<PAGE>
- --------------------------------------------------------------------------------
Dimensional Investment Group Inc.
The DFA 6-10 Institutional Portfolio
Semi-Annual Report
Six Months Ended May 31, 1999
(Unaudited)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
------
<S> <C>
DIMENSIONAL INVESTMENT GROUP INC.
Statement of Assets and Liabilities................................. 1
Statement of Operations............................................. 2
Statements of Changes in Net Assets................................. 3
Financial Highlights................................................ 4
Notes to Financial Statements....................................... 5-6
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. 6-10 SMALL COMPANY SERIES
Schedule of Investments............................................. 7-38
Statement of Assets and Liabilities................................. 39
Statement of Operations............................................. 40
Statements of Changes in Net Assets................................. 41
Financial Highlights................................................ 42
Notes to Financial Statements....................................... 43-44
</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.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company
(9,717,614 Shares, Cost $119,843++) at Value.......................................... $ 110,003
Receivable for Fund Share Sold.......................................................... 46
Prepaid Expenses and Other Assets....................................................... 8
------------
Total Assets........................................................................ 110,057
------------
LIABILITIES:
Payable for Investment Securities Purchased............................................. 5
Payable for Fund Share Redeemed......................................................... 41
Accrued Expenses........................................................................ 24
------------
Total Liabilities................................................................... 70
------------
NET ASSETS.............................................................................. $ 109,987
------------
------------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000).............................................................. 10,755,360
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................ $ 10.23
------------
------------
NET ASSETS CONSIST OF:
Paid-In Capital......................................................................... $ 114,908
Accumulated Net Investment Loss......................................................... (51)
Undistributed Net Realized Gain......................................................... 4,970
Unrealized Depreciation of Investment Securities........................................ (9,840)
------------
Total Net Assets.................................................................... $ 109,987
------------
------------
</TABLE>
- --------------
++The cost for Federal income tax purposes is $121,741.
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company.................. $ 129
---------
EXPENSES
Administrative Services.............................................................. 35
Accounting & Transfer Agent Fees..................................................... 5
Legal Fees........................................................................... 1
Audit Fees........................................................................... --
Filing Fees.......................................................................... 5
Shareholders' Report................................................................. 5
Directors' Fees and Expenses......................................................... --
Other................................................................................ --
---------
Total Expenses................................................................... 51
Less: Fees Waived.................................................................... (1)
---------
Net Expenses..................................................................... 50
---------
NET INVESTMENT INCOME................................................................ 79
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment Trust Company................ 8,991
Net Realized Loss on Investment Securities............................................... (1,177)
Change in Unrealized Appreciation of Investment Securities............................... 864
---------
NET GAIN ON INVESTMENT SECURITIES.................................................... 8,678
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ 8,757
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1999 1998
------------ -----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................................. $ 79 $ 663
Capital Gain Distributions Received from The DFA Investment Trust Company.............. 8,991 1,327
Net Realized Loss on Investment Securities............................................. (1,177) (526)
Change in Unrealized Appreciation (Depreciation) of Investment Securities.............. 864 (14,849)
------------ -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.................... 8,757 (13,385)
------------ -----------
Distributions From:
Net Investment Income.................................................................. (760) (116)
Net Realized Gains..................................................................... (3,294) (1,416)
------------ -----------
Total Distributions................................................................ (4,054) (1,532)
------------ -----------
Capital Share Transactions (1):
Shares Issued.......................................................................... 8,176 101,615
Shares Issued in Lieu of Cash Distributions............................................ 4,054 1,532
Shares Redeemed........................................................................ (5,626) (5,518)
------------ -----------
Net Increase From Capital Share Transactions....................................... 6,604 97,629
------------ -----------
Total Increase..................................................................... 11,307 82,712
NET ASSETS
Beginning of Period.................................................................... 98,680 15,968
------------ -----------
End of Period.......................................................................... $ 109,987 $ 98,680
------------ -----------
------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................................................... 858 9,118
Shares Issued in Lieu of Cash Distributions............................................ 435 147
Shares Redeemed........................................................................ (607) (537)
------------ -----------
686 8,728
------------ -----------
------------ -----------
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA 6-10 INSTITUTIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period........................... $ 9.80 $ 11.90 $ 14.60 $ 12.79 $ 10.29 $ 10.61
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.23 0.08 0.08 0.13 0.13 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.61 (1.10) 2.46 2.22 2.84 (0.08)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations..................... 0.84 (1.02) 2.54 2.35 2.97 0.05
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income............ (0.30) (0.08) (0.13) (0.02) (0.13) (0.21)
Net Realized Gains............... (0.11) (1.00) (5.11) (0.52) (0.34) (0.16)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.41) (1.08) (5.24) (0.54) (0.47) (0.37)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period..... $ 10.23 $ 9.80 $ 11.90 $ 14.60 $ 12.79 $ 10.29
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
Total Return....................... 8.89%# (9.09)% 26.52% 19.04% 29.08% 0.53%
Net Assets, End of Period
(thousands)...................... $ 109,987 $ 98,680 $ 15,968 $ 10,990 $ 21,192 $ 15,070
Ratio of Expenses to Average Net
Assets (1)....................... 0.19%* 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses) (1)...... 0.19%* 0.22% 0.40% 0.38% 0.56% 0.82%
Ratio of Net Investment Income to
Average Net Assets............... 0.15%* 1.26% 0.77% 0.47% 1.12% 1.93%
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers and assumption of
expenses)........................ 0.15%* 1.24% 0.57% 0.28% 0.77% 1.31%
Portfolio Turnover Rate............ N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 26.79%* 29.15% 30.04% 32.38% 21.16% 27.65%
</TABLE>
- --------------
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the Master Fund Series.
See accompanying Notes to Financial Statements.
4
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
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 The DFA 6-10 Institutional Portfolio (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The U.S. 6-10 Small Company
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 1999, the Portfolio owned 20% of the outstanding shares of
the Series. The financial statement 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 six months ended May 31, 1999, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.07 of 1% of average daily net
assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and assume the expenses of the
Portfolio to the extent necessary to keep the annual combined expenses of the
Portfolio and its respective Master Fund to not more than 0.20% of average daily
net assets on an annualized basis. Annualized expenses are those expenses
incurred in any period consisting of twelve consecutive months. At May 31, 1999,
there were no previously waived fees subject to future reimbursement to the
Advisor.
5
<PAGE>
D. INVESTMENTS:
At May 31, 1999, 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.......................... --
Gross Unrealized Depreciation.......................... $ (11,738)
---------
Net.................................................... $ (11,738)
---------
---------
</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 six months ended May 31, 1999.
6
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED STATES -- (98.1%)
COMMON STOCKS -- (98.1%)
*1-800 CONTACTS, Inc.................................. 800 $ 17,750
*3-D Systems Corp..................................... 10,400 58,825
*3D0 Co............................................... 23,200 121,075
*3Dfx Interactive, Inc................................ 17,943 346,524
*4Front Software International, Inc................... 9,500 95,594
*#7Th Level, Inc...................................... 22,100 130,528
*800-Jr Cigar, Inc.................................... 10,400 95,225
*8X8, Inc............................................. 13,500 62,859
*#A Consulting Team, Inc.............................. 4,400 35,750
*A.C. Moore Arts & Crafts, Inc........................ 2,000 13,500
*AAON, Inc............................................ 5,600 59,325
AAR Corp.............................................. 22,000 434,500
ABC Bancorp........................................... 5,125 71,750
*ABC Rail Products Corp............................... 8,100 118,209
ABM Industries, Inc................................... 15,600 426,075
*ABR Information Services, Inc........................ 28,700 725,572
*ACSYS, Inc........................................... 2,500 10,078
*ACT Manufacturing, Inc............................... 7,300 103,569
*ACT Networks, Inc.................................... 9,400 189,762
*ACX Technologies, Inc................................ 27,600 343,275
*ADE Corp............................................. 11,800 114,681
*AEP Industries, Inc.................................. 6,500 245,781
*AFC Cable Systems, Inc............................... 11,125 381,727
*AG Services America, Inc............................. 4,700 83,425
*AMC Entertainment, Inc............................... 17,500 297,500
*AML Communications, Inc.............................. 5,600 8,487
*AMX Corp............................................. 8,000 85,250
*APAC Teleservices, Inc............................... 46,500 172,922
*ARI Network Services, Inc............................ 1,700 6,481
*ARIS Corp............................................ 2,100 18,047
*ARV Assisted Living, Inc............................. 15,700 60,837
ASB Financial Corp.................................... 1,000 11,500
*ASV, Inc............................................. 3,750 73,008
*ATMI, Inc............................................ 19,400 425,587
*ATS Medical, Inc..................................... 15,700 120,694
*AVT Corporation...................................... 12,500 417,969
#Aames Financial Corp................................. 30,975 44,527
Aaron Rents, Inc. Class A............................. 1,500 24,000
Aaron Rents, Inc. Class B............................. 14,400 273,600
*Aavid Thermal Technologies, Inc...................... 7,400 148,000
*Abacus Direct Corp................................... 7,800 571,594
*Abaxis, Inc.......................................... 12,300 26,522
Abington Bancorp, Inc................................. 3,800 54,744
*Abiomed, Inc......................................... 7,000 112,437
*#Able Telcom Holding Corp............................ 9,000 65,531
Abrams Industries, Inc................................ 200 787
*Abraxas Petroleum Corp............................... 4,200 8,925
*#Acacia Research Corp................................ 9,100 46,353
*Accel International Corp............................. 6,000 12,187
*Accelr8 Technology Corp.............................. 6,500 17,672
*Acceptance Insurance Companies, Inc.................. 13,100 205,506
*Acclaim Entertainment, Inc........................... 51,700 333,627
*Ace Cash Express, Inc................................ 8,800 129,800
*Ace Comm Corp........................................ 8,900 34,209
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Aceto Corp............................................ 5,900 $ 69,325
Ackerley Group, Inc................................... 19,400 366,175
*Acme Electric Corp................................... 3,000 16,312
*Acme Metals, Inc..................................... 11,000 3,355
*Acme United Corp..................................... 1,300 2,600
*Acorn Products, Inc.................................. 5,300 28,156
*Actel Corp........................................... 19,100 245,912
*#Action Performance Companies, Inc................... 14,600 555,712
*Active Apparel Group, Inc............................ 1,500 4,031
*Active Voice Corp.................................... 3,300 45,375
*Activision, Inc...................................... 22,100 296,278
*#Actrade International, Ltd.......................... 7,400 96,894
*Acuson Corp.......................................... 28,000 434,000
*Adac Laboratories.................................... 20,066 159,901
*#Adam Software, Inc.................................. 4,400 72,050
Adams Resources & Energy, Inc......................... 3,100 24,025
*Adaptive Broadband Corp.............................. 15,000 237,187
*Adept Technology, Inc................................ 6,800 49,512
*Adflex Solutions, Inc................................ 7,900 18,022
*Administaff, Inc..................................... 13,100 209,600
*Adrien Arpel, Inc.................................... 4,500 647
*Advance Lighting Technologies, Inc................... 18,100 129,811
*Advance Paradigm, Inc................................ 9,300 449,306
*#Advanced Aerodynamics & Structures, Inc............. 5,000 17,031
*Advanced Communications Group, Inc................... 15,900 159,994
*Advanced Communications Systems, Inc................. 5,100 61,837
*Advanced Digital Information Corp.................... 8,800 238,425
*Advanced Energy Industries, Inc...................... 20,300 503,694
*Advanced Fibre Communications........................ 25,000 260,156
*#Advanced Health Corp................................ 9,000 41,203
*Advanced Magnetics, Inc.............................. 6,000 23,250
Advanced Marketing Services, Inc...................... 7,650 120,009
*Advanced Materials Group, Inc........................ 237 204
*Advanced Neuromodulation Systems, Inc................ 6,700 45,644
*Advanced Polymer Systems, Inc........................ 17,800 89,556
*Advanced Radio Telecom Corp.......................... 24,800 279,000
*Advanced Technical Products, Inc..................... 500 6,625
*#Advanced Tissue Sciences, Inc....................... 37,200 142,987
Advanta Corp. Class A................................. 9,300 161,297
Advanta Corp. Class B Non-Voting...................... 14,900 209,066
*Advantica Restaurant Group, Inc...................... 48,400 223,094
*Advent Software, Inc................................. 6,000 418,125
Advest Group, Inc..................................... 7,200 150,300
*Advo, Inc............................................ 20,400 404,175
*Advocat, Inc......................................... 5,200 10,725
*Aegis Communications Group........................... 18,300 19,730
*Aehr Test Systems.................................... 5,500 21,828
*#Aerial Communications, Inc.......................... 26,200 286,562
*Aeroflex, Inc........................................ 15,600 227,175
*Aerosonic Corp. DE................................... 3,200 44,800
*Aerovox, Inc......................................... 4,200 9,975
*Aetrium, Inc......................................... 7,400 57,581
*Aftermarket Technology Corp.......................... 18,000 196,875
</TABLE>
7
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ag-Chem Equipment Co., Inc........................... 7,600 $ 86,450
Agco Corp............................................. 47,100 547,537
*#Agribiotech, Inc.................................... 39,200 251,737
*Agribrands International, Inc........................ 4,000 139,750
*#Agritope, Inc....................................... 2,040 3,315
Air Express International Corp........................ 23,875 599,859
*Air Methods Corp..................................... 8,300 17,897
*Airgas, Inc.......................................... 18,300 209,306
*Airnet Systems, Inc.................................. 11,300 119,356
*Airtran Holdings, Inc................................ 62,700 295,866
*Akorn, Inc........................................... 16,000 74,500
*Aksys, Ltd........................................... 10,100 49,711
Alabama National Bancorporation....................... 10,300 248,166
Alamo Group, Inc...................................... 8,700 79,931
*Alaris Medical, Inc.................................. 63,200 313,037
*Albany International Corp. Class A................... 32,259 756,070
Alba-Waldensian, Inc.................................. 900 23,512
*Alcide Corp.......................................... 2,300 43,556
*Aldila, Inc.......................................... 13,900 27,366
*Alexion Pharmaceuticals, Inc......................... 12,100 116,462
Alfa Corp............................................. 28,500 483,609
*#Algos Pharmaceutical Corp........................... 17,000 377,187
Alico, Inc............................................ 6,300 101,587
*Align-Rite International, Inc........................ 2,800 36,400
*Alkermes, Inc........................................ 21,100 519,587
*All American Semiconductor, Inc...................... 7,100 5,436
*Allcity Insurance Co................................. 200 1,825
Allen Organ Co. Class B............................... 200 7,200
*Allen Telecom, Inc................................... 27,400 285,987
Alliance Bancorp...................................... 11,455 279,574
*Alliance Gaming Corp................................. 8,265 33,318
*Alliance Pharmaceuticals Corp........................ 30,900 90,769
*Alliance Semiconductor Corp.......................... 41,500 198,422
*Allied Healthcare Products, Inc...................... 6,700 13,191
*Allied Holdings, Inc................................. 5,900 42,037
Allied Products Corp.................................. 10,650 55,247
*Allied Research Corp................................. 4,300 30,369
*Allin Communications Corp............................ 5,000 13,437
*#Allou Health & Beauty Care, Inc. Class A............ 3,700 26,131
*Allstate Financial Corp.............................. 1,600 10,225
*Alltrista Corp....................................... 4,653 127,376
*Alpha Industries, Inc................................ 14,400 501,750
*Alpha Microsystems, Inc.............................. 10,100 76,066
*Alpha Technologies Group, Inc........................ 5,200 19,012
*Alphanet Solutions, Inc.............................. 5,800 23,019
*Alpine Group, Inc.................................... 15,736 253,743
*#Alta Gold Co........................................ 17,400 8,700
*Alteon, Inc.......................................... 16,200 12,909
*Alternative Resources Corp........................... 14,300 109,484
*#Alterra Healthcare Corp............................. 19,700 241,325
*#Alydaar Software Corp............................... 8,500 31,875
*#Alyn Corp........................................... 9,000 20,391
Ambanc Holding Co., Inc............................... 8,300 144,472
*Ambassadors, Inc..................................... 700 9,975
Amcast Industrial Corp................................ 8,300 139,544
Amcol International Corp.............................. 25,500 361,781
Amcore Financial, Inc................................. 26,175 552,947
*Amedisys, Inc........................................ 1,400 3,106
*Amerco, Inc.......................................... 18,100 447,975
*America Online, Inc.................................. 1,135 135,522
*America Services Group, Inc.......................... 3,200 38,200
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
American Bancorporation Ohio.......................... 400 $ 7,700
American Bank of Connecticut.......................... 3,200 67,200
*#American Banknote Corp.............................. 19,800 7,425
American Biltrite, Inc................................ 1,900 38,950
American Business Products, Inc....................... 14,100 224,719
*American Claims Evaluation, Inc...................... 1,000 2,000
*American Classic Voyages Co.......................... 14,300 251,144
*American Coin Merchandising, Inc..................... 5,200 37,375
*American Ecology Corp................................ 5,250 14,766
*American Freightways Corp............................ 31,600 553,987
*American Healthcorp, Inc............................. 6,400 52,400
American Heritage Life Investment Corp................ 25,100 583,575
*American Homepatient, Inc............................ 15,000 29,766
*American Homestar Corp............................... 17,530 128,188
*American Indemnity Financial Corp.................... 800 11,025
*#American International Petroleum Corp............... 35,800 38,597
*American Italian Pasta CO............................ 16,200 445,500
*American Medical Electronics, Inc. (Escrow-Bonus).... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 4,400 0
American Medical Security Group, Inc.................. 13,600 126,650
*#American Mobile Satellite Corp...................... 28,300 400,622
*American Oncology Resources, Inc..................... 34,200 347,344
*American Pacific Corp................................ 7,400 60,125
*American Pad & Paper Co.............................. 25,000 58,594
*American Physician Partners, Inc..................... 16,000 97,500
*American Physicians Services Group, Inc.............. 2,200 7,906
*American Precision Industries, Inc................... 7,300 82,581
*American Retirement Corp............................. 17,000 287,937
*American Science & Engineering, Inc.................. 6,500 59,312
*American Shared Hospital Services.................... 600 1,725
*American Software, Inc. Class A...................... 17,900 52,022
American States Water Company......................... 6,300 168,131
*American Superconductor Corp......................... 18,300 232,181
*American Technical Ceramics Corp..................... 3,500 23,844
*#American Wagering, Inc.............................. 6,900 40,106
American Woodmark Corp................................ 6,260 233,967
Americana Bancorp, Inc................................ 1,760 27,885
*Amerihost Properties, Inc............................ 4,200 15,947
*AmeriLink Corp....................................... 2,900 42,412
*Amerin Corp.......................................... 24,800 664,950
*Ameripath, Inc....................................... 16,900 153,420
*#Ameristar Casinos, Inc.............................. 18,300 64,622
Ameron, Inc........................................... 3,600 155,025
Amerus Life Holdings, Inc. Class A.................... 4,044 104,386
*Ames Department Stores, Inc.......................... 20,400 835,762
Ametek, Inc........................................... 1,100 25,231
*Amistar Corp......................................... 1,600 3,100
Ampco-Pittsburgh Corp................................. 11,900 148,750
*Ampex Corp. Class A.................................. 36,400 161,525
*Amphenol Corp........................................ 13,900 522,987
Amplicon, Inc......................................... 4,100 56,119
*Amrep Corp........................................... 4,600 26,306
*Amresco, Inc......................................... 45,600 310,650
*Amsurg Corp. Class A................................. 589 3,902
*Amsurg Corp. Class B................................. 3,800 25,412
*Amtran, Inc.......................................... 11,700 274,950
</TABLE>
8
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Amwest Insurance Group, Inc........................... 1,694 $ 17,363
*Amylin Pharmaceuticals, Inc.......................... 33,500 43,445
*Anadigics, Inc....................................... 13,250 328,766
Analogic Corp......................................... 10,900 355,272
*Analogy, Inc......................................... 8,600 24,994
*Analysis & Technology, Inc........................... 1,200 30,675
Analysts International Corp........................... 22,500 358,594
*#Analytical Surveys, Inc............................. 6,100 147,925
*Anaren Microwave, Inc................................ 4,400 95,837
Anchor Bancorp Wisconsin, Inc......................... 16,000 265,500
*Anchor Gaming, Inc................................... 5,300 237,672
Andean Development Corp............................... 2,000 2,062
Andersons, Inc........................................ 8,200 106,087
Andover Bancorp, Inc. DE.............................. 5,900 174,787
*Andrea Electronics Corp.............................. 10,000 69,375
*Anesta Corp.......................................... 10,500 187,031
*#Angeion Corp........................................ 2,420 4,878
*Anicom, Inc.......................................... 23,600 217,562
*Anika Therapeutics, Inc.............................. 3,900 20,902
*Anixter International, Inc........................... 12,000 212,250
*Ansoft Corp.......................................... 11,400 89,775
*Ansys, Inc........................................... 12,600 114,187
*Antec Corp........................................... 9,850 288,420
*Apex PC Solutions, Inc............................... 15,000 269,062
*#Aphton Corp......................................... 12,800 145,600
Apogee Enterprises, Inc............................... 37,600 452,375
*Apple Orthodontix, Inc............................... 10,000 20,000
Applebees International, Inc.......................... 30,300 894,797
*Applied Digital Access, Inc.......................... 12,800 53,800
*Applied Extrusion Technologies, Inc.................. 11,000 83,875
*Applied Films Corp................................... 2,000 7,375
*Applied Graphics Technologies, Inc................... 24,300 263,503
*Applied Imaging Corp................................. 5,900 8,481
Applied Industrial Technologies, Inc.................. 24,850 420,897
*Applied Innovation, Inc.............................. 14,200 55,469
*Applied Magnetics Corp............................... 12,000 36,000
*Applied Microsystems Corp............................ 6,000 18,281
*Applied Science & Technology, Inc.................... 8,500 121,391
*Applied Signal Technologies, Inc..................... 7,700 69,300
*Applix, Inc.......................................... 8,600 46,762
*Apria Healthcare Group, Inc.......................... 15,800 325,875
*Aqua Alliance, Inc................................... 47,800 113,525
*Aquagenix, Inc....................................... 3,200 2,850
Aquarion Co........................................... 7,900 245,394
*Aquila Biopharmaceuticals, Inc....................... 6,330 12,067
*Arabian Shield Development Co........................ 200 216
*Aradigm Corp......................................... 15,400 106,837
*Arcadia Financial, Ltd............................... 39,100 290,806
Arch Coal, Inc........................................ 11,100 162,337
*#Arch Communications Group, Inc...................... 17,600 42,625
Arctic Cat, Inc....................................... 20,100 168,337
*Ardent Software, Inc................................. 16,145 324,918
Area Bancshares Corp.................................. 6,500 158,234
Argonaut Group, Inc................................... 21,500 576,469
*Argosy Gaming Corp................................... 24,500 196,000
*Arguss Holdings, Inc................................. 2,600 46,394
*Ariad Pharmaceuticals, Inc........................... 16,300 24,195
*Ariel Corp........................................... 9,300 28,481
*Ark Restaurants Corp................................. 2,700 27,337
*Arkansas Best Corp................................... 17,600 157,300
Arm Financial Group, Inc. Class A..................... 29,100 436,500
*Armco, Inc........................................... 107,900 694,606
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Armor Holdings, Inc.................................. 13,200 $ 137,775
Arnold Industries, Inc................................ 23,400 387,562
*Aronex Pharmaceuticals, Inc.......................... 18,000 80,437
*Arqule, Inc.......................................... 10,000 45,000
*Arrhythmia Research Technology, Inc.................. 1,800 2,250
*Arrow Automotive Industries, Inc..................... 1,000 1
Arrow Financial Corp.................................. 5,242 140,223
Arrow International, Inc.............................. 30,900 788,916
*Artecon, Inc......................................... 4,900 9,953
*Artesyn Technologies, Inc............................ 38,900 819,331
*Arthrocare Corp...................................... 8,000 158,000
*Artisan Components, Inc.............................. 10,700 77,909
*Artisoft, Inc........................................ 13,100 55,880
*Artra Group, Inc..................................... 6,000 61,125
*Arts Way Manufacturing Co., Inc...................... 200 962
*Asante Technologies, Inc............................. 7,200 5,062
Asarco, Inc........................................... 17,000 273,062
*Ascent Assurance, Inc................................ 109 0
*Ascent Entertainment Group, Inc...................... 27,500 314,531
*Ascent Pediatrics, Inc............................... 100 242
*Asche Transportation Services, Inc................... 4,100 16,528
*Ashworth, Inc........................................ 13,300 65,253
*Aspect Development, Inc.............................. 12,200 173,087
*Aspect Telecommunications Corp....................... 10,300 86,906
*Aspen Technology, Inc................................ 23,900 250,203
*Assisted Living Concepts, Inc........................ 15,600 45,825
*Astea International, Inc............................. 12,100 35,922
*Astec Industries, Inc................................ 15,800 587,562
Astro-Med, Inc........................................ 4,500 29,812
*Astronics Corp....................................... 4,312 38,269
*AstroPower, Inc...................................... 6,000 78,562
*#Asymetrix Learning Systems, Inc..................... 4,500 18,562
*Asyst Technologies, Inc.............................. 10,900 213,912
Atalanta Sosnoff Capital Corp......................... 7,700 76,037
*Athey Products Corp.................................. 2,940 7,258
*Atlantic American Corp............................... 17,000 73,844
*Atlantic Bank and Trust Co........................... 3,600 74,925
*Atlantic Coast Airlines, Inc......................... 17,100 299,784
*Atlantic Data Services, Inc.......................... 14,000 55,781
*Atlantic Premium Brands, Ltd......................... 2,000 4,625
*Atlantis Plastics, Inc............................... 3,300 47,437
*Atrion Corp.......................................... 1,950 18,769
