<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
U.S. 6-10 Value Portfolio II
Annual Report
Year Ended November 30, 1998
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
------
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Performance Chart................................................... 1
Statement of Assets and Liabilities................................. 2
Statement of Operations............................................. 3
Statements of Changes in Net Assets................................. 4
Financial Highlights................................................ 5
Notes to Financial Statements....................................... 6-7
Report of Independent Accountants................................... 8
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. 6-10 VALUE SERIES
Performance Chart................................................... 9
Schedule of Investments............................................. 10-26
Statement of Assets and Liabilities................................. 27
Statement of Operations............................................. 28
Statements of Changes in Net Assets................................. 29
Financial Highlights................................................ 30
Notes to Financial Statements....................................... 31-32
Report of Independent Accountants................................... 33
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
- --------------------------------------------------------------------------------
U.S. 6-10 Value Portfolio II vs.
Russell 2000 Value Index
September 1994-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 Value Russell 2000 Value
date Portfolio II Index Fama-French Small Cap Value Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Sep-94 $9,961 $9,894 $9,957
Oct-94 $9,816 $9,713 $9,788
Nov-94 $9,477 $9,321 $9,463
Dec-94 $9,568 $9,600 $9,541
Jan-95 $9,666 $9,554 $9,696
Feb-95 $10,001 $9,908 $10,090
Mar-95 $10,119 $9,956 $10,207
Apr-95 $10,473 $10,252 $10,527
May-95 $10,758 $10,471 $10,751
Jun-95 $11,181 $10,829 $11,106
Jul-95 $11,780 $11,225 $11,553
Aug-95 $12,153 $11,558 $11,923
Sep-95 $12,291 $11,730 $12,123
Oct-95 $11,691 $11,262 $11,582
Nov-95 $12,121 $11,709 $11,907
Dec-95 $12,327 $12,072 $12,094
Jan-96 $12,287 $12,152 $12,265
Feb-96 $12,547 $12,343 $12,456
Mar-96 $12,888 $12,602 $12,876
Apr-96 $13,551 $12,946 $13,320
May-96 $14,082 $13,273 $13,844
Jun-96 $13,781 $13,117 $13,623
Jul-96 $12,918 $12,419 $12,897
Aug-96 $13,499 $12,958 $13,431
Sep-96 $13,961 $13,312 $13,774
Oct-96 $14,062 $13,466 $13,734
Nov-96 $14,724 $14,191 $14,363
Dec-96 $15,046 $14,652 $14,567
Jan-97 $15,436 $14,877 $15,082
Feb-97 $15,425 $15,019 $15,158
Mar-97 $15,026 $14,616 $14,759
Apr-97 $14,954 $14,831 $14,654
May-97 $16,379 $16,012 $16,045
Jun-97 $17,404 $16,822 $16,892
Jul-97 $18,439 $17,528 $17,774
Aug-97 $19,096 $17,807 $18,435
Sep-97 $20,572 $18,991 $19,776
Oct-97 $19,844 $18,475 $19,372
Nov-97 $19,669 $18,678 $19,252
Dec-97 $19,687 $19,311 $19,639
Jan-98 $19,453 $18,962 $19,547
Feb-98 $20,915 $20,109 $20,815
Mar-98 $21,769 $20,925 $21,675
Apr-98 $22,195 $21,028 $22,050
May-98 $21,352 $20,283 $21,183
Jun-98 $20,925 $20,168 $20,626
Jul-98 $19,387 $18,589 $19,096
Aug-98 $15,822 $15,678 $15,744
Sep-98 $16,269 $16,563 $16,133
Oct-98 $16,964 $17,055 $17,027
Nov-98 $17,862 $17,518 $17,739
</TABLE>
<TABLE>
<CAPTION>
Annualized
Total Return One From
(%) Year September 1994
- -------------------------------------------
<S> <C> <C>
5.58 6.31
</TABLE>
- - 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 in U.S. small companies on a
market cap-weighted basis. The series invests in companies that have average
weighted market capitalizations of approximately $300 million and
book-to-market ratios in the upper 30% of publicly traded U.S. companies.
- - The portfolio's returns in fiscal 1998 reflected the performance of small U.S.
companies with high book-to-market ratios.
- - The Russell 2000 Value Index is a more widely recognized and more broadly
based securities index than the Fama-French Small Cap Value Index, and is
replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
(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 (4,929,437
Shares, Cost $75,936)++ at Value....................................................... $ 85,082
Receivable for Investment Securities Sold................................................ 1,454
Prepaid Expenses and Other Assets........................................................ 14
-----------
Total Assets......................................................................... 86,550
-----------
LIABILITIES:
Payable for Fund Shares Redeemed......................................................... 1,454
Accrued Expenses......................................................................... 22
-----------
Total Liabilities.................................................................... 1,476
-----------
NET ASSETS............................................................................... $ 85,074
-----------
-----------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000)............................................................... 5,086,017
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................. $ 16.73
-----------
-----------
NET ASSETS CONSIST OF:
Paid-In Capital.......................................................................... $ 71,734
Undistributed Net Investment Income...................................................... 390
Undistributed Net Realized Gain.......................................................... 3,804
Unrealized Appreciation of Investment Securities......................................... 9,146
-----------
Total Net Assets..................................................................... $ 85,074
-----------
-----------
</TABLE>
- --------------
++ The cost for Federal income tax purposes is $79,533.
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company..................... $ 874
---------
EXPENSES
Administrative Services................................................................. 11
Accounting & Transfer Agent Fees........................................................ 15
Shareholder Services.................................................................... 112
Legal Fees.............................................................................. 6
Audit Fees.............................................................................. 1
Filing Fees............................................................................. 34
Shareholders' Reports................................................................... 22
Directors' Fees and Expenses............................................................ 3
Organization Costs...................................................................... 8
Other................................................................................... 1
---------
Total Expenses...................................................................... 213
---------
NET INVESTMENT INCOME................................................................... 661
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment Trust Company................... 11,328
Net Realized Loss on Investment Securities.................................................. (4,227)
Change in Unrealized Depreciation of Investment Securities.................................. (16,234)
---------
NET LOSS ON INVESTMENT SECURITIES....................................................... (9,133)
---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS........................................ $ (8,472)
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
1998 1997
--------- ---------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C>
Operations:
Net Investment Income (Loss).......................................... $ 661 $ 499
Capital Gain Distributions Received from
The DFA Investment Trust Company.................................... 11,328 2,017
Net Realized Loss on Investment Securities............................ (4,227) (602)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities.......................................................... (16,234) 19,121
--------- ---------
Net Increase in Net Assets Resulting from Operations.............. (8,472) 21,035
--------- ---------
Distributions From:
Net Investment Income................................................. (723) (225)
Net Realized Gains.................................................... (4,178) (759)
--------- ---------
Total Distributions............................................... (4,901) (984)
--------- ---------
Capital Share Transactions (1):
Shares Issued......................................................... 30,514 82,657
Shares Issued in Lieu of Cash Distributions........................... 4,901 984
Shares Redeemed....................................................... (62,029) (19,268)
--------- ---------
Net Increase (Decrease) From Capital Share Transactions........... (26,614) 64,373
--------- ---------
Total Increase (Decrease)......................................... (39,987) 84,424
NET ASSETS
Beginning of Period................................................... 125,061 40,637
--------- ---------
End of Period......................................................... $ 85,074 $ 125,061
--------- ---------
--------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 1,708 4,736
Shares Issued in Lieu of Cash Distributions........................... 272 67
Shares Redeemed....................................................... (3,409) (1,057)
--------- ---------
(1,429) 3,746
--------- ---------
--------- ---------
</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 ENDED YEAR ENDED YEAR ENDED YEAR ENDED AUG. 3 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 19.20 $ 14.67 $ 12.13 $ 9.65 $ 10.00
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
Net Investment Income............. 0.12 0.08 0.08 0.06 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized)....... (1.84) 4.77 2.51 2.63 (0.35)
----------- ----------- ----------- ----------- -----------
Total from Investment
Operations...................... (1.74) 4.85 2.59 2.69 (0.24)
----------- ----------- ----------- ----------- -----------
Less Distributions
Net Investment Income............. (0.11) (0.07) (0.01) (0.06) (0.11)
Net Realized Gains................ (0.64) (0.25) (0.04) (0.15) --
----------- ----------- ----------- ----------- -----------
Total Distributions............... (0.75) (0.32) (0.05) (0.21) (0.11)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period...... $ 16.73 $ 19.20 $ 14.67 $ 12.13 $ 9.65
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Total Return........................ (9.19)% 33.75% 21.39% 27.90% (2.39)%#
Net Assets, End of Period
(thousands)....................... $ 85,074 $ 125,061 $ 40,637 $ 14,290 $ 6,055
Ratio of Expenses to Average Net
Assets (1)........................ 0.45% 0.48%(a) 0.85%(a) 0.96%(a) 0.96%*(a)
Ratio of Net Investment Income to
Average Net Assets................ 0.59% 0.62%(a) 0.77%(a) 0.68%(a) 4.78*(a)
Portfolio Turnover Rate............. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... 22.51% 25.47% 14.91% 20.62% 8.22%(b)
</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 assumptions of expenses not been in effect, the
ratios of expenses to average net assets for the periods ended November 30,
1997 through 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 through 1994 would have been 0.63%,
0.74%, 0.14% and 3.41%, respectively.
(b) Master Fund Series turnover calculated for the year ended November 30,
1994.
See accompanying Notes to Financial Statements.
5
<PAGE>
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, 1998, the Portfolio owned 4% 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. For the year ended November 30, 1998, 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.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
Effective July 1, 1996, the Advisor has agreed to waive its fees and
reimburse the Portfolio to the extent necessary to keep the annual combined
expenses of the Portfolio and its respective Master Fund to not more than 0.75%
of average daily net assets. Prior to that date, the Advisor agreed to waive its
fees and reimburse the Portfolio to the extent necessary to keep the annual
combined expenses to not more than 0.96% of average daily net assets on an
annualized basis. Annualized expenses are those expenses incurred in any period
consisting of twelve consecutive months. At November 30, 1998, there are no
previously waived fees subject to future reimbursement to the Advisor.
6
<PAGE>
In addition, pursuant to an agreement with a Shareholder Service Agent, the
Portfolio pays to such agent a fee at the effective annual rate of .10% of its
average daily net assets.
D. INVESTMENTS:
At November 30, 1998, 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............................ $ 5,549
Gross Unrealized Depreciation............................ --
---------
Net...................................................... $ 5,549
---------
---------
</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, 1998.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, of Dimensional Investment Group Inc., The U.S. 6-10
Value Portfolio II, and the related statements of operations, and of changes in
net assets and the financial highlights present fairly, in all material
respects, the financial position of, Dimensional Investment Group Inc., The U.S.
6-10 Value Portfolio II at November 30, 1998, the results of its operations,
changes in its net assets and its financial highlights for each of the periods
presented, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
November 30, 1998 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 15, 1999
8
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
- --------------------------------------------------------------------------------
U.S. 6-10 Value Series vs.
Russell 2000 Value Index
April 1993-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 Value Russell 2000 Value Fama-French Small Cap Value
date Series Index Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Apr-93 $9,788 $9,760 $9,687
May-93 $10,050 $10,067 $10,081
Jun-93 $10,060 $10,162 $10,069
Jul-93 $10,363 $10,337 $10,209
Aug-93 $10,706 $10,741 $10,536
Sep-93 $11,079 $10,999 $10,727
Oct-93 $11,452 $11,251 $11,156
Nov-93 $11,260 $10,964 $10,978
Dec-93 $11,486 $11,286 $11,257
Jan-94 $12,079 $11,688 $11,791
Feb-94 $12,049 $11,654 $11,720
Mar-94 $11,650 $11,133 $11,235
Apr-94 $11,731 $11,242 $11,317
May-94 $11,772 $11,226 $11,279
Jun-94 $11,558 $10,936 $11,047
Jul-94 $11,752 $11,138 $11,320
Aug-94 $12,161 $11,576 $11,726
Sep-94 $12,120 $11,453 $11,676
Oct-94 $11,947 $11,243 $11,477
Nov-94 $11,545 $10,789 $11,096
Dec-94 $11,664 $11,113 $11,188
Jan-95 $11,789 $11,060 $11,370
Feb-95 $12,205 $11,469 $11,831
Mar-95 $12,350 $11,525 $11,968
Apr-95 $12,787 $11,867 $12,344
May-95 $13,152 $12,121 $12,607
Jun-95 $13,673 $12,536 $13,023
Jul-95 $14,422 $12,993 $13,547
Aug-95 $14,879 $13,379 $13,982
Sep-95 $15,067 $13,579 $14,215
Oct-95 $14,339 $13,037 $13,581
Nov-95 $14,872 $13,554 $13,963
Dec-95 $15,133 $13,974 $14,182
Jan-96 $15,089 $14,067 $14,382
Feb-96 $15,415 $14,288 $14,606
Mar-96 $15,849 $14,588 $15,099
Apr-96 $16,675 $14,986 $15,619
May-96 $17,327 $15,365 $16,233
Jun-96 $16,968 $15,184 $15,975
Jul-96 $15,915 $14,376 $15,124
Aug-96 $16,644 $15,000 $15,750
Sep-96 $17,209 $15,409 $16,151
Oct-96 $17,340 $15,588 $16,105
Nov-96 $18,166 $16,427 $16,842
Dec-96 $18,569 $16,961 $17,081
Jan-97 $19,052 $17,222 $17,686
Feb-97 $19,052 $17,385 $17,774
Mar-97 $18,558 $16,919 $17,307
Apr-97 $18,478 $17,168 $17,184
May-97 $20,234 $18,535 $18,815
Jun-97 $21,509 $19,473 $19,808
Jul-97 $22,795 $20,290 $20,842
Aug-97 $23,611 $20,613 $21,618
Sep-97 $25,436 $21,984 $23,189
Oct-97 $24,541 $21,386 $22,716
Nov-97 $24,335 $21,621 $22,575
Dec-97 $24,359 $22,354 $23,029
Jan-98 $24,067 $21,949 $22,921
Feb-98 $25,888 $23,277 $24,408
Mar-98 $26,945 $24,222 $25,417
Apr-98 $27,481 $24,341 $25,856
May-98 $26,437 $23,479 $24,840
Jun-98 $25,913 $23,346 $24,187
Jul-98 $24,014 $21,518 $22,392
Aug-98 $19,593 $18,148 $18,462
Sep-98 $20,153 $19,173 $18,918
Oct-98 $21,020 $19,743 $19,966
Nov-98 $22,132 $20,278 $20,801
</TABLE>
<TABLE>
<CAPTION>
Annualized
Total Return One Five From
(%) Year Years April 1993
- -------------------------------------------------
<S> <C> <C> <C>
-9.05 14.47 15.05
</TABLE>
- - The series seeks to capture return premiums associated with high
book-to-market ratios by investing in U.S. small companies on a market
cap-weighted basis. The series invests in companies that have average weighted
market capitalizations of approximately $300 million and book-to-market ratios
in the upper 30% of publicly traded U.S. companies.
- - The series' returns in fiscal 1998 reflected the performance of small U.S.
companies with high book-to-market ratios.
