,300 192,913
Spartan Motors, Inc................................... 130,300 745,153
*Sparton Corp......................................... 100,600 1,031,150
*Spec's Music, Inc.................................... 36,900 39,206
*Specialty Chemical Resources, Inc.................... 23,000 24,438
*Spectran Corp........................................ 76,300 875,066
*Speizman Industries, Inc............................. 37,400 233,750
*Spelling Entertainment Group, Inc.................... 56,700 478,406
*Spiegel, Inc. Class A Non-Voting..................... 240,000 1,312,500
*Sport Chalet, Inc.................................... 42,300 203,569
*Sport Supply Group, Inc.............................. 85,900 676,463
*#Sportmart, Inc...................................... 54,300 162,900
*Sportmart, Inc. Class A.............................. 43,500 116,906
*Sports Club Co., Inc................................. 69,900 567,938
Springs Industries, Inc. Class A...................... 120,700 6,087,806
St. Francis Capital Corp.............................. 46,300 1,788,338
St. Paul Bancorp, Inc................................. 255,937 6,302,449
*#Stac, Inc........................................... 89,200 526,838
*Staff Builders, Inc. Class A......................... 233,400 638,203
*Stage II Apparel Corp................................ 31,600 37,525
*Standard Commercial Corp............................. 94,680 1,645,065
*Standard Management Corp............................. 53,500 371,156
*Standard Microsystems Corp........................... 189,300 2,052,722
Standard Motor Products, Inc. Class A................. 142,150 2,798,578
Standard Pacific Corp. DE............................. 333,672 4,504,572
Standard Products Co.................................. 265,900 6,680,738
*Stanford Telecommunications, Inc..................... 26,100 580,725
*Stanley Furniture, Inc............................... 38,200 1,050,500
*Starcraft Corp....................................... 27,300 73,369
Starret Corp.......................................... 69,900 838,800
Starrett (L.S.) Co. Class A........................... 58,400 2,248,400
*Starter Corp......................................... 167,700 565,988
*#Station Casinos, Inc................................ 526,100 3,485,413
*Steel of West Virginia, Inc.......................... 68,000 663,000
Steel Technologies, Inc............................... 130,500 1,484,438
Stepan Co............................................. 107,600 2,999,350
Stephan Co............................................ 49,000 624,750
Sterling Bancorp...................................... 63,500 1,393,031
*Sterling Electronics Corp............................ 33,100 686,825
*Sterling Financial Corp. WA.......................... 66,980 1,427,511
*Stevens International, Inc. Class A.................. 53,000 62,938
Stewart & Stevenson Services, Inc..................... 12,000 261,750
Stewart Information Services Corp..................... 69,000 1,867,313
Stifel Financial Corp................................. 59,340 853,013
*Stokely USA, Inc..................................... 84,000 64,313
Stone & Webster, Inc.................................. 134,400 6,300,000
*Stormedia, Inc. Class A.............................. 36,000 133,875
*Strategic Diagnostics, Inc........................... 45,000 97,031
*Strategic Distribution, Inc.......................... 243,600 1,172,325
Strawbridge and Clothier Liquidating Trust............ 71,881 651,466
*Strouds, Inc......................................... 136,000 267,750
*Stuart Entertainment, Inc............................ 60,000 148,125
*#Sulcus Computer Corp................................ 141,900 434,569
Sumitomo Bank of California........................... 86,600 3,279,975
*Summa Four, Inc...................................... 68,300 798,256
*Summit Care Corp..................................... 86,200 1,368,425
*Summit Technology, Inc............................... 12,000 78,375
*Summitt Medical Systems, Inc......................... 169,000 470,031
*Sun Coast Industries, Inc............................ 56,800 284,000
</TABLE>
22
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Sun Healthcare Group, Inc............................ 48,800 $ 1,049,200
*Sun Television and Appliances, Inc................... 206,300 467,398
*Sunbelt Nursery Group, Inc........................... 22,700 22,700
*Sunrise Medical, Inc................................. 222,000 3,510,375
*Sunrise Resources, Inc............................... 77,000 226,188
Superior Surgical Manufacturing Co., Inc.............. 80,900 1,223,613
*Suprema Specialties, Inc............................. 50,500 164,125
*Supreme International Corp........................... 68,550 796,894
*Surety Capital Corp.................................. 66,400 419,150
Susquehanna Bancshares, Inc........................... 156,915 5,089,930
*Swiss Army Brands, Inc............................... 87,300 894,825
*Sybron Chemicals, Inc................................ 1,600 51,300
*Sylvan, Inc.......................................... 104,000 1,443,000
*Symix Systems, Inc................................... 8,600 127,925
*Syms Corp............................................ 128,700 1,488,094
*Synbiotics Corp...................................... 53,400 181,059