*Atrix Labs, Inc...................................... 10,200 84,787
*Atwood Oceanics, Inc................................. 12,300 356,700
*Audiovox Corp. Class A............................... 13,900 120,756
*Ault, Inc............................................ 3,900 37,781
*#Aura Systems, Inc................................... 48,000 12,750
*Aurora Biosciences Corp.............................. 14,000 79,187
*Auspex Systems, Inc.................................. 25,000 272,656
Authentic Fitness Corp................................ 23,000 378,062
*#Autobond Acceptance Corp............................ 5,900 6,637
Autocam Corp.......................................... 4,560 53,295
*Autocyte, Inc........................................ 9,000 64,687
*Autoimmune, Inc...................................... 13,100 29,270
*Autologic Information International, Inc............. 2,300 11,069
*Automobile Protection Corp........................... 10,500 107,953
*Autote Corp. Class A................................. 28,758 73,692
Avado Brands, Inc..................................... 33,200 301,394
*Avalon Holding Corp. Class A......................... 1,550 10,559
*#Avanir Pharmaceuticals Class A...................... 25,300 26,486
*Avant Corp........................................... 42,700 519,072
</TABLE>
9
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Avant Immunotherapeutics, Inc........................ 29,975 $ 37,937
*Avatar Holdings, Inc................................. 5,500 102,094
*#Avatex Corp......................................... 6,300 3,937
Avert, Inc............................................ 2,300 14,016
*Avi Biopharma, Inc................................... 1,000 3,469
*Aviall, Inc.......................................... 17,700 277,669
*Aviation Sales Co.................................... 12,457 479,594
*Avid Technology, Inc................................. 22,100 362,578
*Avigen, Inc.......................................... 6,600 40,837
*Avista Corp.......................................... 5,800 104,762
*Avondale Industries, Inc............................. 11,600 423,400
*Avteam, Inc. Class A................................. 8,500 60,828
*Axent Technologies, Inc.............................. 20,400 253,087
*Axiohm Transaction Solutions, Inc.................... 5,832 23,328
*Axsys Technologies, Inc.............................. 2,500 31,094
*Axys Pharmaceuticals, Inc............................ 37,800 135,844
*Aztar Corp........................................... 45,200 305,100
Aztec Manufacturing Co................................ 5,000 50,312
*BCT International, Inc............................... 2,700 6,792
*BEI Electronics, Inc................................. 6,000 6,937
BEI Technologies, Inc................................. 5,100 50,841
*BFX Hospitality Group, Inc........................... 4,600 6,469
BHA Group Holdings, Inc. Class A...................... 5,856 57,096
*BI, Inc.............................................. 6,400 58,800
*#BLC Financial Services, Inc......................... 5,000 10,625
BMC Industries, Inc................................... 26,700 268,669
BSB Bancorp, Inc...................................... 8,600 218,762
BT Financial Corp..................................... 9,770 262,569
*BTG, Inc............................................. 7,900 56,781
*BTU International, Inc............................... 6,500 26,812
*BWAY Corp............................................ 6,900 98,325
*Bacou USA, Inc....................................... 11,300 184,331
Badger Meter, Inc..................................... 1,800 60,525
*Badger Paper Mills, Inc.............................. 1,000 7,203
Bairnco Corp.......................................... 8,300 57,581
Baker (J.), Inc....................................... 12,500 90,625
*Baker (Michael) Corp................................. 3,900 28,275
*Balance Bar Co....................................... 3,000 16,969
Balchem Corp.......................................... 1,800 10,350
Baldor Electric Co.................................... 11,733 225,860
*Baldwin Piano & Organ Co............................. 1,300 9,912
*Baldwin Technology, Inc. Class A..................... 13,500 48,937
*Ballantyne Omaha, Inc................................ 12,127 93,984
Ballard Medical Products.............................. 27,400 650,750
*Bally Total Fitness Holding Corp..................... 23,675 605,192
*Baltek Corp.......................................... 1,500 14,812
Bancfirst Ohio Corp................................... 6,300 155,531
*Bancinsurance Corp................................... 4,305 23,947
Bancorp Connecticut, Inc.............................. 4,100 66,369
Bandag, Inc........................................... 9,800 337,487
Bandag, Inc........................................... 11,000 314,875
*Bangor Hydro-Electric Co............................. 6,500 91,812
Bank of Granite Corp.................................. 9,450 225,028
*Bank Plus Corp....................................... 17,400 90,806
*Bank United Financial Corp. Class A.................. 3,500 31,555
Bank West Financial Corp.............................. 1,600 17,050
#BankAtlantic Bancorp, Inc. Class A................... 8,600 62,887
BankAtlantic Bancorp, Inc. Class B.................... 8,300 66,141
BankNorth Group, Inc. DE.............................. 20,800 555,750
Banta Corp............................................ 2,700 66,150
*Banyan System, Inc................................... 18,100 200,231
Barnes Group, Inc..................................... 17,900 412,819
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Barnett, Inc......................................... 500 $ 4,562
*Barnwell Industries, Inc............................. 400 4,625
*Barra, Inc........................................... 12,200 295,469
*Barrett Business Services, Inc....................... 5,800 49,300
*Barringer Technologies, Inc.......................... 6,800 37,612
*Barry (R.G.) Corp.................................... 8,832 71,208
*#Base Ten Systems, Inc. Class A...................... 8,600 7,122
*Basin Exploration, Inc............................... 12,500 209,766
Bassett Furniture Industries, Inc..................... 11,800 280,619
Battle Mountain Gold Co............................... 115,000 280,312
Bay View Capital Corp................................. 18,200 327,600
*Baycorp Holdings, Ltd................................ 5,500 19,594
*Bayou Steel Corp. Class A............................ 9,600 34,800
*Be Aerospace, Inc.................................... 24,400 437,675
Beauticontrol Cosmetics, Inc.......................... 5,400 25,987
*Beazer Homes USA, Inc................................ 6,000 133,500
*Bel Fuse, Inc. Class A............................... 1,750 56,984
Bel Fuse, Inc. Class B................................ 1,750 51,297
*Belco Oil & Gas Corp................................. 31,600 250,825
Belden, Inc........................................... 21,900 516,019
*Bell Industries, Inc................................. 7,620 78,105
*Bell Microproducts, Inc.............................. 8,800 62,287
*Bellwether Exploration Co............................ 11,300 52,262
*Ben & Jerry's Homemade, Inc. Class A................. 5,100 143,597
*Benchmark Electronics, Inc........................... 10,500 315,000
*Benihana, Inc........................................ 1,000 14,125
*Bentley Pharmaceuticals, Inc......................... 3,460 10,380
*Benton Oil & Gas Co.................................. 16,000 56,000
*Bergen Brunswig Corp. Class A........................ 17,270 379,940
Berkshire Energy Resources............................ 1,000 20,719
*Berlitz International, Inc........................... 4,700 100,169
Berry Petroleum Corp. Class A......................... 19,000 270,750
*Beverly Enterprises.................................. 32,000 232,000
*Big 4 Ranch, Inc..................................... 3,200 0
*Big Flower Holdings, Inc............................. 19,800 616,275
*Billing Information Concepts Corp.................... 35,600 446,112
Bindley Western Industries, Inc....................... 5,266 158,638
*Binks Sames Corp..................................... 1,500 25,125
*Bio Technology General Corp.......................... 53,300 376,431
*#Bio Vascular, Inc................................... 8,100 22,402
*Bioanalytical Systems, Inc........................... 4,000 16,000
*Biocryst Pharmaceuticals, Inc........................ 14,000 112,875
*#Biofield Corp....................................... 9,000 1,153
*Bio-Logic Systems Corp............................... 2,100 7,416
*#Biomatrix, Inc...................................... 18,800 575,750
*Bionova Holdings Corp................................ 1,270 4,564
*Bionx Implants, Inc.................................. 10,000 45,937
*#Bio-Plexus, Inc..................................... 2,700 12,994
*Bio-Rad Laboratories, Inc. Class A................... 8,300 233,956
*BioReliance Corp..................................... 3,000 19,969
*Biosite Diagnostics, Inc............................. 10,000 99,687
*Biosource International, Inc......................... 5,200 25,350
*Biospecifics Technologies Corp....................... 3,000 9,562
*#Biospherics, Inc.................................... 6,500 50,070
Birmingham Steel Corp................................. 14,300 73,287
*Black Box Corp....................................... 15,300 699,019
*Black Hawk Gaming & Development, Inc................. 3,600 30,712
Black Hills Corp...................................... 19,550 449,650
Blair Corp............................................ 6,700 115,156
Blanch (E.W.) Holdings, Inc........................... 11,500 736,000
</TABLE>
10
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Blimpie International................................. 8,600 $ 22,575
*Blonder Tongue Laboratories, Inc..................... 7,500 49,687
*Bluegreen Corp....................................... 21,295 119,784
Bob Evans Farms, Inc.................................. 1,400 26,994
*Boca Research, Inc................................... 7,900 69,989
*#Bogen Communications International, Inc............. 1,400 10,062
*Bolder Technologies Corp............................. 8,600 76,594
*Bolle, Inc........................................... 6,161 17,905
*Bolt Technology Corp................................. 4,500 28,687
*Bombay Co., Inc...................................... 20,000 122,500
*Bonded Motors, Inc................................... 1,800 5,287
*Bone Care International, Inc......................... 2,250 22,078
*Bontex, Inc.......................................... 200 437
*Bon-Ton Stores, Inc.................................. 10,800 68,850
*#Books-a-Million, Inc................................ 15,400 127,050
*Borg-Warner Security Corp............................ 23,500 383,344
Boston Acoustics, Inc................................. 3,750 68,437
*Boston Beer Company, Inc. Class A.................... 6,300 52,369
*Boston Biomedical, Inc............................... 3,300 12,581
*#Boston Chicken, Inc................................. 27,200 16,320
*Boston Communications Group, Inc..................... 11,000 103,125
Bostonfed Bancorp, Inc................................ 3,800 68,400
Bowne & Co., Inc...................................... 34,600 579,550
*Boyd Gaming Corp..................................... 61,800 366,937
*Bradley Pharmaceuticals, Inc. Class A................ 1,500 2,086
Brady (W.H.) Co. Class A.............................. 20,700 518,794
*Brauns Fashions Corp................................. 3,200 35,400
*Brazos Sportswear, Inc............................... 230 23
*#Breed Technologies, Inc............................. 36,800 121,900
Brenton Banks, Inc.................................... 18,796 323,070
*Bridgeport Macs, Inc................................. 5,100 46,219
*Bridgestreet Accomodations, Inc...................... 7,200 25,200
Bridgford Foods Corp.................................. 4,482 46,781
*Brigham Exploration Co............................... 3,000 7,687
*Brightpoint, Inc..................................... 46,700 264,877
*Brilliant Digital Entertainment, Inc................. 8,500 57,375
*Brite Voice Systems, Inc............................. 12,100 157,300
*#Britesmile, Inc..................................... 6,100 65,194
Broad National Bancorporation......................... 3,492 84,470
*#Broadband Technologies, Inc......................... 10,599 23,684
*Broadway & Seymour, Inc.............................. 8,300 47,984
*Brookdale Living Communities......................... 15,400 217,044
#Brooke Group, Ltd.................................... 20,900 506,825
Brookline Bancorp, Inc................................ 7,400 86,487
*Brooks Automation, Inc............................... 9,900 181,294
*Brookstone, Inc...................................... 8,000 120,250
*Brooktrout Technology, Inc........................... 9,300 174,084
*Brothers Gourmet Coffees, Inc........................ 6,771 142
*Brown & Sharpe Manufacturing Co. Class A............. 11,500 63,250
*Brown (Tom), Inc..................................... 26,300 341,078
Brown and Brown, Inc.................................. 12,150 433,603
Brown Shoe Company, Inc............................... 18,000 342,000
*Brunswick Technologies, Inc.......................... 4,600 28,031
Brush Wellman, Inc.................................... 14,900 252,369
Bryn Mawr Bank Corp................................... 800 20,750
*Buckeye Technology, Inc.............................. 27,700 451,856
*Buckhead America Corp................................ 900 5,625
*Buckle, Inc.......................................... 19,800 548,212
*Budget Group, Inc.................................... 25,500 341,062
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Buffets, Inc......................................... 45,686 $ 479,703
*Builders Transport, Inc.............................. 1,800 40
*Building Materials Holding Corp...................... 10,600 123,887
*Bull Run Corp. GA.................................... 21,300 85,866
Burlington Coat Factory Warehouse Corp................ 26,380 445,162
*Burlington Industries, Inc........................... 51,900 509,269
*Burr Brown Corp...................................... 28,062 896,230
*Bush Boake Allen, Inc................................ 17,400 501,337
Bush Industries, Inc. Class A......................... 4,600 68,137
*Business Resource Group.............................. 2,400 8,025
*Butler International, Inc............................ 5,800 115,819
Butler Manufacturing Co............................... 5,400 151,875
C & D Technologies, Inc............................... 11,200 305,900
*C-COR Electronics, Inc............................... 8,200 195,519
*C-Cube Microsystems, Inc............................. 25,400 635,794
*#C-Phone Corp........................................ 6,400 14,100
*C.P. Clare Corp...................................... 9,400 34,369
*C3, Inc.............................................. 4,500 68,906
*CB Richard Ellis Services, Inc....................... 18,900 366,187
*CCA Industries, Inc.................................. 4,300 5,442
CCBT Bancorp, Inc..................................... 6,400 104,800
*CCC Information Services Group, Inc.................. 24,100 302,003
*CD Radio, Inc........................................ 10,000 225,000
*CDI Corp............................................. 17,900 579,512
*#CDNOW/N2K, Inc...................................... 16,900 302,616
*CE Software Holdings, Inc............................ 580 2,628
*CEM Corp............................................. 2,500 19,766
*CET Environmental Services, Inc...................... 3,500 5,031
*CFI Proservices, Inc................................. 4,000 50,750
*CFM Technologies, Inc................................ 7,100 64,787
CFSB Bancorp, Inc..................................... 5,516 139,292
CFW Communications Co................................. 11,700 288,478
*CMC Industries, Inc.................................. 5,200 33,637
CMI Corp. Class A..................................... 17,800 163,537
CMP Media Group, Inc.................................. 32,400 656,100
*CMP Media, Inc. Class A.............................. 6,400 249,000
CNA Surety Corp....................................... 34,700 503,150
CNBT Bancshares, Inc.................................. 5,800 72,862
*CNS Income........................................... 16,600 55,506
CPAC, Inc............................................. 5,020 38,748
CPB, Inc.............................................. 6,800 140,250
*CPI Aerostructures, Inc.............................. 200 128
CPI Corp.............................................. 8,000 252,000
*CPS Systems, Inc..................................... 7,000 7,437
*CSP, Inc............................................. 3,061 20,949
*CSS Industries, Inc.................................. 9,300 251,100
*CTB International Corp............................... 2,000 17,375
*CTC Communications Corp. Class 1..................... 9,000 183,937
CTG Resources, Inc.................................... 7,800 199,387
CTS Corp.............................................. 16,400 918,400
*CUNO, Inc............................................ 14,500 267,344
#CVB Financial Corp................................... 14,899 349,195
*Cable Design Techologies Corp........................ 27,225 384,553
Cabot Oil & Gas Corp. Class A......................... 24,900 445,087
*Cache, Inc........................................... 7,625 51,469
*Caci International, Inc. Class A..................... 8,700 161,494
*Cade Industries, Inc................................. 19,800 44,241
*Cadence Design Systems, Inc.......................... 18,051 232,407
*Cadiz, Inc........................................... 30,400 309,700
Cadmus Communications Corp............................ 5,800 74,312
*Cadus Pharmaceutical Corp............................ 8,700 8,700
</TABLE>
11
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Caere Corp........................................... 10,600 $ 125,875
Cagle's, Inc. Class A................................. 2,000 38,000
*Cal Dive International, Inc.......................... 5,000 123,125
Calgon Carbon Corp.................................... 31,000 176,312
*Caliber Learning Network, Inc........................ 10,000 44,062
*#California Amplifier, Inc........................... 9,400 39,362
*California Coastal Comm, Inc......................... 9,500 60,859
*#California Culinary Academy, Inc.................... 1,200 8,137
*California Micro Devices Corp........................ 8,400 18,637
California Water Service Group........................ 10,400 270,400
*Callon Petroleum Co.................................. 6,000 64,500
*Calloways Nursery, Inc............................... 1,200 1,462
Cal-Maine Foods, Inc.................................. 10,800 58,725
Cambrex Corp.......................................... 24,100 542,250
*Cambridge Heart, Inc................................. 10,800 71,887
*Cameron Ashley Building Products, Inc................ 8,400 100,800
Cameron Financial Corp................................ 1,300 17,225
*Candela Laser Corp................................... 3,800 57,237
*Candies, Inc......................................... 17,200 52,675
*Canisco Resources, Inc............................... 500 1,797
*Cannon Express, Inc. Class A......................... 900 3,150
*Cannondale Corp...................................... 6,900 61,669
*Cantel Industries, Inc. Class B...................... 3,100 17,244
*Capital Pacific Holdings, Inc........................ 11,600 37,700
Capital Re Corp....................................... 30,700 500,794
*Capital Senior Living Corp........................... 10,600 115,275
Capitol Bancorp, Ltd.................................. 3,706 63,349
Capitol Transamerica Corp............................. 10,050 151,064
Caraustar Industries, Inc............................. 22,900 601,841
*Carbide/Graphite Group, Inc.......................... 6,700 86,891
Carbo Ceramics, Inc................................... 4,000 90,000
*Cardiac Pathways Corp................................ 10,000 10,625
*#Cardima, Inc........................................ 2,600 6,744
*Cardiotech International, Inc........................ 2,101 3,020
*Career Blazers, Inc. Trust Units..................... 800 0
*Career Education Corp................................ 500 17,406
*Carematrix, Inc...................................... 15,800 234,531
*Caretenders Healthcorp............................... 1,600 3,700
*Carey International, Inc............................. 7,700 145,819
*Caribiner International, Inc......................... 27,900 149,962
*Carleton Corporation................................. 1,100 2,578
*Carmike Cinemas, Inc. Class A........................ 8,700 152,794
Carolina First Corp................................... 17,610 482,624
Carpenter Technology Corp............................. 5,000 142,500
*Carreker-Antinori, Inc............................... 17,000 145,031
*Carriage Services, Inc. Class A...................... 10,000 170,625
*Carrington Laboratories, Inc......................... 8,400 24,937
*Carson, Inc.......................................... 7,000 24,500
Carter-Wallace, Inc................................... 32,900 594,256
Cascade Corp.......................................... 10,700 144,450
Cascade Natural Gas Corp.............................. 9,900 166,444
*Casella Waste Systems, Inc.
Class A............................................. 12,800 252,400
Casey's General Stores, Inc........................... 36,800 493,350
Cash America International, Inc....................... 22,600 286,737
*Casino Data Systems.................................. 14,400 53,550
*Castle & Cooke, Inc.................................. 13,700 214,062
Castle (A.M.) & Co.................................... 13,037 200,444
*Castle Dental Centers, Inc........................... 6,300 42,131
Castle Energy Corp.................................... 2,400 44,700
*Catalina Lighting, Inc............................... 5,100 22,950
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Catalyst International, Inc.......................... 2,400 $ 40,350
*Catalytica, Inc...................................... 31,700 378,419
*Cathay Bancorp, Inc.................................. 2,200 77,687
*Catherines Stores Corp............................... 6,300 69,300
Cato Corp. Class A.................................... 21,300 280,228
Cavalier Homes, Inc................................... 18,060 163,669
*Cavanaughs Hospitality Corp.......................... 15,000 143,437
*Cec Entertainment Inc................................ 7,200 272,250
*Celadon Group, Inc................................... 6,000 59,625
*Celebrity, Inc....................................... 1,300 3,047
*Celeris Corp......................................... 9,400 8,519
*Celeritek, Inc....................................... 5,000 26,875
*Celestial Seasonings, Inc............................ 6,600 128,287
*#Celgene Corp........................................ 14,200 233,412
*#Cell Genesys, Inc................................... 28,452 136,925
*Cell Pathways, Inc................................... 4,829 53,119
*Cellegy Pharmaceuticals, Inc......................... 7,200 35,325
*#Cellnet Data Systems, Inc........................... 41,900 369,244
*Cellstar Corp........................................ 59,000 459,094
*#Cel-Sci Corp........................................ 2,500 5,469
Cenit Bancorp, Inc.................................... 3,000 61,312
*Centennial Bancorp................................... 15,063 176,049
*Centennial Healthcare Corp........................... 9,500 52,547
*Centigram Communications Corp........................ 5,200 50,537
Central Bancorp, Inc.................................. 1,800 34,875
*Central Garden & Pet Co.............................. 29,500 401,016
Central Hudson Gas & Electric Corp.................... 11,200 472,500
*Central Sprinkler Corp............................... 4,000 68,125
Central Vermont Public Service Corp................... 10,300 122,956
Centris Group, Inc.................................... 11,400 110,437
*Centura Software Corp................................ 8,600 8,734
Century Aluminum Co................................... 16,000 103,500
Century Bancorp Income Class A........................ 1,000 17,812
*#Century Business Services, Inc...................... 33,800 377,081
*Cephalon, Inc........................................ 28,600 388,781
*Ceradyne, Inc........................................ 6,900 28,031
Cerberonics, Inc. Class A............................. 200 1,262
*Ceres Group, Inc..................................... 2,100 21,525
*Cerion Technologies, Inc............................. 3,500 875
*Cerner Corp.......................................... 28,400 568,887
*Cerprobe Corp........................................ 7,300 67,981
*Chad Therapeutics.................................... 8,000 14,500
Champion Industries, Inc.............................. 8,462 66,638
*Championship Auto Racing Teams, Inc.................. 7,000 235,375
*Charming Shoppes, Inc................................ 14,800 74,694
*Chart House Enterprises, Inc......................... 10,600 58,300
Chart Industries, Inc................................. 21,725 229,470
*Charter Federal Savings Bank (Escrow)................ 2,100 0
Chartwell Re Corp..................................... 10,700 167,856
*Chase Industries, Inc................................ 9,000 75,375
*Chattem, Inc......................................... 9,200 334,650
*Chaus (Bernard), Inc................................. 9,400 22,912
*Check Technology Corp................................ 4,400 9,900
*Checkpoint System, Inc............................... 21,000 191,625
*Cheesecake Factory, Inc.............................. 18,050 498,631
Chemed Corp........................................... 9,100 295,181
*Chemfab Corp......................................... 7,850 154,056
Chemfirst, Inc........................................ 14,700 350,044
Chemical Financial Corp............................... 10,832 330,376
</TABLE>
12
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cherry Corp. Class A................................. 3,000 $ 40,500
*Cherry Corp. Class B................................. 1,800 24,581
*Chesapeake Biological Laboratories, Inc. Class A..... 3,600 7,425
Chesapeake Corp....................................... 2,000 72,125
#Chesapeake Energy Corp............................... 109,570 232,836
Chesapeake Utilities Corp............................. 3,700 66,600
Chester Valley Bancorp................................ 453 7,984
*Chic by His, Inc..................................... 9,800 30,625
Chicago Rivet & Machine Co............................ 200 3,825
*Chicos Fas, Inc...................................... 8,200 185,525
*#Childrens Broadcasting Corp......................... 4,700 7,123
*Children's Comprehensive Services, Inc............... 8,650 52,711
*Childrens PL Retail Stores, Inc...................... 11,500 445,266
*Childtime Learning Centers, Inc...................... 3,300 41,250
Chiquita Brands International, Inc.................... 41,892 337,754
*Chirex, Inc.......................................... 10,600 319,656
#Chittenden Corp...................................... 14,366 418,410
*#Chock Full O' Nuts Corp............................. 10,130 105,732
*Cholestech Corp...................................... 10,300 24,462
*Chromcraft Revington, Inc............................ 3,400 55,250
*Chronimed, Inc....................................... 12,100 85,834
Church & Dwight Co., Inc.............................. 17,500 747,031
*Chyron Corp.......................................... 38,100 78,581
*Cidco, Inc........................................... 12,600 77,962
*Cima Laboratories, Inc............................... 8,600 27,950
*Ciprico, Inc......................................... 4,400 38,362
Circle International, Inc............................. 14,700 301,350
*Circuit City Stores, Inc. - Carmax Group............. 18,300 88,069
*Circuit Systems, Inc................................. 2,600 5,362
*Cirrus Logic, Inc.................................... 61,200 464,737
*Citadel Holding Corp................................. 5,300 26,831
*Citation Computer System, Inc........................ 2,200 4,194
*Citation Corp........................................ 16,100 214,834
*Citizens, Inc. Class A............................... 19,900 113,181
City Holding Co....................................... 7,986 218,617
*Civic Bancorp........................................ 2,976 42,036
Clarcor, Inc.......................................... 24,350 447,431
*Clarify, Inc......................................... 22,000 712,937
*Clark (Dick) Productions, Inc........................ 3,528 44,541
*Clean Harbors, Inc................................... 9,300 15,984
Cleveland Cliffs, Inc................................. 10,200 377,400
*Clintrials Research, Inc............................. 15,900 67,078
*#Closure Medical Corp................................ 11,900 369,272
*#CoCensys, Inc....................................... 2,200 2,269
Coachmen Industries, Inc.............................. 15,100 332,200
*Coast Dental Services, Inc........................... 6,800 48,025
*Coast Distribution System............................ 4,000 11,500
Coastal Bancorp, Inc.................................. 5,250 84,328
*Coastcast Corp....................................... 5,600 67,200
*Cobra Electronic Corp................................ 2,600 10,562
Coca-Cola Bottling Co. Consolidated................... 5,200 283,075
*Code-Alarm, Inc...................................... 800 425
*Coeur d'Alene Mines Corp. ID......................... 19,700 82,494
*Coffee People, Inc................................... 3,000 5,953
*Cogeneration Corporation of America.................. 5,000 61,250
*Cognitronics Corp.................................... 2,500 40,000
*Cognizant Technology Solutions Corp.................. 2,000 49,875
*Coherent, Inc........................................ 23,700 383,644
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cohesion Technologies, Inc........................... 6,300 $ 35,437
*Coho Energy, Inc..................................... 29,000 18,125
Cohu, Inc............................................. 8,200 244,462
*Coinmach Laundry Corp................................ 12,600 155,137
*Coinstar, Inc........................................ 12,800 278,000
*Cold Metal Products, Inc............................. 3,500 7,437
*Coldwater Creek, Inc................................. 8,300 164,962
*Cole (Kenneth) Productions, Inc. Class A............. 5,700 171,000
*Cole National Corp. Class A.......................... 15,300 140,569
*Coleman, Inc......................................... 1,400 12,337
Collagen Corp......................................... 6,300 86,231
*Collagenex Pharmaceuticals, Inc...................... 7,700 73,992
Collins & Aikman Corp................................. 64,000 356,000
Collins Industries, Inc............................... 6,500 37,984
Colonial Gas Co....................................... 8,050 276,719
*Colorado MEDtech, Inc................................ 9,700 136,709
*Columbia Banking System, Inc......................... 9,427 157,918
*Columbia Laboratories, Inc........................... 28,700 251,125
*Columbia Sportswear Co............................... 5,100 75,225
*Columbus Energy Corp................................. 2,987 17,455
Columbus McKinnon Corp................................ 12,400 309,612
*Com21, Inc........................................... 5,000 90,312
*Comarco, Inc......................................... 3,400 67,469
*Combichem, Inc....................................... 5,000 20,625
*Comdial Corp......................................... 6,900 48,516
*Comforce Corp........................................ 13,877 46,835
*Command Systems, Inc................................. 2,000 3,312
Commercial Bancshares, Inc............................ 1,504 33,840
Commercial Bank of New York........................... 4,200 52,762
Commercial Intertech Corp............................. 11,400 172,425
Commercial Metals Co.................................. 13,400 314,062
Commercial National Financial Corp.................... 2,600 49,400
*Commodore Applied Technologies, Inc.................. 13,902 3,910
Commonwealth Bancorp, Inc............................. 14,500 235,172
Commonwealth Industries, Inc.......................... 14,400 156,150
Communications Systems, Inc........................... 8,100 106,819
Community Bank System, Inc............................ 6,100 143,350
Community Bankshares, Inc............................. 200 2,712