- - The Russell 2000 Value Index is a more widely recognized and more broadly
based securities index than the Fama-French Small Cap Value Index, and is
replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
9
<PAGE>
THE U.S. 6-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.4%)
*3-D Systems Corp.................................... 129,900 $ 917,419
*3D0 Co.............................................. 117,800 334,994
*ABC Rail Products Corp.............................. 29,700 373,106
*ABT Building Products Corp.......................... 115,300 1,196,237
*ACT Manufacturing, Inc.............................. 800 7,900
*ACT Networks, Inc................................... 145,700 1,470,659
*ACX Technologies, Inc............................... 304,300 3,879,825
*ADE Corp............................................ 66,000 853,875
*AEP Industries, Inc................................. 70,150 1,492,880
*AG Associates, Inc.................................. 67,800 324,169
*AG Services America, Inc............................ 2,900 42,050
*#ARV Assisted Living, Inc........................... 227,900 1,367,400
ASB Financial Corp................................... 9,800 106,575
Aames Financial Corp................................. 361,000 676,875
*Aasche Transportation Services, Inc................. 48,800 245,525
Abington Bancorp, Inc................................ 41,600 663,000
Abrams Industries, Inc............................... 10,000 67,500
*Abraxas Petroleum Corp.............................. 88,200 457,537
*Accell International Corp........................... 80,600 251,875
*Acceptance Insurance Companies, Inc................. 168,100 3,309,469
*Acclaim Entertainment, Inc.......................... 77,700 743,006
Aceto Corp........................................... 81,660 1,046,269
*Acme Electric Corp.................................. 46,300 237,287
*Acme United Corp.................................... 8,700 21,206
*Active Voice Corp................................... 49,900 352,419
*Adam Software, Inc.................................. 6,500 27,219
*Adept Technology, Inc............................... 125,400 924,825
*Adflex Solutions, Inc............................... 165,000 1,124,062
*#Advanced Aerodynamics & Structures, Inc............ 5,000 14,141
*Advanced Digital Information Corp................... 67,100 960,369
*#Advanced Health Corp............................... 163,900 261,216
*Advanced Magnetics, Inc............................. 76,100 675,387
Advanced Marketing Services, Inc..................... 61,500 1,082,016
*Advanced Neuromodulation Systems, Inc............... 91,360 539,595
Advanta Corp. Class A................................ 94,813 986,648
*Advanta Corp. Class B Non-Voting.................... 144,725 1,128,403
Advest Group, Inc.................................... 80,200 1,869,662
*Advocat, Inc........................................ 66,000 391,875
*Aehr Test Systems................................... 57,000 247,594
*Aerovox, Inc........................................ 60,800 157,700
*Agco Corp........................................... 642,700 5,262,106
*Air Methods Corp.................................... 91,700 266,503
*Airtran Holdings, Inc............................... 14,600 58,856
Alamo Group, Inc..................................... 67,000 845,875
Albank Financial Corp................................ 118,880 8,039,260
Alba-Waldensian, Inc................................. 7,050 170,962
*Aldila, Inc......................................... 178,100 578,825
Alfa Corp............................................ 135,300 2,951,231
Alico, Inc........................................... 79,100 1,366,947
*Align-Rite International, Inc....................... 36,000 435,375
*Alkermes, Inc....................................... 51,800 959,919
*All American Semiconductor, Inc..................... 39,300 41,142
Allen Organ Co. Class B.............................. 5,000 187,500
*Allen Telecom, Inc.................................. 164,500 1,141,219
Alliance Bancorp..................................... 125,420 2,449,609
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Alliance Pharmaceuticals Corp....................... 12,900 $ 50,391
*Alliance Semiconductor Corp......................... 439,900 1,725,233
*Allied Healthcare Products, Inc..................... 128,000 344,000
*Allied Holdings, Inc................................ 94,600 1,442,650
Allied Products Corp................................. 183,300 1,351,837
*Allied Research Corp................................ 57,800 433,500
*Allin Communications Corp........................... 90,000 360,000
*#Allou Health & Beauty Care, Inc. Class A........... 61,900 661,556
*Allstars Systems, Inc............................... 68,500 141,281
*Allstate Financial Corp............................. 20,900 71,844
*Alpha Beta Technology, Inc.......................... 60,000 66,562
*Alpha Industries, Inc............................... 34,200 750,262
*Alpha Microsystems, Inc............................. 28,500 138,047
*Alpha Technologies Group, Inc....................... 74,400 132,525
Alpharma, Inc. Class A............................... 86,000 3,096,000
*Altron, Inc......................................... 133,200 2,980,350
Ambanc Holding Co., Inc.............................. 40,600 654,675
Amcast Industrial Corp............................... 112,800 1,981,050
Amcore Financial, Inc................................ 19,650 464,231
*America West Holdings Corp. Class B................. 177,400 2,505,775
American Bank of Connecticut......................... 46,600 1,036,850
*#American Banknote Corp............................. 212,500 411,719
American Biltrite, Inc............................... 40,100 949,869
American Business Products, Inc...................... 195,000 4,338,750
*American Classic Voyages Co......................... 1,100 16,294
*American Ecology Corp............................... 51,900 71,362
*American Freightways Corp........................... 602,000 5,380,375
*American Healthcorp, Inc............................ 2,500 25,469
American Heritage Life Investment Corp............... 185,200 4,548,975
*American Homepatient, Inc........................... 163,700 352,978
*American Indemnity Financial Corp................... 14,200 160,637
*American Medical Electronics, Inc. (Escrow-Bonus)... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 20,800 0
American Medical Security Group, Inc................. 244,800 3,503,700
*American Mobile Satellite Corp...................... 217,200 984,187
*American Oncology Resources, Inc.................... 278,000 3,101,437
*American Pacific Corp............................... 90,400 627,150
*#American Pad & Paper Co............................ 310,500 485,156
*American Physicians Services Group, Inc............. 44,400 210,900
*#American Residential Services, Inc................. 71,000 248,500
*American Software, Inc. Class A..................... 198,800 534,275
*American Technical Ceramics Corp.................... 43,200 334,800
American Vanguard Corp............................... 7,040 46,640
American Woodmark Corp............................... 35,010 1,076,557
Americana Bancorp, Inc............................... 23,300 448,525
*Amerihost Properties, Inc........................... 70,000 284,375
*Amerin Corp......................................... 17,800 437,212
*Ameripath, Inc...................................... 231,500 1,048,984
*Ameristar Casinos, Inc.............................. 145,500 431,953
Ameron, Inc.......................................... 44,900 1,650,075
Amerus Life Holdings, Inc. Class A................... 86,321 1,904,457
*Ames Department Stores, Inc......................... 177,000 4,214,812
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Amistar Corp........................................ 42,300 $ 93,853
Ampco-Pittsburgh Corp................................ 133,100 1,605,519
*Amrep Corp.......................................... 87,192 643,041
*Amresco, Inc........................................ 104,500 765,789
*Amtran, Inc......................................... 118,000 2,573,875
Amwest Insurance Group, Inc.......................... 30,855 431,970
*Anadigics, Inc...................................... 137,100 1,718,034
Analogic Corp........................................ 79,500 2,832,187
Analysis & Technology, Inc........................... 28,800 464,400
*Anaren Microwave, Inc............................... 38,300 670,250
Anchor Bancorp Wisconsin, Inc........................ 118,700 2,396,256
Andover Bancorp, Inc. DE............................. 71,825 2,302,889
Angelica Corp........................................ 163,400 2,971,837
*Ann Taylor Stores Corp.............................. 395,900 13,039,956
*Ansaldo Signal N.V.................................. 50,100 208,228
*Antec Corp.......................................... 301,000 5,587,312
*Applied Digital Access, Inc......................... 31,800 77,512
*Applied Extrusion Technologies, Inc................. 117,700 926,887
Applied Industrial Technologies, Inc................. 470,000 6,580,000
*#Applied Magnetics Corp............................. 265,400 1,973,912
*Applied Microsystems Corp........................... 77,200 299,150
*Applied Signal Technologies, Inc.................... 90,500 1,097,312
*Applix, Inc......................................... 37,500 158,203
*Apria Healthcare Group, Inc......................... 134,800 943,600
*Aquila Biopharmaceuticals, Inc...................... 100,000 287,500
*#Arcadia Financial, Ltd............................. 560,700 1,997,494
Arch Coal, Inc....................................... 53,400 1,024,612
*Arch Communications Group, Inc...................... 287,400 341,287
Arctic Cat, Inc...................................... 228,600 2,386,012
Argonaut Group, Inc.................................. 70,300 1,744,319
*Argosy Gaming Corp.................................. 355,800 867,262
*Arkansas Best Corp.................................. 219,000 1,293,469
*Armco, Inc.......................................... 80,000 315,000
Arnold Industries, Inc............................... 225,300 3,224,606
*Aronex Pharmaceuticals, Inc......................... 2,500 7,266
*Arqule, Inc......................................... 86,000 518,687
*Arrow Automotive Industries, Inc.................... 21,600 29,700
Arrow Financial Corp................................. 6,044 159,033
*Artisoft, Inc....................................... 157,400 477,119
*Asahi/Amer, Inc..................................... 14,500 67,062
*Asante Technologies, Inc............................ 94,200 209,006
*Ascent Entertainment Group, Inc..................... 325,396 2,664,180
*Ashworth, Inc....................................... 162,100 932,075
*Associated Group, Inc. Class A...................... 1,800 67,387
*Astec Industries, Inc............................... 94,800 4,894,050
Astro-Med, Inc....................................... 49,675 267,003
*Astronics Corp...................................... 22,687 243,885
*Asyst Technologies, Inc............................. 132,700 2,699,616
Atalanta Sosnoff Capital Corp........................ 66,100 590,769
*Atchison Casting Corp............................... 151,300 1,418,437
*Athey Products Corp................................. 17,140 55,705
*Atlantic American Corp.............................. 18,500 76,312
*Atlantis Plastics, Inc.............................. 60,000 480,000
Atrion Corp.......................................... 37,750 323,234
*Au Bon Pain, Inc. Class A........................... 200,500 1,246,859
*Audiovox Corp. Class A.............................. 257,000 1,654,437
*Ault, Inc........................................... 46,700 313,766
*#Aura Systems, Inc.................................. 40,000 53,750
*Auspex Systems, Inc................................. 322,800 1,210,500
*Autoimmune, Inc..................................... 199,400 386,337
*Autologic Information International, Inc............ 7,100 29,287
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Avado Brands, Inc.................................... 180,000 $ 1,378,125
*Avalon Holding Corp. Class A........................ 25,112 196,187
*Avatar Holdings, Inc................................ 35,300 569,212
*#Avatex Corp........................................ 189,340 142,005
*Avecor Cardiovascular, Inc.......................... 56,000 682,500
*Aviall, Inc......................................... 117,500 1,424,687
*Avid Technology, Inc................................ 23,400 557,944
*Avigen, Inc......................................... 119,500 407,047
*Avondale Financial Corp............................. 28,200 384,225
*Avondale Industries, Inc............................ 152,000 4,180,000
*Avteam, Inc. Class A................................ 140,000 770,000
*Axsys Technologies, Inc............................. 49,800 695,644
*Aydin Corp.......................................... 54,300 526,031
*Aztar Corp.......................................... 559,700 2,833,481
Aztec Manufacturing Co............................... 500 4,969
*BCT International, Inc.............................. 7,800 17,794
*BEI Electronics, Inc................................ 86,000 150,500
BEI Technologies, Inc................................ 86,000 1,053,500
*BF Enterprises, Inc................................. 2,300 18,687
*BFX Hospitality Group, Inc.......................... 89,400 145,275
*BI, Inc............................................. 107,300 791,337
BMC Industries, Inc.................................. 222,000 1,373,625
*#BRC Holdings, Inc.................................. 145,400 2,762,600
BSB Bancorp, Inc..................................... 104,700 3,023,212
BT Financial Corp.................................... 57,824 1,597,388
*BTG, Inc............................................ 33,000 218,625
*BTU International, Inc.............................. 75,800 267,669
*BWAY Corp........................................... 76,200 1,243,012
*Back Bay Restaurant Group, Inc...................... 37,200 330,150
Badger Meter, Inc.................................... 21,200 768,500
*Badger Paper Mills, Inc............................. 10,400 83,200
Bairnco Corp......................................... 93,200 664,050
Baker (J.), Inc...................................... 155,818 764,482
*Baker (Michael) Corp................................ 62,500 578,125
Baldwin & Lyons, Inc. Class B........................ 1,600 33,400
Baldwin Piano & Organ Co............................. 27,000 270,000
*Baldwin Technology, Inc. Class A.................... 172,600 992,450
*Baltek Corp......................................... 4,500 47,250
*Bancinsurance Corp.................................. 57,400 312,112
Bancorp Connecticut, Inc............................. 47,400 844,312
*BancTec, Inc........................................ 82,000 1,081,375
Bandag, Inc.......................................... 49,600 1,754,600
Bandag, Inc.......................................... 22,000 708,125
*Bank Plus Corp...................................... 215,900 904,081
*Bank United Financial Corp. Class A................. 92,900 795,456
BankAtlantic Bancorp, Inc. Class A................... 129,220 872,235
BankAtlantic Bancorp, Inc. Class B................... 123,031 976,559
BankNorth Group, Inc. DE............................. 54,400 1,808,800
*Banner Aerospace, Inc............................... 310,500 2,755,687
*Banyan System, Inc.................................. 153,000 1,195,312
*Barry (R.G.) Corp................................... 18,000 213,750
*Basin Exploration, Inc.............................. 122,600 1,417,562
Bassett Furniture Industries, Inc.................... 135,350 3,417,587
Battle Mountain Gold Co.............................. 400,400 1,876,875
Bay View Capital Corp................................ 145,100 3,038,031
*Baycorp Holdings, Ltd............................... 48,000 228,000
*Bayou Steel Corp. Class A........................... 121,300 561,012
*Beard Co............................................ 30,000 133,125
*#Beazer Homes USA, Inc.............................. 111,200 2,654,900
*Bel Fuse, Inc. Class A.............................. 28,900 807,394
*Bel Fuse, Inc. Class B.............................. 28,900 684,569
*Belco Oil & Gas Corp................................ 153,300 862,312
</TABLE>
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<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Bell Industries, Inc................................ 101,022 $ 1,054,417
*Bell Microproducts, Inc............................. 99,900 920,953
*Bellwether Exploration Co........................... 175,600 976,775
*Ben & Jerry's Homemade, Inc. Class A................ 70,700 1,411,791
*Benton Oil & Gas Co................................. 321,300 1,204,875
*Berlitz International, Inc.......................... 79,100 2,343,337
*Big 4 Ranch, Inc.................................... 73,300 0
Bindley Western Industries, Inc...................... 134,466 5,193,749
Binks Sames Corp..................................... 30,918 463,770
*Bio Vascular, Inc................................... 14,900 62,394
*Bio-Rad Laboratories, Inc. Class A.................. 107,800 2,290,750
*Biosite Diagnostics, Inc............................ 125,000 1,031,250
*Biosource International, Inc........................ 140,000 422,187
Birmingham Steel Corp................................ 401,500 1,957,312
*Black Hawk Gaming & Development, Inc................ 34,100 283,456
Blair Corp........................................... 127,100 2,240,137
Blimpie International................................ 2,700 5,906
*Bluegreen Corp...................................... 213,798 1,469,861
Bob Evans Farms, Inc................................. 246,100 5,975,616
*Boca Research, Inc.................................. 98,700 209,737
*Boise Cascade Office Products Corp.................. 25,000 278,125
*Bombay Co., Inc..................................... 431,000 2,128,062
*Bon-Ton Stores, Inc................................. 131,900 1,022,225
*#Books-a-Million, Inc............................... 199,000 5,858,062
*Boston Biomedical, Inc.............................. 57,400 161,437
*#Boston Chicken, Inc................................ 310,900 208,886
*Boston Communications Group, Inc.................... 117,000 1,173,656
Bostonfed Bancorp, Inc............................... 27,500 508,750
Bowl America, Inc. Class A........................... 45,000 315,000
Bowne & Co., Inc..................................... 91,332 1,529,811
*Boyd Gaming Corp.................................... 436,000 1,580,500
*Brauns Fashions Corp................................ 22,200 180,375
*Brazos Sportswear, Inc.............................. 4,190 2,619
*Brite Voice Systems, Inc............................ 19,300 154,400
*Britesmile, Inc..................................... 41,000 48,687
*Broadway & Seymour, Inc............................. 180,800 531,100
*Brooks Automation, Inc.............................. 77,800 1,230,212
*Brookstone, Inc..................................... 111,300 1,676,456
*Brothers Gourmet Coffees, Inc....................... 103,461 4,138
*Brown & Sharpe Manufacturing Co. Class A............ 203,500 1,348,187
*Brown (Tom), Inc.................................... 253,400 2,549,837
Brown Group, Inc..................................... 297,200 5,331,025
*Brunswick Technologies, Inc......................... 75,000 393,750
Brush Wellman, Inc................................... 186,500 3,007,312
*Buckhead America Corp............................... 15,700 84,387
*Budget Group, Inc................................... 66,000 825,000
*Buffets, Inc........................................ 246,200 2,877,462
*#Builders Transport, Inc............................ 61,600 385
*Building Materials Holding Corp..................... 197,000 2,444,031
*Bull Run Corp. GA................................... 84,500 282,547
Burlington Coat Factory Warehouse Corp............... 232,940 3,377,630
*Burlington Industries, Inc.......................... 499,000 5,208,312
*Business Resource Group............................. 57,200 164,450
*Butler International, Inc........................... 23,200 498,800
Butler Manufacturing Co.............................. 84,200 1,957,650
*CATS Software, Inc.................................. 77,100 334,903
*C-COR Electronics, Inc.............................. 12,000 171,750
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*C.P. Clare Corp..................................... 143,000 $ 1,036,750
*CCA Industries, Inc................................. 40,800 58,650
*CEM Corp............................................ 23,600 244,850
*CFM Technologies, Inc............................... 76,700 673,522
*CMC Industries, Inc................................. 88,100 558,884
*CNA Surety Corp..................................... 35,600 522,875
*CNS Income.......................................... 204,200 969,950
*CPAC, Inc........................................... 74,100 699,319
CPB, Inc............................................. 107,000 1,852,437
CPI Corp............................................. 112,400 2,402,550
*CSP, Inc............................................ 35,332 278,239