*Syncor International Corp. DE........................ 117,600 1,874,250
*Syntellect, Inc...................................... 218,100 463,463
*Syquest Technology, Inc.............................. 75,900 247,861
*TBC Corp............................................. 165,000 1,680,938
TCBY Enterprises, Inc................................. 200,966 1,268,598
*TCC Industries, Inc.................................. 6,700 28,056
*TCI International, Inc............................... 27,600 160,425
*TCSI Corp............................................ 59,500 379,313
*TII Industries, Inc.................................. 77,900 455,228
TJ International, Inc................................. 105,800 2,615,244
TR Financial Corp..................................... 136,400 4,467,100
*TRC Companies, Inc................................... 71,450 276,869
*TRM Copy Centers Corp................................ 72,000 684,000
Tab Products Co. DE................................... 50,900 738,050
*Taco Cabana, Inc..................................... 187,900 962,988
*Tandy Brand Accessories, Inc......................... 12,600 184,275
*Tandy Crafts, Inc.................................... 149,700 673,650
*Tanknology Environmental, Inc........................ 111,600 214,481
Tasty Baking Co....................................... 2,400 56,400
*Team, Inc............................................ 56,500 204,813
*Tech-Sym Corp........................................ 63,400 1,921,813
*Technical Communications Corp........................ 6,300 50,400
*Tegal Corp........................................... 47,300 344,403
*Tekelec.............................................. 35,200 1,333,200
*Telco Systems, Inc................................... 43,500 432,281
*#Tele-Communications International, Inc. Class A..... 14,300 230,141
Telxon Corp........................................... 130,200 3,206,175
*Temtex Industries, Inc............................... 31,700 96,091
*Tesoro Petroleum Corp................................ 285,700 4,749,763
*Tetra Technologies, Inc.............................. 37,900 888,281
Texas Industries, Inc................................. 117,562 5,473,981
*Texas Micro, Inc..................................... 137,700 662,681
*Texfi Industries, Inc................................ 27,100 140,581
*Thermo Power Corp.................................... 82,700 754,638
Thermo Remediation, Inc............................... 78,000 487,500
*Thermo Sentron, Inc.................................. 135,500 1,490,500
*#Thermo Terratech, Inc............................... 130,000 1,133,438
*Thermo Voltek Corp................................... 1,500 9,469
Thomas Industries, Inc................................ 83,700 2,657,475
Thomaston Mills, Inc.................................. 34,800 304,500
Thor Industries, Inc.................................. 2,600 82,063
*Thorn Apple Valley, Inc.............................. 62,615 880,523
*Tipperary Corp....................................... 88,400 453,050
*#Titan Corp.......................................... 45,700 294,194
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Titan Holdings, Inc................................... 132,833 $ 2,806,097
Titan International, Inc.............................. 196,000 3,920,000
Toastmaster, Inc...................................... 83,600 438,900
*#Today's Man, Inc.................................... 86,000 233,813
*Todd Shipyards Corp.................................. 114,200 513,900
Todd-AO Corp. Class A................................. 3,740 37,166
*Topps, Inc........................................... 44,500 115,422
*Tower Air, Inc....................................... 166,400 842,400
*Tracor, Inc.......................................... 800 22,475
*Tractor Supply Co.................................... 1,000 15,875
*Trak Auto Corp....................................... 40,200 502,500
*#Trans World Airlines, Inc........................... 638,300 4,827,144
*Trans World Entertainment Corp....................... 86,100 3,083,456
*Transcend Services, Inc.............................. 20,100 58,102
*Transfinancial Holdings, Inc......................... 68,700 644,063
Transmedia Network, Inc............................... 11,000 68,750
*TransNet Corp........................................ 59,500 159,906
Transport Leasing International, Inc.................. 45,700 445,575
#Transport Lux Corp................................... 2,546 35,167
Transtechnology Corp.................................. 47,300 1,277,100
*#Travel Ports of America, Inc........................ 62,018 238,382
Treadco, Inc.......................................... 40,000 407,500
*Tremont Corp. DE..................................... 68,133 3,879,323
*Trend-Lines, Inc. Class A............................ 70,900 520,672
Trenwick Group, Inc................................... 48,000 1,779,000
*Triangle Pacific Corp................................ 30,000 967,500
*Tricord Systems, Inc................................. 89,500 71,320
*Trident Microsystems, Inc............................ 63,000 718,594
*Tridex Corp.......................................... 71,900 368,488
Trigen Energy Corp.................................... 175,200 4,002,225
*Trimark Holdings, Inc................................ 30,300 170,438