Community Financial Corp.............................. 1,200 11,700
Community Financial Group, Inc........................ 2,300 32,775
*Community First Brokerage Co......................... 2,000 45,937
Community Savings Bankshares, Inc..................... 7,973 99,164
Community Trust Bancorp, Inc.......................... 8,844 202,859
Community West Bancshares............................. 3,600 37,575
*Comnet Cellular, Inc................................. 20,400 408,000
*Compass International Services Corp.................. 11,000 72,531
*Compdent Corp........................................ 8,100 117,197
*Competitive Technologies, Inc........................ 4,400 32,450
*Complete Business Solutions, Inc..................... 12,000 290,625
*Comprehensive Care Corp.............................. 2,500 1,289
*Comptek Research, Inc................................ 3,200 28,000
*Compucom Systems, Inc................................ 46,900 189,066
*CompUSA, Inc......................................... 11,700 94,331
*Computer Horizons Corp............................... 19,400 355,262
*#Computer Learning Centers, Inc...................... 15,600 76,537
*Computer Motion, Inc................................. 7,300 64,787
*Computer Network Technology Corp..................... 22,100 555,262
*Computer Outsourcing Services, Inc................... 2,900 26,553
Computer Task Group, Inc.............................. 22,200 369,075
*Comshare, Inc........................................ 8,900 30,316
</TABLE>
13
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Comstock Resources, Inc.............................. 22,800 $ 92,625
*Comtech Telecommunications Corp...................... 1,000 8,781
*Concentra Managed Care, Inc.......................... 47,100 688,837
*Concord Camera Corp.................................. 9,900 51,356
*Concord Fabrics, Inc. Class A........................ 700 3,062
*Concurrent Computer Corp............................. 47,900 280,664
*Condor Technology Solutions, Inc..................... 8,700 92,981
*Conductus, Inc....................................... 4,900 9,494
*Cone Mills Corp. NC.................................. 6,100 37,744
*Congoleum Corp. Class A.............................. 3,200 27,200
*Conmed Corp.......................................... 15,075 512,079
*Connect, Inc......................................... 12,000 44,062
Connecticut Energy Corp............................... 9,200 345,575
Connecticut Water Services, Inc....................... 3,600 86,400
*Connitics Corp....................................... 15,600 109,200
*Conso Products Co.................................... 6,600 38,981
*Consolidated Delivery and Logistics, Inc............. 6,000 24,750
*Consolidated Freightways Corp........................ 20,700 275,569
*Consolidated Products, Inc........................... 23,326 431,531
Consolidated Tokoma Land Co........................... 3,100 46,887
*#Consumer Portfolio Services, Inc.................... 18,700 36,231
*#ContiFinancial Corp................................. 42,100 299,962
*Continucare Corp..................................... 12,400 5,425
*#Converse, Inc....................................... 17,300 74,606
Cooker Restaurant Corp................................ 9,200 57,500
*Cooper Companies, Inc................................ 13,400 304,012
*Cooperative Bankshares, Inc.......................... 1,400 16,362
*Copart, Inc.......................................... 26,600 478,800
*Copley Pharmaceutical, Inc........................... 17,300 168,134
*#Copytele, Inc....................................... 52,100 131,064
*Cor Therapeutics, Inc................................ 24,100 340,412
*Coram Healthcare Corp................................ 35,563 82,239
*Core Materials Corp.................................. 7,700 25,987
*Core, Inc............................................ 6,700 55,903
*Corixa Corp.......................................... 8,749 113,737
*Cornell Corrections, Inc............................. 8,600 166,625
*Corporate Express, Inc............................... 72,900 477,267
*Correctional Services Corp........................... 9,612 82,303
*Corrpro Companies, Inc............................... 6,375 63,352
*Corsair Communications, Inc.......................... 13,900 63,636
*Cort Business Services Corp.......................... 11,400 275,737
Corus Bankshares, Inc................................. 14,600 465,375
*Corvas International, Inc............................ 13,600 27,412
*Corvel Corp.......................................... 1,000 39,625
*Cosmetic Centers, Inc. Class C....................... 451 127
*Cost Plus, Inc....................................... 13,200 493,350
*Costilla Energy, Inc................................. 9,000 2,953
*Cotelligent Group, Inc............................... 12,200 163,175
Cotton States Life Insurance Co....................... 2,530 30,360
*Counsel Corp......................................... 7,100 46,594
Courier Corp.......................................... 1,200 27,450
*Covenant Transport, Inc. Class A..................... 12,600 150,806
*Coventry Health Care, Inc............................ 58,800 782,775
Covest Bancshares, Inc................................ 2,250 30,797
*Coyote Network Systems, Inc.......................... 2,172 16,290
Craftmade International, Inc.......................... 5,850 78,609
*Craig (Jenny), Inc................................... 18,600 65,100
*Craig Corp........................................... 2,400 18,150
Crawford & Co. Class A................................ 300 3,862
Crawford & Co. Class B................................ 4,700 64,625
*Creative Biomolecules, Inc........................... 32,000 102,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Creative Computers, Inc.............................. 9,100 $ 273,853
*Credence Systems Corp................................ 16,450 486,303
*Credit Acceptance Corp............................... 46,300 276,353
*#Cree Research, Inc.................................. 12,800 704,400
*Crescent Operating, Inc.............................. 9,100 50,334
*Criticare Systems, Inc............................... 7,500 16,172
Cross (A.T.) Co. Class A.............................. 13,700 85,625
Cross Timbers Oil Co.................................. 42,850 463,316
*Crossman Communities, Inc............................ 8,850 230,930
*Crown Central Petroleum Corp. Class A................ 4,300 34,937
*Crown Central Petroleum Corp. Class B................ 4,700 38,775
Crown Crafts, Inc..................................... 7,700 38,981
*#Crown Resources Corp................................ 12,400 20,731
*Crown Vantage, Inc................................... 8,500 22,312
*Crown-Andersen, Inc.................................. 1,000 5,812
*Cryolife, Inc........................................ 12,100 149,737
*Crystal Oil Co....................................... 1,200 38,850
Cubic Corp............................................ 8,000 193,000
*Cubist Pharmaceuticals, Inc.......................... 13,400 42,503
Culp, Inc............................................. 6,000 49,500
*Cunningham Graphics International, Inc............... 4,000 57,750
*CuraGen Corp......................................... 5,400 30,544
*Curative Health Services, Inc........................ 11,400 77,306
Curtiss-Wright Corp................................... 9,200 353,050
*#CustomTracks Corp................................... 13,800 826,275
*Cutter & Buck, Inc................................... 4,700 138,944
*#Cyanotech Corp...................................... 10,300 8,691
*#Cybercash, Inc...................................... 15,800 220,212
*#Cyberguard Corp..................................... 6,100 6,100
*Cyberonics, Inc...................................... 15,500 177,766
*Cyberoptics Corp..................................... 3,800 47,975
*Cybex Corp........................................... 12,475 285,755
*Cybex International, Inc............................. 8,700 47,850
*#Cygnus, Inc......................................... 18,100 207,584
*Cylink Corp.......................................... 28,300 111,873
*Cymer, Inc........................................... 28,600 522,844
*Cypros Pharmaceutical Corp........................... 15,700 35,325
*Cyrk, Inc............................................ 13,200 87,862
*Cytel Corp........................................... 4,142 7,378
*Cytrx Corp........................................... 5,400 14,091
*Cytyc Corp........................................... 15,200 313,500
*D & K Healthcare Resources, Inc...................... 3,200 75,300
*D A Consulting Group, Inc............................ 5,700 69,647
*DBT Online, Inc...................................... 16,580 596,880
*DII Group, Inc....................................... 24,900 816,253
*DM Management Co..................................... 8,500 136,797
*#DRS Technologies, Inc............................... 5,496 48,433
*DSET Corp............................................ 8,000 98,500
*DSP Communications, Inc.............................. 27,700 851,775
*DSP Group, Inc....................................... 8,400 222,862
*DSP Technology, Inc.................................. 800 7,150
DT Industries, Inc.................................... 8,100 77,709
*DVI, Inc............................................. 15,200 236,550
*Dailey International, Inc............................ 4,900 3,675
*Daily Journal Corp................................... 200 7,487
*Dairy Mart Convenience Stores, Inc. Class A.......... 1,600 6,200
*Daisytek International Corp.......................... 18,700 298,031
*Daktronics, Inc...................................... 2,600 27,625
</TABLE>
14
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dal-Tile International, Inc.......................... 52,700 $ 517,119
*Damark International, Inc. Class A................... 5,100 50,203
Dames & Moore, Inc.................................... 16,200 255,150
*Dan River, Inc. (GA) Class A......................... 22,700 208,556
Daniel Industries, Inc................................ 15,660 328,860
*Danielson Holding Corp............................... 2,000 10,625
*#Daou Systems, Inc................................... 15,900 97,387
*Darling International, Inc........................... 15,600 29,250
*Data Broadcasting Corp............................... 27,913 356,763
*#Data Dimensions, Inc................................ 11,600 45,675
*Data General Corp.................................... 30,000 393,750
*Data I/O Corp........................................ 4,900 5,589
*Data Processing Resources Corp....................... 11,500 174,297
*#Data Race, Inc...................................... 13,100 59,769
Data Research Association, Inc........................ 4,400 38,775
*Data Systems & Software, Inc......................... 5,200 15,925
*Data Systems Network Corp............................ 165 193
*#Data Transmission Network Corp...................... 10,100 233,562
*Datakey, Inc......................................... 1,000 2,625
*Datamarine International, Inc........................ 200 487
*Dataram Corp......................................... 4,000 33,250
*Datascope Corp....................................... 14,000 350,875
*Datastream Systems, Inc.............................. 15,600 188,662
*DataTRAK International, Inc.......................... 5,600 26,600
*Dataware Technologies, Inc........................... 7,400 21,275
*Datawatch Corp....................................... 4,600 6,756
*Datron Systems, Inc.................................. 2,100 12,797
*Datum, Inc........................................... 4,900 41,037
*Dave and Busters, Inc................................ 11,700 312,975
Davel Communications, Inc............................. 5,778 35,390
*Davox Corp........................................... 12,850 107,619
*Daw Technologies, Inc................................ 7,400 9,481
*Dawson Geophysical Co................................ 4,300 45,956
*Daxor Corp........................................... 3,400 42,287
*Day Runner, Inc...................................... 10,700 131,409
*Dayton Superior Corp. Class A........................ 5,100 91,481
Deb Shops, Inc........................................ 12,200 185,287
*#DecisionOne Holdings Corp........................... 2,900 8,927
*Deckers Outdoor Corp................................. 7,900 26,909
*Decora Industries, Inc............................... 300 1,931
Decorator Industries, Inc............................. 2,162 16,080
*Del Global Technologies Corp......................... 6,883 61,947
Del Laboratories, Inc................................. 16,117 244,777
*Delco Remy International, Inc........................ 2,000 21,875
*#Delia's, Inc........................................ 12,000 158,250
*#Delta Financial Corp................................ 14,800 99,900
Delta Natural Gas Co., Inc............................ 1,400 23,975
Delta Woodside Industries, Inc........................ 8,000 56,500
*Deltek Systems, Inc.................................. 16,100 147,919
Deltic Timber Corp.................................... 12,800 318,400
*Denali, Inc.......................................... 2,000 15,625
*Denamerica Corp...................................... 12,100 11,344
*Dendrite International, Inc.......................... 21,400 700,850
*Dense-Pac Microsystems, Inc.......................... 13,700 32,109
*Department 56, Inc................................... 15,800 524,362
*DepoMed, Inc......................................... 8,000 25,000
*Designs, Inc......................................... 14,800 29,137
*Detection Systems, Inc............................... 6,300 55,519
*Detrex Corp.......................................... 500 3,453
Detroit Diesel Corp................................... 25,100 622,794
*Devcon International Corp............................ 4,000 12,437
Dewolfe Companies, Inc................................ 200 1,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dexterity Surgical, Inc.............................. 1,000 $ 1,437
*Diacrin, Inc......................................... 5,700 32,953
*Diagnostic Health Services, Inc...................... 10,200 10,359
Diagnostic Products Corp.............................. 11,700 266,175
*Dialogic Corp........................................ 14,600 495,944
*Diametrics Medical, Inc.............................. 21,000 144,703
*Diamond Home Services, Inc........................... 7,300 34,219
*#Diamond Multimedia Systems, Inc..................... 33,800 149,459
*Diamond Technology Partners, Class A................. 8,200 195,262
*Dianon Systems, Inc.................................. 6,100 56,234
*Diatide, Inc......................................... 14,500 51,656
*Digene Corp.......................................... 11,300 133,834
*Digi International, Inc.............................. 17,200 142,975
*Digital Biometrics, Inc.............................. 11,700 19,378
*Digital Generation Systems, Inc...................... 21,200 125,875
*Digital Lightwave, Inc............................... 20,200 122,462
*Digital Link Corp.................................... 8,900 65,498
*Digital Microwave Corp............................... 61,700 775,106
*Digital Power Corp................................... 1,000 1,500
Dime Community Bancorp, Inc........................... 11,200 248,150
Dimon, Inc............................................ 46,700 245,175
*Diodes, Inc.......................................... 5,400 24,975
*Directrix, Inc....................................... 813 6,453
*Discount Auto Parts, Inc............................. 14,900 368,775
*Diversified Corporate Resources, Inc................. 2,200 13,200
Dixie Group, Inc...................................... 9,400 85,187
*Dixon Ticonderoga Co................................. 1,900 22,800
*#Documentum, Inc..................................... 19,200 268,800
*Dollar Thrifty Automotive Group, Inc................. 18,700 397,375
*Dominion Homes, Inc.................................. 5,700 44,887
Donegal Group, Inc.................................... 3,200 36,000
*Donna Karan International, Inc....................... 19,400 198,850
Donnelly Corp. Class A................................ 5,875 96,203
*Donnkenny, Inc....................................... 11,300 11,830
*Dorsey Trailers, Inc................................. 3,000 6,937
Dover Downs Entertainment, Inc........................ 2,000 38,125
Downey Financial Corp................................. 21,976 483,472
*Dress Barn, Inc...................................... 20,800 306,150
*Drew Industries, Inc................................. 9,400 120,437
*Drexler Technology Corp.............................. 9,800 90,956
Dreyer's Grand Ice Cream, Inc......................... 27,200 451,350
*Dril-Quip, Inc....................................... 10,500 271,031
*Drug Emporium, Inc................................... 12,200 123,525
*Drypers Corp......................................... 2,500 8,203
*DuPont Photomasks, Inc............................... 13,700 533,444
*DualStar Technologies Corp........................... 7,200 44,212
*Duane Reade, Inc..................................... 2,000 63,750
*Duckwall-Alco Stores, Inc............................ 4,600 47,725
*Ducommun, Inc........................................ 9,500 108,656
Duff & Phelps Credit Rating Co........................ 3,200 197,000
*Dunn Computer Corp................................... 9,400 19,828
*Dura Automotive Systems, Inc......................... 11,294 334,585
*Dura Pharmaceuticals, Inc............................ 35,300 365,134
*Durakon Industries, Inc.............................. 5,200 65,000
*#Duramed Pharmaceuticals, Inc........................ 16,100 236,469
*Dwyer Group, Inc..................................... 4,100 8,072
Dyersburg Corp........................................ 12,000 16,500
*Dynamic Healthcare Technologies, Inc................. 13,700 33,822
*Dynamic Materials Corp............................... 2,000 9,750
*Dynamics Research Corp............................... 5,477 27,727
</TABLE>
15
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dynatech Corp........................................ 5,100 $ 17,292
E'town Corp........................................... 6,500 278,281
*E-Z-Em, Inc. Class A................................. 2,000 10,125
*E-Z-Em, Inc. Class B................................. 4,462 22,310
*E. Spire Communications, Inc......................... 48,600 554,344
*E4L, Inc............................................. 27,511 171,946
*EA Engineering Science & Technology, Inc............. 5,625 5,625
*ECC International Corp............................... 7,300 22,812
*ECCS, Inc............................................ 1,700 3,427
*EFI Electronics Corp................................. 800 762
*EFTC Corp............................................ 13,700 84,341
*EIS International, Inc............................... 9,100 30,428
*ELXSI Corp........................................... 1,800 19,462
EMC Insurance Group, Inc.............................. 10,300 117,806
*EMCORE Corp.......................................... 2,200 48,537
*EMS Technologies, Inc................................ 9,000 122,062
*ESCO Electronics Corp. Trust Receipts................ 10,100 121,831
*ESSEF Corp........................................... 8,518 168,230
Eagle Bancshares, Inc................................. 4,600 86,681
*Eagle Food Centers, Inc.............................. 10,300 25,106
*Eagle Geophysical, Inc............................... 9,011 29,993
*Eagle Point Software Corp............................ 4,500 29,250
*Eagle USA Airfreight, Inc............................ 18,300 863,531
Easco, Inc............................................ 8,200 60,987
*East/West Communications, Inc........................ 2,200 14,162
Eastern Co............................................ 3,300 86,212
Eastern Utilities Associates.......................... 18,100 522,637
*Eateries, Inc........................................ 2,800 10,850
*Echelon International Corp........................... 2,100 48,300
*#Eclipse Surgical Technologies, Inc.................. 20,000 178,750
*Eclipsys Corp........................................ 9,870 224,851
*Eco Soil Systems, Inc................................ 17,200 87,612
*Ecogen, Inc.......................................... 7,240 24,209
Ecology & Environment, Inc. Class A................... 2,000 14,000
*Edac Technologies Corp............................... 3,500 14,656
*Edelbrock Corp....................................... 3,600 55,687
*Edify Corp........................................... 15,000 179,062
*Edison Control Corp.................................. 1,000 9,500
Edo Corp.............................................. 5,300 36,437
*Education Management Corp............................ 24,500 438,703
Educational Development Corp.......................... 1,800 4,612
*Educational Insights, Inc............................ 2,700 5,231
*EduTrek International, Inc........................... 3,900 20,109
*Effective Management Systems, Inc.................... 1,400 2,450
*Egghead, Inc......................................... 24,300 268,059
*#Einstein/Noah Bagel Corp............................ 30,700 33,098
*Ekco Group, Inc...................................... 17,400 82,650
*El Paso Electric Co.................................. 69,300 593,381
*Elantec Semiconductor, Inc........................... 8,300 78,980
*Elcom International, Inc............................. 24,700 140,867
Elcor Corp............................................ 13,450 543,044
*Elcotel, Inc......................................... 12,000 25,875
*Electric Fuel Corp................................... 12,200 23,256
*Electric Lightwave, Inc.............................. 7,000 83,125
*Electro Rent Corp.................................... 22,700 285,878
*Electro Scientific Industries, Inc................... 10,000 375,937
*Electroglas, Inc..................................... 17,700 252,225
*Electronic Processing, Inc........................... 4,200 39,375
*Electronic Retailing System International, Inc....... 2,300 3,019
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Ellett Brothers, Inc.................................. 4,000 $ 22,062
*Eltrax System, Inc................................... 5,545 22,876
*Embrex, Inc.......................................... 6,500 44,281
*Emcee Broadcast Products, Inc........................ 2,000 4,031
*Emcon................................................ 7,900 51,844
*Emcor Group, Inc..................................... 9,700 219,159
*#Emeritus Corp....................................... 12,500 137,500
*Emisphere Technologies, Inc.......................... 9,900 92,194
*Emmis Broadcasting Corp. Class A..................... 11,800 549,437
*Empi, Inc............................................ 5,400 132,637
Empire District Electric Co........................... 14,900 385,537
Empire Federal Bancorp, Inc........................... 2,000 23,125
*Employee Solutions, Inc. Class B..................... 31,800 38,756
*Emulex Corp.......................................... 5,550 437,756
*En Pointe Technologies, Inc.......................... 5,300 36,106
*#Enamelon, Inc....................................... 9,100 30,002
*Encad, Inc........................................... 10,400 61,912
*#Encore Med Corp..................................... 5,000 14,062
*Encore Wire Corp..................................... 12,925 124,807
*Endocardial Solutions, Inc........................... 10,100 90,269
*Endosonics Corp...................................... 16,700 114,812
Energen Corp.......................................... 29,200 558,450
*#Energy Biosystems Corp.............................. 1,014 2,788
*Energy Conversion Devices, Inc....................... 11,400 99,394
*Energy Research Corp................................. 3,700 46,250
Energy West, Inc...................................... 200 1,737
Energynorth, Inc...................................... 3,000 83,625
Energysouth, Inc...................................... 3,000 58,875
Enesco Group, Inc..................................... 14,700 337,181
Engineered Support Systems, Inc....................... 5,500 74,078
*#Engineering Animation, Inc.......................... 10,400 235,950
*Engineering Measurements Co.......................... 1,250 5,625
Engle Homes, Inc...................................... 11,200 152,250
*Enlighten Software Solutions, Inc.................... 1,600 4,800
Ennis Business Forms, Inc............................. 14,000 120,750
*Enserch Exploration Corp............................. 31,900 217,319
*Enstar, Inc.......................................... 1,300 12,431
*Enterprise Software, Inc............................. 4,225 33,536
*#Entremed, Inc....................................... 11,200 290,850
*Envirogen, Inc....................................... 616 808
*Environmental Elements Corp.......................... 5,300 18,881
*Environmental Technologies Corp...................... 3,700 4,972
*Environmental Tectonics Corp......................... 5,600 66,500
*Enzo Biochem, Inc.................................... 23,840 256,280
*Enzon, Inc........................................... 35,400 513,300
*Epicor Software Corp................................. 35,642 252,836
*Epitope, Inc......................................... 12,200 72,819
*#Epl Technologies, Inc............................... 10,300 38,786
*#Equimed, Inc........................................ 2,250 139
*Equinox Systems, Inc................................. 4,150 36,183
*Equitex, Inc......................................... 1,200 16,537
*Equitrac Corp........................................ 1,300 23,075
*Equity Marketing, Inc................................ 5,600 58,450
*Equity Oil Co........................................ 10,200 12,112
*Ergo Science Corp.................................... 12,800 19,400
Eskimo Pie Corp....................................... 3,100 26,641
Espey Manufacturing & Electronics Corp................ 400 4,900
*Ess Technology, Inc.................................. 41,100 321,094
*Esterline Technologies Corp.......................... 15,600 233,025
*Etec Systems, Inc.................................... 10,400 279,175
Ethyl Corp............................................ 89,500 447,500
</TABLE>
16
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Evans & Sutherland Computer Corp..................... 8,000 $ 126,250
*#Evans Systems, Inc.................................. 3,550 24,628
*Evans, Inc........................................... 250 359
*Evercel, Inc......................................... 833 4,764
*Evergreen Resources, Inc............................. 9,400 208,269
*Exabyte Corp......................................... 20,200 111,731
*Exactech, Inc........................................ 4,900 54,819
*Exar Corp............................................ 8,400 175,875
*#Excalibur Technologies Corp......................... 12,500 176,562
*Excel Technology, Inc................................ 10,100 124,672
*Executive Telecard, Ltd.............................. 16,200 52,144
*Executone Information Systems, Inc................... 39,900 220,073
Exide Corp............................................ 19,200 300,000
*Exogen, Inc.......................................... 9,400 21,737
*Expert Software, Inc................................. 5,500 13,836
*Exponent, Inc........................................ 4,300 31,041
*Extended Systems, Inc................................ 5,000 23,516
Ezcorp, Inc. Class A Non-Voting....................... 9,300 68,878
F & M Bancorp (MD).................................... 5,869 185,607
F & M Bancorporation, Inc............................. 3,751 138,201
F & M National Corp................................... 19,000 568,812
FBL Financial Group, Inc. Class A..................... 7,500 150,469
FCB Financial Corp.................................... 3,500 105,656
FCNB Corp............................................. 8,077 156,744
*FEI Co............................................... 16,100 133,831
FFLC Bancorp.......................................... 2,500 45,469
FFY Financial Corp.................................... 5,000 91,875
*FIRSTFED AMERICA BANCORP, INC........................ 3,900 55,087
*FLIR Systems, Inc.................................... 11,500 154,891
FNB Rochester Corp.................................... 2,500 82,266
*FPIC Insurance Group, Inc............................ 8,300 372,981
*FRP Properties, Inc.................................. 2,500 62,500
FSF Financial Corp.................................... 1,800 25,537
*FSI International, Inc............................... 23,100 187,687
*FTI Consulting, Inc.................................. 3,900 16,575
*FYI, Inc............................................. 12,200 337,787
Fab Industries, Inc................................... 4,500 70,312
*Factory Card Outlet Corp............................. 6,600 7,528
Factset Research Systems, Inc......................... 6,450 278,962
Fair, Isaac & Co., Inc................................ 12,500 409,375
*Fairchild Corp. Class A.............................. 35,152 525,083
*Fairfield Communities, Inc........................... 47,000 746,125
Falcon Products, Inc.................................. 7,500 81,094
*#Family Golf Centers, Inc............................ 25,550 231,148
*Fansteel, Inc........................................ 5,700 32,062
*Farm Family Holdings, Inc............................ 3,100 106,950
Farmer Brothers Co.................................... 1,500 309,000
*Farr Co.............................................. 6,225 66,919
Farrel Corp........................................... 3,400 7,650
*Faxsav, Inc.......................................... 12,000 69,375
*Featherlite Manufacturing, Inc....................... 5,400 35,269
Fedders Corp.......................................... 17,000 96,687
Fedders Corp. Class A................................. 7,700 42,350
Federal Screw Works................................... 1,800 86,400
*#Female Health Co.................................... 9,300 10,172
*Ferrofluidics Corp................................... 4,331 17,527
*Fibermark, Inc....................................... 6,100 87,306
*Fiberstars, Inc...................................... 3,200 13,900
Fidelity Bancorp, Inc. Delaware....................... 1,300 30,306
Fidelity Federal Bancorp.............................. 2,500 7,500
Fidelity Financial of Ohio, Inc....................... 3,900 47,409
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fidelity National Financial, Inc...................... 17,400 $ 294,712
*Filenes Basement Corp................................ 20,900 34,616
*Filenet Corp......................................... 31,500 310,078
*Financial Federal Corp............................... 13,325 298,147
*Finish Line, Inc. Class A............................ 18,900 231,525
*Finishmaster, Inc.................................... 800 4,500
*Finlay Enterprises, Inc.............................. 2,000 27,687
*Firearms Training Systems, Inc....................... 18,600 18,019
First Albany Companies, Inc........................... 2,520 46,000
First American Financial Corp......................... 2,412 39,647
*First American Health Concepts, Inc.................. 1,100 4,125
First Bancorp......................................... 400 10,100
First Bell Bancorp, Inc............................... 4,600 89,412
*First Cash, Inc...................................... 6,000 62,062
First Charter Corp.................................... 15,480 374,906
First Commonwealth Financial Corp..................... 23,480 528,300
*First Consulting Group, Inc.......................... 15,544 176,327
First Defiance Financial Corp......................... 6,959 82,638
First Essex Bancorp................................... 6,800 113,475
First Federal Bancshares of Arkansas, Inc............. 3,400 63,112
First Federal Capital Corp............................ 18,500 269,406
First Federal Savings & Loan Association of East
Hartford, CT........................................ 2,000 49,125
First Financial Bancorp............................... 6,856 160,259
First Financial Bankshares, Inc....................... 5,513 171,764
First Financial Holdings, Inc......................... 12,200 231,800
First Franklin Corp................................... 300 4,650
First Georgia Holdings, Inc........................... 1,012 5,819
First Indiana Corp.................................... 10,657 203,815
*First Investors Financial Services Group, Inc........ 5,000 30,937
First Keystone Financial, Inc......................... 1,000 13,062
First Liberty Financial Corp.......................... 13,450 387,528