*CSS Industries, Inc................................. 23,200 685,850
*CTB International Corp.............................. 38,000 323,000
CTS Corp............................................. 111,200 3,919,800
Cabot Oil & Gas Corp. Class A........................ 40,000 617,500
Cadmus Communications Corp........................... 94,100 1,540,887
*Caere Corp.......................................... 33,900 454,472
*Calcomp Technology, Inc............................. 94,600 138,944
Calgon Carbon Corp................................... 144,700 1,049,075
*California Amplifier, Inc........................... 73,100 203,309
*California Micro Devices Corp....................... 5,100 13,706
*California Microwave, Inc........................... 215,700 2,642,325
*Callon Petroleum Co................................. 137,000 1,755,312
Cal-Maine Foods, Inc................................. 24,600 122,231
Calmat Co............................................ 272,500 8,379,375
*Calumet Bancorp, Inc................................ 27,000 747,562
*Cameron Ashley Building Products, Inc............... 108,800 1,387,200
Cameron Financial Corp............................... 32,700 537,506
*Canandaigua Wine Co., Inc. Class A.................. 93,100 4,614,269
*Canisco Resources, Inc.............................. 5,700 12,469
*Cannon Express, Inc. Class A........................ 6,900 39,675
*Cannondale Corp..................................... 115,100 1,147,403
Cape Cod Bank & Trust Co............................. 22,400 446,600
*Capital Pacific Holdings, Inc....................... 152,300 447,381
Capital Re Corp...................................... 60,000 1,185,000
#Capitol Bancorp, Ltd................................ 34,727 892,050
Capitol Transamerica Corp............................ 88,800 1,565,100
*Carbide/Graphite Group, Inc......................... 77,800 991,950
*Cardiotech International, Inc....................... 15,572 20,438
*Cardiovascular Dynamics, Inc........................ 122,400 504,900
*Caretenders Healthcorp.............................. 13,700 38,531
*Caribiner International, Inc........................ 137,500 1,280,469
*Carleton Corporation................................ 16,180 33,371
*Carmike Cinemas, Inc. Class A....................... 120,100 2,402,000
Carolina First Corp.................................. 74,990 1,863,033
*Carr-Gottstein Foods Co............................. 100,657 1,138,682
*Carrington Laboratories, Inc........................ 57,700 155,970
*Carson, Inc......................................... 20,500 58,937
Carter-Wallace, Inc.................................. 325,500 5,777,625
Cascade Corp......................................... 104,400 1,461,600
Cash America International, Inc...................... 239,200 4,036,500
*Casino Data Systems................................. 206,300 406,153
*Castle & Cooke, Inc................................. 258,800 4,043,750
Castle (A.M.) & Co................................... 200 3,850
Castle Energy Corp................................... 45,800 875,925
*Catalina Lighting, Inc.............................. 85,700 187,469
*Catherines Stores Corp.............................. 114,400 1,194,050
Cato Corp. Class A................................... 371,700 5,029,566
Cavalier Homes, Inc.................................. 47,600 514,675
*Celadon Group, Inc.................................. 100,000 1,315,625
*Celebrity, Inc...................................... 105,300 78,975
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Celeritek, Inc...................................... 37,400 $ 112,200
*Cell Genesys, Inc................................... 35,500 171,953
*#Cell Pathways, Inc................................. 65,400 778,669
Cenit Bancorp, Inc................................... 54,900 1,032,806
*Centennial Cellular Corp. Class A................... 166,800 6,687,637
*Centigram Communications Corp....................... 86,800 645,575
Central Co-Operative Bank Somerville, MA............. 24,100 423,256
*Central Garden & Pet Co............................. 149,600 2,407,625
*Central Reserve Life Corp........................... 26,600 237,737
*Central Sprinkler Corp.............................. 47,100 423,900
Centris Group, Inc................................... 144,800 1,484,200
Century Aluminum Co.................................. 235,000 2,001,172
*Cephalon, Inc....................................... 48,600 369,056
*Ceradyne, Inc....................................... 71,600 290,875
*Cerion Technologies, Inc............................ 81,500 24,195
*Charming Shoppes, Inc............................... 1,250,900 5,238,144
*Chart House Enterprises, Inc........................ 130,100 650,500
Chartwell Re Corp.................................... 106,100 2,931,012
*Chase Industries, Inc............................... 117,250 1,370,359
*Check Technology Corp............................... 70,700 220,937
*Checkpoint System, Inc.............................. 360,500 4,844,219
Chemed Corp.......................................... 104,500 3,539,937
*Chemfab Corp........................................ 16,050 361,125
Chemfirst, Inc....................................... 72,500 1,368,437
*Cherry Corp. Class A................................ 48,700 715,281
*Cherry Corp. Class B................................ 32,500 485,469
Chesapeake Corp...................................... 13,600 471,750
#Chesapeake Energy Corp.............................. 1,312,800 1,805,100
Chester Valley Bancorp............................... 833 23,767
Chic by His, Inc..................................... 125,700 573,506
Chicago Rivet & Machine Co........................... 11,800 342,200
*Children's Comprehensive Services, Inc.............. 151,600 1,890,262
*Childtime Learning Centers, Inc..................... 38,300 540,987
Chiquita Brands International, Inc................... 65,589 737,876
*Chock Full O' Nuts Corp............................. 125,323 830,265
*Christiana Companies, Inc........................... 60,000 1,250,625
*Chrysalis International Corp........................ 87,700 34,258
*Cidco, Inc.......................................... 207,200 592,462
*Ciprico, Inc........................................ 55,300 409,566
Circle International, Inc............................ 1,500 25,031
*Circon Corp......................................... 26,500 387,562
*Circuit City Stores, Inc. -- Carmax Group........... 272,500 1,464,687
*Circuit Systems, Inc................................ 53,000 196,266
*Cirrus Logic, Inc................................... 300,500 3,709,297
*Citadel Holding Corp................................ 73,300 270,294
*Citation Computer System, Inc....................... 11,200 25,900
*Citation Corp....................................... 194,700 2,725,800
Citizens Banking Corp................................ 90,350 2,950,492
*Citizens, Inc. Class A.............................. 70,800 411,525
*Civic Bancorp....................................... 37,695 541,866
*Clean Harbors, Inc.................................. 117,500 201,953
Cleveland Cliffs, Inc................................ 131,300 4,997,606
*Clintrials Research, Inc............................ 286,300 993,103
*Coast Dental Services, Inc.......................... 53,900 618,166
*Coast Distribution System........................... 85,100 170,200
Coastal Bancorp, Inc................................. 86,900 1,661,962
*Coastcast Corp...................................... 96,100 756,787
*Cobra Electronic Corp............................... 66,100 289,187
*Code-Alarm, Inc..................................... 23,200 18,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Coeur d'Alene Mines Corp. ID....................... 252,800 $ 1,279,800
*Coffee People, Inc.................................. 52,000 107,250
*Coherent, Inc....................................... 175,500 2,204,719
*Cohesion Technologies, Inc.......................... 117,300 461,869
*Coho Energy, Inc.................................... 284,900 1,255,341
*Cohr, Inc........................................... 72,500 215,234
*#Coinmach Laundry Corp.............................. 159,500 2,611,812
*Cold Metal Products, Inc............................ 40,000 112,500
*Collaborative Clinical Research, Inc................ 34,000 100,937
Collagen Corp........................................ 117,300 1,129,012
Collins Industries, Inc.............................. 28,200 120,731
*Columbia Banking System, Inc........................ 49,045 970,171
*Columbus Energy Corp................................ 50,932 331,058
Columbus McKinnon Corp............................... 200 3,625
*Comdial Corp........................................ 91,800 829,069
*Command Systems, Inc................................ 15,000 39,609
Commercial Bancshares, Inc........................... 25,247 590,149
Commercial Bank of New York.......................... 26,400 377,850
Commercial Intertech Corp............................ 25,700 406,381
Commercial Metals Co................................. 164,900 4,174,031
Commercial National Financial Corp................... 9,000 361,125
Commonwealth Bancorp, Inc............................ 162,100 2,497,353
Commonwealth Industries, Inc......................... 226,000 2,161,125
Community Bank System, Inc........................... 58,000 1,689,250
Community Trust Bancorp, Inc......................... 43,370 1,011,063
*Compdent Corp....................................... 165,600 1,723,275
*Compucom Systems, Inc............................... 471,600 1,797,975
*Computer Motion, Inc................................ 54,000 501,187
*Computer Network Technology Corp.................... 282,000 1,982,812
*Computer Outsourcing Services, Inc.................. 42,800 422,650
*Comshare, Inc....................................... 44,850 193,416
*Comstock Resources, Inc............................. 361,700 1,333,769
*Comtech Telecommunications Corp..................... 26,900 240,419
*Concord Camera Corp................................. 101,200 553,437
*Concord Fabrics, Inc. Class A....................... 16,400 102,500
*Cone Mills Corp. NC................................. 323,900 1,477,794
*Congoleum Corp. Class A............................. 6,200 55,412
*Conmed Corp......................................... 198,561 5,410,787
*Conso Products Co................................... 95,600 558,662
*Consolidated Freightways Corp....................... 224,200 2,816,512
*#Consumer Portfolio Services, Inc................... 79,900 344,569
*#ContiFinancial Corp................................ 705,900 3,926,569
*Continental Materials Corp.......................... 2,300 71,875
Cooker Restaurant Corp............................... 150,000 862,500
*Cooperative Bankshares, Inc......................... 20,800 309,400
*Copart, Inc......................................... 134,700 3,182,287
*Copley Pharmaceutical, Inc.......................... 199,700 1,610,081
*Coram Healthcare Corp............................... 346,900 650,437
*Core, Inc........................................... 7,400 45,325
*Cornell Corrections, Inc............................ 54,500 974,187
*Corporate Express, Inc.............................. 835,000 4,853,437
*Corrpro Companies, Inc.............................. 85,375 1,035,172
*Cosmetic Centers, Inc. Class C...................... 8,646 11,078
Courier Corp......................................... 23,400 649,350
*Covenant Transport, Inc. Class A.................... 232,200 4,056,244
*Cover-All Technologies, Inc......................... 31,901 63,802
Covest Bancshares, Inc............................... 48,825 688,127
*Craig Corp.......................................... 43,100 374,431
*Creative Computers, Inc............................. 34,200 1,292,119
*Credit Acceptance Corp.............................. 271,900 1,843,822
*Criticare Systems, Inc.............................. 91,000 201,906
Cross (A.T.) Co. Class A............................. 185,300 1,320,262
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Cross-Continent Auto Retailers, Inc................. 136,800 $ 1,350,900
*Crowley, Milner & Co................................ 18,000 84,375
*Crown Central Petroleum Corp. Class A............... 71,000 652,312
*#Crown Central Petroleum Corp. Class B.............. 59,400 549,450
Crown Crafts, Inc.................................... 97,500 603,281
*Crown Vantage, Inc.................................. 128,820 384,447
*Crown-Andersen, Inc................................. 20,000 92,500
Cubic Corp........................................... 107,650 2,206,825
Culp, Inc............................................ 73,100 639,625
Curtiss-Wright Corp.................................. 94,900 3,546,887
*CustomTracks Corp................................... 232,900 2,045,153
*Cyberoptics Corp.................................... 53,600 864,300
*Cybex International, Inc............................ 90,600 436,012
*Cyrk, Inc........................................... 193,500 1,687,078
*Cytrx Corp.......................................... 13,000 9,344
D&N Financial Corp................................... 54,670 1,259,118
*DII Group, Inc...................................... 22,400 466,900
*DM Management Co.................................... 48,450 708,581
*#DRS Technologies, Inc.............................. 60,600 556,762
*DSP Technology, Inc................................. 20,100 158,916
DT Industries, Inc................................... 119,700 2,236,894
*DVI, Inc............................................ 101,800 1,800,587
*Dailey International, Inc........................... 80,000 78,750
Dain Rauscher Corp................................... 106,000 3,948,500
*Dairy Mart Convenience Stores, Inc. Class A......... 9,000 39,375
*Damark International, Inc. Class A.................. 95,800 661,619
Dames & Moore, Inc................................... 220,300 2,822,594
*Dan River, Inc. (GA) Class A........................ 195,000 1,584,375
Daniel Industries, Inc............................... 145,700 1,593,594
*Danielson Holding Corp.............................. 10,000 36,250
*Data Broadcasting Corp.............................. 254,670 2,689,952
*Data General Corp................................... 5,500 99,687
*Data I/O Corp....................................... 84,400 137,150
*#Data Race, Inc..................................... 29,800 88,934
*Data Systems & Software, Inc........................ 86,800 265,825
*Data Systems Network Corp........................... 3,228 4,035
*Datakey, Inc........................................ 19,100 59,687
*Dataram Corp........................................ 31,160 662,150
*Datascope Corp...................................... 24,000 525,000
*Dataware Technologies, Inc.......................... 81,300 307,416
*Datron Systems, Inc................................. 30,000 187,500
*Datum, Inc.......................................... 87,500 664,453
*Daw Technologies, Inc............................... 116,900 82,195
*Dawson Geophysical Co............................... 60,000 551,250
*Daxor Corp.......................................... 52,000 685,750
*DeGeorge Financial Corp............................. 19,900 20,596
Deb Shops, Inc....................................... 142,000 1,526,500
*Deckers Outdoor Corp................................ 100,100 206,456
Decorator Industries, Inc............................ 20,832 177,072
Defiance, Inc........................................ 73,100 488,856
*Del Global Technologies Corp........................ 85,877 853,403
*#Delta Financial Corp............................... 139,200 765,600
Delta Natural Gas Co., Inc........................... 26,100 482,850
Delta Woodside Industries, Inc....................... 293,500 1,467,500
Deltic Timber Corp................................... 93,400 1,868,000
*Denamerica Corp..................................... 36,100 36,100
*Depotech Corp....................................... 53,800 131,137
*Designs, Inc........................................ 178,800 117,337
*Detection Systems, Inc.............................. 69,300 658,350
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Detrex Corp......................................... 12,800 $ 80,000
*Detroit Diesel Corp................................. 318,400 6,586,900
*Devcon International Corp........................... 50,800 107,156
*Diagnostic Health Services, Inc..................... 50,000 128,906
*Diamond Home Services, Inc.......................... 140,000 450,625
*Diamond Multimedia Systems, Inc..................... 368,600 2,407,419
*Dianon Systems, Inc................................. 40,300 321,141
*Digi International, Inc............................. 124,000 1,592,625
*Digital Link Corp................................... 43,000 231,797
*Digital Microwave Corp.............................. 121,600 706,800
Dime Community Bancorp, Inc.......................... 135,000 3,628,125
Dimon, Inc........................................... 400,000 3,275,000
*Diodes, Inc......................................... 49,700 279,562
*Discount Auto Parts, Inc............................ 172,100 4,291,744
*Diversified Corporate Resources, Inc................ 2,700 15,525
Dixie Group, Inc..................................... 122,400 858,712
*Dixon Ticonderoga Co................................ 27,250 241,844
*Dollar Thrifty Automotive Group, Inc................ 35,000 437,500
*Dominion Homes, Inc................................. 70,100 630,900
Donegal Group, Inc................................... 70,444 959,800
Donnelly Corp. Class A............................... 78,250 1,183,531
*Donnkenny, Inc...................................... 157,300 172,047
*Dotronix, Inc....................................... 1,000 1,062
Downey Financial Corp................................ 271,613 7,061,938
*Dress Barn, Inc..................................... 221,823 3,278,821
*Drug Emporium, Inc.................................. 188,400 841,912
*Drypers Corp........................................ 49,400 139,709
*Duckwall-Alco Stores, Inc........................... 58,000 764,875
*Durakon Industries, Inc............................. 107,400 1,141,125
Dyersburg Corp....................................... 161,500 534,969
*Dynamics Research Corp.............................. 85,636 561,986
*E-Z-Em, Inc. Class A................................ 43,200 291,600
*E-Z-Em, Inc. Class B................................ 3,843 21,617
*EA Engineering Science & Technology, Inc............ 72,025 88,906
*ECC International Corp.............................. 90,500 260,187
*EFTC Corp........................................... 125,100 471,080
*EIS International, Inc.............................. 132,800 236,550
*ELXSI Corp.......................................... 27,900 287,719
EMC Insurance Group, Inc............................. 70,500 876,844
*ESCO Electronics Corp. Trust Receipts............... 193,400 1,909,825
Eagle Bancshares, Inc................................ 64,600 1,178,950
*Eagle Food Centers, Inc............................. 116,700 371,981
*Eagle Geophysical, Inc.............................. 141,400 795,375
*Eagle Hardware & Garden, Inc........................ 290,100 8,195,325
*Eagle Point Software Corp........................... 80,000 770,000
Easco, Inc........................................... 160,200 1,351,687
*East/West Communications, Inc....................... 2,300 3,019
Eastern Co........................................... 19,600 507,150
Eaton Vance Corp..................................... 1,892 45,999
Ecology & Environment, Inc. Class A.................. 23,800 240,975
*Edelbrock Corp...................................... 85,000 1,439,687
Edo Corp............................................. 31,500 271,687
*Educational Insights, Inc........................... 49,300 95,519
*#Egghead, Inc....................................... 109,925 2,816,828
*#Einstein/Noah Bagel Corp........................... 72,400 153,850
*Ekco Group, Inc..................................... 229,300 845,544
*El Paso Electric Co................................. 386,700 3,576,975
*Elantec Semiconductor, Inc.......................... 88,400 325,975
*Elcom International, Inc............................ 40,300 71,784
</TABLE>
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<TABLE>
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<S> <C> <C>
*Electric Fuel Corp.................................. 3,700 $ 11,678
*Electric Lightwave, Inc............................. 132,000 806,437
*Electro Rent Corp................................... 68,600 788,900
*Electro Scientific Industries, Inc.................. 49,500 1,485,000
*Electroglas, Inc.................................... 265,200 3,795,675
*Electromagnetic Sciences, Inc....................... 94,550 1,282,334
Ellett Brothers, Inc................................. 61,500 269,062
*Emcee Broadcast Products, Inc....................... 50,000 87,500
*Emcon............................................... 102,000 312,375
*Emulex Corp......................................... 47,150 1,327,567
Energen Corp......................................... 232,400 4,183,200
Engineered Support Systems, Inc...................... 36,750 597,187
Engle Homes, Inc..................................... 126,700 1,718,369