Trion, Inc............................................ 2,100 9,056
*Triple S Plastics, Inc............................... 30,500 211,594
*Tripos, Inc.......................................... 16,166 244,511
*Trism, Inc........................................... 64,800 263,250
*Truevision, Inc...................................... 117,800 393,894
*Trump Hotels & Casino Resorts, Inc................... 314,800 2,734,825
*Tseng Laboratories, Inc.............................. 180,100 365,828
*Tuesday Morning Corp................................. 66,150 1,649,616
*Tultex Corp.......................................... 323,307 1,454,882
*Turner Corp.......................................... 41,732 965,053
Twin Disc, Inc........................................ 33,600 1,087,800
*Tyler Corp........................................... 213,100 1,092,138
U.S. Bancorp, Inc..................................... 40,300 2,609,425
*U.S. Diagnostic, Inc................................. 33,700 146,384
*URS Corp............................................. 68,202 1,091,232
*US Can Corp.......................................... 166,100 2,740,650
*US Servis, Inc....................................... 18,400 51,750
*US Xpress Enterprises, Inc. Class A.................. 26,100 569,306
*USData Corp.......................................... 6,750 28,477
UST Corp.............................................. 64,310 1,706,225
*Ultimate Electronics, Inc............................ 82,700 273,944
*Ultra Pacific, Inc................................... 31,700 316,009
*Ultradata Corp....................................... 25,000 96,875
*#Ultrafem, Inc....................................... 114,000 427,500
*Ultrak, Inc.......................................... 150,500 1,697,828
*#Ultralife Batteries, Inc............................ 50,400 727,650
*#Ultratech Stepper, Inc.............................. 12,000 294,000
Uni-Marts, Inc........................................ 68,200 306,900
Unico American Corp................................... 44,700 550,369
Unifirst Corp......................................... 31,800 820,838
*Unimark Group, Inc................................... 95,900 434,547
</TABLE>
23
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Union Acceptance Corp. Class A....................... 51,400 $ 287,519
*Union Corp. DE....................................... 35,200 886,600
*Unique Casual Restaurants, Inc....................... 98,000 673,750
*Uniroyal Technology Corp............................. 163,600 904,913
*Unit Instruments, Inc................................ 66,700 675,338
*United American Healthcare Corp.,.................... 80,200 230,575
United Companies Financial Corp....................... 213,600 4,632,450
United Fire Casualty Co............................... 18,750 830,859
United Industrial Corp................................ 145,100 1,596,100
United National Bancorp............................... 7,865 202,524
*United Retail Group, Inc............................. 116,300 436,125
*United States Energy Corp............................ 15,700 156,019
*United States Home Corp.............................. 129,100 4,792,838
*United States Homecare Corp.......................... 43,400 44,073
United Wisconsin Services, Inc........................ 244,800 5,967,000
*Unitel Video, Inc.................................... 29,500 210,188
*Universal Electronics, Inc........................... 63,900 670,950
*Universal Hospital Services, Inc..................... 58,900 872,456
*Universal International, Inc......................... 34,600 90,284
*Universal Standard Medical Labs, Inc................. 64,100 180,281
*Uno Restaurant Corp.................................. 103,100 657,263
*Uranuim Resources, Inc............................... 180,000 860,625
*Urogen Corp. (Restricted)............................ 14,500 0
*Utilx Corp........................................... 81,600 517,650
*V Band Systems, Inc.................................. 50,700 74,466
*V Mark Software, Inc................................. 3,000 26,813
*VLSI Technology, Inc................................. 168,200 3,800,269
*VTEL Corp............................................ 102,500 741,523
*Valence Technology, Inc.............................. 105,800 694,313
*Vallen Corp.......................................... 66,300 1,338,431
Valley Forge Corp..................................... 22,500 336,094
*Value City Department Stores, Inc.................... 399,100 3,018,194
Value Line, Inc....................................... 4,000 144,000
*Valuevision International, Inc. Class A.............. 307,300 1,238,803
*Variflex, Inc........................................ 65,500 384,813
Varlen Corp........................................... 100,857 2,760,960
*Vaughn Communications, Inc........................... 54,500 333,813
*Vectra Technologies, Inc............................. 58,100 3,486
*Venture Stores, Inc.................................. 266,179 415,905
*Verity, Inc.......................................... 125,000 613,281
Vermont Financial Services Corp....................... 86,800 2,397,850
*Versar, Inc.......................................... 1,300 6,825
*Versatility, Inc..................................... 3,500 20,016
*Vertex Communications Corp........................... 45,600 1,117,200