First Mariner Bank Corp............................... 3,100 36,425
First Merchants Corp.................................. 10,050 237,431
First Midwest Financial, Inc.......................... 1,400 20,519
First Mutual Savings Bank............................. 3,768 44,509
First Northern Capital Corp........................... 7,700 83,978
First Oak Brook Bancshares, Inc. Class A.............. 1,400 27,212
First Philson Financial Corp.......................... 1,200 50,100
*First Republic Bank.................................. 7,000 182,875
First Savings Bancorp, Inc. North Carolina............ 2,400 47,250
*First SecurityFed Financial, Inc..................... 4,300 51,466
*First Sierra Financial, Inc.......................... 11,200 247,450
First Source Corp..................................... 15,165 486,702
*#First Team Sports, Inc.............................. 2,900 7,612
First Washington Bancorp, Inc......................... 10,560 212,520
First Western Bancorp, Inc............................ 10,025 349,935
First Years, Inc...................................... 9,300 151,416
*FirstFed Financial Corp. DE.......................... 19,100 360,512
*#Firstplus Financial, Inc............................ 24,000 12,000
Firstspartan Financial Corp........................... 3,400 97,750
*Firstwave Technologies, Inc.......................... 3,600 7,425
*Fischer Imaging Corp................................. 7,000 11,922
*Fisher Scientific, International, Inc................ 19,700 398,925
Flag Financial Corp................................... 4,700 46,706
*Flagstar Bancorp, Inc................................ 400 9,375
Flamemaster Corp...................................... 247 1,590
*Flander Corp......................................... 23,100 87,347
</TABLE>
17
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fleming Companies, Inc................................ 7,500 $ 77,344
Flexsteel Industries, Inc............................. 6,200 84,862
*Florida Panthers Holdings, Inc. Class A.............. 36,900 401,287
Florida Public Utilities Co........................... 2,400 39,600
Florida Rock Industries, Inc.......................... 18,900 753,637
*Florsheim Group, Inc................................. 8,400 62,475
*Flow International Corp.............................. 13,800 138,431
Flowserve Corp........................................ 15,900 325,950
Flushing Financial Corp............................... 10,500 155,531
*Foamex International, Inc............................ 20,500 123,961
*Foilmark, Inc........................................ 4,375 9,707
*Foodarama Supermarkets, Inc.......................... 600 16,725
Foothill Independent Bancorp.......................... 3,389 45,751
*Forcenergy, Inc...................................... 24,716 26,647
Foremost Corp. of America............................. 24,700 548,031
Forest City Enterprises, Inc. Class A................. 7,400 204,887
Forest City Enterprises, Inc. Class B................. 3,900 109,200
*Forest Oil Corp...................................... 40,540 428,204
*Forrester Resh, Inc.................................. 7,700 247,362
*Forte Software, Inc.................................. 17,700 100,116
*Fortune Natural Resources Corp....................... 6,100 3,050
*Forward Air Corp., Inc............................... 10,100 275,541
*Fossil, Inc.......................................... 18,800 789,012
Foster Wheeler Corp................................... 32,600 448,250
*Fotoball USA, Inc.................................... 900 5,147
*Fountain Powerboat Industries, Inc................... 3,800 15,259
*Four Kids Entertainment, Inc......................... 3,150 65,559
*Four Media Co........................................ 8,900 59,519
*Fourth Shift Corp.................................... 8,900 31,984
Frankfort First Bancorp, Inc.......................... 850 12,670
Franklin Bank National Associaton Southfield, MI...... 2,789 30,330
*Franklin Covey Co.................................... 16,300 158,925
Franklin Electric Co., Inc............................ 3,200 199,300
*Franklin Electronic Publishers, Inc.................. 6,500 34,125
Freds, Inc. Class A................................... 9,500 124,094
Freedom Securities Corp............................... 15,100 262,362
*#French Fragrances, Inc.............................. 12,300 93,595
Frequency Electronics, Inc............................ 6,250 54,297
*Fresh America Corp................................... 4,800 68,100
*Fresh Choice, Inc.................................... 3,900 9,141
*Fresh Foods, Inc..................................... 3,500 22,641
*Friede Goldman International......................... 24,500 416,500
*#Friedman Billings Ramsey Group, Inc. Class A........ 12,100 126,294
Friedmans, Inc. Class A............................... 13,100 118,719
Frisch's Restaurants, Inc............................. 4,383 44,926
*Fritz Companies, Inc................................. 36,300 394,762
Frontier Adjusters of America, Inc.................... 1,000 2,750
Frontier Insurance Group, Inc......................... 36,990 635,766
*Frontier Oil Corp.................................... 35,100 177,694
Frozen Food Express Industries, Inc................... 15,207 106,449
*#Fuisz Technologies, Ltd............................. 20,000 77,500
Fuller (H.B.) Co...................................... 12,600 804,037
*Funco, Inc........................................... 4,200 91,612
Furon Co.............................................. 18,300 333,975
*Fusion Medical Technologies, Inc..................... 6,400 49,800
G & K Services, Inc. Class A.......................... 5,800 274,050
*G-III Apparel Group, Ltd............................. 5,200 11,131
GA Financial, Inc..................................... 5,700 84,787
GBC Bancorp........................................... 12,700 231,775
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*GC Companies, Inc.................................... 6,900 $ 249,262
*#GK Intelligent Systems, Inc......................... 14,000 8,750
*GP Strategies Corp................................... 9,580 95,800
*GRC International, Inc............................... 9,100 70,525
*GSI Lumonics, Inc.................................... 15,221 69,921
*GT Interactive Software Corp......................... 70,400 279,400
*GTS Duratek, Inc..................................... 14,100 87,684
*GZA Geoenvironmental Technologies, Inc............... 1,700 7,544
*Gadzooks, Inc........................................ 8,200 78,669
Gainsco, Inc.......................................... 18,800 85,775
*Galey & Lord, Inc.................................... 10,600 43,725
*Galileo Corp......................................... 7,200 39,150
*GameTech International, Inc.......................... 900 3,741
*Gantos, Inc.......................................... 4,550 4,123
Garan, Inc............................................ 4,142 119,082
*Garden Fresh Restaurant Corp......................... 5,000 92,031
*Garden Ridge Corp.................................... 16,300 99,328
*#Gardenburger, Inc................................... 8,700 71,231
*Gardner Denver Machinery, Inc........................ 14,500 248,312
*Gart Sports Co....................................... 676 4,605
*Gasonics International, Inc.......................... 12,150 147,698
*Gaylord Container Corp. Class A...................... 56,600 474,025
*Geerling & Wade, Inc................................. 2,600 14,787
*Gehl Co.............................................. 4,500 92,672
*#Geltex Pharmaceuticals, Inc......................... 15,000 255,000
Gencor Industries, Inc................................ 5,100 32,194
*Gene Logic, Inc...................................... 2,196 9,402
*Genelabs Technologies, Inc........................... 41,900 77,908
General Binding Corp.................................. 13,300 273,481
General Cable Corp.................................... 18,000 273,375
General Chemical Group, Inc........................... 11,000 46,750
*General Cigar Holdings, Inc. Class A................. 12,200 97,600
*General Cigar Holdings, Inc. Class B................. 9,780 78,240
*General Communications, Inc. Class A................. 45,100 224,091
*#General Datacomm Industries, Inc.................... 19,400 53,350
General Employment Enterprises, Inc................... 2,895 13,389
General Housewares Corp............................... 3,700 46,250
*#General Magic, Inc.................................. 31,900 118,628
General Magnaplate Corp............................... 400 1,600
*General Semiconductor, Inc........................... 34,100 264,275
*General Surgical Innovations, Inc.................... 12,200 47,275
*Genesco, Inc......................................... 26,000 347,750
Genesee Corp. Class B................................. 200 4,587
*Genesis Direct, Inc.................................. 6,000 21,562
*Genesis Health Ventures, Inc......................... 24,000 106,500
*Genesys Telecommunications Laboratories, Inc......... 15,300 352,856
*#Geneva Steel Co. Class A............................ 11,900 4,462
*Genicom Corp......................................... 11,600 21,387
*Genlyte Group, Inc................................... 12,100 259,772
*Genome Therapeutics Corp............................. 16,900 55,453
*Genrad, Inc.......................................... 28,900 527,425
*Gensia Sicor, Inc.................................... 96,400 427,775
*Gensym Corp.......................................... 5,300 20,372
*Gentek, Inc.......................................... 11,000 143,000
*#Genzyme Transgenics Corp............................ 16,400 74,825
Geon Co............................................... 21,000 632,625
Georgia Gulf Corp..................................... 28,500 425,719
*Geoscience Corp...................................... 3,800 25,412
*Geotel Communications Corp........................... 1,800 99,956
</TABLE>
18
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Geoworks............................................. 16,100 $ 38,741
*Gerber Childrenswear, Inc............................ 10,000 67,500
Gerber Scientific, Inc................................ 29,600 691,900
*Geron Corp........................................... 13,400 159,962
*Getty Petroleum Marketing, Inc....................... 12,100 37,812
Getty Realty Corp. (Holding Co.)...................... 13,600 186,150
*Giant Cement Holding, Inc............................ 7,900 175,034
*Giant Group, Ltd..................................... 2,200 15,400
Giant Industries, Inc................................. 10,800 114,075
*Gibraltar Packaging Group, Inc....................... 3,000 3,750
Gibraltar Steel Corp.................................. 11,100 242,812
*Gibson Greetings, Inc................................ 14,800 108,225
*Giga-Tronics, Inc.................................... 1,600 3,450
*Gilman & Ciocia, Inc................................. 6,400 63,000
*Gish Biomedical, Inc................................. 2,400 6,975
Glacier Bancorp, Inc.................................. 2,798 57,192
*Glacier Water Services, Inc.......................... 1,200 23,700
Glatfelter (P.H.) Co.................................. 15,600 207,675
Gleason Corp.......................................... 9,200 154,100
*Glenayre Technologies, Inc........................... 62,000 222,812
*Gliatech, Inc........................................ 8,900 229,175
*Global Industrial Technologies, Inc.................. 18,800 233,825
*Global Payment Technologies, Inc..................... 4,400 54,175
*Globe Business Resources, Inc........................ 2,700 31,725
*Globecomm Systems, Inc............................... 1,800 16,256
Gold Banc Corp........................................ 9,600 131,100
*#Golden Books Family Entertainment, Inc.............. 24,600 8,487
Golden Enterprises, Inc............................... 11,000 42,969
*Good Guys, Inc....................................... 12,700 39,886
*Goodys Family Clothing............................... 33,300 364,219
Gorman-Rupp Co........................................ 6,775 109,670
*Gottschalks, Inc..................................... 10,700 88,275
*Government Technology Services, Inc.................. 6,900 26,522
Graco, Inc............................................ 18,100 591,644
*Gradall Industries, Inc.............................. 8,600 169,581
*Gradco Systems, Inc.................................. 5,875 14,504
*Graham Corp.......................................... 1,000 8,812
*Graham-Field Health Products, Inc.................... 31,360 70,560
Grand Premier Financial, Inc.......................... 19,801 234,518
Granite Construction, Inc............................. 700 19,644
Granite State Bankshares, Inc......................... 5,300 116,269
Gray Communications Systems, Inc...................... 5,400 85,387
*Great Plains Software................................ 12,200 459,406
Great Southern Bancorp, Inc........................... 4,200 101,719
*Great Train Store Co., Inc........................... 2,600 3,412
Greater Bay Bancorp................................... 7,358 235,916
*Green Mountain Coffee, Inc........................... 3,100 24,219
Green Mountain Power Corp............................. 4,800 49,800
Green Star Financial Corp............................. 3,900 46,069
*Greenbriar Corp...................................... 6,760 13,942
Greenbrier Companies, Inc............................. 12,700 118,269
Grey Advertising, Inc................................. 200 59,800
*Grey Wolf, Inc....................................... 82,500 170,156
*Griffin Land & Nurseries, Inc. Class A............... 2,200 24,750
*Griffon Corp......................................... 24,000 192,000
*Gristede's Sloans, Inc............................... 1,200 2,475
*Group 1 Software, Inc................................ 5,350 54,837
*Grow Biz International, Inc.......................... 3,800 31,587
*Grubb & Ellis Co..................................... 500 3,187
Guarantee Life Companies, Inc......................... 7,400 146,612
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Guaranty Federal Bancshares, Inc..................... 5,200 $ 60,612
*Guess, Inc........................................... 42,950 467,081
*Guest Supply, Inc.................................... 5,700 60,206
Guilford Mills, Inc................................... 23,250 232,500
*Guilford Pharmaceuticals, Inc........................ 22,500 241,875
*Gulf Island Fabrication, Inc......................... 10,500 113,859
*Gulfmark Offshore, Inc............................... 7,300 119,081
*#Gumtech International, Inc.......................... 5,500 55,344
*Gundle/SLT Environmental, Inc........................ 13,700 54,800
*Gymboree Corp........................................ 23,200 283,475
*HCIA, Inc............................................ 10,700 91,953
*HD Vest, Inc......................................... 2,200 12,925
*HEI, Inc............................................. 2,000 9,000
*HF Bancorp, Inc...................................... 5,000 90,469
HF Financial Corp..................................... 3,300 49,087
*HIE, Inc............................................. 32,500 75,156
*#HMI Industries, Inc................................. 5,400 10,125
HMN Financial, Inc.................................... 4,300 54,287
*HMT Technology Corp.................................. 43,700 176,848
*HNC Software, Inc.................................... 14,000 375,375
*#HORIZON Pharmacies, Inc............................. 5,000 30,000
*HPSC, Inc............................................ 2,100 19,819
*HS Resources, Inc.................................... 16,700 200,400
*HTE, Inc............................................. 13,100 60,997
*Ha-Lo Industries, Inc................................ 34,000 410,125
Hach Co............................................... 7,425 130,402
Hach Co. Class A...................................... 5,725 98,041
*Hadco Corp........................................... 11,900 369,644
*Haemonetics Corp..................................... 26,700 507,300
Haggar Corp........................................... 6,800 86,275
*Hagler Bailly, Inc................................... 14,600 119,309
*Hahn Automotive Warehouse, Inc....................... 2,163 1,757
*Hain Food Group, Inc................................. 11,500 224,969
Halifax Corp.......................................... 1,000 4,000
*Hall Kinion Associates, Inc.......................... 7,700 56,306
*Hallmark Capital Corp................................ 2,100 24,937
*#Halsey Drug Co., Inc................................ 12,200 32,787
*Halter Marine Group, Inc............................. 28,900 213,137
*Hamilton Bancorp, Inc................................ 9,000 205,031
*Hammons (John Q.) Hotels, Inc. Class A............... 4,800 20,400
*Hampshire Group, Ltd................................. 1,400 15,969
*Hampton Industries, Inc.............................. 4,444 19,720
Hancock Fabrics, Inc.................................. 20,100 114,319
Hancock Holding Co.................................... 7,005 309,971
*Handleman Co......................................... 29,600 349,650
*Hanger Orthopedic Group, Inc......................... 16,400 268,550
*Hanover Direct, Inc.................................. 157,600 403,850
*Harbinger Corp....................................... 41,300 458,172
Harbor Federal Bancorp, Inc........................... 770 12,176
Harbor Florida Bancshares, Inc........................ 27,800 332,731
*Harding Lawson Associates Group, Inc................. 5,000 42,187
Hardinge Brothers, Inc................................ 8,850 154,045
*Harken Energy Corp................................... 110,500 214,094
Harland (John H.) Co.................................. 31,000 554,125
Harleysville Group, Inc............................... 26,100 505,687
Harleysville National Corp. PA........................ 5,335 186,892
Harman International Industries, Inc.................. 4,000 177,500
Harmon Industries, Inc................................ 9,450 196,678
*Harmonic Lightwaves, Inc............................. 11,700 576,956
Harnischfeger Industries, Inc......................... 37,800 271,687
</TABLE>
19
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Harolds Stores, Inc.................................. 2,308 $ 15,002
Harris Financial, Inc................................. 30,600 344,250
*Harry's Farmers Market, Inc. Class A................. 2,100 1,903
*Hartmarx Corp........................................ 44,900 221,694
*Harvey Entertainment Co.............................. 3,800 24,225
*Hastings Entertainment, Inc.......................... 5,000 57,187
Hastings Manufacturing Co............................. 700 9,712
*Hathaway Corp........................................ 2,900 4,894
*#Hauppauge Digital, Inc.............................. 3,000 71,437
*Hauser, Inc.......................................... 9,400 23,206
Haven Bancorp, Inc.................................... 8,000 112,000
Haverty Furniture Co., Inc............................ 8,100 238,950
Haverty Furniture Co., Inc. Class A................... 200 5,850
*Hawaii Land & Farming Co., Inc....................... 1,800 562
*Hawaiian Airlines, Inc............................... 29,700 81,675
*Hawker Pacific Aerospace............................. 5,000 13,437
Hawkins Chemical, Inc................................. 9,245 82,338
*Hawthorne Financial Corp............................. 3,900 61,547
*#Hayes Corp.......................................... 100 4
*Hayes Lemmerz International, Inc..................... 3,100 102,300
*Headway Corporate Resources, Inc..................... 7,700 35,372
*Health Management Systems, Inc....................... 15,800 89,862
*Health Power, Inc.................................... 1,900 5,106
*Health Risk Management, Inc.......................... 4,100 42,281
*Health Systems Design Corp........................... 5,100 22,312
*Healthcare Recoveries, Inc........................... 14,600 60,453
*Healthcare Services Group, Inc....................... 8,250 75,797
*Healthcor Holdings................................... 3,000 750
Healthplan Services Corp.............................. 14,700 130,462
*Healthworld Corp..................................... 4,000 52,750
*Heartland Express, Inc............................... 29,976 459,944
*Heartport, Inc....................................... 29,200 93,075
*Hecla Mining Co...................................... 51,300 125,044
*Hector Communications Corp........................... 1,200 11,250
Heico Corp............................................ 8,115 203,382
Heico Corp. Class A................................... 2,507 58,914
Heilig-Meyers Co...................................... 59,750 414,516
*Heist (C.H.) Corp.................................... 2,100 13,912
Helix Technology Corp................................. 29,600 504,125
*Hello Direct, Inc.................................... 5,000 56,719
*Hemasure, Inc........................................ 6,600 25,987
*#Hemispherx Biopharma, Inc........................... 5,400 40,162
Henry Jack & Associates, Inc.......................... 13,698 489,275
Herbalife International, Inc. Class A................. 8,800 99,275
Herbalife International, Inc. Class B................. 12,200 114,375
Heritage Financial Corp............................... 7,000 57,531
*Heska Corp........................................... 21,300 82,537
*Hexcel Corp.......................................... 36,300 387,956
*Hi-Shear Industries, Inc............................. 500 1,289
*Hi-Shear Technology Corp............................. 5,300 27,494
*Hi-Tech Pharmacal, Inc............................... 3,100 12,981
*Hi/Fn, Inc........................................... 5,449 315,191
*#Hibbett Sporting Goods, Inc......................... 5,800 143,912
*High Plains Corp..................................... 14,800 30,987
*Highlands Insurance Group, Inc....................... 12,900 137,869
*#Highway Master Communications, Inc.................. 22,300 34,147
Hilb Rogal Hamilton Co................................ 11,500 234,312
Hilite Industries, Inc................................ 1,900 27,016
*Hirsch International Corp. Class A................... 5,500 12,203
*Hoenig Group, Inc.................................... 6,400 58,800
*Holiday RV Superstores, Inc.......................... 3,000 10,781
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Holly Corp............................................ 5,100 $ 65,025
*Hollywood Casino Corp. Class A....................... 18,600 30,806
*Hollywood Entertainment Corp......................... 10,300 266,512
*Hollywood Park, Inc.................................. 23,700 342,169
*Hologic, Inc......................................... 12,000 91,500
*Holophane Corp....................................... 9,850 269,644
*Holt's Cigar Holdings, Inc........................... 1,100 5,019
Home Bancorp.......................................... 1,700 46,962
Home Federal Bancorp.................................. 2,025 52,777
Home Port Bancorp, Inc................................ 600 14,775
*Home Products International, Inc..................... 7,200 60,525
*Homebase, Inc........................................ 35,050 199,347
*#Homegold Financial, Inc............................. 7,700 12,031
*Homestead Village, Inc............................... 34,400 101,050
Hooper Holmes, Inc.................................... 25,200 456,750
Horizon Financial Corp................................ 6,753 93,065
*Hospitality Worldwide Services, Inc.................. 12,100 42,350
*Host Marriott Services Corp.......................... 31,500 246,094
*Hot Topic, Inc....................................... 4,400 106,562
*Houston Exploration Co............................... 22,100 415,756
*Hovnanian Enterprises, Inc. Class A.................. 11,300 91,812
*Hovnanian Enterprises, Inc. Class B.................. 1,150 9,344
#Howell Corp.......................................... 2,100 8,794
*Howtek, Inc.......................................... 3,600 3,881
*Hub Group, Inc. Class A.............................. 5,200 144,625
*Hudson Hotels Corp................................... 3,100 4,262
*Hudson Technologies, Inc............................. 4,600 13,225
Huffy Corp............................................ 11,200 150,500
Hughes Supply, Inc.................................... 21,700 584,544
Hunt (J.B.) Transport Services, Inc................... 8,600 145,662
Hunt Corp............................................. 10,200 102,637
Huntco, Inc. Class A.................................. 4,900 14,087
*Hurco Companies, Inc................................. 5,900 37,981
*Hutchinson Technology, Inc........................... 19,700 457,409
*#Hvide Marine, Inc. Class A.......................... 7,000 12,797
*Hycor Biomedical, Inc................................ 5,600 8,750
*Hypercom Corp........................................ 11,000 77,687
*Hyperion Solutions Corp.............................. 29,935 466,799
*Hyseq, Inc........................................... 11,500 38,094
*I-Stat Corp.......................................... 12,200 111,325
*IA Corp. I........................................... 2,000 3,969
*ICF Kaiser International, Inc........................ 17,900 8,950
*ICOS Corp............................................ 14,700 643,584
*ICT Group, Inc....................................... 10,400 53,625
*ICU Medical, Inc..................................... 6,400 114,800
*IDT Corp............................................. 23,200 512,575
*IDX Systems Corp..................................... 20,800 497,250
*IEC Electronics Corp................................. 6,700 24,287
*IFR Systems, Inc..................................... 7,200 28,350
*#IGEN, Inc........................................... 13,700 394,731
*IGI, Inc............................................. 6,200 10,462
*IHOP Corp............................................ 19,800 473,962
*II-VI, Inc........................................... 6,200 55,994
*IMC Mortgage Co...................................... 28,700 3,803
IMCO Recycling, Inc................................... 15,400 257,950
*IMR Global Corp...................................... 26,300 552,300
*IOMED, Inc........................................... 5,200 11,050
ISB Financial Corp. LA................................ 5,400 115,088
*ISOCOR............................................... 11,800 73,381
*IT Group, Inc ....................................... 28,080 472,095
*ITC Learning Corp.................................... 2,800 12,775
*ITEQ, Inc............................................ 25,354 53,085
</TABLE>
20
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*ITI Technologies, Inc................................ 7,500 $ 181,875
*ITLA Capital Corp.................................... 5,200 83,850
*ITT Educational Services, Inc........................ 17,800 423,863
*IVI Checkmate Corp................................... 15,093 44,572
*Ibis Technology Corp................................. 6,100 121,047
Ico, Inc.............................................. 14,320 18,124
*Identix, Inc......................................... 25,300 254,581
*Ikos Systems, Inc.................................... 8,700 75,581
*Il Fornaio (America) Corp............................ 4,000 53,625
*Image Entertainment, Inc............................. 13,100 104,391
*Imation Corp......................................... 36,600 860,100
*#Imatron, Inc........................................ 71,200 65,637
*Imclone Systems, Inc................................. 21,900 430,472
*Immucor, Inc......................................... 6,500 80,031
*Immulogic Pharmaceutical Corp........................ 16,200 30,628
*#Immune Response Corp. DE............................ 23,500 148,344
*#Immunogen, Inc...................................... 8,500 19,922
*#Immunomedics, Inc................................... 33,800 81,331
*Impath, Inc.......................................... 7,300 200,294
*Impco Technologies, Inc.............................. 6,500 57,687
*Imperial Credit Industries, Inc...................... 33,150 275,559
Imperial Sugar Co..................................... 25,451 154,297
*In Focus Systems, Inc................................ 20,000 210,625
*Inacom Corp.......................................... 40,744 450,730
*Incyte Pharmaceuticals, Inc.......................... 13,400 347,981
Independence Holding Co............................... 2,500 27,656
Independent Bank Corp. MA............................. 13,400 193,881
#Independent Bank East................................ 7,507 128,557
Indiana Energy, Inc................................... 27,066 598,835
*Individual Investor Group, Inc....................... 8,500 59,234
Industrial Bancorp, Inc............................... 4,100 85,075
*#Industrial Data Systems Corp........................ 5,000 13,750
*Industrial Distribution Group, Inc................... 6,000 40,500
*Industrial Holdings, Inc............................. 13,000 94,656
*Inference Corp. Class A.............................. 6,400 30,600
*Infinium Software, Inc............................... 11,200 63,350
*Infocure Corp........................................ 10,300 380,456
*#Infonautics Corp. Class A........................... 8,500 52,594
*Information Advantage, Inc........................... 6,468 26,478
*Information Management Associates, Inc............... 6,800 22,525
*Information Resource Engineering, Inc................ 4,800 114,450
*Information Resources, Inc........................... 28,200 240,581
*Infousa, Inc......................................... 14,600 93,531
*Infousa, Inc. Class B................................ 24,800 153,062
*Infu-tech, Inc....................................... 2,000 2,500
Ingles Market, Inc. Class A........................... 8,100 97,959
*Inhale Therapeutic Systems........................... 14,100 373,209
*Innerdyne, Inc....................................... 19,600 38,587
*Innodata Corp........................................ 600 6,112
*#Innovative Gaming Corp. of America.................. 6,800 15,512
Innovex, Inc.......................................... 13,200 178,200
*#Inprise Corp........................................ 45,800 166,025
*Input Software, Inc.................................. 5,600 31,850
*Input/Output, Inc.................................... 50,400 428,400
*Insight Enterprises, Inc............................. 21,562 547,136
*Insignia Financial Group, Inc........................ 18,733 229,479
*Insilco Holding Co................................... 192 4,632
*Insite Vision, Inc................................... 9,800 12,250
*Insituform East, Inc................................. 1,700 2,072
*Insituform Technologies, Inc. Class A................ 25,910 431,563
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Inso Corp............................................ 13,400 $ 91,497
*Inspire Insurance Solutions, Inc..................... 16,500 288,234
Insteel Industries, Inc............................... 6,800 58,650
Instron Corp.......................................... 9,600 190,800
*Insurance Auto Auctions, Inc......................... 9,000 117,000
*Integra Lifesciences Corp............................ 8,750 43,750
*Integra, Inc......................................... 5,900 8,112
*IntegraMed America, Inc.............................. 3,800 15,200
*Integrated Device Technology, Inc.................... 92,575 731,921
*Integrated Electrical Services, Inc.................. 20,000 301,250
*Integrated Health Services, Inc...................... 27,000 158,625
*Integrated Measurement System, Inc................... 6,800 75,650
*Integrated Orthopedics, Inc.......................... 5,800 6,525
*Integrated Silicon Solution, Inc..................... 17,300 45,953
*Integrated Systems, Inc.............................. 21,200 263,675
*#Intellicall, Inc.................................... 8,900 17,244
*Intellidata Technologies Corp........................ 11,300 41,845
*#Intelligent Medical Imaging, Inc.................... 8,000 6,875
*Intelligent Systems Corp............................. 3,600 11,025
*#Intelligroup, Inc................................... 12,400 84,087
*Interactive Flight Technologies, Inc. Class A........ 1,100 4,606
Interchange Financial Services Corp. Saddle Brook..... 5,170 82,397
*Interdigital Communications Corp..................... 46,000 212,750
*Interface Systems, Inc............................... 3,400 7,969
Interface, Inc. Class A............................... 40,900 319,531
*Interferon Scientific, Inc........................... 2,435 913
*Intergraph Corp...................................... 54,400 433,500
*Interleaf, Inc....................................... 6,100 35,075
