<PAGE>
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2000
(UNAUDITED)
-------------------------------------
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
PAGE
--------
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 VALUE SERIES
Schedule of Investments........................................... 7-24
Statement of Assets and Liabilities............................... 25
Statement of Operations........................................... 26
Statements of Changes in Net Assets............................... 27
Financial Highlights.............................................. 28
Notes to Financial Statements..................................... 29-30
</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.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investment in The U.S. 6-10 Value Series of The DFA
Investment Trust Company
(4,763,067 Shares, Cost $70,967)++ at Value............... $ 78,495
Receivable for Investment Securities Sold................... 6
Prepaid Expenses and Other Assets........................... 9
-----------
Total Assets............................................ 78,510
-----------
LIABILITIES:
Payable for Fund Shares Redeemed............................ 6
Accrued Expenses and Other Liabilities...................... 17
-----------
Total Liabilities....................................... 23
-----------
NET ASSETS.................................................. $ 78,487
===========
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000).................................. 5,048,221
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 15.55
===========
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 70,448
Accumulated Net Investment Loss............................. (53)
Undistributed Net Realized Gain............................. 564
Unrealized Appreciation of Investment Securities............ 7,528
-----------
Total Net Assets........................................ $ 78,487
===========
</TABLE>
--------------
++ The cost for federal income tax purposes is $76,044.
See accompanying Notes to Financial Statements.
1
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received From The DFA Investment
Trust Company.......................................... $ 85
-------
EXPENSES
Administrative Services................................. 4
Accounting & Transfer Agent Fees........................ 4
Shareholder Services.................................... 38
Legal Fees.............................................. 2
Filing Fees............................................. 8
Shareholders' Reports................................... 9
Directors' Fees and Expenses............................ 1
Other................................................... 1
-------
Total Expenses...................................... 67
-------
NET INVESTMENT INCOME................................... 18
-------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA
Investment Trust Company............................... 6,713
Net Realized Loss on Investment Securities Sold......... (75)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities.................................. (2,295)
-------
NET GAIN ON INVESTMENT SECURITIES....................... 4,343
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $ 4,361
=======
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- --------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 18 $ 435
Capital Gain Distribution Received from The DFA
Investment Trust Company.............................. 6,713 6,847
Net Realized Loss on Investment Securities Sold......... (75) (1,725)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. (2,295) 677
-------- --------
Net Increase in Net Assets Resulting from
Operations........................................ 4,361 6,234
-------- --------
Distributions From:
Net Investment Income................................... (451) (445)
Net Realized Gains...................................... (6,553) (8,447)
-------- --------
Total Distributions................................. (7,004) (8,892)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................... 17,118 27,928
Shares Issued in Lieu of Cash Distributions............. 7,004 8,892
Shares Redeemed......................................... (13,142) (49,086)
-------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 10,980 (12,266)
-------- --------
Total Increase (Decrease)............................... 8,337 (14,924)
NET ASSETS
Beginning of Period..................................... 70,150 85,074
-------- --------
End of Period........................................... $ 78,487 $ 70,150
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 1,073 1,766
Shares Issued in Lieu of Cash Distributions............. 480 611
Shares Redeemed......................................... (820) (3,148)
-------- --------
733 (771)
======== ========
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. 6-10 VALUE PORTFOLIO II
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,
2000 1999 1998 1997 1996 1995
----------- --------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of $ 16.26 $ 16.73 $ 19.20 $ 14.67 $ 12.13 $ 9.65
Period...........................
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.01 0.10 0.12 0.08 0.08 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.92 1.29 (1.84) 4.77 2.51 2.63
-------- -------- -------- -------- -------- --------
Total from Investment
Operations..................... 0.93 1.39 (1.72) 4.85 2.59 2.69
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income............ (0.11) (0.09) (0.11) (0.07) (0.01) (0.06)
Net Realized Gains............... (1.53) (1.77) (0.64) (0.25) (0.04) (0.15)
-------- -------- -------- -------- -------- --------
Total Distributions.............. (1.64) (1.86) (0.75) (0.32) (0.05) (0.21)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period..... $ 15.55 $ 16.26 $ 16.73 $ 19.20 $ 14.67 $ 12.13
======== ======== ======== ======== ======== ========
Total Return....................... 6.39%# 9.60% (9.19)% 33.75% 21.39% 27.90%
Net Assets, End of Period
(thousands)...................... $ 78,487 $ 70,150 $ 85,074 $125,061 $ 40,637 $ 14,290
Ratio of Expenses to Average Net
Assets (1)....................... 0.42%* 0.44% 0.45% 0.48% 0.85% 0.96%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses) (1)...... 0.42%* 0.44% 0.45% 0.47% 0.88% 1.50%
Ratio of Net Investment Income to
Average Net Assets............... 0.05%* 0.59% 0.59% 0.62% 0.77% 0.68%
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers and Assumption of
Expenses)........................ 0.05%* 0.59% 0.59% 0.63% 0.74% 0.14%
Portfolio Turnover Rate............ N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 30%* 29% 23% 25% 15% 21%
</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 fifteen portfolios, of
which U.S. 6-10 Value Portfolio II (the "Portfolio") is presented in this
report.
Effective August 1, 1997, U.S. Small Cap Value Portfolio II changed its name
to U.S. 6-10 Value Portfolio II.
The Portfolio invests all of its assets in The U.S. 6-10 Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At
May 31, 2000, the Portfolio owned 3% of the outstanding shares of the Series.
The financial statements of the Series are included elsewhere in this report and
should be read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. FEDERAL INCOME TAXES: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The components of net assets may be adjusted for current
period permanent book/tax differences which arose principally from differing
book/tax treatments of net short-term capital gain distributions from The DFA
Investment Trust Company. 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, 2000, the
Portfolio's Administrative fees were accrued daily and paid monthly to the
Advisor at an effective annual rate of 0.01 of 1% of average daily net assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
Effective July 1, 1996, the Advisor has agreed to waive its fees and
reimburse the Portfolio to the extent necessary to keep the annual combined
expenses of the Portfolio and its respective Master Fund to not more than 0.75%
of average daily net assets. Prior to that date, the Advisor agreed to waive its
fees and reimburse the Portfolio to the extent necessary to keep the annual
combined expenses to not more than 0.96% of average daily net assets
5
<PAGE>
on an annualized basis. Annualized expenses are those expenses incurred in any
period consisting of twelve consecutive months. At May 31, 2000, there are no
previously waived fees subject to future reimbursement to the Advisor.
In addition, pursuant to an agreement with a Shareholder Service Agent, the
Portfolio pays to such agent a fee at the effective annual rate of .10% of its
average daily net assets.
D. INVESTMENTS:
At May 31, 2000, 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............................... $2,451
Gross Unrealized Depreciation............................... --
------
Net......................................................... $2,451
======
</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, 2000.
6
<PAGE>
THE U.S. 6-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
COMMON STOCKS -- (98.9%)
*3-D Systems Corp..................................... 130,700 $ 1,539,809
*3Dfx Interactive, Inc................................ 215,342 1,594,877
*800-Jr Cigar, Inc.................................... 1,000 10,031
*A Consulting Team, Inc............................... 4,400 28,875
*A.C. Moore Arts & Crafts, Inc........................ 68,800 396,675
AAR Corp.............................................. 521,850 7,240,669
ABC Bancorp........................................... 20,280 201,532
*ABC Rail Products Corp............................... 55,400 347,981
Abington Bancorp, Inc................................. 43,000 400,437
*Ablest, Inc.......................................... 16,800 82,950
Abrams Industries, Inc................................ 10,000 38,125
*Abraxas Petroleum Corp............................... 88,200 131,418
*Acceptance Insurance Companies, Inc.................. 278,100 1,425,262
*Access Worldwide Communications, Inc................. 13,200 17,737
Aceto Corp............................................ 87,326 933,297
*Acme Electric Corp................................... 56,300 466,234
*Acme United Corp..................................... 8,700 20,662
*Acorn Products, Inc.................................. 16,000 25,000
*ACT Networks, Inc.................................... 156,700 1,826,534
*Actionpoint, Inc..................................... 86,400 858,600
*Acuson Corp.......................................... 4,400 53,900
Adams Resources & Energy, Inc......................... 6,600 109,312
*Adaptive Broadband Corp.............................. 164,300 4,348,816
*ADE Corp............................................. 141,900 2,172,844
*Adept Technology, Inc................................ 143,600 3,006,625
*Advance Lighting Technologies, Inc................... 90,500 947,422
*Advanced Aerodynamics & Structures, Inc.............. 5,000 17,578
*Advanced Digital Information Corp.................... 13,000 164,531
*Advanced Magnetics, Inc.............................. 88,400 596,700
Advanced Marketing Services, Inc...................... 130,875 2,417,098
*Advanced Neuromodulation Systems, Inc................ 80,160 981,960
Advanta Corp. Class A................................. 129,413 2,179,800
Advanta Corp. Class B Non-Voting...................... 299,125 3,617,543
Advest Group, Inc..................................... 101,900 1,948,837
*Aehr Test Systems.................................... 81,400 483,312
*AEP Industries, Inc.................................. 67,950 1,123,298
*Aerovox, Inc......................................... 75,400 242,694
*Aetrium, Inc......................................... 7,200 38,925
*Aftermarket Technology Corp.......................... 43,300 255,741
*AG Services America, Inc............................. 2,900 47,306
Agco Corp............................................. 770,100 9,626,250
*Agribiotech, Inc..................................... 112,300 3,650
*Agribrands International, Inc........................ 49,500 2,051,156
*AHT Corp............................................. 163,900 194,631
*Air Methods Corp..................................... 97,800 342,300
*Airgas, Inc.......................................... 868,300 4,667,112
*Airnet Systems, Inc.................................. 155,900 696,678
*Airtran Holdings, Inc................................ 900 3,698
AK Steel Holding Corp................................. 169,241 1,639,522
Alamo Group, Inc...................................... 104,300 1,245,081
*Albany International Corp. Class A................... 14,820 212,111
*Aldila, Inc.......................................... 178,100 286,630
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Alfa Corp............................................. 82,800 $ 1,410,187
Alico, Inc............................................ 81,000 1,245,375
*Align-Rite International, Inc........................ 56,400 1,163,250
*All American Semiconductor, Inc...................... 7,860 81,547
Allen Organ Co. Class B............................... 5,000 321,562
*Allen Telecom, Inc................................... 302,600 4,841,600
Alliance Bancorp...................................... 136,320 2,406,900
*Alliance Semiconductor Corp.......................... 370,900 9,179,775
*Allied Healthcare Products, Inc...................... 130,000 430,625
*Allied Holdings, Inc................................. 105,900 675,112
Allied Products Corp.................................. 203,741 267,410
*Allied Research Corp................................. 64,400 499,100
*Allin Communications Corp............................ 90,000 213,750
*Allou Health & Beauty Care, Inc. Class A............. 76,700 527,312
*Allstars Systems, Inc................................ 68,500 154,125
*Almost Family, Inc................................... 13,700 34,678
*Alpha Technologies Group, Inc........................ 74,400 648,675
*Alphanet Solutions, Inc.............................. 78,000 360,750
*Alternative Resources Corp........................... 63,000 88,594
*Alterra Healthcare Corp.............................. 489,200 947,825
Ambanc Holding Co., Inc............................... 64,600 934,681
*Ambassadors, Inc..................................... 149,900 2,037,703
Amcast Industrial Corp................................ 151,000 1,302,375
*Amerco, Inc.......................................... 101,900 1,786,434
*America West Holdings Corp. Class B.................. 308,500 5,495,156
American Annuity Group, Inc........................... 11,600 197,925
American Bank of Connecticut.......................... 46,600 914,525
American Biltrite, Inc................................ 44,400 585,525
*American Coin Merchandising, Inc..................... 64,200 168,525
*American Ecology Corp................................ 50,000 171,875
*American Freightways Corp............................ 630,100 9,392,428
*American Healthcorp, Inc............................. 30,100 120,400
*American Homepatient, Inc............................ 164,016 54,125
*American Homestar Corp............................... 100,600 99,028
*American Indemnity Financial Escrow.................. 14,200 14,200
*American Medical Electronics, Inc. (Escrow-Bonus).... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 20,800 0
*American Medical Security Group, Inc................. 314,400 2,063,250
*American Pacific Corp................................ 100,000 596,875
*American Physicians Services Group, Inc.............. 48,100 148,058
*American Retirement Corp............................. 26,900 147,950
*American Skiing Co................................... 93,100 162,925
*American Software, Inc. Class A...................... 173,800 687,053
*American Technical Ceramics Corp..................... 86,400 2,959,200
American Vanguard Corp................................ 7,744 60,984
American Woodmark Corp................................ 35,010 661,908
Americana Bancorp, Inc................................ 28,430 326,945
*Amerihost Properties, Inc............................ 70,000 242,812
*Ameripath, Inc....................................... 267,500 2,294,648
*Ameristar Casinos, Inc............................... 186,900 741,759
Ameron, Inc........................................... 51,800 1,903,650
</TABLE>
7
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Amerus Life Holdings, Inc. Class A.................... 93,385 $ 1,861,863
*Ames Department Stores, Inc.......................... 161,500 1,912,766
*AMF Bowling, Inc..................................... 130,800 122,625
*Amistar Corp......................................... 42,300 94,514
Ampco-Pittsburgh Corp................................. 207,200 2,292,150
Amplicon, Inc......................................... 16,800 166,950
*Amrep Corp........................................... 104,992 682,448
*Amresco, Inc......................................... 683,500 395,148
*Amtran, Inc.......................................... 156,600 2,216,869
Amwest Insurance Group, Inc........................... 67,290 328,039
*Anadigics, Inc....................................... 31,000 1,076,281
Analogic Corp......................................... 79,200 2,856,150
*Analytical Surveys, Inc.............................. 9,100 31,566
Anchor Bancorp Wisconsin, Inc......................... 57,312 886,545
Andersons, Inc........................................ 71,000 625,687
Andover Bancorp, Inc.................................. 71,825 2,087,414
*Angeion Corp......................................... 6,300 8,662
Angelica Corp......................................... 179,600 1,212,300
*Anicom, Inc.......................................... 296,700 1,469,592
*Ann Taylor Stores Corp............................... 155,900 4,053,400
Apogee Enterprises, Inc............................... 631,500 2,565,469
*Applica, Inc......................................... 233,100 3,438,225
*Applied Extrusion Technologies, Inc.................. 214,000 1,257,250
*Applied Films Corp................................... 37,500 862,500
*Applied Graphics Technologies, Inc................... 249,200 864,412
Applied Industrial Technologies, Inc.................. 470,000 8,195,625
*Applied Microsystems Corp............................ 104,000 578,500
Applied Signal Technologies, Inc...................... 91,300 924,412
*Apria Healthcare Group, Inc.......................... 4,900 70,437
*Aquila Biopharmaceuticals, Inc....................... 89,900 210,703
*Arch Capital Group, Ltd.............................. 35,400 534,319
Arch Chemicals, Inc................................... 72,200 1,245,450
Arch Coal, Inc........................................ 470,900 3,531,750
*Arch Communications Group, Inc....................... 95,800 481,994
Arctic Cat, Inc....................................... 232,000 2,501,250
Argonaut Group, Inc................................... 145,900 2,635,319
*Argosy Gaming Corp................................... 156,200 2,469,912
*Ark Restaurants Corp................................. 14,900 116,872
*Arkansas Best Corp................................... 220,900 2,443,706
Armstrong Holdings, Inc............................... 14,500 249,219
Arnold Industries, Inc................................ 252,800 2,899,300
*Arqule, Inc.......................................... 112,100 770,687
Arrow Financial Corp.................................. 7,555 113,325
*ARV Assisted Living, Inc............................. 227,900 220,778
Arvin Industries, Inc................................. 94,200 1,695,600
*Asante Technologies, Inc............................. 94,200 138,356
ASB Financial Corp.................................... 14,700 129,084
*Ascent Assurance, Inc................................ 222 368
*Asche Transportation Services, Inc................... 55,600 100,775
*Ashworth, Inc........................................ 232,000 993,250
*Aspect Communications Corp........................... 42,600 1,705,331
*Astea International, Inc............................. 24,400 53,756
Astro-Med, Inc........................................ 56,475 331,791
*Astronics Corp....................................... 22,687 198,511
*Asyst Technologies, Inc.............................. 177,000 7,118,719
*Atchison Casting Corp................................ 159,700 1,127,881
*Athey Products Corp.................................. 17,140 36,422
*Atlanta Sosnoff Capital Corp......................... 66,100 636,212
*Atlantic American Corp............................... 41,900 130,937
*Atlantis Plastics, Inc............................... 60,000 420,000
*Atrion Corp.......................................... 37,750 448,281
*Audiovox Corp. Class A............................... 177,900 3,363,422
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Ault, Inc............................................ 96,700 $ 565,091