Ennis Business Forms, Inc............................ 6,000 63,000
*Enstar, Inc......................................... 20,866 168,232
*Enterprise Software, Inc............................ 17,000 116,344
*Environmental Elements Corp......................... 14,500 58,906
*Environmental Technologies Corp..................... 58,500 59,414
*Equinox Systems, Inc................................ 53,100 567,506
*Equitex, Inc........................................ 9,400 68,737
*Equitrac Corp....................................... 26,500 445,531
*Equity Oil Co....................................... 142,900 169,694
Eskimo Pie Corp...................................... 41,400 461,869
*Espey Manufacturing & Electronics Corp.............. 3,500 45,281
*Esterline Technologies Corp......................... 127,200 2,655,300
Ethyl Corp........................................... 342,600 1,991,362
*Evans & Sutherland Computer Corp.................... 119,800 2,313,637
*Evans Systems, Inc.................................. 23,585 268,279
*Evans, Inc.......................................... 68,700 38,644
Evergreen Bancorp, Inc. DE........................... 63,100 1,857,506
*Evergreen Resources, Inc............................ 34,000 641,750
*Exabyte Corp........................................ 253,000 1,873,781
*Exar Corp........................................... 101,500 1,776,250
Excel Industries, Inc................................ 177,600 3,152,400
*Executone Information Systems, Inc.................. 351,700 653,942
#Exide Corp.......................................... 250,100 4,361,119
*Exponent, Inc....................................... 69,500 423,516
Ezcorp, Inc. Class A Non-Voting...................... 139,100 1,056,291
FCB Financial Corp................................... 35,600 1,101,375
FDP Corp............................................. 10,500 113,531
*FEI Co.............................................. 111,500 926,844
FFLC Bancorp......................................... 50,833 835,567
FFY Financial Corp................................... 42,300 1,377,394
FNB Rochester Corp................................... 30,300 632,512
*FSI International, Inc.............................. 243,400 1,871,137
Fab Industries, Inc.................................. 67,081 1,329,042
*Factory Card Outlet Corp............................ 88,100 206,484
*Fairchild Corp. Class A............................. 198,900 3,194,831
Falcon Products, Inc................................. 81,700 934,444
*Fansteel, Inc....................................... 74,700 452,869
Farmer Brothers Co................................... 84 17,682
*Farr Co............................................. 52,200 544,837
Farrel Corp.......................................... 62,200 138,006
Federal Screw Works.................................. 2,000 97,875
*Ferrofluidics Corp.................................. 32,500 95,469
*Fibermark, Inc...................................... 88,950 1,150,791
*Fiberstars, Inc..................................... 12,700 50,006
Fidelity Bancorp, Inc. Delaware...................... 32,700 765,384
Fidelity Federal Bancorp............................. 20,000 75,000
*Filenes Basement Corp............................... 246,200 500,094
Financial Bancorp., Inc.............................. 25,000 959,375
<CAPTION>
SHARES VALUE+
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Fingerhut Companies, Inc............................. 183,400 $ 2,040,325
*Finish Line, Inc. Class A........................... 84,100 756,900
*Finishmaster, Inc................................... 120,000 750,000
*Finlay Enterprises, Inc............................. 47,500 387,422
First Albany Companies, Inc.......................... 31,824 352,053
First Bell Bancorp, Inc.............................. 59,600 927,525
*First Cash, Inc..................................... 69,700 781,947
First Citizens Bancshares, Inc. NC................... 6,600 569,869
First Coastal Bankshares, Inc........................ 51,950 1,134,783
First Defiance Financial Corp........................ 126,600 1,879,219
First Essex Bancorp.................................. 86,400 1,582,200
First Federal Bancshares of Arkansas, Inc............ 54,100 1,142,862
First Federal Capital Corp........................... 131,220 2,144,627
First Federal Savings & Loan Association of East
Hartford, CT....................................... 31,000 850,562
First Financial Holdings, Inc........................ 100,600 1,936,550
First Indiana Corp................................... 92,306 1,782,660
*First Investors Financial Services Group, Inc....... 48,800 251,625
First Keystone Financial, Inc........................ 21,800 332,450
First Liberty Financial Corp......................... 71,775 1,554,377
First Midwest Financial, Inc......................... 18,800 327,825
First Mutual Bancorp, Inc............................ 11,900 211,969
First Northern Capital Corp.......................... 98,700 1,295,437
First Oak Brook Bancshares, Inc. Class A............. 29,000 576,375
*First Republic Bank................................. 112,703 2,909,146
First Savings Bancorp, Inc. North Carolina........... 48,000 1,077,000
*#First Team Sports, Inc............................. 85,600 127,062
First Washington Bancorp, Inc........................ 118,580 2,453,124
First Western Bancorp, Inc........................... 19,200 600,000
*FirstFed Financial Corp. DE......................... 194,400 3,450,600
*Firstwave Technologies, Inc......................... 45,700 174,231
*Fischer Imaging Corp................................ 100,600 248,356
*Fisher Scientific, International, Inc............... 22,400 414,400
Flag Financial Corp.................................. 10,350 113,527
*Flander Corp........................................ 283,000 1,140,844
Fleming Companies, Inc............................... 433,697 4,364,076
Flexsteel Industries, Inc............................ 78,400 994,700
*Florida Panthers Holdings, Inc. Class A............. 54,000 604,125
Florida Rock Industries, Inc......................... 194,700 5,707,144
*Florsheim Group, Inc................................ 88,700 476,762
*Fluor Daniel/GTI, Inc............................... 15,822 129,543
Flushing Financial Corp.............................. 128,550 2,032,697
*Foilmark, Inc....................................... 45,800 87,306
*Foodarama Supermarkets, Inc......................... 12,400 399,900
*Foothill Independent Bancorp........................ 45,818 644,316
*Forcenergy, Inc..................................... 80,500 327,031
*Forest Oil Corp..................................... 74,500 633,250
*Forward Air Corp., Inc.............................. 16,200 262,237
*Foster (L.B.) Co. Class A........................... 128,300 617,444
*Foster Wheeler Corp................................. 119,300 2,043,012
*Four Kids Entertainment, Inc........................ 21,800 265,687
*Four Media Co....................................... 106,800 710,887
Frankfort First Bancorp, Inc......................... 25,650 400,781
Franklin Bank National Associaton Southfield, MI..... 38,283 406,757
*Franklin Covey Co................................... 101,000 1,893,750
*Franklin Electronic Publishers, Inc................. 86,100 855,619
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Freds, Inc. Class A.................................. 136,750 $ 1,923,047
Frequency Electronics, Inc........................... 85,300 938,300
*Fresh Choice, Inc................................... 64,900 103,434
*Fresh Foods, Inc.................................... 2,000 16,750
*#Friedman Billings Ramsey Group, Inc. Class A....... 165,000 990,000
Friedman Industries, Inc............................. 69,737 339,968
*Friedmans, Inc. Class A............................. 149,300 1,469,672
Frisch's Restaurants, Inc............................ 77,405 870,806
*Fritz Companies, Inc................................ 153,900 1,481,287
Frontier Insurance Group, Inc........................ 272,000 3,859,000
Frozen Food Express Industries, Inc.................. 299,100 2,318,025
*Funco, Inc.......................................... 34,300 555,231
*G-III Apparel Group, Ltd............................ 73,200 134,962
GA Financial, Inc.................................... 65,500 1,039,812
GBC Bancorp.......................................... 96,400 2,391,925
*GC Companies, Inc................................... 131,300 5,284,825
*GP Strategies Corp.................................. 119,615 1,719,466
*GZA Geoenvironmental Technologies, Inc.............. 36,500 159,687
*Gadzooks, Inc....................................... 122,000 907,375
Gainsco, Inc......................................... 316,400 2,096,150
*Galey & Lord, Inc................................... 138,500 1,497,531
*Galileo Corp........................................ 94,100 320,528
*Gantos, Inc......................................... 84,350 76,442
Garan, Inc........................................... 58,000 1,575,062
*Garden Fresh Restaurant Corp........................ 45,900 717,187
*Gart Sports Co...................................... 16,137 154,310
*Gasonics International, Inc......................... 134,000 1,042,687
*#Geerling & Wade, Inc............................... 27,500 179,180
*Gehl Co............................................. 68,600 956,112
*General Cigar Holdings, Inc. Class A................ 112,600 1,104,887
*General Communications, Inc. Class A................ 841,800 3,472,425
*#General Datacomm Industries, Inc................... 219,000 793,875
General Housewares Corp.............................. 50,700 560,869
*General Microwave Corp.............................. 400 7,200
*General Semiconductor, Inc.......................... 83,000 840,375
*General Surgical Innovations, Inc................... 145,000 444,062
*#Genesis Health Ventures, Inc....................... 178,400 1,705,950
*#Geneva Steel Co. Class A........................... 93,000 69,750
*Genicom Corp........................................ 133,500 387,984
*Genlyte Group, Inc.................................. 85,500 1,632,516
*Gensym Corp......................................... 71,200 214,712
*Genzyme Corp. Tissue Repair......................... 51,900 160,566
Geon Co.............................................. 211,500 4,705,875
*Geoscience Corp..................................... 50,000 531,250
Gerber Scientific, Inc............................... 292,000 7,391,250
*Getty Petroleum Marketing, Inc...................... 198,300 694,050
*Giant Group, Ltd.................................... 50,600 357,362
Giant Industries, Inc................................ 154,900 1,849,119
*Gibraltar Packaging Group, Inc...................... 67,200 48,300
*Gibraltar Steel Corp................................ 41,300 815,675
*Gibson Greetings, Inc............................... 185,000 2,040,781
*Giga-Tronics, Inc................................... 19,900 54,725
*Gish Biomedical, Inc................................ 42,300 132,187
Glatfelter (P.H.) Co................................. 219,400 2,824,775
Gleason Corp......................................... 93,800 1,793,925
*Glenayre Technologies, Inc.......................... 495,100 3,078,903
*Global Industrial Technologies, Inc................. 240,900 2,017,537
*Global Motorsport Group, Inc........................ 62,500 1,201,172
*Globe Business Resources, Inc....................... 38,700 458,353
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*#Golden Books Family Entertainment, Inc............. 90,800 $ 58,169
*Good Guys, Inc...................................... 218,300 1,282,512
Gorman-Rupp Co....................................... 36,500 595,406
*Gottschalks, Inc.................................... 157,300 1,179,750
*Government Technology Services, Inc................. 81,700 390,628
*Gradco Systems, Inc................................. 78,000 236,437
*Graham Corp......................................... 25,950 207,600
*Graham-Field Health Products, Inc................... 342,480 1,070,250
*Grand Casinos, Inc.................................. 460,900 4,378,550
Grand Premier Financial, Inc......................... 65,897 842,255
Granite Construction, Inc............................ 141,725 4,579,489
Granite State Bankshares, Inc........................ 22,800 464,550
*Greenbriar Corp..................................... 7,000 25,375
Greenbrier Companies, Inc............................ 219,800 3,077,200
*Grey Wolf, Inc...................................... 111,200 111,200
*Greyhound Lines, Inc................................ 254,000 1,524,000
*Griffon Corp........................................ 12,000 115,500
*Group 1 Software, Inc............................... 16,900 148,931
*Gryphon Holdings, Inc............................... 106,800 1,975,800
Guarantee Life Companies, Inc........................ 104,500 1,952,844
*Guest Supply, Inc................................... 72,900 760,894
Guilford Mills, Inc.................................. 272,900 3,939,994
*Gulfmark Offshore, Inc.............................. 29,100 471,966
*Gundle/SLT Environmental, Inc....................... 267,900 1,004,625
*HCIA, Inc........................................... 175,500 847,336
*HEI, Inc............................................ 10,200 52,912
HF Financial Corp.................................... 51,950 756,522
*HMI Industries, Inc................................. 27,800 45,609
HMN Financial, Inc................................... 66,600 907,425
*HPSC, Inc........................................... 42,000 385,875
*HS Resources, Inc................................... 221,300 1,922,544
HUBCO, Inc........................................... 59,530 1,609,170
*Hadco Corp.......................................... 85,700 3,004,856
*Haemonetics Corp.................................... 78,300 1,766,644
Haggar Corp.......................................... 96,700 1,226,881
*Hahn Automotive Warehouse, Inc...................... 38,746 121,081
Halifax Corp......................................... 24,000 174,000
*Hallmark Capital Corp............................... 25,300 324,156
*Hampshire Group, Ltd................................ 19,100 230,394
*Hampton Industries, Inc............................. 62,359 413,128
*Handleman Co........................................ 484,436 5,813,232
*Harding Lawson Associates Group, Inc................ 51,700 355,437
Hardinge Brothers, Inc............................... 111,400 2,120,081
Harleysville Group, Inc.............................. 305,600 6,474,900
Harman International Industries, Inc................. 81,400 3,474,762
*Harnischfeger Industries, Inc....................... 201,400 2,014,000
*#Harry's Farmers Market, Inc. Class A............... 46,100 79,234
*Hartmarx Corp....................................... 664,800 3,905,700
*Harvey Entertainment Co............................. 51,100 411,994
Harvey's Casino Resorts.............................. 112,100 2,998,675
Haskel International, Inc............................ 53,900 609,744
Hastings Manufacturing Co............................ 1,700 31,025
*Hathaway Corp....................................... 45,300 48,839
*Hauser, Inc......................................... 116,700 528,797
Haven Bancorp, Inc................................... 100,100 1,667,291
Haverty Furniture Co., Inc........................... 140,100 2,731,950
*#Hawaiian Airlines, Inc............................. 72,400 226,250
*Hawthorne Financial Corp............................ 31,900 526,350
*#Hayes Corp......................................... 10,133 1,317
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Health Management Systems, Inc...................... 85,400 $ 587,125
*Health Risk Management, Inc......................... 49,600 534,750
*Healthcare Services Group, Inc...................... 138,300 1,270,631
*Healthcor Holdings.................................. 65,300 17,345
Healthplan Services Corp............................. 154,500 1,545,000
*#Hector Communications Corp......................... 8,500 69,062
Heilig-Meyers Co..................................... 697,250 4,880,750
*Heist (C.H.) Corp................................... 16,800 109,200
*Hello Direct, Inc................................... 84,100 688,569
*Herley Industries, Inc.............................. 20,533 222,655
*Hf Bancorp, Inc..................................... 51,400 820,794
*Hi-Shear Industries, Inc............................ 53,500 138,766
*Hi-Tech Pharmacal, Inc.............................. 48,700 237,412
*High Plains Corp.................................... 177,300 326,897
*Highlands Insurance Group, Inc...................... 192,310 2,451,952
*Hirsch International Corp. Class A.................. 90,000 298,125
*Hoenig Group, Inc................................... 104,700 811,425
*Holiday RV Superstores, Inc......................... 70,200 146,981
Holly Corp........................................... 88,500 1,438,125
*Hollywood Casino Corp. Class A...................... 32,900 44,723
*Hollywood Entertainment Corp........................ 154,000 3,691,187
*Hollywood Park, Inc................................. 252,700 2,416,444
*Hologic, Inc........................................ 70,000 899,062
*Holopak Technologies, Inc........................... 27,800 85,137
Home Bancorp......................................... 13,800 382,950
Home Federal Bancorp................................. 34,875 924,187
Home Port Bancorp, Inc............................... 14,500 328,062
*Home Products International, Inc.................... 76,000 688,750
*#Homebase, Inc...................................... 468,150 2,691,862
*#Homegold Financial, Inc............................ 50,000 46,094
*Homestead Village, Inc.............................. 102,400 672,000
Horizon Financial Corp............................... 82,265 1,115,719
*Houston Exploration Co.............................. 61,400 1,074,500
*Hovnanian Enterprises, Inc. Class A................. 211,784 1,720,745
#Howell Corp......................................... 104,200 377,725
*Hub Group, Inc. Class A............................. 103,000 1,937,687
Hudson General Corp.................................. 32,900 1,899,975
*Hudson Hotels Corp.................................. 14,300 29,047
*Hudson Technologies, Inc............................ 61,600 155,925
Huffy Corp........................................... 136,900 1,985,050
Hughes Supply, Inc................................... 184,400 5,117,100
Hunt (J.B.) Transport Services, Inc.................. 365,500 6,910,234
Huntco, Inc. Class A................................. 84,500 433,062
*Hurco Companies, Inc................................ 73,000 451,687
*#Hutchinson Technology, Inc......................... 183,400 5,679,669
*Hvide Marine, Inc. Class A.......................... 110,500 663,000
*Hycor Biomedical, Inc............................... 77,700 97,125
*Hypercom Corp....................................... 89,500 1,051,625
*Hyseq, Inc.......................................... 41,200 196,987
*ICF Kaiser International, Inc....................... 123,000 207,562
*ICT Group, Inc...................................... 36,000 88,875
*ICU Medical, Inc.................................... 79,400 1,471,381
*IEC Electronics Corp................................ 118,600 711,600
IFR Systems, Inc..................................... 124,200 714,150
*IHOP Corp........................................... 33,900 1,342,228
*II-VI, Inc.......................................... 139,600 1,134,250
*IMC Mortgage Co..................................... 315,000 196,875
IMCO Recycling, Inc.................................. 185,000 2,763,437
ISB Financial Corp. LA............................... 70,300 1,790,453
*ITC Learning Corp................................... 49,200 154,519
*ITEQ, Inc........................................... 303,759 730,920
*ITI Technologies, Inc............................... 5,600 148,575
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*ITLA Capital Corp................................... 84,200 $ 1,484,025
*IVI Checkmate Corp.................................. 79,205 452,954
Ico, Inc............................................. 241,800 615,834
*Ikos Systems, Inc................................... 144,100 472,828
*Imation Corp........................................ 148,500 2,413,125
*Immucor, Inc........................................ 61,100 542,262
*Immulogic Pharmaceutical Corp....................... 280,100 428,903
*Imperial Credit Industries, Inc..................... 184,700 1,881,631
Imperial Holly Corp.................................. 267,300 2,305,462
*In Focus Systems, Inc............................... 285,300 2,389,387
*#Inacom Corp........................................ 189,000 3,921,750
*Inco Homes Corp..................................... 156 405
Independence Holding Co.............................. 52,600 703,525
Independent Bank Corp. MA............................ 61,200 971,550
Independent Bank East................................ 21,877 473,090
Industrial Bancorp, Inc.............................. 29,200 573,050
*Industrial Distribution Group, Inc.................. 155,000 1,075,312
*Inference Corp. Class A............................. 115,000 898,437