*Interlink Electronics................................ 4,700 33,120
*Interlinq Software Corp.............................. 4,100 32,736
*Interlott Technologies, Inc.......................... 2,200 13,200
*Intermagnetics General Corp.......................... 11,754 91,828
Intermet Corp......................................... 25,700 358,997
International Aluminum Corp........................... 2,100 58,537
*International FiberCom, Inc.......................... 10,600 77,844
*International Microcomputer Software, Inc............ 3,900 24,862
International Multifoods Corp......................... 16,900 371,800
*International Rectifier Corp......................... 51,500 560,062
*International Remote Imaging Systems, Inc............ 3,000 4,125
International Shipholding Corp........................ 5,225 72,823
*International Speciality Products, Inc............... 20,000 187,500
*International Telecommunication Data Systems, Inc.... 14,900 190,906
*International Thoroughbred Breeders, Inc............. 5,800 1,812
*International Total Services, Inc.................... 500 1,906
*Interneuron Pharmaceuticals, Inc..................... 41,800 121,481
*Interphase Corp...................................... 4,200 60,375
Interpool, Inc........................................ 24,850 312,178
*Interpore International.............................. 12,900 55,833
*Interstate National Dealers Services, Inc............ 4,200 30,187
*Intertan, Inc........................................ 11,500 177,531
Inter-Tel, Inc........................................ 24,100 357,734
*Intervisual Books, Inc. Class A...................... 1,000 1,125
*Intervoice, Inc...................................... 27,500 305,078
*Intervu, Inc......................................... 10,900 376,731
Interwest Bancorp..................................... 15,400 312,331
</TABLE>
21
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Intevac, Inc........................................ 13,900 $ 62,550
Invacare Corp......................................... 25,300 631,709
Investors Financial Services Corp..................... 16,198 570,473
Investors Title Co.................................... 1,400 28,262
*Invision Technologies, Inc........................... 11,200 60,550
*Invivo Corp.......................................... 2,600 31,850
*Ionics, Inc.......................................... 14,500 454,031
*Iridex Corp.......................................... 5,800 24,650
Iroquois Bancorp...................................... 400 7,400
Irwin Financial Corp.................................. 17,400 399,113
*Irwin Naturals/4Health, Inc.......................... 21,600 50,625
Isco, Inc............................................. 14,735 82,884
*#Isis Pharmaceuticals, Inc........................... 27,000 271,688
*Isle of Capri Casinos, Inc........................... 19,600 138,119
*Isolyser Co., Inc.................................... 34,010 120,629
*#Itron, Inc.......................................... 13,200 109,313
*Ivex Packaging Corp.................................. 23,000 442,750
*Iwerks Entertainment, Inc............................ 9,824 9,057
*J & J Snack Foods Corp............................... 8,100 167,063
*J. Alexander's Corp.................................. 4,300 17,738
*JDA Software Group, Inc.............................. 23,400 209,138
JLG Industries, Inc................................... 39,300 758,981
*JLK Direct Distribution, Inc. Class A................ 5,600 61,600
*#JMAR Industries, Inc................................ 13,800 27,816
*JPM Co............................................... 5,600 57,750
JSB Financial, Inc.................................... 5,000 256,250
*JWGenesis Financial Corp............................. 5,000 81,563
*Jackpot Enterprises, Inc............................. 8,000 66,500
Jacksonville Bancorp, Inc............................. 1,600 25,400
*Jaclyn, Inc.......................................... 1,300 3,900
*Jaco Electronics, Inc................................ 2,973 11,335
*Jacobson Stores, Inc................................. 5,200 38,350
*Jakks Pacific, Inc................................... 7,300 201,891
*Jan Bell Marketing, Inc.............................. 24,800 75,950
*Jason, Inc........................................... 17,687 149,234
*Javelin Systems, Inc................................. 6,300 81,506
*Jean Philippe Fragrances, Inc........................ 7,150 58,541
Jeffbanks, Inc........................................ 2,843 72,141
*Jefferies Group, Inc................................. 11,700 287,381
Jefferson Savings Bancorp, Inc........................ 3,200 39,100
*Jenna Lane, Inc...................................... 1,800 4,050
*Jennifer Convertibles, Inc........................... 1,300 3,636
*Jevic Transportation, Inc............................ 4,400 44,963
*Jo-Ann Stores, Inc. Class A.......................... 4,500 75,656
*Jo-Ann Stores, Inc. Class B.......................... 3,400 43,563
*Johnson Worldwide Associates, Inc. Class A........... 6,700 59,881
*Johnston Industries, Inc............................. 8,100 18,225
*Johnstown American Industries, Inc................... 8,800 138,050
*Jones Lang LaSalle, Inc.............................. 6,900 194,925
*Jos. A. Bank Clothiers, Inc.......................... 5,400 38,728
*Joule, Inc........................................... 1,500 3,563
*Jps Packaging Company................................ 3,300 16,088
*Jumbosports, Inc..................................... 18,000 2,205
Juno Lighting, Inc.................................... 16,700 383,056
*#Just for Feet, Inc.................................. 31,200 236,925
*Just Toys, Inc....................................... 800 1,050
Justin Industries, Inc................................ 26,300 349,297
*K & G Men's Center, Inc.............................. 9,200 103,213
K Swiss, Inc. Class A................................. 4,800 276,000
*#K-Tel International, Inc............................ 8,600 53,481
*K-Tron International, Inc............................ 6,200 109,275
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*K-V Pharmaceutical Co. Class A....................... 10,500 $ 176,531
*K-V Pharmaceutical Co. Class B....................... 8,300 143,175
K2, Inc............................................... 14,900 148,069
*KBK Capital Corp..................................... 5,000 32,500
KCS Energy, Inc....................................... 11,700 6,581
*#KFX, Inc............................................ 12,000 19,500
*KLLM Transport Services, Inc......................... 3,500 23,625
*KTI, Inc............................................. 11,900 124,578
*KVH Industries, Inc.................................. 4,800 11,700
*Kaiser Aluminum Corp................................. 79,200 693,000
*Kaiser Ventures, Inc................................. 9,700 135,800
Kaman Corp. Class A................................... 20,700 275,569
*Kaneb Services, Inc.................................. 29,000 128,688
*Kasper A.S.L., Ltd................................... 600 3,488
Katy Industries, Inc.................................. 5,800 95,338
Kaye Group, Inc....................................... 3,000 21,844
Keithley Instruments, Inc............................. 1,000 8,625
*Kelley Oil & Gas Corp................................ 69,600 48,938
*Kellstrom Industries, Inc............................ 11,800 213,138
Kellwood Co........................................... 19,300 458,375
*Kemet Corp........................................... 59,000 947,688
*Kendle International, Inc............................ 14,600 199,381
Kennametal, Inc....................................... 26,900 764,969
*Kennedy-Wilson, Inc.................................. 7,500 68,203
*Kensey Nash Corp..................................... 6,700 66,163
*Kent Electronics Corp................................ 24,500 320,031
Kentek Information Systems, Inc....................... 4,900 37,822
*Kentucky Electric Steel, Inc......................... 1,800 5,513
Kentucky First Bancorp, Inc........................... 200 2,400
*#Keravision, Inc..................................... 11,400 113,288
*Kevco, Inc........................................... 4,000 25,000
Kewaunee Scientific Corp.............................. 2,000 19,250
*Key Energy Group, Inc................................ 16,500 52,594
*Key Production Co., Inc.............................. 10,400 88,400
*Key Technology, Inc.................................. 3,300 28,463
*Key Tronic Corp...................................... 7,200 38,475
*Keystone Automotive Industries, Inc.................. 15,940 256,534
*Keystone Consolidated Industries, Inc................ 7,373 53,915
Kimball International, Inc. Class B................... 24,400 437,675
*Kimmins Corp......................................... 3,400 4,303
*Kinark Corp.......................................... 6,800 15,300
*Kinnard Investment, Inc.............................. 4,200 16,997
*Kirby Corp........................................... 17,100 322,763
*Kit Manufacturing Co................................. 300 2,025
*Kitty Hawk, Inc...................................... 15,200 120,175
Klamath First Bancorp, Inc............................ 9,400 147,463
Knape & Vogt Manufacturing Co......................... 2,900 45,675
*Knight Transportation, Inc........................... 13,500 267,469
*Koala Corp........................................... 2,700 64,125
*Kofax Image Products, Inc............................ 3,700 32,953
Kollmorgen Corp....................................... 9,000 113,063
*Komag, Inc........................................... 49,600 187,550
*Kopin Corp........................................... 11,000 216,563
*Koss Corp............................................ 2,100 25,856
*Krauses Furniture, Inc............................... 12,000 24,000
*Kronos, Inc.......................................... 11,250 416,953
*Krug International Corp.............................. 1,048 1,703
*Kulicke & Soffa Industries, Inc...................... 21,000 442,313
*LBP, Inc............................................. 3,200 12,600
*LCA-Vision, Inc...................................... 3,536 42,432
*LCC International, Inc. Class A...................... 5,700 27,075
</TABLE>
22
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*LLEX Oncology, Inc................................... 11,100 $ 110,306
*LLX Resorts, Inc..................................... 2,900 5,800
LNR Property Corp..................................... 21,600 432,000
LSB Bancshares, Inc. NC............................... 5,156 102,476
LSB Industries, Inc................................... 10,700 20,063
LSI Industries, Inc................................... 9,067 200,607
LTV Corp.............................................. 62,000 379,750
*LTX Corp............................................. 31,800 284,213
*#LXR Biotechnology, Inc.............................. 14,600 4,563
*La Jolla Pharmceutical Co............................ 17,900 19,298
*LaBarge, Inc......................................... 14,500 30,813
LaCrosse Footwear, Inc................................ 3,000 24,375
Lab Holdings, Inc..................................... 3,500 49,219
Labone, Inc........................................... 11,800 142,338
*Laboratory Corp. of America Holdings, Inc............ 42,500 106,250
*Labtec, Inc.......................................... 1,900 9,975
Laclede Gas Co........................................ 15,100 333,144
*#Laclede Steel Co.................................... 2,700 1,223
*Ladd Furniture, Inc.................................. 7,066 144,853
*Lai Worldwide, Inc................................... 7,400 43,938
*Lakeland Industries, Inc............................. 2,000 12,625
*Lakes Gaming, Inc.................................... 9,475 110,739
Lakeview Financial Corp............................... 4,500 90,703
*Lam Research Corp.................................... 1,100 30,491
*Lamson & Sessions Co................................. 10,200 59,925
Lance, Inc............................................ 28,400 414,463
*Lancer Corp.......................................... 9,600 75,000
*Landair Corp......................................... 4,100 19,539
Landamerica Financial Group, Inc...................... 11,550 331,341
Landauer, Inc......................................... 7,700 213,675
*Landec Corp.......................................... 10,500 39,047
*Landrys Seafood Restaurants, Inc..................... 28,277 261,562
*Landstar Systems, Inc................................ 9,100 342,956
*Lanvision Systems, Inc............................... 7,300 10,494
*Larscom, Inc......................................... 4,000 10,125
*Laser Vision Centers, Inc............................ 3,500 198,188
*#LaserSight Corporation.............................. 12,400 214,288
*Lason, Inc........................................... 12,000 462,375
Lawson Products, Inc.................................. 10,300 256,213
Lawter International, Inc............................. 31,600 385,125
*Layne Christensen Co................................. 9,100 60,856
*Lazare Kaplan International, Inc..................... 7,300 69,350
*Leapnet, Inc......................................... 10,900 26,909
*Learning Tree International, Inc..................... 19,800 209,138
*#Leasing Solutions, Inc.............................. 6,700 7,119
*Lechters, Inc........................................ 15,500 35,844
*Lecroy Corp.......................................... 6,100 105,988
*Lectec Corp.......................................... 1,902 5,944
Lesco, Inc............................................ 7,725 137,119
*LeukoSite, Inc....................................... 2,000 24,438
*#Level 8 Systems, Inc................................ 6,900 60,591
*Lexington Global Asset Managers, Inc................. 3,600 11,700
Libbey, Inc........................................... 15,800 473,013
*Liberty Bancorp, Inc................................. 2,700 22,528
Liberty Homes, Inc. Class A........................... 200 1,863
*Life Financial Corp.................................. 5,200 20,638
*#Life Medical Sciences, Inc.......................... 8,900 6,397
Life USA Holdings, Inc................................ 26,800 535,163
*Lifecell Corp........................................ 10,200 42,394
*Lifecore Biomedical, Inc............................. 16,100 178,609
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Lifeline Systems, Inc................................ 4,100 $ 76,363
Lifetime Hoan Corp.................................... 9,762 87,858
*Ligand Pharmaceuticals, Inc. Class B................. 38,277 391,143
*Lightbridge, Inc..................................... 12,600 127,181
Lillian Vernon Corp................................... 6,600 84,975
Lilly Industry, Inc. Class A.......................... 20,500 390,781
*Lindal Cedar Homes, Inc.............................. 4,482 9,104
Lindsay Manufacturer Co............................... 12,100 213,263
*Liposome Co., Inc.................................... 34,200 488,419
Liqui Box Corp........................................ 2,500 133,125
Litchfield Financial Corp............................. 6,000 98,438
*Lithia Motors, Inc. Class A.......................... 6,100 115,519
*#Littlefield, Adams & Co............................. 900 2,025
*Littlefuse, Inc...................................... 18,900 378,591
*Lodgenet Entertainment Corp.......................... 10,400 129,350
*#Lodgian, Inc........................................ 21,900 153,300
*Loehmanns, Inc....................................... 7,100 6,323
*Loews Cineplex Entertainment Corp.................... 28,000 267,750
*Logic Devices, Inc................................... 5,600 19,425
*Logility, Inc........................................ 8,900 44,222
*Lojack Corp.......................................... 14,500 112,828
Lone Star Industries, Inc............................. 17,200 612,750
*Lone Star Steakhouse Saloon.......................... 39,000 396,094
*Lone Star Technologies, Inc.......................... 21,800 339,263
*Long Beach Financial Corp............................ 16,100 229,928
Longview Fibre Co..................................... 48,500 657,781
*Loronix Information Systems, Inc..................... 3,300 32,794
*Louis Dreyfus Natural Gas Corp....................... 38,052 742,014
Luby's Cafeterias, Inc................................ 18,900 321,300
Lufkin Industries, Inc................................ 4,600 77,194
*Lumisy, Inc.......................................... 9,100 35,263
*Lunar Corp........................................... 6,900 57,141
*Lund International Holdings, Inc..................... 2,200 12,925
*Lydall, Inc. DE...................................... 2,400 28,950
*Lynch Corp........................................... 2,200 171,050
*Lynx Therapeutics, Inc............................... 3,000 36,469
M.A. Hanna Co......................................... 39,000 575,250
*M.H. Meyerson & Co., Inc............................. 3,500 27,344
M/A/R/C, Inc.......................................... 3,027 45,310
MAF Bancorp, Inc...................................... 23,584 541,695
*MAI Systems Corp..................................... 9,600 36,600
*MAXIMUS, Inc......................................... 6,000 178,500
*MB Financial, Inc.................................... 2,800 37,625
MDC Holdings, Inc..................................... 17,600 347,600
*MEMC Electronic Materials, Inc....................... 39,100 322,575
MFB Corp.............................................. 1,000 21,438
*MFRI, Inc............................................ 4,400 19,938
*MGI Pharma, Inc...................................... 13,000 136,500
MI Schottenstein Homes, Inc........................... 7,000 135,625
*MIM Corp............................................. 9,000 24,469
MMI Companies, Inc.................................... 16,200 279,450
MOCON, Inc............................................ 6,450 37,088
*MRV Communications, Inc.............................. 24,000 280,500
*MS Carriers, Inc..................................... 11,000 349,938
*MTI Technology Corp.................................. 5,900 52,916
MTS Systems Corp...................................... 16,700 196,225
MYR Group, Inc........................................ 3,110 47,039
*Mac-Gray Corp........................................ 23,100 206,456
*Mackie Designs, Inc.................................. 16,100 80,500
*MacNeal-Schwendler Corp.............................. 12,200 70,150
*Madden (Steven), Ltd................................. 13,900 148,991
*Made2Manage Systems, Inc............................. 4,000 41,375
</TABLE>
23
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Madison Gas & Electric Co............................. 14,450 $ 304,805
*Magainin Pharmaceuticals, Inc........................ 19,400 30,919
*Magellan Health Services, Inc........................ 31,900 257,194
*Magnetek, Inc........................................ 33,400 338,175
*#Magnum Hunter Resources, Inc........................ 19,900 72,138
*Mail-Well, Inc....................................... 19,000 281,438
*Main Street & Main, Inc.............................. 8,450 30,103
Maine Public Service Co............................... 700 10,763
*#Malibu Entertainment Worldwide, Inc................. 24,000 30,000
*Mallon Resources Corp................................ 5,400 47,250
*Managed Care Solutions, Inc.......................... 2,866 11,106
*#Manatron, Inc....................................... 1,102 7,611
*Manchester Equipment Co., Inc........................ 7,000 22,750
*Manhattan Associates, Inc............................ 3,300 29,597
Manitowoc Co., Inc.................................... 20,850 708,900
*Manugistic Group, Inc................................ 17,200 155,338
*Mapics, Inc.......................................... 16,300 153,831
*Mapinfo Corp......................................... 4,800 90,600
*Marcam Solutions, Inc................................ 2,700 19,533
Marcus Corp........................................... 17,175 215,761
*Marine Drilling Companies, Inc....................... 47,100 677,063
*Marine Transport Corp................................ 7,540 32,281
*Mariner Post-Acute Network, Inc...................... 70,260 158,085
*Marisa Christina, Inc................................ 6,700 5,234
Maritrans, Inc........................................ 9,700 55,775
*Mark VII, Inc........................................ 4,800 75,900
*Market Facts, Inc.................................... 8,000 250,250
*Marlton Technologies, Inc............................ 5,000 23,438
Marsh Supermarkets, Inc. Class A...................... 1,600 23,800
Marsh Supermarkets, Inc. Class B...................... 3,100 38,750
*Marshall Industries.................................. 16,400 289,050
*#Martek Biosciences Corp............................. 13,400 141,538
*Marten Transport, Ltd................................ 4,200 55,256
*Marvel Enterprises, Inc.............................. 10,200 90,525
Massbank Corp. Reading, MA............................ 2,433 91,238
*Mastec, Inc.......................................... 22,200 538,350
*Matec Corp........................................... 1,100 3,988
*Material Sciences Corp............................... 20,500 228,063
*Mathsoft, Inc........................................ 6,300 19,983
*Matlack Systems, Inc................................. 7,500 38,906
*Matria Healthcare, Inc............................... 33,200 197,125
*Matritech, Inc....................................... 21,800 29,975
*Matrix Pharmaceutical, Inc........................... 19,600 92,181
*Matrix Service Co.................................... 7,500 29,531
Matthews International Corp.
Class A............................................. 12,000 349,500
*Matthews Studio Equipment Group...................... 8,800 90,475
*Mattson Technology, Inc.............................. 13,300 95,594
*Maverick Tube Corp................................... 13,900 180,266
*Max & Ermas Restaurants, Inc......................... 2,037 14,768
*Maxco, Inc........................................... 1,900 12,706
*Maxicare Health Plans, Inc........................... 16,100 79,997
*Maxim Group, Inc..................................... 13,200 118,800
*#Maxim Pharmaceuticals, Inc.......................... 9,300 94,163
*Maxwell Shoe Company, Inc............................ 8,000 67,500
*Maxwell Technologies, Inc............................ 6,700 151,588
*Maxxam, Inc.......................................... 5,200 318,500
*Maxxim Medical, Inc.................................. 12,000 190,500
*Maynard Oil Co....................................... 3,100 30,225
*Mays (J.W.), Inc..................................... 200 1,400
*Mazel Stores, Inc.................................... 8,200 77,900
*McClain Industries, Inc.............................. 266 1,471
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
McGrath Rent Corp..................................... 12,100 $ 228,388
*McMoran Exploration Co............................... 7,896 142,622
*McNaughton Apparel Group, Inc........................ 6,000 36,375
*McWhorter Technologies, Inc.......................... 8,200 113,775
*Meade Instruments Corp............................... 5,500 73,563
*Meadow Valley Corp................................... 2,200 10,175
Meadowbrook Insurance Group, Inc...................... 10,100 136,350
*Measurement Specialties, Inc......................... 2,500 31,250
*Mechanical Dynamics, Inc............................. 4,300 27,413
*Mecon, Inc........................................... 5,400 44,550
*Medaphis Corp........................................ 70,400 349,800
*Medar, Inc........................................... 5,400 11,728
*Medarex, Inc......................................... 28,400 118,038
*Medco Research, Inc.................................. 9,500 223,250
Medford Bancorp, Inc.................................. 7,000 115,500
*Media 100, Inc....................................... 7,000 47,031
*Media Arts Group, Inc................................ 16,800 116,550
*#Media Logic, Inc.................................... 2,400 750
*Medialink Worldwide, Inc............................. 6,700 108,456
*Medical Action Industries, Inc....................... 5,200 15,438
*Medical Alliance, Inc................................ 5,200 13,975
*Medical Assurance, Inc............................... 17,427 486,867
*Medical Graphics Corp................................ 1,500 2,016
*Medical Manager Corp................................. 19,400 959,088
*#Medical Resources, Inc.............................. 5,283 11,061
*Medicalcontrol, Inc.................................. 3,500 29,531
*Medicore, Inc........................................ 3,800 4,038
*Medirisk, Inc........................................ 5,600 57,925
*Medpartners, Inc..................................... 9,500 55,219
*#Medplus, Inc........................................ 4,500 8,719
*Medstone International, Inc.......................... 5,800 42,231
*Melita International Corp............................ 12,500 181,641
*Memberworks, Inc..................................... 14,100 630,094
Mentor Corp. MN....................................... 25,900 412,781
*Mentor Graphics Corp................................. 35,900 452,116
Merchants Bancorp, Inc................................ 2,100 58,144
Merchants Bancshares, Inc............................. 2,700 62,606
Merchants Group, Inc.................................. 1,300 28,438
Merchants New York Bancorp, Inc....................... 800 27,100
*Mercury Air Group, Inc............................... 5,800 38,425
*Meridian Data, Inc................................... 7,100 53,694
Meridian Diagnostics, Inc............................. 12,900 99,975
Meridian Insurance Group, Inc......................... 2,970 49,191
*Meridian Medical Technology, Inc..................... 2,400 14,475
*Meridian Resource Corp............................... 59,172 318,050
*Merisel, Inc......................................... 11,900 27,705
*Merit Medical Systems, Inc........................... 5,200 30,388
*Merix Corp........................................... 5,200 31,200
Merrill Corp.......................................... 14,500 218,859
*Merrimac Industries, Inc............................. 660 4,620
*Mesa Air Group, Inc.................................. 30,100 198,472
*Mesa Labs, Inc....................................... 2,700 12,572
*Mesaba Holdings, Inc................................. 17,850 264,961
*Messagemedia, Inc.................................... 27,800 247,594
*Mestek, Inc.......................................... 4,200 85,575
*Meta Group, Inc...................................... 10,400 143,325
*Metacreations Corp................................... 21,300 125,803
*Metal Management, Inc................................ 36,421 67,151
*Metals USA, Inc...................................... 30,500 350,750
*Metatec Corp. Class A................................ 5,300 23,684
*Met-Coil Systems Corp................................ 1,000 4,125
Methode Electronics, Inc. Class A..................... 30,800 564,988
</TABLE>
24
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Methode Electronics, Inc. Class B..................... 500 $ 9,094
Met-Pro Corp.......................................... 11,175 146,672
*Metra Biosystems, Inc................................ 10,100 10,889
*#Metricom, Inc....................................... 16,700 164,913
*Metrika System Corp.................................. 3,000 28,688
*Metro Networks, Inc.................................. 3,400 193,163
*Metro One Telecommunications, Inc.................... 9,900 150,047
*Metrocall, Inc....................................... 36,985 108,066
*Metrologic Instruments, Inc.......................... 4,900 58,800
*Metromedia International Group, Inc.................. 62,200 517,038
*Metrotrans Corp...................................... 1,600 3,900
Metrowest Bank MA..................................... 12,800 76,000
*Michael Anthony Jewelers, Inc........................ 5,800 22,838
Michael Foods, Inc.................................... 19,058 446,672
*Michaels Stores, Inc................................. 36,800 986,700
*Micrion Corp......................................... 3,300 39,600
*Micro Linear Corp.................................... 9,600 34,650
*Micro Warehouse, Inc................................. 31,400 487,681
*Microage, Inc........................................ 18,150 101,527
*Microcide Pharmaceuticals, Inc....................... 9,300 39,089
*Micrografx, Inc...................................... 8,200 54,581
*Micros Systems, Inc.................................. 14,400 451,800
*Micros to Mainframes, Inc............................ 3,100 12,691
*Microsemi Corp....................................... 10,600 103,019
*Microtest, Inc....................................... 7,900 20,984
*Micro-Therapeutics, Inc.............................. 6,000 51,375
*Microtouch Systems, Inc.............................. 7,300 107,219
*Microware Systems Corp............................... 11,600 20,663
*Microwave Power Dynamics, Inc........................ 10,100 152,763
Mid America Banccorp.................................. 9,010 218,493
*Mid Atlantic Medical Services, Inc................... 56,800 589,300
Midas, Inc............................................ 12,050 377,316
Midcoast Energy Resources, Inc........................ 5,625 91,406
*Middleby Corp........................................ 10,300 49,891
Middlesex Water Co.................................... 3,400 80,644
Midland Co............................................ 3,300 80,850
*Midway Airlines Corp................................. 8,500 87,656
*Midway Games, Inc.................................... 34,070 361,994
*Midwest Express Holdings, Inc........................ 11,275 337,545
*Midwest Grain Products, Inc.......................... 7,600 70,775
Mikasa, Inc........................................... 16,400 182,450
*Mikohn Gaming Corp................................... 8,900 33,931
*#Milestone Scientific, Inc........................... 6,900 9,488
*Millennium Pharmaceuticals, Inc...................... 2,800 105,875
*Miller Building Systems, Inc......................... 3,200 19,000
*Miller Industries, Inc............................... 42,000 202,125
*Miltope Group, Inc................................... 11,000 12,719
Mine Safety Appliances Co............................. 1,900 120,056
Minntech Corp......................................... 4,700 65,066
Minuteman International, Inc.......................... 1,000 9,188
*#Miravant Medical Technologies....................... 13,700 103,178
Mississippi Chemical Corp............................. 24,642 237,179
*Mitcham Industries, Inc.............................. 7,900 33,698
Mitchell Energy & Development Corp. Class A........... 1,100 17,600
Mitchell Energy & Development Corp. Class B........... 800 12,900
*Mity-Lite, Inc....................................... 2,200 41,663
Mobile America Corp................................... 6,100 23,447
*Mobile Mini, Inc..................................... 6,500 85,313
*Mobius Management Systems, Inc....................... 7,000 59,500
*#Modacad, Inc........................................ 4,700 45,972
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Modtech Holdings, Inc................................ 7,657 $ 68,913
*Molecular Biosystems, Inc............................ 16,700 41,750
*Molecular Devices Corp............................... 5,600 137,550
*Monaco Coach Corp.................................... 11,175 335,250
*Monarch Casino and Resort, Inc....................... 6,300 37,209
*Monarch Dental Corp.................................. 9,700 34,859
Monarch Machine Tool Co............................... 3,400 29,963
*Mondavi (Robert) Corp. Class A....................... 6,400 216,200
*Monro Muffler Brake, Inc............................. 6,641 56,241
Monterey Bay Bancorp, Inc............................. 2,125 30,813
*Monterey Pasta Co.................................... 7,000 17,719
*Moog, Inc. Class A................................... 5,050 138,559
*Moog, Inc. Class B................................... 600 22,388
*Moore Medical Corp................................... 2,700 28,519
Moore Products Co..................................... 2,200 51,425
Morgan Keegan, Inc.................................... 29,400 542,063
*Morgan Products, Ltd................................. 9,100 33,841
*Morgan's Foods, Inc.................................. 900 4,163
Morrison Health Care, Inc............................. 10,833 211,921
*Morrison Knudsen Corp................................ 47,900 476,006
*Morrow Snowboards, Inc............................... 1,000 219
*Morton Industrial Group, Inc.