*Aurora Foods, Inc.................................... 445,600 1,587,450
*Auspex Systems, Inc.................................. 299,100 1,430,072
*Autologic Information International, Inc............. 7,100 19,303
Avado Brands, Inc..................................... 221,400 314,803
*Avalon Holding Corp. Class A......................... 25,112 98,878
*Avatar Holdings, Inc................................. 53,300 1,054,341
*Aviall, Inc.......................................... 169,000 908,375
*Aviation Sales Co.................................... 146,600 980,387
*Avid Technology, Inc................................. 204,100 2,053,756
*Avis Group Holdings, Inc............................. 399,700 7,694,225
Avnet, Inc............................................ 17,748 1,227,940
*Avteam, Inc. Class A................................. 175,500 348,258
*Axsys Technologies, Inc.............................. 57,500 844,531
*Aztar Corp........................................... 669,600 8,537,400
Aztec Manufacturing Co................................ 2,500 40,000
Badger Meter, Inc..................................... 21,200 673,100
*Badger Paper Mills, Inc.............................. 10,400 45,175
Bairnco Corp.......................................... 116,700 838,781
Baker (J.), Inc....................................... 188,518 1,201,802
*Baker (Michael) Corp................................. 78,800 512,200
Baldwin & Lyons, Inc. Class B......................... 12,000 217,500
*Baldwin Piano & Organ Co............................. 73,600 446,200
*Baldwin Technology, Inc. Class A..................... 219,700 466,862
*Baltek Corp.......................................... 5,100 37,931
*Bancinsurance Corp................................... 60,270 248,614
Bancorp Connecticut, Inc.............................. 47,400 696,187
Bandag, Inc........................................... 139,400 3,458,862
Bandag, Inc. Class A.................................. 183,700 4,179,175
*Bank Plus Corp....................................... 248,100 690,028
*Bank United Financial Corp. Class A.................. 288,600 1,857,862
Bank West Financial Corp.............................. 2,100 13,519
BankAtlantic Bancorp, Inc. Class A.................... 168,883 643,866
BankAtlantic Bancorp, Inc. Class B.................... 226,402 1,294,736
*Banknorth Group, Inc................................. 194,709 2,719,841
Banta Corp............................................ 4,000 74,000
Barnes Group, Inc..................................... 20,000 333,750
*Barrett Business Services, Inc....................... 56,000 311,500
*Barringer Technologies, Inc.......................... 99,400 611,931
*Barry (R.G.) Corp.................................... 145,300 499,469
*Basin Exploration, Inc............................... 164,300 2,731,487
Bassett Furniture Industries, Inc..................... 174,450 2,131,561
*Battle Mountain Gold Co.............................. 931,600 1,804,975
Bay View Capital Corp................................. 351,442 3,558,350
*Baycorp Holdings, Ltd................................ 44,000 357,500
*Bayou Steel Corp. Class A............................ 165,500 372,375
*BCT International, Inc............................... 11,100 14,569
*Be Aerospace, Inc.................................... 22,800 157,462
*Beard Co............................................. 30,000 54,375
*Beazer Homes USA, Inc................................ 126,000 2,315,250
*BEI Electronics, Inc................................. 86,000 114,219
BEI Technologies, Inc................................. 83,800 1,487,450
*Bel Fuse, Inc. Class A............................... 32,500 591,094
Bel Fuse, Inc. Class B................................ 86,700 1,557,891
*Belco Oil & Gas Corp................................. 179,000 1,398,437
Bell Industries, Inc.................................. 148,522 389,870
*Bell Microproducts, Inc.............................. 138,400 1,790,550
*Bellwether Exploration Co............................ 165,100 1,405,930
*Benchmark Electronics, Inc........................... 153,400 5,215,600
*Benton Oil & Gas Co.................................. 330,100 907,775
Bergen Brunswig Corp. Class A......................... 491,800 2,551,212
</TABLE>
8
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Berkley (W.R.) Corp................................... 173,400 $ 3,820,219
*Berlitz International, Inc........................... 207,100 2,303,987
*Bethlehem Steel Corp................................. 579,600 2,245,950
*Beverly Enterprises.................................. 1,852,000 5,556,000
*BF Enterprises, Inc.................................. 2,300 18,112
BHA Group Holdings, Inc. Class A...................... 19,200 194,400
*BI, Inc.............................................. 111,300 591,281
*Big 4 Ranch, Inc..................................... 73,300 0
Bindley Western Industries, Inc....................... 210,454 4,011,779
*Bio Vascular, Inc.................................... 90,900 264,178
*Bioanalytical Systems, Inc........................... 6,200 16,275
*Bionx Implants, Inc.................................. 175,000 382,812
*Bio-Rad Laboratories, Inc. Class A................... 108,800 2,522,800
*BioReliance Corp..................................... 54,200 272,694
*Biosite Diagnostics, Inc............................. 54,700 1,235,878
*Biosource International, Inc......................... 135,500 923,094
Birmingham Steel Corp................................. 509,300 1,973,537
*Black Hawk Gaming & Development, Inc................. 47,000 321,656
Blair Corp............................................ 134,500 2,589,125
Blimpie International................................. 28,000 45,500
Block Drug Co., Inc. Class A.......................... 43,988 1,217,918
*Blonder Tongue Laboratories, Inc..................... 4,600 31,625
*Bluegreen Corp....................................... 343,498 1,073,431
BMC Industries, Inc................................... 463,500 1,767,094
Bob Evans Farms, Inc.................................. 233,000 3,160,062
*Boca Research, Inc................................... 98,700 536,681
*Boca Resorts, Inc.................................... 549,800 4,742,025
*Bogen Communications International, Inc.............. 5,000 31,094
*Bolt Technology Corp................................. 4,400 19,800
*Bombay Co., Inc...................................... 689,500 2,197,781
*Bon-Ton Stores, Inc.................................. 220,300 492,233
*Books-a-Million, Inc................................. 260,300 886,647
*Boron, Lepore and Associates, Inc.................... 220,600 1,688,969
*Boston Biomedical, Inc............................... 53,000 193,781
*Boston Communications Group, Inc..................... 140,800 1,447,600
Bostonfed Bancorp, Inc................................ 55,460 727,912
Bowl America, Inc. Class A............................ 49,000 379,750
Bowne & Co., Inc...................................... 570,532 5,740,978
*Boyd Gaming Corp..................................... 497,000 2,453,937
*Brass Eagle, Inc..................................... 134,300 654,712
*Brauns Fashions Corp................................. 3,600 80,100
*Bridgestreet Accomodations, Inc...................... 40,600 111,650
*Brigham Exploration Co............................... 46,700 122,587
*BrightStar Information Technology Group, Inc......... 27,600 106,950
*Brookdale Living Communities......................... 5,000 68,125
Brookline Bancorp, Inc................................ 37,900 370,709
*Brooks Automation, Inc............................... 70,300 2,803,212
*Brookstone, Inc...................................... 111,300 1,579,069
*Brown & Sharpe Manufacturing Co. Class A............. 230,275 518,119
*Brown (Tom), Inc..................................... 355,600 7,756,525
Brown Shoe Company, Inc............................... 335,000 3,999,062
*Brunswick Technologies, Inc.......................... 78,700 691,084
Brush Wellman, Inc.................................... 204,900 3,572,944
BSB Bancorp, Inc...................................... 118,831 2,268,929
BT Financial Corp..................................... 39,925 691,202
*BTG, Inc............................................. 33,000 268,125
*BTU International, Inc............................... 85,300 738,378
*Buckhead America Corp................................ 15,700 79,481
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Budget Group, Inc.................................... 727,200 $ 2,772,450
*Buffets, Inc......................................... 463,800 5,377,181
*Builders Transport, Inc.............................. 39,100 2,150
*Building Materials Holding Corp...................... 222,300 2,063,222
*Bull Run Corp. GA.................................... 50,400 144,112
Burlington Coat Factory Warehouse Corp................ 514,040 6,521,882
*Burlington Industries, Inc........................... 1,155,800 3,828,587
Bush Industries, Inc. Class A......................... 43,900 749,044
*Business Resource Group.............................. 57,200 355,712
*Butler International, Inc............................ 34,800 284,925
Butler Manufacturing Co............................... 96,500 2,153,156
*BWAY Corp............................................ 153,400 1,102,562
*C.P. Clare Corp...................................... 186,200 1,221,937
Cadmus Communications Corp............................ 130,700 1,135,456
Calgon Carbon Corp.................................... 552,400 3,625,125
*Caliber Learning Network, Inc........................ 267,100 726,178
*California Coastal Communities, Inc.................. 45,100 257,916
*California Micro Devices Corp........................ 2,400 33,975
*Callon Petroleum Co.................................. 52,100 794,525
Cal-Maine Foods, Inc.................................. 102,700 343,403
Camco Financial Corp.................................. 8,183 73,647
*Cameron Ashley Building Products, Inc................ 158,800 2,868,325
Cameron Financial Corp................................ 32,700 385,247
*Canisco Resources, Inc............................... 5,700 3,078
*Cannon Express, Inc. Class A......................... 6,900 13,369
*Cannondale Corp...................................... 125,600 902,750
*Canterbury Information Technology, Inc............... 900 2,391
*Capital Corp. of the West............................ 2,800 27,475
*Capital Crossing Bank................................ 21,800 223,450
*Capital Pacific Holdings, Inc........................ 190,900 524,975
*Capital Senior Living Corp........................... 351,900 835,762
*Capital Trust, Inc................................... 105,400 408,425
Capitol Bancorp, Ltd.................................. 41,672 468,810
Capitol Transamerica Corp............................. 117,000 1,316,250
Caraustar Industries, Inc............................. 42,500 702,578
*Carbide/Graphite Group, Inc.......................... 159,200 681,575
*Cardiac Pathways Corp................................ 3,000 11,812
*Caredata.com, Inc.................................... 71,200 284,800
*Career Blazers, Inc. Trust Units..................... 9,540 0
*Carematrix, Inc...................................... 167,800 123,228
*Caribiner International, Inc......................... 514,200 385,650
*Carlyle Industries, Inc.............................. 29,312 15,572
*Carmike Cinemas, Inc. Class A........................ 187,300 995,031
Carpenter Technology Corp............................. 481,300 9,956,894
*Carriage Services, Inc. Class A...................... 224,500 645,437
*Carrington Laboratories, Inc......................... 105,100 233,191
*Carson, Inc.......................................... 156,900 637,406
Carter-Wallace, Inc................................... 302,700 6,054,000
Cascade Corp.......................................... 138,150 1,554,187
*Casella Waste Systems, Inc. Class A.................. 17,700 230,100
Casey's General Stores, Inc........................... 61,100 721,744
Cash America International, Inc....................... 319,300 3,272,825
*Casino Data Systems.................................. 231,800 1,024,991
*Castle & Cooke, Inc.................................. 340,300 6,338,087
Castle (A.M.) & Co.................................... 136,480 1,697,470
*Castle Dental Centers, Inc........................... 48,900 119,194
Castle Energy Corp.................................... 147,700 893,123
*Catalina Lighting, Inc............................... 108,000 432,000
Cato Corp. Class A.................................... 371,700 4,611,403
</TABLE>
9
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Cavalier Homes, Inc................................... 352,281 $ 528,421
*CB Richard Ellis Services, Inc....................... 291,700 2,935,231
CBRL Group, Inc....................................... 69,300 1,002,684
*CCA Industries, Inc.................................. 40,800 42,075
CCBT Financial Companies, Inc......................... 22,400 329,700
*Celadon Group, Inc................................... 107,100 1,449,197
*Celebrity, Inc....................................... 26,325 59,643
*Celeris Corporation.................................. 56,333 155,796
*Celeritek, Inc....................................... 45,900 2,207,503
Cenit Bancorp, Inc.................................... 54,900 610,762
*Centigram Communications Corp........................ 86,800 1,630,212
Central Bancorp, Inc.................................. 24,900 405,403
*Central Garden & Pet Co.............................. 375,400 4,281,906
Century Aluminum Co................................... 336,300 3,436,566
*Century Business Services, Inc....................... 100,000 260,937
*Ceradyne, Inc........................................ 95,000 783,750
*Ceres Group, Inc..................................... 6,600 39,187
*Cerprobe Corp........................................ 48,800 603,900
*CFM Technologies, Inc................................ 108,300 846,094
*Champion Enterprises, Inc............................ 571,100 3,248,131
Champion Industries, Inc.............................. 32,400 92,137
*Champps Entertainment, Inc........................... 130,800 510,937
*Charming Shoppes, Inc................................ 1,792,900 10,589,316
*Chart House Enterprises, Inc......................... 170,400 905,250
*Chase Industries, Inc................................ 121,850 1,127,112
*Check Technology Corp................................ 70,700 360,128
*Checkers Drive-In Restaurant, Inc.................... 15,521 33,225
*Checkpoint System, Inc............................... 426,700 3,386,931
Chemed Corp........................................... 109,500 3,319,219
*Chemfab Corp......................................... 16,050 160,500
Chemfirst, Inc........................................ 76,600 1,599,025
*Cherry Corp.......................................... 81,200 1,634,150
Chesapeake Corp....................................... 126,600 4,138,237
*Chesapeake Energy Corp............................... 1,312,800 7,548,600
Chester Valley Bancorp................................ 1,311 23,557
Chicago Rivet & Machine Co............................ 11,800 262,550
*Children's Comprehensive Services, Inc............... 162,300 365,175
*Childtime Learning Centers, Inc...................... 43,500 293,625
Chiquita Brands International, Inc.................... 1,342,531 5,286,216
*Cholestech Corp...................................... 17,700 132,750
*Chromcraft Revington, Inc............................ 17,700 196,912
*Chronimed, Inc....................................... 37,400 245,437
*CHS Electronics, Inc................................. 624,200 7,802
*Chyron Corp.......................................... 122,000 305,000
CICOR International, Inc.............................. 143,700 1,517,831
*CIDCO, Inc........................................... 233,100 713,869
*Ciprico, Inc......................................... 59,500 643,344
Circle International, Inc............................. 30,300 572,859
*Circuit City Stores, Inc. (Carmax Group)............. 540,300 1,452,056
*Circuit Systems, Inc................................. 53,000 50,516
*Cirrus Logic, Inc.................................... 283,800 4,939,894
*Citadel Holding Corp. Class A........................ 58,640 183,250
*Citation Computer System, Inc........................ 11,200 40,425
*Citation Holding Corp. Class B....................... 14,660 45,812
Citizens Banking Corp................................. 48,750 888,164
*Citizens, Inc. Class A............................... 76,719 469,904
City Holding Co....................................... 3,500 34,781
*Civic Bancorp........................................ 41,557 583,097
CKE Restaurants, Inc.................................. 985,200 3,263,475
*Clean Harbors, Inc................................... 150,500 277,484
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Cleveland Cliffs, Inc................................. 174,400 $ 4,436,300
*Clintrials Research, Inc............................. 332,900 1,076,723
CNA Surety Corp....................................... 64,500 806,250
*CNS, Inc............................................. 235,700 942,800
Coachmen Industries, Inc.............................. 240,400 2,869,775
*Coast Dental Services, Inc........................... 145,600 298,025
*Coast Distribution System............................ 90,200 191,675
Coastal Bancorp, Inc.................................. 116,900 1,760,806
*Coastcast Corp....................................... 106,000 2,027,250
*Cobra Electronic Corp................................ 78,900 433,950
*Coeur d'Alene Mines Corp. ID......................... 338,200 824,362
*Coherent, Inc........................................ 12,900 726,431
*Cohesion Technologies, Inc........................... 117,300 1,238,981
*Coinmach Laundry Corp................................ 189,300 2,561,466
Cold Metal Products, Inc.............................. 70,400 264,000
Cole National Corp. Class A........................... 190,300 1,201,269
Collins Industries, Inc............................... 28,200 133,950
*Columbia Banking System, Inc......................... 60,056 654,986
*Columbus Energy Corp................................. 50,932 356,524
Columbus McKinnon Corp................................ 27,000 372,937
*Comdial Corp......................................... 122,600 1,120,641
*Comforce Corp........................................ 64,700 129,400
*Comfort Systems USA, Inc............................. 279,900 1,696,894
*Command Systems, Inc................................. 24,400 44,987
Commercial Bancshares, Inc............................ 27,834 492,314
Commercial Bank of New York........................... 26,400 313,500
Commercial Metals Co.................................. 209,833 5,521,231
Commercial National Financial Corp.................... 15,000 242,812
Commonwealth Bancorp, Inc............................. 167,300 1,934,406
Commonwealth Industries, Inc.......................... 378,000 2,327,062
Communications Systems, Inc........................... 6,400 87,600
Community Bank System, Inc............................ 58,000 1,319,500
Community Financial Corp.............................. 13,500 151,031
Community Financial Group, Inc........................ 12,800 168,000
Community First Brokerage Co.......................... 12,400 208,475
Community Savings Bankshares, Inc..................... 34,800 367,575
Community Trust Bancorp, Inc.......................... 53,797 778,375
*Compucom Systems, Inc................................ 660,900 1,590,291
*Computer Learning Centers, Inc....................... 43,300 41,947
*Computer Motion, Inc................................. 38,300 293,234
*Computer Network Technology Corp..................... 135,450 1,688,892
*Computer Outsourcing Services, Inc................... 25,800 390,225
*Comshare, Inc........................................ 104,250 397,453
*Comstock Resources, Inc.............................. 424,000 3,180,000
*Comtech Telecommunications Corp...................... 22,750 287,930
*Concord Camera Corp.................................. 139,400 2,365,444
*Condor Technology Solutions, Inc..................... 67,100 28,308
*Cone Mills Corp. NC.................................. 555,000 3,191,250
*Congoleum Corp. Class A.............................. 97,400 304,375
*Conmed Corp.......................................... 122,961 2,962,592
*Consolidated Freightways Corp........................ 411,500 1,877,469
*Consolidated Graphics, Inc........................... 77,300 801,987
*Continental Materials Corp........................... 4,600 79,637
*Cooker Restaurant Corp............................... 135,000 320,625
Cooperative Bankshares, Inc........................... 20,800 202,800
*CoorsTek, Inc........................................ 78,500 2,531,625
*Copart, Inc.......................................... 292,400 5,162,687
*Core Materials Corp.................................. 500 781