*Veterinary Centers of America, Inc................... 184,400 2,339,575
*Vicorp Restaurants, Inc.............................. 93,600 1,468,350
*Video Display Corp................................... 44,400 407,925
*Video Lottery Technologies, Inc...................... 94,200 1,077,413
*Video Services Corp.................................. 10,000 30,313
*Video Update, Inc.................................... 293,600 779,875
Vintage Petroleum, Inc................................ 4,000 77,500
Virco Manufacturing Corp.............................. 102,396 2,444,705
Virginia Beach Federal Financial Corp................. 51,950 866,916
Virginia First Financial Corp......................... 14,700 367,500
Vital Signs, Inc...................................... 194,000 3,867,875
*Vitalink Pharmacy Services, Inc...................... 11,700 277,875
Vulcan International Corp............................. 12,200 477,325
*#WHX Corp............................................ 372,500 4,400,156
WICOR, Inc............................................ 40,500 1,868,063
WLR Foods, Inc........................................ 176,006 1,573,054
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*WPI Group, Inc....................................... 9,200 $ 69,000
*#WSMP, Inc........................................... 2,000 48,750
Wackenhut Corp. Class A............................... 16,300 352,488
Wackenhut Corp. Class B Non-Voting.................... 20,500 406,156
#Walbro Corp.......................................... 103,752 1,497,920
*Walker Interactive Systems, Inc...................... 47,600 621,775
*Wall Data, Inc....................................... 33,700 549,731
*Wall Street Deli, Inc................................ 39,700 147,634
Walshire Assurance Co................................. 50,527 571,587
*Wandel & Goltermann Technologies, Inc................ 47,900 595,756
Warren Bancorp, Inc................................... 36,000 735,750
*Washington Homes, Inc................................ 74,500 288,688
Washington National Corp.............................. 108,800 3,597,200
Washington Savings Bank FSB Waldorf, MD............... 23,500 173,313
Watkins-Johnson Co.................................... 93,000 2,906,250
Watts Industries, Inc. Class A........................ 59,400 1,510,988
Webb (Del) Corp....................................... 311,188 6,729,441
*Webco Industries, Inc................................ 3,000 21,375
Webster Financial Corp................................ 51,498 3,241,155
*Weirton Steel Corp................................... 468,700 1,376,806
Wellco Enterprises, Inc............................... 4,800 69,000
Wellman, Inc.......................................... 349,900 7,413,506
*Wells-Gardner Electronics Corp....................... 33,700 195,881
Werner Enterprises, Inc............................... 220,500 4,768,313
Wesbanco, Inc......................................... 18,900 559,913
*West Coast Entertainment Corp........................ 136,500 238,875
West, Inc............................................. 98,500 3,127,375
*#Westbridge Capital Corp............................. 12,000 8,250
Westco Bancorp, Inc................................... 11,400 309,225
Westcorp, Inc......................................... 247,356 4,205,052
Westerfed Financial Corp.............................. 69,900 1,662,309
*Western Beef, Inc.................................... 57,400 437,675
*Weston (Roy F.), Inc. Class A........................ 87,200 361,063
Weyco Group, Inc...................................... 2,400 57,000
Whitney Holdings Corp................................. 90,171 4,542,364
*Whittaker Corp....................................... 131,900 1,195,344
*Wickes Lumber Co..................................... 96,600 350,175
*Williams Clayton Energy, Inc......................... 122,000 1,959,625
Wilshire Oil Co. of Texas............................. 105,354 599,201
Windmere Corp......................................... 50,300 1,213,488
Winnebago Industries, Inc............................. 222,700 1,712,006
Wiser Oil Co.......................................... 100,175 1,527,669
Wolf (Howard B.), Inc................................. 5,000 30,313
Wolohan Lumber Co..................................... 74,478 977,524
*Wolverine Tube, Inc.................................. 1,000 31,750
*Wonderware Corp...................................... 117,000 2,146,219
*Workgroup Technology Corp............................ 18,600 66,844
*Worldcorp, Inc....................................... 25,000 28,125
*Worldtex, Inc........................................ 242,700 2,062,950
Worthington Foods, Inc................................ 17,666 406,318
*Wyant Corp........................................... 600 3,975
Wynns International, Inc.............................. 61,350 1,990,041
*Xetel Corp........................................... 15,600 63,863
*Xicor, Inc........................................... 65,300 316,297
Xtra Corp............................................. 103,400 5,454,350
Yankee Energy Systems, Inc............................ 101,100 2,394,806
Yardville National Bancorp............................ 23,400 780,975
*Yellow Corp.......................................... 265,400 7,033,100