*Infonautics Corp. Class A........................... 64,100 368,575
*Information Resources, Inc.......................... 378,700 3,171,612
*Information Storage Devices, Inc.................... 161,000 1,172,281
Ingles Market, Inc. Class A.......................... 129,700 1,564,506
*Innodata Corp....................................... 3,866 23,438
*Innoserv Technologies, Inc. (Escrow Shares)......... 13,700 0
*#Innovative Gaming Corp. of America................. 6,600 8,766
*Inprise Corp........................................ 58,700 324,684
*Input Software, Inc................................. 86,400 594,000
*Input/Output, Inc................................... 82,000 671,375
*Insilco Holding Co.................................. 432 10,314
*Insituform East, Inc................................ 31,200 45,825
*Insituform Technologies, Inc. Class A............... 256,300 3,347,919
*Inso Corp........................................... 85,000 2,287,031
Insteel Industries, Inc.............................. 93,400 525,375
Instron Corp......................................... 63,500 833,437
*Insurance Auto Auctions, Inc........................ 141,500 1,609,562
*Integra, Inc........................................ 104,800 209,600
*Integrated Device Technology, Inc................... 474,400 2,801,925
*Integrated Measurement System, Inc.................. 82,800 884,925
*Integrated Process Equipment Corp................... 135,700 1,420,609
*Integrated Silicon Solution, Inc.................... 213,300 699,891
*#Intellicall, Inc................................... 29,500 51,625
*Intelligent Systems Corp............................ 52,375 101,477
Intercargo Corp...................................... 90,800 959,075
*Interface Systems, Inc.............................. 49,600 212,350
Interface, Inc. Class A.............................. 306,100 3,816,684
*Intergraph Corp..................................... 652,500 4,220,859
*Interlink Computer Sciences, Inc.................... 95,600 376,425
*Interlink Electronics............................... 55,000 132,344
*Interlinq Software Corp............................. 62,200 458,725
*Intermagnetics General Corp......................... 131,480 846,402
International Aluminum Corp.......................... 48,900 1,454,775
International Multifoods Corp........................ 275,400 7,005,487
*International Rectifier Corp........................ 709,600 6,652,500
*International Remote Imaging Systems, Inc........... 6,200 5,812
International Shipholding Corp....................... 71,475 1,116,797
*International Technology Corp....................... 338,626 3,449,752
*International Thoroughbred Breeders, Inc............ 110,000 22,000
*International Total Services, Inc................... 74,900 351,094
</TABLE>
17
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<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Interphase Corp..................................... 65,100 $ 526,903
Interpool, Inc....................................... 428,400 6,211,800
Interstate Johnson Lane, Inc......................... 43,900 1,358,156
*Intertan, Inc....................................... 190,200 1,271,962
*Intervisual Books, Inc. Class A..................... 9,900 13,303
*Intervoice, Inc..................................... 67,400 1,733,444
Interwest Bancorp.................................... 26,400 644,325
Investors Title Co................................... 18,200 409,500
*Ionics, Inc......................................... 132,500 4,165,469
*Iridex Corp......................................... 74,300 297,200
Isco, Inc............................................ 60,400 309,550
*Isle of Capri Casinos, Inc.......................... 323,400 1,045,997
*Isolyser Co., Inc................................... 597,600 849,712
*Iwerks Entertainment, Inc........................... 191,700 218,658
*J & J Snack Foods Corp.............................. 100,100 2,045,794
J & L Specialty Steel, Inc........................... 545,800 3,411,250
*J. Alexander's Corp................................. 63,500 226,219
*JLK Direct Distribution, Inc. Class A............... 20,000 218,750
JSB Financial, Inc................................... 105,400 5,559,850
*Jackpot Enterprises, Inc............................ 100,600 974,562
*Jaclyn, Inc......................................... 26,900 101,716
*Jaco Electronics, Inc............................... 45,446 208,768
*Jacobson Stores, Inc................................ 62,650 522,736
*Jan Bell Marketing, Inc............................. 298,100 1,378,712
*Jason, Inc.......................................... 217,500 1,767,187
*Jean Philippe Fragrances, Inc....................... 103,200 625,650
Jefferson Savings Bancorp, Inc....................... 60,000 847,500
*Jo-Ann Stores Inc Cl A.............................. 35,700 562,275
*Jo-Ann Stores, Inc. Class B......................... 35,700 568,969
*Johnson Worldwide Associates, Inc. Class A.......... 122,100 1,156,134
*Johnston Industries, Inc............................ 117,525 462,755
*Johnstown American Industries, Inc.................. 117,900 1,801,659
*Jones Intercable, Inc............................... 48,900 1,534,237
*Jones Intercable, Inc. Class A...................... 335,100 10,471,875
*Jos. A. Bank Clothiers, Inc......................... 117,300 854,091
*Jps Packaging Company............................... 59,650 234,872
*Jumbosports, Inc.................................... 40,700 13,991
Juno Lighting, Inc................................... 12,000 283,500
*Just for Feet, Inc.................................. 40,400 919,100
*Just Toys, Inc...................................... 7,000 4,375
Justin Industries, Inc............................... 345,400 4,403,850
K Swiss, Inc. Class A................................ 37,000 1,045,250
*K-Tron International, Inc........................... 6,300 120,487
K2, Inc.............................................. 200,000 2,275,000
*KBK Capital Corp.................................... 65,000 560,625
KCS Energy, Inc...................................... 325,000 1,300,000
*KLLM Transport Services, Inc........................ 52,099 442,841
*KVH Industries, Inc................................. 56,700 86,822
*Kaiser Aluminum Corp................................ 331,415 2,174,911
*Kaiser Ventures, Inc................................ 121,400 1,168,475
Kaman Corp. Class A.................................. 245,800 3,940,481
Katy Industries, Inc................................. 135,800 2,665,075
Kaye Group, Inc...................................... 40,000 275,000
Keithley Instruments, Inc............................ 9,500 66,500
Kellwood Co.......................................... 231,918 6,261,786
*Kemet Corp.......................................... 290,500 4,085,156
Kenan Transport Co................................... 200 6,700
*Kennametal, Inc..................................... 20,000 426,250
*Kent Electronics Corp............................... 43,000 610,062
*Kentucky Electric Steel, Inc........................ 32,600 107,987
Kentucky First Bancorp, Inc.......................... 11,700 157,950
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kewaunee Scientific Corp............................. 30,800 $ 334,950
*Key Production Co., Inc............................. 125,612 973,493
*Key Technology, Inc................................. 49,100 313,012
*Key Tronic Corp..................................... 138,600 623,700
*Keystone Automotive Industries, Inc................. 31,840 611,925
*Keystone Consolidated Industries, Inc............... 100,586 697,815
Kimball International, Inc. Class B.................. 350,400 6,657,600
*Kimmins Corp........................................ 44,000 115,500
*Kinark Corp......................................... 73,400 188,087
*Kinnard Investment, Inc............................. 71,100 328,837
*Kinross Gold Corp................................... 31,215 78,037
*Kit Manufacturing Co................................ 11,100 58,275
Klamath First Bancorp, Inc........................... 131,900 2,349,469
Knape & Vogt Manufacturing Co........................ 46,531 878,273
*Komag, Inc.......................................... 541,300 3,907,509
*Koss Corp........................................... 45,700 519,837
*Krug International Corp............................. 65,400 134,887
*Kulicke & Soffa Industries, Inc..................... 254,900 4,333,300
*#LCA-Vision, Inc.................................... 3,450 4,690
LCS Industries, Inc.................................. 79,300 1,045,769
LNR Property Corp.................................... 119,300 2,326,350
LSB Industries, Inc.................................. 99,500 342,031
LSI Industries, Inc.................................. 13,230 282,791
*LTV Corp............................................ 410,000 2,255,000
*LTX Corp............................................ 382,900 1,256,391
*La Jolla Pharmceutical Co........................... 135,000 438,750
LaCrosse Footwear, Inc............................... 10,600 102,025
Lab Holdings, Inc.................................... 61,300 1,015,281
*Laboratory Corp. of America Holdings, Inc........... 424,700 557,419
*Laclede Steel Co.................................... 44,100 13,781
*Ladd Furniture, Inc................................. 87,327 1,550,054
*Lam Research Corp................................... 273,500 4,880,266
*Lamson & Sessions Co................................ 154,700 870,187
*Landair Corp........................................ 16,200 79,987
Landamerica Financial Group, Inc..................... 99,412 6,095,198
*Landrys Seafood Restaurants, Inc.................... 335,000 2,742,813
*Larscom, Inc........................................ 63,000 135,844
*#LaserSight Corporation............................. 120,300 656,011
*Lattice Semiconductor Corp.......................... 22,300 823,009
Lawson Products, Inc................................. 250,000 5,734,375
*Layne Christensen Co................................ 84,500 887,250
*Lazare Kaplan International, Inc.................... 67,500 523,125
*#Leap Group, Inc.................................... 81,400 353,581
*Learning Co., Inc................................... 46,500 1,351,406
*#Leasing Solutions, Inc............................. 91,100 358,706
*Lechters, Inc....................................... 226,400 682,738
Lesco, Inc........................................... 52,900 800,113
Lexford Residential Trust............................ 57,000 1,111,500
Life USA Holdings, Inc............................... 423,800 5,456,425
*Lifeline Systems, Inc............................... 19,500 504,563
Lifetime Hoan Corp................................... 104,200 1,142,944
Lillian Vernon Corp.................................. 97,400 1,491,438
*Lincoln Electric Holdings........................... 42,500 994,766
*Lindal Cedar Homes, Inc............................. 8,000 16,000
Lindberg Corp........................................ 64,800 860,625
*#Lion Brewery, Inc.................................. 24,000 107,250
*Lodgenet Entertainment Corp......................... 134,000 933,813
*Loehmanns, Inc...................................... 78,000 212,063
*#Logans Roadhouse, Inc.............................. 87,000 1,816,125
*#Logic Devices, Inc................................. 68,900 107,656
</TABLE>
18
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
*Lone Star Steakhouse Saloon......................... 482,400 $ 3,693,375
*Lone Star Technologies, Inc......................... 84,000 819,000
Longview Fibre Co.................................... 130,100 1,471,756
*Loronix Information Systems, Inc.................... 52,800 111,375
*Louis Dreyfus Natural Gas Corp...................... 458,900 5,937,019
Luby's Cafeterias, Inc............................... 44,700 709,613
Lufkin Industries, Inc............................... 86,600 1,704,938
*Lumisy, Inc......................................... 98,800 416,813
*Lunar Corp.......................................... 43,100 457,938
*Lydall, Inc. DE..................................... 279,000 3,539,813
*Lynch Corp.......................................... 6,200 486,700
*M.H. Meyerson & Co., Inc............................ 47,800 64,231
M/A/R/C, Inc......................................... 5,002 65,182
MAF Bancorp, Inc..................................... 41,941 1,069,496
#MDC Holdings, Inc................................... 274,288 5,040,042
*MEMC Electronic Materials, Inc...................... 307,900 2,905,806
MFB Corp............................................. 19,200 408,000
*MFRI, Inc........................................... 53,900 303,188
*MHM Services, Inc................................... 712 579
MI Schottenstein Homes, Inc.......................... 93,800 2,046,013
*MIM Corp............................................ 44,000 207,625
MMI Companies, Inc................................... 208,600 3,402,788
*#MRV Communications, Inc............................ 215,500 1,420,953
*MS Carriers, Inc.................................... 134,000 3,316,500
MTS Systems Corp..................................... 143,200 1,843,700
MYR Group, Inc....................................... 57,610 648,113
*Main Street & Main, Inc............................. 88,900 318,095
*Manchester Equipment Co., Inc....................... 14,700 38,588
*Mapinfo Corp........................................ 88,600 1,223,788
Marcus Corp.......................................... 213,250 3,225,406
*Marine Transport Corp............................... 52,670 110,278
*Mariner Post-Acute Network, Inc..................... 307,300 1,325,231
*Marisa Christina, Inc............................... 94,000 120,438
Maritrans, Inc....................................... 143,700 952,013
*Mark VII, Inc....................................... 10,500 183,094
*Marlton Technologies, Inc........................... 28,000 133,000
Marsh Supermarkets, Inc. Class A..................... 42,900 683,719
#Marsh Supermarkets, Inc. Class B.................... 56,900 803,713
*Marshall Industries................................. 214,000 5,564,000
Massbank Corp. Reading, MA........................... 40,266 1,585,474
Matec Corp........................................... 6,900 26,738
*Material Sciences Corp.............................. 311,200 2,800,800
*Matlack Systems, Inc................................ 94,642 733,476
*Matria Healthcare, Inc.............................. 567,300 1,081,416
*Matrix Pharmaceutical, Inc.......................... 304,900 1,000,453
*Matrix Service Co................................... 106,900 524,478
*Mattson Technology, Inc............................. 215,500 1,468,094
*Maverick Tube Corp.................................. 149,100 852,666
*Max & Ermas Restaurants, Inc........................ 41,900 324,725
*Maxco, Inc.......................................... 38,500 288,750
*Maxicare Health Plans, Inc.......................... 178,700 1,044,278
*Maxim Group, Inc.................................... 310,000 6,064,375
*Maxxam, Inc......................................... 93,300 4,554,206
*Maxxim Medical, Inc................................. 132,800 3,618,800
*Maynard Oil Co...................................... 49,600 483,600
McGrath Rent Corp.................................... 80,000 1,615,000
McRae Industries, Inc. Class A....................... 1,000 8,000
*Meadow Valley Corp.................................. 25,100 123,931
Medalliance, Inc. Escrow............................. 39,500 0
*Medaphis Corp....................................... 1,115,800 3,225,359
Medford Bancorp, Inc................................. 103,600 1,903,650
*Media 100, Inc...................................... 98,500 418,625
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Media Logic, Inc................................... 20,100 $ 6,281
*Medical Action Industries, Inc...................... 22,000 62,219
*Medical Alliance, Inc............................... 102,900 228,309
*Medical Assurance, Inc.............................. 28,350 854,044
*Medical Graphics Corp............................... 41,700 37,791
*#Medical Resources, Inc............................. 61,618 140,566
*Medicore, Inc....................................... 58,600 84,238
*Medstone International, Inc......................... 23,200 176,900
Merchants Bancorp, Inc............................... 39,400 1,157,375
Merchants Group, Inc................................. 25,600 547,200
*#Mercury Air Group, Inc............................. 15,300 98,494
*Meridian Data, Inc.................................. 142,900 325,991
Meridian Insurance Group, Inc........................ 47,000 816,625
*Meridian Resource Corp.............................. 161,000 623,875
*Merisel, Inc........................................ 335,800 970,672
*Merix Corp.......................................... 77,100 383,091
*Merrimac Industries, Inc............................ 11,770 79,448
*Mesa Air Group, Inc................................. 464,100 3,698,297
*Mesa Labs, Inc...................................... 17,000 71,188
*Mesaba Holdings, Inc................................ 5,600 105,700
*Mestek, Inc......................................... 13,500 259,875
*Metacreations Corp.................................. 68,400 551,475
*Metal Management, Inc............................... 158,600 490,669
*Metatec Corp. Class A............................... 100,600 584,738
*Metra Biosystems, Inc............................... 140,600 140,600
*Metrika System Corp................................. 55,000 474,375
*Metrocall, Inc...................................... 434,710 1,929,026
*Metromedia International Group, Inc................. 521,900 2,315,931
*Michael Anthony Jewelers, Inc....................... 81,500 244,500
Michael Foods, Inc................................... 173,981 4,387,583
*Michaels Stores, Inc................................ 309,900 5,578,200
*Micrion Corp........................................ 52,300 361,197
*Micro Linear Corp................................... 173,100 833,044
*Micro Warehouse, Inc................................ 502,600 13,758,675
*Microage, Inc....................................... 241,900 4,248,369
*Microcide Pharmaceuticals, Inc...................... 61,500 319,031
*Microdyne Corp...................................... 8,100 28,856
*Microsemi Corp...................................... 19,200 232,800
*Microtest, Inc...................................... 93,700 254,747
*Microtouch Systems, Inc............................. 122,600 1,655,100
*Microwave Power Dynamics, Inc....................... 117,900 729,506
Mid America Banccorp................................. 85,743 2,207,892
*Mid Atlantic Medical Services, Inc.................. 746,300 6,623,413
*Middleby Corp....................................... 170,000 669,375
Middlesex Water Co................................... 7,500 186,094
Midland Co........................................... 16,800 417,900
*Midwest Grain Products, Inc......................... 101,700 1,385,663
Mikasa, Inc.......................................... 198,400 2,157,600
*Mikohn Gaming Corp.................................. 120,100 487,906
*Miller Building Systems, Inc........................ 27,300 222,666
*Miller Industries, Inc.............................. 30,500 146,781
*Miltope Group, Inc.................................. 68,100 80,869
Mine Safety Appliances Co............................ 37,600 2,458,100
Minuteman International, Inc......................... 9,000 97,875
Mississippi Chemical Corp............................ 281,500 4,433,625
*Monaco Coach Corp................................... 19,200 592,800
*Monarch Casino and Resort, Inc...................... 5,200 28,275
Monarch Machine Tool Co.............................. 42,400 302,100
*Monro Muffler Brake, Inc............................ 93,730 743,982
Monterey Bay Bancorp, Inc............................ 44,500 636,906
*Moog, Inc. Class A.................................. 54,000 1,566,000
*Moog, Inc. Class B.................................. 12,800 422,400
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Moore Handley, Inc.................................. 2,000 $ 4,000
*Moore Medical Corp.................................. 42,100 605,188
Moore Products Co.................................... 40,400 954,450
*Morgan Products, Ltd................................ 157,100 373,113
*Morrison Knudsen Corp............................... 185,600 1,786,400
*Morrow Snowboards, Inc.............................. 22,500 22,852
*Mosaix, Inc......................................... 68,200 526,419
*Mossimo, Inc........................................ 19,000 57,000
*Mother's Work, Inc.................................. 67,000 787,250
*Motor Club of America............................... 5,600 79,800
Movado Group, Inc.................................... 147,600 2,924,325
*Movie Gallery, Inc.................................. 210,500 1,065,656
*Moviefone, Inc. Class A............................. 29,500 363,219
Mueller (Paul) Co.................................... 3,900 155,269
*Multi Color Corp.................................... 7,600 57,475
*Multigraphics, Inc.................................. 8,000 33,000
*Multiple Zones International, Inc................... 192,000 2,568,000