*Core, Inc............................................ 7,400 42,550
*Cornell Corrections, Inc............................. 140,700 1,020,075
*Correctional Services Corp........................... 38,200 168,319
*Corrpro Companies, Inc............................... 123,575 463,406
</TABLE>
10
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THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Corsair Communications, Inc.......................... 14,000 $ 315,875
Corus Bankshares, Inc................................. 30,700 761,744
*Cost-U-Less, Inc..................................... 35,000 57,969
*Cotelligent Group, Inc............................... 79,400 362,262
Cotton States Life Insurance Co....................... 8,300 68,475
Counsel Corp.......................................... 2,000 4,875
Courier Corp.......................................... 23,400 605,475
*Covenant Transport, Inc. Class A..................... 237,100 2,437,684
*Coventry Health Care, Inc............................ 261,600 3,098,325
*Cover-All Technologies, Inc.......................... 31,901 21,932
Covest Bancshares, Inc................................ 48,825 508,085
CPAC, Inc............................................. 84,800 583,000
CPB, Inc.............................................. 107,000 2,514,500
CPI Corp.............................................. 86,400 1,927,800
*Craig (Jenny), Inc................................... 247,800 356,212
*Craig Corp........................................... 50,800 206,375
*Creative Computers, Inc.............................. 54,400 251,600
*Credit Acceptance Corp............................... 735,300 4,090,106
*Creditrust Corp...................................... 15,500 7,992
*Criticare Systems, Inc............................... 91,000 199,062
*Cross (A.T.) Co. Class A............................. 233,700 1,431,412
Cross Timbers Oil Co.................................. 54,600 1,109,062
*Crossman Communities, Inc............................ 15,500 274,641
*Crown Central Petroleum Corp. Class A................ 79,000 715,937
*Crown Central Petroleum Corp. Class B................ 68,700 622,594
Crown Crafts, Inc..................................... 170,700 245,381
*Crown Group, Inc..................................... 4,100 21,012
*Crown Vantage, Inc................................... 128,820 30,192
*Crown-Andersen, Inc.................................. 22,900 105,912
*CSP, Inc............................................. 38,865 241,692
*CSS Industries, Inc.................................. 186,500 3,730,000
*CTB International Corp............................... 65,300 425,470
Cubic Corp............................................ 110,750 2,215,000
Culp, Inc............................................. 190,418 1,202,014
*Curative Health Services, Inc........................ 79,400 428,016
Curtiss-Wright Corp................................... 94,900 3,303,706
*Cyberoptics Corp..................................... 48,300 1,800,684
*Cybex International, Inc............................. 107,500 288,906
*Cylink Corp.......................................... 72,200 997,262
*Cyrk, Inc............................................ 355,800 2,045,850
*Cytrx Corp........................................... 14,600 15,969
*D A Consulting Group, Inc............................ 119,200 262,612
Dain Rauscher Corp.................................... 84,700 5,050,237
*Dairy Mart Convenience Stores, Inc................... 9,000 38,250
*Damark International, Inc. Class A................... 89,800 1,692,169
*Dan River, Inc. (GA) Class A......................... 452,200 2,261,000
*Danielson Holding Corp............................... 32,400 153,900
*Darling International, Inc........................... 12,000 14,250
*Data I/O Corp........................................ 90,600 339,750
*Data Race, Inc....................................... 5,100 22,472
Data Research Association, Inc........................ 15,300 78,891
*Data Systems & Software, Inc......................... 91,900 413,550
*Datakey, Inc......................................... 18,000 76,500
*Dataram Corp......................................... 43,480 774,487
*DataTRAK International, Inc.......................... 59,200 321,900
*Dataware Technologies, Inc........................... 72,400 192,312
*Datron Systems, Inc.................................. 43,700 506,647
*Datum, Inc........................................... 88,400 1,375,725
*Dave and Busters, Inc................................ 68,040 467,775
*Davel Communications, Inc............................ 21,385 37,090
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Dawson Geophysical Co................................ 68,900 $ 669,622
*Daxor Corp........................................... 52,000 637,000
*Dayton Superior Corp. Class A........................ 6,000 153,000
Deb Shops, Inc........................................ 97,000 1,203,406
*Deckers Outdoor Corp................................. 117,000 394,875
*Decora Industries, Inc............................... 9,900 9,745
Decorator Industries, Inc............................. 24,232 118,131
*DeGeorge Financial Corp.............................. 19,900 348
*Del Global Technologies Corp......................... 177,800 1,489,075
*Delia's, Inc......................................... 91,600 229,000
*Delphi Financial Group, Inc. Class A................. 17,430 583,905
*Delta Financial Corp................................. 251,300 439,775
Delta Natural Gas Co., Inc............................ 26,100 393,947
Delta Woodside Industries, Inc........................ 520,000 1,170,000
Deltic Timber Corp.................................... 108,400 2,317,050
*Denali, Inc.......................................... 69,500 146,602
Designs, Inc.......................................... 178,800 273,787
*Detection Systems, Inc............................... 78,300 773,212
*Detrex Corp.......................................... 12,800 62,000
Detroit Diesel Corp................................... 450,800 7,100,100
*Devcon International Corp............................ 55,100 368,481
*Diamond Home Services, Inc........................... 140,000 10,850
*Dianon Systems, Inc.................................. 27,700 579,969
*Diedrich Coffee, Inc................................. 52 128
*Digi International, Inc.............................. 316,700 1,632,984
Dime Community Bancorp, Inc........................... 186,100 3,024,125
Dimon, Inc............................................ 890,500 2,003,625
*Diodes, Inc.......................................... 47,200 1,286,200
*Discount Auto Parts, Inc............................. 314,900 3,149,000
*Diversified Corporate Resources, Inc................. 5,400 14,850
*Dixie Group, Inc..................................... 161,100 573,919
*Dixon Ticonderoga Co................................. 30,150 111,178
*Dollar Thrifty Automotive Group, Inc................. 465,600 8,380,800
*Dominion Homes, Inc.................................. 76,400 489,437
Donegal Group, Inc.................................... 93,744 651,814
*Donna Karan International, Inc....................... 17,500 123,594
Donnelly Corp. Class A................................ 78,525 1,133,705
Downey Financial Corp................................. 320,713 9,541,212
*Dress Barn, Inc...................................... 294,123 6,259,305
*Drew Industries, Inc................................. 11,200 78,400
*DRS Technologies, Inc................................ 73,675 838,053
*Drug Emporium, Inc................................... 243,000 277,172
*Drypers Corp......................................... 78,900 141,773
DT Industries, Inc.................................... 222,000 2,233,875
*Duckwall-Alco Stores, Inc............................ 106,300 916,837
*Ducommun, Inc........................................ 33,700 377,019
*Dunn Computer Corp................................... 6,100 11,723
*Dura Automotive Systems, Inc......................... 309,378 3,683,532
*Dura Pharmaceuticals, Inc............................ 218,500 2,560,547
*DVI, Inc............................................. 228,000 3,277,500
*Dwyer Group, Inc..................................... 9,200 23,000
*Dynamics Research Corp............................... 85,636 604,804
*E Com Ventures, Inc.................................. 27,000 81,844
Eagle Bancshares, Inc................................. 75,900 887,081
*Eagle Food Centers, Inc.............................. 124,300 128,184
*Eagle Point Software Corp............................ 87,700 405,612
Earthgrains Co........................................ 193,900 3,199,350
Eastern Co............................................ 29,400 378,525
*ECC International Corp............................... 109,500 328,500
Ecology & Environment, Inc. Class A................... 25,700 150,987
Edelbrock Corp........................................ 85,000 972,187
*Edge Petroleum Corp. DE.............................. 6,000 18,562
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Edo Corp.............................................. 66,100 $ 425,519
*Educational Insights, Inc............................ 49,300 60,855
*EduTrek International, Inc........................... 4,800 6,450
EFC Bancorp, Inc...................................... 5,000 45,625
*EFTC Corp............................................ 329,200 694,406
*El Paso Electric Co.................................. 86,700 1,029,562
*Elantec Semiconductor, Inc........................... 3,800 144,994
*Elcom International, Inc............................. 56,800 296,425
*Elcotel, Inc......................................... 11,900 22,127
*Elder-Beerman Stores Corp............................ 50,000 228,125
*Electro Rent Corp.................................... 77,200 839,550
*Electroglas, Inc..................................... 119,300 3,146,537
*Elite Information Group, Inc......................... 180,800 1,152,600
Ellett Brothers, Inc.................................. 67,900 280,087
*eLOT, Inc............................................ 261,500 706,867
*Eltrax System, Inc................................... 89,485 430,647
*ELXSI Corp........................................... 27,900 338,287
EMC Insurance Group, Inc.............................. 124,900 1,007,006
*Emcee Broadcast Products, Inc........................ 50,000 157,812
*Emcor Group, Inc..................................... 17,000 377,187
Empire Federal Bancorp, Inc........................... 2,100 23,231
*EMS Technologies, Inc................................ 110,450 1,784,458
*En Pointe Technologies, Inc.......................... 36,500 384,391
*Encad, Inc........................................... 147,200 515,200
*Encompass Services Corp.............................. 679,750 3,993,531
*Encore Wire Corp..................................... 13,400 84,169
*Endosonics Corp...................................... 9,900 42,230
Energen Corp.......................................... 183,400 4,057,725
Enesco Group, Inc..................................... 296,900 1,187,600
Engineered Support Systems, Inc....................... 43,550 549,819
Engle Homes, Inc...................................... 154,200 1,479,356
Enhance Financial Services Group, Inc................. 407,300 5,600,375
Ennis Business Forms, Inc............................. 6,000 44,250
*Enserch Exploration Corp............................. 848,018 4,346,092
*Environmental Elements Corp.......................... 14,500 19,937
*Environmental Technologies Corp...................... 44,200 607,750
*ePresence, Inc....................................... 56,700 474,862
*Equinox Systems, Inc................................. 59,950 348,459
*Equity Marketing, Inc................................ 5,800 58,725
*Equity Oil Co........................................ 142,900 292,498
*Esco Electronics Corp................................ 225,700 3,977,962
Eskimo Pie Corp....................................... 43,300 426,234
Espey Manufacturing & Electronics Corp................ 3,800 54,625
*Esterline Technologies Corp.......................... 268,542 3,658,885
Ethyl Corp............................................ 710,600 1,820,912
*Evans & Sutherland Computer Corp..................... 184,000 1,454,750
*Evergreen Resources, Inc............................. 17,000 466,969
*Exabyte Corp......................................... 373,100 1,574,016
*Exar Corp............................................ 133,050 9,134,714
Exide Corp............................................ 378,900 3,220,650
*Exponent, Inc........................................ 90,400 709,075
*Extended Stay America, Inc........................... 883,100 7,947,900
Ezcorp, Inc. Class A Non-Voting....................... 246,000 538,125
*E-Z-Em, Inc. Class A................................. 45,200 310,750
*E-Z-Em, Inc. Class B................................. 3,843 24,739
Fab Industries, Inc................................... 87,081 870,810
*Fairchild Corp. Class A.............................. 480,829 2,283,938
Falcon Products, Inc.................................. 112,100 1,106,987
*Family Golf Centers, Inc............................. 164,100 51,281
*Fansteel, Inc........................................ 88,300 353,200
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Farm Family Holdings, Inc............................ 29,500 $ 796,500
Farmer Brothers Co.................................... 484 81,070
*Faro Technologies, Inc............................... 18,200 49,481
Farrel Corp........................................... 62,200 101,075
FBL Financial Group, Inc. Class A..................... 328,700 4,807,237
*Featherlite Manufacturing, Inc....................... 27,900 96,778
Federal Screw Works................................... 2,000 83,250
*FEI Co............................................... 252,900 4,575,909
FFLC Bancorp.......................................... 50,833 651,298
FFY Financial Corp.................................... 84,600 935,887
*Fibermark, Inc....................................... 109,350 1,141,341
*Fiberstars, Inc...................................... 12,900 101,184
Fidelity Bancorp, Inc. Delaware....................... 32,700 574,294
Fidelity Bankshares, Inc.............................. 8,000 124,500
*Fidelity Federal Bancorp............................. 20,000 38,750
Fidelity National Corp................................ 78,700 489,416
Fidelity National Financial, Inc...................... 432,200 6,699,100
*Finish Line, Inc. Class A............................ 289,900 2,011,181
*Finishmaster, Inc.................................... 120,000 652,500
*Finlay Enterprises, Inc.............................. 50,800 579,437
*First Aviation Services, Inc......................... 9,000 60,187
First Bell Bancorp, Inc............................... 59,600 851,162
*First Cash, Inc...................................... 109,000 459,844
First Charter Corp.................................... 17,100 273,066
First Citizens Bancshares, Inc. NC.................... 4,500 271,406
First Defiance Financial Corp......................... 131,000 1,084,844
First Essex Bancorp................................... 95,700 1,576,059
First Federal Bancshares of Arkansas, Inc............. 60,200 910,525
First Federal Capital Corp............................ 131,220 1,398,313
First Federal of East Hartford........................ 31,000 895,125
First Financial Holdings, Inc......................... 100,600 1,575,019
First Indiana Corp.................................... 92,906 1,622,952
*First Investors Financial Services Group, Inc........ 120,600 569,081
First Keystone Financial, Inc......................... 38,800 392,850
First Mariner Bank Corp............................... 43,600 280,675
First Midwest Financial, Inc.......................... 27,000 267,469
First Niagara Financial Group, Inc.................... 18,100 165,728
First Northern Capital Corp........................... 106,400 1,419,775
First Oak Brook Bancshares, Inc. Class A.............. 29,000 434,094
*First Republic Bank.................................. 128,352 2,165,940
First Savings Bancorp, Inc. North Carolina............ 48,500 873,000
First Sentinel Bancorp, Inc........................... 336,800 2,625,987
*First Team Sports, Inc............................... 99,300 212,564
First Washington Bancorp, Inc......................... 244,910 3,543,542
FirstBank NW Corp..................................... 11,600 117,450
*FirstCity Financial Corp............................. 8,300 18,156
Firstfed America Bancorp, Inc......................... 14,900 173,212
*FirstFed Financial Corp. DE.......................... 360,600 4,845,562
Firstspartan Financial Corp........................... 38,700 677,250
*Firstwave Technologies, Inc.......................... 45,700 162,092
*Fischer Imaging Corp................................. 100,600 270,362
Flag Financial Corp................................... 27,550 145,498
Flagstar Bancorp, Inc................................. 42,300 397,884
*Flander Corp......................................... 542,300 1,931,944
Fleetwood Enterprises, Inc............................ 217,100 3,093,675
Fleming Companies, Inc................................ 606,697 8,531,677
Flexsteel Industries, Inc............................. 90,400 1,166,725
*Flooring America, Inc................................ 332,900 915,475
</TABLE>
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<TABLE>
<CAPTION>
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Florida Rock Industries, Inc.......................... 34,500 $ 1,364,906
*Florsheim Group, Inc................................. 120,800 298,225
*Flour City International, Inc........................ 2,400 6,900
Flushing Financial Corp............................... 137,250 1,981,547
FNB Financial Services Corp........................... 11,900 145,775
*Foilmark, Inc........................................ 84,758 325,789
*Foodarama Supermarkets, Inc.......................... 13,400 361,800
Foothill Independent Bancorp.......................... 45,818 443,862
*Forest Oil Corp...................................... 109,500 1,745,156
*Foster (L.B.) Co. Class A............................ 169,900 568,103
Foster Wheeler Corp................................... 926,900 7,820,719
*FPIC Insurance Group, Inc............................ 47,800 616,919
Frankfort First Bancorp, Inc.......................... 25,650 304,594
Franklin Bank National Associaton Southfield, MI...... 49,283 425,066
*Franklin Covey Co.................................... 335,900 2,603,225
*Franklin Electronic Publishers, Inc.................. 112,300 729,950
Freds, Inc. Class A................................... 215,750 3,694,719
Fremont General Corp.................................. 513,500 2,246,562
*French Fragrances, Inc............................... 33,100 254,456
Frequency Electronics, Inc............................ 96,000 1,632,000
*Fresh America Corp................................... 32,200 70,437
*Fresh Choice, Inc.................................... 65,100 234,970
*Fresh Foods, Inc..................................... 133,100 390,981
*Friede Goldman International......................... 111,948 944,561
*Friedman Billings Ramsey Group, Inc. Class A......... 183,500 1,169,812
Friedman Industries, Inc.............................. 108,195 351,634
Friedmans, Inc. Class A............................... 209,600 1,264,150
Frisch's Restaurants, Inc............................. 92,392 900,822
*Fritz Companies, Inc................................. 255,200 2,655,675
Frontier Insurance Group, Inc......................... 542,700 644,456
Frozen Food Express Industries, Inc................... 327,600 829,237
FSF Financial Corp.................................... 9,400 116,325
*FSI International, Inc............................... 267,500 3,853,672
*FTI Consulting, Inc.................................. 62,700 587,812
GA Financial, Inc..................................... 75,100 882,425
*Gadzooks, Inc........................................ 127,900 1,822,575
Gainsco, Inc.......................................... 355,600 1,866,900
*Galey & Lord, Inc.................................... 271,200 661,050
*GameTech International, Inc.......................... 21,500 137,062
Garan, Inc............................................ 58,000 1,189,000
*Garden Fresh Restaurant Corp......................... 69,700 757,987
*Gart Sports Co....................................... 16,637 94,623
*Gasonics International, Inc.......................... 78,200 2,130,950
GBC Bancorp........................................... 105,800 3,038,444
*GC Companies, Inc.................................... 131,300 3,471,244
*Geerling & Wade, Inc................................. 27,500 97,969
*Gehl Co.............................................. 91,100 1,631,259
Gencorp, Inc.......................................... 765,100 7,507,544
General Binding Corp.................................. 8,800 66,000