York Financial Corp................................... 95,261 2,482,740
</TABLE>
24
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Zale Corp............................................ 248,400 $ 5,526,900
*Zaring National Corp................................. 46,000 434,125
*Zemex Corp........................................... 106,528 1,012,021
Zenith National Insurance Corp........................ 173,700 4,646,475
Ziegler Co., Inc...................................... 1,700 36,338
*Zilog, Inc........................................... 290,500 5,555,813
*Zoll Medical Corp.................................... 91,000 629,891
Zurn Industries, Inc.................................. 115,900 3,969,575
*Zygo Corp............................................ 23,100 495,206
---------------
TOTAL COMMON STOCKS
(Cost $1,676,856,817)................................ 2,198,202,781
---------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A
04/02/02............................................ 3,620 29,413
*CSF Holdings, Inc. Litigation Rights 12/30/99........ 40,500 0
*Fusion Systems Corp. Contingent Payment Rights
03/31/99............................................ 64,000 69,000
*National Mercantile Bancorp Warrants 06/02/99........ 165 0
*Statesman Group, Inc. Contingent Payment Rights...... 37,500 0
*Today's Man, Inc. Rights 12/05/97.................... 64,500 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 98,413
---------------
FACE
AMOUNT
-------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $46,841,681) to be
repurchased at $46,165,958.
(Cost $46,145,000).................................. $ 46,145 46,145,000
---------------
TOTAL INVESTMENTS -- (100.9%)
(Cost $1,723,001,817)++.............................. 2,244,446,194
---------------
OTHER ASSETS AND LIABILITIES -- (-0.9%)
Other Assets.......................................... 5,815,430
Payable for Investment Securities Purchased........... (25,299,333)
Payable for Fund Shares Redeemed...................... (126,147)
Other Liabilities..................................... (567,730)
---------------
(20,177,780)
---------------
NET ASSETS -- (100.0%) Applicable to 105,405,078
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $ 2,224,268,414
---------------
---------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 21.10
---------------
---------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
25
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends.......................................................................... $ 17,468
Interest........................................................................... 2,070
Income from Securities Lending..................................................... 612
---------
Total Investment Income........................................................ 20,150
---------
EXPENSES
Investment Advisory Services....................................................... 3,534
Accounting & Transfer Agent Fees................................................... 855
Custodian's Fee.................................................................... 310
Legal Fees......................................................................... 35
Audit Fees......................................................................... 49
Shareholders' Reports.............................................................. 38
Trustees' Fees and Expenses........................................................ 8
Other.............................................................................. 46
---------
Total Expenses................................................................. 4,875
---------
NET INVESTMENT INCOME.............................................................. 15,275
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities......................................... 201,107
Change in Unrealized Appreciation (Depreciation) of Investment Securities.......... 300,802
---------
NET GAIN ON INVESTMENT SECURITIES.................................................. 501,909
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................................... $ 517,184
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
26
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1997 1996
------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............................................................... $ 15,275 $ 10,727
Net Realized Gain on Investment Securities.......................................... 201,107 57,358
Change in Unrealized Appreciation (Depreciation) of Investment Securities........... 300,802 131,332
------------- -------------
Net Increase in Net Assets
Resulting from Operations....................................................... 517,184 199,417
------------- -------------
Distributions From:
Net Investment Income............................................................... (12,192) (10,581)
Net Realized Gains.................................................................. (57,267) (15,728)
------------- -------------
Total Distributions............................................................. (69,459) (26,309)
------------- -------------
Capital Share Transactions (1):
Shares Issued....................................................................... 578,927 470,306