*Musicland Stores Corp............................... 113,000 1,913,938
*Mutual Savings Bank FSB Bay City, MI................ 50,900 423,106
*Mylex Corp.......................................... 126,800 1,054,025
*N & F Worldwide Corp................................ 202,600 1,924,700
*NABI, Inc........................................... 566,100 1,539,084
*NAI Technologies, Inc............................... 26,700 45,891
NBT Bancorp.......................................... 96,521 2,406,999
NCH Corp............................................. 61,900 3,466,400
*NCS Healthcare, Inc................................. 124,200 2,557,744
*NPS Pharmaceuticals, Inc............................ 173,700 1,226,756
*NS Group, Inc....................................... 260,300 1,415,381
*NSA International, Inc.............................. 27,700 25,969
NYMAGIC, Inc......................................... 132,700 2,786,700
*Napco Security Systems, Inc......................... 49,600 207,700
Nash Finch Co........................................ 125,900 1,841,288
*Nashua Corp......................................... 89,800 1,498,538
*Nastech Pharmaceutical Co., Inc..................... 62,100 232,875
*Nathans Famous, Inc................................. 58,400 239,075
*National City Bancorp............................... 82,014 2,193,875
*National Discount Brokers Group, Inc................ 60,000 547,500
*National Home Centers, Inc.......................... 70,500 110,156
*National Home Health Care Corp...................... 58,211 272,864
National Information Group........................... 24,400 446,825
*National Media Corp................................. 259,800 2,403,150
National Presto Industries, Inc...................... 87,900 3,631,369
*National Processing, Inc............................ 45,400 275,238
*National Record Mart, Inc........................... 55,700 776,319
*National Research Corp.............................. 78,000 477,750
*National Standard Co................................ 8,100 28,350
National Steel Corp. Class B......................... 406,100 2,969,606
National Technical Systems, Inc...................... 58,000 315,375
*National Techteam, Inc.............................. 255,500 1,740,594
*National Western Life Insurance Co. Class A......... 24,300 2,876,513
*Natural Wonders, Inc................................ 89,100 345,263
*Navigators Group, Inc............................... 2,100 32,681
Nelson (Thomas), Inc................................. 139,700 1,842,294
*Neopath, Inc........................................ 125,000 867,188
*Netmanage, Inc...................................... 676,113 2,017,775
*Netrix Corp......................................... 111,500 285,719
*Network Computing Devices, Inc...................... 162,300 1,151,316
*Network Equipment Technologies, Inc................. 348,900 3,881,513
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Network Peripherals, Inc............................ 137,800 $ 628,713
*Neurocrine Biosciences, Inc......................... 41,800 288,681
*New Brunswick Scientific Co., Inc................... 49,996 343,723
*New Horizons Worldwide, Inc......................... 55,100 1,084,781
New Jersey Resources Corp............................ 166,312 6,475,774
*New Mexico & Arizona Land Co........................ 41,779 605,796
Newcor, Inc.......................................... 59,942 211,670
Newmil Bancorp, Inc.................................. 41,100 482,925
Newport Corp......................................... 74,700 1,260,563
*Nexthealth, Inc..................................... 81,300 68,597
*Niagara Corp........................................ 75,400 520,731
*Nichols Research Corp............................... 13,650 290,063
*Nine West Group..................................... 384,000 4,800,000
*Nitches, Inc........................................ 3,679 10,807
*Nitinol Medical Technologies, Inc................... 83,300 369,644
*Nobel Education Dynamics, Inc....................... 67,500 434,531
*Noel Group, Inc..................................... 95,400 113,288
Noland Co............................................ 2,000 44,750
*Noodle Kidoodle, Inc................................ 86,000 645,000
*Nortek, Inc......................................... 75,700 2,067,556
North Central Bancshares, Inc........................ 38,900 685,613
*North Face, Inc..................................... 155,700 1,946,250
Northrim Bank........................................ 315 4,095
*Northwestern Steel & Wire Co........................ 312,200 419,519
*Norton McNaughton, Inc.............................. 105,000 308,438
*Novacare, Inc....................................... 919,400 2,873,125
*Nu Horizons Electronics Corp........................ 108,600 654,994
*Nuevo Energy Co..................................... 194,500 2,881,031
*Numerex Corp. Class A............................... 46,500 129,328
*O'Charleys, Inc..................................... 5,000 67,188
O'Sullivan Corp...................................... 173,600 1,692,600
*O'Sullivan Industries Holdings, Inc................. 219,000 2,203,688
*O.I. Corp........................................... 48,200 274,138
*ODS Networks, Inc................................... 117,500 400,234
*OMI Corp............................................ 501,700 1,567,813
*OSI Pharmaceutical, Inc............................. 91,500 366,000
*OSI Systems, Inc.................................... 30,000 238,125
*OTR Express, Inc.................................... 15,000 76,875
*Oacis Healthcare Holdings Corp...................... 44,000 141,625
*Oak Technology, Inc................................. 714,500 2,824,508
Ocean Financial Corp................................. 128,800 2,020,550
*Offshore Logistics, Inc............................. 351,700 4,297,334
Oglebay Norton Co.................................... 32,000 834,000
Ohio Art Co.......................................... 3,800 125,875
Oil-Dri Corp. of America............................. 50,800 749,300
*Old Dominion Freight Lines, Inc..................... 133,400 1,692,513
Olsten Corp.......................................... 98,300 737,250
*Olympic Steel, Inc.................................. 186,000 1,104,375
*#Omtool, Ltd........................................ 257,000 730,844
*On Command Corp..................................... 74,100 606,694
*One Price Clothing Stores, Inc...................... 114,500 525,984
*Onyx Acceptance Corp................................ 31,700 208,031
*Onyx Pharmacueticals, Inc........................... 91,700 607,513
*Opinion Research Corp............................... 43,900 262,028
*Opta Food Ingredients, Inc.......................... 171,600 740,025
*Opti, Inc........................................... 149,200 601,463
Optical Coating Laboratory, Inc...................... 115,200 2,174,400
*Optical Sensors, Inc................................ 6,800 9,881
*Optika Imaging Systems, Inc......................... 111,500 320,563
*Orange Co., Inc..................................... 113,400 800,888
*Orbital Sciences Corp............................... 110,000 4,207,500
Oregon Steel Mills, Inc.............................. 273,761 3,473,343
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Oriole Homes Corp. Class A Convertible.............. 20,500 $ 61,500
*Oriole Homes Corp. Class B.......................... 29,400 84,525
*Orleans Homebuilders, Inc........................... 20,100 40,200
*Oroamerica, Inc..................................... 102,400 915,200
*Orthologic Corp..................................... 321,400 1,265,513
Oshkosh B'Gosh, Inc. Class A......................... 92,600 2,199,250
Oshkosh Truck Corp. Class B.......................... 86,400 2,559,600
*Oshman's Sporting Goods, Inc........................ 65,700 295,650
*Osmonics, Inc....................................... 134,100 1,408,050
*Ostex International, Inc............................ 105,600 56,100
*Outlook Group Corp.................................. 45,500 187,688
Overseas Shipholding Group, Inc...................... 171,600 2,713,425
Owosso Corp.......................................... 64,000 312,000
Oxford Industries, Inc............................... 107,400 3,101,175
*P-Com, Inc.......................................... 60,900 225,520
*PAM Transportation Services, Inc.................... 43,500 305,859
*PC Service Source, Inc.............................. 85,800 353,925
*PIA Merchandising Services, Inc..................... 11,500 34,500
*PICO Holdings, Inc.................................. 280,600 911,950
*PLM International, Inc.............................. 94,800 556,950
*PMR Corp............................................ 68,700 504,516
*PPT Vision, Inc..................................... 89,000 478,375
PS Group Holdings, Inc............................... 31,500 350,438
PXRE Corp............................................ 216,583 4,805,435
Pamrapo Bancorp, Inc................................. 32,300 799,425
Pancho's Mexican Buffet, Inc......................... 43,800 40,378
*Par Technology Corp................................. 135,500 906,156
*Paragon Trade Brands, Inc........................... 142,500 400,781
Park Electrochemical Corp............................ 94,500 1,813,219
*Parker Drilling Co.................................. 627,700 2,353,875
*Park-Ohio Holdings Corp............................. 127,300 2,096,472
Parkvale Financial Corp.............................. 49,925 1,104,591
*Parlex Corp......................................... 68,000 646,000
*Parlux Fragrances, Inc.............................. 189,800 249,113
Patina Oil & Gas Corp................................ 164,126 471,862
Patrick Industries, Inc.............................. 68,800 1,036,300
*Patterson Energy, Inc............................... 103,200 480,525
*Paul Harris Stores, Inc............................. 77,600 1,062,150
*Paul-Son Gaming Corp................................ 22,700 175,216
*Paxson Communications Corp.......................... 472,900 3,428,525
*Payless Cashways, Inc............................... 4,156 6,299
*Paymentech, Inc..................................... 645,500 10,247,313
*#Pediatric Services of America, Inc................. 68,900 273,447
Peerless Manufacturing Co............................ 16,000 180,000
Penford Corp......................................... 63,800 958,994
*Penn National Gaming, Inc........................... 2,500 20,859
*#Penn Traffic Co.................................... 116,000 261,000
*Penn Treaty American Corp........................... 87,600 2,474,700
Penn Virginia Corp................................... 147,000 3,188,063
Penn-America Group, Inc.............................. 134,000 1,457,250
Penncorp Financial Group, Inc........................ 119,900 134,888
Pennfed Financial Services, Inc...................... 112,200 1,549,763
*Pentacon, Inc....................................... 30,000 129,375
*Penwest Pharmaceuticals Company..................... 75,750 641,508
Peoples Bancshares, Inc. Massachusetts............... 32,400 651,038
*Peoples Choice TV Corp.............................. 187,000 81,813
*Peoples Telephone Co., Inc.......................... 91,000 403,813
*Perceptron, Inc..................................... 56,100 427,763
*Perini Corp......................................... 59,300 337,269
*Periphonics Corp.................................... 62,000 685,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Perrigo Co.......................................... 593,100 $ 5,004,281
*Petco Animal Supplies, Inc.......................... 117,600 1,172,325
*Petrocorp, Inc...................................... 95,200 737,800
*Petroleum Development Corp.......................... 137,100 473,423
*Pharmaceutical Marketing Services, Inc.............. 10,400 107,250
*Pharmaceutical Resources, Inc....................... 201,400 679,725
*Pharmchem Laboratories, Inc......................... 64,900 217,009
*Pharmerica, Inc..................................... 327,329 1,334,889
*Phar-Mor, Inc....................................... 158,200 1,235,938
*Phillips (R.H.), Inc................................ 9,600 29,400
Phillips-Van Heusen Corp............................. 419,100 2,933,700
Phoenix Investment Partners, Ltd..................... 470,000 3,995,000
*Phoenix Technologies, Ltd........................... 43,000 302,344
*Photo Control Corp.................................. 4,200 6,038
*Photon Dynamics, Inc................................ 118,300 536,047
*Phycor, Inc......................................... 175,200 1,078,575
*Phymatrix Corp...................................... 225,800 578,613
*Physician Reliance Network, Inc..................... 631,300 5,859,253
Piccadilly Cafeterias, Inc........................... 110,800 1,184,175
*Picturetel Corp..................................... 738,000 5,212,125
*Pilgrim America Capital Corp........................ 64,350 1,427,766
Pilgrim Pride Corp................................... 431,200 10,456,600
*Pinkertons, Inc..................................... 144,800 2,896,000
Pinnacle Bancshares, Inc............................. 9,800 116,988
*Pinnacle Systems, Inc............................... 60,300 2,023,819
Pioneer Standard Electronics, Inc.................... 367,400 3,949,550
Pitt-Des Moines, Inc................................. 80,000 1,950,000
Pittston Co. Burlington Group........................ 376,900 3,274,319
*Planar Systems, Inc................................. 141,100 1,164,075
*#Planet Hollywood, Inc.............................. 29,900 89,700
*Players International, Inc.......................... 448,900 2,651,316
*Pluma, Inc.......................................... 121,000 158,813
*Polk Audio, Inc..................................... 5,500 75,625
*Polymedica Industries, Inc.......................... 81,640 867,425
*Polymer Group, Inc.................................. 588,500 6,252,813
*Pool Energy Services Co............................. 235,958 2,647,154
Pope & Talbot, Inc................................... 233,500 2,305,813
*Porta Systems Corp.................................. 5,100 7,969
*Powell Industries, Inc.............................. 49,000 493,063
*Powercerv Corp...................................... 191,000 471,531
*Powerhouse Technologies, Inc........................ 168,600 1,970,513
*Power-One, Inc...................................... 10,000 59,063
*Powertel, Inc....................................... 284,500 3,849,641
*Praegitzer Industries, Inc.......................... 3,800 30,638
*Precision Response, Corp............................ 198,900 1,672,003
Premier National Bancorp............................. 70,070 1,270,019
*Premiumwear, Inc.................................... 21,100 156,931
Presidential Life Corp............................... 331,600 5,989,525
*Price Communications Corp........................... 318,750 3,167,578
Price Enterprises, Inc............................... 52,609 286,061
*Pricesmart, Inc..................................... 36,850 580,388
*Pride International, Inc............................ 255,500 1,932,219
*Primadonna Resorts, Inc............................. 77,900 569,644
*Primark Corp........................................ 46,500 1,162,500
Prime Bancorp, Inc................................... 61,694 1,156,763
*Prime Hospitality Corp.............................. 275,400 2,409,750
Primesource Corp..................................... 67,254 462,371
*Printronix, Inc..................................... 87,100 1,164,963
*Procyte Corp........................................ 76,300 39,342
*Programmers Paradise, Inc........................... 66,400 720,025
Progress Financial Corp.............................. 28,665 412,955
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Progress Software Corp.............................. 147,750 $ 3,726,070
*ProMedCo Management Company......................... 90,700 476,175
*Protocol Systems, Inc............................... 107,500 816,328
Providence & Worcester Railroad Co................... 19,300 250,900
*Provident American Corp............................. 4,900 50,531
*Provident Financial Holdings, Inc................... 34,800 574,200
*Proxim, Inc......................................... 98,900 2,249,975
Pulaski Furniture Corp............................... 33,200 668,150
*Pulsepoint Communications Corp...................... 6,250 18,262
*Pure World, Inc..................................... 72,000 670,500
*Pyramid Breweries, Inc.............................. 86,300 124,056
*QMS, Inc............................................ 119,200 491,700
*Quad Systems Corp................................... 68,000 179,563
Quaker Chemical Corp................................. 71,600 1,230,625
*Quaker City Bancorp, Inc............................ 63,562 1,076,581
*Quaker Fabric Corp.................................. 167,300 1,192,013
Quaker State Corp.................................... 498,500 7,134,781
*Quality Dining, Inc................................. 198,500 490,047
*Quality Semiconductor, Inc.......................... 95,400 298,125
*Quality Systems, Inc................................ 78,500 367,969
Quanex Corp.......................................... 205,000 3,677,188
Queens County Bancorp................................ 91,722 2,728,730
*Quest Diagnostics, Inc.............................. 422,000 7,543,250
*Quickturn Design Systems, Inc....................... 1,500 16,734
*Quidel Corp......................................... 36,000 73,125
*Quiksilver, Inc..................................... 11,000 266,750
*Quintel Entertainment, Inc.......................... 25,500 41,039
Quixote Corp......................................... 80,600 1,062,913
*R & B, Inc.......................................... 87,100 767,569
*RDO Equipment Co. Class A........................... 56,900 526,325
RLI Corp............................................. 117,112 4,237,991
*RMH Teleservices, Inc............................... 67,900 106,094
RPC, Inc............................................. 108,000 837,000
*RTW, Inc............................................ 133,200 616,050
*Rag Shops, Inc...................................... 53,100 146,025
*Ragan (Brad), Inc................................... 21,000 819,000
*#Railamerica, Inc................................... 92,900 670,622
*Railtex, Inc........................................ 105,400 1,271,388
*Rainbow Technologies, Inc........................... 40,350 632,991
*Rainforest Cafe, Inc................................ 255,500 1,780,516
*#Rally's Hamburgers, Inc............................ 93,600 68,738
*Ramsay Health Care, Inc............................. 153,800 326,825
Range Resources Corp................................. 132,000 552,750
*Rare Hospitality International, Inc................. 133,500 1,660,406
Raritan Bancorp, Inc. DE............................. 1,575 54,731
Raven Industries, Inc................................ 2,900 50,025
*Raytech Corp. DE.................................... 27,100 82,994
*Reading Entertainment, Inc.......................... 33,736 301,516
*Read-Rite Corp...................................... 640,600 8,628,081
*#Recoton Corp....................................... 143,300 2,686,875
*Red Roof Inns, Inc.................................. 29,500 501,500
*Redhook Ale Brewery, Inc............................ 79,600 348,250
Redwood Empire Bancorp............................... 28,200 493,500
*Refac Technology Development Corp................... 41,685 312,638
*Regeneron Pharmaceuticals, Inc...................... 403,200 3,301,200
*Reliability, Inc.................................... 47,900 267,941
*Relm Wireless Corp.................................. 59,254 85,178
*Remington Oil and Gas Corp. Class B................. 18,200 71,663
*Rentrak Corp........................................ 63,000 174,234
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Repligen Corp....................................... 30,200 $ 50,019
*#Reptron Electronics, Inc........................... 83,000 368,313
Republic Bancorp, Inc................................ 43,461 723,897
Republic Security Financial Corp..................... 278,608 3,125,634
*Research Partners International, Inc................ 59,800 149,500
Resource Bancshares Mortgage Group, Inc.............. 126,535 1,755,673
*Response Oncology, Inc.............................. 183,889 838,994
*Rex Stores Corp..................................... 96,100 1,153,200
*Rexhall Industries, Inc............................. 13,428 101,969
Richardson Electronics, Ltd.......................... 41,400 354,488
*Riddell Sports, Inc................................. 95,700 334,950
*Ride, Inc........................................... 131,800 140,038
Riggs National Corp.................................. 298,400 6,238,425
*Right Management Consultants, Inc................... 78,300 1,128,009
*Rightchoice Managed Care, Inc. Class A.............. 47,700 435,263
*Rimage Corp......................................... 4,950 72,394
*Rio Hotel & Casino, Inc............................. 142,800 2,222,325
Rival Co............................................. 99,300 1,058,166
*Riverside Group, Inc................................ 3,200 5,600