General Cable Corp.................................... 210,800 1,752,275
*General Communications, Inc. Class A................. 895,400 4,309,112
*General Datacomm Industries, Inc..................... 119,300 469,744
*Genesee & Wyoming, Inc............................... 18,800 344,275
*Genesis Health Ventures, Inc......................... 544,300 204,112
Genesis Worldwide, Inc................................ 56,600 56,600
*Geneva Steel Co. Class A............................. 93,000 34,875
*Genlyte Group, Inc................................... 91,600 1,863,487
*GenStar Therapeutics Corporation..................... 14,500 67,062
*Gensym Corp.......................................... 74,000 269,406
<CAPTION>
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*Gentiva Health Services.............................. 75,575 $ 658,920
Geon Co............................................... 2,100 45,150
*Gerber Childrenswear, Inc............................ 42,700 224,175
Gerber Scientific, Inc................................ 146,900 1,762,800
*Getty Petroleum Marketing, Inc....................... 200,100 725,362
*Giant Group, Ltd..................................... 50,600 32,416
*Giant Industries, Inc................................ 178,700 1,574,794
Gibraltar Steel Corp.................................. 137,600 2,180,100
*Giga-Tronics, Inc.................................... 20,800 157,300
*G-III Apparel Group, Ltd............................. 98,500 455,562
*Gish Biomedical, Inc................................. 47,900 103,284
Glatfelter (P.H.) Co.................................. 586,800 6,931,575
*Glenayre Technologies, Inc........................... 707,600 5,815,587
*Global Sources, Ltd.................................. 22,838 630,214
*Global Vacation Group, Inc........................... 169,000 433,062
*Globe Business Resources, Inc........................ 45,500 581,547
Golden Enterprises, Inc............................... 17,200 53,750
*Golden State Vintners, Inc........................... 32,300 155,444
*Good Guys, Inc....................................... 263,300 707,619
*Goodys Family Clothing............................... 117,200 640,937
Gorman-Rupp Co........................................ 44,000 767,250
*Gottschalks, Inc..................................... 231,700 1,172,981
*Government Technology Services, Inc.................. 121,000 366,781
*GP Strategies Corp................................... 222,665 848,910
*Gradco Systems, Inc.................................. 91,550 170,226
*Graham Corp.......................................... 27,150 207,019
*Grand Union Co....................................... 154,600 130,444
Granite Construction, Inc............................. 136,000 3,544,500
Granite State Bankshares, Inc......................... 22,800 376,200
*Graphic Packaging International Corp................. 478,500 1,644,844
Gray Communications Systems, Inc...................... 35,950 406,684
*Greenbriar Corp...................................... 10,700 16,050
Greenbrier Companies, Inc............................. 247,900 1,890,237
*Griffin Land & Nurseries, Inc. Class A............... 25,000 337,500
*Griffon Corp......................................... 418,400 2,536,550
*Group 1 Automotive, Inc.............................. 75,000 862,500
*Group 1 Software, Inc................................ 25,350 464,222
*GT Interactive Software Corp......................... 76,500 160,172
Guaranty Federal Bancshares, Inc...................... 14,800 147,537
*Guest Supply, Inc.................................... 76,200 1,338,262
Guilford Mills, Inc................................... 436,800 2,866,500
*Gulf Island Fabrication, Inc......................... 11,200 194,250
*Gulfmark Offshore, Inc............................... 107,400 2,315,812
*Gundle/SLT Environmental, Inc........................ 290,800 908,750
*Gymboree Corp........................................ 428,900 1,199,580
*GZA Geoenvironmental Technologies, Inc............... 42,700 261,537
*Hadco Corp........................................... 50,800 4,483,100
Haggar Corp........................................... 107,325 1,244,299
*Hagler Bailly, Inc................................... 53,100 96,244
*Hahn Automotive Warehouse, Inc....................... 38,746 41,168
*Halifax Corp......................................... 24,000 124,500
Hallmark Capital Corp................................. 35,000 297,500
*Hallwood Group, Inc.................................. 100 956
*Ha-Lo Industries, Inc................................ 250,800 1,395,075
*Hampshire Group, Ltd................................. 19,100 152,800
*Hampton Industries, Inc.............................. 79,094 148,301
Hancock Fabrics, Inc.................................. 196,300 920,156
Hancock Holding Co.................................... 1,600 50,800
*Handleman Co......................................... 474,436 4,625,751
*Hanger Orthopedic Group, Inc......................... 262,700 1,264,244
</TABLE>
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<TABLE>
<CAPTION>
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Harbor Florida Bancshares, Inc........................ 17,500 $ 185,391
*Harding Lawson Associates Group, Inc................. 66,500 754,359
Hardinge Brothers, Inc................................ 155,200 1,498,650
Harleysville Group, Inc............................... 455,200 7,709,950
Harman International Industries, Inc.................. 27,300 1,579,987
Harmon Industries, Inc................................ 3,700 49,487
*Harnischfeger Industries, Inc........................ 266,100 117,084
*Harolds Stores, Inc.................................. 2,000 5,000
*Harry's Farmers Market, Inc. Class A................. 46,100 51,862
*Hartmarx Corp........................................ 696,000 1,566,000
*Harvey Entertainment Co.............................. 52,400 160,475
*Hastings Entertainment, Inc.......................... 169,800 225,516
Hastings Manufacturing Co............................. 1,700 15,459
*Hathaway Corp........................................ 45,300 161,381
*Hauser, Inc.......................................... 42,275 58,128
Haven Bancorp, Inc.................................... 117,000 2,098,687
Haverty Furniture Co., Inc............................ 280,200 3,152,250
*Hawaiian Airlines, Inc............................... 568,400 1,421,000
*Hawk Corp............................................ 191,000 1,301,187
*Hawker Pacific Aerospace............................. 84,000 472,500
*Hawthorne Financial Corp............................. 84,200 684,125
HCC Insurance Holdings, Inc........................... 38,600 658,612
*Headway Corporate Resources, Inc..................... 93,700 298,669
*Health Management Systems, Inc....................... 240,200 994,578
*Health Risk Management, Inc.......................... 72,700 422,569
*Health Systems Design Corp........................... 90,000 506,250
*Healthcare Recoveries, Inc........................... 54,700 190,595
*Healthcare Services Group, Inc....................... 171,650 772,425
*Healthcor Holdings................................... 65,300 2,285
Healthplan Services Corp.............................. 297,000 723,937
*Hector Communications Corp........................... 9,500 121,125
*HEI, Inc............................................. 10,200 123,675
Heico Corp............................................ 14,900 195,562
Heilig-Meyers Co...................................... 1,133,850 1,913,372
*Hello Direct, Inc.................................... 84,100 1,045,994
Heritage Financial Corp............................... 32,100 253,791
*Herley Industries, Inc............................... 26,733 432,740
*Hexcel Corp.......................................... 425,250 3,295,687
HF Financial Corp..................................... 52,150 451,423
*High Plains Corp..................................... 211,900 476,775
*Highlands Insurance Group, Inc....................... 226,410 1,641,472
*Hirsch International Corp. Class A................... 90,000 126,562
*Hi-Shear Industries, Inc............................. 53,500 129,570
*Hi-Tech Pharmacal, Inc............................... 54,600 212,428
*HMI Industries, Inc.................................. 27,800 40,831
HMN Financial, Inc.................................... 70,000 791,875
*HMT Technology Corp.................................. 777,700 1,336,672
*Hoenig Group, Inc.................................... 104,700 971,747
*Holiday RV Superstores, Inc.......................... 70,700 296,056
Holly Corp............................................ 107,400 1,074,000
*Hollywood Casino Corp. Class A....................... 32,900 166,556
*Hollywood Entertainment Corp......................... 269,600 1,857,712
*Hologic, Inc......................................... 284,500 1,635,875
Home Bancorp.......................................... 13,800 203,981
Home Federal Bancorp.................................. 34,875 573,258
Home Loan Financial Corp.............................. 700 4,637
Home Port Bancorp, Inc................................ 14,500 351,625
*Home Products International, Inc..................... 124,450 536,691
*Homebase, Inc........................................ 839,650 1,574,344
*Homegold Financial, Inc.............................. 50,000 45,312
*Homeland Holding Corp................................ 6,900 27,169
<CAPTION>
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*Homestead Village, Inc............................... 278,500 $ 1,131,406
Horizon Financial Corp................................ 91,865 858,364
*Horizon Health Corp.................................. 113,600 688,700
*Horizon Offshore, Inc................................ 168,000 1,895,250
*Horizon Pharmacies, Inc.............................. 31,000 116,250
*Hotelworks.com, Inc.................................. 209,200 78,450
*Houston Exploration Co............................... 310,400 7,760,000
*Hovnanian Enterprises, Inc. Class A.................. 257,084 1,413,962
Howell Corp........................................... 104,200 970,362
*HPSC, Inc............................................ 43,600 411,475
*HS Resources, Inc.................................... 330,000 11,075,625
*Hub Group, Inc. Class A.............................. 108,700 1,375,734
*Hudson Hotels Corp................................... 14,300 14,523
Hudson River Bancorp, Inc............................. 35,700 349,191
*Hudson Technologies, Inc............................. 55,900 117,041
Huffy Corp............................................ 171,900 558,675
Hughes Supply, Inc.................................... 349,350 6,637,650
Hunt (J.B.) Transport Services, Inc................... 597,200 9,648,512
Hunt Corp............................................. 62,850 632,428
*Huntco, Inc. Class A................................. 92,600 283,587
*Hurco Companies, Inc................................. 92,800 406,000
*Hutchinson Technology, Inc........................... 506,400 5,966,025
*Hvide Marine, Inc. Class A........................... 110,500 0
*Hycor Biomedical, Inc................................ 69,800 349,000
*Hypercom Corp........................................ 216,800 2,710,000
*Hyseq, Inc........................................... 213,600 4,946,175
Iberiabank Corp....................................... 105,300 1,572,919
*Ico, Inc............................................. 241,800 396,703
*ICT Group, Inc....................................... 48,500 341,016
*ICU Medical, Inc..................................... 69,900 1,312,809
*IEC Electronics Corp................................. 130,700 249,147
*IFR Systems, Inc..................................... 134,400 768,600
*IHOP Corp............................................ 69,900 1,231,987
*II-VI, Inc........................................... 136,100 5,231,344
*Il Fornaio (America) Corp............................ 8,800 75,900
*Imation Corp......................................... 92,700 2,624,569
IMCO Recycling, Inc................................... 347,500 2,323,906
*Immucor, Inc......................................... 61,100 490,709
*Imperial Credit Industries, Inc...................... 733,500 2,567,250
Imperial Sugar Co..................................... 697,400 958,925
*Impreso.com, Inc..................................... 6,500 26,609
*In Focus Systems, Inc................................ 158,800 4,431,512
*Inacom Corp.......................................... 731,200 124,304
Independence Holding Co............................... 52,600 650,925
Independent Bank East................................. 77,726 1,015,296
Industrial Bancorp, Inc............................... 29,200 332,150
*Industrial Distribution Group, Inc................... 178,900 424,887
*Industrial Holdings, Inc............................. 9,200 10,637
*Inference Corp. Class A.............................. 115,000 711,562
*Infinium Software, Inc............................... 4,300 13,841
*Infonautics Corp. Class A............................ 64,100 262,409
*Information Management Associates, Inc............... 101,500 444,062
*Information Resources, Inc........................... 489,200 2,430,712
Ingles Market, Inc. Class A........................... 211,100 2,084,612
*Innodata Corp........................................ 94 582
*Innotrac Corp........................................ 68,500 338,219
*Innovative Clinical Solutions, Ltd................... 261,200 45,710
*Innovative Gaming Corp. of America................... 6,600 4,847
*Innoveda, Inc........................................ 305,200 1,363,862
Innovex, Inc.......................................... 22,200 190,781
*Inprise Corp......................................... 147,900 825,005
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Input/Output, Inc.................................... 544,700 $ 4,289,512
*Insignia Financial Group, Inc........................ 387,032 4,378,299
*Insilco Holding Co................................... 432 11,664
*Insituform East, Inc................................. 31,200 41,925
*Insituform Technologies, Inc. Class A................ 51,100 1,767,741
*Inso Corp............................................ 171,100 604,197
*Inspire Insurance Solutions, Inc..................... 176,700 612,928
Insteel Industries, Inc............................... 117,400 675,050
*Insurance Auto Auctions, Inc......................... 146,300 2,839,134
*Insurance Management Solutions, Inc.................. 19,600 31,544
*Integra, Inc......................................... 104,800 65,500
*IntegraMed America, Inc.............................. 57,100 178,437
*Integrated Device Technology, Inc.................... 215,987 10,272,882
*Integrated Electrical Services, Inc.................. 398,800 1,969,075
*Integrated Measurement System, Inc................... 83,800 1,246,525
*Integrated Silicon Solution, Inc..................... 203,400 6,032,081
*Intellicall, Inc..................................... 4,500 3,656
Intelligent Systems Corp.............................. 52,375 222,594
*Inter Parfums, Inc................................... 103,200 1,212,600
Interface, Inc. Class A............................... 577,100 2,524,812
*Intergraph Corp...................................... 792,900 4,435,284
*Interlinq Software Corp.............................. 68,800 193,500
*Intermagnetics General Corp.......................... 143,980 1,637,772
Intermet Corp......................................... 224,500 1,546,945
*International Aircraft Investors..................... 38,500 197,312
International Aluminum Corp........................... 48,900 712,106
International Multifoods Corp......................... 398,000 5,547,125
*International Rectifier Corp......................... 368,300 15,192,375
*International Remote Imaging Systems, Inc............ 6,200 8,912
International Shipholding Corp........................ 80,450 613,431
*International Speciality Products, Inc............... 466,190 2,534,908
*International Total Services, Inc.................... 74,900 74,900
Interpool, Inc........................................ 589,800 4,718,400
*Interstate National Dealers Services, Inc............ 3,900 21,206
*Intervisual Books, Inc. Class A...................... 9,900 14,231
*Intevac, Inc......................................... 5,100 15,937
Investors Title Co.................................... 18,200 200,200
*Invision Technologies, Inc........................... 33,900 136,659
*Invivo Corp.......................................... 2,500 25,156
*Ionics, Inc.......................................... 146,700 4,217,625
*IRI International Corp............................... 26,700 238,631
*Iridex Corp.......................................... 74,300 631,550
*Isco, Inc............................................ 91,100 408,527
*Isle of Capri Casinos, Inc........................... 308,700 4,215,684
*Isolyser Co., Inc.................................... 597,600 2,110,275
*IT Group, Inc ....................................... 361,379 2,100,515
*ITC Learning Corp.................................... 49,200 121,462
*ITEQ, Inc............................................ 305,059 171,596
*ITLA Capital Corp.................................... 154,400 2,016,850
*Itron, Inc........................................... 85,300 397,178
*IVI Checkmate Corp................................... 175,705 516,133
*J & J Snack Foods Corp............................... 170,100 2,535,553
*J. Alexander's Corp.................................. 88,900 344,487
*J. Jill Group, Inc................................... 176,600 1,087,194
*Jackpot Enterprises, Inc............................. 106,500 1,231,406
Jacksonville Bancorp, Inc............................. 16,200 207,562
*Jaclyn, Inc.......................................... 26,900 53,800
*Jaco Electronics, Inc................................ 70,446 1,146,949
*Jacobson Stores, Inc................................. 78,650 442,406
<CAPTION>
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*Jan Bell Marketing, Inc.............................. 382,400 $ 836,500
*Jason, Inc........................................... 288,900 2,907,056
*JDA Software Group, Inc.............................. 62,600 972,256
Jefferies Group, Inc.................................. 65,200 1,316,225
Jefferson Savings Bancorp, Inc........................ 79,900 871,409
*JLK Direct Distribution, Inc. Class A................ 103,000 714,562
*JLM Industries, Inc.................................. 118,500 448,078
*Jo-Ann Stores, Inc. Class A.......................... 35,700 339,150
*Jo-Ann Stores, Inc. Class B.......................... 35,700 287,831
*Johnson Outdoors, Inc................................ 123,300 1,090,434
*Jos. A. Bank Clothiers, Inc.......................... 155,400 704,156
*JPM Co............................................... 3,500 18,047
*JPS Industries, Inc.................................. 9,000 33,609
*Jps Packaging Company................................ 61,150 171,984
Justin Industries, Inc................................ 352,500 6,146,719
*JWGenesis Financial Corp............................. 14,250 117,562
K Swiss, Inc. Class A................................. 88,200 1,160,381
*K2, Inc.............................................. 306,580 2,165,221
*Kaiser Aluminum Corp................................. 1,232,615 5,469,729
*Kaiser Group International, Inc...................... 123,000 17,297
*Kaiser Ventures, Inc................................. 134,100 1,734,919
Kaman Corp. Class A................................... 435,000 4,336,406
*Kasper A.S.L., Ltd................................... 59,900 154,430
Katy Industries, Inc.................................. 139,300 1,349,469
Kaye Group, Inc....................................... 40,000 270,000
*KBK Capital Corp..................................... 68,900 288,519
*KCS Energy, Inc...................................... 183,900 206,887
*Kellstrom Industries, Inc............................ 94,300 474,447
Kellwood Co........................................... 416,218 7,023,679
Kenan Transport Co.................................... 200 3,725
*Kendle International, Inc............................ 76,900 485,431
Kennametal, Inc....................................... 5,300 139,787
*Kennedy-Wilson, Inc.................................. 5,100 26,297
*Kent Electronics Corp................................ 166,450 4,618,987
*Kentucky Electric Steel, Inc......................... 32,600 69,275
Kentucky First Bancorp, Inc........................... 11,700 119,194
*Kevco, Inc........................................... 138,800 221,212
Kewaunee Scientific Corp.............................. 30,800 359,012
*Key Energy Group, Inc................................ 166,900 1,815,037
*Key Production Co., Inc.............................. 146,612 2,354,955
*Key Technology, Inc.................................. 55,800 483,019
*Key Tronic Corp...................................... 172,500 468,984