Class A............................................. 1,000 7,656
*Morton's Restaurant Group, Inc....................... 5,300 93,413
*Mosaix, Inc.......................................... 10,300 107,184
*#Mossimo, Inc........................................ 13,500 123,188
*Mother's Work, Inc................................... 3,300 36,919
*Motivepower Industries, Inc.......................... 24,000 406,500
*Motor Car Parts & Accessories, Inc................... 6,100 35,266
*Motor Club of America................................ 700 8,859
Movado Group, Inc..................................... 9,050 218,331
*Movie Gallery, Inc................................... 11,500 70,797
*Multi Color Corp..................................... 1,000 6,719
*Multiple Zones International, Inc.................... 11,000 97,625
*Musicland Stores Corp................................ 31,800 282,225
*Mutual Savings Bank FSB Bay City, MI................. 3,000 38,719
Myers Industries, Inc................................. 16,461 376,545
*Mylex Corp........................................... 24,800 130,975
*Myriad Genetics, Inc................................. 8,400 86,625
*Mysoftware Co........................................ 4,000 67,375
*N & F Worldwide Corp................................. 18,600 144,150
*NABI, Inc............................................ 35,200 100,100
NBT Bancorp........................................... 11,284 234,143
*NBTY, Inc............................................ 64,400 405,519
NCH Corp.............................................. 6,200 340,225
*NCI Building Systems, Inc............................ 14,800 373,700
*NCS Healthcare, Inc.................................. 11,700 159,413
*NFO Worldwide, Inc................................... 23,000 326,313
NL Industries, Inc.................................... 10,000 106,250
NN Ball & Roller, Inc................................. 12,300 69,188
*NPC International, Inc............................... 22,000 383,625
*NPS Pharmaceuticals, Inc............................. 11,100 77,700
*NTN Communications, Inc.............................. 2,293 1,720
NUI Corp.............................................. 10,800 268,650
NYMAGIC, Inc.......................................... 7,600 95,000
*Nabors Industries, Inc............................... 3,001 60,020
*Nanometrics, Inc..................................... 7,000 48,563
*Napco Security Systems, Inc.......................... 2,150 6,181
*#Napro Biotherapeutics, Inc.......................... 9,500 20,039
Nash Finch Co......................................... 10,200 94,988
*Nashua Corp.......................................... 4,800 54,600
</TABLE>
25
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Nastech Pharmaceutical Co., Inc...................... 5,100 $ 13,547
*Nathans Famous, Inc.................................. 1,900 7,184
*National Beverage Corp............................... 18,500 152,625
*National City Bancorp................................ 6,189 123,780
National City Bankshares, Inc......................... 4,466 112,208
*National Dentex Corp................................. 3,000 47,063
*National Discount Brokers Group, Inc................. 10,500 488,250
*National Home Centers, Inc........................... 3,000 3,750
*National Home Health Care Corp....................... 3,815 16,571
National Penn Bancshares, Inc......................... 11,928 270,244
National Presto Industries, Inc....................... 5,100 190,294
*National Processing, Inc............................. 30,300 181,800
*National Record Mart, Inc............................ 4,200 31,631
*National Research Corp............................... 4,500 12,094
*National RV Holdings, Inc............................ 20,700 531,731
*National Standard Co................................. 6,500 38,594
National Steel Corp. Class B.......................... 23,000 175,375
National Technical Systems, Inc....................... 7,500 33,750
*National Techteam, Inc............................... 12,300 65,728
*National Western Life Insurance Co. Class A.......... 1,000 96,438
*Natural Alternatives International, Inc.............. 4,800 17,250
*Natural Microsystems Corp............................ 10,200 62,475
*Natural Wonders, Inc................................. 5,700 21,197
Natures Sunshine Products, Inc........................ 22,759 283,065
*Nautica Enterprises, Inc............................. 30,000 485,625
*#Navarre Corp........................................ 18,400 223,100
*Navigant International, Inc.......................... 9,500 77,039
*Navigators Group, Inc................................ 3,200 45,600
*Neff Corp. Class A................................... 20,500 270,344
Nelson (Thomas), Inc.................................. 11,400 111,863
*Neogen Corp.......................................... 3,700 26,131
*Neopath, Inc......................................... 13,100 51,991
*#Neopharm, Inc....................................... 8,000 126,000
*Neorx Corp........................................... 17,225 24,492
*Neose Technologies, Inc.............................. 8,600 94,331
*#Neotherapeutics, Inc................................ 3,300 42,281
*Netmanage, Inc....................................... 62,145 164,102
*Netopia, Inc......................................... 11,300 317,106
*Netrix Corp.......................................... 13,000 43,063
*Netspeak Corp........................................ 11,300 117,944
*Network Computing Devices, Inc....................... 13,900 66,025
*Network Equipment Technologies, Inc.................. 20,100 208,538
*Network Peripherals, Inc............................. 11,100 160,603
*Network Six, Inc..................................... 275 1,392
*Neurobiological Technologies, Inc.................... 2,700 3,291
*Neurocrine Biosciences, Inc.......................... 16,300 88,631
*Neurogen Corp........................................ 11,500 143,031
*New Brunswick Scientific Co., Inc.................... 3,473 32,559
*New Century Financial Corp........................... 13,000 189,719
New England Business Services, Inc.................... 12,000 326,250
New England Community Bancorp, Inc. Class A........... 4,770 93,313
New Hampshire Thrift BancShares, Inc.................. 200 2,763
*New Horizons Worldwide, Inc.......................... 6,000 120,375
New Jersey Resources Corp............................. 13,800 520,950
*New Mexico & Arizona Land Co......................... 6,258 46,935
*Newcor, Inc.......................................... 2,940 13,965
Newmil Bancorp, Inc................................... 3,500 35,219
*Newpark Resources, Inc............................... 65,100 585,900
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Newport Corp.......................................... 8,200 $ 124,538
*Newsedge Corp........................................ 15,450 130,842
*Nexstar Pharmaceuticals, Inc......................... 25,696 445,665
*Nexthealth, Inc...................................... 3,400 3,719
*#Niagara Corp........................................ 7,400 52,956
*Nichols Research Corp................................ 11,950 243,481
*Nine West Group...................................... 32,300 896,325
*Nitches, Inc......................................... 785 2,649
*Nitinol Medical Technologies, Inc.................... 9,000 28,125
*Nobel Learning Communities, Inc...................... 5,400 29,700
*Nobility Homes....................................... 5,475 48,420
*Noel Group, Inc...................................... 8,000 5,250
Noland Co............................................. 200 3,963
*Noodle Kidoodle, Inc................................. 6,800 43,988
Norrell Corp.......................................... 24,500 454,781
*Norstan, Inc......................................... 9,400 106,044
*Nortek, Inc.......................................... 10,400 318,500
*North American Scientific, Inc....................... 6,000 43,875
North Carolina Natural Gas Corp....................... 9,100 306,556
North Central Bancshares, Inc......................... 2,700 48,094
Northeast Bancorp..................................... 900 9,450
Northern Technologies International................... 2,700 16,200
*Northfield Laboratories, Inc......................... 15,300 184,556
Northland Cranberries, Inc. Class A................... 16,400 148,113
Northrim Bank......................................... 1,695 18,380
Northwest Bancorp, Inc................................ 42,200 399,581
Northwest Natural Gas Co.............................. 21,650 519,600
*Northwest Pipe Co.................................... 4,700 80,781
*Northwest Teleproductions, Inc....................... 200 138
Northwestern Corp..................................... 18,400 483,000
*Northwestern Steel & Wire Co......................... 18,500 22,547
*Novacare Employee Services, Inc...................... 4,000 18,750
*Novacare, Inc........................................ 60,000 127,500
*Novadigm, Inc........................................ 16,500 124,266
*Novametrix Medical Systems, Inc...................... 6,100 26,306
*Novavax, Inc......................................... 11,900 49,831
*Noven Pharmaceuticals, Inc........................... 19,300 118,213
*Novitron International, Inc.......................... 1,430 1,877
*Nstor Technology..................................... 11,400 34,200
*Nu Horizons Electronics Corp......................... 7,900 48,881
*Nuevo Energy Co...................................... 16,200 247,050
*Number Nine Visual Technology Corp................... 2,200 5,569
*Numerex Corp. Class A................................ 8,300 30,866
*Nutramax Products, Inc............................... 3,300 12,994
*Nutrition for Life International, Inc................ 2,700 5,948
*O'Charleys, Inc...................................... 20,750 271,047
O'Sullivan Corp....................................... 13,000 115,375
*O'Sullivan Industries Holdings, Inc.................. 12,800 212,800
*O.I. Corp............................................ 2,600 12,431
*OAO Technology Solutions, Inc........................ 10,000 40,625
*ODS Networks, Inc.................................... 16,700 57,406
OEA, Inc.............................................. 18,500 186,156
*OEC Medical Systems, Inc............................. 11,500 274,563
*OMI Corp............................................. 22,900 60,113
*OMNI Energy Services Corp............................ 4,600 20,125
*ORBIT/FR, Inc........................................ 2,700 7,678
*OSI Pharmaceutical, Inc.............................. 18,300 100,650
*OSI Systems, Inc..................................... 1,700 9,138
*OTR Express, Inc..................................... 200 725
Oak Hill Financial, Inc............................... 1,000 19,063
*Oak Industries, Inc.................................. 15,800 761,363
</TABLE>
26
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Oak Technology, Inc.................................. 37,700 $ 131,361
*Oakley, Inc.......................................... 56,500 459,063
*Object Design, Inc................................... 30,300 108,891
*Objective Systems Integrators, Inc................... 28,300 80,920
*Objectshare, Inc..................................... 8,300 9,467
*Ocean Energy, Inc.................................... 15,000 148,125
Ocean Financial Corp.................................. 12,400 217,388
*Oceaneering International, Inc....................... 25,200 389,025
*Ocular Sciences, Inc................................. 10,300 315,116
*Ocwen Financial Corp................................. 23,100 200,681
*Odetics, Inc. Class A................................ 300 2,541
*Odwalla, Inc......................................... 3,500 28,219
*Offshore Logistics, Inc.............................. 19,700 222,241
Oglebay Norton Co..................................... 4,400 107,525
Oil-Dri Corp. of America.............................. 4,000 61,500
*Old Dominion Freight Lines, Inc...................... 7,200 84,600
*Old Guard Group, Inc................................. 3,400 44,306
Olsten Corp........................................... 45,000 399,375
*Olympic Steel, Inc................................... 10,000 76,875
Omega Financial Corp.................................. 7,150 251,144
*Omega Health System, Inc............................. 7,200 54,675
*Omega Protein Corp................................... 5,500 33,688
*Omega Worldwide, Inc................................. 10,000 42,813
*#Omnipoint Corp...................................... 42,900 746,728
*Omtool, Ltd.......................................... 17,000 64,813
*On Assignment, Inc................................... 9,700 250,988
*On Command Corp...................................... 15,600 217,913
*On Technology Corp................................... 1,700 2,577
*On-Point Technology Systems, Inc..................... 7,900 22,959
*#Oncor, Inc.......................................... 20,800 1,014
*One Price Clothing Stores, Inc....................... 9,400 38,628
Oneida, Ltd........................................... 15,050 386,597
*Onhealth Network Company............................. 3,800 43,225
*#Onsale, Inc......................................... 16,200 314,381
*Ontrack Data International, Inc...................... 7,900 36,784
*Onyx Acceptance Corp................................. 4,900 38,741
*Onyx Pharmacueticals, Inc............................ 10,300 83,044
*Open Market, Inc..................................... 39,200 487,550
*Openroute Networks, Inc.............................. 12,300 44,203
*Opinion Research Corp................................ 1,700 9,138
*Opta Food Ingredients, Inc........................... 10,000 32,656
*Optek Technology, Inc................................ 5,600 141,050
*Opti, Inc............................................ 8,600 54,556
*#Optical Cable Corp.................................. 21,800 241,163
Optical Coating Laboratory, Inc....................... 11,000 714,313
*Optical Sensors, Inc................................. 7,100 7,766
*Optika Imaging Systems, Inc.......................... 5,900 36,138
*Option Care, Inc..................................... 8,400 19,688
Orange & Rockland Utilities, Inc...................... 8,700 506,231
*Orange Co., Inc...................................... 9,400 48,175
*Orbit International Corp............................. 3,800 4,038
*Orcad, Inc........................................... 8,400 69,563
Oregon Steel Mills, Inc............................... 23,200 317,550
Oregon Trail Financial Corp........................... 4,200 54,469
*#Organogenesis, Inc.................................. 26,576 293,997
*#Oriole Homes Corp. Class A Convertible.............. 800 1,525
*Oriole Homes Corp. Class B........................... 2,000 3,750
*Orleans Homebuilders, Inc............................ 2,000 3,750
*Oroamerica, Inc...................................... 5,700 43,641
*Orphan Medical, Inc.................................. 4,585 31,379
*Ortel Corp........................................... 11,100 119,325
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Orthodontic Centers of America, Inc.................. 13,900 $ 167,669
*Orthologic Corp...................................... 22,800 60,919
Oshkosh B'Gosh, Inc. Class A.......................... 16,200 319,950
Oshkosh Truck Corp. Class B........................... 6,400 253,200
*Oshman's Sporting Goods, Inc......................... 4,100 10,763
*#Osicom Technologies, Inc............................ 6,100 56,425
*Osmonics, Inc........................................ 13,100 153,925
*Osteotech, Inc....................................... 10,200 361,463
*Ostex International, Inc............................. 10,000 12,969
Ottawa Financial Corp................................. 4,525 101,813
Otter Tail Power Co................................... 10,200 398,438
*Outlook Group Corp................................... 1,800 6,863
*Outsource International, Inc......................... 6,900 30,942
*Overland Data........................................ 3,000 18,938
Overseas Shipholding Group, Inc....................... 16,200 202,500
Owens & Minor, Inc.................................... 27,500 299,063
Owosso Corp........................................... 300 1,575
Oxford Industries, Inc................................ 7,800 216,450
*#Oxigene, Inc........................................ 9,400 90,475
*P&F Industries, Inc. Class A......................... 1,300 12,919
*P-Com, Inc........................................... 52,100 230,380
*PAM Transportation Services, Inc..................... 6,600 59,813
*PC Quote, Inc........................................ 12,000 101,250
*PC Service Source, Inc............................... 4,900 18,681
*#PHP Healthcare Corp................................. 11,000 550
*PIA Merchandising Services, Inc...................... 500 1,281
*PJ America, Inc...................................... 4,000 93,875
*PLM International, Inc............................... 5,100 30,600
*PMR Corp............................................. 6,700 26,172
*PPT Vision, Inc...................................... 4,200 19,950
*PRI Automation, Inc.................................. 17,800 436,100
*PS Group Holdings, Inc............................... 3,000 33,000
*PSC, Inc............................................. 8,900 89,000
*PSW Technologies, Inc................................ 8,000 25,875
PXRE Corp............................................. 12,120 225,735
*#Pacific Aerospace and Electronics, Inc.............. 12,200 20,397
Pacific Crest Capital, Inc............................ 1,060 16,894
*Pacific Gateway Exchange, Inc........................ 15,300 601,959
*Pacific Sunwear of California, Inc................... 18,900 709,931
*Pagasus Systems, Inc................................. 8,500 295,641
*Pagemart Wireless, Inc. Class A...................... 27,500 125,469
*Paging Network, Inc.................................. 48,400 160,325
*Pairgain Technologies, Inc........................... 7,800 96,281
*#Palatin Technologies, Inc........................... 62 304
*Palm Harbor Homes, Inc............................... 19,169 410,935
*Pameco Corp.......................................... 2,800 21,875
*Pamida Holdings Corp................................. 4,000 45,000
Pamrapo Bancorp, Inc.................................. 2,300 53,044
Panaco, Inc........................................... 18,100 13,858
*Pancho's Mexican Buffet, Inc......................... 1,666 6,404
*Panera Bread CO...................................... 7,200 50,400
*Par Technology Corp.................................. 7,500 48,750
*Paracelsus Healthcare Corp........................... 44,100 49,613
*Paragon Trade Brands, Inc............................ 7,100 17,750
*Parallel Petroleum Corp.............................. 12,800 25,000
*#Paravant, Inc....................................... 6,500 15,133
*Parexel International Corp........................... 18,800 449,438
Paris Corp............................................ 200 444
Park Electrochemical Corp............................. 10,300 246,556
*Parker Drilling Co................................... 24,000 75,000
*#Parkervision, Inc................................... 9,100 279,825
</TABLE>
27
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Park-Ohio Holdings Corp.............................. 7,934 $ 128,432
Parkvale Financial Corp............................... 3,050 64,241
*Parlex Corp.......................................... 3,900 54,113
*Parlux Fragrances, Inc............................... 8,100 16,453
*Pathogenesis Corp.................................... 13,000 184,031
*#Patient Infosy...................................... 2,600 6,378
Patina Oil & Gas Corp................................. 16,834 86,274
Patrick Industries, Inc............................... 4,700 61,100
*Patterson Energy, Inc................................ 27,780 230,487
*Paul Harris Stores, Inc.............................. 9,700 62,747
Paula Financial, Inc.................................. 6,200 53,281
*Paul-Son Gaming Corp................................. 2,000 12,063
*Paxar Corp........................................... 44,015 398,886
*Paxson Communications Corp........................... 47,200 610,650
*Payless Cashways, Inc................................ 159 328
*Paymentech, Inc...................................... 23,700 593,981
*Peapod, Inc.......................................... 15,300 137,222
*Pediatric Services of America, Inc................... 4,800 7,350
*#Pediatrix Medical Group, Inc........................ 12,000 270,750
Peerless Manufacturing Co............................. 200 2,131
*Pegasus Communications Corp. Class A................. 9,100 429,406
*Pegasystems, Inc..................................... 22,900 192,503
Penford Corp.......................................... 6,600 86,831
Penn Engineering & Manufacturing Corp. Class A........ 600 11,738
Penn Engineering & Manufacturing Corp. Non-voting..... 7,500 161,250
*Penn National Gaming, Inc............................ 12,600 117,731
*#Penn Traffic Co..................................... 9,300 2,046
*Penn Treaty American Corp............................ 7,000 176,313
Penn Virginia Corp.................................... 8,200 158,875
Penn-America Group, Inc............................... 8,450 92,950
#Penncorp Financial Group, Inc........................ 23,300 13,106
Pennfed Financial Services, Inc....................... 6,800 99,025
Pennsylvania Enterprises, Inc......................... 8,500 246,500
*Penske Motorsports, Inc.............................. 11,400 558,956
*Pentacon, Inc........................................ 5,000 24,688
*Penton Media, Inc.................................... 15,800 316,988
*Penwest Pharmaceuticals Company...................... 6,600 57,750
Peoples Bancor........................................ 38,700 402,722
Peoples Bancorp, Inc.................................. 300 5,869
Peoples Bancshares, Inc. Massachusetts................ 2,500 48,594
*Peoples Choice TV Corp............................... 6,350 59,333
*Perceptron, Inc...................................... 7,050 35,691
*Performance Food Group Co............................ 10,800 258,188
*Performance Technologies, Inc........................ 5,800 85,188
*Perfumania, Inc...................................... 5,200 18,038
*Pericom Semiconductor Corp........................... 7,000 58,406
*Perini Corp.......................................... 4,900 24,500
*Periphonics Corp..................................... 11,900 127,181
*Perrigo Co........................................... 67,200 615,300
*Personnel Group of America, Inc...................... 29,500 335,563
*Pervasive Software, Inc.............................. 12,000 202,875
*Petco Animal Supplies, Inc........................... 18,956 267,161
*Petrocorp, Inc....................................... 6,900 41,400
*Petroglyph Energy, Inc............................... 4,400 11,963
*Petroleum Development Corp........................... 13,600 61,838
*#Pharmaceutical Marketing Services, Inc.............. 12,600 186,638
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pharmaceutical Products Development Service Co....... 18,870 $ 501,234
*Pharmaceutical Resources, Inc........................ 24,200 186,038
*Pharmacopeia, Inc.................................... 17,000 150,344
*Pharmacyclics........................................ 11,100 206,044
*Pharmanetics, Inc.................................... 6,100 27,450
*Pharmchem Laboratories, Inc.......................... 4,400 11,413
*Phar-Mor, Inc........................................ 14,200 67,894
*#Pharmos Corp........................................ 6,200 10,269
*#Philadelphia Consolidated Holding Corp.............. 9,800 233,669
Philadelphia Suburban Corp............................ 29,687 653,114
*Phillips (R.H.), Inc................................. 4,600 15,094
Phillips-Van Heusen Corp.............................. 15,000 131,250
*Phoenix Gold International, Inc...................... 1,000 2,500
*Phoenix International Life Sciences, Inc............. 775 6,547
*Phoenix International, Ltd........................... 6,000 37,688
Phoenix Investment Partners, Ltd...................... 40,400 396,425
*Phoenix Network, Inc. (Escrow Shares)................ 10,200 0
*Phoenix Technologies, Ltd............................ 21,287 231,496
*Phonetel Technologies, Inc........................... 13,200 1,043
*Photo Control Corp................................... 1,000 1,688
*Photon Dynamics, Inc................................. 6,500 57,789
*Photran Corp......................................... 1,100 0
*Photronics, Inc...................................... 22,000 435,875
*Phycor, Inc.......................................... 60,900 427,252
*Phymatrix Corp....................................... 30,000 49,219
*Physician Computer Network, Inc...................... 46,100 20,146
*Physician Reliance Network, Inc...................... 47,700 445,697
Piccadilly Cafeterias, Inc............................ 9,500 100,938
*Pico Holdings, Inc................................... 6,661 134,885
*Picturetel Corp...................................... 39,700 351,097
*Pierce Leahy Corp.................................... 13,200 327,525
*Piercing Pagoda, Inc................................. 6,800 83,300
*Pilgrim America Capital Corp......................... 3,600 71,550
Pilgrim Pride Corp.................................... 24,000 496,500
Pillowtex Corp........................................ 13,717 222,901
*Pinnacle Global Group, Inc........................... 1,400 8,575
*Pinnacle Systems, Inc................................ 9,100 468,081
Pioneer Group, Inc.................................... 22,900 400,750
Pioneer Standard Electronics, Inc..................... 18,900 184,866
Pitt-Des Moines, Inc.................................. 7,200 181,800
Pittston Co. Burlington Group......................... 2,000 21,625
Pittston Co. Minerals Group........................... 10,700 16,050
*Plains Resources, Inc................................ 13,700 235,469
*Planar Systems, Inc.................................. 8,600 69,338
*#Planet Hollywood, Inc............................... 124,000 108,500
*Plasma-Therm, Inc.................................... 9,800 30,013
*Play By Play Toys and Novelties, Inc................. 5,900 30,975
*Playboy Enterprises, Inc. Class A.................... 3,800 96,425
*Playboy Enterprises, Inc. Class B.................... 15,036 437,924
*Playcore, Inc........................................ 3,936 23,124
*Players International, Inc........................... 27,550 179,936
*Plexus Corp.......................................... 11,700 358,313
*#Pluma, Inc.......................................... 6,600 825
Pocahontas Bancorp, Inc............................... 4,400 31,625
#Pogo Producing Co.................................... 32,117 588,143
*Polycom, Inc......................................... 26,500 677,406
*Polymedica Industries, Inc........................... 7,100 61,459
*Polymer Group, Inc................................... 37,500 459,375
</TABLE>
28
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pomeroy Computer Resource, Inc....................... 10,375 $ 147,844
*Pool Energy Services Co.............................. 18,900 315,984
Pope & Talbot, Inc.................................... 13,400 134,000
*Porta Systems Corp................................... 6,680 12,943
*#Possis Medical, Inc................................. 11,200 122,150
*Powell Industries, Inc............................... 5,300 52,669
*Powercerv Corp....................................... 10,600 23,188
*Powerhouse Technologies, Inc......................... 8,700 160,678
*Power-One, Inc....................................... 7,700 125,847
*Powertel, Inc........................................ 24,300 602,944
*Powerwave Technologies, Inc.......................... 15,400 355,163
*Praegitzer Industries, Inc........................... 9,500 51,656
*Prandium, Inc........................................ 21,564 12,615
*Precision Response, Corp............................. 19,200 112,800
*Precision Standard, Inc.............................. 950 3,800
Premier Bancshares, Inc............................... 3,800 79,088
*#Premier Laser Systems, Inc. Class A................. 9,900 23,977
Premier National Bancorp.............................. 6,138 105,113
*Premiere Technologies, Inc........................... 41,300 634,988
*Premisys Communications, Inc......................... 22,800 197,363
*Premiumwear, Inc..................................... 1,400 7,788
*Pre-Paid Legal Services, Inc......................... 19,200 510,000
Presidential Life Corp................................ 26,400 484,275
*Presstek, Inc........................................ 28,900 203,203
*#Preview Travel, Inc................................. 8,000 138,500
*Price Communications Corp............................ 40,258 573,677
*Pricesmart, Inc...................................... 3,500 88,375
*Pride International, Inc............................. 42,100 439,419
*Prima Energy Corp.................................... 3,500 59,609
*Primark Corp......................................... 17,200 465,475
Prime Bancorp, Inc.................................... 9,930 267,489
*Prime Hospitality Corp............................... 44,100 460,294
*Prime Medical Services, Inc.......................... 7,300 54,522
Primesource Corp...................................... 2,581 16,857
*Primix Solutions, Inc................................ 11,200 32,725
*Primus Telecommunications Group, Inc................. 25,229 420,221
*Printrak International, Inc.......................... 10,100 67,544
*Printronix, Inc...................................... 5,925 83,691
*Printware, Inc....................................... 3,900 9,263
*Priority Healthcare Corp............................. 3,538 121,398
*#Procept, Inc........................................ 347 576
*Procom Technology, Inc............................... 8,400 36,488
*Procurenet, Inc...................................... 19,700 0
*Procyte Corp......................................... 3,600 2,644
*Profit Recovery Group International, Inc............. 20,000 736,250
*Programmers Paradise, Inc............................ 3,400 37,188
Progress Financial Corp............................... 3,667 61,193
*Progress Software Corp............................... 15,450 403,631
*Project Software & Development, Inc.................. 8,800 250,800
*ProMedCo Management Company.......................... 12,000 49,125
*Prophet 21, Inc...................................... 1,500 13,406
*Protection One, Inc.................................. 4,000 21,875
*Protein Design Labs, Inc............................. 16,700 326,694
*Protocol Systems, Inc................................ 5,800 55,281
*Provant, Inc......................................... 7,000 110,250
Providence & Worcester Railroad Co.................... 800 11,400
Providence Energy Corp................................ 5,300 114,281
*#Provident American Corp............................. 8,500 220,469
Provident Bankshares Corp............................. 19,548 453,269
*Provident Financial Holdings, Inc.................... 3,300 61,359
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Proxim, Inc.......................................... 8,700 $ 332,775
*Proxymed, Inc........................................ 14,300 192,603
Psychemedics Corp..................................... 20,000 97,500
Public Service Co. of North Carolina.................. 18,200 527,800
Pulaski Furniture Corp................................ 1,300 27,138
*Pulsepoint Communications Corp....................... 3,575 19,327
*Puma Technology, Inc................................. 10,200 51,638
*Pure World, Inc...................................... 7,480 32,258
*Pyramid Breweries, Inc............................... 5,700 11,133
*QC Optics, Inc....................................... 1,900 2,256
*QEP Co., Inc......................................... 1,300 9,913
*QMS, Inc............................................. 9,600 42,600
*QRS Corp............................................. 6,000 445,500
*Qad, Inc............................................. 23,600 81,863
*Quad Systems Corp.................................... 3,600 6,863
*QuadraMed Corp....................................... 1,406 14,368
Quaker Chemical Corp.................................. 7,900 137,263
*Quaker City Bancorp, Inc............................. 2,187 36,632
*Quaker Fabric Corp................................... 14,050 70,689
*Quality Dining, Inc.................................. 10,100 30,931
*Quality Systems, Inc................................. 4,200 24,413
Quanex Corp........................................... 11,300 295,213
Queens County Bancorp................................. 18,000 568,125
*Quest Educational Corporation........................ 6,600 74,044
*Quidel Corp.......................................... 21,300 49,256
*#Quigley Corp........................................ 12,000 59,438
*Quiksilver, Inc...................................... 17,250 491,625
*Quintel Entertainment, Inc........................... 14,900 24,445
Quipp, Inc............................................ 1,400 19,250
Quixote Corp.......................................... 5,900 77,438
*Quorum Health Group, Inc............................. 5,900 73,934
*R & B, Inc........................................... 5,700 48,450
*R H Donnelley Corp................................... 20,500 389,500
*RCM Technologies, Inc................................ 9,200 133,113
*RDO Equipment Co. Class A............................ 5,500 50,875
*RF Monolithics, Inc.................................. 4,600 31,769
RLI Corp.............................................. 9,425 350,492
*RMH Teleservices, Inc................................ 5,700 16,922
RPC, Inc.............................................. 10,100 90,900
*RTI International Metals, Inc........................ 20,100 267,581
*RTW, Inc............................................. 10,800 68,850
*Racing Champions Corp................................ 14,400 248,400
*Radiance Medical Systems, Inc........................ 8,988 25,279
*Radiant Systems, Inc................................. 12,800 160,400
*Rag Shops, Inc....................................... 2,300 5,606
*Ragen Mackenzie Group, Inc........................... 10,500 110,250
*Railamerica, Inc..................................... 8,800 85,250
*Railtex, Inc......................................... 5,000 69,375
*Rainbow Technologies, Inc............................ 9,000 89,719
*Rainforest Cafe, Inc................................. 23,000 124,344
*Ralcorp Holdings, Inc................................ 29,300 553,038
*#Rally's Hamburgers, Inc............................. 18,300 12,581
Ramapo Financial Corp................................. 6,500 80,031
*Ramsay Youth Services, Inc........................... 6,400 37,400
*#Ramtron International Corp.......................... 28,800 14,850
Range Resources Corp.................................. 9,000 43,313
*Rare Hospitality International, Inc.................. 10,881 248,903
*#Rare Medium Corp.................................... 24,600 292,125
Raven Industries, Inc................................. 2,600 41,600
*Rawlings Sporting Goods, Inc......................... 7,000 69,781
*Raytech Corp. DE..................................... 2,400 8,100
*Raytel Med Corp...................................... 6,200 31,969
</TABLE>
29
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Reading Entertainment, Inc........................... 4,800 $ 37,950
*Read-Rite Corp....................................... 49,000 321,563
*Recoton Corp......................................... 14,966 149,426
*Recovery Engineering, Inc............................ 4,000 54,500
*#Recycling Industries, Inc........................... 12,700 508
*Red Roof Inns, Inc................................... 17,700 318,600
*Redhook Ale Brewery, Inc............................. 6,900 27,384
Redwood Empire Bancorp................................ 2,300 59,225
*Reeds Jewelers, Inc.................................. 440 1,430
Regal Beloit Corp..................................... 18,800 437,100
*Regeneron Pharmaceuticals, Inc....................... 23,300 165,648
Regis Corp............................................ 12,025 290,479
*Rehabcare Group, Inc................................. 5,750 123,625
*Rehabilicare, Inc.................................... 7,500 22,969
*Reliability, Inc..................................... 4,800 19,650
Reliance Bancorp, Inc................................. 7,700 215,359