Riverview Bancorp, Inc............................... 18,000 218,250
*Roadhouse Grill, Inc................................ 106,700 521,830
Roanoke Electric Steel Corp.......................... 131,100 1,917,338
*Roberds, Inc........................................ 79,700 171,853
*Roberts Pharmaceutical Corp......................... 250,200 6,129,900
Robinson Nugent, Inc................................. 53,900 207,178
*Rochester Medical Corp.............................. 24,000 312,750
*Rock Bottom Restaurants, Inc........................ 109,400 639,306
*Rockshox, Inc....................................... 201,000 527,625
Rock-Tenn Co. Class A................................ 324,500 5,293,406
*Rocky Shoes & Boots, Inc............................ 62,900 444,231
*Rogue Wave Software, Inc............................ 19,000 163,281
Rollins Truck Leasing Corp........................... 824,400 9,892,800
*Rottlund, Inc....................................... 37,800 160,650
Rouge Industries, Inc. Class A....................... 220,200 1,816,650
*Royal Precision, Inc................................ 14,150 48,641
Ruby Tuesday, Inc.................................... 93,000 1,732,125
*Rush Enterprises, Inc............................... 49,100 471,053
Russ Berrie & Co., Inc............................... 213,100 4,821,388
*Ryans Family Steak Houses, Inc...................... 549,400 6,197,919
Ryland Group, Inc.................................... 213,664 5,675,450
*S&K Famous Brands, Inc.............................. 57,700 562,575
*S3, Inc............................................. 644,100 3,421,781
*SBE, Inc............................................ 7,600 64,600
*SBS Technologies, Inc............................... 40,000 702,500
*SCPIE Holdings, Inc................................. 17,500 535,938
*SED International Holdings, Inc..................... 104,900 491,719
*SEMX Corp........................................... 99,400 260,925
*SGV Bancorp, Inc.................................... 9,300 122,063
*SMC Corp............................................ 46,800 204,750
*SSE Telecom, Inc.................................... 68,100 140,456
*STB Systems, Inc.................................... 191,100 1,125,698
*STM Wireless, Inc. Class A.......................... 70,000 382,813
*SYNC Research, Inc.................................. 283,400 274,544
*Safety 1st, Inc..................................... 65,400 343,350
*Safety-Kleen Corp................................... 532,134 1,829,211
Salient 3 Communications, Inc. Class A............... 72,900 763,172
*San Filippo (John B.) & Son, Inc.................... 74,800 282,838
Sanderson Farms, Inc................................. 154,800 2,467,125
*Sandisk Corp........................................ 443,000 5,219,094
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Sands Regent Casino Hotel........................... 15,492 $ 14,524
Sandwich Bancorp, Inc................................ 19,400 1,190,675
*Santa Cruz Operation, Inc........................... 125,000 566,406
*Saucony, Inc. Class A............................... 19,800 125,606
*Saucony, Inc. Class B............................... 30,000 195,000
*Savoir Technology Group, Inc........................ 124,300 1,048,781
*Scan-Optics, Inc.................................... 85,800 297,619
*Schieb (Earl), Inc.................................. 70,500 370,125
Schnitzer Steel Industries, Inc. Class A............. 34,400 634,250
*Scholastic Corp..................................... 111,200 5,288,950
*Schuff Steel Company................................ 69,000 444,188
*Schuler Homes, Inc.................................. 332,000 2,313,625
Schulman (A.), Inc................................... 105,500 2,258,359
Schultz Sav-O Stores, Inc............................ 15,300 246,713
*Scios-Nova, Inc..................................... 145,300 1,094,291
Scope Industries, Inc................................ 4,200 273,000
Scotsman Industries, Inc............................. 42,500 873,906
*Scott Technologies, Inc. Class B.................... 17,700 268,819
Seaboard Corp........................................ 100 43,000
*Seacor Smit, Inc.................................... 36,000 1,719,000
*Secom General Corp.................................. 57,500 21,563
*Segue Software, Inc................................. 49,200 1,083,938
*Seibels Bruce Group, Inc............................ 77,200 320,863
*Seitel, Inc......................................... 71,000 949,625
Selas Corp. of America............................... 61,500 499,688
Selective Insurance Group, Inc....................... 303,300 5,743,744
*Semitool, Inc....................................... 51,600 351,525
*Seneca Foods Corp. Class B.......................... 10,500 128,625
*Sensormatic Electronics Corp........................ 845,400 6,868,875
*Sequa Corp. Class A................................. 68,600 4,364,675
*Sequa Corp. Class B................................. 31,400 2,339,300
*Sequent Computer Systems, Inc....................... 459,800 5,833,713
*Service Merchandise Co., Inc........................ 1,081,800 1,284,638
*#Servico, Inc....................................... 396,900 2,579,850
*#Shaman Pharmaceuticals............................. 35,800 95,094
*#Sharper Image Corp................................. 93,400 1,970,156
*Shaw Group, Inc..................................... 123,800 1,098,725
Shelby Williams Industries, Inc...................... 40,100 471,175
*#Sheldahl, Inc...................................... 109,600 705,550
*Sheridan Healthcare, Inc............................ 80,900 652,256
*Shiloh Industries, Inc.............................. 156,300 2,276,119
*Shiva Corp.......................................... 39,700 231,997
*Shoe Carnival, Inc.................................. 127,300 1,245,153
*Sholodge, Inc....................................... 75,000 529,688
*Shoney's, Inc....................................... 594,304 1,002,888
*Shopko Stores, Inc.................................. 260,700 8,407,575
Sifco Industries, Inc................................ 41,600 592,800
*Sight Resource Corp................................. 96,800 198,138
*#Sigma Designs, Inc................................. 12,300 37,861
*Sigmatron International, Inc........................ 15,300 52,594
*Signal Technology Corp.............................. 79,400 243,163
*Silicon Storage Technology, Inc..................... 60,100 140,859
*Silicon Valley Group, Inc........................... 436,000 5,368,250
*Silverleaf Resorts, Inc............................. 136,800 1,556,100
*Simione Central Holdings, Inc....................... 135,500 279,469
Simmons First National Corp. Class A................. 41,600 1,690,000
*Simon Transportation Services, Inc.................. 76,600 485,931
Simpson Industries, Inc.............................. 278,500 2,915,547
*Sitel Corp.......................................... 995,000 2,487,500
*Sizzler International, Inc.......................... 212,700 624,806
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Skaneateles Bancorp, Inc............................. 13,950 $ 192,684
Skyline Corp......................................... 101,600 3,302,000
Skywest, Inc......................................... 247,800 6,713,831
Smart & Final Food, Inc.............................. 81,800 869,125
*Smartflex Systems, Inc.............................. 69,200 497,375
Smith (A.O.) Corp.................................... 207,750 5,167,781
Smith (A.O.) Corp. Convertible Class A............... 69,750 1,708,875
*Smithway Motor Express Corp. Class A................ 30,500 272,594
*Sodak Gaming, Inc................................... 222,100 1,811,503
*#Softech, Inc....................................... 31,300 124,222
*#Software Spectrum, Inc............................. 51,900 911,494
*Sola International, Inc............................. 209,000 3,317,875
*Sonosight, Inc...................................... 33,609 315,084
*Sound Advice, Inc................................... 16,600 37,350
South Jersey Industries, Inc......................... 118,377 3,055,606
*Southern Energy Homes, Inc.......................... 130,700 898,563
*#Southern Pacific Funding Corp...................... 120,000 6,600
*Southwall Technologies, Inc......................... 83,600 394,488
Southwest Securities Group, Inc...................... 159,300 3,136,219
Southwestern Energy Co............................... 413,900 3,104,250
*Spacelabs Medical, Inc.............................. 155,400 2,738,925
*Spacetec IMC Corp................................... 53,500 126,227
*Spaghetti Warehouse, Inc............................ 96,100 702,731
Span-American Medical System, Inc.................... 25,300 135,988
Spartan Motors, Inc.................................. 267,700 1,681,491
*Sparton Corp........................................ 100,600 578,450
*Spectran Corp....................................... 76,300 419,650
*Spectrum Control, Inc............................... 122,000 514,688
*#Speedfam International, Inc........................ 93,500 1,411,266
*Speizman Industries, Inc............................ 37,400 210,375
*Spiegel, Inc. Class A Non-Voting.................... 240,000 948,750
*Sport Chalet, Inc................................... 42,300 290,813
*Sport Supply Group, Inc............................. 85,900 601,300
*#Sport-Haley, Inc................................... 54,900 569,588
*Sports Authority, Inc............................... 149,000 968,500
*Sports Club Co., Inc................................ 69,900 340,763
*Sportsman's Guide, Inc.............................. 79,500 491,906
St. Francis Capital Corp............................. 46,300 1,946,047
St. Paul Bancorp, Inc................................ 255,937 5,414,667
*#Stac, Inc.......................................... 89,200 451,575
*Stage II Apparel Corp............................... 31,600 35,550
Standard Commercial Corp............................. 168,180 1,366,463
*Standard Management Corp............................ 76,000 503,500
*Standard Microsystems Corp.......................... 203,300 1,499,338
Standard Motor Products, Inc. Class A................ 142,150 3,242,797
Standard Pacific Corp. DE............................ 357,672 3,487,302
Standard Products Co................................. 265,900 4,952,388
*Stanford Telecommunications, Inc.................... 29,800 333,388
*Stanley Furniture, Inc.............................. 118,400 2,005,400
*Star Multi Care Services, Inc....................... 57,100 85,650
*Starcraft Corp...................................... 27,300 66,544
Starrett (L.S.) Co. Class A.......................... 58,400 1,788,500
*Startec Global Communications Corp.................. 11,000 116,875
*Starter Corp........................................ 219,300 356,363
*Station Casinos, Inc................................ 526,100 4,340,325
*Steel of West Virginia, Inc......................... 68,000 718,250
Steel Technologies, Inc.............................. 182,500 1,511,328
Stepan Co............................................ 107,600 3,006,075
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Stephan Co........................................... 50,600 $ 600,875
Sterling Bancorp..................................... 63,500 1,345,406
*Sterling Financial Corp. WA......................... 82,180 1,479,240
Stewart & Stevenson Services, Inc.................... 250,800 2,468,813
Stewart Information Services Corp.................... 69,000 3,411,188
Stifel Financial Corp................................ 62,307 677,589
*Stimsonite Corp..................................... 62,200 478,163
Stone & Webster, Inc................................. 138,700 4,715,800
*Storage Computer Corp............................... 16,500 76,313
*Stormedia, Inc. Class A............................. 136,200 136
*#Stratasys, Inc..................................... 32,700 203,353
*Strategic Diagnostics, Inc.......................... 45,000 101,250
*Strategic Distribution, Inc......................... 619,100 1,760,566
*Stratus Properties, Inc............................. 155,000 503,750
Strawbridge and Clothier Liquidating Trust........... 71,881 43,758
Stride Rite Corp..................................... 208,000 1,846,000
*Strouds, Inc........................................ 136,000 267,750
*Stuart Entertainment, Inc........................... 55,100 36,159
*Suburban Lodges of America, Inc..................... 107,100 870,188
*Successories, Inc................................... 21,500 45,688
*#Sulcus Computer Corp............................... 180,900 407,025
*Summit Technology, Inc.............................. 12,000 46,125
*Summitt Medical Systems, Inc........................ 169,000 195,406
*#Sun Healthcare Group, Inc.......................... 499,900 2,624,475
*Sun Television and Appliances, Inc.................. 206,300 3,610
*Sundance Homes, Inc................................. 40,500 65,813
*Sunrise Medical, Inc................................ 294,500 3,754,875
*Sunrise Resources, Inc.............................. 86,900 315,013
Superior Surgical Manufacturing Co., Inc............. 81,900 1,126,125
*Suprema Specialties, Inc............................ 50,500 243,031
*Supreme International Corp.......................... 77,850 841,753
*Surety Capital Corp................................. 66,400 157,700
Susquehanna Bancshares, Inc.......................... 235,072 5,142,200
*#Swift Energy Corp.................................. 187,800 1,748,888
*Swiss Army Brands, Inc.............................. 87,300 878,456
*Sybase, Inc......................................... 178,400 1,282,250
*Sybron Chemicals, Inc............................... 1,600 25,200
*Sylvan, Inc......................................... 104,000 1,355,250
*Symix Systems, Inc.................................. 8,600 173,881
*Symmetricom, Inc.................................... 234,700 1,459,541
*Syms Corp........................................... 156,700 1,527,825
Synalloy Corp. DE.................................... 54,900 507,825
*Synbiotics Corp..................................... 97,400 219,150
*Syncor International Corp. DE....................... 117,600 2,829,750
*Syntellect, Inc..................................... 218,100 565,697
*Synthetic Industries, Inc........................... 87,500 1,476,563
*Syntroleum Corp..................................... 67,150 553,988
*Sypris Solutions, Inc............................... 26,250 187,031
*TBA Entertainment Corp.............................. 138,000 668,438
*TBC Corp............................................ 386,900 2,659,938
TCBY Enterprises, Inc................................ 200,966 1,557,487
*TCC Industries, Inc................................. 24,800 82,150
*TCI International, Inc.............................. 27,600 65,550
*TCSI Corp........................................... 383,100 879,933
TF Financial Corp.................................... 32,100 627,956
*TII Industries, Inc................................. 85,800 195,731
TJ International, Inc................................ 112,300 2,635,541
TR Financial Corp.................................... 136,400 5,089,425
*TRC Companies, Inc.................................. 86,450 410,638
*TRM Copy Centers Corp............................... 72,000 666,000
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tab Products Co. DE.................................. 56,800 $ 404,700
*Taco Cabana, Inc.................................... 187,900 1,297,684
Talbots, Inc......................................... 227,000 5,788,500
*Tandy Brand Accessories, Inc........................ 12,600 190,575
*Tandy Crafts, Inc................................... 149,700 580,088
Tasty Baking Co...................................... 3,000 48,188
Team, Inc............................................ 65,300 228,550
*#Technical Chemicals & Products, Inc................ 198,000 420,750
*Technical Communications Corp....................... 6,300 26,775
Technology Research Corp............................. 61,000 74,344
*Tech-Sym Corp....................................... 76,000 1,904,750
*Tegal Corp.......................................... 129,000 397,078
*Tei, Inc............................................ 111,600 181,350
*Telco Systems, Inc.................................. 43,500 527,438
*#Telcom Semiconductor, Inc.......................... 1,000 3,719
Telxon Corp.......................................... 130,200 3,503,194
*Temtex Industries, Inc.............................. 35,700 115,467
Terra Industries, Inc................................ 1,228,300 6,678,881
*Tesoro Petroleum Corp............................... 649,700 8,649,131
*#Tesseract Group, Inc............................... 99,500 332,703
*Tetra Technologies, Inc............................. 199,900 2,523,738
Texas Industries, Inc................................ 34,762 1,005,925
*Texas Micro, Inc.................................... 137,700 486,253
*Texfi Industries, Inc............................... 4,800 1,800
*Thermo Bioanalysis Corp............................. 14,000 147,875
*Thermo Power Corp................................... 98,800 876,850
*Thermo Sentron, Inc................................. 135,500 1,270,313
*Thermo Terratech, Inc............................... 130,000 585,000
*Thermo Voltek Corp.................................. 49,800 336,150
*ThermoQuest Corp.................................... 83,500 850,656
Thermoretec Corporation.............................. 118,100 317,394
*Thermospectra Corp.................................. 29,300 329,625
*Thomas Group, Inc................................... 40,400 401,475
Thomas Industries, Inc............................... 133,850 2,308,913
Thomaston Mills, Inc................................. 34,800 110,925
Thor Industries, Inc................................. 3,900 93,113
*Thorn Apple Valley, Inc............................. 82,215 269,768
*Thrustmaster, Inc................................... 63,100 228,738
*Tipperary Corp...................................... 129,200 242,250
*#Titan Corp......................................... 53,430 287,186
Titan International, Inc............................. 244,000 2,424,750
*#Titanium Metals Corp............................... 133,500 1,326,656
Toastmaster, Inc..................................... 83,600 527,725
*Today's Man, Inc.................................... 86,000 122,281
*Todd Shipyards Corp................................. 114,200 571,000
Todd-AO Corp. Class A................................ 3,740 31,556
*Toddhunter International, Inc....................... 76,000 584,250
*Tokheim Corp........................................ 250,300 2,158,838
*Topps, Inc.......................................... 68,200 355,919
Toro Co.............................................. 84,300 2,233,950
*Tower Air, Inc...................................... 166,400 413,400
*Tractor Supply Co................................... 30,100 776,956
*Trak Auto Corp...................................... 40,200 324,113
*#Trans World Airlines, Inc.......................... 638,300 3,231,394
*Trans World Entertainment Corp...................... 131,550 3,066,759
*Transcend Services, Inc............................. 20,100 50,250
*Transcoastal Marine Services, Inc................... 108,000 418,500
*Transfinancial Holdings, Inc........................ 68,700 339,206
*Transition Systems, Inc............................. 120,000 1,192,500
*Transmedia Network, Inc............................. 17,000 60,563
#Transport Lux Corp.................................. 2,546 22,914
Transtechnology Corp................................. 76,500 1,749,938
</TABLE>
24
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Transworld Healthcare, Inc.......................... 85,200 $ 370,088
*#Travel Ports of America, Inc....................... 66,978 203,027
*Treadco, Inc........................................ 55,500 343,406
Tremont Corp. DE..................................... 68,133 2,444,271
*Trend-Lines, Inc. Class A........................... 70,900 208,269
Trenwick Group, Inc.................................. 48,000 1,515,000
*Triathlon Broadcasting Co. Class A.................. 17,100 191,306
*#Trident Microsystems, Inc.......................... 149,300 720,839
*Tridex Corp......................................... 71,900 262,884
Trigen Energy Corp................................... 196,700 2,802,975
*Trimark Holdings, Inc............................... 30,300 74,803
Trion, Inc........................................... 40,400 117,413
*Triple S Plastics, Inc.............................. 30,500 162,984
*Tripos, Inc......................................... 44,266 365,195
*Trism, Inc.......................................... 64,800 89,100
*#Trump Hotels & Casino Resorts, Inc................. 366,800 1,856,925
*Tuboscope Vetco International, Inc.................. 259,000 2,152,938
*Tultex Corp......................................... 323,307 343,514
*Turner Corp......................................... 61,998 1,050,091
Twin Disc, Inc....................................... 33,600 730,800
Tyler Corp........................................... 188,100 1,257,919
U.S. Bancorp, Inc.................................... 120,900 2,406,666