*Keystone Automotive Industries, Inc.................. 283,680 2,078,842
*Keystone Consolidated Industries, Inc................ 147,849 572,915
*kforce.com, Inc...................................... 915,600 11,759,737
Kimball International, Inc. Class B................... 287,000 4,636,844
*Kimmins Corp......................................... 16,000 5,020
*Kinark Corp.......................................... 73,400 96,337
*Kinnard Investment, Inc.............................. 73,600 584,200
*Kit Manufacturing Co................................. 11,100 72,150
*Kitty Hawk, Inc...................................... 170,900 79,896
Klamath First Bancorp, Inc............................ 144,600 1,617,713
*KLLM Transport Services, Inc......................... 52,099 415,164
Knape & Vogt Manufacturing Co......................... 37,434 567,359
*Komag, Inc........................................... 949,600 1,988,225
*Koss Corp............................................ 45,700 764,047
*Krug International Corp.............................. 65,400 85,838
*K-Tron International, Inc............................ 6,300 99,422
*Kulicke & Soffa Industries, Inc...................... 161,700 8,145,638
*KVH Industries, Inc.................................. 59,200 308,950
LabOne, Inc........................................... 91,950 474,117
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Laboratory Corp. of America Holdings, Inc............ 29,650 $ 2,131,094
*Labtec, Inc.......................................... 8,916 55,725
*Laclede Steel Co..................................... 44,100 17,916
LaCrosse Footwear, Inc................................ 19,900 80,222
*Ladish Co., Inc...................................... 254,200 2,216,306
*Lakeland Industries, Inc............................. 6,100 38,888
*Lakes Gaming, Inc.................................... 168,725 1,386,709
*Lam Research Corp.................................... 75,900 2,440,659
*Lamson & Sessions Co................................. 159,800 1,278,400
*Lancer Corp.......................................... 94,400 342,200
*Landair Corp......................................... 23,200 94,975
Landamerica Financial Group, Inc...................... 243,312 4,486,065
Landrys Seafood Restaurants, Inc...................... 481,800 3,764,063
*Larscom, Inc......................................... 57,400 287,000
*LaserSight Corporation............................... 32,100 163,509
Lawrence Savings Bank MA.............................. 3,500 25,266
Lawson Products, Inc.................................. 250,000 5,992,188
*Layne Christensen Co................................. 156,000 692,250
*Lazare Kaplan International, Inc..................... 132,300 1,157,625
La-Z-Boy, Inc......................................... 117,949 1,894,556
*Leapnet, Inc......................................... 155,686 498,683
*Learn2.com, Inc...................................... 60,454 116,185
*Lechters, Inc........................................ 263,400 403,331
Lennox International, Inc............................. 203,680 2,393,240
Lesco, Inc............................................ 61,700 960,206
*Let's Talk Cellular & Wireless, Inc.................. 400 192
Liberty Bancorp, Inc.................................. 2,800 19,338
*Liberty Corp......................................... 7,200 252,900
*Life Financial Corp.................................. 44,500 175,219
*Lifeline Systems, Inc................................ 14,400 175,500
Lifetime Hoan Corp.................................... 156,100 1,297,581
Lillian Vernon Corp................................... 122,600 1,195,350
*Lindal Cedar Homes, Inc.............................. 8,000 16,250
Lindberg Corp......................................... 95,900 755,213
*Lithia Motors, Inc. Class A.......................... 5,500 66,688
*LMI Aerospace, Inc................................... 11,900 33,841
LNR Property Corp..................................... 329,800 6,389,875
*Lodgenet Entertainment Corp.......................... 29,000 676,969
*Lodgian, Inc......................................... 396,900 893,025
*Loehmanns, Inc....................................... 65,000 4,713
*Loews Cineplex Entertainment Corp.................... 1,004,200 2,636,025
*Logic Devices, Inc................................... 78,700 184,453
Lone Star Steakhouse Saloon........................... 505,000 5,349,844
Longs Drug Stores Corp................................ 21,100 425,956
Longview Fibre Co..................................... 246,300 2,955,600
*Louis Dreyfus Natural Gas Corp....................... 465,900 14,967,038
*LSB Industries, Inc.................................. 99,500 80,844
LSI Industries, Inc................................... 5,830 100,021
LTV Corp.............................................. 1,538,700 4,039,088
*LTX Corp............................................. 210,000 5,519,063
Luby's Cafeterias, Inc................................ 72,200 636,263
Lufkin Industries, Inc................................ 95,200 1,612,450
*Lumisy, Inc.......................................... 172,100 424,872
*Lunar Corp........................................... 100,450 1,111,228
*Lydall, Inc.......................................... 294,900 3,078,019
*Lynch Corp........................................... 6,200 191,425
M.A. Hanna Co......................................... 246,200 2,877,463
*M.H. Meyerson & Co., Inc............................. 51,600 191,888
*Mac-Gray Corp........................................ 72,800 222,950
*Mackie Designs, Inc.................................. 1,000 6,844
*Made2Manage Systems, Inc............................. 81,000 521,438
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*Magellan Health Services, Inc........................ 416,500 $ 885,063
*Magnetek, Inc........................................ 377,100 3,181,781
*Magnum Hunter Resources, Inc......................... 118,000 634,250
*Mail-Well, Inc....................................... 9,800 91,875
*Main Street & Main, Inc.............................. 124,600 412,738
Main Street Bancorp, Inc.............................. 6,200 52,216
*Mallon Resources Corp................................ 46,100 352,233
*Manchester Equipment Co., Inc........................ 184,200 805,875
*Manugistic Group, Inc................................ 177,600 5,161,500
*Mapinfo Corp......................................... 47,900 1,408,559
Marcus Corp........................................... 301,000 3,292,188
*Marine Transport Corp................................ 128,870 338,284
*Marisa Christina, Inc................................ 94,000 158,625
Maritrans, Inc........................................ 188,500 1,119,219
*MarkWest Hydrocarbon, Inc............................ 155,500 1,302,313
*Marlton Technologies, Inc............................ 103,700 129,625
Marsh Supermarkets, Inc. Class A...................... 42,900 697,125
Marsh Supermarkets, Inc. Class B...................... 56,900 586,781
Massbank Corp. Reading, MA............................ 40,266 1,190,364
Matec Corp............................................ 6,900 53,475
*Material Sciences Corp............................... 346,200 3,721,650
*Matlack Systems, Inc................................. 141,092 432,094
*Matria Healthcare, Inc............................... 545,700 1,858,791
*Matrix Pharmaceutical, Inc........................... 280,700 2,438,581
*Matrix Service Co.................................... 154,300 752,213
*Mattson Technology, Inc.............................. 96,100 2,913,031
*Maverick Tube Corp................................... 129,500 4,552,734
*Max & Ermas Restaurants, Inc......................... 41,900 361,388
*Maxco, Inc........................................... 38,500 300,781
*Maxicare Health Plans, Inc........................... 224,000 364,000
*Maxwell Shoe Company, Inc............................ 37,200 282,488
*Maxwell Technologies, Inc............................ 10,900 153,281
*Maxxam, Inc.......................................... 97,900 2,496,450
*Maynard Oil Co....................................... 53,500 896,125
*Mazel Stores, Inc.................................... 177,100 1,549,625
*MB Financial, Inc.................................... 36,800 408,250
*McClain Industries, Inc.............................. 600 2,906
McGrath Rent Corp..................................... 114,500 1,796,219
*McNaughton Apparel Group, Inc........................ 114,000 1,086,563
McRae Industries, Inc. Class A........................ 1,000 6,188
*McWhorter Technologies, Inc.......................... 128,000 2,504,000
MDC Holdings, Inc..................................... 408,288 7,885,062
*Meadow Valley Corp................................... 44,064 167,994
Meadowbrook Insurance Group, Inc...................... 193,700 1,041,138
*Mechanical Dynamics, Inc............................. 8,600 51,063
Medford Bancorp, Inc.................................. 103,600 1,547,525
*Media 100, Inc....................................... 57,200 1,011,725
*Media Arts Group, Inc................................ 22,100 85,638
*Medialink Worldwide, Inc............................. 51,100 367,281
*Medical Action Industries, Inc....................... 27,800 110,331
*Medical Alliance, Inc................................ 108,700 421,213
*Medical Assurance, Inc............................... 87,924 1,000,136
*Medical Resources, Inc............................... 63,218 3,635
*Medicore, Inc........................................ 58,600 119,031
*Medstone International, Inc.......................... 75,700 404,522
*MEMC Electronic Materials, Inc....................... 348,300 5,333,344
Merchants Group, Inc.................................. 25,600 388,800
*Mercury Air Group, Inc............................... 15,300 72,675
Meridian Insurance Group, Inc......................... 56,870 767,745
*Meridian Medical Technology, Inc..................... 18,000 155,250
*Meridian Resource Corp............................... 139,300 740,031
*Merisel, Inc......................................... 335,800 267,591
</TABLE>
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*MeriStar Hotels & Resorts, Inc....................... 82,000 $ 235,750
*Merit Medical Systems, Inc........................... 25,600 126,400
*Merix Corp........................................... 77,600 2,136,425
*Merrimac Industries, Inc............................. 11,770 142,711
*Mesa Air Group, Inc.................................. 452,500 2,707,930
*Mesa Labs, Inc....................................... 17,000 75,703
*Mestek, Inc.......................................... 13,500 224,438
*Metacreations Corp................................... 55,400 396,456
*Metal Management, Inc................................ 409,500 556,664
Metals USA, Inc....................................... 317,140 1,664,985
*Metatec Corp. Class A................................ 124,300 341,825
*Metrocall, Inc....................................... 447,510 1,440,423
*Metromedia International Group, Inc.................. 1,099,000 4,739,438
MFB Corp.............................................. 19,200 318,000
*MFRI, Inc............................................ 59,700 235,069
MI Schottenstein Homes, Inc........................... 187,600 3,189,200
*Michael Anthony Jewelers, Inc........................ 98,500 246,250
Michael Foods, Inc.................................... 173,981 3,985,252
*Michaels Stores, Inc................................. 383,000 16,373,250
*Micro Linear Corp.................................... 178,100 940,591
*Microage, Inc........................................ 486,000 230,850
*Microcide Pharmaceuticals, Inc....................... 73,000 545,219
MicroFinancial, Inc................................... 30,000 285,000
*Micros to Mainframes, Inc............................ 6,200 36,813
*Microsemi Corp....................................... 23,300 504,591
*Microtest, Inc....................................... 87,000 647,063
*Microtouch Systems, Inc.............................. 132,500 1,171,797
*Microwave Power Dynamics, Inc........................ 77,700 382,430
Mid America Banccorp.................................. 88,727 2,073,994
*Mid Atlantic Medical Services, Inc................... 316,000 3,910,500
Midcoast Energy Resources, Inc........................ 4,000 64,000
*Middleby Corp........................................ 170,000 1,136,875
Middlesex Water Co.................................... 7,500 219,844
Midland Co............................................ 16,800 424,200
*Midway Airlines Corp................................. 98,700 586,031
*Midwest Grain Products, Inc.......................... 124,300 873,984
Mikasa, Inc........................................... 198,400 1,909,600
*Mikohn Gaming Corp................................... 124,400 789,163
Milacron, Inc......................................... 147,400 2,330,763
*Miller Building Systems, Inc......................... 46,200 261,319
*Miller Industries, Inc............................... 692,550 1,601,522
*Miltope Group, Inc................................... 53,600 108,038
*MIM Corp............................................. 42,700 78,728
Mine Safety Appliances Co............................. 112,800 2,622,600
Minntech Corp......................................... 7,600 56,050
*Minolta-QMS, Inc..................................... 40,905 135,498
Minuteman International, Inc.......................... 9,000 75,938
Mississippi Chemical Corp............................. 494,900 2,876,606
*Mitcham Industries, Inc.............................. 77,100 454,167
*Mobile America Corp.................................. 82,500 216,563
*Modtech Holdings, Inc................................ 4,300 46,359
*Monarch Casino and Resort, Inc....................... 5,200 24,700
*Monarch Dental Corp.................................. 138,400 400,063
*Monro Muffler Brake, Inc............................. 101,130 843,803
Monterey Bay Bancorp, Inc............................. 44,500 396,328
*Moog, Inc. Class A................................... 99,850 2,134,294
*Moog, Inc. Class B................................... 12,800 519,200
*Moore Handley, Inc................................... 2,000 3,313
*Moore Medical Corp................................... 42,300 370,125
*Morrison Knudsen Corp................................ 452,700 3,508,425
*Mother's Work, Inc................................... 67,000 707,688
*Motient Corp......................................... 138,100 1,247,216
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*Motor Car Parts & Accessories, Inc................... 71,200 $ 72,446
*Motor Club of America................................ 5,600 44,450
Movado Group, Inc..................................... 156,150 1,495,624
*Movie Gallery, Inc................................... 254,900 852,322
*MRV Communications, Inc.............................. 365,100 9,732,197
*MS Carriers, Inc..................................... 200,800 3,871,675
MTS Systems Corp...................................... 250,710 1,821,565
Mueller (Paul) Co..................................... 6,100 146,781
*Multi Color Corp..................................... 6,000 47,625
*Multiple Zones International, Inc.................... 172,000 722,938
*N & F Worldwide Corp................................. 274,100 1,404,763
*NABI, Inc............................................ 561,200 3,253,206
Nacco Industries, Inc. Class A........................ 93,800 3,540,950
*Napco Security Systems, Inc.......................... 52,300 199,394
Nash Finch Co......................................... 155,300 1,208,428
Nashua Corp........................................... 118,000 973,500
*Nastech Pharmaceutical Co., Inc...................... 95,600 374,931
*Nathans Famous, Inc.................................. 85,000 249,688
National City Bancorp................................. 115,314 1,672,053
*National Equipment Services, Inc..................... 195,700 1,113,044
*National Home Centers, Inc........................... 70,500 120,070
*National Home Health Care Corp....................... 58,211 240,120
National Presto Industries, Inc....................... 133,400 4,143,738
*National Processing, Inc............................. 56,400 659,175
*National Record Mart, Inc............................ 62,300 100,264
*National Research Corp............................... 78,000 426,563
*National Standard Co................................. 3,600 6,525
National Steel Corp. Class B.......................... 429,800 2,256,450
National Technical Systems, Inc....................... 104,184 325,575
*National Techteam, Inc............................... 301,900 1,009,478
*National Western Life Insurance Co. Class A.......... 24,300 1,797,441
*Natrol, Inc.......................................... 18,500 77,758
*Natural Alternatives International, Inc.............. 82,100 129,564
*Natural Microsystems Corp............................ 78,500 5,055,891
*Natural Wonders, Inc................................. 89,100 100,238
*Navigators Group, Inc................................ 5,100 44,944
NBT Bancorp........................................... 101,347 1,013,470
NCH Corp.............................................. 91,600 3,664,000
*NCI Building Systems, Inc............................ 88,500 1,510,031
*NCS Healthcare, Inc.................................. 260,900 236,441
*Neff Corp. Class A................................... 11,000 41,938
Nelson (Thomas), Inc.................................. 183,800 1,298,088
*Netmanage, Inc....................................... 690,413 1,887,848
*Netrix Corp.......................................... 90,900 997,059
*Network Computing Devices, Inc....................... 177,600 283,050
*Network Equipment Technologies, Inc.................. 390,100 4,169,194
*Network Peripherals, Inc............................. 21,400 380,519
*Neurocrine Biosciences, Inc.......................... 100,700 2,139,875
*New American Healthcare Corp......................... 23,600 944
*New Brunswick Scientific Co., Inc.................... 77,531 407,038
*New Century Financial Corp........................... 118,400 1,091,500
*New Day Runner, Inc.................................. 3,740 6,136
*New Horizons Worldwide, Inc.......................... 68,875 1,201,008
*New Mexico & Arizona Land Co......................... 87,400 447,925
*Newcor, Inc.......................................... 64,712 137,513
*Newmark Homes Corp................................... 2,000 11,875
Newmil Bancorp, Inc................................... 43,500 440,438
*Newpark Resources, Inc............................... 218,000 1,825,750
Newport Corp.......................................... 56,600 9,652,069
*Nexell Therapeutics, Inc............................. 1,702 5,877
</TABLE>
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*Nexthealth, Inc...................................... 81,300 $ 228,656
*Niagara Corp......................................... 131,500 567,094
Nitches, Inc.......................................... 3,679 19,775
*NMT Medical, Inc..................................... 124,100 471,192
*Nobel Learning Communities, Inc...................... 72,900 526,247
Noel Group, Inc....................................... 85,860 22,324
Noland Co............................................. 2,000 33,000
*Noodle Kidoodle, Inc................................. 114,500 343,500
*Norstan, Inc......................................... 234,000 1,155,375
*Nortek, Inc.......................................... 81,100 1,738,581
North Central Bancshares, Inc......................... 41,300 591,106
North Fork Bancorporation, Inc........................ 251,000 4,157,188
Northeast Bancorp..................................... 22,500 180,000
Northland Cranberries, Inc. Class A................... 177,300 703,659
Northrim Bank......................................... 20,096 171,444
*Northwest Pipe Co.................................... 98,200 1,322,631
*Novametrix Medical Systems, Inc...................... 20,200 126,566
*NPS Pharmaceuticals, Inc............................. 152,200 1,926,281
*NS Group, Inc........................................ 308,800 5,654,900
*Nu Horizons Electronics Corp......................... 116,305 2,013,530
*NuCo2, Inc........................................... 5,200 29,900
*Nuevo Energy Co...................................... 241,500 4,663,969
*Numerex Corp. Class A................................ 78,200 720,906
*Nutraceutical International Corp..................... 116,700 421,214
Nymagic, Inc.......................................... 132,700 1,866,094
*O.I. Corp............................................ 51,800 201,534
*Oak Technology, Inc.................................. 708,800 10,476,950
Oakwood Homes Corp.................................... 1,072,500 3,083,438
*Objective Systems Integrators, Inc................... 347,200 2,555,175
*Oceaneering International, Inc....................... 129,000 2,515,500
OceanFirst Financial Corp............................. 164,000 2,798,250