Shares Issued in Lieu of Cash Distributions......................................... 63,693 25,751
Shares Redeemed..................................................................... (114,290) (45,295)
------------- -------------
Net Increase From Capital Share Transactions.................................... 528,330 450,762
------------- -------------
Total Increase.................................................................. 976,055 623,870
NET ASSETS
Beginning of Period................................................................. 1,248,213 624,343
------------- -------------
End of Period....................................................................... $ 2,224,268 $ 1,248,213
------------- -------------
------------- -------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................................................... 32,037 32,133
Shares Issued in Lieu of Cash Distributions......................................... 3,798 1,749
Shares Redeemed..................................................................... (5,731) (3,121)
------------- -------------
30,104 30,761
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR MARCH 2
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
------------- ------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period............. $ 16.58 $ 14.02 $ 11.15 $ 11.04 $ 10.00
------------- ------------- ----------- ----------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.......................... 0.15 0.15 0.14 0.12 0.08
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 5.23 2.88 3.06 0.16 1.09
------------- ------------- ----------- ----------- ----------
Total from Investment Operations............... 5.38 3.03 3.20 0.28 1.17
------------- ------------- ----------- ----------- ----------
LESS DISTRIBUTIONS
Net Investment Income.......................... (0.12) (0.15) (0.14) (0.12) (0.07)
Net Realized Gains............................. (0.74) (0.32) (0.19) (0.05) (0.06)
------------- ------------- ----------- ----------- ----------
Total Distributions............................ (0.86) (0.47) (0.33) (0.17) (0.13)
------------- ------------- ----------- ----------- ----------
Net Asset Value, End of Period................... $ 21.10 $ 16.58 $ 14.02 $ 11.15 $ 11.04
------------- ------------- ----------- ----------- ----------
------------- ------------- ----------- ----------- ----------
Total Return..................................... 33.93% 22.14% 28.81% 2.52% 11.69%#
Net Assets, End of Period (thousands)............ $ 2,224,268 $ 1,248,213 $ 624,343 $ 350,277 $ 95,681
Ratio of Expenses to Average Net Assets.......... 0.28% 0.29% 0.32% 0.32% 0.33%*
Ratio of Net Investment Income to Average Net
Assets......................................... 0.86% 1.11% 1.22% 1.50% 1.35%*
Portfolio Turnover Rate.......................... 25.47% 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate (1)...................... $ 0.0645 $ 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.
28
<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. The
Trust currently offers fourteen portfolios, of which The U.S. 6-10 Value Series
(the "Series") is presented in this report.
Effective August 1, 1997, The U.S. Small Cap Value Series changed its name
to The U.S. 6-10 Value 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.
Securities for which quotations are not readily available are valued 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 with the Fund's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 28, 1997.
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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Series. For the year ended November 30, 1997, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on an effective annual rate of 0.20 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
29
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1997, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.............................................. $ 900,563
Sales.................................................. 441,146
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1997, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation......................... $ 630,851
Gross Unrealized Depreciation......................... (109,407)
----------
Net................................................... $ 521,444
----------
----------
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the year ended November 30, 1997.
G. COMPONENTS OF NET ASSETS:
At November 30, 1997, net assets consisted of (amounts in thousands):
<TABLE>
<S> <C>
Paid-In Capital...................................... $ 1,498,367
Undistributed Net Investment Income.................. 3,501
Undistributed Net Realized Gain...................... 200,956
Unrealized Appreciation of Investment Securities..... 521,444
-----------
$ 2,224,268
-----------
-----------
</TABLE>
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 $47,873,302 and the related collateral cash
and received is $51,153,681 at November 30, 1997.
30
<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. 6-10 Value Series, as of November 30, 1997, 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, 1997, 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. 6-10 Value Series, as of November 30,
1997, 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 16, 1998
31