*#U.S. Diagnostic, Inc............................... 280,000 280,000
U.S. Freightways Corp................................ 6,300 169,116
U.S. Industries, Inc................................. 81,900 1,433,250
*U.S. Office Products, Co............................ 259,600 1,415,631
*URS Corp............................................ 91,202 1,852,541
*US Can Corp......................................... 214,100 3,760,131
*US Xpress Enterprises, Inc. Class A................. 56,090 865,889
*USData Corp......................................... 6,750 22,359
UST Corp............................................. 47,215 1,162,669
*UTI Energy Corp..................................... 96,000 804,000
*#Ugly Duckling Corp................................. 114,900 649,903
*Ultimate Electronics, Inc........................... 133,200 757,575
*Ultradata Corp...................................... 25,000 102,344
*#Ultrafem, Inc...................................... 114,000 2,793
*Ultrak, Inc......................................... 152,300 1,313,588
*Ultralife Batteries, Inc............................ 50,400 329,963
*#Ultratech Stepper, Inc............................. 185,400 3,441,488
*#Unapix Entertainment, Inc.......................... 6,000 13,125
Unico American Corp.................................. 44,700 472,144
*UniComp, Inc........................................ 8,100 27,084
Unifirst Corp........................................ 119,000 2,618,000
*Unimark Group, Inc.................................. 125,900 369,831
*Uni-Marts, Inc...................................... 103,200 316,050
*Union Acceptance Corp. Class A...................... 51,400 276,275
*Unique Casual Restaurants, Inc...................... 129,500 861,984
*Uniroyal Technology Corp............................ 163,600 1,646,225
*Unisource Worldwide, Inc............................ 1,291,600 10,171,350
*Unit Corp........................................... 146,500 695,875
*Unit Instruments, Inc............................... 66,700 579,456
*United American Healthcare Corp..................... 80,200 120,300
United Bankshares, Inc. WV........................... 25,500 734,719
#United Companies Financial Corp..................... 521,300 2,117,781
United Fire Casualty Co.............................. 18,750 687,891
United Industrial Corp............................... 200,600 1,993,463
United National Bancorp.............................. 8,651 196,810
*United Retail Group, Inc............................ 150,600 1,477,763
*United States Energy Corp........................... 15,700 44,647
*United States Home Corp............................. 148,100 4,720,688
*United States Homecare Corp......................... 3,400 204
*United Wisconsin Services, Inc...................... 244,800 1,820,700
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Unitel Video, Inc................................... 29,500 $ 90,344
Unitog Co............................................ 20,900 449,350
*Unitrode Corp....................................... 29,500 499,656
*Universal American Financial Corp................... 14,400 36,900
*Universal Electronics, Inc.......................... 63,900 694,913
*#Universal International, Inc....................... 34,600 89,744
*Universal Standard Medical Labs, Inc................ 64,100 108,169
*Uno Restaurant Corp................................. 103,100 676,594
*Urocor, Inc......................................... 112,700 626,894
*Urogen Corp. (Restricted)........................... 14,500 5,510
*Urologix, Inc....................................... 73,100 311,817
*Uroquest Medical Corp............................... 40,900 53,681
*Utilx Corp.......................................... 81,600 153,000
*VLSI Technology, Inc................................ 131,900 1,496,241
*VTEL Corp........................................... 308,900 946,006
*VWR Scientific Products Corp........................ 138,500 4,284,844
*#Valence Technology, Inc............................ 99,700 950,266
*Vallen Corp......................................... 114,300 2,228,850
Valley Forge Corp.................................... 22,500 292,500
Valmont Industries, Inc.............................. 76,000 1,220,750
*Value City Department Stores, Inc................... 399,100 4,090,775
Value Line, Inc...................................... 4,000 166,000
*Valuevision International, Inc. Class A............. 307,300 1,661,341
*Vans, Inc........................................... 147,700 1,093,903
*Vari L Co., Inc..................................... 108,000 715,500
*Variflex, Inc....................................... 65,500 345,922
Varlen Corp.......................................... 126,071 3,344,821
*Vaughn Communications, Inc.......................... 54,500 412,156
*Vectra Technologies, Inc............................ 58,100 349
*Venture Stores, Inc................................. 266,179 2,529
*Verilink Corp....................................... 119,400 593,269
*Verity, Inc......................................... 125,000 2,160,156
Vermont Financial Services Corp...................... 120,600 2,796,413
*Versar, Inc......................................... 1,300 2,844
*Versatility, Inc.................................... 3,500 5,141
*Vertex Communications Corp.......................... 56,000 990,500
*Veterinary Centers of America, Inc.................. 202,500 3,695,625
*Viagrafix Corp...................................... 49,000 297,063
*Vicorp Restaurants, Inc............................. 110,200 1,594,456
*Video Display Corp.................................. 44,400 285,825
*Video Services Corp................................. 27,000 60,750
*Video Update, Inc................................... 56,600 76,941
*Videonics, Inc...................................... 58,000 57,094
*Viisage Technology, Inc............................. 11,000 11,000
Virco Manufacturing Corp............................. 112,635 2,351,256
*Virtualfund.Com, Inc................................ 27,800 71,238
*Vishay Intertechnology, Inc......................... 23,700 336,244
Vital Signs, Inc..................................... 194,000 3,285,875
Vulcan International Corp............................ 12,200 434,625
*#WFS Financial, Inc................................. 252,600 1,594,538
*#WHX Corp........................................... 372,500 3,934,531
WICOR, Inc........................................... 81,000 1,771,875
*WLR Foods, Inc...................................... 176,006 1,551,053
*WPI Group, Inc...................................... 117,600 830,550
Wackenhut Corp. Class A.............................. 16,300 396,294
Wackenhut Corp. Class B Non-Voting................... 26,000 529,750
Walbro Corp.......................................... 115,752 860,906
*Walker Interactive Systems, Inc..................... 47,600 382,288
*Wall Data, Inc...................................... 106,700 1,820,569
</TABLE>
25
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Wall Street Deli, Inc............................... 39,700 $ 145,153
Walshire Assurance Co................................ 50,527 405,795
Warren Bancorp, Inc.................................. 72,000 666,000
*Washington Homes, Inc............................... 104,000 507,000
Washington Savings Bank FSB Waldorf, MD.............. 23,500 108,688
*Waterlink, Inc...................................... 225,000 843,750
Watkins-Johnson Co................................... 93,000 1,697,250
Watts Industries, Inc. Class A....................... 185,400 3,511,013
Webb (Del) Corp...................................... 311,188 8,246,482
*Webco Industries, Inc............................... 90,500 622,188
Webster Financial Corp............................... 87,425 2,431,508
*Weirton Steel Corp.................................. 468,700 878,813
Wellco Enterprises, Inc.............................. 4,800 52,200
Wellman, Inc......................................... 485,100 5,881,838
*Wells-Gardner Electronics Corp...................... 45,700 125,675
Werner Enterprises, Inc.............................. 275,625 4,496,133
Wesbanco, Inc........................................ 40,600 1,146,950
*#West Coast Entertainment Corp...................... 136,500 85,313
West, Inc............................................ 161,800 4,914,675
*#Westbridge Capital Corp............................ 12,000 600
Westco Bancorp, Inc.................................. 11,400 391,875
Westcorp, Inc........................................ 408,356 3,496,548
Westerfed Financial Corp............................. 69,900 1,356,497
Western Bancorp...................................... 38,412 1,260,394
*Western Beef, Inc................................... 57,400 426,913
*Weston (Roy F.), Inc. Class A....................... 87,200 253,425
Weyco Group, Inc..................................... 2,400 62,100
Whitney Holdings Corp................................ 85,400 3,154,463
*Whittaker Corp...................................... 131,900 1,813,625
*Wickes Lumber Co.................................... 96,600 437,719
*Williams Clayton Energy, Inc........................ 122,000 1,029,375
*#Wilshire Financial Services Group, Inc............. 161,700 154,120
*Wilshire Oil Co. of Texas........................... 108,514 542,570
Winnebago Industries, Inc............................ 237,800 2,853,600
Wiser Oil Co......................................... 100,175 325,569
Wolf (Howard B.), Inc................................ 5,000 22,813
Wolohan Lumber Co.................................... 74,478 965,887
*Wolverine Tube, Inc................................. 154,600 3,468,838
Wolverine World Wide, Inc............................ 97,000 1,321,625
Woodhead Industries, Inc............................. 141,600 1,849,650
*Workgroup Technology Corp........................... 82,600 161,328
World Fuel Services Corp............................. 50,000 609,375
*Worldtex, Inc....................................... 242,700 910,125
Worthington Foods, Inc............................... 23,554 448,262
*Wyant Corp.......................................... 800 2,950
*Xetel Corp.......................................... 100,500 282,656
*Xicor, Inc.......................................... 205,800 424,463
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Xtra Corp............................................ 14,450 $ 687,278
Yankee Energy Systems, Inc........................... 110,300 3,212,488
Yardville National Bancorp........................... 47,970 653,591
*Yellow Corp......................................... 303,000 4,904,813
York Financial Corp.................................. 100,024 1,712,911
*York Research Corp.................................. 3,800 14,369
*Zaring National Corp................................ 46,000 416,875
*Zemex Corp.......................................... 108,658 719,859
Zenith National Insurance Corp....................... 188,700 4,599,563
Ziegler Co., Inc..................................... 7,700 139,563
*Zing Technologies, Inc.............................. 29,800 227,225
*Zoll Medical Corp................................... 91,000 1,018,063
*Zygo Corp........................................... 52,000 637,000
------------
TOTAL COMMON STOCKS
(Cost $2,344,155,633)................................ 2,410,581,639
------------
PREFERRED STOCKS -- (0.1%)
Price Enterprises, Inc. Series A
(Cost $3,435,917).................................. 255,400 3,455,881
------------
RIGHTS/WARRANTS -- (0.0%)
*CSF Holdings, Inc. Litigation Rights 12/30/99....... 40,500 0
*National Mercantile Bancorp Warrants 06/02/99....... 165 0
*Statesman Group, Inc. Contingent Payment Rights..... 37,500 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02
valued at $36,615,250) to be repurchased at
$36,071,959. (Cost $36,067,000).................... $ 36,067 36,067,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,383,658,550)++.............................. $2,450,104,520
------------
------------
- --------------------
+ 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.
26
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value................................................................... $ 2,450,105
Collateral for Securities Loaned....................................................... 87,880
Receivables
Dividends and Interest............................................................... 2,050
Investment Securities Sold........................................................... 3,757
-------------
Total Assets....................................................................... 2,543,792
-------------
LIABILITIES:
Payable for Securities Loaned.......................................................... 87,880
Payable for Investment Securities Purchased............................................ 16,938
Payable for Fund Shares Redeemed....................................................... 2,631
Accrued Expenses and Other Liabilities................................................. 609
-------------
Total Liabilities.................................................................. 108,058
-------------
NET ASSETS............................................................................. $ 2,435,734
-------------
-------------
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000)............................................................. 141,121,877
-------------
-------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 17.26
-------------
-------------
Investments at Cost.................................................................... $ 2,383,658
-------------
-------------
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends..................................... $ 21,050
Interest...................................... 2,460
Income from Securities Lending................ 1,196
--------
Total Investment Income................... 24,706
--------
EXPENSES
Investment Advisory Services.................. 4,743
Accounting & Transfer Agent Fees.............. 979
Custodian's Fee............................... 351
Legal Fees.................................... 29
Audit Fees.................................... 45
Shareholders' Reports......................... 43
Trustees' Fees and Expenses................... 9
Other......................................... 38
--------
Total Expenses............................ 6,237
--------
NET INVESTMENT INCOME......................... 18,469
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain on Investment Securities.... 204,982
Change in Unrealized Depreciation of
Investment Securities........................ (454,998)
--------
NET GAIN ON INVESTMENT SECURITIES............. (250,016)
--------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $(231,547)
--------
--------
</TABLE>
See accompanying Notes to Financial Statements.
28
<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,
1998 1997
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C>
Operations:
Net Investment Income............................................... $ 18,469 $ 15,275
Net Realized Gain on Investment Securities.......................... 204,982 201,107
Change in Unrealized Appreciation (Depreciation) of Investment
Securities........................................................ (454,998) 300,802
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... (231,547) 517,184
----------- -----------
Distributions From:
Net Investment Income............................................... (20,925) (12,192)
Net Realized Gains.................................................. (201,111) (57,267)
----------- -----------
Total Distributions............................................. (222,036) (69,459)
----------- -----------
Capital Share Transactions (1):
Shares Issued....................................................... 554,989 578,927
Shares Issued in Lieu of Cash Distributions......................... 215,595 63,693
Shares Redeemed..................................................... (105,535) (114,290)
----------- -----------
Net Increase From Capital Share Transactions.................... 665,049 528,330
----------- -----------
Total Increase.................................................. 211,466 976,055
NET ASSETS
Beginning of Period................................................. 2,224,268 1,248,213
----------- -----------
End of Period....................................................... $ 2,435,734 $ 2,224,268
----------- -----------
----------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................................... 29,754 32,037
Shares Issued in Lieu of Cash Distributions......................... 11,637 3,798
Shares Redeemed..................................................... (5,674) (5,731)
----------- -----------
35,717 30,104
----------- -----------
----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
29
<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 YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
----------- -------- -------- ----------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 21.10 $ 16.58 $ 14.02 $ 11.15 $ 11.04
----------- -------- -------- ----------- --------
Income from Investment Operations
Net Investment Income................. 0.14 0.15 0.15 0.14 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (1.92) 5.23 2.88 3.06 0.16
----------- -------- -------- ----------- --------
Total from Investment Operations...... (1.78) 5.38 3.03 3.20 0.28
----------- -------- -------- ----------- --------
Less Distributions
Net Investment Income................. (0.16) (0.12) (0.15) (0.14) (0.12)
Net Realized Gains.................... (1.90) (0.74) (0.32) (0.19) (0.05)
----------- -------- -------- ----------- --------
Total Distributions................... (2.06) (0.86) (0.47) (0.33) (0.17)
----------- -------- -------- ----------- --------
Net Asset Value, End of Period.......... $ 17.26 $ 21.10 $ 16.58 $ 14.02 $ 11.15
----------- -------- -------- ----------- --------
----------- -------- -------- ----------- --------
Total Return............................ (9.05)% 33.93% 22.14% 28.81% 2.52%
Net Assets, End of Period (thousands)... $2,435,734 $2,224,268 $1,248,213 $ 624,343 $350,277
Ratio of Expenses to Average Net
Assets................................ 0.26% 0.28% 0.29% 0.32% 0.32%
Ratio of Net Investment Income to
Average Net Assets.................... 0.78% 0.86% 1.11% 1.22% 1.50%
Portfolio Turnover Rate................. 22.51% 25.47% 14.91% 20.62% 8.22%
</TABLE>
See accompanying Notes to Financial Statements.
30
<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 sixteen series, 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 Trustees.
2. FEDERAL INCOME TAXES: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Fund's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 30, 1998.
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 Trustees.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Series. For the year ended November 30, 1998, 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.
31
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1998, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.................................................. $ 993,193
Sales...................................................... 522,776
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1998, 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............................. $ 487,631
Gross Unrealized Depreciation............................. (421,185)
----------
Net....................................................... $ 66,446
----------
----------
</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
series 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 series is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Series during the year ended November 30, 1998.
G. COMPONENTS OF NET ASSETS:
At November 30, 1998, net assets consisted of (amounts in thousands):
<TABLE>
<S> <C>
Paid-In Capital.......................................... $ 2,163,416
Undistributed Net Investment Income...................... 1,045
Undistributed Net Realized Gain.......................... 204,827
Unrealized Appreciation of Investment Securities......... 66,446
-----------
$ 2,435,734
-----------
-----------
</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. Such cash collateral for November
30, 1998 was reinvested into overnight repurchase agreements with Swiss Bank
Corp., UBS Securities Inc., Salomon Brothers and Barclays De Zoette Wedd, which
was in turn collateralized by U.S. Government Treasury Securities. At November
30, 1998, the market value of securities on loan to brokers was $71,765,669, the
related collateral cash received was $87,880,225 and the value of collateral on
overnight repurchase agreements was $89,965,361.
32
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, of The DFA Investment Trust Company, The U.S. 6-10
Value Series, and the related statements of operations, and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of The DFA Investment Trust Company, The U.S. 6-10 Value
Series at November 30, 1998, the results of its operations, changes in its net
assets and its financial highlights for each of the periods presented, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with generally
accepted auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 15, 1999
33