*O'Charleys, Inc...................................... 127,000 1,781,969
*Ocwen Financial Corp................................. 332,300 1,910,725
*ODS Networks, Inc.................................... 110,600 1,610,613
*Offshore Logistics, Inc.............................. 351,900 4,937,597
Ogden Corp............................................ 374,596 3,230,891
Oglebay Norton Co..................................... 47,200 985,300
*Ohio Art Co.......................................... 3,600 30,600
Ohio Casualty Corp.................................... 34,100 408,134
Oil-Dri Corp. of America.............................. 50,800 492,125
*Old Dominion Freight Lines, Inc...................... 134,300 1,225,488
*Olympic Steel, Inc................................... 201,800 876,569
*Omega Protein Corp................................... 486,200 1,367,438
*Omega Worldwide, Inc................................. 42,400 174,900
*OMNI Energy Services Corp............................ 47,800 34,356
*Omtool, Ltd.......................................... 279,400 506,413
*On Command Corp...................................... 63,700 1,043,088
*One Price Clothing Stores, Inc....................... 163,400 388,075
*Ontrack Data International, Inc...................... 23,400 173,306
*Onyx Acceptance Corp................................. 110,600 456,225
*Onyx Pharmacueticals, Inc............................ 1,700 11,794
*Opinion Research Corp................................ 43,900 274,375
*Opta Food Ingredients, Inc........................... 199,600 452,219
*Opti, Inc............................................ 163,800 655,200
*Optika Imaging Systems, Inc.......................... 95,000 602,656
*Option Care, Inc..................................... 800 5,225
*Orbital Sciences Corp................................ 41,300 505,925
Oregon Steel Mills, Inc............................... 516,761 1,130,415
*Oriole Homes Corp. Class A Convertible............... 20,800 39,000
*Oriole Homes Corp. Class B........................... 30,900 50,213
*Orleans Homebuilders, Inc............................ 20,100 32,663
<CAPTION>
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*Oroamerica, Inc...................................... 119,400 $ 869,381
*Orthologic Corp...................................... 359,700 1,663,613
Oshkosh Truck Corp. Class B........................... 89,600 2,741,200
*Oshman's Sporting Goods, Inc......................... 71,000 221,875
*OSI Pharmaceutical, Inc.............................. 77,100 771,000
*OSI Systems, Inc..................................... 74,600 445,269
*Osmonics, Inc........................................ 164,000 1,476,000
*Ostex International, Inc............................. 105,600 207,900
*OTR Express, Inc..................................... 15,000 18,750
*Outlook Group Corp................................... 49,500 275,344
*Outsource International, Inc......................... 83,400 99,038
*Overland Data........................................ 500 4,078
Overseas Shipholding Group, Inc....................... 671,400 15,568,088
Owosso Corp........................................... 107,300 224,659
Oxford Industries, Inc................................ 109,400 1,688,863
*OYO Geospace Corp.................................... 7,000 112,000
*PAM Transportation Services, Inc..................... 45,400 385,900
*Pameco Corp.......................................... 76,500 200,813
Pamrapo Bancorp, Inc.................................. 32,300 639,944
*Pancho's Mexican Buffet, Inc......................... 14,600 52,469
*Panera Bread CO...................................... 205,800 1,749,300
*Par Technology Corp.................................. 157,300 599,706
Park Electrochemical Corp............................. 157,300 3,942,331
*Parker Drilling Co................................... 1,225,900 7,432,019
*Park-Ohio Holdings Corp.............................. 176,835 1,492,045
Parkvale Financial Corp............................... 52,025 929,947
*Parlex Corp.......................................... 55,300 1,228,697
*Parlux Fragrances, Inc............................... 225,300 682,941
Patina Oil & Gas Corp................................. 247,626 4,287,025
Patrick Industries, Inc............................... 93,500 613,594
*Patterson Energy, Inc................................ 83,900 2,026,709
*Paul Harris Stores, Inc.............................. 184,875 496,852
Paula Financial, Inc.................................. 89,900 241,606
*Paul-Son Gaming Corp................................. 32,000 96,000
*Paxar Corp........................................... 103,000 1,036,438
*Paxson Communications Corp........................... 480,700 3,725,425
*Payless Cashways, Inc................................ 4,156 6,689
*PBOC Holdings, Inc................................... 62,600 571,225
*PC Service Source, Inc............................... 91,300 102,713
*PCD, Inc............................................. 17,400 76,125
*Pediatric Services of America, Inc................... 83,900 169,111
*Pediatrix Medical Group, Inc......................... 144,500 1,029,563
Peerless Manufacturing Co............................. 16,000 229,000
*Peerless Systems Corp................................ 81,000 192,375
Penford Corp.......................................... 81,000 1,455,469
*Penn National Gaming, Inc............................ 2,500 34,844
*Penn Traffic Company................................. 1,160 6,525
*Penn Treaty American Corp............................ 116,200 2,287,688
Penn Virginia Corp.................................... 163,900 3,657,019
Penn-America Group, Inc............................... 142,850 1,312,434
Pennfed Financial Services, Inc....................... 128,900 1,724,038
*Pentacon, Inc........................................ 106,200 195,806
*Penwest Pharmaceuticals Company...................... 14,600 168,813
Peoples Bancshares, Inc. Massachusetts................ 32,400 564,975
Pep Boys - Manny, Moe & Jack.......................... 680,100 4,845,713
*Perceptron, Inc...................................... 142,400 565,150
*Perini Corp.......................................... 71,100 204,413
*Perrigo Co........................................... 737,600 4,494,750
*Perry Ellis International, Inc....................... 84,700 824,502
*Per-Se Technologies, Inc............................. 372,566 2,433,322
*Personnel Group of America, Inc...................... 421,100 1,684,400
</TABLE>
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<TABLE>
<CAPTION>
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*Petco Animal Supplies, Inc........................... 168,300 $ 3,192,441
*Petrocorp, Inc....................................... 102,600 724,613
*Petroglyph Energy, Inc............................... 9,000 18,281
*Petroleum Development Corp........................... 232,300 1,241,353
*PetSmart, Inc........................................ 86,300 257,552
PFF Bancorp, Inc...................................... 44,200 616,038
*Pharmchem Laboratories, Inc.......................... 64,900 176,447
*Phar-Mor, Inc........................................ 243,300 410,569
*Philadelphia Consolidated Holding Corp............... 16,000 270,500
*Phillips (R.H.), Inc................................. 23,800 66,194
Phillips-Van Heusen Corp.............................. 589,000 5,116,938
*Phoenix International, Ltd........................... 85,750 164,801
Phoenix Investment Partners, Ltd...................... 628,500 5,263,688
*Phoenix Technologies, Ltd............................ 53,500 961,328
*Photo Control Corp................................... 4,200 12,666
*PhotoWorks, Inc...................................... 208,100 627,552
*Phycor, Inc.......................................... 367,700 178,105
Piccadilly Cafeterias, Inc............................ 170,500 490,188
*Pico Holdings, Inc................................... 102,820 1,108,528
*Picturetel Corp...................................... 730,000 2,247,031
Pier 1 Imports, Inc. DE............................... 210,900 1,792,650
*Piercing Pagoda, Inc................................. 28,300 403,275
Pilgrim Pride Corp.................................... 443,600 3,548,800
Pilgrim's Pride Corp.................................. 165,600 983,250
Pillowtex Corp........................................ 216,400 1,027,900
Pinnacle Bancshares, Inc.............................. 10,400 94,900
*Pinnacle Entertainment, Inc.......................... 269,800 5,143,063
*Pinnacle Global Group, Inc........................... 26,200 96,613
*Pinnacle Systems, Inc................................ 97,520 2,331,338
Pioneer Standard Electronics, Inc..................... 417,900 5,001,741
Pitt-Des Moines, Inc.................................. 119,800 2,785,350
Pittston Brink's Group................................ 227,322 3,452,453
*Planar Systems, Inc.................................. 150,600 1,454,231
*Play By Play Toys and Novelties, Inc................. 83,600 142,381
*PLM International, Inc............................... 103,200 767,550
PMR Corp.............................................. 96,900 336,122
Pocahontas Bancorp, Inc............................... 37,700 223,844
*Point West Capital Corp.............................. 14,300 53,178
*Policy Management Systems Corp....................... 35,200 358,600
*Polymedica Industries, Inc........................... 57,240 1,524,015
Polymer Group, Inc.................................... 586,500 4,288,781
*Pomeroy Computer Resource, Inc....................... 20,800 304,850
Pope & Talbot, Inc.................................... 239,000 4,436,438
*Porta Systems Corp................................... 1,300 2,275
*Powell Industries, Inc............................... 50,800 424,656
*Powercerv Corp....................................... 186,000 252,844
*Powertel, Inc........................................ 53,000 4,491,750
*PPT Vision, Inc...................................... 89,000 411,625
Precision Castparts Corp.............................. 65,350 3,185,813
Premier Financial Bancorp............................. 1,100 8,216
*Premiumwear, Inc..................................... 34,900 459,153
Presidential Life Corp................................ 396,700 5,838,928
*Previo, Inc.......................................... 22,300 125,438
*Price Communications Corp............................ 429,887 9,806,797
*Pricesmart, Inc...................................... 36,850 1,321,994
*Pride International, Inc............................. 417,200 10,612,525
*Primark Corp......................................... 439,300 11,421,800
*Prime Hospitality Corp............................... 651,000 5,614,875
*Prime Medical Services, Inc.......................... 168,000 1,317,750
Primesource Corp...................................... 67,254 354,134
*Printronix, Inc...................................... 87,100 1,243,897
<CAPTION>
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<S> <C> <C>
*Printware, Inc....................................... 4,800 $ 13,500
*Procurenet, Inc...................................... 22,400 0
Professional Bancorp, Inc............................. 36,800 128,800
*Professionals Group, Inc............................. 12,510 207,588
*Programmers Paradise, Inc............................ 86,800 295,663
Progress Financial Corp............................... 30,098 357,414
*ProMedCo Management Company.......................... 442,700 518,789
*Protection One, Inc.................................. 1,136,900 2,131,688
*Protocol Systems, Inc................................ 123,200 1,913,450
*Provant, Inc......................................... 52,800 199,650
Providence & Worcester Railroad Co.................... 19,300 129,069
*Provident Financial Holdings, Inc.................... 23,200 340,750
*Proxim, Inc.......................................... 37,200 3,246,863
*PSC, Inc............................................. 9,300 42,141
*PSS World Medical, Inc............................... 142,300 1,200,656
*PTEK Holdings, Inc................................... 144,100 495,344
Pulaski Financial Corp................................ 22,400 260,400
Pulte Corp............................................ 2,600 57,688
*Pure Resources, Inc.................................. 46,421 696,315
*Pure World, Inc...................................... 86,400 267,300
PXRE Group, Ltd....................................... 218,283 3,246,960
Pyramid Breweries, Inc................................ 86,300 167,206
*Qad, Inc............................................. 11,500 43,844
*QEP Co., Inc......................................... 20,200 166,019
*Quad Systems Corp.................................... 72,100 111,530
Quaker Chemical Corp.................................. 71,600 1,185,875
*Quaker City Bancorp, Inc............................. 63,562 913,704
*Quaker Fabric Corp................................... 243,200 1,330,000
*Quality Dining, Inc.................................. 226,200 742,219
Quality Systems, Inc.................................. 80,500 581,109
Quanex Corp........................................... 244,702 3,578,767
*Quantum Corp-Hard Disk Drive Group................... 28,837 272,149
*Quest Diagnostics, Inc............................... 243,400 16,277,375
*Quigley Corp......................................... 22,100 37,984
*Quintel Entertainment, Inc........................... 34,000 80,219
*Quipp, Inc........................................... 1,300 24,294
Quixote Corp.......................................... 56,600 806,550
*Quorum Health Group, Inc............................. 653,100 6,316,702
*R & B, Inc........................................... 129,000 338,625
*Racing Champions Corp................................ 83,100 136,336
*Radiance Medical Systems, Inc........................ 119,800 1,121,253
*RadiSys Corp......................................... 25,911 1,017,816
*Rag Shops, Inc....................................... 55,755 121,964
*Railamerica, Inc..................................... 246,265 1,300,587
*RailWorks Corp....................................... 500 4,656
*Rainforest Cafe, Inc................................. 376,300 1,117,141
*Ramsay Youth Services, Inc........................... 51,266 72,093
Range Resources Corp.................................. 606,891 1,706,881
*Rare Hospitality International, Inc.................. 133,500 3,687,938
Raven Industries, Inc................................. 15,100 205,738
*Rawlings Sporting Goods, Inc......................... 11,300 66,034
*Raytech Corp. DE..................................... 30,300 92,794
*Raytel Med Corp...................................... 160,000 400,000
*RCM Technologies, Inc................................ 236,900 1,902,603
*RDO Equipment Co. Class A............................ 93,800 527,625
*Reading Entertainment, Inc........................... 75,736 392,881
*Read-Rite Corp....................................... 501,800 987,919
*Recoton Corp......................................... 204,932 1,697,093
*Redhook Ale Brewery, Inc............................. 131,700 228,417
Redwood Empire Bancorp................................ 28,200 537,563
*Reebok International, Ltd............................ 818,000 11,349,750
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Refac................................................ 56,785 $ 181,002
*Regeneron Pharmaceuticals, Inc....................... 389,000 7,901,563
*Rehabilicare, Inc.................................... 17,300 44,872
*Reliability, Inc..................................... 93,300 379,031
Reliance Group Holdings, Inc.......................... 823,000 1,903,188
*Relm Wireless Corp................................... 59,254 146,283
*Remington Oil & Gas Corp............................. 27,500 179,609
*Renaissance Worldwide, Inc........................... 684,500 1,518,734
*Rentrak Corp......................................... 63,000 224,438
*Rent-Way, Inc........................................ 64,000 1,708,000
*Reptron Electronics, Inc............................. 91,500 932,156
*Republic Bankshares, Inc............................. 64,500 632,906
*Republic First Bancorp, Inc.......................... 51,930 228,817
Republic Group, Inc................................... 17,120 158,360
Republic Security Financial Corp...................... 186,272 765,462
*Research Partners International, Inc................. 86,400 132,300
*ResortQuest International, Inc....................... 284,400 1,350,900
Resource America, Inc................................. 232,000 1,602,250
Resource Bancshares Mortgage Group, Inc............... 352,735 1,697,537
*Respironics, Inc..................................... 26,500 425,656
*Response Oncology, Inc............................... 26,500 25,672
*Rex Stores Corp...................................... 93,400 1,973,075
*Rexhall Industries, Inc.............................. 14,099 79,307
*RF Monolithics, Inc.................................. 9,600 87,300
Richardson Electronics, Ltd........................... 105,200 1,291,988
*Riddell Sports, Inc.................................. 125,700 392,813
Riggs National Corp................................... 511,700 7,451,631
*Right Management Consultants, Inc.................... 87,600 897,900
*Rightchoice Managed Care, Inc. Class A............... 47,700 667,800
*Riverside Group, Inc................................. 3,200 12,000
Riverview Bancorp, Inc................................ 62,400 551,850
*Riviera Holdings Corporation......................... 5,500 40,563
RLI Corp.............................................. 142,630 5,188,166
*RMH Teleservices, Inc................................ 84,100 525,625
*Roadhouse Grill, Inc................................. 130,500 734,063
Roadway Express, Inc.................................. 21,600 463,725
Roanoke Electric Steel Corp........................... 149,200 1,972,238
Robbins & Myers, Inc.................................. 3,700 80,013
*Roberds, Inc......................................... 79,700 1,594
*Robinson Nugent, Inc................................. 53,900 606,375
*Robotic Vision Systems, Inc.......................... 171,800 2,034,756
*Rochester Medical Corp............................... 29,000 253,750
*Rock of Ages Co...................................... 88,500 442,500
Rock-Tenn Co. Class A................................. 375,450 3,590,241
*Rocky Shoes & Boots, Inc............................. 75,400 388,781
*Rofin-Sinar Technologies, Inc........................ 33,800 410,881
*Rogue Wave Software, Inc............................. 99,900 427,697
Rollins Truck Leasing Corp............................ 949,850 8,964,209
*Rottlund, Inc........................................ 40,600 93,888
Rouge Industries, Inc. Class A........................ 251,100 1,129,950
*Royal Precision, Inc................................. 14,150 39,355
RPC, Inc.............................................. 167,900 1,783,938
*RTI International Metals, Inc........................ 311,550 4,050,150
*RTW, Inc............................................. 150,700 607,509
*Rural/Metro Corp..................................... 134,500 174,430
*Rush Enterprises, Inc................................ 93,600 649,350
Russ Berrie & Co., Inc................................ 196,300 3,717,431
Russell Corp.......................................... 43,200 961,200
*Ryans Family Steak Houses, Inc....................... 555,400 5,033,313
Ryerson Tull, Inc..................................... 206,939 2,043,523
<CAPTION>
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Ryland Group, Inc..................................... 296,864 $ 6,586,670
*S&K Famous Brands, Inc............................... 106,100 729,438
*S3, Inc.............................................. 345,424 5,515,990
*Safety 1st, Inc...................................... 36,500 503,016
*Safety Components International, Inc................. 40,200 1,809
*Safety-Kleen Corp.................................... 69,500 43,438
*Salient 3 Communications, Inc. Class A............... 72,900 833,794
*Sames Corp........................................... 30,918 525,606
*San Filippo (John B.) & Son, Inc..................... 75,700 264,950
Sanderson Farms, Inc.................................. 225,400 1,514,406
*Sands Regent Casino Hotel............................ 15,492 24,932
*Saucony, Inc. Class A................................ 27,200 291,550
*Saucony, Inc. Class B................................ 36,500 365,000
*Savoir Technology Group, Inc......................... 199,700 1,585,119
*SBE, Inc............................................. 2,100 39,309
*SBS Technologies, Inc................................ 37,900 1,231,750
*Scan-Optics, Inc..................................... 120,100 118,223
*ScanSoft, Inc........................................ 46,577 112,804
*SCB Computer Technology, Inc......................... 32,900 69,913
*Scheid Vineyards, Inc................................ 26,500 101,031