Reliance Steel and Aluminum Co........................ 15,000 534,375
Reliv International, Inc.............................. 7,750 14,410
*Relm Wireless Corp................................... 4,100 9,866
*Remec, Inc........................................... 22,000 285,313
*Remedy Corp.......................................... 26,300 502,166
*Remington Oil & Gas Corp............................. 14,460 60,099
*Renaissance Worldwide, Inc........................... 42,000 301,875
*Renex Corp........................................... 6,300 29,531
*Rent-A-Center, Inc................................... 20,000 515,625
*Rental Service Corp.................................. 21,299 508,533
*Rentrak Corp......................................... 9,300 36,909
*Rent-Way, Inc........................................ 15,281 383,935
*Repligen Corp........................................ 14,400 41,400
*#Reptron Electronics, Inc............................ 4,600 19,119
Republic Bancorp, Inc................................. 33,004 423,895
*Republic Bankshares, Inc............................. 7,500 143,906
*Republic First Bancorp, Inc.......................... 5,434 41,434
Republic Group, Inc................................... 9,370 167,489
Republic Security Financial Corp...................... 39,682 331,097
*#Res-Care, Inc....................................... 16,850 351,744
*Research Partners International, Inc................. 6,700 24,916
*Resound Corp......................................... 18,500 141,930
Resource America, Inc................................. 19,700 283,803
Resource Bancshares Mortgage Group, Inc............... 28,408 295,621
*Respironics, Inc..................................... 29,248 471,624
*Response Oncology, Inc............................... 10,456 33,655
*Restrac, Inc......................................... 8,000 38,500
*Rex Stores Corp...................................... 6,600 136,125
*Rexhall Industries, Inc.............................. 1,157 11,678
*Rexx Environmental Corp.............................. 800 1,000
*Ribi Immunochem Research, Inc........................ 16,400 32,288
*Ribozyme Pharmaceuticals............................. 7,300 37,755
Richardson Electronics, Ltd........................... 11,000 72,531
*Richfood Holdings, Inc............................... 7,900 101,959
Richmond County Financial Corp........................ 6,720 123,060
*Riddell Sports, Inc.................................. 7,255 21,765
*Ride, Inc............................................ 5,400 5,738
Riggs National Corp................................... 22,600 375,019
*Right Management Consultants, Inc.................... 5,300 88,113
*Right Start, Inc..................................... 2,600 21,775
*Rightchoice Managed Care, Inc. Class A............... 2,400 28,800
*Rimage Corp.......................................... 4,000 51,125
*Riverside Group, Inc................................. 1,000 1,719
Riverview Bancorp, Inc................................ 4,900 58,494
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rivianna Foods, Inc................................... 12,500 $ 251,563
*Riviera Holdings Corporation......................... 2,500 12,188
*Roadhouse Grill, Inc................................. 6,900 46,359
Roadway Express, Inc.................................. 16,400 316,725
Roanoke Electric Steel Corp........................... 9,900 158,400
Robbins & Myers, Inc.................................. 8,800 210,100
*Roberds, Inc......................................... 4,900 12,097
*Roberts Pharmaceutical Corp.......................... 25,000 475,000
*Robertson-Ceco Corp.................................. 14,518 159,698
*Robinson Nugent, Inc................................. 2,400 9,375
*Robocom Systems, Inc................................. 800 1,375
*Robotic Vision Systems, Inc.......................... 10,600 30,309
*Rochester Medical Corp............................... 4,900 54,819
*Rock Bottom Restaurants, Inc......................... 6,500 58,398
*Rock of Ages Co...................................... 2,700 28,856
*Rockshox, Inc........................................ 15,100 15,100
Rock-Tenn Co. Class A................................. 20,100 304,013
*Rocky Mountain Chocolate Factory..................... 1,900 10,866
*Rocky Shoes & Boots, Inc............................. 3,500 23,516
*Rofin-Sinar Technologies, Inc........................ 11,100 91,228
*Rogers Corp.......................................... 10,000 285,000
*Rogue Wave Software, Inc............................. 9,300 81,375
*Rohn Industries, Inc................................. 47,600 69,913
Rollins Truck Leasing Corp............................ 50,300 547,013
Rollins, Inc.......................................... 29,400 494,288
*Romac International, Inc............................. 49,300 710,228
*Ross Systems, Inc.................................... 18,600 37,781
*Rottlund, Inc........................................ 2,300 11,500
Rouge Industries, Inc. Class A........................ 12,100 105,875
Rowe Furniture Corp................................... 12,200 129,625
*Royal Appliance Manufacturing Co..................... 19,500 87,750
Royal Bancshares of Pennsylvania Class A.............. 2,754 42,859
*Royal Energy, Inc.................................... 2,300 7,619
*Royal Precision, Inc................................. 550 1,891
Ruby Tuesday, Inc..................................... 29,500 547,594
*Rural Cellular Corp. Class A......................... 7,300 119,081
*Rural/Metro Corp..................................... 13,000 96,688
*Rush Enterprises, Inc................................ 4,700 74,906
Russ Berrie & Co., Inc................................ 20,100 516,319
*Rwd Technologies, Inc................................ 13,400 214,400
*Ryans Family Steak Houses, Inc....................... 35,600 411,625
Ryland Group, Inc..................................... 11,600 322,625
*S&K Famous Brands, Inc............................... 6,500 62,766
S&T Bancorp, Inc...................................... 16,200 404,494
*S3, Inc.............................................. 46,100 309,734
*SAGA Systems, Inc.................................... 10,000 117,500
*SBE, Inc............................................. 1,900 9,975
*SBS Technologies, Inc................................ 4,500 83,250
*SCC Communications Corp.............................. 5,300 20,703
*SCP Pool Corp........................................ 9,300 176,700
SCPIE Holdings, Inc................................... 10,200 290,700
*SED International Holdings, Inc...................... 9,450 23,920
*SEEC, Inc............................................ 4,600 19,838
SEMCO Energy, Inc..................................... 14,502 204,841
*SEMX Corp............................................ 5,200 15,763
*SGV Bancorp, Inc..................................... 1,400 16,888
SI Handling, Inc...................................... 2,525 27,459
SJNB Financial Corp................................... 1,300 36,075
SJW Corp.............................................. 1,600 104,800
SL Industries, Inc.................................... 9,200 110,975
*SLI, Inc............................................. 26,600 861,175
</TABLE>
30
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SM&A Corp............................................ 5,000 $ 35,625
*SMC Corp............................................. 5,600 29,050
*SOS Staffing Services, Inc........................... 11,400 69,113
*SPR, Inc............................................. 1,100 7,391
*SPS Technologies, Inc................................ 10,100 427,988
*SPSS, Inc............................................ 11,700 275,316
*SRS Labs, Inc........................................ 9,600 27,300
*SSE Telecom, Inc..................................... 3,500 4,102
*#STAR Telecommunications, Inc........................ 13,300 118,869
*STM Wireless, Inc. Class A........................... 5,900 15,856
*SVI Holdings, Inc.................................... 20,000 245,000
*#SYNC Research, Inc.................................. 15,400 7,700
*#Sabratek Corp....................................... 8,400 191,100
*Safeguard Health Enterprises, Inc.................... 4,400 12,650
*Safeskin Corp........................................ 17,600 220,000
*Safety 1st, Inc...................................... 5,900 31,344
*Safety Components International, Inc................. 4,100 21,269
*Saga Communications, Inc. Class A.................... 7,010 139,324
*Salient 3 Communications, Inc. Class A............... 2,400 19,875
*Salton/Maxim Housewares, Inc......................... 11,800 504,450
*#Samsonite Corp...................................... 8,318 52,507
*San Filippo (John B.) & Son, Inc..................... 5,000 17,344
*#Sanchez Computer Associates, Inc.................... 9,300 637,631
Sanderson Farms, Inc.................................. 11,000 146,438
*Sandisk Corp......................................... 16,000 500,000
*Sands Regent Casino Hotel............................ 2,000 3,750
*Sangstat Medical Corp................................ 12,800 177,200
*Santa Cruz Operation, Inc............................ 30,700 181,322
*Santa Fe Snyder Corp................................. 91,080 774,180
*Satcon Technology Corp............................... 8,100 62,269
*Saucony, Inc. Class A................................ 1,000 17,719
*Saucony, Inc. Class B................................ 1,500 25,406
*Savoir Technology Group, Inc......................... 9,900 95,906
*Sawtek, Inc.......................................... 19,200 763,200
*Sbarro, Inc.......................................... 18,700 509,575
*Scan-Optics, Inc..................................... 5,900 19,728
*ScanSource, Inc...................................... 4,400 92,125
Schawk, Inc. Class A.................................. 25,200 300,825
*Scheid Vineyards, Inc................................ 2,300 12,147
*#Schick Technologies, Inc............................ 9,000 39,656
*Schieb (Earl), Inc................................... 2,200 10,313
*Schlotzskys, Inc..................................... 6,200 64,713
*Schmitt Industries, Inc.............................. 9,500 27,313
Schnitzer Steel Industries, Inc. Class A.............. 4,400 66,550
*Schuff Steel Company................................. 4,500 27,844
*Schuler Homes, Inc................................... 20,100 145,725
Schulman (A.), Inc.................................... 28,500 475,594
Schultz Sav-O Stores, Inc............................. 2,550 42,075
Schweitzer-Maudoit Int'l, Inc......................... 13,500 206,719
*#Sciclone Pharmaceuticals, Inc....................... 13,700 19,694
*Scientific Games Holdings Corp....................... 8,700 156,056
Scientific Technologies, Inc.......................... 6,700 43,759
*Scios-Nova, Inc...................................... 34,487 124,477
Scotsman Industries, Inc.............................. 8,900 183,006
*Scott Technologies, Inc.............................. 14,900 281,703
*Scotts Co. Class A................................... 13,100 576,400
*Scott's Liquid Gold, Inc............................. 7,100 10,206
*Seachange International, Inc......................... 11,000 107,250
Seacoast Banking Corp. Class A........................ 1,500 49,688
*Seacoast Financial Services Corp..................... 5,746 58,358
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Seacor Smit, Inc..................................... 6,700 $ 332,488
*Seamed Corp.......................................... 4,900 55,125
*Seattle Filmworks, Inc............................... 12,900 41,522
Seaway Food Town, Inc................................. 600 10,500
*Secom General Corp................................... 140 319
Second Bancorp, Inc................................... 600 13,519
*Secure Computing Corp................................ 20,800 78,325
*Security Dynamics Technologies, Inc.................. 25,800 489,394
*Security First Technologies Corp..................... 16,800 641,550
*Seeq Technology, Inc. DE............................. 4,800 14,325
*Segue Software, Inc.................................. 23,400 148,444
*Seibels Bruce Group, Inc............................. 5,400 26,325
*Seitel, Inc.......................................... 20,400 322,575
Selas Corp. of America................................ 900 5,288
Selective Insurance Group, Inc........................ 26,200 491,250
*#Selfcare, Inc....................................... 12,000 36,000
*Semitool, Inc........................................ 11,600 98,963
*Semtech Corp......................................... 13,100 548,563
*Seneca Foods Corp. Class A........................... 200 2,850
*Seneca Foods Corp. Class B........................... 1,100 15,813
*Sensormatic Electronics Corp......................... 34,000 454,750
*Sensory Science Corp................................. 9,600 27,600
*Sequa Corp. Class A.................................. 3,600 208,350
*Sequa Corp. Class B.................................. 1,700 119,425
*Sequent Computer Systems, Inc........................ 39,100 510,744
*Sergagen Inc. (Escrow Shares)........................ 8,300 0
*Serologicals Corp.................................... 10,950 86,573
*Service Experts, Inc................................. 17,500 324,844
*#Service Merchandise Co., Inc........................ 67,800 27,544
*Servotronics, Inc.................................... 900 4,500
Sevenson Environmental Services, Inc.................. 2,080 20,930
*#Shaman Pharmaceuticals.............................. 14,000 1,680
*#Sharper Image Corp.................................. 7,600 68,875
*Sheffield Medical Technologies, Inc.................. 20,950 58,922
Shelby Williams Industries, Inc....................... 7,100 116,263
*#Sheldahl, Inc....................................... 8,500 51,266
*Shells Seafood Restaurants, Inc...................... 3,900 17,184
*Shiloh Industries, Inc............................... 6,500 80,641
*Shoe Carnival, Inc................................... 11,900 192,631
*Sholodge, Inc........................................ 3,600 17,325
*Shoney's, Inc........................................ 45,000 104,063
*#Shop At Home, Inc................................... 18,900 165,966
Shoreline Financial Corp.............................. 2,646 71,607
*Shorewood Packaging Corp............................. 22,350 382,744
*Showscan Entertainment, Inc.......................... 2,800 1,120
*Shuffle Master, Inc.................................. 6,300 43,706
*Sierra Health Services, Inc.......................... 22,427 342,012
Sierrawest Bancorp.................................... 3,570 111,674
Sifco Industries, Inc................................. 300 2,663
*Sight Resource Corp.................................. 7,100 27,734
*Sigma Designs, Inc................................... 13,000 84,906
*Sigmatron International, Inc......................... 1,400 6,650
*Signal Apparel Co., Inc. Class A..................... 6,200 7,363
*Signal Technology Corp............................... 5,100 27,413
*Signature Eyewear, Inc............................... 2,000 7,750
*Silgan Holdings, Inc................................. 15,000 302,813
*#Silicon Gaming, Inc................................. 9,600 7,200
*Silicon Storage Technology, Inc...................... 18,300 89,784
*Silicon Valley Bancshares............................ 18,500 354,391
*Silicon Valley Group, Inc............................ 29,600 408,850
*Siliconix, Inc....................................... 4,000 143,000
</TABLE>
31
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Silverleaf Resorts, Inc.............................. 10,300 $ 79,825
*Simione Central Holdings, Inc........................ 6,600 17,634
Simmons First National Corp.
Class A............................................. 4,550 152,994
*Simon Transportation Services, Inc................... 4,800 27,900
Simpson Industries, Inc............................... 17,350 174,584
*#Simula, Inc......................................... 13,900 74,713
*Sipex Corp........................................... 14,200 229,863
*Sirena Apparel Group, Inc............................ 3,400 14,556
*Sitel Corp........................................... 69,800 191,950
*Sizzler International, Inc........................... 11,500 23,000
Skaneateles Bancorp, Inc.............................. 900 21,966
Sky Financial Group, Inc.............................. 10,274 301,157
*SkyePharma P.L.C. ADR................................ 1,220 10,562
Skyline Corp.......................................... 6,599 205,833
*#SkyMall, Inc........................................ 6,800 73,738
Skywest, Inc.......................................... 19,300 447,519
Smart & Final Food, Inc............................... 17,400 166,388
*Smart Modular Technologies, Inc...................... 40,000 606,250
*#Smartalk Teleservices, Inc.......................... 23,300 0
*Smartflex Systems, Inc............................... 3,800 16,388
Smith (A.O.) Corp..................................... 12,750 310,781
Smith (A.O.) Corp. Convertible Class A................ 3,750 90,938
*Smith Micro Software, Inc............................ 2,000 4,594
*Smithway Motor Express Corp. Class A................. 2,000 20,438
Smucker (J.M.) Co. Class A............................ 11,500 237,906
Smucker (J.M.) Co. Class B............................ 13,000 227,500
*Socrates Technolgies Corp............................ 11,000 16,156
*Sodak Gaming, Inc.................................... 17,400 159,863
*Softech, Inc......................................... 3,500 8,094
*Softnet Systems, Inc................................. 7,336 190,278
*#Software Spectrum, Inc.............................. 2,600 35,181
*Sola International, Inc.............................. 23,100 385,481
Somerset Group, Inc................................... 312 5,538
*Sonic Corp........................................... 14,850 408,839
*Sonic Solutions...................................... 7,500 36,797
*Sonosight, Inc....................................... 3,633 63,350
*Sonus Pharmaceuticals, Inc........................... 7,800 46,069
*Sound Advice, Inc.................................... 3,022 9,397
*#Source Media, Inc................................... 9,600 157,500
South Jersey Industries, Inc.......................... 8,648 242,144
*Southern Energy Homes, Inc........................... 11,925 55,153
*Southern Mineral Corp................................ 8,200 3,203
*#Southern Pacific Funding Corp....................... 19,600 2,156
*Southern Union Co.................................... 26,708 604,269
*Southwall Technologies, Inc.......................... 5,400 17,128
Southwest Bancorp, Inc................................ 1,500 34,453
*Southwest Bancorporation of Texas, Inc............... 7,000 118,125
Southwest Gas Corp.................................... 22,000 621,500
Southwest Securities Group, Inc....................... 10,257 684,655
Southwest Water Co.................................... 2,730 40,268
Southwestern Energy Co................................ 21,900 206,681
*Spacehab, Inc........................................ 8,900 48,672
*Spacelabs Medical, Inc............................... 8,500 132,281
Span-American Medical System, Inc..................... 2,400 10,425
Spartan Motors, Inc................................... 14,000 80,938
Spartech Corp......................................... 23,200 565,500
*Sparton Corp......................................... 7,200 44,550
*Spatial Technology, Inc.............................. 4,600 17,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Specialty Equipment Co., Inc......................... 14,600 $ 423,400
*#SpectraLink Corp.................................... 17,000 68,531
*Spectran Corp........................................ 4,900 45,095
*Spectranetics Corp................................... 18,302 47,471
*Spectra-Physics Laser, Inc........................... 1,000 8,031
*Spectrian Corp....................................... 8,700 109,838
*Spectrum Control, Inc................................ 10,600 65,588
*#SpectRx, Inc........................................ 6,400 48,400
*SpeedFam-IPEC, Inc................................... 26,447 345,464
*Speizman Industries, Inc............................. 2,300 7,475
*#Spire Corp.......................................... 3,200 9,900
*Splash Technology Holdings, Inc...................... 4,300 34,131
*Sport Chalet, Inc.................................... 2,700 15,863
*Sport Supply Group, Inc.............................. 5,800 60,900
*Sport-Haley, Inc..................................... 3,500 15,203
*Sports Authority, Inc................................ 36,800 184,000
*Sports Club Co., Inc................................. 17,700 79,650
*Sportsman's Guide, Inc............................... 4,000 20,063
Springs Industries, Inc. Class A...................... 2,100 83,213
*Spyglass, Inc........................................ 13,500 260,297
St. Francis Capital Corp.............................. 5,800 114,731
St. John Knits, Inc................................... 16,200 463,725
St. Joseph Light & Power Co........................... 49,600 1,026,100
St. Mary Land & Exploration Co........................ 10,100 200,106
St. Paul Bancorp, Inc................................. 7,020 182,081
*Staar Surgical Co.................................... 12,100 143,688
*Stac Software, Inc................................... 5,375 31,578
*Staff Leasing, Inc................................... 22,400 255,500
*Staffmark, Inc....................................... 23,500 256,297
*Stage II Apparel Corp................................ 1,700 3,294
Standard Commercial Corp.............................. 10,329 65,847
*Standard Management Corp............................. 6,300 40,753
*Standard Microsystems Corp........................... 12,300 96,094
Standard Motor Products, Inc. Class A................. 10,400 247,650
Standard Pacific Corp. DE............................. 26,500 347,813
Standard Products Co.................................. 13,300 296,756
Standex International Corp............................ 10,500 274,313
*Stanford Telecommunications, Inc..................... 10,400 242,450
*Stanley Furniture, Inc............................... 6,600 137,775
*Star Buffet, Inc..................................... 2,800 16,975
*Star Multi Care Services, Inc........................ 4,085 5,042
*Starcraft Corp....................................... 2,500 9,766
*Starmet Corp......................................... 13,000 50,375
Starrett (L.S.) Co. Class A........................... 3,500 95,156
*Startec Global Communications Corp................... 700 5,731
*Starter Corp......................................... 24,300 30,375
State Auto Financial Corp............................. 37,700 459,469
State Financial Services Corp. Class A................ 1,872 25,799
*Station Casinos, Inc................................. 27,100 469,169
*Steel Dynamics, Inc.................................. 34,300 585,244
Steel Technologies, Inc............................... 9,000 80,719
*Stein Mart, Inc...................................... 41,100 377,606
*Steinway Musical Instruments, Inc.................... 7,100 165,519
Stepan Co............................................. 7,900 195,031
Stephan Co............................................ 2,700 13,163
*Stericycle, Inc...................................... 11,400 148,913
*Sterigenics Intl, Inc................................ 6,000 94,500
Sterling Bancorp...................................... 5,400 110,700
Sterling Bancshares................................... 18,337 230,359
*Sterling Financial Corp. WA.......................... 5,820 87,664
</TABLE>
32
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sterling Vision, Inc................................. 13,200 $ 51,563
Stewart & Stevenson Services, Inc..................... 25,000 277,344
Stewart Information Services Corp..................... 10,200 198,263
Stifel Financial Corp................................. 5,651 54,038
*Stimsonite Corp...................................... 6,400 64,200
Stone & Webster, Inc.................................. 9,800 240,100
*Stone Energy Corp.................................... 13,600 512,550
*Storage Computer Corp................................ 8,900 17,800
*#Stormedia, Inc. Class A............................. 8,200 8
*#Stratasys, Inc...................................... 4,400 16,500
*Strategia Corp....................................... 3,300 4,538
*Strategic Diagnostics, Inc........................... 1,000 3,969
*Strategic Distribution, Inc.......................... 40,292 93,805
*Strattec Security Corp............................... 4,000 123,250
*Stratus Properties, Inc.............................. 11,100 52,031
*Strawbridge and Clothier Liquidating Trust........... 4,200 935
Strayer Ed, Inc....................................... 12,400 363,475
Stride Rite Corp...................................... 56,800 592,850
*Strouds, Inc......................................... 7,200 12,150
*Structural Dynamics Research Corp.................... 32,600 578,650
*Stuart Entertainment, Inc............................ 2,700 540
Sturm Ruger & Co., Inc................................ 24,200 270,738
*Suburban Lodges of America, Inc...................... 14,300 96,078
*Success Bancshares, Inc.............................. 200 2,175
*Successories, Inc.................................... 8,000 25,000
Suffolk Bancorp....................................... 4,300 115,025
*#Sugen, Inc.......................................... 14,800 304,325
Summit Bancshares, Inc................................ 2,000 36,375
*Summit Design, Inc................................... 13,700 36,177
*Summit Technology, Inc............................... 19,208 378,758
*#Sun Healthcare Group, Inc........................... 56,083 63,093
Sun Hydraulics, Inc................................... 4,400 39,050
*Sun Television and Appliances, Inc................... 15,300 214
*Sunair Electronics, Inc.............................. 3,000 8,813
*#Sunbeam Corp........................................ 18,700 132,069
*Sunburst Hospi....................................... 3,200 17,800
*Sundance Homes, Inc.................................. 3,000 2,063
*Sunglass Hut International, Inc...................... 45,300 687,994
*Sunquest Information Systems, Inc.................... 11,800 155,613
*#Sunrise Assisted Living, Inc........................ 16,999 632,182
*Sunrise Medical, Inc................................. 21,700 180,381
*Sunrise Resources, Inc............................... 5,500 22,516
*#Sunrise Technologies International, Inc............. 42,000 544,688
*Sunterra Corp........................................ 28,700 389,244
*Superconductor Technologies, Inc..................... 5,400 15,188
*#Supergen, Inc....................................... 12,200 212,356
*Superior Consultant Holdings Corp.................... 8,200 306,475
*Superior Energy Services, Inc........................ 24,000 112,500
Superior Industries International, Inc................ 500 12,469
*Superior National Insurance Group, Inc............... 8,600 174,150
Superior Surgical Manufacturing Co., Inc.............. 9,900 133,650
Superior Telecom, Inc................................. 16,125 477,703
*Supertex, Inc........................................ 26,500 250,094
*Suprema Specialties, Inc............................. 4,600 28,319
*Supreme Industries, Inc.............................. 7,456 72,230
*Supreme International Corp........................... 4,700 50,672
*Surety Capital Corp.................................. 4,000 6,000
Susquehanna Bancshares, Inc........................... 29,493 536,404
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Swift Energy Corp.................................... 14,780 $ 191,216
*Swisher International, Inc........................... 700 788
*Swiss Army Brands, Inc............................... 6,300 52,172
*Sybase, Inc.......................................... 101,700 988,397
*Sybron Chemicals, Inc................................ 1,100 21,381
*Sykes Enterprises, Inc............................... 2,000 62,375
*Sylvan, Inc.......................................... 5,700 64,838
*Symix Systems, Inc................................... 4,800 53,850
*Symmetricom, Inc..................................... 14,300 90,269
*Symons International Group, Inc...................... 8,300 39,684
*Symphonix Devices, Inc............................... 2,800 9,188
*Syms Corp............................................ 11,900 94,456
Synalloy Corp. DE..................................... 4,300 35,475
*Synaptic Pharmaceutical Corp......................... 9,600 58,200
*Synbiotics Corp...................................... 8,100 30,881
*Syncor International Corp. DE........................ 9,000 304,875
*#Syntel, Inc......................................... 46,500 502,781
*Syntellect, Inc...................................... 12,000 18,750
*Synthetech, Inc...................................... 11,100 62,784
*Synthetic Industries, Inc............................ 8,500 190,984
*Syntroleum Corp...................................... 5,250 38,391
*Sypris Solutions, Inc................................ 2,250 20,391
*System Software Associates, Inc...................... 42,800 86,269
*Systemax, Inc........................................ 32,900 448,263
*Systems & Computer Technology Corp................... 30,600 500,119
*T-HQ, Inc............................................ 300 7,059
*T-Netix, Inc......................................... 7,200 42,750
*TALK.com, Inc........................................ 32,600 337,206
TB Woods Corp......................................... 4,700 54,931
*TBA Entertainment Corp............................... 9,000 39,656
*TBC Corp............................................. 21,250 150,742
TCBY Enterprises, Inc................................. 18,800 124,550
*TCC Industries, Inc.................................. 1,100 117
*TCI International, Inc............................... 1,200 3,488
*TCSI Corp............................................ 22,500 58,711
*TEAM America Corp.................................... 2,800 13,213
*TESSCO Technologies, Inc............................. 3,700 80,013
TF Financial Corp..................................... 2,600 53,300
*TFC Enterprises, Inc................................. 6,600 15,881
*#TII Industries, Inc................................. 5,360 9,715
TJ International, Inc................................. 13,600 368,900
*TMBR/Sharp Drilling, Inc............................. 4,300 24,859
TNP Enterprises, Inc.................................. 13,200 492,525
*TRC Companies, Inc................................... 5,600 28,350
*TRM Copy Centers Corp................................ 4,800 29,700
*#TRO Learning, Inc................................... 4,800 29,700
*TSI International, Inc............................... 19,800 436,838
TSI, Inc. MN.......................................... 8,600 90,838
*TSR, Inc............................................. 4,800 36,000
*TST/Impreso, Inc..................................... 3,600 17,550
Tab Products Co. DE................................... 4,100 26,650
*Taco Cabana, Inc..................................... 13,800 146,194
*Take Two Interactive Software........................ 17,800 145,181
Talbots, Inc.......................................... 10,000 317,500
*Tandy Brand Accessories, Inc......................... 3,700 58,853
*Tandy Crafts, Inc.................................... 11,500 38,813
*Targeted Genetics Corp............................... 37,700 61,852
*Tarrant Apparel Group................................ 10,700 325,681
Tasty Baking Co....................................... 5,375 67,188
*#Tatham Off-Shore, Inc............................... 9,400 4,113
*#Tava Technologies, Inc.............................. 16,000 117,250
</TABLE>
33
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Team, Inc............................................. 6,100 $ 20,588
Tech/Ops Sevcon, Inc.................................. 1,700 23,588
*Techdyne, Inc........................................ 4,200 16,275
*Techforce Corp....................................... 6,600 50,325
*Techne Corp.......................................... 16,600 417,075
*#Technical Chemicals & Products, Inc................. 13,000 16,047
*Technical Communications Corp........................ 400 1,063
*Technisource, Inc.................................... 7,600 45,125
Technitrol, Inc....................................... 14,600 434,350
*Technology Research Corp............................. 4,100 4,420
*Technology Solutions Corp............................ 36,750 341,086
*Tech-Sym Corp........................................ 4,900 107,494
*Tegal Corp........................................... 8,500 29,484
Tejon Ranch Co........................................ 12,000 319,500
*Tekelec.............................................. 36,400 367,413
*Telcom Semiconductor, Inc............................ 13,200 75,488
*#Telegroup, Inc...................................... 30,500 3,050
*Telescape International, Inc......................... 5,100 39,684
*Teletech Holdings, Inc............................... 54,500 407,047
*Teltrend, Inc........................................ 5,200 98,475
*#Telular Corp........................................ 3,200 10,450
Telxon Corp........................................... 12,900 135,047
*Temtex Industries, Inc............................... 2,000 4,938
Tennant Co............................................ 4,000 136,500
*#Tera Computer Co.................................... 8,100 40,753
*Terex Corp........................................... 18,700 578,531
Terra Industries, Inc................................. 95,400 375,638
*Tesoro Petroleum Corp................................ 42,200 498,488
*Tesseract Group, Inc................................. 7,600 25,888
*Tetra Tech, Inc...................................... 22,945 487,581
*Tetra Technologies, Inc.............................. 13,200 112,200
*Texas Biotechnology Corp............................. 28,600 112,613
Texas Industries, Inc................................. 17,000 618,375
*Texas Micro, Inc..................................... 10,800 68,513
Texas Regional Banchshares, Inc. Class A.............. 11,500 313,375
*Thackeray Corp....................................... 3,600 13,050
The Dexter Corp....................................... 20,900 809,875
*Theragenics Corp..................................... 17,500 131,250
*Thermatrix, Inc...................................... 5,400 17,888
*Thermedics, Inc...................................... 31,100 268,238
*Thermo Bioanalysis Corp.............................. 14,700 268,275
*Thermo Cardiosystems, Inc............................ 29,900 356,931
*Thermo Ecotek Corp................................... 21,100 224,188
*Thermo Fibergen, Inc................................. 6,800 79,900
*#Thermo Fibertek, Inc................................ 52,900 393,444
*Thermo Optek Corp.................................... 39,700 406,925
*Thermo Power Corp.................................... 9,000 104,063
*Thermo Sentron, Inc.................................. 7,900 104,675
*Thermo Terratech, Inc................................ 12,000 69,000
*Thermolase Corp...................................... 32,700 77,663
*ThermoQuest Corp..................................... 40,800 520,200
Thermoretec Corp...................................... 8,100 33,413
*Thermospectra Corp................................... 12,300 189,881
*Thermotrex Corp...................................... 14,900 121,994
*Thermwood Corp....................................... 200 1,394
*Thomas Group, Inc.................................... 5,300 47,038
Thomas Industries, Inc................................ 12,850 260,213
Thomaston Mills, Inc.................................. 1,900 5,759
Thor Industries, Inc.................................. 9,750 256,547
*Thoratec Laboratories Corp........................... 16,300 134,475
*#Thorn Apple Valley, Inc............................. 4,600 7,763
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Three-Five Systems, Inc.............................. 7,100 $ 95,406
*Thrustmaster, Inc.................................... 3,100 76,434
*Tier Technologies, Inc. Class B...................... 3,000 21,234
*Timberland Bancorp, Inc.............................. 4,100 47,022
*Timberland Co. Class A............................... 7,200 466,200
Timberline Software Corp.............................. 17,400 293,625
*Tipperary Corp....................................... 10,500 17,719