*Schein (Henry), Inc.................................. 57,200 1,009,938
*Scherer Healthcare, Inc.............................. 900 3,347
*Schieb (Earl), Inc................................... 72,200 230,138
*Schlotzskys, Inc..................................... 168,800 1,018,075
Schnitzer Steel Industries, Inc. Class A.............. 76,700 1,143,309
*Schuff Steel Company................................. 112,000 364,000
*Schuler Homes, Inc................................... 365,100 2,259,056
Schulman (A.), Inc.................................... 186,300 2,218,134
Schultz Sav-O Stores, Inc............................. 15,300 174,038
Schweitzer-Maudoit International, Inc................. 180,900 2,487,375
*Scios-Nova, Inc...................................... 119,500 515,344
Scope Industries, Inc................................. 8,100 373,613
SCPIE Holdings, Inc................................... 95,200 2,314,550
Seaboard Corp......................................... 28,440 5,232,960
Seacoast Financial Services Corp...................... 123,869 1,087,725
*Seacor Smit, Inc..................................... 164,900 10,574,213
*Secom General Corp................................... 11,500 92,359
*SED International Holdings, Inc...................... 129,700 417,472
*SEEC, Inc............................................ 31,000 140,953
*Segue Software, Inc.................................. 68,900 589,956
*Seibels Bruce Group, Inc............................. 89,700 140,156
*Seitel, Inc.......................................... 337,700 2,870,450
Selas Corp. of America................................ 73,500 404,250
*Select Comfort Corp.................................. 33,000 125,297
Selective Insurance Group, Inc........................ 386,400 7,160,475
*Semitool, Inc........................................ 135,000 1,911,094
*SEMX Corp............................................ 104,700 827,784
*Seneca Foods Corp. Class B........................... 10,500 120,750
*Sensormatic Electronics Corp......................... 690,400 10,830,650
*Sequa Corp. Class A.................................. 89,800 4,282,338
*Sequa Corp. Class B.................................. 31,400 1,805,500
*SeraCare, Inc........................................ 1,500 3,656
*Servotronics, Inc.................................... 400 1,500
*SGV Bancorp, Inc..................................... 3,300 80,541
*Sharper Image Corp................................... 23,400 262,519
*Shaw Group, Inc...................................... 118,600 5,173,925
*Sheldahl, Inc........................................ 133,650 628,573
*Shells Seafood Restaurants, Inc...................... 42,100 89,463
*Shiloh Industries, Inc............................... 156,600 1,605,150
*Shoe Carnival, Inc................................... 160,800 1,170,825
</TABLE>
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<TABLE>
<CAPTION>
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*Shoe Pavilion, Inc................................... 3,400 $ 5,313
*Sholodge, Inc........................................ 76,800 312,000
*Shoney's, Inc........................................ 594,304 371,440
*Shopko Stores, Inc................................... 131,400 2,414,475
*Sierra Health Services, Inc.......................... 490,100 2,052,294
Sifco Industries, Inc................................. 76,615 469,267
*Sight Resource Corp.................................. 96,800 86,213
*Sigmatron International, Inc......................... 16,800 71,925
*Signal Technology Corp............................... 74,900 1,109,456
*Signature Eyewear, Inc............................... 17,000 27,625
*Silicon Storage Technology, Inc...................... 21,600 1,604,475
*Silicon Valley Group, Inc............................ 374,700 9,964,678
*Silverleaf Resorts, Inc.............................. 242,500 863,906
*Simione Central Holdings, Inc........................ 29,400 80,208
Simmons First National Corp. Class A.................. 42,200 805,756
*Simon Transportation Services, Inc................... 91,300 522,122
Simpson Industries, Inc............................... 287,400 2,532,713
*Simula, Inc.......................................... 80,450 155,872
*Sitel Corp........................................... 834,900 4,852,856
*Sizzler International, Inc........................... 253,300 744,069
Sky Financial Group, Inc.............................. 12,255 189,570
*Skyepharma P.L.C. ADR................................ 4,400 60,232
Skyline Corp.......................................... 112,800 2,326,500
Skywest, Inc.......................................... 88,200 3,365,381
*Smart & Final Food, Inc.............................. 252,200 2,064,888
*SMC Corp............................................. 74,100 294,084
Smith (A.O.) Corp..................................... 238,050 4,999,050
Smith (A.O.) Corp. Convertible Class A................ 75,350 1,591,769
*Smithway Motor Express Corp. Class A................. 73,200 187,575
*Softech, Inc......................................... 58,000 63,438
*Software Spectrum, Inc............................... 54,300 785,653
*Sola International, Inc.............................. 448,600 2,243,000
*Sonic Automotive, Inc................................ 218,500 2,130,375
*SOS Staffing Services, Inc........................... 156,800 475,300
*Sound Advice, Inc.................................... 25,100 248,647
South Financial Group, Inc............................ 113,290 1,423,206
South Jersey Industries, Inc.......................... 185,777 4,841,813
*Southern Energy Homes, Inc........................... 168,100 189,113
*Southern Pacific Funding Corp........................ 120,000 3,000
*Southwall Technologies, Inc.......................... 86,600 722,569
Southwestern Energy Co................................ 462,300 4,276,275
Sovereign Bancorp, Inc................................ 43,160 296,051
*Spacehab, Inc........................................ 84,400 374,525
*Spacelabs Medical, Inc............................... 170,300 1,931,841
Span-American Medical System, Inc..................... 25,900 94,292
*SPAR Group, Inc...................................... 8,500 21,781
Spartan Motors, Inc................................... 285,200 1,265,575
*Sparton Corp......................................... 108,700 448,388
*Special Metals Corp.................................. 47,800 112,031
*Spectrian Corp....................................... 71,500 1,081,438
*Spectrum Control, Inc................................ 101,500 1,008,656
*SpeedFam-IPEC, Inc................................... 303,747 3,996,171
*Speizman Industries, Inc............................. 40,400 146,450
*Splash Technology Holdings, Inc...................... 21,100 166,822
*Sport Chalet, Inc.................................... 45,900 223,763
*Sport Supply Group, Inc.............................. 93,500 444,125
*Sport-Haley, Inc..................................... 60,800 261,250
*Sports Authority, Inc................................ 610,400 1,297,100
*Sports Club Co., Inc................................. 115,700 390,488
*Sportsman's Guide, Inc............................... 90,700 266,431
<CAPTION>
SHARES VALUE+
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Springs Industries, Inc. Class A...................... 19,300 $ 916,750
*SPS Technologies, Inc................................ 7,200 252,900
*SS&C Technologies, Inc............................... 9,800 44,866
*SSE Telecom, Inc..................................... 64,600 177,650
St. Francis Capital Corp.............................. 106,100 1,462,191
St. Mary Land & Exploration Co........................ 53,500 1,927,672
*Staffmark, Inc....................................... 257,200 1,269,925
*Stage II Apparel Corp................................ 31,600 31,600
*Stage Stores, Inc.................................... 32,200 5,031
Standard Commercial Corp.............................. 180,380 563,688
*Standard Management Corp............................. 112,100 381,841
*Standard Microsystems Corp........................... 216,600 2,822,569
Standard Motor Products, Inc. Class A................. 164,150 1,590,203
Standard Pacific Corp. DE............................. 659,300 7,499,538
Standard Register Co.................................. 84,400 1,144,675
*Stanley Furniture, Inc............................... 118,400 2,675,100
*Star Buffet, Inc..................................... 7,200 19,125
*Star Multi Care Services, Inc........................ 19,034 36,878
*STAR Telecommunications, Inc......................... 113,400 237,431
*Starcraft Corp....................................... 27,300 209,869
Starrett (L.S.) Co. Class A........................... 58,400 1,186,250
*Starter Corp......................................... 237,200 1,305
State Auto Financial Corp............................. 125,900 1,408,506
State Financial Services Corp. Class A................ 62,000 629,688
*Station Casinos, Inc................................. 222,700 6,040,738
Steel Technologies, Inc............................... 214,600 1,602,794
*Stein Mart, Inc...................................... 74,200 577,369
*Steinway Musical Instruments, Inc.................... 11,900 206,763
Stepan Co............................................. 128,900 2,819,688
Stephan Co............................................ 50,600 183,425
*Sterile Recoveries, Inc.............................. 30,100 201,294
Sterling Bancorp...................................... 67,075 1,064,816
*Sterling Financial Corp. WA.......................... 102,880 1,064,165
Stewart & Stevenson Services, Inc..................... 368,600 5,137,363
Stewart Enterprises, Inc.............................. 2,444,700 9,855,197
Stewart Information Services Corp..................... 163,200 2,060,400
Stifel Financial Corp................................. 86,472 821,484
*STM Wireless, Inc. Class A........................... 95,100 422,006
Stone & Webster, Inc.................................. 205,200 198,788
*Stoneridge, Inc...................................... 252,500 2,840,625
*Stratasys, Inc....................................... 32,700 201,820
*Strategic Distribution, Inc.......................... 674,788 1,433,925
*Stratus Properties, Inc.............................. 175,000 809,375
*Strawbridge and Clothier Liquidating Trust........... 71,881 10,760
Stride Rite Corp...................................... 459,500 3,015,469
*Strouds, Inc......................................... 144,100 299,458
*Suburban Lodges of America, Inc...................... 238,200 1,339,875
*Success Bancshares, Inc.............................. 11,100 113,775
*Successories, Inc.................................... 141,800 270,306
*Summa Industries, Inc................................ 8,000 87,250
*Sunbeam Corp......................................... 56,000 175,000
*Sunburst Hospitality Corp............................ 42,750 189,703
*Sundance Homes, Inc.................................. 40,500 13,365
*Sunrise Assisted Living, Inc......................... 69,200 1,260,738
*Sunrise Medical, Inc................................. 370,900 1,645,869
*Sunrise Resources, Inc............................... 88,900 437,555
*Sunterra Corp........................................ 438,800 150,838
*Superior Consultant Holdings Corp.................... 3,900 30,530
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Superior National Insurance Group, Inc............... 228,500 $ 20,565
Superior Surgical Manufacturing Co., Inc.............. 140,500 1,211,813
*Suprema Specialties, Inc............................. 50,500 448,188
Susquehanna Bancshares, Inc........................... 189,772 2,591,574
*Swift Energy Corp.................................... 174,500 4,482,469
*Swiss Army Brands, Inc............................... 90,500 477,953
*Sybase, Inc.......................................... 93,200 1,773,713
*Sybron Chemicals, Inc................................ 17,100 337,725
*Sylvan Learning Systems, Inc......................... 2,200 24,888
*Sylvan, Inc.......................................... 104,000 1,020,500
*Symmetricom, Inc..................................... 244,200 3,663,000
*Symons International Group, Inc...................... 37,500 26,367
*Symphonix Devices, Inc............................... 21,300 77,213
*Syms Corp............................................ 225,600 775,500
Synalloy Corp. DE..................................... 92,850 696,375
*Synaptic Pharmaceutical Corp......................... 70,100 332,975
*Synbiotics Corp...................................... 106,100 238,725
*Sync Research, Inc................................... 50,280 166,553
*Syncor International Corp. DE........................ 65,600 3,243,100
*Syntellect, Inc...................................... 206,800 1,008,150
*Sypris Solutions, Inc................................ 26,250 252,656
*Systemax, Inc........................................ 242,000 1,648,625
*T&W Financial Corp................................... 55,300 0
Tab Products Co. DE................................... 69,000 332,063
*Taco Cabana, Inc..................................... 181,400 1,162,094
*Taitron Components, Inc.............................. 6,500 19,500
Talbots, Inc.......................................... 16,300 931,138
*Tandy Brand Accessories, Inc......................... 24,200 159,569
*Tandy Crafts, Inc.................................... 181,900 545,700
*Tarrant Apparel Group................................ 29,800 242,125
Tasty Baking Co....................................... 4,200 50,138
*TBA Entertainment Corp............................... 138,000 539,063
*TBC Corp............................................. 416,900 2,012,845
TCBY Enterprises, Inc................................. 279,066 1,395,330
*TCC Industries, Inc.................................. 24,800 2,108
*TCI International, Inc............................... 27,600 182,850
*TCSI Corp............................................ 413,700 749,831
*TEAM America Corp.................................... 2,500 9,414
*Team, Inc............................................ 85,500 208,406
*Technical Communications Corp........................ 6,300 30,319
Technology Research Corp.............................. 65,400 128,756
*Tech-Sym Corp........................................ 85,100 1,861,563
*Tegal Corp........................................... 208,000 893,750
*Telescape International, Inc......................... 1,200 9,375
*Telxon Corp.......................................... 137,800 2,144,513
*Temtex Industries, Inc............................... 35,700 40,163
*Terex Corp........................................... 2,800 44,625
Terra Industries, Inc................................. 1,478,300 3,141,388
*Tesoro Petroleum Corp................................ 668,500 6,852,125
*Tesseract Group, Inc................................. 117,200 36,625
*Tetra Technologies, Inc.............................. 257,400 3,330,113
Texas Industries, Inc................................. 98,662 2,830,366
*Texfi Industries, Inc................................ 4,800 96
TF Financial Corp..................................... 32,100 453,413
*TFC Enterprises, Inc................................. 19,900 41,666
*Thermedics, Inc...................................... 84,000 708,750
*Thermo Ecotek Corp................................... 38,000 296,875
*Thermo Terratech, Inc................................ 130,000 975,000
Thermoretec Corp...................................... 118,100 826,700
*Thermotrex Corp...................................... 22,300 221,606
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Thomas Group, Inc.................................... 40,400 $ 393,900
Thomas Industries, Inc................................ 138,650 2,773,000
*Thomaston Mills, Inc................................. 34,800 33,713
Thor Industries, Inc.................................. 3,900 91,163
*Thorn Apple Valley, Inc.............................. 82,215 7,605
*Three Rivers Bancorp, Inc............................ 71,850 577,045
*Tier Technologies, Inc. Class B...................... 55,100 277,222
*TII Industries, Inc.................................. 104,700 207,764
Timberland Bancorp, Inc............................... 34,500 320,203
*Tipperary Corp....................................... 129,200 371,450
Titan International, Inc.............................. 260,000 1,543,750
Titanium Metals Corp.................................. 541,600 2,369,500
*Today's Man, Inc..................................... 94,500 48,727
*Todd Shipyards Corp.................................. 140,000 997,500
*Todd-AO Corp. Class A................................ 40 808
*Toddhunter International, Inc........................ 76,000 622,250
*Tokheim Corp......................................... 73,400 100,925
*Toll Brothers, Inc................................... 15,900 308,063
Toro Co............................................... 84,300 2,655,450
*Total Entertainment Restaurant Corp.................. 16,500 39,188
*Total Renal Care Holdings, Inc....................... 297,400 1,171,013
*Tower Air, Inc....................................... 166,400 24,128
*Tower Automotive, Inc................................ 43,000 596,625
*Toymax International, Inc............................ 16,800 42,000
*Track 'n Trail, Inc.................................. 13,800 9,272
*Tractor Supply Co.................................... 67,900 1,031,231
*Trailer Bridge, Inc.................................. 84,000 85,313
*Trans World Airlines, Inc............................ 638,300 1,555,856
*Transact Technologies, Inc........................... 10,900 110,363
*Transcoastal Marine Services, Inc.................... 183,600 88,931
*Transfinancial Holdings, Inc......................... 68,700 120,225
*Transmation, Inc..................................... 60,000 145,313
*Transmedia Network, Inc.............................. 36,700 112,394
*Transmontaigne Oil Co................................ 62,400 421,200
Transport Lux Corp.................................... 2,746 14,760
*Transportation Components, Inc....................... 310,800 602,175
Transpro, Inc......................................... 69,700 313,650
Transtechnology Corp.................................. 93,400 805,575
*Transworld Healthcare, Inc........................... 228,600 350,044
*TRC Companies, Inc................................... 91,450 960,225
Tremont Corp. DE...................................... 70,633 1,174,274
*Trend-Lines, Inc. Class A............................ 70,900 89,733
Trenwick Group, Inc................................... 318,551 4,778,265
*Trex Medical Corp.................................... 288,600 541,125
*Triad Hospitals, Inc................................. 13,500 289,406
*Trico Marine Services, Inc........................... 429,900 4,178,091
*Trident Microsystems, Inc............................ 169,200 1,422,338
*Tridex Corp.......................................... 82,000 62,781
*Trimark Holdings, Inc................................ 30,300 242,873
*TriPath Imaging, Inc................................. 89,287 439,459
*Triple S Plastics, Inc............................... 33,100 535,806
*Tripos, Inc.......................................... 43,766 700,256
*Triumph Group........................................ 113,700 3,183,600
*TRM Copy Centers Corp................................ 94,000 475,875
*Trump Hotels & Casino Resorts, Inc................... 492,600 1,354,650
Tucker Anthony Sutro Corp............................. 227,700 3,899,363
*Tultex Corp.......................................... 96,807 1,210
Tuscarora, Inc........................................ 200 2,538
Twin Disc, Inc........................................ 35,200 545,600
*Twinlab Corp......................................... 112,700 806,509
*Tyler Technologies, Inc.............................. 190,600 762,400
U.S. Bancorp, Inc..................................... 143,700 660,122
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*U.S. Diagnostic, Inc................................. 280,000 $ 218,750
*U.S. Home & Garden, Inc.............................. 11,600 29,363
*U.S. Office Products, Co............................. 495,100 502,836
*U.S. Vision, Inc..................................... 52,500 90,234
*Ubics, Inc........................................... 52,000 131,625
*Ugly Duckling Corp................................... 220,800 1,593,900
*UICI................................................. 712,700 3,474,413
*Ultimate Electronics, Inc............................ 119,300 2,967,588
*Ultrak, Inc.......................................... 176,500 1,180,344
*Ultralife Batteries, Inc............................. 146,000 1,099,563
*Ultratech Stepper, Inc............................... 238,600 3,355,313
*Unapix Entertainment, Inc............................ 62,900 70,763
*Unicapital Corp...................................... 174,500 119,969
Unico American Corp................................... 76,300 468,530