*Titan Corp........................................... 29,590 234,871
Titan International, Inc.............................. 19,100 179,063
*Titan Pharmaceuticals, Inc........................... 9,600 28,800
Titanium Metals Corp.................................. 26,100 182,700
*Today's Man, Inc..................................... 4,300 5,509
*Todd Shipyards Corp.................................. 7,900 42,463
Todd-AO Corp. Class A................................. 220 1,561
*Toddhunter International, Inc........................ 3,900 32,175
*Tokheim Corp......................................... 14,000 138,250
*Tollgrade Communications, Inc........................ 6,300 96,863
Tompkins County Trustco, Inc.......................... 330 10,725
*Topps, Inc........................................... 41,800 265,169
*#Tops Appliance City, Inc............................ 4,400 4,881
*#Toreador Royalty Corp............................... 2,500 8,047
Toro Co............................................... 11,600 389,325
*Total Entertainment Restaurant Corp.................. 9,400 29,375
*Total-Telephone USA Communications, Inc.............. 3,000 53,063
*Tower Air, Inc....................................... 13,300 34,081
*Toymax International, Inc............................ 6,400 34,400
*Track 'n Trail, Inc.................................. 4,900 9,953
*Tractor Supply Co.................................... 7,000 207,813
*Trailer Bridge, Inc.................................. 5,000 12,734
*Trak Auto Corp....................................... 4,300 37,088
*Trammell Crow Co..................................... 6,000 110,625
*#Trans World Airlines, Inc........................... 51,500 267,156
*Trans World Entertainment Corp....................... 49,800 631,838
*Transact Technologies, Inc........................... 5,007 22,844
*Transaction Network Services, Inc.................... 10,600 282,225
*Transcend Services, Inc.............................. 15,000 22,031
*Transcoastal Marine Services, Inc.................... 8,900 38,659
*#Transcrypt International, Inc....................... 7,800 15,722
*Transfinancial Holdings, Inc......................... 3,300 14,850
*Transition Analysis Component Technology............. 299 3,289
*#Transkaryotic Therapies, Inc........................ 15,300 459,956
*Transmation, Inc..................................... 6,700 24,078
*Transmedia Network, Inc.............................. 10,000 37,500
*Transmontaigne Oil Co................................ 27,400 387,025
*Transport Industries, Inc............................ 1,000 8,063
*Transportation Components, Inc....................... 17,000 55,250
Transpro, Inc......................................... 5,300 28,156
Transtechnology Corp.................................. 3,800 74,100
*#Transtexas Gas Corp................................. 48,400 18,150
*Transwitch Corp...................................... 12,800 596,800
*Transworld Healthcare, Inc........................... 16,800 66,150
*Travel Ports of America, Inc......................... 3,718 15,627
*Travel Services International, Inc................... 10,500 86,297
*#Travis Boats & Motors, Inc.......................... 2,600 38,675
*TreeSource Industries, Inc........................... 4,400 1,375
*Trega Biosciences, Inc............................... 10,100 18,622
Tremont Corp. DE...................................... 5,100 99,450
*Trend-Lines, Inc. Class A............................ 3,300 7,631
*Trendwest Resorts, Inc............................... 5,200 121,550
Trenwick Group, Inc................................... 3,900 121,144
</TABLE>
34
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trex Medical Corp.................................... 30,700 $ 197,631
*Triad Guaranty, Inc.................................. 10,600 160,988
Triangle Bancorp, Inc................................. 20,100 336,675
*#Triangle Pharmaceuticals, Inc....................... 23,100 426,628
*Triarc Companies, Inc. Class A....................... 22,200 452,325
Trico Bancshares...................................... 4,950 88,945
*Trico Marine Services, Inc........................... 21,300 152,428
*#Trident Microsystems, Inc........................... 10,800 73,575
*Tridex Corp.......................................... 4,200 11,419
Trigen Energy Corp.................................... 10,500 171,281
*Trimark Holdings, Inc................................ 1,700 9,403
*Trimble Navigation, Ltd.............................. 18,200 228,069
*Trimedyne, Inc....................................... 5,400 7,003
*Trimeris, Inc........................................ 10,500 142,078
*Trinitec Systems, Inc. Class A....................... 6,900 98,325
Trion, Inc............................................ 5,700 24,047
*Triple S Plastics, Inc............................... 700 3,653
*Tripos, Inc.......................................... 2,600 20,475
*Triquint Semiconductor, Inc.......................... 7,500 264,141
*Trism, Inc........................................... 2,900 2,266
*#Tristar Corp........................................ 1,000 6,766
*Triumph Group........................................ 7,900 241,938
*Tropical Sportswear International Corp............... 4,100 112,238
*#Trump Hotels & Casino Resorts, Inc.................. 22,200 117,938
Trust Co. of New Jersey............................... 15,500 346,813
Trustco Bank Corp. NY................................. 21,426 590,554
*Tuboscope Vetco International, Inc................... 45,400 607,225
*Tultex Corp.......................................... 19,100 14,325
*Turner Corp.......................................... 4,650 80,794
Tuscarora, Inc........................................ 8,500 111,563
Twin Disc, Inc........................................ 1,400 26,600
*Twinlab Corp......................................... 26,200 239,894
*Tyler Technologies, Inc.............................. 30,800 184,800
U.S. Bancorp, Inc..................................... 11,200 174,300
*U.S. Bioscience, Inc................................. 21,400 172,538
*#U.S. Diagnostic, Inc................................ 18,000 26,719
U.S. Freightways Corp................................. 2,000 78,938
*U.S. Home & Garden, Inc.............................. 23,700 121,463
*U.S. Office Products, Co............................. 32,900 171,183
*U.S. Vision, Inc..................................... 3,000 14,953
*UFP Technologies, Inc................................ 2,300 9,200
UGI Corp.............................................. 23,500 462,656
*URS Corp............................................. 12,000 295,500
*US Can Corp.......................................... 11,500 205,563
*US LEC Corp.......................................... 7,800 152,344
*US Liquids, Inc...................................... 5,800 104,400
*US Xpress Enterprises, Inc. Class A.................. 9,114 109,368
*#USA Detergents, Inc................................. 18,100 93,328
*USA Floral Products, Inc............................. 13,400 96,313
*USA Truck, Inc....................................... 1,900 17,397
*USCI, Inc............................................ 7,700 3,619
*USData Corp.......................................... 8,950 31,884
*UTI Energy Corp...................................... 14,500 208,438
*Ubics, Inc........................................... 2,700 12,066
*#Ugly Duckling Corp.................................. 14,900 112,216
*Ultimate Electronics, Inc............................ 6,900 99,403
*Ultradata Corp....................................... 6,200 43,206
*#Ultradata Systems, Inc.............................. 2,000 3,750
*Ultrafem, Inc........................................ 6,400 224
*Ultrak, Inc.......................................... 11,600 75,763
*Ultralife Batteries, Inc............................. 10,900 49,391
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ultratech Stepper, Inc............................... 18,700 $ 244,269
*#Unapix Entertainment, Inc........................... 6,100 18,300
*Unicapital Corp...................................... 14,000 78,750
Unico American Corp................................... 5,000 53,438
*UniComp, Inc......................................... 6,400 38,000
Unifirst Corp......................................... 500 9,000
*Uniflex, Inc......................................... 2,000 14,000
*Unify Corp........................................... 6,800 94,563
*Unigene Laboratories, Inc............................ 25,900 17,402
*Unilab Corp.......................................... 32,600 173,188
*#Unimark Group, Inc.................................. 6,200 21,991
*Uni-Marts, Inc....................................... 6,500 13,000
*Unimed Pharmaceuticals, Inc.......................... 8,100 74,672
*Union Acceptance Corp. Class A....................... 3,500 24,063
*Unique Casual Restaurants, Inc....................... 9,300 36,619
*Unique Mobility, Inc................................. 12,700 58,738
*Uniroyal Technology Corp............................. 11,600 109,838
*Unisource Energy Corp................................ 28,980 362,250
Unisource Worldwide, Inc.............................. 73,000 857,750
*Unit Corp............................................ 24,000 142,500
*United American Healthcare Corp.,.................... 5,300 7,288
#United Companies Financial Corp...................... 25,900 2,849
United Financial Corp. MN............................. 400 9,150
United Fire Casualty Co............................... 5,400 139,219
*United Foods, Inc. Class A........................... 54 172
United Guardian, Inc.................................. 1,900 7,125
United Illuminating Co................................ 1,900 83,244
United Industrial Corp................................ 10,700 123,050
United National Bancorp............................... 12,110 275,124
*United Natural Foods, Inc............................ 16,300 439,081
*United Payors & United Providors, Inc................ 14,400 269,550
*#United Retail Group, Inc............................ 10,500 151,594
*#United States Energy Corp........................... 5,600 21,875
*United States Home Corp.............................. 10,600 365,700
United Water Resources, Inc........................... 29,500 641,625
United Wisconsin Services, Inc........................ 13,600 93,500
*Unitel Video, Inc.................................... 700 963
Unitil Corp........................................... 3,400 79,475
*Unitrode Corp........................................ 28,500 593,156
Unity Bancorp, Inc.................................... 2,600 28,600
*Universal American Financial Corp.................... 4,400 15,400
*Universal Electronics, Inc........................... 5,200 129,025
Universal Forest Products, Inc........................ 15,800 285,388
*#Universal International, Inc........................ 7,500 19,453
*Universal Seismic Association, Inc................... 1,600 88
*Universal Stainless & Alloy Products, Inc............ 4,700 28,200
*Universal Standard Medical Labs, Inc................. 2,500 781
*Uno Restaurant Corp.................................. 8,700 67,969
*Urban Outfitters, Inc................................ 16,200 387,788
*Urocor, Inc.......................................... 10,400 57,200
*Urogen Corp. (Restricted)............................ 2,100 564
*Urologix, Inc........................................ 12,600 38,194
*Uromed Corp. New..................................... 4,720 7,154
*Uroquest Medical Corp................................ 8,000 12,750
*Utah Medical, Inc.................................... 6,300 47,644
*Utilx Corp........................................... 5,600 18,200
*#V-ONE Corp.......................................... 19,400 43,347
*VDI Media............................................ 8,800 56,650
*VLSI Technology, Inc................................. 41,800 873,881
*VRB Bancorp.......................................... 2,000 15,500
</TABLE>
35
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*VTEL Corp............................................ 17,000 $ 83,938
*VWR Scientific Products Corp......................... 23,900 682,644
*#Valence Technology, Inc............................. 23,000 171,781
*#Valentis, Inc....................................... 14,766 63,678
*Vallen Corp.......................................... 6,200 101,525
Valley Resources, Inc................................. 2,600 29,575
Valmont Industries, Inc............................... 23,200 379,900
*Value City Department Stores, Inc.................... 28,900 276,356
Value Line, Inc....................................... 4,000 149,500
*Valuevision International, Inc.
Class A............................................. 22,900 349,225
*Vans, Inc............................................ 12,000 130,500
*Vantive Corp......................................... 25,500 279,703
*Varco International, Inc............................. 28,000 255,500
*#Vari L Co., Inc..................................... 6,500 49,156
*Varian Medical Systems, Inc.......................... 6,000 112,875
*Variflex, Inc........................................ 5,100 24,544
Varlen Corp........................................... 13,081 494,625
*Vectra Technologies, Inc............................. 2,700 61
*Venator Group, Inc................................... 24,800 271,250
*Vencor, Inc.......................................... 38,500 26,469
*#Ventana Medical Systems, Inc........................ 15,500 309,516
*Venture Stores, Inc.................................. 13,300 166
*Venturian Corp....................................... 300 1,791
*Veramark Technologies, Inc........................... 5,900 36,506
*Verdant Brands, Inc.................................. 10,585 10,420
*Verilink Corp........................................ 5,300 17,391
*Veritas DGC, Inc..................................... 21,000 383,250
*Verity, Inc.......................................... 9,600 316,500
Vermont Financial Services Corp....................... 9,900 309,994
*Versant Object Technology Corp....................... 6,500 10,766
*Versar, Inc.......................................... 2,000 4,500
*Vertel Corp.......................................... 19,300 39,203
*Vertex Communications Corp........................... 3,100 45,919
*#Vertex Pharmaceuticals, Inc......................... 22,800 456,713
Vesta Insurance Group, Inc............................ 14,800 74,925
*Vestcom Int'l, Inc................................... 9,600 55,800
*Veterinary Centers of America, Inc................... 17,400 241,969
*Viagrafix Corp....................................... 2,500 15,391
*Viasat, Inc.......................................... 5,400 60,581
*Viasoft, Inc......................................... 16,100 62,891
*Viatel, Inc.......................................... 18,500 830,188
*Vical, Inc........................................... 13,000 155,188
*Vicon Industries, Inc................................ 3,600 33,075
*Vicor Corp........................................... 27,300 456,422
*Vicorp Restaurants, Inc.............................. 7,300 119,538
*Vidamed, Inc......................................... 5,400 12,994
*Video Display Corp................................... 2,300 10,853
*Video Services Corp.................................. 2,000 4,375
*Video Update, Inc.................................... 24,300 21,642
*Videonics, Inc....................................... 3,600 3,375
*Vidioserver, Inc..................................... 11,600 151,888
*View Technology, Inc................................. 3,900 6,825
*Viisage Technology, Inc.............................. 6,500 8,531
Vintage Petroleum, Inc................................ 51,500 579,375
*Virbac Corp.......................................... 1,600 1,850
Virco Manufacturing Corp.............................. 7,838 150,882
*Virginia Gas Co...................................... 2,200 9,694
*Virtualfund.Com, Inc................................. 13,020 20,751
*Vision Sciences, Inc................................. 5,100 7,172
*Vista Eyecare, Inc................................... 18,400 98,900
*Vista Medical Technologies, Inc...................... 131,400 209,419
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vital Signs, Inc...................................... 11,100 $ 212,981
*Vitalcom, Inc........................................ 6,000 12,000
*#Vitech America, Inc................................. 13,190 112,527
*Vivid Technologies, Inc.............................. 8,500 25,766
*#Vivus, Inc.......................................... 29,900 127,075
*Vlasic Foods International, Inc...................... 14,000 105,875
*Vodavi Technology, Inc............................... 2,600 6,906
*Voice Control Systems, Inc........................... 11,000 42,109
*Volt Information Sciences, Inc....................... 13,400 231,150
Vulcan International Corp............................. 700 25,900
*Vysis, Inc........................................... 13,000 47,328
WD-40 Co.............................................. 12,400 318,525
WFS Financial, Inc.................................... 23,100 271,425
*WHX Corp............................................. 16,700 125,250
*WLR Foods, Inc....................................... 14,598 111,766
*WMF Group, Ltd....................................... 3,300 20,934
*WMS Industries, Inc.................................. 32,300 438,069
*WPI Group, Inc....................................... 5,300 20,869
Wabash National Corp.................................. 18,400 350,750
#Wackenhut Corp. Class A.............................. 2,700 62,100
Wackenhut Corp. Class B Non-Voting.................... 9,950 190,916
*Wackenhut Corrections Corp........................... 17,800 356,000
*Walbro Corp.......................................... 5,300 103,350
*Walker Interactive Systems, Inc...................... 16,000 54,500
*Wall Data, Inc....................................... 8,300 83,778
*Wall Street Deli, Inc................................ 1,500 6,094
*Walter Industries, Inc............................... 3,000 39,375
*Warrantech Corp...................................... 12,100 41,027
Warren Bancorp, Inc................................... 6,300 51,188
*Washington Homes, Inc................................ 6,500 51,188
Washington Savings Bank FSB Waldorf, MD............... 1,600 6,400
*Waste Industries, Inc................................ 9,200 148,063
*Waterlink, Inc....................................... 5,800 23,563
Waters Instruments, Inc............................... 200 975
Watkins-Johnson Co.................................... 3,900 96,525
Watsco, Inc. Class A.................................. 42,800 826,575
Watsco, Inc. Class B.................................. 1,350 25,650
Watts Industries, Inc. Class A........................ 19,100 323,506
*Wave Technologies International, Inc................. 2,500 10,547
*Wavephore, Inc....................................... 22,600 149,725
*Waxman Industries, Inc............................... 5,300 1,988
Webb (Del) Corp....................................... 15,800 355,500
*Webco Industries, Inc................................ 3,800 20,425
*Weirton Steel Corp................................... 34,300 81,463
Wellman, Inc.......................................... 38,500 524,563
*Wells-Gardner Electronics Corp....................... 3,150 9,253
Werner Enterprises, Inc............................... 40,362 775,707
Wesbanco, Inc......................................... 16,750 490,984
*Wesley Jessen Vision Care, Inc....................... 14,700 456,159
West Coast Bancorp.................................... 11,322 198,489
*West Coast Entertainment Corp........................ 7,000 2,818
*West Marine, Inc..................................... 14,300 183,219
West Pharmaceutical Services, Inc..................... 13,600 466,650
*West Teleservices Corp............................... 12,700 95,250
*Westaff, Inc......................................... 14,400 96,300
Westcorp, Inc......................................... 22,996 214,150
*#Westell Technologies, Inc........................... 16,500 113,953
Westerfed Financial Corp.............................. 3,900 65,691
Western Bancorp....................................... 4,848 197,102
*Western Beef, Inc.................................... 3,800 24,225
*Western Digital Corp................................. 4,000 31,500
</TABLE>
36
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Western Gas Resources, Inc............................ 28,900 $ 375,700
Western Ohio Financial Corp........................... 900 23,063
*Western Power & Equipment Corp....................... 2,600 7,475
*Western Water Co..................................... 10,900 37,469
Westinghouse Air Brake Co............................. 20,100 459,788
*Weston (Roy F.), Inc. Class A........................ 5,400 16,031
Westwood Homestead Financial Corp..................... 1,000 11,500
*Wet Seal, Inc. Class A............................... 9,500 262,438
*White Cap Industries, Inc............................ 7,100 94,297
*White Electronics Designs Corp....................... 11,700 18,281
*White Pine Software, Inc............................. 12,400 52,313
*Whitman Education Group, Inc......................... 12,200 64,813
*Whittaker Corp....................................... 9,200 247,250
*Wickes Lumber Co..................................... 5,500 28,359
*Wild Oats Markets, Inc............................... 10,700 314,313
*Williams Clayton Energy, Inc......................... 7,100 46,372
*Williams Controls, Inc............................... 12,400 38,750
*Willis Lease Finance Corp............................ 4,300 69,875
*Wilmar Industries, Inc............................... 16,900 192,766
*#Wilshire Financial Services Group, Inc.............. 10,600 3,809
*Wilshire Oil Co. of Texas............................ 7,107 29,316
*Wilsons The Leather Experts, Inc..................... 6,700 83,122
*Wind River Systems, Inc.............................. 21,700 456,378
*Windmere Corp........................................ 17,500 229,688
Winnebago Industries, Inc............................. 19,300 318,450
*Winsloew Furniture, Inc.............................. 4,500 144,844
*Wireless Telecom Group, Inc.......................... 15,600 31,200
Wiser Oil Co.......................................... 8,100 26,325
Wolohan Lumber Co..................................... 4,100 50,994
*Wolverine Tube, Inc.................................. 13,000 309,563
Wolverine World Wide, Inc............................. 39,400 531,900
Woodhead Industries, Inc.............................. 10,500 132,563
*Woodward Governor Co................................. 7,800 194,756
*Workflow Management, Inc............................. 8,800 111,925
*Workgroup Technology Corp............................ 5,800 10,694
*World Acceptance Corp................................ 15,400 86,625
*World Access, Inc.................................... 29,072 331,603
*#World Airways, Inc.................................. 4,800 8,475
World Fuel Services Corp.............................. 11,300 146,194
*World of Science, Inc................................ 2,900 7,567
*Worldtalk Communications Corp........................ 8,500 29,484
*Worldtex, Inc........................................ 13,200 35,475
Worthington Foods, Inc................................ 9,644 141,948
*Wyant Corp........................................... 266 756
*Wyman-Gordon Co...................................... 30,900 596,756
Wynns International, Inc.............................. 15,450 279,066
X-Rite, Inc........................................... 16,900 118,828
*#XCL, Ltd............................................ 18,300 24,019
*Xeta Corp............................................ 1,000 24,375
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Xetel Corp........................................... 9,000 $ 25,313
*Xicor, Inc........................................... 14,700 21,131
*Xionics Document Technologies, Inc................... 9,700 35,163
*Xircom, Inc.......................................... 16,800 422,100
*Xoma, Ltd............................................ 44,700 209,531
*Xtra Corp............................................ 5,000 222,500
Yankee Energy Systems, Inc............................ 8,500 268,281
Yardville National Bancorp............................ 3,655 45,459
*Yellow Corp.......................................... 21,900 372,300
York Financial Corp................................... 6,563 100,086
York Group, Inc....................................... 6,200 47,469
*York Research Corp................................... 11,200 70,350
*Young Broadcasting, Inc. Class A..................... 10,000 406,875
*Zamba Corporation.................................... 20,000 46,250
*Zaring National Corp................................. 1,900 15,913
*Zebra Technologies Corp. Class A..................... 15,500 496,969
*Zebra Technologies Corp. Class B..................... 4,680 150,053
*Zemex Corp........................................... 6,794 42,463
Zenith National Insurance Corp........................ 13,600 309,400
*Zevex International, Inc............................. 2,000 10,500
*#Zila, Inc........................................... 2,557 9,069
*Zing Technologies, Inc............................... 1,500 12,281
*#Zitel Corp.......................................... 13,800 23,503
*Zoll Medical Corp.................................... 5,200 64,188
*#Zoltek Companies, Inc............................... 13,000 101,156
*#Zonagen, Inc........................................ 8,100 87,075
*Zoran Corp........................................... 7,900 79,494
*Zygo Corp............................................ 8,800 69,850
*Zymetx, Inc.......................................... 1,500 3,094
*#eFax.com, Inc....................................... 9,900 143,241
------------
TOTAL COMMON STOCKS
(Cost $546,580,704).................................. 541,027,033
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants 06/30/99... 2,525 0
*#Arch Communications Warrants 09/01/03............... 30,420 0
*Ascent Assurance, Inc. Warrants 01/01/04............. 581 0
*CSF Holdings, Inc. Litigation Rights 12/30/99........ 3,250 0
*#Intercontinental Telecom Corp. Warrants 04/30/02.... 13,190 0
*Millicom, Inc. Contingent Value Rights............... 10,100 0
*Skyepharma P.L.C. Contingent Payment Rights.......... 11,500 0
*Xinetix, Inc. Warrants 03/17/03...................... 332 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $29,640)....................................... 0
------------
</TABLE>
37
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $10,520,775) to be
repurchased at $10,363,294.
(Cost $10,358,000).................................. $ 10,358 $ 10,358,000
------------
TOTAL -- UNITED STATES
(Cost $556,969,193).................................. 551,385,033
------------
SHARES
------------
UNITED KINGDOM -- (0.0%)
COMMON STOCKS -- (0.0%)
*Peptide Therapeutics Group P.L.C..................... 2,800 4,218
------------
TOTAL INVESTMENTS -- (100.0%)(Cost $556,971,500)++..... $551,389,251
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $560,405,168.
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value.................................................................... $ 551,389
Collateral for Securities Loaned........................................................ 34,946
Receivables
Dividends and Interest................................................................ 417
Investment Securities Sold............................................................ 762
Funds Share Sold...................................................................... 484
Prepaid Expenses and Other Assets....................................................... 3
------------
Total Assets........................................................................ 588,001
------------
LIABILITIES:
Payable for Securities Loaned........................................................... 34,946
Payable for Investment Securities Purchased............................................. 669
Accrued Expenses and Other Liabilities.................................................. 94
------------
Total Liabilities................................................................... 35,709
------------
NET ASSETS.............................................................................. $ 552,292
------------
------------
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000).............................................................. 48,798,550
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................ $ 11.32
------------
------------
Investments at Cost..................................................................... $ 556,972
------------
------------
COMPONENTS OF NET ASSETS:
Paid-In Capital......................................................................... $ 528,151
Undistributed Net Investment Income..................................................... 1,924
Undistributed Net Realized Gain......................................................... 27,800
Unrealized Depreciation of Investment Securities........................................ (5,583)
------------
Total Net Assets.................................................................... $ 552,292
------------
------------
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends........................................................................... $ 2,057
Interest............................................................................ 223
Income from Securities Lending...................................................... 329
---------
Total Investment Income......................................................... 2,609
---------
EXPENSES
Investment Advisory Services........................................................ 80
Accounting & Transfer Agent Fees.................................................... 108
Custodian's Fee..................................................................... 37
Legal Fees.......................................................................... 4
Audit Fees.......................................................................... 5
Shareholders' Reports............................................................... 4
Trustees' Fees and Expenses......................................................... 1
Other............................................................................... 8
---------
Total Expenses.................................................................. 247
---------
NET INVESTMENT INCOME............................................................... 2,362
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities.............................................. 29,081
Change in Unrealized Appreciation of Investment Securities.............................. 11,752
---------
NET GAIN ON INVESTMENT SECURITIES................................................... 40,833
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 43,195
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1999 1998
------------ ------------
<S> <C> <C>
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................................. $ 2,362 $ 4,396
Net Realized Gain on Investment Securities............................................. 29,081 49,168
Change in Unrealized Appreciation (Depreciation) of Investment Securities.............. 11,752 (109,532)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations.................... 43,195 (55,968)
------------ ------------
Distributions From:
Net Investment Income.................................................................. (709) (4,534)
Net Realized Gains..................................................................... (49,223) (33,011)
------------ ------------
Total Distributions................................................................ (49,932) (37,545)
------------ ------------
Capital Share Transactions (1):
Shares Issued.......................................................................... 51,629 264,712
Shares Issued in Lieu of Cash Distributions............................................ 48,766 35,644
Shares Redeemed........................................................................ (88,169) (92,873)
------------ ------------
Net Increase From Capital Share Transactions....................................... 12,226 207,483
------------ ------------
Total Increase..................................................................... 5,489 113,970
NET ASSETS
Beginning of Period.................................................................... 546,803 432,833
------------ ------------
End of Period.......................................................................... $ 552,292 $ 546,803
------------ ------------
------------ ------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................................................... 4,806 20,734
Shares Issued in Lieu of Cash Distributions............................................ 4,735 2,923
Shares Redeemed........................................................................ (8,476) (7,232)
------------ ------------
1,065 16,425
------------ ------------
------------ ------------
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 11.46 $ 13.82 $ 12.56 $ 11.26 $ 9.54 $ 10.39
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.05 0.10 0.11 0.13 0.12 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 0.87 (1.28) 2.81 1.92 2.50 (0.07)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 0.92 (1.18) 2.92 2.05 2.62 0.05
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income................. (0.02) (0.10) (0.10) (0.13) (0.12) (0.11)
Net Realized Gains.................... (1.04) (1.08) (1.56) (0.62) (0.78) (0.79)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................... (1.06) (1.18) (1.66) (0.75) (0.90) (0.90)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.......... $ 11.32 $ 11.46 $ 13.82 $ 12.56 $ 11.26 $ 9.54
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
Total Return............................ 8.91%# (8.98)% 26.47% 19.17% 29.19% 0.59%
Net Assets, End of Period
(thousands)........................... $ 552,292 $ 546,803 $ 432,833 $ 268,401 $ 221,984 $ 143,630
Ratio of Expenses to Average Net
Assets................................ 0.09%* 0.09% 0.11% 0.13% 0.15% 0.17%
Ratio of Net Investment Income to
Average Net Assets.................... 0.89%* 0.88% 0.96% 1.05% 1.18% 1.11%
Portfolio Turnover Rate................. 26.79%* 29.15% 30.04% 32.38% 21.16% 27.65%
</TABLE>
- --------------
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
42
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
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 seventeen series of which The U.S. 6-10 Small Company
Series (the "Series") is presented in this report.
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 Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on May 28, 1999.
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 six months ended May 31, 1999, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on an effective annual rate of .03 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
43
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1999, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases.............................................. $ 70,726
Sales.................................................. 115,212
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1999, 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......................... $ 101,726
Gross Unrealized Depreciation......................... (110,742)
----------
Net................................................... $ (9,016)
----------
----------
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised series, 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. Borrowings under the line of credit by the Series
during the six months ended May 31, 1999 were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
- ------------- -------------- ------------ --------- ------------------
<S> <C> <C> <C> <C>
6.13% $3,385,000 4 $2,306 $3,385,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
1999.
G. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. 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 May 31,
1999 was reinvested into overnight repurchase agreements with Salomon Brothers
and Barclays de Zoette Wedd, which was in turn collateralized by U.S. Government
Treasury Securities. At May 31, 1999, the market value of securities on loan to
brokers was $28,518,878, the related collateral cash received was $34,945,681
and the value of collateral on overnight repurchase agreements was $35,159,755.
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