*UniComp, Inc......................................... 8,100 21,769
*Unifab International, Inc............................ 21,700 158,681
*Unifi, Inc........................................... 424,500 5,412,375
Unifirst Corp......................................... 156,400 1,280,525
*Unimark Group, Inc................................... 126,600 94,950
*Uni-Marts, Inc....................................... 103,200 206,400
*Union Acceptance Corp. Class A....................... 67,900 337,378
*Uniroyal Technology Corp............................. 29,200 465,375
*Unit Corp............................................ 315,900 4,165,931
*United American Healthcare Corp.,.................... 80,200 50,125
*United Auto Group, Inc............................... 50,100 447,769
United Community Financial Corp....................... 49,800 294,131
*United Companies Financial Corp...................... 79,900 2,797
United Fire Casualty Co............................... 18,750 325,195
United Industrial Corp................................ 219,600 1,935,225
United National Bancorp............................... 11,832 217,413
*United Natural Foods, Inc............................ 129,900 1,968,797
*United Retail Group, Inc............................. 169,300 1,349,109
*United Road Services, Inc............................ 5,380 21,520
*United States Energy Corp............................ 27,600 79,350
United Wisconsin Services, Inc........................ 244,800 1,407,600
*Unitel Video, Inc.................................... 29,500 590
*Universal American Financial Corp.................... 56,200 210,750
Universal Corporation................................. 85,200 1,975,575
Universal Forest Products, Inc........................ 18,900 248,653
*Universal Stainless & Alloy Products, Inc............ 118,900 817,438
*Uno Restaurant Corp.................................. 113,410 1,375,096
*Unova, Inc........................................... 164,600 2,273,538
*Urocor, Inc.......................................... 146,200 548,250
*Urologix, Inc........................................ 187,500 791,016
*URS Corp............................................. 81,602 1,071,026
*US Can Corp.......................................... 43,800 722,700
*US Liquids, Inc...................................... 77,600 378,300
*US Oncology, Inc..................................... 1,651,864 7,897,975
*US Xpress Enterprises, Inc. Class A.................. 153,690 1,080,633
*USA Floral Products, Inc............................. 193,000 159,828
*USA Truck, Inc....................................... 46,100 302,531
*Usec, Inc............................................ 111,000 513,375
*UTI Energy Corp...................................... 117,000 5,001,750
*Utilx Corp........................................... 81,600 306,000
*V.I. Technologies, Inc............................... 15,800 114,550
*Vail Resorts, Inc.................................... 79,175 1,266,800
*Valence Technology, Inc.............................. 61,700 900,434
*Valley National Gases, Inc........................... 13,800 69,000
*Value City Department Stores, Inc.................... 416,600 4,139,963
*Valuevision International, Inc. Class A.............. 199,800 5,787,956
*Vans, Inc............................................ 147,700 2,307,813
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Varco International, Inc............................. 220,200 $ 4,789,350
*Vari L Co., Inc...................................... 54,900 530,986
*Variflex, Inc........................................ 71,500 413,359
*Venator Group, Inc................................... 923,000 9,979,938
*Verdant Brands, Inc.................................. 8,700 12,098
*Verilink Corp........................................ 208,400 1,445,775
*Veritas DGC, Inc..................................... 95,400 2,635,425
*Verity, Inc.......................................... 64,100 2,169,384
*Versar, Inc.......................................... 1,300 2,763
Vesta Insurance Group, Inc............................ 288,200 1,711,188
*Vestcom International, Inc........................... 128,700 506,756
*Veterinary Centers of America, Inc................... 355,400 4,831,219
*Viasoft, Inc......................................... 195,700 1,623,698
*Vicon Industries, Inc................................ 71,500 227,906
*Vicorp Restaurants, Inc.............................. 134,600 2,536,369
*Video Display Corp................................... 55,200 391,575
*Video Services Corp.................................. 27,000 84,375
*Videonics, Inc....................................... 58,000 51,656
*Viisage Technology, Inc.............................. 10,400 30,713
Vintage Petroleum, Inc................................ 315,200 7,486,000
Virco Manufacturing Corp.............................. 123,898 1,300,929
Virginia Gas Co....................................... 22,100 58,703
*Vision Twenty-One, Inc............................... 33,300 16,130
*VisionAmerica, Inc................................... 41,200 27,038
Vital Signs, Inc...................................... 194,000 4,037,625
*Vitech America, Inc.................................. 1,400 8,356
*Volt Information Sciences, Inc....................... 164,600 4,752,825
*VTEL Corp............................................ 369,300 1,327,172
Vulcan International Corp............................. 12,200 403,363
*Vysis, Inc........................................... 18,500 145,109
Wabash National Corp.................................. 234,900 3,009,656
*Wackenhut Corp. Class A.............................. 59,000 785,438
*Wackenhut Corp. Class B Non-Voting................... 56,300 464,475
*Walker Interactive Systems, Inc...................... 169,100 536,364
*Wall Street Deli, Inc................................ 39,700 43,422
Wallace Computer Services, Inc........................ 182,400 1,824,000
Walter Industries, Inc................................ 19,500 210,844
Warnaco Group, Inc.................................... 73,900 498,825
*Warrantech Corp...................................... 227,000 198,625
Warren Bancorp, Inc................................... 72,000 542,250
*Washington Homes, Inc................................ 119,500 642,313
Washington Savings Bank FSB........................... 25,100 80,006
*Waste Connections, Inc............................... 206,800 4,006,750
*Waterlink, Inc....................................... 232,200 638,550
Watsco, Inc. Class A.................................. 294,600 4,363,763
Watts Industries, Inc. Class A........................ 290,400 3,303,300
*Webb (Del) Corp...................................... 341,388 5,206,167
*Webco Industries, Inc................................ 97,300 383,119
Weider Nutrition International, Inc................... 83,600 271,700
*Weirton Steel Corp................................... 738,900 3,371,231
Wellco Enterprises, Inc............................... 4,800 38,400
Wellman, Inc.......................................... 591,200 11,639,250
*Wells-Gardner Electronics Corp....................... 50,384 173,195
Werner Enterprises, Inc............................... 355,737 4,457,829
*West Marine, Inc..................................... 89,200 721,963
West Pharmaceutical Services, Inc..................... 161,800 3,802,300
Westbank Corp......................................... 1,400 12,075
*Westcoast Hospitality Corp........................... 303,100 2,349,025
Westcorp, Inc......................................... 431,056 4,687,734
Westerfed Financial Corp.............................. 71,600 1,024,775
Western Ohio Financial Corp........................... 21,700 324,144
*Western Water Co..................................... 34,000 7,969
</TABLE>
23
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
*Weston (Roy F.), Inc. Class A........................ 93,300 $ 294,478
*Wet Seal, Inc. Class A............................... 23,400 269,100
Weyco Group, Inc...................................... 2,400 59,100
*WFS Financial, Inc................................... 236,300 3,729,109
Whitney Holdings Corp................................. 37,600 1,465,225
*WHX Corp............................................. 372,500 2,188,438
*Wickes Lumber Co..................................... 96,600 519,225
*Williams Clayton Energy, Inc......................... 121,700 3,156,594
*Williams Industries, Inc............................. 3,400 9,563
*Willis Lease Finance Corp............................ 71,700 542,231
*Wilshire Financial Sevices Group, Inc................ 2,092 3,269
*Wilshire Oil Co. of Texas............................ 118,214 406,361
Winnebago Industries, Inc............................. 80,200 1,122,800
*Wisconsin Central Transportation Corp................ 16,100 210,306
*Wiser Oil Co......................................... 137,575 412,725
*WLR Foods, Inc....................................... 240,006 1,110,028
*Wolf (Howard B.), Inc................................ 5,000 5
Wolohan Lumber Co..................................... 81,978 917,129
*Wolverine Tube, Inc.................................. 185,300 3,057,450
Wolverine World Wide, Inc............................. 63,000 708,750
Woodhead Industries, Inc.............................. 142,000 2,294,188
Woodward Governor Co.................................. 49,200 1,200,788
*Workgroup Technology Corp............................ 91,600 62,975
World Fuel Services Corp.............................. 177,295 1,207,822
*Worldpages.com, Inc.................................. 163,300 1,143,100
*Worldtex, Inc........................................ 255,300 103,716
*WPI Group, Inc....................................... 117,600 167,213
*Wyant Corp........................................... 800 1,150
*Xetel Corp........................................... 131,500 230,125
*Xicor, Inc........................................... 53,100 360,084
*Xtra Corp............................................ 118,200 5,326,388
Yardville National Bancorp............................ 53,570 564,159
*Yellow Corp.......................................... 402,300 6,600,234
York Financial Corp................................... 115,005 1,444,750
York Group, Inc....................................... 114,900 416,513
*York Research Corp................................... 3,800 3,978
*Zap.com Corp......................................... 2,558 7,994
*Zapata Corp.......................................... 243,400 912,750
*Zaring National Corp................................. 50,500 168,859
*Zemex Corp........................................... 89,658 728,471
Zenith National Insurance Corp........................ 215,300 5,113,375
<CAPTION>
SHARES VALUE+
------ ------
<S> <C> <C>
Ziegler Co., Inc...................................... 7,700 $ 142,931
*Zoll Medical Corp.................................... 20,600 1,028,713
*Zoltek Companies, Inc................................ 44,200 294,206
*Zygo Corp............................................ 31,800 1,043,438
*Zymetx, Inc.......................................... 16,400 34,338
--------------
TOTAL COMMON STOCKS
(Cost $2,829,121,848)................................ 2,717,737,132
--------------
RIGHTS/WARRANTS -- (0.0%)
*Associates First Capital Corp. (Residual Value
Obligation)......................................... 579,500 26,367
*Golden Books Family Entertainment Warrants
01/01/02............................................ 561 526
*Skyepharma P.L.C. Contingent Payment Rights.......... 55,300 0
*Westcorp, Inc. Rights 06/15/00....................... 431,056 94,294
--------------
TOTAL RIGHTS/WARRANTS
(Cost $833,588)...................................... 121,187
--------------
PREFERRED STOCKS -- (0.0%)
*O'Sullivan Industries Holdings (Senior Preferred 12%)
(Cost $0)........................................... 93,300 47,117
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.95%,
06/01/2000 (Collateralized by U.S. Treasury Notes
5.875%, 10/31/01, valued at $29,958,549) to be
repurchased at $29,519,878.
(Cost $29,515,000).................................. $ 29,515 29,515,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$2,859,470,436)++.................................... $2,747,420,436
==============
</TABLE>
<TABLE>
<C> <S>
--------------------------------------------------------------------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $2,859,657,905.
</TABLE>
See accompanying Notes to Financial Statements.
24
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments at Value........................................ $ 2,747,420
Collateral for Securities Loaned............................ 52,165
Receivables:
Dividends and Interest.................................... 2,402
Investment Securities Sold................................ 12,848
Prepaid Expenses and Other Assets........................... 1
------------
Total Assets............................................ 2,814,836
------------
LIABILITIES:
Payable for Collateral on Securities Loaned................. 52,165
Payable for Investment Securities Purchased................. 7,829
Payable for Fund Shares Redeemed............................ 1,516
Accrued Expenses and Other Liabilities...................... 708
------------
Total Liabilities....................................... 62,218
------------
NET ASSETS.................................................. $ 2,752,618
============
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized)................... 167,051,019
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 16.48
============
Investments at Cost......................................... $ 2,859,470
============
COMPONENTS OF NET ASSETS:
Paid-In Capital............................................. $ 2,554,975
Undistributed Net Investment Income......................... 10,276
Undistributed Net Realized Gain............................. 299,417
Unrealized Depreciation of Investment Securities............ (112,050)
------------
Total Net Assets........................................ $ 2,752,618
============
</TABLE>
See accompanying Notes to Financial Statements.
25
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2000
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends............................................... $ 13,543
Interest................................................ 1,122
Income From Securities Lending.......................... 719
--------
Total Investment Income............................. 15,384
--------
EXPENSES
Investment Advisory Services............................ 2,866
Accounting & Transfer Agent Fees........................ 540
Custodian's Fees........................................ 157
Legal Fees.............................................. 18
Audit Fees.............................................. 17
Shareholders' Reports................................... 26
Trustees' Fees and Expenses............................. 8
Other................................................... 20
--------
Total Expenses...................................... 3,652
--------
NET INVESTMENT INCOME................................... 11,732
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities Sold............. 299,686
Change in Unrealized Appreciation (Depreciation) of
Investment Securities..................................... (135,456)
--------
NET GAIN ON INVESTMENT SECURITIES....................... 164,230
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $175,962
========
</TABLE>
See accompanying Notes to Financial Statements.
26
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2000 1999
----------- -----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................... $ 11,732 $ 21,710
Net Realized Gain on Investment Securities Sold......... 299,686 258,801
Change in Unrealized Appreciation (Depreciation) of
Investment Securities................................. (135,456) (43,040)
---------- ----------
Net Increase in Net Assets Resulting from
Operations........................................ 175,962 237,471
---------- ----------
Distributions From:
Net Investment Income................................... (3,272) (20,939)
Net Realized Gains...................................... (258,822) (205,075)
---------- ----------
Total Distributions................................. (262,094) (226,014)
---------- ----------
Capital Share Transactions (1):
Shares Issued........................................... 131,672 340,725
Shares Issued in Lieu of Cash Distributions............. 257,339 220,532
Shares Redeemed......................................... (242,734) (315,975)
---------- ----------
Net Increase from Capital Share Transactions........ 146,277 245,282
---------- ----------
Total Increase...................................... 60,145 256,739
NET ASSETS
Beginning of Period..................................... 2,692,473 2,435,734
---------- ----------
End of Period........................................... $2,752,618 $2,692,473
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 7,704 20,729
Shares Issued in Lieu of Cash Distributions............. 16,645 14,152
Shares Redeemed......................................... (14,218) (19,083)
---------- ----------
10,131 15,798
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
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,
2000 1999 1998 1997 1996 1995
----------- ---------- ---------- ---------- ---------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of $ 17.16 $ 17.26 $ 21.10 $ 16.58 $ 14.02 $ 11.15
Period...........................
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.07 0.14 0.14 0.15 0.15 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 0.93 1.38 (1.92) 5.23 2.88 3.06
---------- ---------- ---------- ---------- ---------- --------
Total from Investment
Operations..................... 1.00 1.52 (1.78) 5.38 3.03 3.20
---------- ---------- ---------- ---------- ---------- --------
LESS DISTRIBUTIONS
Net Investment Income............ (0.02) (0.14) (0.16) (0.12) (0.15) (0.14)
Net Realized Gains............... (1.66) (1.48) (1.90) (0.74) (0.32) (0.19)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions.............. (1.68) (1.62) (2.06) (0.86) (0.47) (0.33)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period..... $ 16.48 $ 17.16 $ 17.26 $ 21.10 $ 16.58 $ 14.02
========== ========== ========== ========== ========== ========
Total Return....................... 6.49%# 9.78% (9.05)% 33.93% 22.14% 28.81%
Net Assets, End of Period
(thousands)...................... $2,752,618 $2,692,473 $2,435,734 $2,224,268 $1,248,213 $624,343
Ratio of Expenses to Average Net
Assets........................... 0.25%* 0.26% 0.26% 0.28% 0.29% 0.32%
Ratio of Net Investment Income to
Average Net Assets............... 0.82%* 0.83% 0.78% 0.86% 1.11% 1.22%
Portfolio Turnover Rate............ 30%* 29% 23% 25% 15% 21%
</TABLE>
--------------
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
28
<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 twenty-one series, of which The U.S. 6-10 Value
Series (the "Series") is presented in this report.
Effective August 1, 1997, The U.S. Small Cap Value Series changed its name
to The U.S. 6-10 Value Series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Trustees.
2. FEDERAL INCOME TAXES: It is the Series' intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with The Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2000.
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, 2000, the
Series' advisory fees were accrued daily and paid monthly to the Advisor based
on aneffective annual rate of 0.20 of 1% of average daily net assets.
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
29
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2000, the Series made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<S> <C>
Purchases................................................... $416,402
Sales....................................................... 540,938
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 2000, 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............................... $ 621,502
Gross Unrealized Depreciation............................... (733,739)
---------
Net......................................................... $(112,237)
=========
</TABLE>
F. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
series is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each series is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the six months ended May 31, 2000 there were
no borrowings under the line of credit by the Series. There were no outstanding
borrowings under the line of credit at May 31, 2000.
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,
2000 was reinvested into overnight repurchase agreements with JP Morgan, which
was in turn collateralized by U.S. Government Treasury Securities. At May 31,
2000, the market value of securities on loan to brokers was $28,213,638, the
related collateral cash received was $52,165,141 and the value of collateral on
overnight repurchase agreements was $53,512,040.
30
